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: 811-21673
THE ALLIANCEBERNSTEIN POOLING PORTFOLIOS
(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: August 31, 2012
Date of reporting period: February 29, 2012
ITEM 1. REPORTS TO STOCKHOLDERS.
SEMI-ANNUAL REPORT
AllianceBernstein Pooling Portfolios
U.S. Value
U.S. Large Cap Growth
International Value
International Growth
Short Duration Bond
Global Core Bond
(formerly Intermediate Duration Bond)
Bond Inflation Protection
High-Yield
Small-Mid Cap Value
Small-Mid Cap Growth
Multi-Asset Real Return
Volatility Management
February 29, 2012
Semi-Annual Report
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.alliancebernstein.com or contact your
AllianceBernstein Investments 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 AllianceBernstein’s website at
www.alliancebernstein.com, or go to the Securities and Exchange Commission’s (the “Commission”)
website at www.sec.gov, or call AllianceBernstein 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. AllianceBernstein publishes full portfolio
holdings for the Fund monthly at www.alliancebernstein.com.
AllianceBernstein Investments, Inc. (ABI) is the distributor of the AllianceBernstein family of
mutual funds. ABI is a member of FINRA and is an affiliate of AllianceBernstein L.P., the manager of
the funds.
AllianceBernstein® and the AB Logo are registered trademarks and service marks used by permission
of the owner, AllianceBernstein L.P.
April 23, 2012
Semi-Annual Report
This report provides management’s discussion of fund performance for the AllianceBernstein Pooling Portfolios (collectively, the “Portfolios”; individually a “Portfolio”) for the semi-annual reporting period ended February 29, 2012.
The tables on pages 23–25 show each Portfolio’s performance for the six- and 12-month periods ended February 29, 2012, compared to their respective benchmarks. Additional performance can be found on pages 26–28. Each Portfolio’s benchmark is as follows: U.S. Value Portfolio—Russell 1000 Value Index; U.S. Large Cap Growth Portfolio—Russell 1000 Growth Index; International Value Portfolio—Morgan Stanley Capital International (“MSCI”) All Country World Index (“ACWI”) ex U.S.; International Growth Portfolio—MSCI AC World Index ex U.S.; Short Duration Bond Portfolio—Bank of America Merrill Lynch (“BofA ML”) 1-3 Year Treasury Index; Global Core Bond Portfolio—Barclays Capital (“BC”) Global Aggregate Bond Index (U.S. dollar hedged); Bond Inflation Protection Portfolio—BC 1-10 Year Treasury Inflation Protected Securities (“TIPS”) Index; High-Yield Portfolio—BC U.S. High Yield 2% Issuer Cap Index; Small-Mid Cap Value Portfolio—Russell 2500 Value Index; Small-Mid Cap Growth Portfolio—Russell 2500 Growth Index; Multi-Asset Real Return Portfolio—MSCI AC World Commodity Producers Index; Volatility Management—MSCI ACWI.
U.S. Value Portfolio
Investment Objective and Policies
The Portfolio seeks long-term growth of capital. The Portfolio invests primarily in a diversified portfolio of equity securities of U.S. companies, emphasizing investments in companies that AllianceBernstein L.P. (the “Adviser”) believes are undervalued. The Portfolio uses the fundamental value approach of the Adviser’s Bernstein unit (“Bernstein”). This fundamental value approach seeks to identify investments that are considered to be undervalued because they are attractively priced relative to future earnings power and dividend-paying capability. The Adviser relies heavily on the fundamental analysis and research of Bernstein’s large internal research staff in making investment decisions for the Portfolio. Under normal circumstances, the Portfolio invests in at least 80% of its net assets in equity securities of U.S. companies.
Investment Results
During the six-and 12-month periods ended February 29, 2012, the Portfolio underperformed its benchmark, the Russell 1000 Value Index. In the six-month period, security selection detracted; sector selection helped offset some of the underperformance. Stock selection in capital equipment, technology and consumer growth detracted most. Underweights in financials and utilities, as well as an overweight in consumer cyclicals, benefitted performance. During the 12-month period, the Portfolio declined in absolute terms. Stock selection detracted from performance, particularly in energy, consumer
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growth, and technology. An underweight in financials and overweights in consumer growth and consumer cyclicals benefitted performance.
The Portfolio did not utilize derivatives during the six- and 12- month periods.
U.S. Large Cap Growth Portfolio
Investment Objective and Policies
The Portfolio seeks long-term growth of capital. The Portfolio invests primarily in the equity securities of a limited number of large, carefully selected, high-quality U.S. companies that are judged likely to achieve superior earnings growth. The Adviser tends to focus on companies that have strong management, superior industry positions, excellent balance sheets and superior earnings growth prospects. Under normal circumstances, the Portfolio invests at least 80% of its net assets in equity securities of large-capitalization U.S. companies. For these purposes, “large-capitalization U.S. companies” are those that, at the time of investment, have market capitalizations within the range of market capitalizations of companies appearing in the Russell 1000 Growth Index.
The Portfolio normally will invest in common stocks of companies with market capitalizations of at least $5 billion at the time of purchase. The Portfolio thus differs from more typical equity mutual funds by focusing on a relatively small number of intensively researched companies. The Portfolio also may invest in non-U.S. securities.
Investment Results
The Portfolio outperformed its benchmark, the Russell 1000 Growth Index,
for the six-month period, and underperformed for the 12-month period ended February 29, 2012. For the six-month period, both security and sector selection contributed to returns. An underweight in the consumer staples sector was beneficial, as was stock selection in the consumer discretionary and healthcare sectors. The healthcare sector performed well over both periods, helped by its defensive characteristics. Detracting was both an overweight in the financial sector, as well as stock selection in the sector, hurt by a handful of large banks that traded down on concerns about potential losses due to the euro-area crisis and the contagion effects of the crisis.
For the 12-month period, sector and security selection both detracted from performance. The Portfolio’s overweight and stock selection in the financial sector detracted, on fears of contagion in the euro-area crisis. Several of the Portfolio’s technology holdings also detracted. Contributing to returns were positions in the more defensive healthcare and energy sectors.
Derivatives were not used during the six- or 12-month periods ended February 29, 2012.
U.S. Market Review and Investment Strategy
U.S. equity markets began 2011 amid strong corporate earnings, encouraging economic data and an uptick in mergers. By midyear, investor anxiety started to build on concerns of the European sovereign debt crisis and nervousness about the end of the Federal Reserve’s asset-purchasing
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program, Quantitative Easing 2. The third quarter was plagued by a series of unfavorable events: Standard & Poor’s lowered its credit rating on U.S. government debt, slowing global growth, and continued fears of a European financial meltdown. Investor risk aversion dominated markets for most of the fourth quarter, though December saw signs of improving macroeconomic data. At the end of the reporting period, resilient U.S. data (particularly stronger-than-expected construction spending, automotive sales, and a reduced unemployment rate), better-than-forecasted Chinese manufacturing data and the potential for a resolution to the European sovereign debt crisis contributed to increased investor confidence.
The current economic climate has allowed the U.S. Value Senior Investment Management Team to invest the U.S. Value Portfolio opportunistically in quality companies without sacrificing the Portfolio’s deep-value discipline. As the economy remains unsettled, the Portfolio’s emphasis continues to be at the stock-specific level, where the trend is focused on attractively-valued companies with solid balance sheets and strong free cash flow.
In managing the U.S. Large Cap Portfolio, the U.S. Large Cap Growth Team (the “Team”) has attempted to navigate through the current market environment by increasingly focusing on) by focusing on companies with solid, durable growth, sustainable
competitive advantages and high return on invested capital.
International Value Portfolio
Investment Objective and Policies
The Portfolio seeks long-term growth of capital. The Portfolio invests primarily in a diversified portfolio of equity securities of established companies selected from more than 40 industries and from more than 40 developed and emerging market countries. These countries currently include the developed nations in Europe and the Far East, Canada, Australia and emerging market countries worldwide. Under normal market conditions, the Portfolio invests significantly (at least 40%, unless market conditions are not deemed favorable by the Adviser in securities of non-U.S. companies.) In addition, the Portfolio invests, under normal market conditions, in companies in at least three countries other than the United States.
The Portfolio invests in companies that Bernstein determines are undervalued, using a fundamental value approach. In selecting securities for the Portfolio, Bernstein uses its fundamental and quantitative research to identify companies whose stocks are priced low in relation to their perceived long-term earnings power.
The Portfolio may invest in depositary receipts, instruments of supranational entities denominated in the currency of any country, securities of multi-national companies and “semi-governmental securities”, and enter into forward commitments. The
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Portfolio may enter into derivatives transactions, such as options, futures, forwards and swap agreements.
Investment Results
Effective January 1, 2012, the Portfolio’s benchmark was changed from the MSCI Europe, Australasia and Far East (“EAFE”) Index to the MSCI ACWI ex U.S., because the new index more closely resembles its investments.
For the six-month period ended February 29, 2012, the Portfolio outperformed its current and prior benchmarks, with sector positioning and security selection combining to drive the premium. Currency selection was modestly negative. Overweight and underweight exposures to the medical sector and gold, respectively, boosted performance, as did stock selection in finance and consumer staples. Stock selection in consumer cyclicals, medical and industrial commodities undercut performance. During this period, the Fund employed derivatives in the form of futures and forwards, each of which detracted from performance. Leverage had a nominal impact to the Portfolio’s performance.
For the 12-month period, the Portfolio declined in absolute terms and underperformed its current and prior benchmarks, with security selection driving the deficit. Sector positioning and currency selection were both positive and combined to partially offset the losses. Stock selection in finance and utilities, as well as an underweight exposure to the consumer staples sector, undercut relative performance. An
overweight exposure to the medical sector boosted performance, as did stock selection in energy and consumer staples. During this period, the Portfolio employed derivatives in the form of futures and forwards, which detracted and contributed, respectively, to performance. Leverage had a nominal impact to the Portfolio’s performance.
International Growth Portfolio
Investment Objective and Policies
The Portfolio’s investment objective is long-term growth of capital. The Portfolio invests primarily in an international portfolio of companies selected by the Adviser whose growth potential appears likely to outpace market expectations. The Adviser’s growth analysts use proprietary research to seek to identify companies that grow while creating a significant amount of “economic value”. These companies typically exhibit solid, durable growth; strong, sustainable competitive advantages; high return on invested capital and robust free cash flow.
The Portfolio invests, under normal circumstances, in the equity securities of companies located in at least three countries (and normally substantially more) other than the United States. The Portfolio invests in securities of companies in both developed and emerging market countries. Geographic distribution of the Portfolio’s investments among countries or regions also will be a product of the stock selection process rather than a predetermined allocation. The Portfolio may also invest in synthetic foreign
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equity securities, which are types of warrants used internationally that entitle a holder to buy or sell underlying securities. The Adviser expects that normally the Portfolio will tend to emphasize investments in larger capitalization companies.
Currencies can have a dramatic impact on equity returns, significantly adding to returns in some years and greatly diminishing them in others. Currency and equity positions are evaluated separately. The Adviser may seek to hedge the currency exposure resulting from securities positions when it finds the currency exposure unattractive. To hedge a portion of its currency risk, the Portfolio may from time to time invest in currency-related derivatives, including forward currency exchange contracts, futures, options on futures, swaps and options. The Adviser may also seek investment opportunities by taking long or short positions in currencies through the use of currency-related derivatives.
Investment Results
Effective January 1, 2012, the Portfolio’s benchmark was changed from the MSCI EAFE Index to the MSCI ACWI ex-U.S., because the new index more closely resembles its investments.
In the six-month period ended February 29, 2012, the Portfolio declined in absolute terms and underperformed its current and prior benchmarks. Security selection, particularly in the UK, China and India, was responsible for most of the shortfall. Country positioning and net currency selection were both positive and tempered the
underperformance. Overweight and underweight exposures to the markets in the UK and Canada, respectively, boosted relative performance, as did stock selection in Hong Kong and Belgium. While the relative performance of the Fund was unaffected by leverage in the six-month period, it was undercut by held currency forwards.
During the 12-month period, the Portfolio declined in absolute terms and underperformed its current and prior benchmarks, with security selection, particularly in Switzerland, China and Taiwan, driving the deficit. Net currency selection also detracted, while country positioning was positive and partially offset some of the losses. Stock selection in Japan and Spain, as well as overweight exposure to the UK markets, bolstered relative performance. While the relative performance of the Portfolio was unaffected by leverage in the 12-month period, it was boosted by held currency forwards.
International Equity Market Review and Investment Strategy
The rally in global equity markets that started in the latter half of 2010 came to an abrupt end in May 2011, as mounting global economic woes accelerated investor de-risking. Financial markets were mired in a severe correction mode for much of the second half of the year, as a huge overhang of debt burdened the U.S. and Europe, and growth in emerging markets slowed. Consequently, investor confidence eroded and the markets fluctuated wildly on rising volatility. A rescue plan for the euro-area put forth in October
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by European leaders offered a brief respite from the market’s slump. The market upturn proved to be short-lived, however, as investors deemed the grand plan to be insufficient to arrest debt pressure and moreover, feared that the situation was escalating to dangerous new levels amid signs that the contagion was spreading from the region’s peripheral economies to its core ones. Encouraging U.S. economic data suggesting that the world’s largest economy may be gaining momentum, coupled with the preemptive, coordinated actions of the world’s leading central banks, including the U.S. Federal Reserve and the European Central Bank (“ECB”), to avert both a liquidity shortage in the global financial system and the undercapitalized European banking system eased investor concerns. The calm in the global macroeconomic climate, fortified by the approval by European leaders of a bailout plan for debt-laden Greece and a second massive injection of liquidity by the ECB, ignited a market rally during the first two months of 2012.
In managing the International Value Portfolio, the International Value Senior Investment Management Team (the “Team”) has navigated current market conditions by investing opportunistically across a wide range of countries and sectors with an eye toward risk control in light of the recent volatility. The Team has positioned the Portfolio to capture the potential it sees in undervalued companies recovering from the recent market downturn that exhibit strong free cash flows and solid balance sheets.
In managing the International Growth Portfolio, the International Growth Team (the “Team”) has navigated through the current market fluctuations by focusing on companies with solid, durable growth, sustainable competitive advantages and high return on invested capital. In developed markets, the Team has sidestepped European sovereign debt risk by avoiding the mature, overleveraged European financial institutions and investing instead in banks where market penetration and leverage are low. The Team has also continued to underweight the Japanese market due to the lack of high-return growth companies. As the greater part of world growth is coming from emerging markets, the Team has found opportunities both in companies domiciled in rapidly expanding regions of the developing world, as well as in advanced-market companies with high or increasing exposure to emerging markets. The longer-term growth of these holdings is bolstered by exposure to powerful long-term secular trends, such as the rising affluence and elevated spending habits of the middle-class consumer in developing countries.
Short Duration Bond Portfolio
Investment Objective and Policies
The Portfolio seeks a moderate rate of income that is subject to taxes. The Portfolio may invest in many types of fixed income securities, including corporate bonds, notes, U.S. government and agency securities, asset-backed securities, mortgage-related securities, and inflation-protected securities, as well as other securities of
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U.S. and non-U.S. issuers. Under normal circumstances, the Portfolio invests at least 80% of its net assets in fixed income securities. The Portfolio may invest up to 20% of its total assets in debt securities denominated in currencies other than the U.S. dollar. The Portfolio may also invest up to 20% of its assets in hybrid instruments, which have characteristics of futures, options, currencies and securities. The Portfolio seeks to maintain a relatively short duration of one to three years under normal market conditions. The Portfolio may invest in variable, floating, and inverse floating rate investments. The Portfolio may also invest in zero-coupon and interest-only or principal-only securities.
Investment Results
The Portfolio outperformed its benchmark, the BofA ML 1-3 Year Treasury Index, for both the six- and 12-month periods ended February 29, 2012. For the six-month period, both yield curve positioning and sector allocation contributed positively. Exposure to spread product—specifically agency mortgage pass-throughs and investment-grade corporates, as well as inflation-protected securities—all contributed positively. A small position in New Zealand government bonds was also positive. Non-agency mortgage obligations and commercial mortgage-backed securities (“CMBS”) holdings were modest detractors.
For the 12-month period, yield curve positioning was the primary positive contributor—followed by non-U.S. government exposure to both Canada and New Zealand. Overall sector
allocation detracted from relative performance, as investors were more risk-averse earlier in the period. Exposure to both asset-backed securities and non-agency mortgage obligations detracted, while most other sector allocation impacts were close to flat.
During both periods, the Portfolio utilized derivative instruments, including Treasury futures in order to manage duration and yield curve positioning. The Portfolio also utilized currency forwards for hedging purposes, which had an immaterial impact to performance.
Global Core Bond Portfolio (formerly Intermediate Duration Bond Portfolio)
Investment Objective and Policies
Effective December 31, 2011, the Portfolio changed its name from AllianceBernstein Intermediate Duration Bond Portfolio to AllianceBernstein Global Core Bond Portfolio, eliminated its policy of limiting its investments in debt securities denominated in currencies other than the U.S. dollar to 20% of its total assets, and adopted non-fundamental policies to invest at least 40% of its assets in securities of non-U.S. issuers. The performance information shown includes periods prior to implementation of these changes and may not be representative of performance the Portfolio will achieve under its new policies.
The Portfolio seeks a moderate to high rate of income that is subject to taxes. The Portfolio invests, under normal circumstances, at least 80% of its net assets in fixed-income securities.
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Fixed income securities include, among other things, bonds. Under normal market conditions, the Portfolio invests at least 40% of its assets in fixed income securities of non-U.S. issuers. In addition, the Portfolio invests, under normal circumstances, in the fixed income securities of issuers located in at least three countries.
The Portfolio may invest in fixed-income securities with any maturity or duration. The Portfolio may invest in mortgage-related and other asset-backed securities, loan participations, inflation-protected securities, structured securities, variable, floating, and inverse floating rate instruments and preferred stock, and may use other investment techniques. The Portfolio may hedge a significant portion of its currency exposure. The Portfolio may also invest in other derivatives, including, without limitation, forward futures, credit default swaps and interest rate swaps. The Portfolio may, among other things, enter into transactions such as reverse repurchase agreements and dollar rolls.
Investment Results
Effective January 1, 2012, the Portfolio’s benchmark was changed from the BC U.S. Aggregate Bond Index to the BC Global Aggregate Bond Index (U.S. dollar hedged), because the new index more closely resembles its investments.
For the six-month period ended February 29, 2012, the Portfolio underperformed its current benchmark and outperformed its prior benchmark. Sector allocation was positive for the
period, as non-government sectors outperformed. An underweight position in governments and overweight allocations to CMBS and U.S. investment-grade corporates contributed positively against both benchmarks. Security selection in corporate holdings—specifically in financials—detracted against both benchmarks. An underweight to peripheral Europe detracted against the new benchmark as those countries rallied at the beginning of 2012.
During the 12-month period ended February 29, 2012, the Portfolio outperformed its current benchmark, due to its overweight in the U.S., which outperformed within the global capital markets. The Portfolio underperformed against the prior benchmark, due to both negative security selection and sector allocation. Security selection in the Portfolio’s corporate, agency mortgage and CMBS holdings detracted for the period. An underweight to governments and overweights to corporates and CMBS detracted, as investors were more risk-averse earlier in the period. Yield curve positioning—specifically an overweight in intermediate maturities—contributed positively for the 12-month period.
During both periods, the Portfolio utilized derivative instruments, including interest rate swaps and Treasury futures in order to manage duration and yield curve positioning. The Portfolio also utilized currency forwards for hedging purposes, which had an immaterial impact to performance.
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Bond Inflation Protection Portfolio
Investment Objective and Policies
The Portfolio’s investment objective is to maximize real return without assuming what the Adviser considers to be undue risk. The Portfolio pursues its objective by investing principally in TIPS directly or by gaining indirect exposure to TIPS through derivatives transactions such as total return swaps linked to TIPS. The Portfolio may invest in other fixed income investments such as U.S. and non-U.S. government securities, corporate fixed income securities and mortgage-related securities, as well as derivatives linked to such securities.
Under normal circumstances, the Portfolio invests at least of 80% of its net assets in fixed income securities. While the Portfolio invests principally in investment-grade securities, it may invest up to 15% of its total assets in fixed income securities rated BB or B, or the equivalent by at least one national ratings agency (or deemed by the Adviser to be of comparable credit quality) which are not investment-grade (“junk bonds”). The Portfolio may also invest in other inflation-indexed securities, issued by both U.S. and non-U.S. issuers, and in derivative instruments linked to these securities, such as options, futures, forwards, or swap agreements. The Portfolio may also invest in loan participations, structured securities, asset-backed securities, variable, floating, and inverse floating rate instruments, and preferred stock, and may use other investment techniques. The Portfolio may invest in fixed income securities of any maturity and duration.
Investment Results
The Portfolio outperformed its benchmark, the BC 1-10 Year TIPS Index, for both the six- and 12-month periods ended February 29, 2012. For the six-month period, exposure to corporates, asset-backed securities, CMBS and agency mortgages contributed positively. Credit default swap positions contributed positively. For the 12-month period, exposure to corporates and agency mortgages detracted while CMBS contributed positively. As part of the Portfolio’s credit position, credit default swaps were utilized early in the 12-month period to add risk. As market volatility increased during the year, credit default swaps were utilized as a hedge against credit risk, resulting in an immaterial impact on performance.
Overall currency positioning contributed positively for both periods, helped by long positions in the Australian dollar and Mexican peso. The Portfolio’s short position in the euro offset some of those gains. Currency forwards were utilized during both periods for hedging and non-hedging purposes.
The Portfolio’s longer-duration positioning contributed positively for the 12-month period, as interest rates significantly declined. Additionally, an overweight in the intermediate part of the curve where yields fell most also helped for the period. For the six-month period, yield curve positioning was only slightly positive. During both periods, Treasury futures and interest rate swaps were utilized, in order to manage duration and yield curve positioning.
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High-Yield Portfolio
Investment Objective and Policies
The Portfolio seeks a high total return by maximizing current income and, to the extent consistent with that objective, capital appreciation. Under normal circumstances, the Portfolio invests at least 80% of its net assets in high-yield debt securities. The Portfolio invests in a diversified mix of high yield, below-investment grade debt securities, known as “junk bonds”. The Portfolio seeks to maximize current income by taking advantage of market developments, yield disparities and variations in the creditworthiness of issuers. The Portfolio may invest in debt securities with a range of maturities from short- to long-term. The Portfolio may also invest in U.S. and non-U.S. dollar-denominated foreign fixed income securities, as well as mortgage-related and other asset-backed securities, loan participations, inflation-protected securities, structured securities and preferred stocks. The Portfolio may use leverage for investment purposes by entering into transactions such as repurchase agreements and dollar rolls. The Portfolio may invest in variable, floating and inverse floating rate investments. The Portfolio may also invest in zero-coupon and interest-only or principal-only securities.
Investment Results
The Portfolio posted positive absolute returns for the six- and 12-month periods ended February 29, 2012, as the high yield market rallied after several bouts of risk aversion caused by global events, especially the European sovereign debt crisis. The Portfolio
underperformed its benchmark, the BC U.S. High Yield 2% Issuer Cap Index, for both periods. The Portfolio’s overweight to subordinated financials within the capital structure detracted from relative performance for both periods, while a small allocation to Treasuries and cash also detracted. For the six-month period, security selection within the Portfolio’s capital goods, consumer non-cyclical and energy holdings contributed positively. For the 12-month period, security selection within energy and services was positive, while consumer non-cyclicals detracted. An allocation to foreign sovereigns and Build America bonds contributed positively. An allocation to CMBS contributed positively. Security selection within the Portfolio’s airlines holdings detracted for both periods.
Within the Portfolio’s derivative positions, high yield credit default swap exposure contributed positively for both periods, while interest rate swaps did not have a meaningful impact. The Portfolio also utilized currency forwards for hedging purposes, which had an immaterial impact on performance.
Fixed Income Market Review and Investment Strategy
Volatility continued during the six-month period ended February 29, 2012, as global markets remained highly correlated with ongoing European debt sentiment and perceptions of the overall health of the economy. Globally, central banks continued to ease monetary policy or indicate that rates would remain low. In the U.S., the Federal Reserve announced that
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rates would be kept on hold until 2014.
After early bouts of investor risk aversion which drove Treasury yields lower, market sentiment improved in the first two months of 2012. Global economic data turned more positive, and worries over the European sovereign debt crisis abated with positive policy intervention. In the U.S., labor and manufacturing data showed improvement, resulting in more solid consumer confidence numbers. In the euro area, finance ministers agreed to grant Greece a second bailout package and the ECB’s second long-term refinancing operation further increased liquidity in the euro area banking system—reducing investor concerns across the globe, at least in the near term.
Fixed income markets benefited from low interest rates and global volatility with all high-grade sectors in positive territory. Global governments posted positive returns, with European governments—particularly peripheral countries—outperforming after a rebound. With the U.S. Federal Reserve indicating that it will keep rates near zero until late 2014, the U.S. yield curve flattened during the period, with short-term rates rising modestly and longer-term rates declining.
Non-government sectors, particularly CMBS and corporates (both investment-grade and high yield), outperformed. CMBS benefited from a stabilization of property fundamentals and investor appetite for yield, while corporate securities were helped
overall by strong revenue and earnings growth. With both fundamental and quantitative signals indicating a more positive environment, risk has been added to multi-sector portfolios across sectors with a focus on maintaining liquidity.
Small-Mid Cap Value Portfolio
Investment Objective and Policies
The Portfolio seeks long-term growth of capital. The Portfolio invests primarily in a diversified portfolio of equity securities of small- to mid-capitalization U.S. companies, generally representing 60-125 companies. Under normal circumstances, the Portfolio invests at least 80% of its net assets in small- to mid-capitalization companies. The Portfolio may invest in securities issued by non-U.S. companies and enter into forward commitments. The Portfolio may enter into derivatives transactions, such as options, futures, forwards and swap agreements.
Investment Results
During the six-month period ended February 29, 2012, the Portfolio outperformed its benchmark, the Russell 2500 Value Index. Stock selection in capital equipment, energy and technology were the main drivers of the gain; overweights in consumer cyclicals and technology, as well as an underweight in utilities, also contributed to positive performance. An underweight and adverse stock selection in housing-related companies was a detractor, as was stock selection in consumer cyclicals.
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For the 12-month period ended February 29, 2012, the Portfolio declined and underperformed its benchmark. Stock selection in financials, consumer cyclicals, and consumer staples detracted, but was partially offset by positive sector selection in consumer cyclicals, consumer growth and consumer staples, as well as positive stock selection in capital equipment.
The Portfolio did not utilize derivatives during the six- and 12-month periods.
Market Review and Investment Strategy
U.S. equity markets began 2011 amid strong corporate earnings, encouraging economic data and an uptick in mergers. By midyear, investor anxiety started to build on concerns of the European sovereign debt crisis and nervousness about the end of the Federal Reserve’s asset-purchasing program, Quantitative Easing 2. The third quarter was plagued by a series of unfavorable events: Standard & Poor’s lowered its credit rating on U.S. government debt, slowing global growth, and continued fears of a European financial meltdown. Investor confidence has improved, more recently driven by resilient U.S. data (particularly stronger-than-expected construction spending, automotive sales, and a reduced unemployment rate) and the potential for a resolution to the European sovereign debt crisis.
The current economic climate has allowed the Small-Mid Cap Value Senior Investment Management Team
to invest opportunistically in quality companies without sacrificing the Portfolio’s deep-value discipline. As the economy remains unsettled, the Portfolio’s emphasis continues to be at the stock-specific level, where the trend is focused on attractively valued companies with solid balance sheets and strong free cash flow.
Small-Mid Cap Growth Portfolio
Investment Objective and Policies
The Portfolio seeks long-term growth of capital. The Portfolio invests primarily in a diversified portfolio of equity securities with relatively smaller capitalizations as compared to the overall market. Under normal circumstances, the Portfolio invests at least 80% of its net assets in the equity securities of small- and mid-capitalization U.S. companies. For these purposes, “small- and mid-capitalization companies” are generally those companies that, at the time of investment, fall within the lowest 25% of the total U.S. equity market capitalization (excluding, for purposes of this calculation, companies with market capitalizations of less than $10 million). As of October 31, 2011, there were approximately 4,400 companies within the lowest 25% of the total U.S. equity market capitalization (excluding companies with market capitalizations of less than $10 million) with market capitalizations ranging from $10 million to $12.5 billion. In the future, the Portfolio may define small- and mid-capitalization companies using a different classification system.
The Portfolio may invest in any company and industry and in any type of
| 12 | • ALLIANCEBERNSTEIN POOLING PORTFOLIOS |
equity security with potential for capital appreciation. It invests in well-known and established companies and in new and less-seasoned companies. The Portfolio’s investment policies emphasize investments in companies that are demonstrating improving financial results and a favorable earnings outlook. The Portfolio may invest in foreign securities.
The Portfolio invests principally in equity securities but may also invest in other types of securities, such as preferred stocks. The Portfolio may also invest in exchange-traded funds (“ETFs”), reverse repurchase agreements and up to 20% of its total assets in rights and warrants.
Investment Results
The Portfolio outperformed its benchmark, the Russell 2500 Growth Index, for both the six- and 12-month periods ended February 29, 2012. The outperformance was driven by the Small/Mid Cap Growth Team’s (the “Team’s”) preference for companies with superior earnings growth, favorable earnings revisions and positive earnings surprise that were rewarded during both periods. For the six-month period, outperformance was driven by strong stock selection in the technology, industrials, financial and energy sectors, which offset stock selection in the consumer/commercial services and healthcare sectors, which modestly detracted from relative returns.
For the 12-month period, stock selection in the technology, industrials, energy and consumer/
commercial services sectors contributed positively to relative performance, while stock selection in the financials and healthcare sectors detracted.
The Portfolio did not utilize leverage or derivatives during the six- and 12-month periods.
Market Review and Investment Strategy
Global macroeconomic volatility drove equity returns during both the six- and 12-months periods. Equity market gains early in 2011 were followed by a plunge in equity prices from May through September 2011, as the U.S. budget ceiling debate loomed large, and fears grew that the worsening European sovereign debt crisis would spread beyond the euro region. Buoyed by better-than-expected U.S. economic data and tentative hopes that the euro-area crisis could be contained, small- and mid-cap growth stocks rebounded strongly in the last several months of the 12-month period.
The Team continues to build the Portfolio from the bottom `up with company-focused fundamental research. As such, sector allocations which result from stock selection decisions remain muted when compared to the benchmark. As of February 29, 2012, the largest overweight was in the technology sector; the largest underweight was in the financial sector. Consistent with the Team’s disciplined investment approach, the Portfolio continues to emphasize the growth attributes the Team seeks to deliver strong returns. The Portfolio offers more prospective superior earnings
| ALLIANCEBERNSTEIN POOLING PORTFOLIOS • | 13 |
revisions and positive earnings surprise compared to its benchmark. Importantly, given the market backdrop of the past several years—one defined by high stock return correlations and limited fundamental differentiation—these growth attributes continue to trade at historically attractive relative valuations.
Multi-Asset Real Return
Investment Objective and Policies
The Portfolio seeks to maximize real return over inflation. The Portfolio pursues an aggressive investment strategy involving a variety of asset classes. The Portfolio invests primarily in instruments that the Adviser expects to outperform broad equity indices during periods of rising inflation. Under normal circumstances, the Portfolio invests its assets principally in the following instruments that, in the judgment of the Adviser, are affected directly or indirectly by the level and change in rate of inflation: inflation-protected fixed income securities, such as TIPS, and similar bonds issued by governments outside of the U.S., commodities, equity securities such as commodity-related stocks, real estate securities, utility securities, infrastructure related securities, securities and derivatives linked to the price of other assets (such as commodities, stock indices and real estate) and currencies. The Portfolio seeks inflation protection from global investments, both in developed and emerging market countries.
The Portfolio invests in both U.S. and non-U.S. dollar-denominated equity or fixed income securities. The Portfolio may invest in currencies for
hedging or investment purposes, both in the spot market and through long- or short positions in currency-related derivatives. The Portfolio may invest in derivatives such as options, futures, forwards, swap agreements or structured notes. The Portfolio may seek to gain exposure to physical commodities traded in the commodities markets through investments in a variety of derivative instruments, including commodity index-linked notes.
Investment Results
For the six-month period ended February 29, 2012, the Portfolio posted a positive absolute return but underperformed its benchmark, the MSCI AC Commodity Producers Index. Underperformance was driven primarily by the Portfolio’s strategic exposure to the commodity futures asset class (exposure to commodity futures was obtained via commodity index swaps, commodity futures, and options on commodity futures). The Portfolio’s strategic exposure to real estate also detracted from performance. Within the Portfolio’s commodity-related equities allocation, security and sector selection contributed to performance. Within the commodity futures allocation, value was added by the Portfolio’s curve positioning and security selection. Positive contributions from top-down asset allocation, risk management and collateral management decisions were partially offset by active management within the real estate allocation. For the six-month period, the Portfolio’s currency management strategies, including forwards, contributed positively to total return. Total return swaps and purchased options were used for hedging and investment purposes,
| 14 | • ALLIANCEBERNSTEIN POOLING PORTFOLIOS |
which detracted from performance. Written options were used for hedging and investment purposes which added to performance.
For the 12-month period ended February 29, 2012, the Portfolio registered a negative absolute return but outperformed its benchmark. Relative performance was driven primarily by the Portfolio’s strategic allocation to real estate equities, partially offset by the strategy’s strategic allocation to commodity futures. Active management within the commodity-related equities allocation contributed positively to performance. Within the commodity futures allocation, value added by the Portfolio’s curve positioning was modestly offset by security selection. Positive contributions from top-down asset allocation, risk management and collateral management decisions were partially offset by active management within the real estate allocation. Currency management strategies, including forwards, detracted from total return over the 12-month period. Total return swaps and purchased options were used for hedging and investment purposes, which detracted from performance. Written options were used for hedging and investment purposes which added to performance.
Market Review and Investment Strategy
Global equity markets fell in March 2011 as oil prices rose and the natural disaster in Japan triggered a sharp drop in the region’s equities. Broad market performance deteriorated further in the second quarter—driving risks higher—
on the European sovereign debt crisis, supply chain disruption concerns following the disasters in Japan and the U.S. deficit. By May 2011, as volatility began to accelerate in the commodity markets, Portfolio exposures were significantly reallocated away from commodity futures and toward cash and short-term inflation-linked bonds. Risk markets generally plunged further in the third quarter as investors were unnerved by further deteriorating macroeconomic conditions and the inability of policymakers to find credible solutions to deal with them. During this time, the Real Asset Strategy Team (the “Team”) modestly scaled back exposure to global real estate equities, thereby adding additional capital to defensive cash and bond positions. By the end of the third-quarter, however, attractive valuations and highly-depressed sentiment suggested, in the Team’s view, that the broad risk market selloff was potentially overdone. In response, the Team increased risk exposures over the course of the fourth quarter, first in commodity futures, then in commodity-related equities, and finally within the real estate allocation.
Global equities rose sharply in the fourth quarter as the rescue plan put forth by European leaders in October—subsequently deemed to be insufficient to resolve the two-year old crisis—sparked a large recovery; in the final weeks of December the ECB injected significant amounts of liquidity into the undercapitalized European banking system bringing about a late-year rally. By year-end 2011, the Team was targeting a small overweight in
| ALLIANCEBERNSTEIN POOLING PORTFOLIOS • | 15 |
commodity-related equities and modest underweights in both real estate and commodity futures. Global equities rose strongly in the first two months of 2012, as 2011’s year-end rally continued into the new year. The period saw stronger-than-expected global macroeconomic data points and increased investor risk appetite due to encouraging developments surrounding the European sovereign debt crisis and a second Greek bailout. The Team continued to target a roughly neutral risk profile through the end of the period, though with a bias toward the purchase of modest downside put option protection in the event market-implied volatilities continue to decline (thus, in the Team’s view, making the purchase of such protection more attractive).
Volatility Management Portfolio
Investment Objective and Policies
The Portfolio’s investment objective is long-term growth of capital and income. The Portfolio is designed to reduce the overall portfolio volatility and the effects of adverse equity market conditions for a blended style investor (an “Investing Fund”). The Portfolio will not pursue its investment objective of long-term growth of capital and income in isolation, but always with the goal of reducing an Investing Fund’s overall equity exposure when appropriate to mitigate equity risk. In other words, in making investment decisions for the Portfolio, the Adviser will consider the blended investing style of the Investing Fund and not necessarily the goal of achieving the Portfolio’s investment objective. The Portfolio will have the ability to invest in a wide array of asset
classes, including U.S., non-U.S. and emerging market equity and fixed income securities, commodities, Real Estate Investment Trusts (“REITs”) and other real estate-related securities, currencies, and inflation-protected securities. The Portfolio will invest directly in equity securities, but it will also be able to invest without limit in derivative instruments, including futures, forwards, options, swaps and other financially-linked investments.
To effectuate the Portfolio’s dynamic, opportunistic asset allocation approach, the Adviser may invest in derivatives rather than investing directly in equity securities. The Portfolio may use index futures, for example, to gain broad exposure to a particular segment of the market, while buying representative equity securities to achieve exposure to another. The Adviser will choose in each case based on concerns of cost and efficiency of access. The Portfolio’s holdings may be frequently adjusted to reflect the Adviser’s assessment of changing risks. The Adviser believes that these adjustments can also frequently be made efficiently and economically through the use of derivatives strategies. Similarly, when the Adviser decides to reduce (or eliminate) the Portfolio’s exposure to the equity markets, the Adviser may choose to gain this alternative exposure directly through securities purchases or indirectly through derivatives transactions. The asset classes selected may or may not be represented by the holdings of other of the Pooling Portfolios, because investment decisions for the Portfolio will be driven by risk mitigation concerns that may be best facilitated through exposure to asset
| 16 | • ALLIANCEBERNSTEIN POOLING PORTFOLIOS |
classes not represented elsewhere in the Portfolio’s overall exposure. The Portfolio has the risk that it may not accomplish its purpose if the Adviser does not correctly assess the risk in equity markets and, consequently, its performance could be affected adversely.
Investment Results
Effective January 1, 2012, the Portfolio’s benchmark was changed from the S&P 500 Index to the MSCI ACWI, because the new index more closely resembles its investments.
The Portfolio underperformed both its current and prior benchmarks for the six- and 12-month periods ended February 29, 2012. The Portfolio seeks to moderate risk during periods of high market volatility. To meet that objective, the Dynamic Asset Allocation Team (the “Team”) began to reduce the exposure to equities in mid-June 2011, as the Team became concerned about risks emanating from Europe as the sovereign debt crisis spread to Italy and Spain. The Team continued to reduce the Portfolio’s exposure to equities through September, as market volatility rose and equities declined sharply. The Portfolio’s underweight to equities reduced the impact of the fall in equity prices and high market volatility during the third quarter.
However, in October equities rallied sharply, posting gains over 10%, causing the bulk of the Portfolio’s underperformance for both the six- and 12- month periods. While the Team added equity exposure as volatility declined and fundamental conditions improved,
the Portfolio underperformed equities when the rally resumed in January and February. In addition, the Portfolio is more diversified than the S&P 500 Index, with holdings in international equities and global REITs in addition to U.S. equities. International equities and global REITs underperformed U.S. equities over both periods.
Total return swaps were used for investment purposes which added to performance for the six- and 12-month periods. Futures were used for hedging and investment purposes which added to performance for both periods. Currency forwards were used for hedging purposes which detracted from performance. Purchased options were used for hedging and investment purposes and detracted from performance.
Market Review and Investment Strategy
The 12-month period under review can be divided into two sharply distinct sub-periods. From March through September 2011 the S&P 500 declined nearly 14%, while overseas markets performed even worse, with the MSCI ACWI down over 17%. The decline can be traced to concerns that the European sovereign debt crisis could trigger a global financial meltdown similar to that seen in 2008 following the bankruptcy of Lehman Brothers. The magnitude of the crisis grew considerably as concerns about the solvency of Greece, Portugal and Ireland spread to much larger Spain and Italy. As the Team saw yields on Spanish and Italian debt widen in June, it decided to reduce the Portfolio’s exposure to equities as
| ALLIANCEBERNSTEIN POOLING PORTFOLIOS • | 17 |
a safeguard against market volatility and declines. This strategy proved favorable during July through September, as equity markets fell sharply and volatility soared to its highest levels since 2008. The Team continued to reduce equity risk during this period, as concerns about Europe were compounded by fears of a global economic slowdown, political gridlock in the U.S. over the federal debt ceiling, and the S&P downgrade of the U.S. credit rating.
From October through February, however, the S&P 500 rallied nearly 22% and the MSCI ACWI was up over 19%, with both markets gaining more than 10% in October. In retrospect, in the Team’s view, it is difficult to
pinpoint a cause for the sharp reversal in October, as both fundamental and market risks remained high. In accordance with the Portfolio’s objective, the Team maintained an underweight position in equities at the time. The Team began adding equity exposure in December on evidence that economic growth outside of Europe was weathering the storm better than expected and the ECB’s longer term refinancing operations offered support for the European banking system, reducing the likelihood of a Lehman-like crisis. The Team continued to add equities as market volatility declined and fundamental conditions improved. As of the end of February 2012 the Portfolio has a normal allocation to equities.
| 18 | • ALLIANCEBERNSTEIN POOLING PORTFOLIOS |
HISTORICAL PERFORMANCE
An Important Note About Historical Performance
The investment return and principal value of an investment in the Fund will fluctuate, so that shares, when redeemed, may be worth more or less than their original cost. Performance shown on the following pages 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.alliancebernstein.com.
Please note: Shares of the Portfolios are offered exclusively to mutual funds advised by, and certain institutional clients of, AllianceBernstein that seek a blend of asset classes for investment. These share classes are not currently offered for direct investment from the general public. The AllianceBernstein Pooling Portfolios can be purchased at the relevant net asset value (“NAV”) without a sales charge or other fee. However, there are sales charges in connection to purchases of other AllianceBernstein share classes invested in these Pooling Portfolios. For additional information regarding other retail share classes and their sales charges and fees, please visit www.alliancebernstein.com. All fees and expenses related to the operation of the Portfolios have been deducted. Performance assumes reinvestment of distributions and does not account for taxes.
Benchmark Disclosures
None of the indices listed below reflect fees and expenses associated with the active management of a mutual fund portfolio.
The unmanaged Russell 1000® Value Index represents the performance of 1,000 large-cap value companies within the U.S.
The unmanaged Russell 1000® Growth Index represents the performance of 1,000 large-cap growth companies within the U.S.
The unmanaged MSCI ACWI ex U.S. (free float-adjusted, market capitalization weighted) represents the equity market performance of developed and emerging markets, excluding the United States.
The unmanaged MSCI EAFE Index (net; free float-adjusted, market capitalization weighted) represents the equity market performance of developed markets, excluding the U.S. and Canada. Net returns include the reinvestment of dividends after deduction of non-U.S. withholding tax; gross returns include reinvestment of dividends prior to such deduction.
The unmanaged BofA ML® 1-3 Year U.S. Treasury Index represents the performance of U.S. dollar-denominated sovereign debt publicly issued by the U.S. government in its domestic market with a remaining term to final maturity of 1-3 years.
The unmanaged BC Global Aggregate Bond Index (U.S. dollar hedged) represents the performance of the global investment-grade developed fixed income markets.
The unmanaged BC U.S. Aggregate Bond Index represents the performance of securities within the U.S. 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 unmanaged BC 1-10 Year TIPS Index represents the performance of inflation-protected securities issued by the U.S. Treasury.
The unmanaged BC U.S. High Yield 2% Issuer Cap Index is the 2% issuer cap component of the U.S. Corporate High Yield Index, which represents the performance of fixed income securities having a maximum quality rating of Ba1, a minimum amount outstanding of $150 million, and at least one year to maturity.
(Historical Performance continued on next page)
| ALLIANCEBERNSTEIN POOLING PORTFOLIOS • | 19 |
Historical Performance
HISTORICAL PERFORMANCE
(continued from previous page)
The unmanaged Russell 2500™ Value Index represents the performance of 2,500 small- to mid-cap value companies within the U.S.
The unmanaged Russell 2500™ Growth Index represents the performance of 2,500 small- to mid-cap growth companies within the U.S.
The unmanaged MSCI AC World Commodity Producers Index is an equity-based index designed to reflect the performance related to commodity producers stocks. The index is free- float-adjusted, market capitalization-weighted and comprised of commodity producer companies based on the Global Industry Classification Standard (“GICS”).
The unmanaged S&P 500® Index includes 500 U.S. stocks and is a common representation of the performance of the overall U.S. stock market.
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.
An investor cannot invest directly in an index, and its results are not indicative of the performance for any specific investment, including the Portfolios.
A Word About Risk
All Portfolios
Market Risk: The market values of the portfolio’s holdings rise and fall from day to day, so investments may lose value.
Derivatives Risk: Investing in derivative instruments such as options, futures, forwards or swaps can be riskier than traditional investments, and may be more volatile, especially in a down market.
Foreign (Non-U.S.) Risk: Non-U.S. securities may be more volatile because of political, regulatory, market and economic uncertainties associated with such securities. Fluctuations in currency exchange rates may negatively affect the value of the investment or reduce returns. These risks are magnified in emerging or developing markets.
Management Risk: The portfolio is subject to management risk because it is an actively managed investment fund. The Adviser will apply its investment techniques and risk analyses in making investment decisions, but there is no guarantee that its techniques will produce the intended results.
U.S. Value Portfolio
Currency Risk: Fluctuations in currency exchange rates may negatively affect the value of the portfolio’s investments or reduce its returns.
U.S. Large Cap Growth Portfolio
Focused Portfolio Risk: Investments in a limited number of companies may have more risk because changes in the value of a single security may have a more significant effect, either negative or positive, on the portfolio’s NAV.
International Value Portfolio, International Growth Portfolio
Emerging Market Risk: Investments in emerging market countries may have more risk because the markets are less developed and less liquid as well as being subject to increased economic, political, regulatory or other uncertainties.
Currency Risk: Fluctuations in currency exchange rates may negatively affect the value of the portfolio’s investments or reduce its returns.
(Historical Performance continued on next page)
| 20 | • ALLIANCEBERNSTEIN POOLING PORTFOLIOS |
Historical Performance
HISTORICAL PERFORMANCE
(continued from previous page)
Short Duration Bond Portfolio, Global Core Bond Portfolio, Bond Inflation Protection Portfolio, High Yield Portfolio
Interest Rate Risk: As interest rates rise, bond prices fall and vice versa—long-term securities tend to rise and fall more than short-term securities.
Credit Risk: A bond’s credit rating reflects the issuer’s ability to make timely payments of interest or principal—the lower the rating, the higher the risk of default. If the issuer’s financial strength deteriorates, the issuer’s rating may be lowered and the bond’s value may decline.
Inflation Risk: Prices for goods and services tend to rise over time, which may erode the purchasing power of investments.
Currency Risk: Fluctuations in currency exchange rates may negatively affect the value of the portfolio’s investments or reduce its returns.
Global Core Bond Portfolio, Bond Inflation Protection Portfolio, High-Yield Portfolio
Leverage Risk: When the portfolio borrows money or otherwise leverages its portfolio, the value of an investment in the portfolio will be more volatile because leverage tends to exaggerate the effect of any increase or decrease in the value of the portfolio’s investments. The portfolio may create leverage through the use of reverse repurchase agreements, forward contracts or dollar rolls, or by borrowing money.
Global Core Bond Portfolio
Emerging Market Risk: Investments in emerging market countries may have more risk because the markets are less developed and less liquid as well as being subject to increased economic, political, regulatory or other uncertainties.
Bond Inflation Protection 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 securities at an advantageous price. The portfolio invests in derivatives and securities involving substantial market and credit risk, which tend to involve greater liquidity risk.
High-Yield Portfolio
Below Investment-Grade Securities Risk: Investments in fixed income securities with lower ratings (commonly known as “junk bonds”) tend to have a higher probability that an issuer will default or fail to meet its payment obligations.
Small-Mid Cap Value Portfolio, Small Mid-Cap Growth Portfolio
Capitalization Risk: Small- and mid-cap stocks are often more volatile than large-cap stocks—smaller companies generally face higher risks due to their limited product lines, markets and financial resources.
Currency Risk: Fluctuations in currency exchange rates may negatively affect the value of the portfolio’s investments or reduce its returns.
Multi-Asset Real Return Portfolio, Volatility Management Portfolio
Interest Rate Risk: As interest rates rise, bond prices fall and vice versa—long-term securities tend to rise and fall more than short-term securities.
Credit Risk: A bond’s credit rating reflects the issuer’s ability to make timely payments of interest or principal—the lower the rating, the higher the risk of default. If the issuer’s financial strength deteriorates, the issuer’s rating may be lowered and the bond’s value may decline.
(Historical Performance continued on next page)
| ALLIANCEBERNSTEIN POOLING PORTFOLIOS • | 21 |
Historical Performance
HISTORICAL PERFORMANCE
(continued from previous page)
Commodity Risk: Commodity-linked investments may experience greater volatility than investments in traditional securities. The value of commodity-linked investments may be affected by financial factors, political developments and natural disasters.
Currency Risk: Fluctuations in currency exchange rates may negatively affect the value of the portfolio’s investments or reduce its returns.
Multi-Asset Real Return Portfolio
Leverage Risk: When the portfolio borrows money or otherwise leverages its portfolio, the value of an investment in the portfolio will be more volatile because leverage tends to exaggerate the effect of any increase or decrease in the value of the portfolio’s investments. The portfolio may create leverage through the use of reverse repurchase agreements, forward contracts or dollar rolls, or by borrowing money.
Liquidity Risk: Liquidity risk exists when particular investments are difficult to purchase or sell, possibly preventing the portfolio from selling out of these illiquid securities at an advantageous price. The portfolio invests in derivatives and securities involving substantial market and credit risk, which tend to involve greater liquidity risk.
Subsidiary Risk: Investments in commodities and commodity-linked derivative instruments directly, or in the case of Multi-Asset Real Return Portfolio also through its wholly owned subsidiary (the “Subsidiary”), may subject a portfolio to greater volatility than investments in traditional securities.
Real Estate Risk: Investments in real estate can decline due to a variety of factors affecting the real estate market, such as economic conditions, mortgage rates and availability. REITs may have additional risks due to limited diversification and the impact of tax law changes.
Diversification Risk: The portfolio may have more risk because it is “non-diversified,” meaning that it can invest more of its assets in a smaller number of issuers and that adverse changes in the value of one security could have a more significant effect on the portfolio’s NAV.
All Portfolios
While the equity Portfolios invest principally in common stocks and other equity securities and the fixed income Portfolios invest principally in bonds and fixed income securities, in order to achieve their investment objectives, the Portfolios may at times use certain types of investment derivatives, such as options, futures, forwards and swaps. These instruments involve risks different from, and in certain cases, greater than, the risks presented by more traditional investments. These risks are fully discussed in the Portfolios’ prospectus.
(Historical Performance continued on next page)
| 22 | • ALLIANCEBERNSTEIN POOLING PORTFOLIOS |
Historical Performance
HISTORICAL PERFORMANCE
(continued from previous page)
THE PORTFOLIOS VS. THEIR BENCHMARKS
PERIODS ENDED FEBRUARY 29, 2012
| Returns | ||||||||||
| U.S. VALUE PORTFOLIO | 6 Months | 12 Months | ||||||||
AllianceBernstein U.S. Value Portfolio | 12.42% | -0.70% | ||||||||
| ||||||||||
Russell 1000 Value Index | 12.84% | 2.18% | ||||||||
| ||||||||||
| Returns | ||||||||||
| U.S. LARGE CAP GROWTH PORTFOLIO | 6 Months | 12 Months | ||||||||
AllianceBernstein U.S. Large Cap Growth Portfolio* | 15.09% | 3.03% | ||||||||
| ||||||||||
Russell 1000 Growth Index | 13.76% | 7.62% | ||||||||
| ||||||||||
* Includes the impact of proceeds received and credited to the Strategy resulting from class action settlements, which enhanced the Strategy’s performance by 0.01% for the 12-month period ended February 29, 2012. | ||||||||||
| Returns | ||||||||||
| INTERNATIONAL VALUE PORTFOLIO | 6 Months | 12 Months | ||||||||
AllianceBernstein International Value Portfolio | 5.42% | -12.66% | ||||||||
| ||||||||||
Current Benchmark: MSCI AC World Index ex-U.S. | 3.97% | -6.10% | ||||||||
| ||||||||||
Prior Benchmark: MSCI EAFE Index | 4.13% | -7.45% | ||||||||
| ||||||||||
| Returns | ||||||||||
| INTERNATIONAL GROWTH PORTFOLIO | 6 Months | 12 Months | ||||||||
AllianceBernstein International Growth Portfolio | -1.18% | -8.88% | ||||||||
| ||||||||||
Current Benchmark: MSCI ACWI ex-U.S. | 3.97% | -6.10% | ||||||||
| ||||||||||
Prior Benchmark: MSCI ACWI ex U.S. Growth | 4.13% | -7.45% | ||||||||
| ||||||||||
MSCI EAFE Growth Index | 3.62% | -5.04% | ||||||||
| ||||||||||
See Historical Performance and Benchmark disclosures on pages 19-22.
(Historical Performance continued on next page)
| ALLIANCEBERNSTEIN POOLING PORTFOLIOS • | 23 |
Historical Performance
HISTORICAL PERFORMANCE
(continued from previous page)
THE PORTFOLIOS VS. THEIR BENCHMARKS
PERIODS ENDED FEBRUARY 29, 2012
| Returns | ||||||||||
| SHORT DURATION BOND PORTFOLIO | 6 Months | 12 Months | ||||||||
AllianceBernstein Short Duration Bond Portfolio | 0.38% | 1.53% | ||||||||
| ||||||||||
BofA ML 1-3 Year Treasury Index | 0.02% | 1.44% | ||||||||
| ||||||||||
| Returns | ||||||||||
| GLOBAL CORE BOND PORTFOLIO | 6 Months | 12 Months | ||||||||
AllianceBernstein Global Core Bond Portfolio | 2.75% | 7.90% | ||||||||
| ||||||||||
Current Benchmark: BC Global Aggregate Bond Index (U.S. dollar hedged) | 2.85% | 6.96% | ||||||||
| ||||||||||
Prior Benchmark: BC U.S. Aggregate Bond Index | 2.73% | 8.37% | ||||||||
| ||||||||||
| Returns | ||||||||||
| BOND INFLATION PROTECTION PORTFOLIO | 6 Months | 12 Months | ||||||||
AllianceBernstein Bond Inflation Protection Portfolio | 3.36% | 9.48% | ||||||||
| ||||||||||
BC 1-10 Year TIPS Index | 2.84% | 9.30% | ||||||||
| ||||||||||
| Returns | ||||||||||
| HIGH-YIELD PORTFOLIO | 6 Months | 12 Months | ||||||||
AllianceBernstein High-Yield Portfolio | 7.78% | 5.55% | ||||||||
| ||||||||||
BC U.S. High Yield 2% Issuer Cap Index | 8.62% | 6.92% | ||||||||
| ||||||||||
See Historical Performance and Benchmark disclosures on pages 19-22.
(Historical Performance continued on next page)
| 24 | • ALLIANCEBERNSTEIN POOLING PORTFOLIOS |
Historical Performance
HISTORICAL PERFORMANCE
(continued from previous page)
THE PORTFOLIOS VS. THEIR BENCHMARKS
PERIODS ENDED FEBRUARY 29, 2012
| Returns | ||||||||||
| SMALL-MID CAP VALUE PORTFOLIO | 6 Months | 12 Months | ||||||||
AllianceBernstein Small-Mid Cap Value Portfolio | 13.93% | -2.98% | ||||||||
| ||||||||||
Russell 2500 Value Index | 12.07% | -0.80% | ||||||||
| ||||||||||
| Returns | ||||||||||
| SMALL-MID CAP GROWTH PORTFOLIO | 6 Months | 12 Months | ||||||||
AllianceBernstein Small-Mid Growth Portfolio* | 18.66% | 9.00% | ||||||||
| ||||||||||
Russell 2500 Growth Index | 13.97% | 3.95% | ||||||||
| ||||||||||
* Includes the impact of proceeds received and credited to the Strategy resulting from class action settlements, which enhanced the Strategy’s performance by 0.01% for the 12-month period ended February 29, 2012. | ||||||||||
| Returns | ||||||||||
| MULTI-ASSET REAL RETURN PORTFOLIO | 6 Months | 12 Months | ||||||||
AllianceBernstein Multi Asset Real Return Portfolio | 1.85% | -3.94% | ||||||||
| ||||||||||
MSCI AC World Commodity Producers Index | 4.51% | -8.25% | ||||||||
| ||||||||||
| Returns | ||||||||||
| VOLATILITY MANAGEMENT PORTFOLIO | 6 Months | 12 Months | ||||||||
AllianceBernstein Volatility Management Portfolio | 6.02% | -1.55% | ||||||||
| ||||||||||
Current Benchmark: MSCI ACWI | 7.87% | -1.49% | ||||||||
| ||||||||||
Prior Benchmark: S&P 500 Index | 13.31% | 5.12% | ||||||||
| ||||||||||
See Historical Performance and Benchmark disclosures on pages 19-22.
(Historical Performance continued on next page)
| ALLIANCEBERNSTEIN POOLING PORTFOLIOS • | 25 |
Historical Performance
HISTORICAL PERFORMANCE
(continued from previous page)
| AVERAGE ANNUAL RETURNS AS OF FEBRUARY 29, 2012 | ||||
| NAV/SEC Returns† | ||||
| AllianceBernstein U.S. Value Portfolio | ||||
1 Year | -0.70 | % | ||
5 Years | -3.05 | % | ||
Since Inception* | 1.51 | % | ||
| AllianceBernstein U.S. Large Cap Growth Portfolio | ||||
1 Year | 3.03 | % | ||
5 Years | 2.64 | % | ||
Since Inception* | 4.60 | % | ||
| AllianceBernstein International Value Portfolio | ||||
1 Year | -12.66 | % | ||
5 Years | -6.95 | % | ||
Since Inception* | 2.08 | % | ||
| AllianceBernstein International Growth Portfolio | ||||
1 Year | -8.88 | % | ||
5 Years | -5.29 | % | ||
Since Inception* | 1.01 | % | ||
| AllianceBernstein Short Duration Bond Portfolio | ||||
1 Year | 1.53 | % | ||
5 Years | 2.65 | % | ||
Since Inception* | 3.00 | % | ||
| AllianceBernstein Global Core Bond Portfolio | ||||
1 Year | 7.90 | % | ||
5 Years | 6.97 | % | ||
Since Inception* | 6.28 | % | ||
| AllianceBernstein Bond Inflation Protection Portfolio | ||||
1 Year | 9.48 | % | ||
5 Years | 7.44 | % | ||
Since Inception* | 6.11 | % | ||
| AllianceBernstein High-Yield Portfolio | ||||
1 Year | 5.55 | % | ||
5 Years | 8.72 | % | ||
Since Inception* | 8.88 | % | ||
| AllianceBernstein Small-Mid Cap Value Portfolio | ||||
1 Year | -2.98 | % | ||
5 Years | 3.84 | % | ||
Since Inception* | 6.76 | % | ||
| † | These Portfolios are offered at NAV and their SEC returns and the same as their NAV returns. |
| * | Inception date: 5/20/05. |
See Historical Performance disclosures on pages 19-22.
(Historical Performance continued on next page)
| 26 | • ALLIANCEBERNSTEIN POOLING PORTFOLIOS |
Historical Performance
HISTORICAL PERFORMANCE
(continued from previous page)
| AVERAGE ANNUAL RETURNS AS OF FEBRUARY 29, 2012 | ||||
| NAV/SEC Returns† | ||||
| AllianceBernstein Small-Mid Cap Growth Portfolio | ||||
1 Year | 9.00 | % | ||
5 Years | 10.12 | % | ||
Since Inception* | 12.23 | % | ||
| AllianceBernstein Multi-Asset Return Portfolio | ||||
1 Year | -3.94 | % | ||
5 Years | -3.63 | % | ||
Since Inception* | 5.20 | % | ||
| AllianceBernstein Volatility Management Portfolio | ||||
1 Year | -1.55 | % | ||
Since Inception** | 7.31 | % | ||
| SEC AVERAGE ANNUAL RETURNS AS OF THE MOST RECENT CALENDAR QUARTER-END (MARCH 31, 2012) | ||||
| SEC Returns† | ||||
| AllianceBernstein U.S. Value Portfolio | ||||
1 Year | 2.64 | % | ||
5 Years | -2.69 | % | ||
Since Inception* | 1.99 | % | ||
| AllianceBernstein U.S. Large Cap Growth Portfolio | ||||
1 Year | 7.22 | % | ||
5 Years | 3.11 | % | ||
Since Inception* | 5.13 | % | ||
| AllianceBernstein International Value Portfolio | ||||
1 Year | -10.15 | % | ||
5 Years | -7.65 | % | ||
Since Inception* | 1.76 | % | ||
| AllianceBernstein International Growth Portfolio | ||||
1 Year | -9.49 | % | ||
5 Years | -5.90 | % | ||
Since Inception* | 0.94 | % | ||
| † | These Portfolios are offered at NAV and their SEC returns and the same as their NAV returns. |
| * | Inception date: 5/20/05. |
| ** | Inception date: 4/16/10. |
See Historical Performance disclosures on pages 19-22.
(Historical Performance continued on next page)
| ALLIANCEBERNSTEIN POOLING PORTFOLIOS • | 27 |
Historical Performance
HISTORICAL PERFORMANCE
(continued from previous page)
| SEC AVERAGE ANNUAL RETURNS AS OF THE MOST RECENT CALENDAR QUARTER-END (MARCH 31, 2012) | ||||
| SEC Returns† | ||||
| AllianceBernstein Short Duration Bond Portfolio | ||||
1 Year | 1.49 | % | ||
5 Years | 2.57 | % | ||
Since Inception* | 2.96 | % | ||
| AllianceBernstein Global Core Bond Portfolio | ||||
1 Year | 7.50 | % | ||
5 Years | 6.88 | % | ||
Since Inception* | 6.15 | % | ||
| AllianceBernstein Bond Inflation Protection Portfolio | ||||
1 Year | 8.17 | % | ||
5 Years | 7.21 | % | ||
Since Inception* | 5.97 | % | ||
| AllianceBernstein High-Yield Portfolio | ||||
1 Year | 5.06 | % | ||
5 Years | 8.64 | % | ||
Since Inception* | 8.74 | % | ||
| AllianceBernstein Small-Mid Cap Value Portfolio | ||||
1 Year | -1.57 | % | ||
5 Years | 3.88 | % | ||
Since Inception* | 7.15 | % | ||
| AllianceBernstein Small-Mid Cap Growth Portfolio | ||||
1 Year | 5.39 | % | ||
5 Years | 9.95 | % | ||
Since Inception* | 12.26 | % | ||
| AllianceBernstein Multi-Asset Return Portfolio | ||||
1 Year | -6.68 | % | ||
5 Years | -4.19 | % | ||
Since Inception* | 4.78 | % | ||
| AllianceBernstein Volatility Management Portfolio | ||||
1 Year | 0.49 | % | ||
Since Inception** | 7.71 | % | ||
| † | These Portfolios are offered at NAV and their SEC returns and the same as their NAV returns. |
| * | Inception date: 5/20/05. |
| ** | Inception date: 4/16/10. |
See Historical Performance disclosures on pages 19-22.
| 28 | • ALLIANCEBERNSTEIN POOLING PORTFOLIOS |
Historical Performance
FUND EXPENSES
(unaudited)
As a shareholder of the Fund, 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 Fund expenses. This example is intended to help you understand your ongoing costs (in dollars) of investing in the Fund 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 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 table below provides information about hypothetical account values and hypothetical expenses based on the Fund’s actual expense ratio and an assumed annual rate of return of 5% before expenses, which is not the Fund’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 Fund 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 September 1, 2011 | Ending Account Value February 29, 2012 | Expenses Paid During Period* | Annualized Expense Ratio* | |||||||||||||
| U.S. Value | ||||||||||||||||
Actual | $ | 1,000 | $ | 1,124.20 | $ | 0.11 | 0.02 | % | ||||||||
Hypothetical** | $ | 1,000 | $ | 1,024.76 | $ | 0.10 | 0.02 | % | ||||||||
| U.S. Large Cap Growth | ||||||||||||||||
Actual | $ | 1,000 | $ | 1,150.90 | $ | 0.11 | 0.02 | % | ||||||||
Hypothetical** | $ | 1,000 | $ | 1,024.76 | $ | 0.10 | 0.02 | % | ||||||||
| International Value | ||||||||||||||||
Actual | $ | 1,000 | $ | 1,054.20 | $ | 0.20 | 0.04 | % | ||||||||
Hypothetical** | $ | 1,000 | $ | 1,024.66 | $ | 0.20 | 0.04 | % | ||||||||
| International Growth | ||||||||||||||||
Actual | $ | 1,000 | $ | 988.20 | $ | 0.20 | 0.04 | % | ||||||||
Hypothetical** | $ | 1,000 | $ | 1,024.66 | $ | 0.20 | 0.04 | % | ||||||||
| Short Duration Bond | ||||||||||||||||
Actual | $ | 1,000 | $ | 1,000.00 | $ | 0.15 | 0.03 | % | ||||||||
Hypothetical** | $ | 1,000 | $ | 1,024.71 | $ | 0.15 | 0.03 | % | ||||||||
| ALLIANCEBERNSTEIN POOLING PORTFOLIOS • | 29 |
Fund Expenses
FUND EXPENSES
(unaudited)
(continued from previous page)
| Beginning Account Value September 1, 2011 | Ending Account Value February 29, 2012 | Expenses Paid During Period* | Annualized Expense Ratio* | |||||||||||||
| Global Core Bond | ||||||||||||||||
Actual | $ | 1,000 | $ | 1,027.50 | $ | 0.15 | 0.03 | % | ||||||||
Hypothetical** | $ | 1,000 | $ | 1,024.71 | $ | 0.15 | 0.03 | % | ||||||||
| Bond Inflation Protection | ||||||||||||||||
Actual | $ | 1,000 | $ | 1,033.60 | $ | 0.51 | 0.10 | % | ||||||||
Hypothetical** | $ | 1,000 | $ | 1,024.37 | $ | 0.50 | 0.10 | % | ||||||||
| High-Yield | ||||||||||||||||
Actual | $ | 1,000 | $ | 1,077.80 | $ | 0.36 | 0.07 | % | ||||||||
Hypothetical** | $ | 1,000 | $ | 1,024.52 | $ | 0.35 | 0.07 | % | ||||||||
| Small-Mid Cap Value | ||||||||||||||||
Actual | $ | 1,000 | $ | 1,139.30 | $ | 0.27 | 0.05 | % | ||||||||
Hypothetical** | $ | 1,000 | $ | 1,024.61 | $ | 0.25 | 0.05 | % | ||||||||
| Small-Mid Cap Growth | ||||||||||||||||
Actual | $ | 1,000 | $ | 1,186.60 | $ | 0.27 | 0.05 | % | ||||||||
Hypothetical** | $ | 1,000 | $ | 1,024.61 | $ | 0.25 | 0.05 | % | ||||||||
| Multi-Asset Real Return*** | ||||||||||||||||
Actual | $ | 1,000 | $ | 1,018.50 | $ | 1.10 | 0.22 | % | ||||||||
Hypothetical** | $ | 1,000 | $ | 1,023.77 | $ | 1.11 | 0.22 | % | ||||||||
| Volatility Management | ||||||||||||||||
Actual | $ | 1,000 | $ | 1,060.20 | $ | 0.26 | 0.05 | % | ||||||||
Hypothetical** | $ | 1,000 | $ | 1,024.61 | $ | 0.25 | 0.05 | % | ||||||||
| * | Expenses are equal to each classes’ annualized expense ratios, multiplied by the average account value over the period, multiplied by 182/366 (to reflect the one-half year period). |
| ** | Assumes 5% return before expenses. |
| *** | Consolidated (see Note A). |
| 30 | • ALLIANCEBERNSTEIN POOLING PORTFOLIOS |
Fund Expenses
U.S. VALUE PORTFOLIO
PORTFOLIO SUMMARY
February 29, 2012 (unaudited)
PORTFOLIO STATISTICS
Net Assets ($mil): $1,309.7
| * | All data are as of February 29, 2012. The Portfolio’s sector breakdown is expressed as a percentage of total investments (excluding security lending collateral) and may vary over time. |
Please Note: The sector classifications presented herein are based on the Global Industry Classification Standard (GICS) which was developed by Morgan Stanley Capital International and Standard & Poor’s. The components are divided into sector, industry group, and industry sub-indices as classified by the GICS for each of the market capitalization indices in the broad market. These sector classifications are broadly defined. The “Portfolio of Investments” section of the report reflects more specific industry information and is consistent with the investment restrictions discussed in the Portfolio’s prospectus.
| ALLIANCEBERNSTEIN POOLING PORTFOLIOS • | 31 |
Portfolio Summary
U.S. LARGE CAP GROWTH PORTFOLIO
PORTFOLIO SUMMARY
February 29, 2012 (unaudited)
PORTFOLIO STATISTICS
Net Assets ($mil): $1,317.1
| * | All data are as of February 29, 2012. The Portfolio’s sector breakdown is expressed as a percentage of total investments (excluding security lending collateral) and may vary over time. |
Please note: The sector classifications presented herein are based on the Global Industry Classification Standard (GICS) which was developed by Morgan Stanley Capital International and Standard & Poor’s. The components are divided into sector, industry group, and industry sub-indices as classified by the GICS for each of the market capitalization indices in the broad market. These sector classifications are broadly defined. The “Portfolio of Investments” section of the report reflects more specific industry information and is consistent with the investment restrictions discussed in the Portfolio’s prospectus.
| 32 | • ALLIANCEBERNSTEIN POOLING PORTFOLIOS |
Portfolio Summary
INTERNATIONAL VALUE PORTFOLIO
PORTFOLIO SUMMARY
February 29, 2012 (unaudited)
PORTFOLIO STATISTICS
Net Assets ($mil): $1,126.6
| * | All data are as of February 29, 2012. The Portfolio’s sector and country breakdowns are expressed as a percentage of total investments (excluding security lending collateral) and may vary over time. The Portfolio also enters into derivative transactions, which may be used for hedging or investment purposes (see “Portfolio of Investments” section of the report for additional details). “Other” country weightings represent 1.9% or less in the following countries: Belgium, China, Czech Republic, Denmark, Hong Kong, New Zealand, Norway, Poland, Portugal, South Africa, Spain, Sweden, Thailand and Turkey. |
Please note: The industry classifications presented herein are based on the Global Industry Classification Standard (GICS) which was developed by Morgan Stanley Capital International and Standard & Poor’s. The components are divided into sector, industry group, and industry sub-indices as classified by the GICS for each of the market capitalization indices in the broad market. These sector classifications are broadly defined. The “Portfolio of Investments” section of the report reflects more specific industry information and is consistent with the investment restrictions discussed in the Portfolio’s prospectus.
| ALLIANCEBERNSTEIN POOLING PORTFOLIOS • | 33 |
Portfolio Summary
INTERNATIONAL GROWTH PORTFOLIO
PORTFOLIO SUMMARY
February 29, 2012 (unaudited)
PORTFOLIO STATISTICS
Net Assets ($mil): $1,120.5
| * | All data are as of February 29, 2012. The Portfolio’s sector and country breakdowns are expressed as a percentage of total investments (excluding security lending collateral) and may vary over time. The Portfolio also enters into derivative transactions, which may be used for hedging or investment purposes (see “Portfolio of Investments” section of the report for additional details). “Other” country weightings represent 1.8% or less in the following countries: Australia, Belgium, Chile, Germany, Italy, Luxembourg, Portugal, Russia, South Africa and Spain. |
Please note: The industry classifications presented herein are based on the Global Industry Classification Standard (GICS) which was developed by Morgan Stanley Capital International and Standard & Poor’s. The components are divided into sector, industry group, and industry sub-indices as classified by the GICS for each of the market capitalization indices in the broad market. These sector classifications are broadly defined. The “Portfolio of Investments” section of the report reflects more specific industry information and is consistent with the investment restrictions discussed in the Portfolio’s prospectus.
| 34 | • ALLIANCEBERNSTEIN POOLING PORTFOLIOS |
Portfolio Summary
SHORT DURATION BOND PORTFOLIO
PORTFOLIO SUMMARY
February 29, 2012 (unaudited)
PORTFOLIO STATISTICS
Net Assets ($mil): $951.9
| * | All data are as of February 29, 2012. The Portfolio’s security type breakdown is expressed as a percentage of total investments and may vary over time. The Portfolio also enters into derivative transactions, which may be used for hedging or investment purposes (see “Portfolio of Investments” section of the report for additional details). |
| ALLIANCEBERNSTEIN POOLING PORTFOLIOS • | 35 |
Portfolio Summary
GLOBAL CORE BOND PORTFOLIO
PORTFOLIO SUMMARY
February 29, 2012 (unaudited)
PORTFOLIO STATISTICS
Net Assets ($mil): $1,208.1
| * | All data are as of February 29, 2012. The Portfolio’s security type breakdown is expressed as a percentage of total investments and may vary over time. The Portfolio also enters into derivative transactions, which may be used for hedging or investment purposes (see “Portfolio of Investments” section of the report for additional details). |
| 36 | • ALLIANCEBERNSTEIN POOLING PORTFOLIOS |
Portfolio Summary
BOND INFLATION PROTECTION PORTFOLIO
PORTFOLIO SUMMARY
February 29, 2012 (unaudited)
PORTFOLIO STATISTICS
Net Assets ($mil): $831.9
| * | All data are as of February 29, 2012. The Portfolio’s security type breakdown is expressed as a percentage of total investments and may vary over time. The Portfolio also enters into derivative transactions, which may be used for hedging or investment purposes (see “Portfolio of Investments” section of the report for additional details). |
| ALLIANCEBERNSTEIN POOLING PORTFOLIOS • | 37 |
Portfolio Summary
HIGH-YIELD PORTFOLIO
PORTFOLIO SUMMARY
February 29, 2012 (unaudited)
PORTFOLIO STATISTICS
Net Assets ($mil): $435.2
| * | All data are as of February 29, 2012. The Portfolio’s security type breakdown is expressed as a percentage of total investments and may vary over time. The Portfolio also enters into derivative transactions, which may be used for hedging or investment purposes (see “Portfolio of Investments” section of the report for additional details). |
| 38 | • ALLIANCEBERNSTEIN POOLING PORTFOLIOS |
Portfolio Summary
SMALL-MID CAP VALUE PORTFOLIO
PORTFOLIO SUMMARY
February 29, 2012 (unaudited)
PORTFOLIO STATISTICS
Net Assets ($mil): $367.6
| * | All data are as of February 29, 2012. The Portfolio’s sector breakdown is expressed as a percentage of total investments (excluding security lending collateral) and may vary over time. |
Please note: The sector classifications presented herein are based on the Global Industry Classification Standard (GICS) which was developed by Morgan Stanley Capital International and Standard & Poor’s. The components are divided into sector, industry group, and industry sub-indices as classified by the GICS for each of the market capitalization indices in the broad market. These sector classifications are broadly defined. The “Portfolio of Investments” section of the report reflects more specific industry information and is consistent with the investment restrictions discussed in the Portfolio’s prospectus.
| ALLIANCEBERNSTEIN POOLING PORTFOLIOS • | 39 |
Portfolio Summary
SMALL-MID CAP GROWTH PORTFOLIO
PORTFOLIO SUMMARY
February 29, 2012 (unaudited)
PORTFOLIO STATISTICS
Net Assets ($mil): $369.2
| * | All data are as of February 29, 2012. The Portfolio’s sector breakdown is expressed as a percentage of total investments (excluding security lending collateral) and may vary over time. |
Please note: The sector classifications presented herein are based on the Global Industry Classification Standard (GICS) which was developed by Morgan Stanley Capital International and Standard & Poor’s. The components are divided into sector, industry group, and industry sub-indices as classified by the GICS for each of the market capitalization indices in the broad market. These sector classifications are broadly defined. The “Portfolio of Investments” section of the report reflects more specific industry information and is consistent with the investment restrictions discussed in the Portfolio’s prospectus.
| 40 | • ALLIANCEBERNSTEIN POOLING PORTFOLIOS |
Portfolio Summary
MULTI-ASSET REAL RETURN PORTFOLIO
PORTFOLIO SUMMARY
February 29, 2012 (unaudited)
PORTFOLIO STATISTICS
Net Assets ($mil): $612.5
| * | All data are as of February 29, 2012. The Portfolio’s security type and country breakdowns are expressed as a percentage of total investments (excluding security lending collateral) and may vary over time. “Other” country weightings represent 0.7% or less in the following countries: Germany, Norway, South Africa and Sweden. |
Please note: The industry classifications presented herein are based on the Global Industry Classification Standard (GICS) which was developed by Morgan Stanley Capital International and Standard & Poor’s. The components are divided into sector, industry group, and industry sub-indices as classified by the GICS for each of the market capitalization indices in the broad market. These sector classifications are broadly defined. The “Portfolio of Investments” section of the report reflects more specific industry information and is consistent with the investment restrictions discussed in the Portfolio’s prospectus.
| ALLIANCEBERNSTEIN POOLING PORTFOLIOS • | 41 |
Portfolio Summary
VOLATILITY MANAGEMENT PORTFOLIO
PORTFOLIO SUMMARY
February 29, 2012 (unaudited)
PORTFOLIO STATISTICS
Net Assets ($mil): $1,853.8
TEN LARGEST HOLDINGS**
February 29, 2012 (unaudited)
| Company | U.S. $ Value | Percent of Net Assets | ||||||
Vanguard MSCI Emerging Markets ETF | $ | 93,598,929 | 5.0 | % | ||||
iShares MSCI Emerging Markets Index Fund | 51,004,798 | 2.8 | ||||||
Apple, Inc. | 8,245,088 | 0.4 | ||||||
Exxon Mobil Corp. | 6,781,600 | 0.4 | ||||||
Simon Property Group, Inc. | 4,642,900 | 0.2 | ||||||
Microsoft Corp. | 3,884,976 | 0.2 | ||||||
International Business Machines Corp. | 3,796,889 | 0.2 | ||||||
Chevron Corp. | 3,557,312 | 0.2 | ||||||
General Electric Co. | 3,289,935 | 0.2 | ||||||
Procter & Gamble Co. (The) | 3,038,400 | 0.2 | ||||||
| $ | 181,840,827 | 9.8 | % | |||||
| * | All data are as of February 29, 2012. The Portfolio’s security type breakdown is expressed as a percentage of total investments (excluding security lending collateral) and may vary over time. The Portfolio also enters into derivative transactions, which may be used for hedging or investment purposes (see “Portfolio of Investments” section of the report for additional details). |
| ** | Long-term investments. |
| 42 | • ALLIANCEBERNSTEIN POOLING PORTFOLIOS |
Portfolio Summary and Ten Largest Holdings
U.S. VALUE PORTFOLIO
PORTFOLIO OF INVESTMENTS
February 29, 2012 (unaudited)
| Company | Shares | U.S. $ Value | ||||||
| ||||||||
COMMON STOCKS – 98.4% | ||||||||
Financials – 17.6% | ||||||||
Capital Markets – 2.1% | ||||||||
Goldman Sachs Group, Inc. (The) | 70,100 | $ | 8,071,314 | |||||
Legg Mason, Inc. | 224,900 | 6,160,011 | ||||||
Morgan Stanley | 686,600 | 12,729,564 | ||||||
|
| |||||||
| 26,960,889 | ||||||||
|
| |||||||
Commercial Banks – 4.0% | ||||||||
CIT Group, Inc.(a) | 525,200 | 21,380,892 | ||||||
KeyCorp | 182,300 | 1,476,630 | ||||||
Regions Financial Corp. | 403,000 | 2,321,280 | ||||||
Wells Fargo & Co. | 881,300 | 27,575,877 | ||||||
|
| |||||||
| 52,754,679 | ||||||||
|
| |||||||
Diversified Financial Services – 7.7% | ||||||||
Bank of America Corp. | 973,600 | 7,759,592 | ||||||
Citigroup, Inc. | 1,218,300 | 40,593,756 | ||||||
JPMorgan Chase & Co. | 1,084,000 | 42,536,160 | ||||||
Moody’s Corp. | 251,800 | 9,721,998 | ||||||
|
| |||||||
| 100,611,506 | ||||||||
|
| |||||||
Insurance – 3.8% | ||||||||
ACE Ltd. | 153,800 | 11,028,998 | ||||||
Berkshire Hathaway, Inc.(a) | 93,100 | 7,303,695 | ||||||
Chubb Corp. (The) | 72,100 | 4,899,916 | ||||||
Reinsurance Group of America, Inc. – Class A | 130,900 | 7,549,003 | ||||||
Travelers Cos., Inc. (The) | 295,300 | 17,118,541 | ||||||
XL Group PLC | 96,500 | 2,007,200 | ||||||
|
| |||||||
| 49,907,353 | ||||||||
|
| |||||||
| 230,234,427 | ||||||||
|
| |||||||
Health Care – 16.8% | ||||||||
Biotechnology – 1.2% | ||||||||
Gilead Sciences, Inc.(a) | 266,000 | 12,103,000 | ||||||
Vertex Pharmaceuticals, Inc.(a) | 109,400 | 4,257,848 | ||||||
|
| |||||||
| 16,360,848 | ||||||||
|
| |||||||
Health Care Providers & Services – 4.9% | ||||||||
Aetna, Inc. | 95,900 | 4,484,284 | ||||||
Health Net, Inc.(a) | 230,800 | 8,710,392 | ||||||
UnitedHealth Group, Inc. | 481,200 | 26,826,900 | ||||||
WellPoint, Inc. | 360,700 | 23,672,741 | ||||||
|
| |||||||
| 63,694,317 | ||||||||
|
| |||||||
Pharmaceuticals – 10.7% | ||||||||
AstraZeneca PLC (Sponsored ADR) | 415,700 | 18,660,773 | ||||||
Johnson & Johnson | 645,700 | 42,022,156 | ||||||
Merck & Co., Inc. | 592,300 | 22,608,091 | ||||||
Pfizer, Inc. | 2,407,200 | 50,791,920 | ||||||
| ALLIANCEBERNSTEIN POOLING PORTFOLIOS • | 43 |
U.S. Value Portfolio—Portfolio of Investments
| Company | Shares | U.S. $ Value | ||||||
| ||||||||
Roche Holding AG (Sponsored ADR) | 145,000 | $ | 6,319,100 | |||||
|
| |||||||
| 140,402,040 | ||||||||
|
| |||||||
| 220,457,205 | ||||||||
|
| |||||||
Consumer Discretionary – 15.5% | ||||||||
Auto Components – 1.8% | ||||||||
Lear Corp. | 240,900 | 10,891,089 | ||||||
TRW Automotive Holdings Corp.(a) | 261,800 | 11,974,732 | ||||||
|
| |||||||
| 22,865,821 | ||||||||
|
| |||||||
Automobiles – 2.0% | ||||||||
Ford Motor Co. | 781,400 | 9,673,732 | ||||||
General Motors Co.(a) | 643,600 | 16,746,472 | ||||||
|
| |||||||
| 26,420,204 | ||||||||
|
| |||||||
Diversified Consumer Services – 0.6% | ||||||||
Apollo Group, Inc. – Class A(a) | 181,700 | 7,747,688 | ||||||
|
| |||||||
Hotels, Restaurants & Leisure – 1.0% | ||||||||
MGM Resorts International(a) | 989,000 | 13,618,530 | ||||||
|
| |||||||
Household Durables – 0.8% | ||||||||
Newell Rubbermaid, Inc. | 287,760 | 5,266,008 | ||||||
NVR, Inc.(a) | 7,400 | 5,120,800 | ||||||
|
| |||||||
| 10,386,808 | ||||||||
|
| |||||||
Media – 6.6% | ||||||||
CBS Corp. – Class B | 358,800 | 10,728,120 | ||||||
DIRECTV(a) | 216,800 | 10,042,176 | ||||||
Gannett Co., Inc. | 862,970 | 12,806,475 | ||||||
Interpublic Group of Cos., Inc. (The) | 268,500 | 3,146,820 | ||||||
McGraw-Hill Cos., Inc. (The) | 146,400 | 6,813,456 | ||||||
News Corp. – Class A | 569,100 | 11,308,017 | ||||||
Time Warner Cable, Inc. – Class A | 237,600 | 18,851,184 | ||||||
Viacom, Inc. – Class B | 265,700 | 12,652,634 | ||||||
|
| |||||||
| 86,348,882 | ||||||||
|
| |||||||
Multiline Retail – 0.8% | ||||||||
Macy’s, Inc. | 271,500 | 10,308,855 | ||||||
|
| |||||||
Specialty Retail – 1.9% | ||||||||
GameStop Corp. – Class A(b) | 142,700 | 3,250,706 | ||||||
Home Depot, Inc. (The) | 120,200 | 5,717,914 | ||||||
Limited Brands, Inc. | 157,500 | 7,328,475 | ||||||
Lowe’s Cos., Inc. | 246,600 | 6,998,508 | ||||||
Staples, Inc. | 136,700 | 2,004,022 | ||||||
|
| |||||||
| 25,299,625 | ||||||||
|
| |||||||
| 202,996,413 | ||||||||
|
| |||||||
| 44 | • ALLIANCEBERNSTEIN POOLING PORTFOLIOS |
U.S. Value Portfolio—Portfolio of Investments
| Company | Shares | U.S. $ Value | ||||||
| ||||||||
Energy – 11.3% | ||||||||
Energy Equipment & Services – 1.1% | ||||||||
Transocean Ltd./Switzerland | 271,200 | $ | 14,465,808 | |||||
|
| |||||||
Oil, Gas & Consumable Fuels – 10.2% | ||||||||
Anadarko Petroleum Corp. | 75,800 | 6,376,296 | ||||||
BP PLC (Sponsored ADR) | 433,800 | 20,458,008 | ||||||
Chevron Corp. | 268,500 | 29,298,720 | ||||||
Devon Energy Corp. | 217,500 | 15,944,925 | ||||||
Exxon Mobil Corp. | 285,100 | 24,661,150 | ||||||
Marathon Oil Corp. | 527,900 | 17,890,531 | ||||||
Marathon Petroleum Corp. | 286,200 | 11,891,610 | ||||||
Nexen, Inc. (New York) | 215,500 | 4,391,890 | ||||||
Valero Energy Corp. | 111,900 | 2,740,431 | ||||||
|
| |||||||
| 133,653,561 | ||||||||
|
| |||||||
| 148,119,369 | ||||||||
|
| |||||||
Information Technology – 11.2% | ||||||||
Communications Equipment – 1.8% | ||||||||
Cisco Systems, Inc. | 1,034,800 | 20,571,824 | ||||||
Motorola Solutions, Inc. | 57,700 | 2,873,460 | ||||||
|
| |||||||
| 23,445,284 | ||||||||
|
| |||||||
Computers & Peripherals – 2.5% | ||||||||
Dell, Inc.(a) | 79,500 | 1,375,350 | ||||||
Hewlett-Packard Co. | 1,123,400 | 28,433,254 | ||||||
Seagate Technology PLC | 105,785 | 2,777,914 | ||||||
|
| |||||||
| 32,586,518 | ||||||||
|
| |||||||
Electronic Equipment, Instruments & Components – 1.1% | ||||||||
Corning, Inc. | 1,128,200 | 14,711,728 | ||||||
|
| |||||||
IT Services – 0.7% | ||||||||
Visa, Inc. – Class A | 70,300 | 8,180,811 | ||||||
|
| |||||||
Semiconductors & Semiconductor Equipment – 5.1% | ||||||||
Advanced Semiconductor Engineering, Inc. (ADR)(b) | 754,358 | 3,681,267 | ||||||
Applied Materials, Inc. | 1,317,500 | 16,126,200 | ||||||
Intel Corp. | 930,000 | 24,998,400 | ||||||
Lam Research Corp.(a) | 233,600 | 9,741,120 | ||||||
Micron Technology, Inc.(a) | 1,469,100 | 12,560,805 | ||||||
|
| |||||||
| 67,107,792 | ||||||||
|
| |||||||
| 146,032,133 | ||||||||
|
| |||||||
Consumer Staples – 10.0% | ||||||||
Beverages – 1.0% | ||||||||
Constellation Brands, Inc. – Class A(a) | 617,300 | 13,481,832 | ||||||
|
| |||||||
| ALLIANCEBERNSTEIN POOLING PORTFOLIOS • | 45 |
U.S. Value Portfolio—Portfolio of Investments
| Company | Shares | U.S. $ Value | ||||||
| ||||||||
Food & Staples Retailing – 2.4% | ||||||||
CVS Caremark Corp. | 259,900 | $ | 11,721,490 | |||||
Kroger Co. (The) | 832,500 | 19,805,175 | ||||||
|
| |||||||
| 31,526,665 | ||||||||
|
| |||||||
Food Products – 1.8% | ||||||||
Archer-Daniels-Midland Co. | 133,100 | 4,152,720 | ||||||
ConAgra Foods, Inc. | 346,500 | 9,095,625 | ||||||
Tyson Foods Inc – Class A | 546,708 | 10,338,248 | ||||||
|
| |||||||
| 23,586,593 | ||||||||
|
| |||||||
Household Products – 1.6% | ||||||||
Procter & Gamble Co. (The) | 302,300 | 20,411,296 | ||||||
|
| |||||||
Tobacco – 3.2% | ||||||||
Altria Group, Inc.(b) | 560,700 | 16,877,070 | ||||||
Lorillard, Inc. | 143,500 | 18,809,980 | ||||||
Philip Morris International, Inc. | 40,700 | 3,399,264 | ||||||
Reynolds American, Inc. | 69,100 | 2,897,363 | ||||||
|
| |||||||
| 41,983,677 | ||||||||
|
| |||||||
| 130,990,063 | ||||||||
|
| |||||||
Industrials – 6.4% | ||||||||
Aerospace & Defense – 1.3% | ||||||||
General Dynamics Corp. | 48,400 | 3,544,332 | ||||||
Northrop Grumman Corp. | 214,700 | 12,841,207 | ||||||
|
| |||||||
| 16,385,539 | ||||||||
|
| |||||||
Airlines – 0.8% | ||||||||
Delta Air Lines, Inc.(a) | 1,027,100 | 10,075,851 | ||||||
|
| |||||||
Building Products – 0.3% | ||||||||
Fortune Brands Home & Security, Inc.(a) | 216,885 | 4,194,556 | ||||||
|
| |||||||
Industrial Conglomerates – 4.0% | ||||||||
General Electric Co. | 2,162,700 | 41,199,435 | ||||||
Tyco International Ltd. | 225,800 | 11,700,956 | ||||||
|
| |||||||
| 52,900,391 | ||||||||
|
| |||||||
| 83,556,337 | ||||||||
|
| |||||||
Utilities – 4.8% | ||||||||
Electric Utilities – 1.6% | ||||||||
Edison International | 99,500 | 4,166,065 | ||||||
Great Plains Energy, Inc. | 340,100 | 6,727,178 | ||||||
NV Energy, Inc. | 668,000 | 10,474,240 | ||||||
|
| |||||||
| 21,367,483 | ||||||||
|
| |||||||
Gas Utilities – 0.9% | ||||||||
Atmos Energy Corp. | 223,400 | 6,865,082 | ||||||
| 46 | • ALLIANCEBERNSTEIN POOLING PORTFOLIOS |
U.S. Value Portfolio—Portfolio of Investments
| Company | Shares | U.S. $ Value | ||||||
| ||||||||
UGI Corp. | 176,917 | $ | 4,997,905 | |||||
|
| |||||||
| 11,862,987 | ||||||||
|
| |||||||
Multi-Utilities – 2.3% | ||||||||
CenterPoint Energy, Inc. | 390,800 | 7,616,692 | ||||||
DTE Energy Co. | 270,200 | 14,588,098 | ||||||
NiSource, Inc. | 231,600 | 5,558,400 | ||||||
Public Service Enterprise Group, Inc. | 81,100 | 2,496,258 | ||||||
|
| |||||||
| 30,259,448 | ||||||||
|
| |||||||
| 63,489,918 | ||||||||
|
| |||||||
Telecommunication Services – 3.9% | ||||||||
Diversified Telecommunication Services – 3.9% | ||||||||
AT&T, Inc. | 810,300 | 24,787,077 | ||||||
CenturyLink, Inc. | 643,700 | 25,908,925 | ||||||
|
| |||||||
| 50,696,002 | ||||||||
|
| |||||||
Materials – 0.9% | ||||||||
Chemicals – 0.9% | ||||||||
LyondellBasell Industries NV | 276,100 | 11,921,998 | ||||||
|
| |||||||
Total Common Stocks | 1,288,493,865 | |||||||
|
| |||||||
SHORT-TERM INVESTMENTS – 1.6% | ||||||||
Investment Companies – 1.6% | ||||||||
AllianceBernstein Fixed-Income Shares, Inc. –Government STIF Portfolio, 0.09%(c) | 21,053,619 | 21,053,619 | ||||||
|
| |||||||
Total Investments Before Security Lending Collateral for Securities Loaned – 100.0% | 1,309,547,484 | |||||||
|
| |||||||
| Shares | ||||||||
INVESTMENTS OF CASH COLLATERAL FOR SECURITY LOANED – 0.3% | ||||||||
Investment Companies – 0.3% | ||||||||
AllianceBernstein Exchange Reserves –Class I, 0.22%(c) | 4,230,960 | 4,230,960 | ||||||
|
| |||||||
Total Investments – 100.3% | 1,313,778,444 | |||||||
Other assets less liabilities – (0.3)% | (3,636,703 | ) | ||||||
|
| |||||||
Net Assets – 100.0% | $ | 1,310,141,741 | ||||||
|
| |||||||
| ALLIANCEBERNSTEIN POOLING PORTFOLIOS • | 47 |
U.S. Value Portfolio—Portfolio of Investments
| (a) | Non-income producing security. |
| (b) | Represents entire or partial securities out on loan. See Note D for securities lending information. |
| (c) | Investment in affiliated money market mutual fund. The rate shown represents the 7-day yield as of period end. |
Glossary:
ADR – American Depositary Receipt
See notes to financial statements.
| 48 | • ALLIANCEBERNSTEIN POOLING PORTFOLIOS |
U.S. Value Portfolio—Portfolio of Investments
U.S. LARGE CAP GROWTH PORTFOLIO
PORTFOLIO OF INVESTMENTS
February 29, 2012 (unaudited)
| Company | Shares | U.S. $ Value | ||||||
| ||||||||
COMMON STOCKS – 95.9% | ||||||||
Information Technology – 29.9% | ||||||||
Communications Equipment – 5.1% | ||||||||
Cisco Systems, Inc. | 847,740 | $ | 16,853,071 | |||||
QUALCOMM, Inc. | 820,860 | 51,041,075 | ||||||
|
| |||||||
| 67,894,146 | ||||||||
|
| |||||||
Computers & Peripherals – 9.9% | ||||||||
Apple, Inc.(a) | 191,530 | 103,893,533 | ||||||
EMC Corp./Massachusetts(a) | 957,577 | 26,515,307 | ||||||
|
| |||||||
| 130,408,840 | ||||||||
|
| |||||||
Internet Software & Services – 4.5% | ||||||||
Google, Inc. – Class A(a) | 95,735 | 59,188,164 | ||||||
|
| |||||||
IT Services – 0.7% | ||||||||
Visa, Inc. – Class A | 74,380 | 8,655,601 | ||||||
|
| |||||||
Semiconductors & Semiconductor Equipment – 3.5% | ||||||||
Broadcom Corp. – Class A(a) | 635,646 | 23,614,249 | ||||||
Marvell Technology Group Ltd.(a) | 1,517,411 | 22,761,165 | ||||||
|
| |||||||
| 46,375,414 | ||||||||
|
| |||||||
Software – 6.2% | ||||||||
Citrix Systems, Inc.(a) | 268,700 | 20,082,638 | ||||||
Informatica Corp.(a) | 83,820 | 4,120,591 | ||||||
Intuit, Inc. | 275,200 | 15,917,568 | ||||||
Oracle Corp. | 1,160,690 | 33,973,396 | ||||||
Salesforce.com, Inc.(a) | 53,990 | 7,729,209 | ||||||
|
| |||||||
| 81,823,402 | ||||||||
|
| |||||||
| 394,345,567 | ||||||||
|
| |||||||
Consumer Discretionary – 13.7% | ||||||||
Auto Components – 1.3% | ||||||||
BorgWarner, Inc.(a) | 208,672 | 17,286,388 | ||||||
|
| |||||||
Automobiles – 0.7% | ||||||||
Harley-Davidson, Inc. | 184,277 | 8,583,623 | ||||||
|
| |||||||
Hotels, Restaurants & Leisure – 2.6% | ||||||||
Las Vegas Sands Corp.(a) | 269,100 | 14,964,651 | ||||||
Starbucks Corp. | 406,250 | 19,727,500 | ||||||
|
| |||||||
| 34,692,151 | ||||||||
|
| |||||||
Internet & Catalog Retail – 1.6% | ||||||||
Amazon.com, Inc.(a) | 115,510 | 20,755,992 | ||||||
|
| |||||||
Media – 5.7% | ||||||||
Comcast Corp. – Class A | 1,223,220 | 35,938,204 | ||||||
Walt Disney Co. (The) | 938,440 | 39,405,095 | ||||||
|
| |||||||
| 75,343,299 | ||||||||
|
| |||||||
| ALLIANCEBERNSTEIN POOLING PORTFOLIOS • | 49 |
U.S. Large Cap Growth Portfolio—Portfolio of Investments
| Company | Shares | U.S. $ Value | ||||||
| ||||||||
Multiline Retail – 0.9% | ||||||||
Dollar General Corp.(a) | 285,114 | $ | 11,991,895 | |||||
|
| |||||||
Textiles, Apparel & Luxury Goods – 0.9% | ||||||||
PVH Corp. | 145,605 | 12,377,881 | ||||||
|
| |||||||
| 181,031,229 | ||||||||
|
| |||||||
Industrials – 13.4% | ||||||||
Aerospace & Defense – 4.5% | ||||||||
Boeing Co. (The) | 377,210 | 28,271,889 | ||||||
Precision Castparts Corp. | 184,820 | 30,944,413 | ||||||
|
| |||||||
| 59,216,302 | ||||||||
|
| |||||||
Air Freight & Logistics – 2.6% | ||||||||
United Parcel Service, Inc. – Class B | 443,545 | 34,104,175 | ||||||
|
| |||||||
Electrical Equipment – 1.9% | ||||||||
Emerson Electric Co. | 281,710 | 14,172,830 | ||||||
Rockwell Automation, Inc. | 134,634 | 10,768,028 | ||||||
|
| |||||||
| 24,940,858 | ||||||||
|
| |||||||
Industrial Conglomerates – 2.8% | ||||||||
Danaher Corp. | 688,059 | 36,350,157 | ||||||
|
| |||||||
Machinery – 1.6% | ||||||||
Flowserve Corp. | 179,734 | 21,311,060 | ||||||
|
| |||||||
| 175,922,552 | ||||||||
|
| |||||||
Energy – 12.4% | ||||||||
Energy Equipment & Services – 5.9% | ||||||||
FMC Technologies, Inc.(a) | 266,600 | 13,444,638 | ||||||
National Oilwell Varco, Inc. | 119,910 | 9,896,172 | ||||||
Schlumberger Ltd. | 707,535 | 54,911,792 | ||||||
|
| |||||||
| 78,252,602 | ||||||||
|
| |||||||
Oil, Gas & Consumable Fuels – 6.5% | ||||||||
Anadarko Petroleum Corp. | 270,810 | 22,780,537 | ||||||
EOG Resources, Inc. | 260,195 | 29,625,803 | ||||||
Noble Energy, Inc. | 333,358 | 32,552,408 | ||||||
|
| |||||||
| 84,958,748 | ||||||||
|
| |||||||
| 163,211,350 | ||||||||
|
| |||||||
Health Care – 9.6% | ||||||||
Biotechnology – 0.6% | ||||||||
Gilead Sciences, Inc.(a) | 182,815 | 8,318,083 | ||||||
|
| |||||||
Health Care Equipment & Supplies – 3.7% |
| |||||||
Covidien PLC | 572,990 | 29,938,727 | ||||||
Stryker Corp. | 347,100 | 18,618,444 | ||||||
|
| |||||||
| 48,557,171 | ||||||||
|
| |||||||
| 50 | • ALLIANCEBERNSTEIN POOLING PORTFOLIOS |
U.S. Large Cap Growth Portfolio—Portfolio of Investments
| Company | Shares | U.S. $ Value | ||||||
| ||||||||
Health Care Providers & Services – 1.9% | ||||||||
Express Scripts, Inc. – Class A(a) | 464,135 | $ | 24,752,320 | |||||
|
| |||||||
Life Sciences Tools & Services – 0.9% | ||||||||
Illumina, Inc.(a)(b) | 225,570 | 11,560,462 | ||||||
|
| |||||||
Pharmaceuticals – 2.5% | ||||||||
Allergan, Inc./United States | 243,400 | 21,806,206 | ||||||
Perrigo Co. | 110,180 | 11,355,151 | ||||||
|
| |||||||
| 33,161,357 | ||||||||
|
| |||||||
| 126,349,393 | ||||||||
|
| |||||||
Financials – 8.0% | ||||||||
Capital Markets – 3.4% | ||||||||
Blackstone Group LP | 1,584,009 | 24,742,221 | ||||||
Goldman Sachs Group, Inc. (The) | 175,130 | 20,164,468 | ||||||
|
| |||||||
| 44,906,689 | ||||||||
|
| |||||||
Diversified Financial Services – 2.7% | ||||||||
JPMorgan Chase & Co. | 894,270 | 35,091,155 | ||||||
|
| |||||||
Insurance – 0.5% | ||||||||
MetLife, Inc. | 186,717 | 7,197,940 | ||||||
|
| |||||||
Real Estate Management & Development – 1.4% | ||||||||
CBRE Group, Inc.(a) | 1,006,646 | 18,451,821 | ||||||
|
| |||||||
| 105,647,605 | ||||||||
|
| |||||||
Materials – 6.4% | ||||||||
Chemicals – 5.1% | ||||||||
Dow Chemical Co. (The) | 454,540 | 15,231,635 | ||||||
Monsanto Co. | 353,727 | 27,371,395 | ||||||
Potash Corp. of Saskatchewan, Inc. | 511,870 | 23,827,549 | ||||||
|
| |||||||
| 66,430,579 | ||||||||
|
| |||||||
Metals & Mining – 1.3% | ||||||||
Freeport-McMoRan Copper & Gold, Inc. | 414,530 | 17,642,397 | ||||||
|
| |||||||
| 84,072,976 | ||||||||
|
| |||||||
Consumer Staples – 2.5% | ||||||||
Food Products – 2.5% | ||||||||
General Mills, Inc. | 548,740 | 21,022,229 | ||||||
Hershey Co. (The) | 191,410 | 11,618,587 | ||||||
|
| |||||||
| 32,640,816 | ||||||||
|
| |||||||
Total Common Stocks | 1,263,221,488 | |||||||
|
| |||||||
| ALLIANCEBERNSTEIN POOLING PORTFOLIOS • | 51 |
U.S. Large Cap Growth Portfolio—Portfolio of Investments
| Company | Shares | U.S. $ Value | ||||||
| ||||||||
SHORT-TERM INVESTMENTS – 1.4% | ||||||||
Investment Companies – 1.4% | ||||||||
AllianceBernstein Fixed-Income Shares, Inc. – Government STIF Portfolio, 0.09%(c) | 17,761,586 | $ | 17,761,586 | |||||
|
| |||||||
Total Investments Before Security Lending Collateral for Securities Loaned – 97.3% | 1,280,983,074 | |||||||
|
| |||||||
INVESTMENTS OF CASH COLLATERAL FOR SECURITY LOANED – 0.9% | ||||||||
Investment Companies – 0.9% | ||||||||
AllianceBernstein Exchange Reserves – Class I, 0.22%(c) | 11,842,425 | 11,842,425 | ||||||
|
| |||||||
Total Investments – 98.2% | 1,292,825,499 | |||||||
Other assets less liabilities – 1.8% | 23,996,495 | |||||||
|
| |||||||
Net Assets – 100.0% | $ | 1,316,821,994 | ||||||
|
| |||||||
| (a) | Non-income producing security. |
| (b) | Represents entire or partial securities out on loan. See Note D for securities lending information. |
| (c) | Investment in affiliated money market mutual fund. The rate shown represents the 7-day yield as of period end. |
See notes to financial statements.
| 52 | • ALLIANCEBERNSTEIN POOLING PORTFOLIOS |
U.S. Large Cap Growth Portfolio—Portfolio of Investments
INTERNATIONAL VALUE PORTFOLIO
PORTFOLIO OF INVESTMENTS
February 29, 2012 (unaudited)
| Company | Shares | U.S. $ Value | ||||||
| ||||||||
COMMON STOCKS – 98.6% | ||||||||
Financials – 22.2% | ||||||||
Capital Markets – 1.9% | ||||||||
Deutsche Bank AG | 199,200 | $ | 9,295,527 | |||||
Macquarie Group Ltd. | 414,190 | 11,810,268 | ||||||
|
| |||||||
| 21,105,795 | ||||||||
|
| |||||||
Commercial Banks – 12.4% | ||||||||
Banco do Brasil SA | 1,082,500 | 17,429,684 | ||||||
Barclays PLC | 2,812,300 | 10,890,065 | ||||||
BNP Paribas SA | 263,755 | 12,836,049 | ||||||
HSBC Holdings PLC | 631,070 | 5,590,997 | ||||||
KB Financial Group, Inc. | 450,822 | 16,554,578 | ||||||
KBC Groep NV | 200,930 | 4,729,377 | ||||||
Komercni Banka AS | 17,400 | 3,396,187 | ||||||
Lloyds Banking Group PLC(a) | 14,026,950 | 7,808,653 | ||||||
Mitsubishi UFJ Financial Group, Inc. | 1,963,400 | 10,147,073 | ||||||
National Australia Bank Ltd. | 628,370 | 15,862,518 | ||||||
Societe Generale SA | 302,604 | 9,740,436 | ||||||
Sumitomo Mitsui Financial Group, Inc. | 339,500 | 11,522,847 | ||||||
Turkiye Is Bankasi – Class C | 2,849,730 | 6,757,130 | ||||||
Turkiye Vakiflar Bankasi Tao – Class D | 3,829,550 | 6,766,909 | ||||||
|
| |||||||
| 140,032,503 | ||||||||
|
| |||||||
Diversified Financial Services – 1.9% | ||||||||
ING Groep NV(a) | 1,551,040 | 13,668,730 | ||||||
ORIX Corp. | 84,240 | 8,118,596 | ||||||
|
| |||||||
| 21,787,326 | ||||||||
|
| |||||||
Insurance – 5.1% | ||||||||
Aegon NV(a) | 1,676,000 | 8,771,288 | ||||||
Allianz SE | 138,640 | 16,813,731 | ||||||
Aviva PLC | 465,280 | 2,722,914 | ||||||
Legal & General Group PLC | 6,230,020 | 11,952,015 | ||||||
Muenchener Rueckversicherungs AG | 75,960 | 11,075,714 | ||||||
Suncorp Group Ltd. | 675,580 | 5,906,105 | ||||||
|
| |||||||
| 57,241,767 | ||||||||
|
| |||||||
Real Estate Investment Trusts (REITs) – 0.1% | ||||||||
British Land Co. PLC | 84,696 | 632,196 | ||||||
|
| |||||||
Real Estate Management & Development – 0.8% | ||||||||
Evergrande Real Estate Group Ltd.(b) | 7,936,000 | 5,000,494 | ||||||
New World Development Co Ltd. | 3,136,836 | 4,323,653 | ||||||
|
| |||||||
| 9,324,147 | ||||||||
|
| |||||||
| 250,123,734 | ||||||||
|
| |||||||
| ALLIANCEBERNSTEIN POOLING PORTFOLIOS • | 53 |
International Value Portfolio—Portfolio of Investments
| Company | Shares | U.S. $ Value | ||||||
| ||||||||
Energy – 15.4% | ||||||||
Energy Equipment & Services – 0.8% | ||||||||
Seadrill Ltd. | 206,770 | $ | 8,562,033 | |||||
|
| |||||||
Oil, Gas & Consumable Fuels – 14.6% | ||||||||
BP PLC | 5,084,880 | 39,787,104 | ||||||
China Petroleum & Chemical Corp. – Class H | 7,802,000 | 8,863,807 | ||||||
ENI SpA | 410,260 | 9,435,705 | ||||||
Gazprom OAO (Sponsored ADR) | 1,940,170 | 25,610,244 | ||||||
JX Holdings, Inc. | 1,352,100 | 8,495,355 | ||||||
LUKOIL OAO (London) (Sponsored ADR)(b) | 219,770 | 14,010,338 | ||||||
Nexen, Inc. (Toronto) | 538,033 | 10,967,836 | ||||||
Petroleo Brasileiro SA (Sponsored ADR) | 629,050 | 17,921,634 | ||||||
PTT PCL | 440,500 | 5,283,380 | ||||||
Royal Dutch Shell PLC (Euronext Amsterdam) – Class A | 675,187 | 24,644,513 | ||||||
|
| |||||||
| 165,019,916 | ||||||||
|
| |||||||
| 173,581,949 | ||||||||
|
| |||||||
Materials – 12.9% | ||||||||
Chemicals – 3.9% | ||||||||
Agrium, Inc. (Toronto) | 105,080 | 8,939,951 | ||||||
Air Water, Inc. | 165,000 | 2,155,853 | ||||||
DIC Corp. | 1,557,000 | 3,224,188 | ||||||
Koninklijke DSM NV | 273,876 | 15,216,484 | ||||||
Mitsubishi Gas Chemical Co., Inc. | 620,000 | 3,935,413 | ||||||
OCI Co., Ltd.(b) | 33,890 | 8,098,221 | ||||||
Ube Industries Ltd./Japan | 960,000 | 2,784,183 | ||||||
|
| |||||||
| 44,354,293 | ||||||||
|
| |||||||
Metals & Mining – 9.0% | ||||||||
Anglo American PLC | 173,270 | 7,304,143 | ||||||
ArcelorMittal (Euronext Amsterdam) | 154,650 | 3,259,512 | ||||||
Dowa Holdings Co., Ltd. | 133,000 | 880,038 | ||||||
Exxaro Resources Ltd. | 154,110 | 4,304,230 | ||||||
JFE Holdings, Inc. | 200,500 | 4,336,838 | ||||||
KGHM Polska Miedz SA | 214,950 | 10,223,452 | ||||||
Kinross Gold Corp. | 382,180 | 4,229,492 | ||||||
New Gold, Inc.(a) | 164,592 | 1,922,971 | ||||||
OneSteel Ltd. | 2,822,393 | 3,188,775 | ||||||
Rio Tinto PLC | 254,170 | 14,418,898 | ||||||
ThyssenKrupp AG | 408,330 | 11,018,905 | ||||||
Vale SA (Sponsored ADR) (Local Preference Shares) | 1,130,830 | 27,795,801 | ||||||
Xstrata PLC | 412,690 | 7,877,818 | ||||||
|
| |||||||
| 100,760,873 | ||||||||
|
| |||||||
| 145,115,166 | ||||||||
|
| |||||||
| 54 | • ALLIANCEBERNSTEIN POOLING PORTFOLIOS |
International Value Portfolio—Portfolio of Investments
| Company | Shares | U.S. $ Value | ||||||
| ||||||||
Consumer Discretionary – 12.2% | ||||||||
Auto Components – 3.6% | ||||||||
Bridgestone Corp. | 452,600 | $ | 10,917,818 | |||||
Faurecia | 92,342 | 2,574,063 | ||||||
GKN PLC | 2,965,900 | 10,300,571 | ||||||
Magna International, Inc. – Class A | 197,800 | 9,421,713 | ||||||
NGK Spark Plug Co., Ltd. | 370,000 | 5,010,838 | ||||||
Sumitomo Rubber Industries Ltd. | 207,300 | 2,613,470 | ||||||
|
| |||||||
| 40,838,473 | ||||||||
|
| |||||||
Automobiles – 5.5% | ||||||||
Bayerische Motoren Werke AG | 67,710 | 6,252,063 | ||||||
Dongfeng Motor Group Co., Ltd. – Class H | 2,222,000 | 4,317,805 | ||||||
Kia Motors Corp. | 49,140 | 3,098,172 | ||||||
Mazda Motor Corp.(a)(b) | 3,561,000 | 5,924,524 | ||||||
Nissan Motor Co., Ltd. | 1,335,100 | 13,772,183 | ||||||
Renault SA | 254,880 | 13,450,088 | ||||||
Volkswagen AG (Preference Shares) | 81,890 | 15,288,824 | ||||||
|
| |||||||
| 62,103,659 | ||||||||
|
| |||||||
Distributors – 0.4% | ||||||||
Imperial Holdings Ltd. | 256,620 | 5,009,216 | ||||||
|
| |||||||
Household Durables – 1.6% | ||||||||
Sharp Corp./Japan | 1,360,000 | 9,609,259 | ||||||
Sony Corp. | 377,000 | 8,137,101 | ||||||
|
| |||||||
| 17,746,360 | ||||||||
|
| |||||||
Leisure Equipment & Products – 0.3% | ||||||||
Namco Bandai Holdings, Inc. | 197,500 | 2,772,126 | ||||||
|
| |||||||
Media – 0.5% | ||||||||
Fairfax Media Ltd.(b) | 3,170,950 | 2,704,597 | ||||||
Informa PLC | 418,700 | 2,884,518 | ||||||
|
| |||||||
| 5,589,115 | ||||||||
|
| |||||||
Textiles, Apparel & Luxury Goods – 0.3% | ||||||||
Yue Yuen Industrial Holdings Ltd. | 1,049,000 | 3,562,556 | ||||||
|
| |||||||
| 137,621,505 | ||||||||
|
| |||||||
Information Technology – 9.7% | ||||||||
Computers & Peripherals – 2.0% | ||||||||
Fujitsu Ltd. | 1,859,000 | 10,113,535 | ||||||
Lite-On Technology Corp. | 621,300 | 840,978 | ||||||
Pegatron Corp. | 2,027,000 | 2,743,335 | ||||||
Quanta Computer, Inc. | 1,276,000 | 3,141,523 | ||||||
Wistron Corp. | 3,628,000 | 6,020,404 | ||||||
|
| |||||||
| 22,859,775 | ||||||||
|
| |||||||
| ALLIANCEBERNSTEIN POOLING PORTFOLIOS • | 55 |
International Value Portfolio—Portfolio of Investments
| Company | Shares | U.S. $ Value | ||||||
| ||||||||
Electronic Equipment, Instruments & Components – 2.5% | ||||||||
AU Optronics Corp. | 20,511,790 | $ | 11,017,069 | |||||
LG Display Co., Ltd.(a) | 636,790 | 16,761,725 | ||||||
|
| |||||||
| 27,778,794 | ||||||||
|
| |||||||
Office Electronics – 0.3% | ||||||||
Konica Minolta Holdings, Inc. | 385,000 | 3,259,613 | ||||||
|
| |||||||
Semiconductors & Semiconductor Equipment – 4.6% | ||||||||
Advanced Semiconductor Engineering, Inc. | 15,912,314 | 15,477,760 | ||||||
GCL-Poly Energy Holdings Ltd.(b) | 20,442,000 | 6,958,439 | ||||||
Powertech Technology, Inc. | 778,800 | 1,779,386 | ||||||
Samsung Electronics Co., Ltd. | 23,890 | 25,690,426 | ||||||
Sumco Corp.(a)(b) | 233,700 | 2,527,958 | ||||||
|
| |||||||
| 52,433,969 | ||||||||
|
| |||||||
Software – 0.3% | ||||||||
Nintendo Co., Ltd. | 21,600 | 3,228,645 | ||||||
|
| |||||||
| 109,560,796 | ||||||||
|
| |||||||
Health Care – 6.3% | ||||||||
Pharmaceuticals – 6.3% | ||||||||
AstraZeneca PLC | 638,720 | 28,581,212 | ||||||
GlaxoSmithKline PLC | 525,790 | 11,618,814 | ||||||
Novartis AG | 250,070 | 13,630,359 | ||||||
Otsuka Holdings Co., Ltd. | 104,800 | 2,952,012 | ||||||
Roche Holding AG | 78,280 | 13,624,984 | ||||||
|
| |||||||
| 70,407,381 | ||||||||
|
| |||||||
Industrials – 5.9% | ||||||||
Aerospace & Defense – 0.4% | ||||||||
Saab AB | 206,600 | 4,176,285 | ||||||
|
| |||||||
Airlines – 0.7% | ||||||||
Cathay Pacific Airways Ltd. | 1,186,000 | 2,346,968 | ||||||
Deutsche Lufthansa (REG) | 427,400 | 5,935,548 | ||||||
|
| |||||||
| 8,282,516 | ||||||||
|
| |||||||
Building Products – 1.0% | ||||||||
Asahi Glass Co., Ltd. | 1,306,000 | 11,790,610 | ||||||
|
| |||||||
Construction & Engineering – 1.2% | ||||||||
Bouygues SA | 434,310 | 13,758,305 | ||||||
|
| |||||||
Electrical Equipment – 1.1% | ||||||||
Sumitomo Electric Industries Ltd. | 948,600 | 12,434,689 | ||||||
|
| |||||||
Industrial Conglomerates – 0.3% | ||||||||
Jardine Strategic Holdings Ltd. | 93,000 | 2,835,594 | ||||||
|
| |||||||
| 56 | • ALLIANCEBERNSTEIN POOLING PORTFOLIOS |
International Value Portfolio—Portfolio of Investments
| Company | Shares | U.S. $ Value | ||||||
| ||||||||
Machinery – 0.2% | ||||||||
IHI Corp. | 1,003,000 | $ | 2,547,542 | |||||
|
| |||||||
Marine – 0.3% | ||||||||
AP Moller – Maersk A/S (Line of B Shares) | 357 | 2,870,987 | ||||||
|
| |||||||
Trading Companies & | ||||||||
Mitsubishi Corp. | 326,500 | 8,023,825 | ||||||
|
| |||||||
| 66,720,353 | ||||||||
|
| |||||||
Telecommunication Services – 5.9% | ||||||||
Diversified Telecommunication Services – 4.0% | ||||||||
Chorus Ltd.(a) | 13,384 | 36,458 | ||||||
Nippon Telegraph & Telephone Corp. | 452,500 | 21,300,249 | ||||||
Telecom Italia SpA (ordinary shares) | 9,707,700 | 11,151,862 | ||||||
Telecom Italia SpA (savings shares) | 4,931,400 | 4,644,168 | ||||||
Vivendi SA | 356,050 | 7,631,688 | ||||||
|
| |||||||
| 44,764,425 | ||||||||
|
| |||||||
Wireless Telecommunication Services – 1.9% | ||||||||
China Mobile Ltd. | 328,000 | 3,491,077 | ||||||
NTT DoCoMo, Inc. | 1,319 | 2,249,856 | ||||||
Vodafone Group PLC | 5,995,507 | 16,151,409 | ||||||
|
| |||||||
| 21,892,342 | ||||||||
|
| |||||||
| 66,656,767 | ||||||||
|
| |||||||
Consumer Staples – 5.0% | ||||||||
Beverages – 0.6% | ||||||||
Asahi Group Holdings Ltd. | 305,400 | 6,690,404 | ||||||
|
| |||||||
Food & Staples Retailing – 1.7% | ||||||||
Delhaize Group SA | 110,289 | 6,058,429 | ||||||
Empire Co., Ltd. | 41,800 | 2,407,582 | ||||||
Koninklijke Ahold NV | 759,400 | 10,486,518 | ||||||
|
| |||||||
| 18,952,529 | ||||||||
|
| |||||||
Food Products – 0.3% | ||||||||
Nestle SA | 49,420 | 3,021,280 | ||||||
|
| |||||||
Tobacco – 2.4% | ||||||||
Imperial Tobacco Group PLC | 284,720 | 11,274,030 | ||||||
Japan Tobacco, Inc. | 3,039 | 16,144,607 | ||||||
|
| |||||||
| 27,418,637 | ||||||||
|
| |||||||
| 56,082,850 | ||||||||
|
| |||||||
Utilities – 3.1% | ||||||||
Electric Utilities – 1.5% | ||||||||
E.ON AG | 457,620 | 10,491,055 | ||||||
| ALLIANCEBERNSTEIN POOLING PORTFOLIOS • | 57 |
International Value Portfolio—Portfolio of Investments
| Company | Shares | U.S. $ Value | ||||||
| ||||||||
EDP – Energias de Portugal SA | 2,210,300 | $ | 6,424,421 | |||||
|
| |||||||
| 16,915,476 | ||||||||
|
| |||||||
Gas Utilities – 1.0% | ||||||||
Gas Natural SDG SA | 652,280 | 11,031,114 | ||||||
|
| |||||||
Multi-Utilities – 0.6% | ||||||||
National Grid PLC | 684,740 | 6,973,824 | ||||||
|
| |||||||
| 34,920,414 | ||||||||
|
| |||||||
Total Common Stocks | 1,110,790,915 | |||||||
|
| |||||||
SHORT-TERM INVESTMENTS – 0.5% | ||||||||
Investment Companies – 0.5% | ||||||||
AllianceBernstein Fixed-Income Shares, Inc. – Government STIF Portfolio, 0.09%(c) | 5,857,075 | 5,857,075 | ||||||
|
| |||||||
Total Investments Before Security Lending Collateral for Securities Loaned – 99.1% | 1,116,647,990 | |||||||
|
| |||||||
INVESTMENTS OF CASH COLLATERAL FOR SECURITY LOANED – 2.2% | ||||||||
Investment Companies – 2.2% | ||||||||
AllianceBernstein Exchange Reserves – Class I, 0.22%(c) | 24,451,319 | 24,451,319 | ||||||
|
| |||||||
Total Investments – 101.3% | 1,141,099,309 | |||||||
Other assets less liabilities – (1.3)% | (14,525,402 | ) | ||||||
|
| |||||||
Net Assets – 100.0% | $ | 1,126,573,907 | ||||||
|
| |||||||
FUTURES CONTRACTS (see Note C)
| Type | Number of Contracts | Expiration Month | Original Value | Value at February 29, 2012 | Unrealized Appreciation/ (Depreciation) | |||||||||||||||
Purchased Contracts |
| |||||||||||||||||||
EURO STOXX 50 Futures | 143 | March 2012 | $ | 4,343,604 | $ | 4,782,023 | $ | 438,419 | ||||||||||||
Topix Index Futures | 38 | March 2012 | 3,467,971 | 3,896,297 | 428,326 | |||||||||||||||
|
| |||||||||||||||||||
| $ | 866,745 | |||||||||||||||||||
|
| |||||||||||||||||||
| 58 | • ALLIANCEBERNSTEIN POOLING PORTFOLIOS |
International Value Portfolio—Portfolio of Investments
FORWARD CURRENCY EXCHANGE CONTRACTS (see Note C)
| Counterparty & Description | Contract Amount (000) | U.S. $ Value on Origination Date | U.S. $ Value at February 29, 2012 | Unrealized Appreciation/ (Depreciation) | ||||||||||||
Buy Contracts | ||||||||||||||||
Citibank NA: | ||||||||||||||||
Australian Dollar settling 5/15/12 | 13,006 | $ | 13,926,500 | $ | 13,831,503 | $ | (94,997 | ) | ||||||||
Swiss Franc settling 5/15/12 | 15,255 | 16,731,634 | 16,876,448 | 144,814 | ||||||||||||
Credit Suisse London Branch (GFX): | ||||||||||||||||
Australian Dollar settling 5/15/12 | 32,871 | 34,717,693 | 34,957,352 | 239,659 | ||||||||||||
Deutsche Bank AG London: | ||||||||||||||||
Norwegian Krone settling 5/15/12 | 282,848 | 48,875,603 | 50,446,881 | 1,571,278 | ||||||||||||
HSBC BankUSA: | ||||||||||||||||
Norwegian Krone settling 5/15/12 | 34,375 | 5,940,089 | 6,130,895 | 190,806 | ||||||||||||
Royal Bank of Scotland PLC: | ||||||||||||||||
Swedish Krona settling 5/15/12 | 94,333 | 14,068,004 | 14,215,821 | 147,817 | ||||||||||||
State Street Bank and Trust Co.: | ||||||||||||||||
Great British Pound settling 5/15/12 | 5,975 | 9,475,753 | 9,500,529 | 24,776 | ||||||||||||
UBS AG: | ||||||||||||||||
Australian Dollar settling 5/15/12 | 48,837 | 50,111,499 | 51,936,728 | 1,825,229 | ||||||||||||
Japanese Yen settling 5/15/12 | 777,690 | 10,028,796 | 9,573,206 | (455,590 | ) | |||||||||||
Swedish Krona settling 5/15/12 | 279,822 | 41,892,657 | 42,168,695 | 276,038 | ||||||||||||
Westpac Banking Corp.: | ||||||||||||||||
New Zealand Dollar settling 5/15/12 | 20,489 | 16,244,458 | 17,008,697 | 764,239 | ||||||||||||
New Zealand Dollar settling 5/15/12 | 47,216 | 38,823,356 | 39,195,793 | 372,437 | ||||||||||||
Sale Contracts | ||||||||||||||||
Bank of America NA: | ||||||||||||||||
Canadian Dollar settling 5/15/12 | 32,043 | 31,909,459 | 32,330,575 | (421,116 | ) | |||||||||||
Barclays Bank PLC Wholesale: | ||||||||||||||||
Euro settling 5/15/12 | 49,547 | 63,170,939 | 66,033,858 | (2,862,919 | ) | |||||||||||
Credit Suisse London Branch (GFX): | ||||||||||||||||
Japanese Yen settling 5/15/12 | 1,742,493 | 22,710,534 | 21,449,735 | 1,260,799 | ||||||||||||
Deutsche Bank AG London: | ||||||||||||||||
Euro settling 5/15/12 | 42,599 | 56,183,821 | 56,773,897 | (590,076 | ) | |||||||||||
Goldman Sachs International: | ||||||||||||||||
Euro settling 5/15/12 | 57,294 | 75,890,487 | 76,358,687 | (468,200 | ) | |||||||||||
UBS AG: | ||||||||||||||||
Japanese Yen settling 5/15/12 | 2,568,548 | 33,434,405 | 31,618,305 | 1,816,100 | ||||||||||||
Swiss Franc settling 5/15/12 | 13,756 | 15,001,500 | 15,218,121 | (216,621 | ) | |||||||||||
| ALLIANCEBERNSTEIN POOLING PORTFOLIOS • | 59 |
International Value Portfolio—Portfolio of Investments
| Counterparty & Description | Contract Amount (000) | U.S. $ Value on Origination Date | U.S. $ Value at February 29, 2012 | Unrealized Appreciation/ (Depreciation) | ||||||||||||
Swiss Franc settling 5/15/12 | 15,255 | $ | 16,636,222 | $ | 16,876,448 | $ | (240,226 | ) | ||||||||
|
| |||||||||||||||
| $ | 3,284,247 | |||||||||||||||
|
| |||||||||||||||
| (a) | Non-income producing security. |
| (b) | Represents entire or partial securities out on loan. See Note D for securities lending information. |
| (c) | Investment in affiliated money market mutual fund. The rate shown represents the 7-day yield as of period end. |
Glossary:
| ADR | – American Depositary Receipt |
| REG | – Registered Shares |
See notes to financial statements.
| 60 | • ALLIANCEBERNSTEIN POOLING PORTFOLIOS |
International Value Portfolio—Portfolio of Investments
INTERNATIONAL GROWTH PORTFOLIO
PORTFOLIO OF INVESTMENTS
February 29, 2012 (unaudited)
| Company | Shares | U.S. $ Value | ||||||
| ||||||||
COMMON STOCKS – 99.3% | ||||||||
Financials – 27.5% | ||||||||
Capital Markets – 1.3% | ||||||||
UBS AG(a) | 1,086,113 | $ | 15,210,609 | |||||
|
| |||||||
Commercial Banks – 13.6% | ||||||||
Banco Bilbao Vizcaya Argentaria SA | 1,121,137 | 10,036,838 | ||||||
Banco Santander Brasil SA/Brazil (ADR) | 1,549,700 | 16,550,796 | ||||||
Banco Santander Chile (ADR) | 135,330 | 10,963,083 | ||||||
Banco Santander SA | 1,057,002 | 8,749,501 | ||||||
BNP Paribas SA | 292,300 | 14,225,236 | ||||||
HDFC Bank Ltd. | 1,507,000 | 15,959,330 | ||||||
HSBC Holdings PLC | 2,223,350 | 19,697,882 | ||||||
Intesa Sanpaolo SpA | 7,468,940 | 14,558,792 | ||||||
Itau Unibanco Holding SA (ADR) | 1,310,240 | 27,580,552 | ||||||
Sberbank of Russia (Sponsored ADR)(a) | 218,223 | 2,989,655 | ||||||
Standard Chartered PLC | 441,492 | 11,357,648 | ||||||
|
| |||||||
| 152,669,313 | ||||||||
|
| |||||||
Consumer Finance – 1.4% | ||||||||
Shriram Transport Finance Co., Ltd. | 1,405,030 | 15,692,183 | ||||||
|
| |||||||
Diversified Financial Services – 0.9% | ||||||||
IG Group Holdings PLC | 1,476,050 | 10,390,507 | ||||||
|
| |||||||
Insurance – 5.4% | ||||||||
Admiral Group PLC | 1,021,773 | 17,507,052 | ||||||
AIA Group Ltd. | 6,444,600 | 24,326,004 | ||||||
Lancashire Holdings Ltd. | 544,090 | 6,619,208 | ||||||
Prudential PLC | 1,024,310 | 11,620,880 | ||||||
|
| |||||||
| 60,073,144 | ||||||||
|
| |||||||
Real Estate Management & Development – 4.0% | ||||||||
Daito Trust Construction Co., Ltd. | 192,600 | 16,994,672 | ||||||
Hang Lung Group Ltd. | 482,800 | 3,251,227 | ||||||
Hang Lung Properties Ltd. | 6,428,000 | 24,269,315 | ||||||
|
| |||||||
| 44,515,214 | ||||||||
|
| |||||||
Thrifts & Mortgage Finance – 0.9% | ||||||||
Housing Development Finance Corp. | 716,810 | 9,674,936 | ||||||
|
| |||||||
| 308,225,906 | ||||||||
|
| |||||||
Consumer Discretionary – 20.6% | ||||||||
Distributors – 3.0% | ||||||||
Li & Fung Ltd.(b) | 14,886,000 | 34,097,740 | ||||||
|
| |||||||
Diversified Consumer Services – 2.4% | ||||||||
Anhanguera Educacional Participacoes SA | 553,300 | 7,272,081 | ||||||
Estacio Participacoes SA | 1,636,500 | 19,850,514 | ||||||
|
| |||||||
| 27,122,595 | ||||||||
|
| |||||||
| ALLIANCEBERNSTEIN POOLING PORTFOLIOS • | 61 |
International Growth Portfolio—Portfolio of Investments
| Company | Shares | U.S. $ Value | ||||||
| ||||||||
Hotels, Restaurants & Leisure – 2.5% | ||||||||
Ajisen China Holdings Ltd.(b) | 7,155,800 | $ | 9,792,370 | |||||
Sands China Ltd. | 3,539,600 | 13,195,341 | ||||||
Shangri-La Asia Ltd. | 1,978,333 | 4,935,266 | ||||||
|
| |||||||
| 27,922,977 | ||||||||
|
| |||||||
Household Durables – 1.4% | ||||||||
MRV Engenharia e Participacoes SA | 1,914,900 | 15,444,091 | ||||||
|
| |||||||
Internet & Catalog Retail – 0.4% | ||||||||
Rakuten, Inc. | 4,439 | 4,411,987 | ||||||
|
| |||||||
Media – 0.3% | ||||||||
Naspers Ltd. | 52,950 | 2,920,161 | ||||||
|
| |||||||
Multiline Retail – 2.3% | ||||||||
Don Quijote Co., Ltd. | 214,200 | 7,394,551 | ||||||
Golden Eagle Retail Group Ltd.(b) | 7,444,000 | 18,319,618 | ||||||
|
| |||||||
| 25,714,169 | ||||||||
|
| |||||||
Specialty Retail – 6.6% | ||||||||
Belle International Holdings Ltd. | 9,959,000 | 16,270,527 | ||||||
Fast Retailing Co., Ltd.(b) | 13,800 | 2,864,147 | ||||||
Hennes & Mauritz AB – Class B | 710,657 | 25,582,802 | ||||||
L’Occitane International SA(b) | 2,033,750 | 4,822,723 | ||||||
Nitori Holdings Co., Ltd. | 87,300 | 7,382,537 | ||||||
Yamada Denki Co., Ltd. | 267,430 | 17,403,112 | ||||||
|
| |||||||
| 74,325,848 | ||||||||
|
| |||||||
Textiles, Apparel & Luxury Goods – 1.7% | ||||||||
Cie Financiere Richemont SA | 64,860 | 3,977,516 | ||||||
Trinity Ltd. | 19,160,000 | 15,089,810 | ||||||
|
| |||||||
| 19,067,326 | ||||||||
|
| |||||||
| 231,026,894 | ||||||||
|
| |||||||
Industrials – 11.8% | ||||||||
Air Freight & Logistics – 0.9% | ||||||||
Kuehne & Nagel International AG | 76,897 | 10,133,041 | ||||||
|
| |||||||
Commercial Services & Supplies – 1.9% | ||||||||
Aggreko PLC | 313,068 | 10,997,960 | ||||||
Edenred | 161,821 | 4,309,621 | ||||||
Serco Group PLC | 656,170 | 5,784,588 | ||||||
|
| |||||||
| 21,092,169 | ||||||||
|
| |||||||
Construction & Engineering – 0.7% | ||||||||
Larsen & Toubro Ltd. | 300,650 | 7,982,722 | ||||||
|
| |||||||
Industrial Conglomerates – 0.5% | ||||||||
Keppel Corp., Ltd. | 695,000 | 6,119,446 | ||||||
|
| |||||||
| 62 | • ALLIANCEBERNSTEIN POOLING PORTFOLIOS |
International Growth Portfolio—Portfolio of Investments
| Company | Shares | U.S. $ Value | ||||||
| ||||||||
Professional Services – 6.3% | ||||||||
Bureau Veritas SA | 181,490 | $ | 14,957,357 | |||||
Capita PLC(b) | 1,911,610 | 23,280,832 | ||||||
Experian PLC | 366,180 | 5,493,876 | ||||||
Intertek Group PLC | 727,671 | 26,738,509 | ||||||
|
| |||||||
| 70,470,574 | ||||||||
|
| |||||||
Road & Rail – 1.5% | ||||||||
DSV A/S | 210,847 | 4,899,201 | ||||||
Localiza Rent a Car SA | 625,900 | 11,561,245 | ||||||
|
| |||||||
| 16,460,446 | ||||||||
|
| |||||||
| 132,258,398 | ||||||||
|
| |||||||
Consumer Staples – 11.7% | ||||||||
Beverages – 1.8% | ||||||||
Anheuser-Busch InBev NV | 300,497 | 20,187,746 | ||||||
|
| |||||||
Food & Staples Retailing – 4.4% | ||||||||
Jeronimo Martins SGPS SA(a) | 780,575 | 14,371,535 | ||||||
Olam International Ltd. | 18,212,370 | 34,473,345 | ||||||
|
| |||||||
| 48,844,880 | ||||||||
|
| |||||||
Personal Products – 1.0% | ||||||||
Natura Cosmeticos SA | 498,500 | 11,753,830 | ||||||
|
| |||||||
Tobacco – 4.5% | ||||||||
British American Tobacco PLC | 513,424 | 25,897,335 | ||||||
Japan Tobacco, Inc. | 2,187 | 11,618,379 | ||||||
KT&G Corp. | 194,560 | 12,730,378 | ||||||
|
| |||||||
| 50,246,092 | ||||||||
|
| |||||||
| 131,032,548 | ||||||||
|
| |||||||
Energy – 11.4% | ||||||||
Energy Equipment & Services – 3.6% | ||||||||
AMEC PLC | 1,073,411 | 18,881,965 | ||||||
Saipem SpA | 109,550 | 5,537,240 | ||||||
Technip SA | 151,570 | 16,526,386 | ||||||
|
| |||||||
| 40,945,591 | ||||||||
|
| |||||||
Oil, Gas & Consumable Fuels – 7.8% | ||||||||
Afren PLC(a) | 5,374,906 | 11,421,069 | ||||||
BG Group PLC | 1,377,200 | 33,236,398 | ||||||
NovaTek OAO (Sponsored GDR)(c) | 57,720 | 8,375,172 | ||||||
Suncor Energy, Inc. (New York) | 482,040 | 17,324,518 | ||||||
Total SA | 298,900 | 16,720,619 | ||||||
|
| |||||||
| 87,077,776 | ||||||||
|
| |||||||
| 128,023,367 | ||||||||
|
| |||||||
| ALLIANCEBERNSTEIN POOLING PORTFOLIOS • | 63 |
International Growth Portfolio—Portfolio of Investments
| Company | Shares | U.S. $ Value | ||||||
| ||||||||
Materials – 6.5% | ||||||||
Chemicals – 2.4% | ||||||||
Filtrona PLC | 1,006,234 | $ | 7,194,589 | |||||
Orica Ltd. | 303,003 | 8,812,376 | ||||||
Potash Corp. of Saskatchewan, Inc. | 242,176 | 11,273,293 | ||||||
|
| |||||||
| 27,280,258 | ||||||||
|
| |||||||
Metals & Mining – 4.1% | ||||||||
BHP Billiton PLC | 338,530 | 10,948,971 | ||||||
Newcrest Mining Ltd. | 150,330 | 5,365,162 | ||||||
Randgold Resources Ltd. | 46,180 | 5,288,981 | ||||||
Rio Tinto PLC | 421,440 | 23,908,016 | ||||||
|
| |||||||
| 45,511,130 | ||||||||
|
| |||||||
| 72,791,388 | ||||||||
|
| |||||||
Information Technology – 6.2% | ||||||||
Internet Software & Services – 2.3% | ||||||||
Baidu, Inc./China (Sponsored ADR)(a) | 83,511 | 11,415,953 | ||||||
Telecity Group PLC(a) | 1,264,159 | 13,838,788 | ||||||
|
| |||||||
| 25,254,741 | ||||||||
|
| |||||||
Semiconductors & Semiconductor Equipment – 1.8% | ||||||||
Samsung Electronics Co., Ltd. (Preference Shares) | 32,740 | 20,478,980 | ||||||
|
| |||||||
Software – 2.1% | ||||||||
SAP AG | 137,140 | 9,258,736 | ||||||
Temenos Group AG(a)(b) | 720,752 | 14,153,767 | ||||||
|
| |||||||
| 23,412,503 | ||||||||
|
| |||||||
| 69,146,224 | ||||||||
|
| |||||||
Health Care – 3.6% | ||||||||
Pharmaceuticals – 3.6% | ||||||||
Aspen Pharmacare Holdings Ltd.(a) | 835,724 | 12,070,250 | ||||||
Novo Nordisk A/S – Class B | 124,680 | 17,477,364 | ||||||
Shire PLC | 290,340 | 10,126,045 | ||||||
|
| |||||||
| 39,673,659 | ||||||||
|
| |||||||
Total Common Stocks | 1,112,178,384 | |||||||
|
| |||||||
SHORT-TERM INVESTMENTS – 0.1% | ||||||||
Investment Companies – 0.1% | ||||||||
AllianceBernstein Fixed-Income Shares, Inc. – Government STIF Portfolio, 0.09%(d) | 1,360,989 | 1,360,989 | ||||||
|
| |||||||
Total Investments Before Security Lending Collateral for Securities Loaned – 99.4% | 1,113,539,373 | |||||||
|
| |||||||
| 64 | • ALLIANCEBERNSTEIN POOLING PORTFOLIOS |
International Growth Portfolio—Portfolio of Investments
| Company | Shares | U.S. $ Value | ||||||
| ||||||||
INVESTMENTS OF CASH COLLATERAL FOR SECURITY LOANED – 2.8% | ||||||||
Investment Companies – 2.8% | ||||||||
AllianceBernstein Exchange Reserves – Class I, 0.22%(d) | 31,106,287 | $ | 31,106,287 | |||||
|
| |||||||
Total Investments – 102.2% | 1,144,645,660 | |||||||
Other assets less liabilities – (2.2)% | (24,182,352 | ) | ||||||
|
| |||||||
Net Assets – 100.0% | $ | 1,120,463,308 | ||||||
|
| |||||||
FORWARD CURRENCY EXCHANGE CONTRACTS (see Note C)
| Counterparty & Description | Contract Amount (000) | U.S. $ Value on Origination Date | U.S. $ Value at February 29, 2012 | Unrealized Appreciation/ (Depreciation) | ||||||||||||
Buy Contracts | ||||||||||||||||
Barclays Bank PLC Wholesale: | ||||||||||||||||
Brazilian Real settling 5/03/12 | 15,271 | $ | 8,658,502 | $ | 8,764,104 | $ | 105,602 | |||||||||
Japanese Yen settling 3/15/12 | 589,263 | 7,700,358 | 7,249,675 | (450,683 | ) | |||||||||||
Japanese Yen settling 6/15/12 | 706,330 | 9,114,088 | 8,697,807 | (416,281 | ) | |||||||||||
Singapore Dollar settling 3/15/12 | 20,505 | 15,876,887 | 16,395,584 | 518,697 | ||||||||||||
Citibank NA: | ||||||||||||||||
Australian Dollar settling 3/15/12 | 13,266 | 13,486,468 | 14,206,168 | 719,700 | ||||||||||||
Credit Suisse London Branch (GFX): | ||||||||||||||||
Great British Pound settling 3/15/12 | 7,878 | 12,404,462 | 12,531,954 | 127,492 | ||||||||||||
Deutsche Bank AG London: | ||||||||||||||||
Euro settling 3/15/12 | 31,475 | 42,565,027 | 41,936,237 | (628,790 | ) | |||||||||||
Swiss Franc settling 3/15/12 | 10,528 | 11,499,049 | 11,638,572 | 139,523 | ||||||||||||
Goldman Sachs International: | ||||||||||||||||
Japanese Yen settling 3/15/12 | 1,373,317 | 17,884,992 | 16,895,855 | (989,137 | ) | |||||||||||
HSBC BankUSA: | ||||||||||||||||
Hong Kong Dollar settling 3/15/12 | 70,140 | 9,032,491 | 9,043,323 | 10,832 | ||||||||||||
Norwegian Krone settling 3/15/12 | 36,576 | 6,071,885 | 6,540,214 | 468,329 | ||||||||||||
Morgan Stanley and Co. Inc.: | ||||||||||||||||
Japanese Yen settling 3/15/12 | 1,559,986 | 20,084,019 | 19,192,435 | (891,584 | ) | |||||||||||
Royal Bank of Canada: | ||||||||||||||||
Norwegian Krone settling 6/15/12 | 42,116 | 7,551,920 | 7,502,029 | (49,891 | ) | |||||||||||
Royal Bank of Scotland PLC: | ||||||||||||||||
Canadian Dollar settling 6/15/12 | 14,040 | 14,174,659 | 14,155,650 | (19,009 | ) | |||||||||||
Great British Pound settling 3/15/12 | 10,747 | 16,392,936 | 17,095,825 | 702,889 | ||||||||||||
Great British Pound settling 3/15/12 | 8,562 | 13,541,231 | 13,620,029 | 78,798 | ||||||||||||
Japanese Yen settling 3/15/12 | 4,138,713 | 53,545,075 | 50,918,392 | (2,626,683 | ) | |||||||||||
Japanese Yen settling 6/15/12 | 391,665 | 5,151,792 | 4,822,996 | (328,796 | ) | |||||||||||
| ALLIANCEBERNSTEIN POOLING PORTFOLIOS • | 65 |
International Growth Portfolio—Portfolio of Investments
| Counterparty & Description | Contract Amount (000) | U.S. $ Value on Origination Date | U.S. $ Value at February 29, 2012 | Unrealized Appreciation/ (Depreciation) | ||||||||||||
Standard Chartered Bank: | ||||||||||||||||
Australian Dollar settling 3/15/12 | 6,713 | $ | 6,783,285 | $ | 7,188,753 | $ | 405,468 | |||||||||
Euro settling 3/15/12 | 9,968 | 13,284,653 | 13,281,030 | (3,623 | ) | |||||||||||
Singapore Dollar settling 6/15/12 | 6,922 | 5,549,298 | 5,536,570 | (12,728 | ) | |||||||||||
UBS AG: | ||||||||||||||||
Canadian Dollar settling 3/15/12 | 69,910 | 68,385,683 | 70,634,177 | 2,248,494 | ||||||||||||
Canadian Dollar settling 3/15/12 | 14,760 | 14,438,173 | 14,912,894 | 474,721 | ||||||||||||
Westpac Banking Corp: | ||||||||||||||||
Australian Dollar settling 3/15/12 | 5,254 | 5,256,049 | 5,626,353 | 370,304 | ||||||||||||
Sale Contracts | ||||||||||||||||
Bank of America NA: | ||||||||||||||||
Canadian Dollar settling 3/15/12 | 35,242 | 35,145,175 | 35,607,061 | (461,886 | ) | |||||||||||
Euro settling 3/15/12 | 41,443 | 52,725,857 | 55,217,268 | (2,491,411 | ) | |||||||||||
Hong Kong Dollar settling 6/15/12 | 30,240 | 3,899,916 | 3,899,702 | 214 | ||||||||||||
Barclays Bank PLC Wholselale: | ||||||||||||||||
Hong Kong Dollar settling 3/15/12 | 67,206 | 8,663,280 | 8,665,035 | (1,755 | ) | |||||||||||
Indian Rupee settling 3/15/12 | 274,109 | 5,542,034 | 5,568,456 | (26,422 | ) | |||||||||||
Japanese Yen settling 3/15/12 | 3,187,327 | 39,313,557 | 39,213,534 | 100,023 | ||||||||||||
Citibank NA: | ||||||||||||||||
Canadian Dollar settling 3/15/12 | 5,355 | 5,352,896 | 5,410,471 | (57,575 | ) | |||||||||||
Japanese Yen settling 3/15/12 | 1,682,592 | 21,877,614 | 20,700,850 | 1,176,764 | ||||||||||||
Swiss Franc settling 3/15/12 | 10,528 | 11,011,447 | 11,638,572 | (627,125 | ) | |||||||||||
Credit Suisse London Branch (GFX): | ||||||||||||||||
Canadian Dollar settling 3/15/12 | 14,760 | 14,511,562 | 14,912,894 | (401,332 | ) | |||||||||||
Norwegian Krone settling 3/15/12 | 36,576 | 6,259,407 | 6,540,214 | (280,807 | ) | |||||||||||
Deutsche Bank AG London: | ||||||||||||||||
Great British Pound settling 3/15/12 | 5,348 | 8,291,582 | 8,507,349 | (215,767 | ) | |||||||||||
Goldman Sachs International: | ||||||||||||||||
Great British Pound settling 3/15/12 | 25,974 | 40,088,012 | 41,318,225 | (1,230,213 | ) | |||||||||||
HSBC BankUSA: | ||||||||||||||||
Brazilian Real settling 5/03/12 | 34,525 | 19,409,152 | 19,814,072 | (404,920 | ) | |||||||||||
Great British Pound settling 3/15/12 | 34,000 | 53,213,060 | 54,085,611 | (872,551 | ) | |||||||||||
Hong Kong Dollar settling 3/15/12 | 440,953 | 56,702,544 | 56,853,156 | (150,612 | ) | |||||||||||
Morgan Stanley and Co. Inc.: | ||||||||||||||||
Japanese Yen settling 3/15/12 | 1,134,806 | 14,721,107 | 13,961,465 | 759,642 | ||||||||||||
Standard Chartered Bank: | ||||||||||||||||
Hong Kong Dollar settling 6/15/12 | 25,368 | 3,271,598 | 3,271,417 | 181 | ||||||||||||
Indian Rupee settling 6/15/12 | 159,939 | 3,139,136 | 3,182,129 | (42,993 | ) | |||||||||||
Singapore Dollar settling 3/15/12 | 5,779 | 4,462,514 | 4,620,828 | (158,314 | ) | |||||||||||
UBS AG: | ||||||||||||||||
Euro settling 6/15/12 | 3,949 | 5,289,713 | 5,264,027 | 25,686 | ||||||||||||
|
| |||||||||||||||
| $ | (5,407,529 | ) | ||||||||||||||
|
| |||||||||||||||
| (a) | Non-income producing security. |
| (b) | Represents entire or partial securities out on loan. See Note D for securities lending information. |
| (c) | Security is exempt from registration under Rule 144A of the Securities Act of 1933. This security is considered liquid and may be resold in transactions exempt from registration, normally to qualified institutional buyers. At February 29, 2012, the market value of this security amounted to $8,375,172 or 0.7% of net assets. |
| 66 | • ALLIANCEBERNSTEIN POOLING PORTFOLIOS |
International Growth Portfolio—Portfolio of Investments
| (d) | Investment in affiliated money market mutual fund. The rate shown represents the 7-day yield as of period end. |
Glossary:
| ADR | – American Depositary Receipt |
| GDR | – Global Depositary Receipt |
See notes to financial statements.
| ALLIANCEBERNSTEIN POOLING PORTFOLIOS • | 67 |
International Growth Portfolio—Portfolio of Investments
SHORT DURATION BOND PORTFOLIO
PORTFOLIO OF INVESTMENTS
February 29, 2012 (unaudited)
| Principal Amount (000) | U.S. $ Value | |||||||||
| ||||||||||
GOVERNMENTS - TREASURIES – 43.9% | ||||||||||
Canada – 4.0% | ||||||||||
Canadian Government Bond 1.00%, 2/01/14 | CAD | 37,840 | $ | 38,166,982 | ||||||
|
| |||||||||
United States – 39.9% | ||||||||||
U.S. Treasury Notes | U.S.$ | 43,320 | 43,278,849 | |||||||
0.50%, 10/15/14 | 10,225 | 10,253,753 | ||||||||
0.625%, 4/30/13 | 33,270 | 33,425,970 | ||||||||
0.75%, 8/15/13 | 37,505 | 37,771,623 | ||||||||
1.00%, 8/31/16-10/31/16 | 49,892 | 50,373,029 | ||||||||
1.375%, 11/15/12-1/15/13 | 157,201 | 158,558,261 | ||||||||
2.875%, 1/31/13 | 44,685 | 45,784,653 | ||||||||
|
| |||||||||
| 379,446,138 | ||||||||||
|
| |||||||||
Total Governments – Treasuries | 417,613,120 | |||||||||
|
| |||||||||
ASSET-BACKED SECURITIES – 16.0% | ||||||||||
Autos - Fixed Rate – 4.9% | ||||||||||
Bank of America Auto Trust | 8,610 | 8,746,171 | ||||||||
BMW Vehicle Lease Trust | 4,712 | 4,712,201 | ||||||||
Chrysler Financial Auto Securitization Trust | 1,408 | 1,415,848 | ||||||||
Ford Auto Securitization Trust | CAD | 2,058 | 2,107,685 | |||||||
Ford Credit Auto Lease Trust | U.S.$ | 171 | 171,359 | |||||||
Hyundai Auto Lease Securitization Trust | 2,089 | 2,089,371 | ||||||||
Mercedes-Benz Auto Lease Trust | 3,075 | 3,075,830 | ||||||||
Series 2011-B, Class A2 | 3,285 | 3,287,411 | ||||||||
Mercedes-Benz Auto Receivables Trust | 7,560 | 7,680,807 | ||||||||
| 68 | • ALLIANCEBERNSTEIN POOLING PORTFOLIOS |
Short Duration Bond Portfolio—Portfolio of Investments
| Principal Amount (000) | U.S. $ Value | |||||||||
| ||||||||||
Nissan Auto Receivables Owner Trust | U.S.$ | 3,628 | $ | 3,635,272 | ||||||
Porsche Innovative Lease Owner Trust | 3,988 | 3,992,458 | ||||||||
SMART Trust/Australia | 4,580 | 4,580,207 | ||||||||
Volkswagen Auto Lease Trust | 1,459 | 1,459,693 | ||||||||
|
| |||||||||
| 46,954,313 | ||||||||||
|
| |||||||||
Credit Cards - Floating Rate – 4.0% | ||||||||||
Capital One Multi-Asset Execution Trust | 6,000 | 5,992,928 | ||||||||
Chase Issuance Trust | 5,010 | 5,009,845 | ||||||||
Citibank Omni Master Trust | 4,135 | 4,147,238 | ||||||||
Discover Card Master Trust | 3,835 | 3,848,466 | ||||||||
Series 2009-A2, Class A | 1,320 | 1,326,926 | ||||||||
Series 2010-A1, Class A1 | 7,206 | 7,248,257 | ||||||||
GE Capital Credit Card Master Note Trust | 2,700 | 2,722,074 | ||||||||
Penarth Master Issuer PLC | 7,390 | 7,406,205 | ||||||||
|
| |||||||||
| 37,701,939 | ||||||||||
|
| |||||||||
Autos - Floating Rate – 3.1% | ||||||||||
BMW Floorplan Master Owner Trust | 4,360 | 4,381,925 | ||||||||
Ford Credit Floorplan Master Owner Trust | 6,070 | 6,135,178 | ||||||||
Series 2010-3, Class A2 | 3,025 | 3,123,450 | ||||||||
Series 2012-1, Class A | 4,546 | 4,546,432 | ||||||||
| ALLIANCEBERNSTEIN POOLING PORTFOLIOS • | 69 |
Short Duration Bond Portfolio—Portfolio of Investments
| Principal Amount (000) | U.S. $ Value | |||||||||
| ||||||||||
GE Dealer Floorplan Master Note Trust | U.S.$ | 5,438 | $ | 5,481,532 | ||||||
Hyundai Floorplan Master Owner Trust | 3,765 | 3,782,844 | ||||||||
Wheels SPV LLC | 2,080 | 2,084,596 | ||||||||
|
| |||||||||
| 29,535,957 | ||||||||||
|
| |||||||||
Other ABS - Floating Rate – 1.8% | ||||||||||
CNH Wholesale Master Note Trust | 14,000 | 14,067,138 | ||||||||
GE Dealer Floorplan Master Note Trust | 3,510 | 3,509,986 | ||||||||
|
| |||||||||
| 17,577,124 | ||||||||||
|
| |||||||||
Other ABS - Fixed Rate – 1.1% | ||||||||||
CNH Equipment Trust | 4,313 | 4,330,558 | ||||||||
GE Equipment Small Ticket LLC | 2,824 | 2,824,991 | ||||||||
John Deere Owner Trust | 3,111 | 3,111,648 | ||||||||
|
| |||||||||
| 10,267,197 | ||||||||||
|
| |||||||||
Credit Cards - Fixed Rate – 0.7% | ||||||||||
Discover Card Master Trust | 1,322 | 1,321,826 | ||||||||
GE Capital Credit Card Master Note Trust | 5,170 | 5,172,732 | ||||||||
|
| |||||||||
| 6,494,558 | ||||||||||
|
| |||||||||
Home Equity Loans - Floating Rate – 0.3% | ||||||||||
American General Mortgage Loan Trust | 1,926 | 1,797,086 | ||||||||
HSBC Home Equity Loan Trust | 951 | 787,541 | ||||||||
|
| |||||||||
| 2,584,627 | ||||||||||
|
| |||||||||
| 70 | • ALLIANCEBERNSTEIN POOLING PORTFOLIOS |
Short Duration Bond Portfolio—Portfolio of Investments
| Principal Amount (000) | U.S. $ Value | |||||||||
| ||||||||||
Home Equity Loans - Fixed Rate – 0.1% | ||||||||||
Credit-Based Asset Servicing and Securitization LLC | U.S.$ | 1,022 | $ | 908,816 | ||||||
Nationstar NIM Trust | 35 | – 0 | – | |||||||
|
| |||||||||
| 908,816 | ||||||||||
|
| |||||||||
Total Asset-Backed Securities | 152,024,531 | |||||||||
|
| |||||||||
MORTGAGE PASS - THROUGHS – 15.2% | ||||||||||
Agency ARMs – 5.7% | ||||||||||
Federal Home Loan Mortgage Corp. | 3,014 | 3,211,500 | ||||||||
2.737%, 6/01/37(c) | 10,441 | 11,151,942 | ||||||||
Series 2005 | 3,378 | 3,600,057 | ||||||||
Series 2007 | 2,277 | 2,421,359 | ||||||||
2.608%, 1/01/37(b) | 2,150 | 2,291,625 | ||||||||
Federal National Mortgage Association | 1,780 | 1,892,964 | ||||||||
3.428%, 6/01/37(b) | 2,833 | 3,003,992 | ||||||||
4.777%, 10/01/39(c) | 2,657 | 2,831,092 | ||||||||
Series 2003 | 885 | 939,456 | ||||||||
Series 2005 | 4,664 | 4,912,525 | ||||||||
2.74%, 10/01/35(c) | 2,630 | 2,802,541 | ||||||||
Series 2006 | 2,838 | 3,023,714 | ||||||||
2.571%, 5/01/36(b) | 3,240 | 3,452,916 | ||||||||
2.786%, 7/01/36(c) | 2,390 | 2,546,311 | ||||||||
Series 2007 | 1,162 | 1,208,194 | ||||||||
4.598%, 2/01/37(b) | 2,909 | 3,080,360 | ||||||||
Series 2009 | 2,029 | 2,124,336 | ||||||||
|
| |||||||||
| 54,494,884 | ||||||||||
|
| |||||||||
Agency Fixed Rate 30-Year – 5.2% | ||||||||||
Federal Home Loan Mortgage Corp. Gold | 1,407 | 1,545,368 | ||||||||
Federal National Mortgage Association | 12,990 | 14,153,010 | ||||||||
| ALLIANCEBERNSTEIN POOLING PORTFOLIOS • | 71 |
Short Duration Bond Portfolio—Portfolio of Investments
| Principal Amount (000) | U.S. $ Value | |||||||||
| ||||||||||
6.00%, 9/01/38 | U.S.$ | 9,344 | $ | 10,267,475 | ||||||
Series 2008 6.00%, | 18,906 | 20,774,104 | ||||||||
Series 2010 | 2,734 | 3,004,539 | ||||||||
|
| |||||||||
| 49,744,496 | ||||||||||
|
| |||||||||
Agency Fixed Rate 15-Year – 4.3% | ||||||||||
Federal National Mortgage Association | 35,295 | 37,031,308 | ||||||||
Series 1998 6.00%, | 6 | 6,203 | ||||||||
Series 2001 | 65 | 69,685 | ||||||||
Series 2002 | 53 | 57,825 | ||||||||
Series 2005 | 114 | 122,997 | ||||||||
Series 2006 | 2,240 | 2,428,718 | ||||||||
Series 2007 | 590 | 638,170 | ||||||||
|
| |||||||||
| 40,354,906 | ||||||||||
|
| |||||||||
Total Mortgage Pass-Throughs | 144,594,286 | |||||||||
|
| |||||||||
CORPORATES - INVESTMENT GRADES – 10.2% | ||||||||||
Industrial – 8.9% | ||||||||||
Basic – 0.4% | ||||||||||
BHP Billiton Finance USA Ltd. | 3,325 | 3,335,693 | ||||||||
|
| |||||||||
Capital Goods – 1.3% | ||||||||||
Caterpillar Financial Services Corp. | 4,990 | 5,065,763 | ||||||||
Eaton Corp. | 2,469 | 2,472,163 | ||||||||
General Dynamics Corp. | 2,750 | 2,994,602 | ||||||||
John Deere Capital Corp. | 2,030 | 2,087,611 | ||||||||
|
| |||||||||
| 12,620,139 | ||||||||||
|
| |||||||||
Communications - | ||||||||||
AT&T, Inc. | 2,135 | 2,215,199 | ||||||||
| 72 | • ALLIANCEBERNSTEIN POOLING PORTFOLIOS |
Short Duration Bond Portfolio—Portfolio of Investments
| Principal Amount (000) | U.S. $ Value | |||||||||
| ||||||||||
Cellco Partnership / Verizon Wireless Capital LLC | U.S.$ | 4,375 | $ | 4,758,373 | ||||||
Verizon Communications, Inc. | 1,685 | 1,707,107 | ||||||||
1.95%, 3/28/14 | 3,130 | 3,213,214 | ||||||||
|
| |||||||||
| 11,893,893 | ||||||||||
|
| |||||||||
Consumer Cyclical - Automotive – 0.8% | ||||||||||
American Honda Finance Corp. | 4,534 | 4,615,100 | ||||||||
Toyota Motor Credit Corp. | 3,360 | 3,404,721 | ||||||||
|
| |||||||||
| 8,019,821 | ||||||||||
|
| |||||||||
Consumer Cyclical - Entertainment – 0.1% | ||||||||||
Walt Disney Co. (The) | 934 | 1,000,018 | ||||||||
|
| |||||||||
Consumer Cyclical - Retailers – 1.0% | ||||||||||
Target Corp. | 7,016 | 7,025,002 | ||||||||
Wal-Mart Stores, Inc. | 2,595 | 2,718,989 | ||||||||
|
| |||||||||
| 9,743,991 | ||||||||||
|
| |||||||||
Consumer Non-Cyclical – 1.8% | ||||||||||
Baxter International, Inc. | 1,051 | 1,065,799 | ||||||||
Bottling Group LLC | 2,669 | 2,869,444 | ||||||||
Eli Lilly & Co. | 2,845 | 3,042,634 | ||||||||
GlaxoSmithKline Capital, Inc. | 2,109 | 2,219,900 | ||||||||
Novartis Capital Corp. | 2,855 | 3,050,667 | ||||||||
PepsiCo, Inc./NC | 2,077 | 2,160,304 | ||||||||
Sanofi | 2,445 | 2,497,289 | ||||||||
|
| |||||||||
| 16,906,037 | ||||||||||
|
| |||||||||
Energy – 0.6% | ||||||||||
Chevron Corp. | 2,885 | 3,082,219 | ||||||||
ConocoPhillips | 2,710 | 2,924,857 | ||||||||
|
| |||||||||
| 6,007,076 | ||||||||||
|
| |||||||||
| ALLIANCEBERNSTEIN POOLING PORTFOLIOS • | 73 |
Short Duration Bond Portfolio—Portfolio of Investments
| Principal Amount (000) | U.S. $ Value | |||||||||
| ||||||||||
Technology – 1.6% | ||||||||||
Cisco Systems, Inc. | U.S.$ | 4,905 | $ | 5,015,936 | ||||||
Hewlett-Packard Co. | 1,043 | 1,050,901 | ||||||||
International Business Machines Corp. | 1,887 | 1,877,748 | ||||||||
Oracle Corp. | 2,140 | 2,249,283 | ||||||||
Texas Instruments, Inc. | 4,990 | 5,074,062 | ||||||||
|
| |||||||||
| 15,267,930 | ||||||||||
|
| |||||||||
| 84,794,598 | ||||||||||
|
| |||||||||
Financial Institutions – 0.9% | ||||||||||
Banking – 0.4% | ||||||||||
UnionBanCal Corp. | 3,867 | 4,006,285 | ||||||||
|
| |||||||||
Finance – 0.5% | ||||||||||
General Electric Capital Corp. | 4,791 | 4,855,904 | ||||||||
|
| |||||||||
| 8,862,189 | ||||||||||
|
| |||||||||
Utility – 0.4% | ||||||||||
Natural Gas – 0.4% | ||||||||||
Transcanada Pipelines Ltd. | 3,330 | 3,317,646 | ||||||||
|
| |||||||||
Total Corporates - Investment Grades | 96,974,433 | |||||||||
|
| |||||||||
COMMERCIAL MORTGAGE-BACKED SECURITIES – 5.2% | ||||||||||
Non-Agency Fixed Rate CMBS – 2.9% | ||||||||||
JP Morgan Chase Commercial Mortgage Securities Corp. | 4,949 | 4,950,348 | ||||||||
Series 2011-C3, Class A1 | 5,719 | 5,760,147 | ||||||||
Series 2011-C4, Class A1 | 2,649 | 2,650,465 | ||||||||
Merrill Lynch Mortgage Trust | 2,993 | 3,037,903 | ||||||||
Morgan Stanley Capital I | 5,704 | 5,827,206 | ||||||||
| 74 | • ALLIANCEBERNSTEIN POOLING PORTFOLIOS |
Short Duration Bond Portfolio—Portfolio of Investments
| Principal Amount (000) | U.S. $ Value | |||||||||
| ||||||||||
Wachovia Bank Commercial Mortgage Trust | U.S.$ | 2,362 | $ | 2,373,118 | ||||||
WF-RBS Commercial Mortgage Trust | 2,601 | 2,658,222 | ||||||||
|
| |||||||||
| 27,257,409 | ||||||||||
|
| |||||||||
Non-Agency Floating Rate CMBS – 1.8% | ||||||||||
Banc of America Large Loan, Inc. | 2,500 | 2,450,000 | ||||||||
Commercial Mortgage Pass Through Certificates | 831 | 769,602 | ||||||||
Series 2007-FL14, Class C | 2,839 | 2,590,176 | ||||||||
Credit Suisse Mortgage Capital Certificates | 4,900 | 4,205,523 | ||||||||
Series 2007-TFLA, Class A2 | 8,000 | 7,440,000 | ||||||||
|
| |||||||||
| 17,455,301 | ||||||||||
|
| |||||||||
Agency CMBS – 0.5% | ||||||||||
NCUA Guaranteed Notes | 5,229 | 5,291,740 | ||||||||
|
| |||||||||
Total Commercial Mortgage-Backed Securities | 50,004,450 | |||||||||
|
| |||||||||
AGENCIES – 3.3% | ||||||||||
Agency Debentures – 3.3% | ||||||||||
Bank of America Corp.-FDIC Insured | 8,760 | 8,787,533 | ||||||||
Citibank NA-FDIC Insured | 9,299 | 9,325,502 | ||||||||
Goldman Sachs Group, Inc. (The)-FDIC Insured | 6,800 | 6,858,575 | ||||||||
Morgan Stanley-FDIC Insured | 6,000 | 6,002,952 | ||||||||
|
| |||||||||
Total Agencies | 30,974,562 | |||||||||
|
| |||||||||
| ALLIANCEBERNSTEIN POOLING PORTFOLIOS • | 75 |
Short Duration Bond Portfolio—Portfolio of Investments
| Principal Amount (000) | U.S. $ Value | |||||||||
| ||||||||||
COLLATERALIZED MORTGAGE OBLIGATIONS – 2.7% | ||||||||||
Agency Fixed Rate – 2.3% | ||||||||||
Federal Home Loan Mortgage Corp. | U.S.$ | 9,652 | $ | 9,934,410 | ||||||
Federal National Mortgage Association | 5,246 | 5,480,325 | ||||||||
Series 2011-39, Class DA | 6,746 | 7,009,338 | ||||||||
|
| |||||||||
| 22,424,073 | ||||||||||
|
| |||||||||
Non-Agency Floating Rate – 0.3% | ||||||||||
Mortgage Equity Conversion Asset Trust | 3,049 | 2,691,934 | ||||||||
|
| |||||||||
Non-Agency Fixed Rate – 0.1% | ||||||||||
Merrill Lynch Mortgage Investors, Inc. | 512 | 498,530 | ||||||||
|
| |||||||||
Agency Floating Rate – 0.0% | ||||||||||
Fannie Mae Whole Loan | 120 | 114,853 | ||||||||
Freddie Mac Reference REMICs | 334 | 333,602 | ||||||||
|
| |||||||||
| 448,455 | ||||||||||
|
| |||||||||
Total Collateralized Mortgage Obligations | 26,062,992 | |||||||||
|
| |||||||||
INFLATION-LINKED SECURITIES – 1.1% | ||||||||||
United States – 1.1% | ||||||||||
U.S. Treasury Inflation Index | 3,421 | 3,627,097 | ||||||||
2.00%, 1/15/14 (TIPS) | 6,770 | 7,278,622 | ||||||||
|
| |||||||||
Total Inflation-Linked Securities | 10,905,719 | |||||||||
|
| |||||||||
GOVERNMENTS - SOVEREIGN AGENCIES – 0.7% | ||||||||||
Netherlands – 0.7% | ||||||||||
Achmea Hypotheekbank NV | 6,456 | 6,389,703 | ||||||||
|
| |||||||||
| 76 | • ALLIANCEBERNSTEIN POOLING PORTFOLIOS |
Short Duration Bond Portfolio—Portfolio of Investments
| Shares | U.S. $ Value | |||||||||
| ||||||||||
SHORT-TERM INVESTMENTS – 4.3% |
| |||||||||
Investment Companies – 2.6% | ||||||||||
AllianceBernstein Fixed-Income Shares, Inc. –Government STIF Portfolio, 0.09%(f) | 24,864,308 | $ | 24,864,308 | |||||||
|
| |||||||||
| Principal Amount (000) | ||||||||||
Certificates of Deposit – 1.4% | ||||||||||
Royal Bank of Canada NY | $ | 12,810 | 12,985,164 | |||||||
|
| |||||||||
Commercial Paper – 0.3% | ||||||||||
Vodafone Group PLC | 3,300 | 3,286,892 | ||||||||
|
| |||||||||
Total Short-Term Investments | 41,136,364 | |||||||||
|
| |||||||||
Total Investments – 102.6% | 976,680,160 | |||||||||
Other assets less liabilities – (2.6)% | (24,792,327 | ) | ||||||||
|
| |||||||||
Net Assets – 100.0% | $ | 951,887,833 | ||||||||
|
| |||||||||
FUTURES CONTRACTS (see Note C)
| Type | Number of Contracts | Expiration Month | Original Value | Value at February 29, 2012 | Unrealized Appreciation/ (Depreciation) | |||||||||||||||
Purchased Contracts |
| |||||||||||||||||||
U.S. T-Note 2 Yr Futures | 1,167 | June 2012 | $ | 257,051,608 | $ | 257,013,517 | $ | (38,091) | ||||||||||||
U.S. T-Note 5 Yr Futures | 185 | June 2012 | 22,779,927 | 22,786,797 | 6,870 | |||||||||||||||
Sold Contracts |
| |||||||||||||||||||
U.S. T-Note 10 Yr Futures | 112 | June 2012 | 14,716,609 | 14,666,750 | 49,859 | |||||||||||||||
|
| |||||||||||||||||||
| $ | 18,638 | |||||||||||||||||||
|
| |||||||||||||||||||
| ALLIANCEBERNSTEIN POOLING PORTFOLIOS • | 77 |
Short Duration Bond Portfolio—Portfolio of Investments
FORWARD CURRENCY EXCHANGE CONTRACTS (see Note C)
| Counterparty & Description | Contract Amount (000) | U.S. $ Value on Origination Date | U.S. $ Value at February 29, 2012 | Unrealized Appreciation/ (Depreciation) | ||||||||||||
Buy Contracts | ||||||||||||||||
UBS AG: | ||||||||||||||||
Canadian Dollar settling 3/02/12 | 277 | $ | 276,526 | $ | 279,675 | $ | 3,149 | |||||||||
Sale Contracts | ||||||||||||||||
Citibank NA: | ||||||||||||||||
Canadian Dollar settling 3/02/12 | 37,851 | 37,919,281 | 38,253,523 | (334,242) | ||||||||||||
Morgan Stanley and Co. Inc: | ||||||||||||||||
Canadian Dollar settling 4/03/12 | 40,048 | 40,487,916 | 40,446,109 | 41,807 | ||||||||||||
Canadian Dollar settling 4/03/12 | 40,048 | 40,487,916 | 40,446,109 | 41,807 | ||||||||||||
State Street Bank and Trust Co.: | ||||||||||||||||
Canadian Dollar settling 3/02/12 | 2,474 | 2,480,256 | 2,500,105 | (19,849) | ||||||||||||
|
| |||||||||||||||
| $ | (267,328 | ) | ||||||||||||||
|
| |||||||||||||||
| (a) | Security is exempt from registration under Rule 144A of the Securities Act of 1933. These securities are considered liquid and may be resold in transactions exempt from registration, normally to qualified institutional buyers. At February 29, 2012, the aggregate market value of these securities amounted to $129,533,667 or 13.6% of net assets. |
| (b) | Floating Rate Security. Stated interest rate was in effect at February 29, 2012. |
| (c) | Variable rate coupon, rate shown as of February 29, 2012. |
| (d) | Fair valued. |
| (e) | Security is exempt from registration under Rule 144A of the Securities Act of 1933. These securities, which represent 0.00% of net assets as of February 29, 2012, are considered illiquid and restricted. |
| Restricted Securities | Acquisition Date | Cost | Market Value | Percentage of Net Assets | ||||||||||||
Nationstar NIM Trust | 4/04/07 | $ | 35,213 | $ | – 0 | – | 0.00 | % | ||||||||
| (f) | Investment in affiliated money market mutual fund. The rate shown represents the 7-day yield as of period end. |
Currency Abbreviations:
| CAD | – Canadian Dollar |
Glossary:
| ABS | – Asset-Backed Securities |
| ARMs | – Adjustable Rate Mortgages |
| CMBS | – Commercial Mortgage-Backed Securities |
| FDIC | – Federal Deposit Insurance Corporation |
| NCUA | – National Credit Union Administration |
| REMICs | – Real Estate Mortgage Investment Conduits |
| TBA | – To Be Announced |
| TIPS | – Treasury Inflation Protected Security |
See notes to financial statements.
| 78 | • ALLIANCEBERNSTEIN POOLING PORTFOLIOS |
Short Duration Bond Portfolio—Portfolio of Investments
GLOBAL CORE BOND PORTFOLIO
PORTFOLIO OF INVESTMENTS
February 29, 2012 (unaudited)
| Principal Amount (000) | U.S. $ Value | |||||||||
| ||||||||||
GOVERNMENTS - TREASURIES – 38.6% | ||||||||||
Canada – 1.0% | ||||||||||
Canadian Government Bond | CAD | 10,762 | $ | 12,035,124 | ||||||
|
| |||||||||
Finland – 6.0% | ||||||||||
Finland Government Bond | EUR | 33,005 | 48,062,430 | |||||||
3.875%, 9/15/17 | 15,972 | 23,927,294 | ||||||||
|
| |||||||||
| 71,989,724 | ||||||||||
|
| |||||||||
Germany – 4.8% | ||||||||||
Bundesrepublik Deutschland | 31,029 | 46,005,130 | ||||||||
Series 06 | 8,050 | 12,245,281 | ||||||||
|
| |||||||||
| 58,250,411 | ||||||||||
|
| |||||||||
Japan – 7.7% | ||||||||||
Japan Government Ten Year Bond | JPY | 2,812,550 | 37,119,689 | |||||||
Japan Government Twenty Year Bond | 847,800 | 11,115,045 | ||||||||
Series 48 | 2,384,400 | 33,484,086 | ||||||||
Series 60 | 880,150 | 11,190,248 | ||||||||
|
| |||||||||
| 92,909,068 | ||||||||||
|
| |||||||||
Netherlands – 4.4% | ||||||||||
Netherlands Government Bond | EUR | 4,900 | 6,504,962 | |||||||
4.50%, 7/15/17 | 30,450 | 47,022,970 | ||||||||
|
| |||||||||
| 53,527,932 | ||||||||||
|
| |||||||||
South Africa – 2.1% | ||||||||||
South Africa Government Bond | ZAR | 183,357 | 25,036,013 | |||||||
|
| |||||||||
United Kingdom – 8.5% | ||||||||||
United Kingdom Gilt | GBP | 3,998 | 6,666,291 | |||||||
3.75%, 9/07/20 | 9,087 | 16,597,518 | ||||||||
4.00%, 9/07/16 | 12,818 | 23,237,882 | ||||||||
4.25%, 6/07/32 | 6,950 | 13,103,140 | ||||||||
4.50%, 3/07/19 | 5,211 | 9,967,698 | ||||||||
| ALLIANCEBERNSTEIN POOLING PORTFOLIOS • | 79 |
Global Core Bond Portfolio—Portfolio of Investments
| Principal Amount (000) | U.S. $ Value | |||||||||
| ||||||||||
4.75%, 12/07/30 | GBP | 16,349 | $ | 32,778,109 | ||||||
|
| |||||||||
| 102,350,638 | ||||||||||
|
| |||||||||
United States – 4.1% | ||||||||||
U.S. Treasury Bonds | U.S.$ | 18,561 | 24,247,679 | |||||||
U.S. Treasury Notes | 21,234 | 22,751,891 | ||||||||
3.625%, 2/15/20 | 2,780 | 3,208,512 | ||||||||
|
| |||||||||
| 50,208,082 | ||||||||||
|
| |||||||||
Total Governments - Treasuries | 466,306,992 | |||||||||
|
| |||||||||
CORPORATES - INVESTMENT GRADES – 24.3% | ||||||||||
Financial Institutions – 11.5% | ||||||||||
Banking – 7.5% | ||||||||||
Bank of America Corp. | 2,896 | 2,888,954 | ||||||||
7.625%, 6/01/19 | 1,700 | 1,922,110 | ||||||||
Series L | 4,350 | 4,513,069 | ||||||||
Bear Stearns Cos. LLC (The) | 5,410 | 5,899,583 | ||||||||
BNP Paribas SA | 2,966 | 3,034,678 | ||||||||
Capital One Financial Corp. | 2,470 | 2,604,072 | ||||||||
Citigroup, Inc. | 465 | 477,709 | ||||||||
5.50%, 4/11/13 | 2,900 | 3,008,823 | ||||||||
6.50%, 8/19/13 | 2,770 | 2,935,316 | ||||||||
8.50%, 5/22/19 | 790 | 980,149 | ||||||||
Compass Bank | 4,989 | 4,776,568 | ||||||||
Cooperatieve Centrale Raiffeisen-Boerenleenbank BA/Utrect | 3,060 | 3,051,934 | ||||||||
DNB Bank ASA | EUR | 1,675 | 2,348,091 | |||||||
Goldman Sachs Group, Inc. (The) | U.S.$ | 1,148 | 1,149,876 | |||||||
6.00%, 6/15/20 | 2,700 | 2,870,230 | ||||||||
7.50%, 2/15/19 | 2,855 | 3,250,118 | ||||||||
ING Bank NV | 3,020 | 3,004,477 | ||||||||
| 80 | • ALLIANCEBERNSTEIN POOLING PORTFOLIOS |
Global Core Bond Portfolio—Portfolio of Investments
| Principal Amount (000) | U.S. $ Value | |||||||||
| ||||||||||
JPMorgan Chase & Co. | U.S.$ | 1,335 | $ | 1,399,113 | ||||||
4.625%, 5/10/21 | 857 | 910,845 | ||||||||
Lloyds TSB Bank PLC | 3,820 | 3,901,511 | ||||||||
Macquarie Group Ltd. | 3,420 | 3,363,905 | ||||||||
Morgan Stanley | 1,615 | 1,661,543 | ||||||||
5.50%, 7/24/20 | 2,455 | 2,418,128 | ||||||||
6.60%, 4/01/12 | 960 | 964,017 | ||||||||
Nationwide Building Society | 3,415 | 3,572,397 | ||||||||
Royal Bank of Scotland PLC (The) | 2,740 | 2,977,051 | ||||||||
Santander US Debt SAU | 3,400 | 3,360,431 | ||||||||
Societe Generale SA | 1,670 | 1,636,112 | ||||||||
5.20%, 4/15/21(a) | 1,355 | 1,310,509 | ||||||||
SouthTrust Corp. | 3,315 | 3,585,444 | ||||||||
Standard Chartered PLC | 4,800 | 4,497,523 | ||||||||
UFJ Finance Aruba AEC | 1,913 | 2,041,016 | ||||||||
Unicredit Luxembourg Finance SA | 1,386 | 1,228,539 | ||||||||
Union Bank NA | 1,005 | 1,084,758 | ||||||||
Wachovia Corp. | 1,225 | 1,291,064 | ||||||||
|
| |||||||||
| 89,919,663 | ||||||||||
|
| |||||||||
Finance – 0.4% | ||||||||||
General Electric Capital Corp. | 2,795 | 2,920,957 | ||||||||
SLM Corp. | 2,085 | 2,162,145 | ||||||||
|
| |||||||||
| 5,083,102 | ||||||||||
|
| |||||||||
Insurance – 2.8% | ||||||||||
Allied World Assurance Co., Ltd. | 1,820 | 2,071,326 | ||||||||
Berkshire Hathaway, Inc. | 2,800 | 2,859,814 | ||||||||
Coventry Health Care, Inc. | 665 | 754,091 | ||||||||
| ALLIANCEBERNSTEIN POOLING PORTFOLIOS • | 81 |
Global Core Bond Portfolio—Portfolio of Investments
| Principal Amount (000) | U.S. $ Value | |||||||||
| ||||||||||
6.125%, 1/15/15 | U.S.$ | 260 | $ | 282,755 | ||||||
6.30%, 8/15/14 | 2,060 | 2,254,691 | ||||||||
Genworth Financial, Inc. | 2,299 | 2,344,488 | ||||||||
Guardian Life Insurance Co. of America | 1,305 | 1,665,199 | ||||||||
Hartford Financial Services Group, Inc. | 685 | 705,541 | ||||||||
5.50%, 3/30/20 | 1,727 | 1,798,000 | ||||||||
Humana, Inc. | 369 | 428,618 | ||||||||
6.45%, 6/01/16 | 285 | 322,937 | ||||||||
7.20%, 6/15/18 | 610 | 735,981 | ||||||||
Lincoln National Corp. | 791 | 1,008,481 | ||||||||
Markel Corp. | 1,685 | 1,922,282 | ||||||||
Massachusetts Mutual Life Insurance Co. | 815 | 1,195,985 | ||||||||
MetLife, Inc. | 1,085 | 1,203,352 | ||||||||
7.717%, 2/15/19 | 1,159 | 1,476,268 | ||||||||
Nationwide Mutual Insurance Co. | 2,585 | 3,316,850 | ||||||||
QBE Capital Funding III Ltd. | 1,630 | 1,484,617 | ||||||||
Swiss Re Solutions Holding Corp. | 3,065 | 3,543,618 | ||||||||
XL Group PLC | 1,920 | 2,032,514 | ||||||||
|
| |||||||||
| 33,407,408 | ||||||||||
|
| |||||||||
Other Finance – 0.2% | ||||||||||
ORIX Corp. | 2,683 | 2,835,303 | ||||||||
|
| |||||||||
REITS – 0.6% | ||||||||||
ERP Operating LP | 2,600 | 2,810,540 | ||||||||
HCP, Inc. | 2,195 | 2,446,973 | ||||||||
Healthcare Realty Trust, Inc. | 2,373 | 2,457,502 | ||||||||
|
| |||||||||
| 7,715,015 | ||||||||||
|
| |||||||||
| 138,960,491 | ||||||||||
|
| |||||||||
| 82 | • ALLIANCEBERNSTEIN POOLING PORTFOLIOS |
Global Core Bond Portfolio—Portfolio of Investments
| Principal Amount (000) | U.S. $ Value | |||||||||
| ||||||||||
Industrial – 10.3% | ||||||||||
Basic – 1.3% | ||||||||||
AngloGold Ashanti Holdings PLC | U.S.$ | 2,110 | $ | 2,162,750 | ||||||
ArcelorMittal | 2,271 | 2,403,163 | ||||||||
Dow Chemical Co. (The) | 1,640 | 2,181,441 | ||||||||
International Paper Co. | 2,625 | 2,876,076 | ||||||||
Packaging Corp. of America | 1,329 | 1,400,540 | ||||||||
PPG Industries, Inc. | 1,642 | 1,717,734 | ||||||||
Vale Overseas Ltd. | 2,353 | 2,438,320 | ||||||||
|
| |||||||||
| 15,180,024 | ||||||||||
|
| |||||||||
Capital Goods – 0.3% | ||||||||||
Holcim US Finance Sarl & Cie SCS | 299 | 309,965 | ||||||||
Republic Services, Inc. | 85 | 91,937 | ||||||||
5.25%, 11/15/21 | 1,213 | 1,399,442 | ||||||||
5.50%, 9/15/19 | 1,768 | 2,041,044 | ||||||||
|
| |||||||||
| 3,842,388 | ||||||||||
|
| |||||||||
Communications - Media – 2.0% | ||||||||||
CBS Corp. | 1,410 | 1,639,761 | ||||||||
Comcast Cable Communications Holdings, Inc. | 1,906 | 2,818,715 | ||||||||
DirecTV Holdings LLC/DirecTV Financing Co., Inc. | 1,870 | 2,028,714 | ||||||||
4.75%, 10/01/14 | 1,200 | 1,307,543 | ||||||||
News America, Inc. | 890 | 959,459 | ||||||||
6.55%, 3/15/33 | 1,383 | 1,584,860 | ||||||||
9.25%, 2/01/13 | 670 | 717,776 | ||||||||
Reed Elsevier Capital, Inc. | 2,894 | 3,644,958 | ||||||||
Time Warner Cable, Inc. | 1,325 | 1,498,220 | ||||||||
Time Warner Entertainment Co. LP | 2,680 | 3,666,058 | ||||||||
Virgin Media Secured Finance PLC | �� | 1,080 | 1,182,621 | |||||||
| ALLIANCEBERNSTEIN POOLING PORTFOLIOS • | 83 |
Global Core Bond Portfolio—Portfolio of Investments
| Principal Amount (000) | U.S. $ Value | |||||||||
| ||||||||||
WPP Finance 2010 | U.S.$ | 417 | $ | 444,464 | ||||||
WPP Finance UK | 2,616 | 3,021,289 | ||||||||
|
| |||||||||
| 24,514,438 | ||||||||||
|
| |||||||||
Communications - Telecommunications – 1.1% | ||||||||||
American Tower Corp. | 2,750 | 2,840,634 | ||||||||
AT&T Corp. | 295 | 424,859 | ||||||||
AT&T, Inc. | 1,694 | 1,900,595 | ||||||||
Deutsche Telekom International | 2,586 | 2,549,899 | ||||||||
Telecom Italia Capital SA | 2,510 | 2,585,300 | ||||||||
6.375%, 11/15/33 | 375 | 323,438 | ||||||||
7.175%, 6/18/19 | 1,450 | 1,497,125 | ||||||||
United States Cellular Corp. | 1,550 | 1,526,772 | ||||||||
|
| |||||||||
| 13,648,622 | ||||||||||
|
| |||||||||
Consumer Cyclical - Automotive – 0.5% | ||||||||||
Harley-Davidson Funding Corp. | 2,465 | 2,675,060 | ||||||||
Toyota Motor Credit Corp. | 3,270 | 3,323,128 | ||||||||
|
| |||||||||
| 5,998,188 | ||||||||||
|
| |||||||||
Consumer Cyclical - Entertainment – 0.7% | ||||||||||
Time Warner, Inc. | 1,460 | 1,628,116 | ||||||||
7.625%, 4/15/31 | 2,810 | 3,769,039 | ||||||||
Viacom, Inc. | 2,895 | 3,402,152 | ||||||||
|
| |||||||||
| 8,799,307 | ||||||||||
|
| |||||||||
Consumer Cyclical - Other – 0.3% | ||||||||||
Marriott International, Inc./DE | 3,270 | 3,408,589 | ||||||||
|
| |||||||||
Consumer Cyclical - Retailers – 0.2% | ||||||||||
CVS Caremark Corp. | 1,460 | 1,830,009 | ||||||||
|
| |||||||||
| 84 | • ALLIANCEBERNSTEIN POOLING PORTFOLIOS |
Global Core Bond Portfolio—Portfolio of Investments
| Principal Amount (000) | U.S. $ Value | |||||||||
| ||||||||||
Consumer Non-Cyclical – 1.2% | ||||||||||
Ahold Finance USA LLC | U.S.$ | 3,105 | $ | 3,901,647 | ||||||
Bunge Ltd. Finance Corp. | 481 | 513,366 | ||||||||
5.875%, 5/15/13 | 2,720 | 2,840,034 | ||||||||
Cadbury Schweppes US Finance LLC | 3,480 | 3,694,831 | ||||||||
Delhaize Group SA | 775 | 833,868 | ||||||||
Pepsico, Inc. | 2,972 | 2,962,727 | ||||||||
|
| |||||||||
| 14,746,473 | ||||||||||
|
| |||||||||
Energy – 1.3% | ||||||||||
Anadarko Petroleum Corp. | 735 | 850,927 | ||||||||
6.45%, 9/15/36 | 877 | 1,073,810 | ||||||||
Marathon Petroleum Corp. | 448 | 464,475 | ||||||||
5.125%, 3/01/21 | 760 | 825,396 | ||||||||
Nabors Industries, Inc. | 2,393 | 3,012,696 | ||||||||
Noble Energy, Inc. | 2,858 | 3,626,759 | ||||||||
Noble Holding International Ltd. | 251 | 274,916 | ||||||||
Reliance Holdings USA, Inc. | 2,345 | 2,374,161 | ||||||||
Southwestern Energy Co. | 823 | 821,988 | ||||||||
Weatherford International Ltd./Bermuda | 1,540 | 2,086,401 | ||||||||
|
| |||||||||
| 15,411,529 | ||||||||||
|
| |||||||||
Other Industrial – 0.3% | ||||||||||
Noble Group Ltd. | 3,341 | 3,307,590 | ||||||||
|
| |||||||||
Technology – 0.2% | ||||||||||
Agilent Technologies, Inc. | 505 | 562,305 | ||||||||
Hewlett-Packard Co. | 1,498 | 1,615,282 | ||||||||
Motorola Solutions, Inc. | 290 | 338,596 | ||||||||
Xerox Corp. | 310 | 348,161 | ||||||||
|
| |||||||||
| 2,864,344 | ||||||||||
|
| |||||||||
| ALLIANCEBERNSTEIN POOLING PORTFOLIOS • | 85 |
Global Core Bond Portfolio—Portfolio of Investments
| Principal Amount (000) | U.S. $ Value | |||||||||
| ||||||||||
Transportation - Airlines – 0.3% | ||||||||||
Southwest Airlines Co. | U.S.$ | 1,695 | $ | 1,810,350 | ||||||
5.75%, 12/15/16 | 1,115 | 1,235,033 | ||||||||
|
| |||||||||
| 3,045,383 | ||||||||||
|
| |||||||||
Transportation - Services – 0.6% | ||||||||||
Asciano Finance Ltd. | 3,375 | 3,333,605 | ||||||||
Con-way, Inc. | 2,144 | 2,064,402 | ||||||||
Ryder System, Inc. | 930 | 1,050,581 | ||||||||
7.20%, 9/01/15 | 908 | 1,063,201 | ||||||||
|
| |||||||||
| 7,511,789 | ||||||||||
|
| |||||||||
| 124,108,673 | ||||||||||
|
| |||||||||
Utility – 1.9% | ||||||||||
Electric – 1.1% | ||||||||||
Allegheny Energy Supply Co. LLC | 1,610 | 1,740,878 | ||||||||
Constellation Energy Group, Inc. | 1,181 | 1,328,737 | ||||||||
FirstEnergy Corp. | 2,291 | 2,922,945 | ||||||||
Nisource Finance Corp. | 3,445 | 4,131,275 | ||||||||
SPI Electricity & Gas Australia Holdings Pty Ltd. | 1,447 | 1,532,761 | ||||||||
TECO Finance, Inc. | 745 | 788,295 | ||||||||
5.15%, 3/15/20 | 915 | 1,028,233 | ||||||||
Union Electric Co. | 315 | 384,406 | ||||||||
|
| |||||||||
| 13,857,530 | ||||||||||
|
| |||||||||
Natural Gas – 0.8% | ||||||||||
Energy Transfer Partners LP | 972 | 1,112,878 | ||||||||
7.50%, 7/01/38 | 2,264 | 2,655,803 | ||||||||
EQT Corp. | 1,707 | 2,024,382 | ||||||||
Kinder Morgan Energy Partners LP | 1,340 | 1,392,582 | ||||||||
Williams Partners LP | 2,198 | 2,482,054 | ||||||||
|
| |||||||||
| 9,667,699 | ||||||||||
|
| |||||||||
| 23,525,229 | ||||||||||
|
| |||||||||
| 86 | • ALLIANCEBERNSTEIN POOLING PORTFOLIOS |
Global Core Bond Portfolio—Portfolio of Investments
| Principal Amount (000) | U.S. $ Value | |||||||||
| ||||||||||
Non Corporate Sectors – 0.6% | ||||||||||
Agencies - Not Government Guaranteed – 0.6% | ||||||||||
Abu Dhabi National Energy Co. | U.S.$ | 757 | $ | 770,291 | ||||||
IPIC GMTN Ltd. | 3,300 | 3,324,750 | ||||||||
Petrobras International Finance Co. - Pifco | 2,500 | 2,687,795 | ||||||||
|
| |||||||||
| 6,782,836 | ||||||||||
|
| |||||||||
Total Corporates - Investment Grades | 293,377,229 | |||||||||
|
| |||||||||
MORTGAGE PASS-THROUGHS – 13.9% | ||||||||||
Agency Fixed Rate 30-Year – 10.8% | ||||||||||
Federal Home Loan Mortgage Corp. Gold | 88 | 93,412 | ||||||||
Series 2007 | 2,507 | 2,733,248 | ||||||||
Federal National Mortgage Association | 19,319 | 19,982,697 | ||||||||
4.00%, TBA | 47,405 | 49,886,358 | ||||||||
6.00%, 5/01/31-5/01/38 | 15,841 | 17,405,928 | ||||||||
Series 2003 | 2,134 | 2,332,204 | ||||||||
Series 2004 | 6,759 | 7,383,796 | ||||||||
Series 2005 | 1,652 | 1,805,095 | ||||||||
6.00%, 4/01/35 | 5,659 | 6,316,954 | ||||||||
Series 2006 | 7 | 7,110 | ||||||||
Series 2007 | 553 | 588,720 | ||||||||
Series 2008 | 18,445 | 20,335,098 | ||||||||
Series 2011 | 1,803 | 1,981,251 | ||||||||
|
| |||||||||
| 130,851,871 | ||||||||||
|
| |||||||||
Agency ARMs – 2.1% | ||||||||||
Federal Home Loan Mortgage Corp. | 3,133 | 3,338,785 | ||||||||
2.665%, 4/01/36(b) | 4,337 | 4,621,040 | ||||||||
5.057%, 5/01/38(b) | 3,129 | 3,316,169 | ||||||||
Series 2007 | 1,451 | 1,524,166 | ||||||||
| ALLIANCEBERNSTEIN POOLING PORTFOLIOS • | 87 |
Global Core Bond Portfolio—Portfolio of Investments
| Principal Amount (000) | U.S. $ Value | |||||||||
| ||||||||||
Federal National Mortgage Association | U.S.$ | 3,002 | $ | 3,184,150 | ||||||
4.777%, 10/01/39(b) | 2,725 | 2,903,684 | ||||||||
Series 2003 | 1,228 | 1,303,632 | ||||||||
Series 2006 | 765 | 803,460 | ||||||||
2.373%, 2/01/36(b) | 1,265 | 1,348,159 | ||||||||
Series 2007 | 2,250 | 2,354,339 | ||||||||
|
| |||||||||
| 24,697,584 | ||||||||||
|
| |||||||||
Agency Fixed Rate 15-Year – 1.0% | ||||||||||
Federal National Mortgage Association | 11,145 | 11,925,150 | ||||||||
|
| |||||||||
Total Mortgage Pass-Throughs | 167,474,605 | |||||||||
|
| |||||||||
ASSET-BACKED SECURITIES – 7.0% | ||||||||||
Autos - Fixed Rate – 3.8% | ||||||||||
AmeriCredit Automobile Receivables Trust | 4,515 | 4,519,064 | ||||||||
Series 2011-4, Class A2 | 2,250 | 2,253,641 | ||||||||
Series 2011-5, Class A2 | 1,592 | 1,598,540 | ||||||||
BMW Vehicle Lease Trust | 4,983 | 4,983,314 | ||||||||
Ford Auto Securitization Trust | CAD | 4,552 | 4,604,538 | |||||||
Ford Credit Auto Lease | ||||||||||
0.74%, 9/15/13 | U.S.$ | 5,550 | 5,552,037 | |||||||
Series 2011-B, Class A2 | 2,257 | 2,259,686 | ||||||||
Huntington Auto Trust | 2,315 | 2,326,389 | ||||||||
Hyundai Auto Lease Securitization Trust | 2,173 | 2,173,386 | ||||||||
| 88 | • ALLIANCEBERNSTEIN POOLING PORTFOLIOS |
Global Core Bond Portfolio—Portfolio of Investments
| Principal Amount (000) | U.S. $ Value | |||||||||
| ||||||||||
Santander Drive Auto Receivables Trust | U.S.$ | 1,841 | $ | 1,842,186 | ||||||
SMART Trust/Australia | 4,730 | 4,730,214 | ||||||||
Volkswagen Auto Lease Trust | 3,414 | 3,407,709 | ||||||||
World Omni Automobile Lease Securitization Trust | 5,748 | 5,752,284 | ||||||||
|
| |||||||||
| 46,002,988 | ||||||||||
|
| |||||||||
Credit Cards - Floating Rate – 2.1% | ||||||||||
American Express Credit Account Master Trust | 6,685 | 6,693,537 | ||||||||
Capital One Multi-Asset Execution Trust | 5,500 | 5,493,518 | ||||||||
Chase Issuance Trust | 5,500 | 5,559,510 | ||||||||
GE Capital Credit Card Master Note Trust | 2,830 | 2,853,137 | ||||||||
Series 2011-2, Class A | 5,020 | 5,033,487 | ||||||||
|
| |||||||||
| 25,633,189 | ||||||||||
|
| |||||||||
Other ABS - Fixed Rate – 0.6% | ||||||||||
CNH Equipment Trust | 2,382 | 2,391,767 | ||||||||
GE Equipment Midticket LLC | 1,408 | 1,408,649 | ||||||||
John Deere Owner Trust | 3,290 | 3,290,478 | ||||||||
|
| |||||||||
| 7,090,894 | ||||||||||
|
| |||||||||
Autos - Floating Rate – 0.3% | ||||||||||
Navistar Financial Dealer Note Master Trust | 1,703 | 1,719,177 | ||||||||
| ALLIANCEBERNSTEIN POOLING PORTFOLIOS • | 89 |
Global Core Bond Portfolio—Portfolio of Investments
| Principal Amount (000) | U.S. $ Value | |||||||||
| ||||||||||
Wheels SPV LLC | U.S.$ | 2,080 | $ | 2,084,597 | ||||||
|
| |||||||||
| 3,803,774 | ||||||||||
|
| |||||||||
Home Equity Loans - Fixed Rate – 0.1% | ||||||||||
Asset Backed Funding Certificates | 459 | 406,434 | ||||||||
Citifinancial Mortgage Securities, Inc. | 466 | 424,093 | ||||||||
|
| |||||||||
| 830,527 | ||||||||||
|
| |||||||||
Home Equity Loans - Floating Rate – 0.1% | ||||||||||
Citigroup Mortgage Loan Trust, Inc. | 3,715 | 69,823 | ||||||||
HSBC Home Equity Loan Trust | 644 | 586,076 | ||||||||
Option One Mortgage Loan Trust | 1,610 | 8,350 | ||||||||
|
| |||||||||
| 664,249 | ||||||||||
|
| |||||||||
Total Asset-Backed Securities | 84,025,621 | |||||||||
|
| |||||||||
COMMERCIAL MORTGAGE-BACKED SECURITIES – 4.2% | ||||||||||
Non-Agency Fixed Rate CMBS – 3.7% | ||||||||||
Citigroup/Deutsche Bank Commercial Mortgage Trust | 5,791 | 5,879,070 | ||||||||
Commercial Mortgage Pass Through Certificates | 3,065 | 3,432,837 | ||||||||
Credit Suisse Mortgage Capital Certificates | 6,475 | 7,148,057 | ||||||||
| 90 | • ALLIANCEBERNSTEIN POOLING PORTFOLIOS |
Global Core Bond Portfolio—Portfolio of Investments
| Principal Amount (000) | U.S. $ Value | |||||||||
| ||||||||||
JP Morgan Chase Commercial Mortgage Securities Corp. | U.S.$ | 9,364 | $ | 10,339,130 | ||||||
LB-UBS Commercial Mortgage Trust | 6,015 | 6,482,919 | ||||||||
Merrill Lynch/Countrywide Commercial Mortgage Trust | 3,075 | 3,498,584 | ||||||||
Series 2006-3, Class A4 | 6,885 | 7,773,021 | ||||||||
|
| |||||||||
| 44,553,618 | ||||||||||
|
| |||||||||
Agency CMBS – 0.4% | ||||||||||
FHLMC Multifamily Structured Pass Through Certificates | 4,653 | 4,977,371 | ||||||||
|
| |||||||||
Non-Agency Floating Rate CMBS – 0.1% | ||||||||||
GS Mortgage Securities Corp. II | 1,855 | 1,788,591 | ||||||||
|
| |||||||||
Total Commercial Mortgage-Backed Securities | 51,319,580 | |||||||||
|
| |||||||||
GOVERNMENTS - SOVEREIGN AGENCIES – 4.2% | ||||||||||
Canada – 4.2% | ||||||||||
Canada Housing Trust No 1 | CAD | 38,670 | 42,195,225 | |||||||
4.10%, 12/15/18(a) | 7,960 | 9,077,111 | ||||||||
|
| |||||||||
Total Governments - Sovereign Agencies | 51,272,336 | |||||||||
|
| |||||||||
AGENCIES – 2.2% | ||||||||||
Agency Debentures – 2.2% | ||||||||||
Residual Funding Corp. Principal Strip Zero Coupon, 7/15/20 | U.S.$ | 32,305 | 26,912,617 | |||||||
|
| |||||||||
| ALLIANCEBERNSTEIN POOLING PORTFOLIOS • | 91 |
Global Core Bond Portfolio—Portfolio of Investments
| Principal Amount (000) | U.S. $ Value | |||||||||
| ||||||||||
INFLATION-LINKED SECURITIES – 1.5% | ||||||||||
United States – 1.5% | ||||||||||
U.S. Treasury Inflation Index 2.00%, 4/15/12-1/15/14 (TIPS) | U.S.$ | 16,815 | $ | 18,077,387 | ||||||
|
| |||||||||
QUASI-SOVEREIGNS – 0.8% | ||||||||||
Quasi-Sovereign Bonds – 0.8% | ||||||||||
Kazakhstan – 0.2% | ||||||||||
KazMunayGas National Co. | 1,990 | 2,288,500 | ||||||||
|
| |||||||||
Malaysia – 0.3% | ||||||||||
Petronas Capital Ltd. | 3,390 | 3,828,158 | ||||||||
|
| |||||||||
Russia – 0.3% | ||||||||||
Russian Agricultural Bank OJSC Via RSHB Capital SA | 2,782 | 3,136,705 | ||||||||
|
| |||||||||
Total Quasi-Sovereigns | 9,253,363 | |||||||||
|
| |||||||||
COLLATERALIZED MORTGAGE OBLIGATIONS – 0.7% | ||||||||||
Non-Agency Fixed Rate – 0.3% | ||||||||||
Bear Stearns Alt-A Trust | 2,605 | 1,500,578 | ||||||||
Citigroup Mortgage Loan Trust, Inc. | 1,770 | 1,601,514 | ||||||||
Indymac Index Mortgage Loan Trust | 1,367 | 607,166 | ||||||||
|
| |||||||||
| 3,709,258 | ||||||||||
|
| |||||||||
Non-Agency Floating Rate – 0.2% | ||||||||||
Countrywide Alternative Loan Trust | 927 | 520,251 | ||||||||
Series 2006-OA14, Class 3A1 | 4,057 | 1,790,685 | ||||||||
Countrywide Home Loan Mortgage Pass Through Trust | 2,801 | 135,776 | ||||||||
|
| |||||||||
| 2,446,712 | ||||||||||
|
| |||||||||
| 92 | • ALLIANCEBERNSTEIN POOLING PORTFOLIOS |
Global Core Bond Portfolio—Portfolio of Investments
| Principal Amount (000) | U.S. $ Value | |||||||||
| ||||||||||
Non-Agency ARMs – 0.2% | ||||||||||
Citigroup Mortgage Loan Trust, Inc. | U.S.$ | 2,559 | $ | 1,588,383 | ||||||
|
| |||||||||
Agency Fixed Rate – 0.0% | ||||||||||
Fannie Mae Grantor Trust | 392 | 278,718 | ||||||||
|
| |||||||||
Total Collateralized Mortgage Obligations | 8,023,071 | |||||||||
|
| |||||||||
GOVERNMENTS - SOVEREIGN BONDS – 0.6% | ||||||||||
Lithuania – 0.2% | ||||||||||
Lithuania Government International Bond | 1,768 | 1,898,390 | ||||||||
|
| |||||||||
Qatar – 0.2% | ||||||||||
Qatar Government International Bond | 2,944 | 3,057,344 | ||||||||
|
| |||||||||
Russia – 0.2% | ||||||||||
Russian Foreign Bond - Eurobond | 2,038 | 2,428,047 | ||||||||
|
| |||||||||
Total Governments - Sovereign Bonds | 7,383,781 | |||||||||
|
| |||||||||
LOCAL GOVERNMENTS – MUNICIPAL BONDS – 0.4% | ||||||||||
United States – 0.4% | ||||||||||
California GO | 3,310 | 4,398,262 | ||||||||
|
| |||||||||
COVERED BONDS – 0.3% | ||||||||||
Covered Bonds – 0.3% | ||||||||||
Credit Agricole Home Loan SFH | EUR | 3,000 | 4,172,378 | |||||||
|
| |||||||||
SUPRANATIONALS – 0.3% | ||||||||||
International Bank for Reconstruction & Development | U.S.$ | 2,340 | 3,242,973 | |||||||
|
| |||||||||
| ALLIANCEBERNSTEIN POOLING PORTFOLIOS • | 93 |
Global Core Bond Portfolio—Portfolio of Investments
| Shares | U.S. $ Value | |||||||||
| ||||||||||
SHORT-TERM INVESTMENTS – 4.4% | ||||||||||
Investment Companies – 4.4% | ||||||||||
AllianceBernstein Fixed-Income Shares, Inc. – Government STIF Portfolio, 0.09%(e) | 53,343,138 | $ | 53,343,138 | |||||||
|
| |||||||||
Total Investments – 103.4% | 1,248,583,333 | |||||||||
Other assets less liabilities – (3.4)% | (40,523,588 | ) | ||||||||
|
| |||||||||
Net Assets – 100.0% | $ | 1,208,059,745 | ||||||||
|
| |||||||||
FUTURES CONTRACTS (see Note C)
| Type | Number of Contracts | Expiration Month | Original Value | Value at February 29, 2012 | Unrealized Appreciation/ (Depreciation) | |||||||||||||||
Sold Contracts |
| |||||||||||||||||||
U.S. T-Note 2 Yr Futures | 127 | June 2012 | $ | 27,969,516 | $ | 27,969,766 | $ | (250 | ) | |||||||||||
FORWARD CURRENCY EXCHANGE CONTRACTS (see Note C)
| Counterparty & Description | Contract Amount (000) | U.S. $ Value on Origination Date | U.S. $ Value at February 29, 2012 | Unrealized Appreciation/ (Depreciation) | ||||||||||||
Sale Contracts | ||||||||||||||||
Barclays Bank PLC Wholesale: | ||||||||||||||||
Canadian Dollar settling 3/02/12 | 11,952 | $ | 11,987,705 | $ | 12,079,524 | $ | (91,819 | ) | ||||||||
Canadian Dollar settling 3/02/12 | 11,915 | 11,889,798 | 12,041,477 | (151,679 | ) | |||||||||||
Canadian Dollar settling 3/02/12 | 19,452 | 19,452,502 | 19,658,902 | (206,400 | ) | |||||||||||
BNP Paribas SA: | ||||||||||||||||
Canadian Dollar settling 4/03/12 | 67,646 | 68,416,280 | 68,318,341 | 97,939 | ||||||||||||
Japanese Yen settling 3/21/12 | 912,670 | 11,654,350 | 11,229,086 | 425,264 | ||||||||||||
Citibank N.A.: | ||||||||||||||||
Canadian Dollar settling 3/02/12 | 10,664 | 10,696,144 | 10,777,832 | (81,688 | ) | |||||||||||
Japanese Yen settling 3/21/12 | 6,677,328 | 84,134,949 | 82,154,914 | 1,980,035 | ||||||||||||
Deutsche Bank AG London: | ||||||||||||||||
Euro settling 3/29/12 | 18,217 | 24,461,143 | 24,273,393 | 187,750 | ||||||||||||
Goldman Sachs International: | ||||||||||||||||
Euro settling 3/29/12 | 126,248 | 166,975,284 | 168,217,159 | (1,241,875 | ) | |||||||||||
South African Rand settling 3/26/12 | 191,258 | 24,667,098 | 25,371,539 | (704,441 | ) | |||||||||||
| 94 | • ALLIANCEBERNSTEIN POOLING PORTFOLIOS |
Global Core Bond Portfolio—Portfolio of Investments
| Counterparty & Description | Contract Amount (000) | U.S. $ Value on Origination Date | U.S. $ Value at February 29, 2012 | Unrealized Appreciation/ (Depreciation) | ||||||||||||
Royal Bank of Canada: | ||||||||||||||||
Canadian Dollar settling 3/02/12 | 13,662 | $ | 13,690,052 | $ | 13,807,638 | $ | (117,586 | ) | ||||||||
UBS AG: | ||||||||||||||||
Great British Pound settling 3/29/12 | 65,328 | 103,203,662 | 103,910,723 | (707,061 | ) | |||||||||||
|
| |||||||||||||||
| $ | (611,561 | ) | ||||||||||||||
|
| |||||||||||||||
| (a) | Security is exempt from registration under Rule 144A of the Securities Act of 1933. These securities are considered liquid and may be resold in transactions exempt from registration, normally to qualified institutional buyers. At February 29, 2012, the aggregate market value of these securities amounted to $154,275,139 or 12.8% of net assets. |
| (b) | Variable rate coupon, rate shown as of February 29, 2012. |
| (c) | Floating Rate Security. Stated interest rate was in effect at February 29, 2012. |
| (d) | Illiquid security. |
| (e) | Investment in affiliated money market mutual fund. The rate shown represents the 7-day yield as of period end. |
Currency Abbreviations:
| CAD | – Canadian Dollar |
| EUR | – Euro |
| GBP | – Great British Pound |
| JPY | – Japanese Yen |
| ZAR | – South African Rand |
Glossary:
| ABS | – Asset-Backed Securities |
| ARMs | – Adjustable Rate Mortgages |
| CMBS | – Commercial Mortgage-Backed Securities |
| FHLMC | – Federal Home Loan Mortgage Corporation |
| GO | – General Obligation |
| OJSC | – Open Joint Stock Company |
| REIT | – Real Estate Investment Trust |
| TBA | – To Be Announced |
| TIPS | – Treasury Inflation Protected Security |
See notes to financial statements.
| ALLIANCEBERNSTEIN POOLING PORTFOLIOS • | 95 |
Global Core Bond Portfolio—Portfolio of Investments
BOND INFLATION PROTECTION PORTFOLIO
PORTFOLIO OF INVESTMENTS
February 29, 2012 (unaudited)
| Principal Amount (000) | U.S. $ Value | |||||||||
| ||||||||||
INFLATION-LINKED | ||||||||||
United States – 96.7% | ||||||||||
U.S. Treasury Inflation Index | U.S.$ | 18,682 | $ | 19,455,331 | ||||||
0.625%, 7/15/21 (TIPS)(a) | 70,235 | 77,176,614 | ||||||||
1.125%, 1/15/21 (TIPS) | 13,577 | 15,516,456 | ||||||||
1.25%, 7/15/20 (TIPS)(a) | 60,680 | 70,279,977 | ||||||||
1.375%, 7/15/18-1/15/20 (TIPS)(a) | 48,101 | 55,942,332 | ||||||||
1.625%, 1/15/15 (TIPS)(a) | 46,440 | 50,905,791 | ||||||||
1.625%, 1/15/18 (TIPS) | 53,229 | 61,771,060 | ||||||||
1.875%, 7/15/13-7/15/19 (TIPS) | 118,391 | 131,711,363 | ||||||||
1.875%, 7/15/15 (TIPS)(a) | 81,024 | 90,861,301 | ||||||||
2.00%, 7/15/14 (TIPS)(a) | 99,851 | 109,437,747 | ||||||||
2.125%, 1/15/19 (TIPS)(a) | 26,159 | 31,697,192 | ||||||||
2.375%, 1/15/17 (TIPS)(a)(b) | 41,565 | 49,134,195 | ||||||||
2.375%, 1/15/25 (TIPS) | 1,197 | 1,556,236 | ||||||||
2.50%, 7/15/16 (TIPS) | 28,134 | 33,139,164 | ||||||||
2.625%, 7/15/17 (TIPS) | 4,955 | 6,015,340 | ||||||||
|
| |||||||||
Total Inflation-Linked Securities | 804,600,099 | |||||||||
|
| |||||||||
CORPORATES - INVESTMENT | ||||||||||
Industrial – 8.1% | ||||||||||
Basic – 0.5% | ||||||||||
AngloGold Ashanti Holdings PLC | 980 | 1,004,500 | ||||||||
ArcelorMittal | 769 | 813,753 | ||||||||
Dow Chemical Co. (The) | 945 | 1,041,123 | ||||||||
8.55%, 5/15/19 | 637 | 847,304 | ||||||||
|
| |||||||||
| 3,706,680 | ||||||||||
|
| |||||||||
Capital Goods – 0.4% | ||||||||||
CRH Finance BV | EUR | 1,100 | 1,617,663 | |||||||
Republic Services, Inc. | U.S.$ | 1,675 | 1,932,453 | |||||||
|
| |||||||||
| 3,550,116 | ||||||||||
|
| |||||||||
Communications - Media – 1.7% | ||||||||||
CBS Corp. | 1,309 | 1,298,904 | ||||||||
5.75%, 4/15/20 | 1,755 | 2,040,979 | ||||||||
Comcast Corp. | 1,745 | 2,045,309 | ||||||||
| 96 | • ALLIANCEBERNSTEIN POOLING PORTFOLIOS |
Bond Inflation Protection Portfolio—Portfolio of Investments
| Principal Amount (000) | U.S. $ Value | |||||||||
| ||||||||||
DirecTV Holdings LLC/DirecTV Financing Co., Inc. | U.S.$ | 660 | $ | 716,017 | ||||||
Interpublic Group of Cos. Inc. (The) | 199 | 196,487 | ||||||||
News America, Inc. | 1,584 | 1,860,526 | ||||||||
Reed Elsevier Capital, Inc. | 1,340 | 1,687,714 | ||||||||
Time Warner Cable, Inc. | 1,435 | 1,622,600 | ||||||||
Virgin Media Secured Finance PLC | 428 | 468,668 | ||||||||
WPP Finance 2010 | 1,737 | 1,851,402 | ||||||||
|
| |||||||||
| 13,788,606 | ||||||||||
|
| |||||||||
Communications - | ||||||||||
American Tower Corp. | 1,355 | 1,399,658 | ||||||||
AT&T, Inc. | 1,397 | 1,573,958 | ||||||||
Deutsche Telekom International | 1,777 | 1,752,193 | ||||||||
Koninklijke KPN NV | EUR | 1,185 | 1,617,597 | |||||||
Telecom Italia Capital SA | U.S.$ | 1,165 | 1,004,812 | |||||||
Telefonica Emisiones SAU | 835 | 839,961 | ||||||||
United States Cellular Corp. | 835 | 822,487 | ||||||||
Verizon Communications, Inc. | 1,510 | 2,080,747 | ||||||||
Vodafone Group PLC | 1,660 | 2,088,167 | ||||||||
|
| |||||||||
| 13,179,580 | ||||||||||
|
| |||||||||
Consumer Cyclical - Automotive – 0.2% | ||||||||||
Harley-Davidson Funding Corp. | 1,640 | 1,779,756 | ||||||||
|
| |||||||||
Consumer Cyclical - Entertainment – 0.2% | ||||||||||
Viacom, Inc. | 1,495 | 1,732,378 | ||||||||
|
| |||||||||
| ALLIANCEBERNSTEIN POOLING PORTFOLIOS • | 97 |
Bond Inflation Protection Portfolio—Portfolio of Investments
| Principal Amount (000) | U.S. $ Value | |||||||||
|
|
| ||||||||
Consumer Cyclical - Other – 0.4% | ||||||||||
Carnival PLC | EUR | 1,225 | $ | 1,664,839 | ||||||
Marriott International, Inc./DE Series J | U.S.$ | 1,700 | 1,772,049 | |||||||
|
| |||||||||
| 3,436,888 | ||||||||||
|
| |||||||||
Consumer Cyclical - Retailers – 0.2% | ||||||||||
Macy’s Retail Holdings, Inc. | 1,542 | 1,585,412 | ||||||||
|
| |||||||||
Consumer Non-Cyclical – 0.4% | ||||||||||
Bunge Ltd. Finance Corp. | 1,610 | 1,718,337 | ||||||||
Delhaize Group SA | 1,515 | 1,630,078 | ||||||||
|
| |||||||||
| 3,348,415 | ||||||||||
|
| |||||||||
Energy – 1.0% | ||||||||||
Anadarko Petroleum Corp. | 430 | 497,821 | ||||||||
Marathon Petroleum Corp. | 230 | 238,458 | ||||||||
5.125%, 3/01/21 | 390 | 423,558 | ||||||||
Nabors Industries, Inc. | 1,064 | 1,339,536 | ||||||||
Noble Energy, Inc. | 1,370 | 1,738,509 | ||||||||
Reliance Holdings USA, Inc. | 2,065 | 2,090,679 | ||||||||
Southwestern Energy Co. | 568 | 567,301 | ||||||||
Transocean, Inc. | 1,450 | 1,711,218 | ||||||||
|
| |||||||||
| 8,607,080 | ||||||||||
|
| |||||||||
Technology – 0.7% | ||||||||||
Agilent Technologies, Inc. | 249 | 277,255 | ||||||||
Hewlett-Packard Co. | 778 | 838,911 | ||||||||
Intel Corp. | 1,130 | 1,279,093 | ||||||||
Motorola Solutions, Inc. | 1,540 | 1,798,061 | ||||||||
Xerox Corp. | 1,425 | 1,600,419 | ||||||||
|
| |||||||||
| 5,793,739 | ||||||||||
|
| |||||||||
| 98 | • ALLIANCEBERNSTEIN POOLING PORTFOLIOS |
Bond Inflation Protection Portfolio—Portfolio of Investments
| Principal Amount (000) | U.S. $ Value | |||||||||
| ||||||||||
Transportation - Airlines – 0.2% | ||||||||||
Southwest Airlines Co. | U.S.$ | 1,615 | $ | 1,788,860 | ||||||
|
| |||||||||
Transportation - Railroads – 0.3% | ||||||||||
CSX Corp. | 1,970 | 2,056,059 | ||||||||
|
| |||||||||
Transportation - Services – 0.3% | ||||||||||
Asciano Finance Ltd. | 950 | 973,744 | ||||||||
Ryder System, Inc. | 1,105 | 1,145,965 | ||||||||
5.85%, 11/01/16 | 630 | 711,684 | ||||||||
|
| |||||||||
| 2,831,393 | ||||||||||
|
| |||||||||
| 67,184,962 | ||||||||||
|
| |||||||||
Financial Institutions – 5.4% | ||||||||||
Banking – 3.2% | ||||||||||
Bank of America Corp. | 705 | 731,387 | ||||||||
Bank of Scotland PLC | EUR | 1,190 | 1,641,684 | |||||||
Barclays Bank PLC | U.S.$ | 790 | 835,266 | |||||||
5.45%, 9/12/12 | 665 | 679,393 | ||||||||
BBVA Senior Finance SAU Series G | EUR | 1,200 | 1,602,246 | |||||||
Capital One Financial Corp. | U.S.$ | 1,445 | 1,608,148 | |||||||
Citigroup, Inc. | 1,940 | 1,993,022 | ||||||||
5.50%, 4/11/13 | 865 | 897,459 | ||||||||
Goldman Sachs Group, Inc. (The) | 2,120 | 2,212,941 | ||||||||
6.00%, 6/15/20 | 685 | 728,188 | ||||||||
HSBC Holdings PLC | 1,130 | 1,236,735 | ||||||||
JPMorgan Chase & Co. | 715 | 749,338 | ||||||||
4.50%, 1/24/22 | 2,075 | 2,204,781 | ||||||||
Macquarie Group Ltd. | 1,470 | 1,515,871 | ||||||||
Morgan Stanley | 2,413 | 2,386,438 | ||||||||
National Capital Trust II | 1,090 | 1,045,394 | ||||||||
Royal Bank of Scotland PLC (The) | 980 | 983,456 | ||||||||
| ALLIANCEBERNSTEIN POOLING PORTFOLIOS • | 99 |
Bond Inflation Protection Portfolio—Portfolio of Investments
| Principal Amount (000) | U.S. $ Value | |||||||||
| ||||||||||
UBS AG/Stamford CT | U.S.$ | 1,610 | $ | 1,699,609 | ||||||
Union Bank NA | 1,675 | 1,807,930 | ||||||||
|
| |||||||||
| 26,559,286 | ||||||||||
|
| |||||||||
Finance – 0.1% | ||||||||||
SLM Corp. | 925 | 948,125 | ||||||||
|
| |||||||||
Insurance – 2.0% | ||||||||||
Allstate Corp. (The) | 1,145 | 1,120,669 | ||||||||
American International Group, Inc. | 1,660 | 1,851,181 | ||||||||
Genworth Financial, Inc. | 936 | 954,520 | ||||||||
Hartford Financial Services Group, Inc. | 760 | 720,048 | ||||||||
Humana, Inc. | 1,520 | 1,833,919 | ||||||||
Lincoln National Corp. | 550 | 701,220 | ||||||||
Markel Corp. | 1,628 | 1,857,255 | ||||||||
Marsh & McLennan Cos., Inc. | 1,585 | 1,695,864 | ||||||||
Nationwide Mutual Insurance Co. | 1,410 | 1,809,191 | ||||||||
QBE Capital Funding III Ltd. | 760 | 692,214 | ||||||||
Swiss Re Capital I LP | 1,815 | 1,637,647 | ||||||||
XL Group PLC | 1,590 | 1,683,176 | ||||||||
|
| |||||||||
| 16,556,904 | ||||||||||
|
| |||||||||
REITS – 0.1% | ||||||||||
HCP, Inc. | 972 | 1,065,422 | ||||||||
|
| |||||||||
| 45,129,737 | ||||||||||
|
| |||||||||
Utility – 2.0% | ||||||||||
Electric – 0.7% | ||||||||||
Allegheny Energy Supply Co. LLC | 1,355 | 1,465,149 | ||||||||
Constellation Energy Group, Inc. | 615 | 691,933 | ||||||||
Nisource Finance Corp. | 695 | 731,829 | ||||||||
| 100 | • ALLIANCEBERNSTEIN POOLING PORTFOLIOS |
Bond Inflation Protection Portfolio—Portfolio of Investments
| Principal Amount (000) | U.S. $ Value | |||||||||
| ||||||||||
Ohio Power Co. Series F | U.S.$ | 350 | $ | 365,547 | ||||||
Pacific Gas & Electric Co. | 800 | 836,042 | ||||||||
TECO Finance, Inc. | 1,680 | 1,777,632 | ||||||||
|
| |||||||||
| 5,868,132 | ||||||||||
|
| |||||||||
Natural Gas – 1.3% | ||||||||||
DCP Midstream LLC | 1,290 | 1,673,615 | ||||||||
Energy Transfer Partners LP | 1,645 | 1,825,662 | ||||||||
Enterprise Products Operating LLC | 720 | 816,740 | ||||||||
EQT Corp. | 1,385 | 1,642,513 | ||||||||
Kinder Morgan Energy Partners LP | 969 | 1,007,023 | ||||||||
Spectra Energy Capital LLC | 1,395 | 1,786,129 | ||||||||
Williams Partners LP | 1,660 | 1,756,252 | ||||||||
|
| |||||||||
| 10,507,934 | ||||||||||
|
| |||||||||
| 16,376,066 | ||||||||||
|
| |||||||||
Non Corporate Sectors – 0.6% | ||||||||||
Agencies – Not Government Guaranteed – 0.6% | ||||||||||
Abu Dhabi National Energy Co. | 344 | 350,040 | ||||||||
Gazprom OAO Via Gaz Capital SA | 1,292 | 1,416,355 | ||||||||
IPIC GMTN Ltd. | 1,695 | 1,707,712 | ||||||||
Petrobras International Finance Co. – Pifco | 1,570 | 1,687,935 | ||||||||
|
| |||||||||
| 5,162,042 | ||||||||||
|
| |||||||||
Total Corporates – Investment Grades | 133,852,807 | |||||||||
|
| |||||||||
ASSET-BACKED SECURITIES – 5.9% | ||||||||||
Autos - Fixed Rate – 2.7% | ||||||||||
AmeriCredit Automobile Receivables Trust | 2,382 | 2,383,585 | ||||||||
Series 2011-4, Class A2 | 1,200 | 1,201,942 | ||||||||
| ALLIANCEBERNSTEIN POOLING PORTFOLIOS • | 101 |
Bond Inflation Protection Portfolio—Portfolio of Investments
| Principal Amount (000) | U.S. $ Value | |||||||||
| ||||||||||
CarMax Auto Owner Trust | U.S.$ | 825 | $ | 825,328 | ||||||
Exeter Automobile Receivables Trust | 1,710 | 1,710,012 | ||||||||
Ford Credit Auto Lease Trust | 2,940 | 2,941,079 | ||||||||
Ford Credit Auto Owner Trust | 3,120 | 3,183,790 | ||||||||
Huntington Auto Trust | 1,240 | 1,246,100 | ||||||||
Hyundai Auto Lease Securitization Trust | 1,177 | 1,177,209 | ||||||||
Mercedes-Benz Auto Lease Trust | 2,396 | 2,397,759 | ||||||||
Porsche Innovative Lease Owner Trust | 2,190 | 2,194,055 | ||||||||
Santander Drive Auto Receivables Trust | 923 | 923,594 | ||||||||
SMART Trust/Australia | 2,440 | 2,440,110 | ||||||||
|
| |||||||||
| 22,624,563 | ||||||||||
|
| |||||||||
Credit Cards - Floating Rate – 1.9% | ||||||||||
American Express Credit Account Master Trust | 3,676 | 3,682,307 | ||||||||
Series 2011-1, Class A | 3,350 | 3,354,278 | ||||||||
GE Capital Credit Card Master Note Trust | 1,495 | 1,507,223 | ||||||||
Series 2011-2, Class A | 2,625 | 2,632,052 | ||||||||
Penarth Master Issuer PLC | 4,090 | 4,098,969 | ||||||||
|
| |||||||||
| 15,274,829 | ||||||||||
|
| |||||||||
| 102 | • ALLIANCEBERNSTEIN POOLING PORTFOLIOS |
Bond Inflation Protection Portfolio—Portfolio of Investments
| Principal Amount (000) | U.S. $ Value | |||||||||
| ||||||||||
Autos - Floating Rate – 0.7% | ||||||||||
Ford Credit Floorplan Master Owner Trust | U.S.$ | 3,956 | $ | 3,956,376 | ||||||
Hyundai Floorplan Master Owner | 2,075 | 2,084,835 | ||||||||
|
| |||||||||
| 6,041,211 | ||||||||||
|
| |||||||||
Other ABS - Floating Rate – 0.4% | ||||||||||
GE Dealer Floorplan Master Note Trust | 3,065 | 3,064,988 | ||||||||
|
| |||||||||
Other ABS - Fixed Rate – 0.2% | ||||||||||
CNH Equipment Trust | 1,203 | 1,207,720 | ||||||||
GE Equipment Midticket LLC | 707 | 707,553 | ||||||||
|
| |||||||||
| 1,915,273 | ||||||||||
|
| |||||||||
Total Asset-Backed Securities | 48,920,864 | |||||||||
|
| |||||||||
MORTGAGE PASS-THROUGHS – 5.4% | ||||||||||
Agency Fixed Rate 30-Year – 3.7% | ||||||||||
Federal National Mortgage Association | 10,044 | 10,388,951 | ||||||||
6.00%, 10/01/40 | 18,337 | 20,149,030 | ||||||||
|
| |||||||||
| 30,537,981 | ||||||||||
|
| |||||||||
Agency ARMs – 1.7% | ||||||||||
Federal Home Loan Mortgage Corp. | 1,600 | 1,698,524 | ||||||||
5.057%, 5/01/38(e) | 1,615 | 1,711,571 | ||||||||
5.148%, 11/01/35(d) | 3,083 | 3,258,267 | ||||||||
Federal National Mortgage Association | 2,879 | 3,038,884 | ||||||||
4.53%, 8/01/38(d) | 2,988 | 3,174,821 | ||||||||
4.777%, 10/01/39(e) | 1,533 | 1,633,322 | ||||||||
|
| |||||||||
| 14,515,389 | ||||||||||
|
| |||||||||
Total Mortgage Pass-Throughs | 45,053,370 | |||||||||
|
| |||||||||
| ALLIANCEBERNSTEIN POOLING PORTFOLIOS • | 103 |
Bond Inflation Protection Portfolio—Portfolio of Investments
| Principal Amount (000) | U.S. $ Value | |||||||||
| ||||||||||
COMMERCIAL MORTGAGE-BACKED SECURITIES – 3.2% | ||||||||||
Non-Agency Fixed Rate CMBS – 2.8% | ||||||||||
Citigroup/Deutsche Bank Commercial Mortgage Trust | U.S.$ | 2,982 | $ | 3,027,753 | ||||||
Commercial Mortgage Pass Through Certificates | 3,350 | 3,752,040 | ||||||||
Greenwich Capital Commercial Funding Corp. | 3,780 | 4,196,560 | ||||||||
JP Morgan Chase Commercial Mortgage Securities Corp. | 2,255 | 2,531,826 | ||||||||
LB-UBS Commercial Mortgage Trust | 3,220 | 3,692,181 | ||||||||
Merrill Lynch Mortgage Trust | 2,085 | 2,116,346 | ||||||||
Merrill Lynch/Countrywide Commercial Mortgage Trust | 3,265 | 3,686,116 | ||||||||
|
| |||||||||
| 23,002,822 | ||||||||||
|
| |||||||||
Agency CMBS – 0.4% | ||||||||||
FHLMC Multifamily Structured Pass Through Certificates | 3,146 | 3,302,063 | ||||||||
|
| |||||||||
Total Commercial Mortgage-Backed Securities | 26,304,885 | |||||||||
|
| |||||||||
GOVERNMENTS - TREASURIES – 1.5% | ||||||||||
Canada – 1.5% | ||||||||||
Canadian Government Bond 3.25%, 6/01/21 | CAD | 11,050 | 12,357,193 | |||||||
|
| |||||||||
GOVERNMENTS - SOVEREIGN AGENCIES – 1.2% | ||||||||||
Australia – 0.3% | ||||||||||
Suncorp-Metway Ltd. | U.S.$ | 2,600 | 2,614,906 | |||||||
|
| |||||||||
| 104 | • ALLIANCEBERNSTEIN POOLING PORTFOLIOS |
Bond Inflation Protection Portfolio—Portfolio of Investments
| Principal Amount (000) | U.S. $ Value | |||||||||
| ||||||||||
United Kingdom – 0.9% | ||||||||||
Lloyds TSB Bank PLC | GBP | 1,465 | $ | 2,331,927 | ||||||
Skipton Building Society | 1,485 | 2,364,849 | ||||||||
West Bromwich Building Society | 1,490 | 2,372,553 | ||||||||
|
| |||||||||
| 7,069,329 | ||||||||||
|
| |||||||||
Total Governments – Sovereign Agencies | 9,684,235 | |||||||||
|
| |||||||||
AGENCIES – 1.0% | ||||||||||
Agency Debentures – 1.0% | ||||||||||
Federal Home Loan Mortgage Corp. | U.S.$ | 7,932 | 8,021,877 | |||||||
|
| |||||||||
QUASI-SOVEREIGNS – 0.5% | ||||||||||
Quasi-Sovereign Bonds – 0.5% | ||||||||||
Indonesia – 0.1% | ||||||||||
Perusahaan Listrik Negara PT | 1,083 | 1,161,517 | ||||||||
|
| |||||||||
Kazakhstan – 0.2% | ||||||||||
KazMunayGas National Co. | 1,328 | 1,527,200 | ||||||||
|
| |||||||||
Malaysia – 0.2% | ||||||||||
Petronas Capital Ltd. | 1,500 | 1,693,875 | ||||||||
|
| |||||||||
Total Quasi-Sovereigns | 4,382,592 | |||||||||
|
| |||||||||
SUPRANATIONALS – 0.4% | ||||||||||
European Investment Bank | 3,500 | 3,500,000 | ||||||||
|
| |||||||||
GOVERNMENTS - SOVEREIGN | ||||||||||
Indonesia – 0.1% | ||||||||||
Republic of Indonesia | 1,025 | 1,092,906 | ||||||||
|
| |||||||||
| ALLIANCEBERNSTEIN POOLING PORTFOLIOS • | 105 |
Bond Inflation Protection Portfolio—Portfolio of Investments
| Principal Amount (000) | U.S. $ Value | |||||||||
| ||||||||||
Qatar – 0.2% | ||||||||||
State of Qatar | U.S.$ | 1,445 | $ | 1,500,633 | ||||||
|
| |||||||||
Total Governments – Sovereign Bonds | 2,593,539 | |||||||||
|
| |||||||||
CORPORATES – NON-INVESTMENT GRADE – 0.0% | ||||||||||
Industrial – 0.0% | ||||||||||
Capital Goods – 0.0% | ||||||||||
Ball Corp. 5.00%, 3/15/22 | 264 | 269,940 | ||||||||
|
| |||||||||
Total Investments – 132.2% | 1,099,541,401 | |||||||||
Other assets less liabilities – (32.2)% | (267,680,929 | ) | ||||||||
|
| |||||||||
Net Assets – 100.0% | $ | 831,860,472 | ||||||||
|
| |||||||||
FUTURES CONTRACTS (see Note C)
| Type | Number of Contracts | Expiration Month | Original Value | Value at February 29, 2012 | Unrealized Appreciation/ (Depreciation) | |||||||||||||||
Purchased Contracts | ||||||||||||||||||||
U.S. T-Note 10 Yr Futures | 8 | June 2012 | $ | 1,051,141 | $ | 1,047,625 | $ | (3,516 | ) | |||||||||||
Sold Contracts | ||||||||||||||||||||
U.S. T-Note 30 Yr Futures | 173 | June 2012 | 24,604,520 | 24,506,532 | 97,988 | |||||||||||||||
U.S. T-Note 5 Yr Futures | 395 | June 2012 | 48,634,356 | 48,652,891 | (18,535 | ) | ||||||||||||||
|
| |||||||||||||||||||
| $ | 75,937 | |||||||||||||||||||
|
| |||||||||||||||||||
FORWARD CURRENCY EXCHANGE CONTRACTS (see Note C)
| Counterparty & Description | Contract Amount (000) | U.S. $ Value on Origination Date | U.S. $ Value at February 29, 2012 | Unrealized Appreciation/ (Depreciation) | ||||||||||||
Buy Contracts | ||||||||||||||||
Citibank N.A.: | ||||||||||||||||
Canadian Dollar settling 3/02/12 | 4,437 | $ | 4,428,337 | $ | 4,484,252 | $ | 55,915 | |||||||||
Royal Bank of Scotland PLC: | ||||||||||||||||
Mexican Nuevo Peso settling 3/26/12 | 53,384 | 4,146,682 | 4,149,169 | 2,487 | ||||||||||||
South African Rand settling 3/26/12 | 32,022 | 4,184,455 | 4,247,862 | 63,407 | ||||||||||||
Swedish Krona settling 3/28/12 | 55,711 | 8,483,494 | 8,410,914 | (72,580 | ) | |||||||||||
Standard Chartered Bank: | ||||||||||||||||
Indian Rupee settling 3/30/12 | 203,477 | 4,108,993 | 4,112,834 | 3,841 | ||||||||||||
| 106 | • ALLIANCEBERNSTEIN POOLING PORTFOLIOS |
Bond Inflation Protection Portfolio—Portfolio of Investments
| Counterparty & Description | Contract Amount (000) | U.S. $ Value on Origination Date | U.S. $ Value at February 29, 2012 | Unrealized Appreciation/ (Depreciation) | ||||||||||||
UBS AG: | ||||||||||||||||
Australian Dollar settling 3/09/12 | 7,778 | $ | 8,380,362 | $ | 8,334,475 | $ | (45,887 | ) | ||||||||
Sale Contracts | ||||||||||||||||
Barclays Bank PLC Wholesale: | ||||||||||||||||
Euro settling 3/29/12 | 6,324 | 8,519,234 | 8,426,878 | 92,356 | ||||||||||||
BNP Paribas SA: | ||||||||||||||||
Japanese Yen settling 3/21/12 | 315,223 | 4,025,248 | 3,878,368 | 146,880 | ||||||||||||
Credit Suisse London Branch (GFX): | ||||||||||||||||
Great British Pound settling 3/29/12 | 4,462 | 7,045,922 | 7,097,528 | (51,606 | ) | |||||||||||
Deutsche Bank AG London: | ||||||||||||||||
Euro settling 3/29/12 | 3,131 | 4,193,053 | 4,172,124 | 20,929 | ||||||||||||
HSBC BankUSA: | ||||||||||||||||
Canadian Dollar settling 4/03/12 | 16,113 | 16,306,467 | 16,272,996 | 33,471 | ||||||||||||
Morgan Stanley and Co Inc.: | ||||||||||||||||
Canadian Dollar settling 3/02/12 | 8,278 | 8,284,134 | 8,365,670 | (81,536 | ) | |||||||||||
Royal Bank of Canada: | ||||||||||||||||
Canadian Dollar settling 3/02/12 | 12,272 | 12,312,890 | 12,402,781 | (89,891 | ) | |||||||||||
Standard Chartered Bank: | ||||||||||||||||
Euro settling 3/29/12 | 12,536 | 16,623,988 | 16,703,325 | (79,337 | ) | |||||||||||
|
| |||||||||||||||
| $ | (1,551 | ) | ||||||||||||||
|
| |||||||||||||||
INTEREST RATE SWAP TRANSACTIONS (see Note C)
| Rate Type | ||||||||||||||||||||
Swap Counterparty | Notional Amount (000) | Termination Date | Payments made by the Portfolio | Payments received by the Portfolio | Unrealized Appreciation/ (Depreciation) | |||||||||||||||
Barclays Bank PLC | $ | 33,270 | 6/7/13 | 0.627 | % | 3 Month LIBOR | $ | (60,598 | ) | |||||||||||
Barclays Bank PLC | 50,940 | 11/17/13 | 1.059 | % | 3 Month LIBOR | (599,759 | ) | |||||||||||||
Barclays Bank PLC | 7,590 | 1/17/22 | 2.05 | % | 3 Month LIBOR | (8,482 | ) | |||||||||||||
JPMorgan Chase Bank, N.A. | 8,040 | 5/17/21 | 3.268 | % | 3 Month LIBOR | (975,088 | ) | |||||||||||||
JPMorgan Chase Bank, N.A. | 9,340 | 2/7/22 | 2.04 | % | 3 Month LIBOR | 9,041 | ||||||||||||||
Morgan Stanley Capital Services Inc. | 5,480 | 2/21/42 | 2.813 | % | 3 Month LIBOR | (38,661 | ) | |||||||||||||
|
| |||||||||||||||||||
| $ | (1,673,547 | ) | ||||||||||||||||||
|
| |||||||||||||||||||
| ALLIANCEBERNSTEIN POOLING PORTFOLIOS • | 107 |
Bond Inflation Protection Portfolio—Portfolio of Investments
REVERSE REPURCHASE AGREEMENTS (see Note C)
| Broker | Interest Rate | Maturity | U.S. $ Value at February 29, 2012 | |||||||||
Bank of America† | 0.00 | % | — | $ | 22,837,500 | |||||||
Bank of America | 0.18 | % | 3/01/12 | 27,867,632 | ||||||||
Bank of America | 0.18 | % | 4/04/12 | 7,775,936 | ||||||||
Bank of America† | 0.18 | % | — | 3,292,500 | ||||||||
Bank of America† | 0.18 | % | — | 3,736,250 | ||||||||
Bank of America† | 0.18 | % | — | 4,128,800 | ||||||||
Bank of America† | 0.18 | % | — | 4,340,000 | ||||||||
Bank of America† | 0.18 | % | — | 9,097,888 | ||||||||
Bank of America | 0.19 | % | 3/27/12 | 28,637,364 | ||||||||
Bank of America | 0.19 | % | 5/03/12 | 32,266,807 | ||||||||
Bank of America | 0.20 | % | 4/04/12 | 32,430,781 | ||||||||
Bank of America | 0.21 | % | 5/10/12 | 6,028,984 | ||||||||
Bank of America | 0.22 | % | 3/05/12 | 21,160,000 | ||||||||
Bank of America | 0.22 | % | 3/05/12 | 29,092,340 | ||||||||
Bank of America | 0.22 | % | 4/11/12 | 27,882,840 | ||||||||
Barclays† | 0.17 | % | — | 4,324,668 | ||||||||
Barclays† | 0.17 | % | — | 9,123,750 | ||||||||
Barclays† | 0.17 | % | — | 10,637,500 | ||||||||
Goldman | 0.18 | % | 4/03/12 | 5,494,415 | ||||||||
Goldman | 0.21 | % | 5/10/12 | 11,894,200 | ||||||||
|
| |||||||||||
| $ | (302,050,155 | ) | ||||||||||
|
| |||||||||||
| † | The reverse repurchase agreement matures on demand. Interest rate resets daily and the rate shown is the rate in effect on February 29, 2012 |
| (a) | Position, or a portion thereof, has been segregated to collateralize reverse repurchase agreements. The market value of the collateral amounted to $554,890,480. |
| (b) | Position, or a portion thereof, has been segregated to collateralize interest rate swap contracts. The aggregate market value of these securities amounted to $2,042,628. |
| (c) | Security is exempt from registration under Rule 144A of the Securities Act of 1933. These securities are considered liquid and may be resold in transactions exempt from registration, normally to qualified institutional buyers. At February 29, 2012, the aggregate market value of these securities amounted to $49,268,349 or 5.9% of net assets. |
| (d) | Floating Rate Security. Stated interest rate was in effect at February 29, 2012. |
| (e) | Variable rate coupon, rate shown as of February 29, 2012. |
Currency Abbreviations:
CAD – Canadian Dollar
EUR – Euro
GBP – Great British Pound
Glossary:
ABS – Asset-Backed Securities
ARMs – Adjustable Rate Mortgages
CMBS – Commercial Mortgage-Backed Securities
FHLMC – Federal Home Loan Mortgage Corporation
LIBOR – London Interbank Offered Rates
REIT – Real Estate Investment Trust
TIPS – Treasury Inflation Protected Security
See notes to financial statements.
| 108 | • ALLIANCEBERNSTEIN POOLING PORTFOLIOS |
Bond Inflation Protection Portfolio—Portfolio of Investments
HIGH-YIELD PORTFOLIO
PORTFOLIO OF INVESTMENTS
February 29, 2012 (unaudited)
| Principal Amount (000) | U.S. $ Value | |||||||||
| ||||||||||
CORPORATES - NON-INVESTMENT GRADES – 71.8% | ||||||||||
Industrial – 58.6% | ||||||||||
Basic – 4.1% | ||||||||||
AK Steel Corp. | U.S.$ | 243 | $ | 244,519 | ||||||
Aleris International, Inc. | 1,100 | 1,155,000 | ||||||||
Arch Coal, Inc. | 451 | 451,000 | ||||||||
7.25%, 6/15/21(a) | 1,184 | 1,181,040 | ||||||||
Arch Western Finance LLC | 696 | 699,480 | ||||||||
Calcipar SA | 479 | 471,815 | ||||||||
Commercial Metals Co. | 1,366 | 1,372,830 | ||||||||
Consol Energy, Inc. | 525 | 572,250 | ||||||||
Huntsman International LLC | 400 | 399,500 | ||||||||
8.625%, 3/15/21 | 891 | 1,006,830 | ||||||||
Ineos Finance PLC | 425 | 451,562 | ||||||||
Ineos Group Holdings Ltd. | 1,000 | 912,500 | ||||||||
JMC Steel Group | 236 | 246,325 | ||||||||
Kinove German Bondco GmbH | 317 | 324,133 | ||||||||
Lyondell Chemical Co. | 357 | 391,203 | ||||||||
LyondellBasell Industries NV | 339 | 372,053 | ||||||||
Momentive Performance Materials, Inc. | 270 | 226,800 | ||||||||
NewMarket Corp. | 615 | 633,450 | ||||||||
NewPage Corp. | 397 | 20,843 | ||||||||
Nova Chemicals Corp. | 501 | 574,897 | ||||||||
Peabody Energy Corp. | 275 | 288,063 | ||||||||
6.25%, 11/15/21(a) | 659 | 690,302 | ||||||||
7.375%, 11/01/16 | 545 | 615,850 | ||||||||
Polypore International, Inc. | 380 | 398,050 | ||||||||
| ALLIANCEBERNSTEIN POOLING PORTFOLIOS • | 109 |
High-Yield Portfolio—Portfolio of Investments
| Principal Amount (000) | U.S. $ Value | |||||||||
| ||||||||||
Rain CII Carbon LLC/CII Carbon Corp. | U.S.$ | 501 | $ | 531,060 | ||||||
Smurfit Kappa Acquisitions | EUR | 500 | 717,776 | |||||||
Steel Dynamics, Inc. | U.S.$ | 625 | 650,000 | |||||||
TPC Group LLC | 1,047 | 1,104,585 | ||||||||
Verso Paper Holdings LLC/Verso Paper, Inc. | 529 | 235,405 | ||||||||
Weyerhaeuser Co. | 685 | 744,948 | ||||||||
|
| |||||||||
| 17,684,069 | ||||||||||
|
| |||||||||
Capital Goods – 6.7% | ||||||||||
Alliant Techsystems, Inc. | 320 | 340,000 | ||||||||
Ardagh Packaging Finance PLC | 620 | 666,500 | ||||||||
Ball Corp. | 233 | 238,243 | ||||||||
Berry Plastics Corp. | 1,205 | 1,289,350 | ||||||||
Bombardier, Inc. | 624 | 709,800 | ||||||||
Building Materials Corp. of America | 689 | 747,565 | ||||||||
7.50%, 3/15/20(a) | 499 | 545,781 | ||||||||
CNH America LLC | 935 | 1,030,837 | ||||||||
CNH Capital LLC | 262 | 281,650 | ||||||||
Graphic Packaging International, Inc. | 500 | 550,000 | ||||||||
Griffon Corp. | 287 | 298,480 | ||||||||
Grohe Holding GmbH | EUR | 354 | 474,582 | |||||||
KUKA AG | 361 | 514,627 | ||||||||
Manitowoc Co., Inc. (The) | U.S.$ | 922 | 1,028,030 | |||||||
Masco Corp. | 900 | 960,376 | ||||||||
Mohawk Industries, Inc. | 1,377 | 1,519,864 | ||||||||
| 110 | • ALLIANCEBERNSTEIN POOLING PORTFOLIOS |
High-Yield Portfolio—Portfolio of Investments
| Principal Amount (000) | U.S. $ Value | |||||||||
| ||||||||||
Nordenia International AG | EUR | 517 | $ | 737,015 | ||||||
Nortek, Inc. | U.S.$ | 712 | 688,860 | |||||||
Plastipak Holdings, Inc. | 1,180 | 1,215,400 | ||||||||
Polymer Group, Inc. | 1,300 | 1,391,000 | ||||||||
Pregis Corp. | EUR | 56 | 71,392 | |||||||
Reynolds Group Issuer, Inc./Reynolds Group Issuer LLC/Reynolds Group Issuer Lu | U.S.$ | 712 | 752,940 | |||||||
7.875%, 8/15/19(a) | 2,365 | 2,589,675 | ||||||||
8.25%, 2/15/21(a) | 1,850 | 1,766,750 | ||||||||
8.75%, 10/15/16(a) | 118 | 125,670 | ||||||||
9.00%, 4/15/19(a) | 638 | 638,000 | ||||||||
9.875%, 8/15/19(a) | 526 | 543,753 | ||||||||
RSC Equipment Rental, Inc./RSC | 750 | 795,000 | ||||||||
Sealed Air Corp. | 1,320 | 1,267,200 | ||||||||
8.125%, 9/15/19(a) | 235 | 265,550 | ||||||||
8.375%, 9/15/21(a) | 241 | 275,945 | ||||||||
Solo Cup Co./Solo Cup Operating Corp. | 850 | 859,562 | ||||||||
Sterling Merger, Inc. | 413 | 434,683 | ||||||||
Summit Materials LLC/Summit Materials Finance Corp. | 340 | 351,050 | ||||||||
TransDigm, Inc. | 1,200 | 1,320,000 | ||||||||
United Rentals North America, Inc. | 267 | 276,345 | ||||||||
9.25%, 12/15/19 | 650 | 718,250 | ||||||||
USG Corp. | 1,115 | 1,045,312 | ||||||||
|
| |||||||||
| 29,325,037 | ||||||||||
|
| |||||||||
Communications - Media – 7.8% | ||||||||||
Allbritton Communications Co. | 510 | 539,325 | ||||||||
Cablevision Systems Corp. | 1,750 | 1,964,375 | ||||||||
| ALLIANCEBERNSTEIN POOLING PORTFOLIOS • | 111 |
High-Yield Portfolio—Portfolio of Investments
| Principal Amount (000) | U.S. $ Value | |||||||||
| ||||||||||
CCO Holdings LLC/CCO Holdings Capital Corp. | U.S.$ | 2,250 | $ | 2,430,000 | ||||||
7.375%, 6/01/20 | 750 | 825,000 | ||||||||
7.875%, 4/30/18 | 664 | 725,420 | ||||||||
8.125%, 4/30/20 | 219 | 245,280 | ||||||||
Cequel Communications Holdings I LLC and Cequel Capital Corp. | 1,015 | 1,088,588 | ||||||||
Clear Channel Communications, Inc. | 1,180 | 1,057,575 | ||||||||
9.00%, 3/01/21 | 457 | 420,440 | ||||||||
Clear Channel Worldwide Holdings, Inc. | 544 | 544,000 | ||||||||
Series A | 100 | 100,000 | ||||||||
Series B | 1,440 | 1,584,000 | ||||||||
Crown Media Holdings, Inc. | 470 | 501,725 | ||||||||
CSC Holdings LLC | 535 | 604,550 | ||||||||
7.875%, 2/15/18 | 640 | 723,200 | ||||||||
Cumulus Media, Inc. | 648 | 633,420 | ||||||||
Dex One Corp. | 338 | 81,182 | ||||||||
DISH DBS Corp. | 970 | 1,057,300 | ||||||||
6.75%, 6/01/21 | 1,100 | 1,221,000 | ||||||||
Hughes Satellite Systems Corp. | 965 | 1,047,025 | ||||||||
Intelsat Jackson Holdings SA | 1,900 | 1,999,750 | ||||||||
11.25%, 6/15/16 | 212 | 224,190 | ||||||||
Intelsat Luxembourg SA | 1,725 | 1,778,906 | ||||||||
11.50%, 2/04/17(a)(d) | 300 | 306,000 | ||||||||
11.50%, 2/04/17(d) | 1,598 | 1,646,081 | ||||||||
Kabel BW GmbH | 402 | 434,160 | ||||||||
Lamar Media Corp. | 459 | 479,081 | ||||||||
6.625%, 8/15/15 | 940 | 961,150 | ||||||||
New York Times Co. (The) | 500 | 521,250 | ||||||||
| 112 | • ALLIANCEBERNSTEIN POOLING PORTFOLIOS |
High-Yield Portfolio—Portfolio of Investments
| Principal Amount (000) | U.S. $ Value | |||||||||
| ||||||||||
Quebecor Media, Inc. | U.S.$ | 1,985 | $ | 2,044,550 | ||||||
RR Donnelley & Sons Co. | 824 | 817,820 | ||||||||
Sinclair Television Group, Inc. | 600 | 652,500 | ||||||||
Univision Communications, Inc. | 1,000 | 1,020,000 | ||||||||
8.50%, 5/15/21(a) | 550 | 545,875 | ||||||||
UPCB Finance III Ltd. | 550 | 566,500 | ||||||||
UPCB Finance V Ltd. | 665 | 699,913 | ||||||||
Virgin Media Finance PLC | 650 | 650,000 | ||||||||
XM Satellite Radio, Inc. | 975 | 1,067,625 | ||||||||
|
| |||||||||
| 33,808,756 | ||||||||||
|
| |||||||||
Communications - Telecommunications – 4.7% | ||||||||||
Crown Castle International Corp. | 1,000 | 1,095,000 | ||||||||
eAccess Ltd. | 646 | 618,545 | ||||||||
Fairpoint Communications Inc/Old | 1,966 | 19,661 | ||||||||
Frontier Communications Corp. | 851 | 878,657 | ||||||||
9.00%, 8/15/31 | 545 | 531,375 | ||||||||
Level 3 Communications, Inc. | 1,575 | 1,791,562 | ||||||||
Level 3 Financing, Inc. | 314 | 335,195 | ||||||||
8.75%, 2/15/17 | 685 | 715,825 | ||||||||
9.375%, 4/01/19 | 550 | 607,750 | ||||||||
MetroPCS Wireless, Inc. | 550 | 589,875 | ||||||||
NII Capital Corp. | 749 | 765,853 | ||||||||
PAETEC Holding Corp. | 1,045 | 1,170,400 | ||||||||
Phones4u Finance PLC | GBP | 345 | 481,625 | |||||||
Sprint Capital Corp. | U.S.$ | 1,740 | 1,357,200 | |||||||
8.75%, 3/15/32 | 1,180 | 1,050,200 | ||||||||
| ALLIANCEBERNSTEIN POOLING PORTFOLIOS • | 113 |
High-Yield Portfolio—Portfolio of Investments
| Principal Amount (000) | U.S. $ Value | |||||||||
| ||||||||||
Sunrise Communications Holdings SA | EUR | 350 | $ | 495,449 | ||||||
Telenet Finance III Luxembourg S.C.A. | 420 | 570,757 | ||||||||
tw telecom holdings, Inc. | U.S.$ | 1,039 | 1,139,004 | |||||||
VimpelCom Holdings BV | 800 | 784,400 | ||||||||
Wind Acquisition Finance SA | 1,850 | 1,813,000 | ||||||||
Windstream Corp. | 1,750 | 1,841,875 | ||||||||
7.875%, 11/01/17 | 675 | 761,063 | ||||||||
8.125%, 9/01/18 | 900 | 985,500 | ||||||||
|
| |||||||||
| 20,399,771 | ||||||||||
|
| |||||||||
Consumer Cyclical - Automotive – 4.0% | ||||||||||
Affinia Group, Inc. | 380 | 384,750 | ||||||||
Allison Transmission, Inc. | 975 | 1,004,250 | ||||||||
11.00%, 11/01/15(a) | 53 | 55,981 | ||||||||
Commercial Vehicle Group, Inc. | 427 | 431,270 | ||||||||
Dana Holding Corp. | 140 | 151,200 | ||||||||
6.75%, 2/15/21 | 111 | 120,158 | ||||||||
Delphi Corp. | 433 | 456,815 | ||||||||
6.125%, 5/15/21(a) | 325 | 348,562 | ||||||||
Exide Technologies | 331 | 257,352 | ||||||||
Ford Motor Co. | 1,000 | 1,283,750 | ||||||||
Ford Motor Credit Co. LLC | 1,125 | 1,153,320 | ||||||||
7.00%, 10/01/13 | 2,734 | 2,927,551 | ||||||||
8.00%, 12/15/16 | 2,665 | 3,167,065 | ||||||||
Goodyear Tire & Rubber Co. (The) | 964 | 1,053,170 | ||||||||
8.75%, 8/15/20 | 857 | 943,771 | ||||||||
Navistar International Corp. | 909 | 994,219 | ||||||||
Pharmaceutical Product Development, Inc. | 995 | 1,088,281 | ||||||||
Schaeffler Finance BV | 800 | 866,000 | ||||||||
| 114 | • ALLIANCEBERNSTEIN POOLING PORTFOLIOS |
High-Yield Portfolio—Portfolio of Investments
| Principal Amount (000) | U.S. $ Value | |||||||||
| ||||||||||
Tenneco, Inc. | U.S.$ | 330 | $ | 353,925 | ||||||
UCI International, Inc. | 402 | 411,045 | ||||||||
|
| |||||||||
| 17,452,435 | ||||||||||
|
| |||||||||
Consumer Cyclical - | ||||||||||
AMC Entertainment, Inc. | 425 | 397,375 | ||||||||
ClubCorp Club Operations, Inc. | 775 | 798,250 | ||||||||
Greektown Holdings LLC | 525 | – 0 | – | |||||||
NAI Entertainment Holdings LLC | 930 | 1,025,325 | ||||||||
Regal Entertainment Group | 1,020 | 1,116,900 | ||||||||
|
| |||||||||
| 3,337,850 | ||||||||||
|
| |||||||||
Consumer Cyclical - Other – 4.9% | ||||||||||
Beazer Homes USA, Inc. | 425 | 463,250 | ||||||||
Boyd Gaming Corp. | 525 | 544,687 | ||||||||
Broder Brothers Co. | 354 | 355,791 | ||||||||
Caesars Entertainment Operating Co., Inc. | 825 | 637,312 | ||||||||
Chester Downs & Marina LLC | 326 | 341,485 | ||||||||
Chukchansi Economic Development Authority | 1,015 | 700,350 | ||||||||
CityCenter Holdings LLC/CityCenter Finance Corp. | 1,111 | 1,172,105 | ||||||||
DR Horton, Inc. | 1,180 | 1,274,400 | ||||||||
Host Hotels & Resorts LP | 385 | 392,700 | ||||||||
Series Q | 935 | 966,556 | ||||||||
Isle of Capri Casinos, Inc. | 545 | 543,638 | ||||||||
KB Home | 650 | 661,375 | ||||||||
| ALLIANCEBERNSTEIN POOLING PORTFOLIOS • | 115 |
High-Yield Portfolio—Portfolio of Investments
| Principal Amount (000) | U.S. $ Value | |||||||||
| ||||||||||
Lennar Corp. | U.S.$ | 1,260 | $ | 1,330,875 | ||||||
Levi Strauss & Co. | 742 | 766,122 | ||||||||
M/I Homes, Inc. | 790 | 762,350 | ||||||||
Marina District Finance Co., Inc. | 745 | 707,750 | ||||||||
Meritage Homes Corp. | 133 | 137,323 | ||||||||
MGM Resorts International | 1,222 | 1,237,275 | ||||||||
8.625%, 2/01/19(a) | 415 | 441,975 | ||||||||
NCL Corp. Ltd. | 161 | 173,075 | ||||||||
11.75%, 11/15/16 | 500 | 580,000 | ||||||||
Royal Caribbean Cruises Ltd. | 1,885 | 1,983,962 | ||||||||
Ryland Group, Inc. (The) | 335 | 341,700 | ||||||||
Seminole Indian Tribe of Florida | 94 | 91,710 | ||||||||
7.75%, 10/01/17(a) | 631 | 684,635 | ||||||||
Shea Homes LP/Shea Homes Funding Corp. | 703 | 713,545 | ||||||||
Standard Pacific Corp. | 500 | 535,000 | ||||||||
Station Casinos, Inc. | 3,610 | – 0 | – | |||||||
Toll Brothers Finance Corp. | 525 | 544,548 | ||||||||
Wynn Las Vegas LLC/Wynn Las Vegas Capital Corp. | 1,900 | 2,142,250 | ||||||||
|
| |||||||||
| 21,227,744 | ||||||||||
|
| |||||||||
Consumer Cyclical - Restaurants – 0.4% | ||||||||||
Burger King Corp. | 640 | 723,200 | ||||||||
CKE Restaurants, Inc. | 675 | 769,500 | ||||||||
Landry’s, Inc. | 455 | 497,087 | ||||||||
|
| |||||||||
| 1,989,787 | ||||||||||
|
| |||||||||
| 116 | • ALLIANCEBERNSTEIN POOLING PORTFOLIOS |
High-Yield Portfolio—Portfolio of Investments
| Principal Amount (000) | U.S. $ Value | |||||||||
| ||||||||||
Consumer Cyclical - Retailers – 1.4% | ||||||||||
Asbury Automotive Group, Inc. | U.S.$ | 357 | $ | 382,882 | ||||||
Bon-Ton Department Stores, Inc. (The) | 371 | 237,440 | ||||||||
JC Penney Corp., Inc. | 250 | 220,313 | ||||||||
7.40%, 4/01/37 | 275 | 268,125 | ||||||||
Limited Brands, Inc. | 400 | 440,000 | ||||||||
6.90%, 7/15/17 | 1,063 | 1,185,245 | ||||||||
Ltd. Brands, Inc. | 503 | 518,090 | ||||||||
Michaels Stores, Inc. | 500 | 528,750 | ||||||||
Rite Aid Corp. | 1,000 | 1,140,000 | ||||||||
Toys R US – Delaware, Inc. | 805 | 827,137 | ||||||||
Toys R US, Inc. | 370 | 334,850 | ||||||||
|
| |||||||||
| 6,082,832 | ||||||||||
|
| |||||||||
Consumer Non-Cyclical – 9.3% | ||||||||||
ACCO Brands Corp. | 500 | 513,745 | ||||||||
10.625%, 3/15/15 | 760 | 838,858 | ||||||||
Alere, Inc. | 800 | 845,000 | ||||||||
AMGH Merger Sub, Inc. | 720 | 778,500 | ||||||||
ARAMARK Corp. | 1,710 | 1,754,905 | ||||||||
Aurora Diagnostics Holdings/Aurora Diagnostics Financing, Inc. | 775 | 763,375 | ||||||||
Biomet, Inc. | 520 | 567,450 | ||||||||
Capsugel FinanceCo SCA | EUR | 740 | 1,074,633 | |||||||
Catalent Pharma Solutions, Inc. | U.S.$ | 375 | 387,188 | |||||||
CHS/Community Health Systems, Inc. | 537 | 562,507 | ||||||||
ConvaTec Healthcare E SA | 1,096 | 1,130,250 | ||||||||
Del Monte Corp. | 1,555 | 1,558,887 | ||||||||
| ALLIANCEBERNSTEIN POOLING PORTFOLIOS • | 117 |
High-Yield Portfolio—Portfolio of Investments
| Principal Amount (000) | U.S. $ Value | |||||||||
| ||||||||||
DJO Finance LLC/DJO Finance Corp. | U.S.$ | 165 | $ | 141,900 | ||||||
10.875%, 11/15/14 | 520 | 529,100 | ||||||||
Dole Food Co., Inc. | 500 | 530,000 | ||||||||
Elan Finance PLC/Elan Finance Corp. | 500 | 550,000 | ||||||||
Elizabeth Arden, Inc. | 445 | 479,487 | ||||||||
Emergency Medical Services Corp. | 1,123 | 1,179,150 | ||||||||
Endo Pharmaceuticals Holdings, Inc. | 195 | 214,500 | ||||||||
7.25%, 1/15/22 | 255 | 283,688 | ||||||||
Fresenius Medical Care US Finance, Inc. | 385 | 426,388 | ||||||||
Grifols, Inc. | 700 | 759,500 | ||||||||
HCA Holdings, Inc. | 700 | 736,750 | ||||||||
HCA, Inc. | 2,748 | 2,912,880 | ||||||||
6.50%, 2/15/16-2/15/20 | 4,645 | 4,962,762 | ||||||||
Health Management Associates, Inc. | 270 | 281,475 | ||||||||
IASIS Healthcare LLC/IASIS Capital Corp. | 1,145 | 1,093,475 | ||||||||
Jarden Corp. | 280 | 306,250 | ||||||||
JBS Finance II Ltd. | 1,000 | 1,020,000 | ||||||||
JBS USA LLC/JBS USA Finance, Inc. | 550 | 539,000 | ||||||||
8.25%, 2/01/20(a) | 764 | 786,920 | ||||||||
Kindred Healthcare, Inc. | 210 | 197,138 | ||||||||
Kinetic Concepts, Inc./KCI USA, Inc. | 1,015 | 1,055,600 | ||||||||
Mylan, Inc./PA | 750 | 838,125 | ||||||||
New Albertsons, Inc. | 1,870 | 1,453,925 | ||||||||
Pilgrim’s Pride Corp. | 78 | 77,220 | ||||||||
Pinnacle Foods Finance LLC/Pinnacle | 825 | 893,062 | ||||||||
| 118 | • ALLIANCEBERNSTEIN POOLING PORTFOLIOS |
High-Yield Portfolio—Portfolio of Investments
| Principal Amount (000) | U.S. $ Value | |||||||||
| ||||||||||
Post Holdings, Inc. | U.S.$ | 319 | $ | 339,735 | ||||||
PSS World Medical, Inc. | 500 | 520,000 | ||||||||
R&R Ice Cream PLC | EUR | 600 | 803,377 | |||||||
Select Medical Holdings Corp. | U.S.$ | 500 | 447,500 | |||||||
Stater Bros Holdings, Inc. | 275 | 298,031 | ||||||||
STHI Holding Corp. | 175 | 186,375 | ||||||||
Tenet Healthcare Corp. | 900 | 1,026,000 | ||||||||
Universal Hospital Services, Inc. | 895 | 848,012 | ||||||||
Valeant Pharmaceuticals International | 825 | 843,562 | ||||||||
7.00%, 10/01/20(a) | 1,215 | 1,231,706 | ||||||||
7.25%, 7/15/22(a) | 210 | 211,313 | ||||||||
Vanguard Health Holding Co. II | 600 | 615,000 | ||||||||
|
| |||||||||
| 40,394,204 | ||||||||||
|
| |||||||||
Energy – 6.9% | ||||||||||
Antero Resources Finance Corp. | 384 | 405,120 | ||||||||
9.375%, 12/01/17 | 495 | 544,500 | ||||||||
ATP Oil & Gas Corp./United States | 410 | 266,500 | ||||||||
Atwood Oceanics, Inc. | 180 | 189,450 | ||||||||
Basic Energy Services, Inc. | 500 | 515,000 | ||||||||
Bill Barrett Corp. | 400 | 418,000 | ||||||||
Bluewater Holding BV | 600 | 492,000 | ||||||||
Chesapeake Energy Corp. | 2,025 | 2,126,250 | ||||||||
6.625%, 8/15/20 | 300 | 313,500 | ||||||||
Cie Generale de Geophysique – Veritas | 800 | 820,000 | ||||||||
Citgo Petroleum Corp. | 891 | 997,920 | ||||||||
Complete Production Services, Inc. | 675 | 702,540 | ||||||||
| ALLIANCEBERNSTEIN POOLING PORTFOLIOS • | 119 |
High-Yield Portfolio—Portfolio of Investments
| Principal Amount (000) | U.S. $ Value | |||||||||
| ||||||||||
Continental Resources, Inc./OK | U.S.$ | 150 | $ | 166,500 | ||||||
Denbury Resources, Inc. | 1,202 | 1,325,205 | ||||||||
8.25%, 2/15/20 | 95 | 108,300 | ||||||||
Edgen Murray Corp. | 300 | 306,000 | ||||||||
Energy XXI Gulf Coast, Inc. | 900 | 949,500 | ||||||||
9.25%, 12/15/17 | 800 | 886,000 | ||||||||
Forest Oil Corp. | 1,915 | 1,929,362 | ||||||||
Key Energy Services, Inc. | 466 | 488,135 | ||||||||
Linn Energy LLC | 369 | 368,959 | ||||||||
McJunkin Red Man Corp. | 1,000 | 1,075,000 | ||||||||
Newfield Exploration Co. | 1,135 | 1,208,775 | ||||||||
Offshore Group Investments Ltd. | 1,100 | 1,226,500 | ||||||||
Oil States International, Inc. | 722 | 776,150 | ||||||||
Parker Drilling Co. | 520 | 557,700 | ||||||||
Perpetual Energy, Inc. | CAD | 775 | 713,741 | |||||||
Petroleum Geo-Services ASA | U.S.$ | 348 | 365,400 | |||||||
PHI, Inc. | 400 | 410,000 | ||||||||
Pioneer Drilling Co. | 375 | 401,250 | ||||||||
Pioneer Natural Resources Co. | 995 | 1,105,706 | ||||||||
Plains Exploration & Production Co. | 500 | 540,000 | ||||||||
6.75%, 2/01/22 | 1,485 | 1,626,075 | ||||||||
Precision Drilling Corp. | 299 | 319,183 | ||||||||
Qep Resources, Inc. | 946 | 955,460 | ||||||||
Range Resources Corp. | 1,060 | 1,134,200 | ||||||||
SandRidge Energy, Inc. | 361 | 364,610 | ||||||||
8.75%, 1/15/20 | 775 | 825,375 | ||||||||
| 120 | • ALLIANCEBERNSTEIN POOLING PORTFOLIOS |
High-Yield Portfolio—Portfolio of Investments
| Principal Amount (000) | U.S. $ Value | |||||||||
| ||||||||||
SESI LLC | U.S.$ | 144 | $ | 151,200 | ||||||
7.125%, 12/15/21(a) | 563 | 622,115 | ||||||||
Tesoro Corp. | 680 | 697,000 | ||||||||
W&T Offshore, Inc. | 550 | 591,938 | ||||||||
|
| |||||||||
| 29,986,119 | ||||||||||
|
| |||||||||
Other Industrial – 1.2% | ||||||||||
A123 Systems, Inc. | 650 | 309,563 | ||||||||
Briggs & Stratton Corp. | 152 | 160,740 | ||||||||
Brightstar Corp. | 883 | 918,320 | ||||||||
Exova Ltd. | GBP | 500 | 688,064 | |||||||
Interline Brands, Inc. | U.S.$ | 704 | 743,600 | |||||||
Liberty Tire Recycling | 440 | 407,000 | ||||||||
Neenah Foundry Co. | 347 | 347,284 | ||||||||
New Enterprise Stone & Lime Co. | 950 | 802,750 | ||||||||
Pipe Holdings PLC | GBP | 439 | 659,993 | |||||||
|
| |||||||||
| 5,037,314 | ||||||||||
|
| |||||||||
Services – 1.5% | ||||||||||
Ceridian Corp. | U.S.$ | 1,000 | 955,000 | |||||||
Mobile Mini, Inc. | 309 | 324,450 | ||||||||
Realogy Corp. | 449 | 463,592 | ||||||||
Service Corp. International/US | 1,560 | 1,731,600 | ||||||||
ServiceMaster Co./TN | 118 | 124,490 | ||||||||
10.75%, 7/15/15(a)(d) | 149 | 157,488 | ||||||||
Ticketmaster Entertainment | 440 | 474,100 | ||||||||
Travelport LLC | 399 | 126,683 | ||||||||
| ALLIANCEBERNSTEIN POOLING PORTFOLIOS • | 121 |
High-Yield Portfolio—Portfolio of Investments
| Principal Amount (000) | U.S. $ Value | |||||||||
| ||||||||||
West Corp. | U.S.$ | 1,750 | $ | 1,892,187 | ||||||
8.625%, 10/01/18 | 133 | 145,968 | ||||||||
|
| |||||||||
| 6,395,558 | ||||||||||
|
| |||||||||
Technology – 3.8% | ||||||||||
Advanced Micro Devices, Inc. | 121 | 134,159 | ||||||||
8.125%, 12/15/17 | 202 | 221,695 | ||||||||
Amkor Technology, Inc. | 275 | 287,375 | ||||||||
Aspect Software, Inc. | 500 | 538,750 | ||||||||
Avaya, Inc. | 102 | 103,403 | ||||||||
9.75%, 11/01/15 | 895 | 895,000 | ||||||||
CDW LLC/CDW Finance Corp. | 671 | 728,035 | ||||||||
8.50%, 4/01/19 | 1,049 | 1,122,430 | ||||||||
CommScope, Inc. | 1,500 | 1,578,750 | ||||||||
CPI International, Inc. | 704 | 612,480 | ||||||||
DCP LLC/DCP Corp. | 680 | 511,700 | ||||||||
First Data Corp. | 1,600 | 1,628,000 | ||||||||
11.25%, 3/31/16 | 700 | 663,250 | ||||||||
Freescale Semiconductor, Inc. | 460 | 473,225 | ||||||||
10.125%, 12/15/16 | 614 | 648,537 | ||||||||
Interactive Data Corp. | 750 | 845,625 | ||||||||
Iron Mountain, Inc. | 860 | 861,075 | ||||||||
NXP BV/NXP Funding LLC | 118 | 118,000 | ||||||||
9.50%, 10/15/15 | 420 | 441,000 | ||||||||
Sanmina-SCI Corp. | 603 | 618,075 | ||||||||
8.125%, 3/01/16 | 191 | 197,685 | ||||||||
Seagate HDD Cayman | 769 | 851,667 | ||||||||
Sensata Technologies BV | 800 | 828,000 | ||||||||
Serena Software, Inc. | 875 | 906,719 | ||||||||
| 122 | • ALLIANCEBERNSTEIN POOLING PORTFOLIOS |
High-Yield Portfolio—Portfolio of Investments
| Principal Amount (000) | U.S. $ Value | |||||||||
| ||||||||||
SunGard Data Systems, Inc. | U.S.$ | 800 | $ | 864,000 | ||||||
|
| |||||||||
| 16,678,635 | ||||||||||
|
| |||||||||
Transportation - Airlines – 0.3% | ||||||||||
Air Canada | 500 | 442,500 | ||||||||
Delta Air Lines, Inc. | 345 | 370,012 | ||||||||
TAM Capital 3, Inc. | 465 | 488,250 | ||||||||
|
| |||||||||
| 1,300,762 | ||||||||||
|
| |||||||||
Transportation - Railroads – 0.0% | ||||||||||
Florida East Coast Railway Corp. | 164 | 165,640 | ||||||||
|
| |||||||||
Transportation - Services – 0.8% | ||||||||||
Avis Budget Car Rental LLC/Avis Budget | 1,000 | 1,032,500 | ||||||||
Hapag-Lloyd AG | 500 | 470,000 | ||||||||
Hertz Corp. (The) | 1,236 | 1,294,710 | ||||||||
8.875%, 1/01/14 | 106 | 106,001 | ||||||||
Swift Services Holdings, Inc. | 638 | 697,813 | ||||||||
|
| |||||||||
| 3,601,024 | ||||||||||
|
| |||||||||
| 254,867,537 | ||||||||||
|
| |||||||||
Utility – 6.7% | ||||||||||
Electric – 4.8% | ||||||||||
AES Corp. (The) | 489 | 557,460 | ||||||||
7.75%, 3/01/14 | 630 | 685,125 | ||||||||
8.00%, 10/15/17 | 1,240 | 1,429,100 | ||||||||
Calpine Corp. | 2,250 | 2,385,000 | ||||||||
7.875%, 1/15/23(a) | 500 | 545,000 | ||||||||
CMS Energy Corp. | 1,000 | 1,095,989 | ||||||||
DPL Inc 7.25%, | 850 | 969,000 | ||||||||
Dynegy Holdings LLC | 1,460 | 949,000 | ||||||||
8.375%, 5/01/16(b) | 780 | 510,900 | ||||||||
Edison Mission Energy | 2,090 | 1,400,300 | ||||||||
7.75%, 6/15/16 | 295 | 215,350 | ||||||||
| ALLIANCEBERNSTEIN POOLING PORTFOLIOS • | 123 |
High-Yield Portfolio—Portfolio of Investments
| Principal Amount (000) | U.S. $ Value | |||||||||
| ||||||||||
EDP Finance BV | U.S.$ | 105 | $ | 82,814 | ||||||
6.00%, 2/02/18(a) | 500 | 425,620 | ||||||||
Energy Future Holdings Corp. | 694 | 750,388 | ||||||||
10.875%, 11/01/17 | 304 | 258,400 | ||||||||
Series Q | 481 | 233,285 | ||||||||
Energy Future Intermediate Holding Co. | 792 | 860,310 | ||||||||
GenOn Americas Generation LLC | 725 | 659,750 | ||||||||
GenOn Energy, Inc. | 840 | 779,100 | ||||||||
9.50%, 10/15/18 | 650 | 620,750 | ||||||||
9.875%, 10/15/20 | 515 | 482,813 | ||||||||
NRG Energy, Inc. | 1,385 | 1,436,937 | ||||||||
7.875%, 5/15/21 | 1,496 | 1,484,780 | ||||||||
8.25%, 9/01/20 | 975 | 987,187 | ||||||||
PPL Capital Funding, Inc. | 800 | 788,000 | ||||||||
Texas Competitive Electric Holdings Co. | 761 | 513,675 | ||||||||
|
| |||||||||
| 21,106,033 | ||||||||||
|
| |||||||||
Natural Gas – 1.9% | ||||||||||
Chesapeake Midstream Partners | 216 | 223,560 | ||||||||
El Paso Corp. | 385 | 397,431 | ||||||||
7.75%, 1/15/32 | 855 | 1,018,047 | ||||||||
Enterprise Products Operating LLC | 1,620 | 1,753,666 | ||||||||
Inergy LP/Inergy Finance Corp. | 1,000 | 965,000 | ||||||||
Kinder Morgan Finance Co. ULC | 1,765 | 1,868,694 | ||||||||
MarkWest Energy Partners LP/MarkWest | 1,600 | 1,728,000 | ||||||||
| 124 | • ALLIANCEBERNSTEIN POOLING PORTFOLIOS |
High-Yield Portfolio—Portfolio of Investments
| Principal Amount (000) | U.S. $ Value | |||||||||
| ||||||||||
Targa Resources Partners LP / Targa | U.S.$ | 330 | $ | 352,275 | ||||||
|
| |||||||||
| 8,306,673 | ||||||||||
|
| |||||||||
| 29,412,706 | ||||||||||
|
| |||||||||
Financial Institutions – 6.5% | ||||||||||
Banking – 1.1% | ||||||||||
ABN Amro Bank NV | EUR | 980 | 959,655 | |||||||
HBOS Capital Funding LP | U.S.$ | 665 | 472,150 | |||||||
HT1 Funding GmbH | EUR | 825 | 747,420 | |||||||
LBG Capital No.1 PLC | U.S.$ | 1,150 | 931,712 | |||||||
Royal Bank of Scotland Group PLC | 1,205 | 967,012 | ||||||||
Swedbank AB | GBP | 340 | 517,654 | |||||||
|
| |||||||||
| 4,595,603 | ||||||||||
|
| |||||||||
Brokerage – 0.5% | ||||||||||
E*Trade Financial Corp. | U.S.$ | 329 | 334,758 | |||||||
Lehman Brothers Holdings, Inc. | 5,500 | 1,505,625 | ||||||||
Nuveen Investments, Inc. | 430 | 449,350 | ||||||||
|
| |||||||||
| 2,289,733 | ||||||||||
|
| |||||||||
Finance – 3.3% | ||||||||||
AGFC Capital Trust I | 1,830 | 832,650 | ||||||||
Ally Financial, Inc. | 760 | 801,523 | ||||||||
8.00%, 11/01/31 | 1,332 | 1,486,845 | ||||||||
Series 8 | 1,657 | 1,750,206 | ||||||||
Capmark Financial Group, Inc. | 1,666 | – 0 | – | |||||||
Series B | 113 | 114,632 | ||||||||
CIT Group, Inc. | 1,300 | 1,327,625 | ||||||||
7.00%, 5/04/15-5/02/17(a) | 5,763 | 5,770,606 | ||||||||
7.00%, 5/01/16-5/01/17 | 1 | 545 | ||||||||
International Lease Finance Corp. | 1,715 | 1,753,587 | ||||||||
| ALLIANCEBERNSTEIN POOLING PORTFOLIOS • | 125 |
High-Yield Portfolio—Portfolio of Investments
| Principal Amount (000) | U.S. $ Value | |||||||||
| ||||||||||
Residential Capital LLC | U.S.$ | 375 | $ | 315,938 | ||||||
|
| |||||||||
| 14,154,157 | ||||||||||
|
| |||||||||
Insurance – 0.7% | ||||||||||
Genworth Financial, Inc. | 1,445 | 991,631 | ||||||||
Liberty Mutual Group, Inc. | 410 | 399,750 | ||||||||
MBIA Insurance Corp. | 1,452 | 936,540 | ||||||||
XL Group PLC | 1,020 | 864,450 | ||||||||
|
| |||||||||
| 3,192,371 | ||||||||||
|
| |||||||||
Other Finance – 0.6% | ||||||||||
FTI Consulting, Inc. | 500 | 540,625 | ||||||||
Icahn Enterprises LP / Icahn Enterprises | 750 | 795,000 | ||||||||
8.00%, 1/15/18(a) | 390 | 413,400 | ||||||||
iPayment Holdings, Inc. | 860 | 821,300 | ||||||||
15.00%, 11/15/18 | 283 | 251,612 | ||||||||
|
| |||||||||
| 2,821,937 | ||||||||||
|
| |||||||||
REITS – 0.3% | ||||||||||
DDR Corp. | 1,000 | 1,194,830 | ||||||||
|
| |||||||||
| 28,248,631 | ||||||||||
|
| |||||||||
Total Corporates - Non-Investment Grades | 312,528,874 | |||||||||
|
| |||||||||
CORPORATES - INVESTMENT GRADES – 7.1% | ||||||||||
Industrial – 3.4% | ||||||||||
Basic – 0.7% | ||||||||||
ArcelorMittal | 865 | 893,694 | ||||||||
Basell Finance Co. BV | 569 | 651,505 | ||||||||
Domtar Corp. | 626 | 694,860 | ||||||||
Georgia-Pacific LLC | 375 | 415,435 | ||||||||
| 126 | • ALLIANCEBERNSTEIN POOLING PORTFOLIOS |
High-Yield Portfolio—Portfolio of Investments
| Principal Amount (000) | U.S. $ Value | |||||||||
| ||||||||||
Rhodia SA | U.S.$ | 406 | $ | 448,630 | ||||||
|
| |||||||||
| 3,104,124 | ||||||||||
|
| |||||||||
Capital Goods – 0.1% | ||||||||||
Tyco International Finance SA | 375 | 482,167 | ||||||||
|
| |||||||||
Communications - Media – 0.4% | ||||||||||
Virgin Media Secured Finance PLC | 1,500 | 1,635,000 | ||||||||
|
| |||||||||
Communications - Telecommunications – 0.2% | ||||||||||
Qwest Communications International, Inc. | 350 | 351,225 | ||||||||
Qwest Corp. | 720 | 720,000 | ||||||||
|
| |||||||||
| 1,071,225 | ||||||||||
|
| |||||||||
Consumer Cyclical - Other – 0.5% | ||||||||||
Starwood Hotels & Resorts Worldwide, Inc. | 2,065 | 2,155,344 | ||||||||
|
| |||||||||
Consumer Cyclical - Retailers – 0.3% | ||||||||||
Macy’s Retail Holdings, Inc. | 945 | 1,087,476 | ||||||||
|
| |||||||||
Energy – 1.1% | ||||||||||
National Oilwell Varco, Inc. | 856 | 876,285 | ||||||||
Petrohawk Energy Corp. | 1,300 | 1,486,875 | ||||||||
Reliance Holdings USA, Inc. | 1,075 | 1,088,368 | ||||||||
Southwestern Energy Co. | 1,025 | 1,257,447 | ||||||||
TNK-BP Finance SA | 204 | 231,030 | ||||||||
|
| |||||||||
| 4,940,005 | ||||||||||
|
| |||||||||
Technology – 0.1% | ||||||||||
Motorola Solutions, Inc. | 470 | 548,759 | ||||||||
|
| |||||||||
| 15,024,100 | ||||||||||
|
| |||||||||
| ALLIANCEBERNSTEIN POOLING PORTFOLIOS • | 127 |
High-Yield Portfolio—Portfolio of Investments
| Principal Amount (000) | U.S. $ Value | |||||||||
| ||||||||||
Financial Institutions – 3.0% | ||||||||||
Banking – 1.1% | ||||||||||
Barclays Bank PLC | EUR | 520 | $ | 412,352 | ||||||
BBVA International Preferred SAU | U.S.$ | 400 | 311,547 | |||||||
Citigroup, Inc. | 630 | 664,932 | ||||||||
Cooperatieve Centrale Raiffeisen-Boerenleenbank BA/Netherlands | 410 | 427,425 | ||||||||
Countrywide Financial Corp. | 731 | 735,057 | ||||||||
Macquarie Group Ltd. | 660 | 695,476 | ||||||||
National Capital Trust II | 647 | 620,523 | ||||||||
UBS AG/Jersey | EUR | 820 | 917,688 | |||||||
|
| |||||||||
| 4,785,000 | ||||||||||
|
| |||||||||
Brokerage – 0.1% | ||||||||||
GFI Group, Inc. | U.S.$ | 500 | 473,750 | |||||||
|
| |||||||||
Finance – 0.2% | ||||||||||
SLM Corp. | 525 | 577,500 | ||||||||
Series A | 400 | 409,600 | ||||||||
|
| |||||||||
| 987,100 | ||||||||||
|
| |||||||||
Insurance – 0.9% | ||||||||||
American International Group, Inc. | 722 | 789,678 | ||||||||
Assured Guaranty US Holdings, Inc. | 352 | 271,040 | ||||||||
Metlife Capital Trust IV | 750 | 825,000 | ||||||||
Nationwide Mutual Insurance Co. | 575 | 737,791 | ||||||||
QBE Capital Funding III Ltd. | 440 | 400,755 | ||||||||
Suncorp Metway Insurance Ltd. | AUD | 1,000 | 1,004,907 | |||||||
|
| |||||||||
| 4,029,171 | ||||||||||
|
| |||||||||
| 128 | • ALLIANCEBERNSTEIN POOLING PORTFOLIOS |
High-Yield Portfolio—Portfolio of Investments
| Principal Amount (000) | U.S. $ Value | |||||||||
| ||||||||||
Other Finance – 0.1% | ||||||||||
Aviation Capital Group Corp. | U.S.$ | 325 | $ | 322,153 | ||||||
7.125%, 10/15/20(a) | 230 | 233,728 | ||||||||
|
| |||||||||
| 555,881 | ||||||||||
|
| |||||||||
REITS – 0.6% | ||||||||||
Entertainment Properties Trust | 842 | 899,181 | ||||||||
Senior Housing Properties Trust | 600 | 652,417 | ||||||||
Ventas Realty LP/Ventas Capital Corp. | 832 | 860,987 | ||||||||
|
| |||||||||
| 2,412,585 | ||||||||||
|
| |||||||||
| 13,243,487 | ||||||||||
|
| |||||||||
Utility – 0.4% | ||||||||||
Electric – 0.4% | ||||||||||
KCP&L Greater Missouri Operations Co. | 596 | 616,906 | ||||||||
Oncor Electric Delivery Co. LLC | 490 | 524,614 | ||||||||
Sierra Pacific Power Co. | 440 | 513,839 | ||||||||
|
| |||||||||
| 1,655,359 | ||||||||||
|
| |||||||||
Non Corporate Sectors – 0.3% | ||||||||||
Agencies - Not Government Guaranteed – 0.3% | ||||||||||
Petrobras International Finance Co. – Pifco | 1,050 | 1,128,874 | ||||||||
|
| |||||||||
Total Corporates - Investment Grades | 31,051,820 | |||||||||
|
| |||||||||
GOVERNMENTS - TREASURIES – 5.6% | ||||||||||
Canada – 0.7% | ||||||||||
Canadian Government Bond | CAD | 550 | 570,361 | |||||||
2.75%, 9/01/16 | 2,400 | 2,568,918 | ||||||||
|
| |||||||||
| 3,139,279 | ||||||||||
|
| |||||||||
United Kingdom – 0.7% | ||||||||||
United Kingdom Gilt | GBP | 1,725 | 2,876,276 | |||||||
|
| |||||||||
United States – 4.2% | ||||||||||
U.S. Treasury Bonds | U.S.$ | 10,900 | 10,981,750 | |||||||
| ALLIANCEBERNSTEIN POOLING PORTFOLIOS • | 129 |
High-Yield Portfolio—Portfolio of Investments
| Principal Amount (000) | U.S. $ Value | |||||||||
| ||||||||||
U.S. Treasury Notes | U.S.$ | 6,116 | $ | 6,314,293 | ||||||
2.125%, 8/15/21 | 1,195 | 1,219,002 | ||||||||
|
| |||||||||
| 18,515,045 | ||||||||||
|
| |||||||||
Total Governments - Treasuries | 24,530,600 | |||||||||
|
| |||||||||
EMERGING MARKETS - CORPORATE BONDS – 2.9% | ||||||||||
Industrial – 2.9% | ||||||||||
Basic – 1.1% | ||||||||||
Evraz Group SA | 720 | 799,200 | ||||||||
Novelis, Inc./GA | 1,976 | 2,203,240 | ||||||||
Severstal OAO Via Steel Capital SA | 508 | 550,545 | ||||||||
Vedanta Resources PLC | 900 | 931,500 | ||||||||
Winsway Coking Coal Holding Ltd. | 620 | 531,650 | ||||||||
|
| |||||||||
| 5,016,135 | ||||||||||
|
| |||||||||
Communications - Media – 0.2% | ||||||||||
Columbus International, Inc. | 698 | 753,840 | ||||||||
|
| |||||||||
Consumer Cyclical - Other – 0.4% | ||||||||||
Desarrolladora Homex SAB de CV | 1,050 | 1,084,533 | ||||||||
MCE Finance Ltd. | 460 | 514,050 | ||||||||
|
| |||||||||
| 1,598,583 | ||||||||||
|
| |||||||||
Consumer Cyclical - Retailers – 0.1% | ||||||||||
Edcon Holdings Pty Ltd. | EUR | 425 | 469,969 | |||||||
|
| |||||||||
Consumer Non-Cyclical – 0.2% | ||||||||||
CEDC Finance Corp. International, Inc. | U.S.$ | 1,000 | 680,000 | |||||||
Foodcorp Pty Ltd. | EUR | 282 | 368,194 | |||||||
|
| |||||||||
| 1,048,194 | ||||||||||
|
| |||||||||
Energy – 0.2% | ||||||||||
Golden Close Maritime Corp,. Ltd | U.S.$ | 400 | 432,740 | |||||||
| 130 | • ALLIANCEBERNSTEIN POOLING PORTFOLIOS |
High-Yield Portfolio—Portfolio of Investments
| Principal Amount (000) | U.S. $ Value | |||||||||
| ||||||||||
MIE Holdings Corp. | U.S.$ | 340 | $ | 334,900 | ||||||
|
| |||||||||
| 767,640 | ||||||||||
|
| |||||||||
Other Industrial – 0.4% | ||||||||||
Marfrig Holding Europe BV | 1,650 | 1,501,500 | ||||||||
New Reclamation Group Pty Ltd. (The) | EUR | 459 | 428,178 | |||||||
|
| |||||||||
| 1,929,678 | ||||||||||
|
| |||||||||
Technology – 0.1% | ||||||||||
MMI International Ltd. | U.S.$ | 475 | 491,625 | |||||||
|
| |||||||||
Transportation - Services – 0.2% | ||||||||||
Inversiones Alsacia SA | 772 | 733,958 | ||||||||
|
| |||||||||
Total Emerging Markets - Corporate Bonds | 12,809,622 | |||||||||
|
| |||||||||
BANK LOANS – 2.3% | ||||||||||
Industrial – 2.0% | ||||||||||
Basic – 0.1% | ||||||||||
Newpage Corporation | 750 | 755,625 | ||||||||
|
| |||||||||
Capital Goods – 0.3% | ||||||||||
Harbor Freight Tools USA, Inc./Central Purchasing, LLC | 1,280 | 1,289,236 | ||||||||
|
| |||||||||
Consumer Cyclical - Automotive – 0.1% | ||||||||||
Schaeffler AG | 450 | 451,314 | ||||||||
|
| |||||||||
Consumer Cyclical - Entertainment – 0.5% | ||||||||||
ClubCorp Club Operations Inc. | 545 | 546,030 | ||||||||
Las Vegas Sands, LLC | 1,572 | 1,523,524 | ||||||||
|
| |||||||||
| 2,069,554 | ||||||||||
|
| |||||||||
Consumer Cyclical - Other – 0.3% | ||||||||||
Great Atlantic & Pacific Tea Company, Inc., The | 50 | 49,937 | ||||||||
| ALLIANCEBERNSTEIN POOLING PORTFOLIOS • | 131 |
High-Yield Portfolio—Portfolio of Investments
| Principal Amount (000) | U.S. $ Value | |||||||||
| ||||||||||
Harrah’s Las Vegas Propco, LLC | U.S.$ | 1,500 | $ | 1,155,540 | ||||||
|
| |||||||||
| 1,205,477 | ||||||||||
|
| |||||||||
Consumer Non-Cyclical – 0.1% | ||||||||||
Immucor, Inc. | 599 | 602,540 | ||||||||
|
| |||||||||
Other Industrial – 0.1% | ||||||||||
Kinetic Concepts, Inc. | 400 | 406,500 | ||||||||
|
| |||||||||
Services – 0.1% | ||||||||||
Advantage Sales & Marketing Inc. | 223 | 221,567 | ||||||||
|
| |||||||||
Technology – 0.4% | ||||||||||
Blackboard Inc. | 1,100 | 1,005,818 | ||||||||
Eastman Kodak Company | 200 | 202,438 | ||||||||
Smart Modular Technologies (Global), Inc. | 697 | 609,437 | ||||||||
|
| |||||||||
| 1,817,693 | ||||||||||
|
| |||||||||
| 8,819,506 | ||||||||||
|
| |||||||||
Financial Institutions – 0.3% | ||||||||||
Finance – 0.3% | ||||||||||
iStar Financial, Inc. | 1,100 | 1,091,717 | ||||||||
|
| |||||||||
Total Bank Loans | 9,911,223 | |||||||||
|
| |||||||||
EMERGING MARKETS - SOVEREIGNS – 1.9% | ||||||||||
Argentina – 0.4% | ||||||||||
Argentina Bonos | 2,100 | 1,964,433 | ||||||||
|
| |||||||||
Hungary – 0.2% | ||||||||||
Hungary Government International Bond | 1,130 | 1,062,200 | ||||||||
|
| |||||||||
Turkey – 0.3% | ||||||||||
Turkey Government International Bond | 1,051 | 1,121,942 | ||||||||
|
| |||||||||
| 132 | • ALLIANCEBERNSTEIN POOLING PORTFOLIOS |
High-Yield Portfolio—Portfolio of Investments
| Principal Amount (000) | U.S. $ Value | |||||||||
| ||||||||||
Ukraine – 0.2% | ||||||||||
Ukraine Government International Bond | U.S.$ | 930 | $ | 841,483 | ||||||
|
| |||||||||
Venezuela – 0.8% | ||||||||||
Republic of Venezuela | 4,675 | 3,366,000 | ||||||||
|
| |||||||||
Total Emerging Markets - Sovereigns | 8,356,058 | |||||||||
|
| |||||||||
COMMERCIAL MORTGAGE-BACKED SECURITIES – 1.3% | ||||||||||
Non-Agency Fixed Rate CMBS – 1.1% | ||||||||||
Citigroup/Deutsche Bank Commercial Mortgage Trust | 1,170 | 1,135,805 | ||||||||
Credit Suisse First Boston Mortgage Securities Corp. | 1,000 | 1,004,280 | ||||||||
JP Morgan Chase Commercial Mortgage Securities Corp. | 285 | 283,619 | ||||||||
Morgan Stanley Capital I | 1,125 | 1,130,770 | ||||||||
WFDB Commercial Mortgage Trust | 1,300 | 1,334,298 | ||||||||
|
| |||||||||
| 4,888,772 | ||||||||||
|
| |||||||||
Non-Agency Floating Rate CMBS – 0.2% | ||||||||||
Wachovia Bank Commercial Mortgage Trust | 510 | 333,160 | ||||||||
WF-RBS Commercial Mortgage Trust | 390 | 348,373 | ||||||||
|
| |||||||||
| 681,533 | ||||||||||
|
| |||||||||
Total Commercial Mortgage-Backed Securities | 5,570,305 | |||||||||
|
| |||||||||
| ALLIANCEBERNSTEIN POOLING PORTFOLIOS • | 133 |
High-Yield Portfolio—Portfolio of Investments
| Shares | U.S. $ Value | |||||||||
| ||||||||||
PREFERRED STOCKS – 1.2% | ||||||||||
Financial Institutions – 1.1% | ||||||||||
Banking – 0.4% | ||||||||||
Citigroup Capital XIII | 5,000 | $ | 135,450 | |||||||
US Bancorp | 35,000 | 956,900 | ||||||||
Zions Bancorporation | 27,300 | 717,171 | ||||||||
|
| |||||||||
| 1,809,521 | ||||||||||
|
| |||||||||
Finance – 0.5% | ||||||||||
Ally Financial, Inc. | 1,687 | 1,463,789 | ||||||||
Ally Financial, Inc. | 21,000 | 466,830 | ||||||||
Citigroup Capital XII | 19,000 | 494,000 | ||||||||
|
| |||||||||
| 2,424,619 | ||||||||||
|
| |||||||||
REITS – 0.2% | ||||||||||
Sovereign Real Estate Investment Trust | 624 | 715,878 | ||||||||
|
| |||||||||
| 4,950,018 | ||||||||||
|
| |||||||||
Industrial – 0.1% | ||||||||||
Consumer Cyclical – Other – 0.1% | ||||||||||
Health Care REIT, Inc. | 13,825 | 345,625 | ||||||||
|
| |||||||||
Non Corporate Sectors – 0.0% | ||||||||||
Agencies - Government | ||||||||||
Federal Home Loan Mortgage Corp. | 36,525 | 54,057 | ||||||||
|
| |||||||||
Total Preferred Stocks | 5,349,700 | |||||||||
|
| |||||||||
| Principal Amount (000) | ||||||||||
QUASI-SOVEREIGNS – 1.0% | ||||||||||
Quasi-Sovereign Bonds – 1.0% | ||||||||||
Kazakhstan – 0.4% | ||||||||||
KazMunayGas National Co. | U.S.$ | 400 | 427,000 | |||||||
9.125%, 7/02/18(a) | 950 | 1,181,828 | ||||||||
|
| |||||||||
| 1,608,828 | ||||||||||
|
| |||||||||
| 134 | • ALLIANCEBERNSTEIN POOLING PORTFOLIOS |
High-Yield Portfolio—Portfolio of Investments
| Principal Amount (000) | U.S. $ Value | |||||||||
| ||||||||||
Russia – 0.2% | ||||||||||
Russian Agricultural Bank OJSC Via RSHB Capital SA | U.S.$ | 955 | $ | 1,009,913 | ||||||
|
| |||||||||
Trinidad & Tobago – 0.2% | ||||||||||
Petroleum Co. of Trinidad & Tobago Ltd. | 750 | 912,375 | ||||||||
|
| |||||||||
Venezuela – 0.2% | ||||||||||
Petroleos de Venezuela SA | 800 | 630,000 | ||||||||
|
| |||||||||
Total Quasi-Sovereigns | 4,161,116 | |||||||||
|
| |||||||||
ASSET-BACKED SECURITIES – 0.9% | ||||||||||
Home Equity Loans - Fixed Rate – 0.5% | ||||||||||
Countrywide Asset-Backed Certificates | 737 | 408,102 | ||||||||
Series 2006-15, Class A6 | 1,418 | 995,025 | ||||||||
Lehman XS Trust | 1,451 | 1,012,480 | ||||||||
|
| |||||||||
| 2,415,607 | ||||||||||
|
| |||||||||
Home Equity Loans - Floating Rate – 0.4% | ||||||||||
Credit-Based Asset Servicing and Securitization LLC | 1,750 | 812,264 | ||||||||
GSAA Trust | 1,503 | 733,677 | ||||||||
|
| |||||||||
| 1,545,941 | ||||||||||
|
| |||||||||
Total Asset-Backed Securities | 3,961,548 | |||||||||
|
| |||||||||
COLLATERALIZED MORTGAGE OBLIGATIONS – 0.4% | ||||||||||
Non-Agency Floating Rate – 0.4% | ||||||||||
Greenpoint Mortgage Funding Trust | 699 | 422,235 | ||||||||
| ALLIANCEBERNSTEIN POOLING PORTFOLIOS • | 135 |
High-Yield Portfolio—Portfolio of Investments
| Principal Amount (000) | U.S. $ Value | |||||||||
|
|
| ||||||||
Harborview Mortgage Loan Trust | U.S.$ | 1,042 | $ | 651,639 | ||||||
Lehman XS Trust | 321 | 192,192 | ||||||||
Structured Asset Mortgage Investments, Inc. | 1,054 | 583,800 | ||||||||
|
| |||||||||
| 1,849,866 | ||||||||||
|
| |||||||||
| Shares | ||||||||||
COMMON STOCKS – 0.4% | ||||||||||
Capmark Financial Group, Inc.(j) | 23,422 | 462,584 | ||||||||
Fairpoint Communications, Inc.(j) | 7,175 | 26,978 | ||||||||
Greektown Superholdings, Inc.(e)(g)(j) | 397 | 27,790 | ||||||||
Keystone Automotive Operations, Inc.(e) | 61,065 | 763,310 | ||||||||
Neenah Enterprises, Inc.(e)(g)(j) | 58,199 | 378,294 | ||||||||
Rock-Tenn Co. | 531 | 37,430 | ||||||||
Voyager Learning Exchange(b)(e)(g) | 982,000 | 1 | ||||||||
|
| |||||||||
Total Common Stocks | 1,696,387 | |||||||||
|
| |||||||||
| Principal Amount (000) | ||||||||||
GOVERNMENTS - SOVEREIGN AGENCIES – 0.3% | ||||||||||
Kazakhstan – 0.2% | ||||||||||
Kazatomprom Natsionalnaya Atomnaya Kompaniya AO | U.S.$ | 875 | 938,438 | |||||||
|
| |||||||||
Norway – 0.1% | ||||||||||
Eksportfinans ASA | 49 | 43,107 | ||||||||
2.375%, 5/25/16 | 539 | 468,415 | ||||||||
|
| |||||||||
| 511,522 | ||||||||||
|
| |||||||||
Total Governments - Sovereign Agencies | 1,449,960 | |||||||||
|
| |||||||||
LOCAL GOVERNMENTS - MUNICIPAL BONDS – 0.3% | ||||||||||
United States – 0.3% | ||||||||||
California GO | 325 | 434,772 | ||||||||
| 136 | • ALLIANCEBERNSTEIN POOLING PORTFOLIOS |
High-Yield Portfolio—Portfolio of Investments
| Principal Amount (000) | U.S. $ Value | |||||||||
| ||||||||||
7.95%, 3/01/36 | U.S.$ | 700 | $ | 825,839 | ||||||
|
| |||||||||
Total Local Governments - Municipal Bonds | 1,260,611 | |||||||||
|
| |||||||||
GOVERNMENTS - SOVEREIGN BONDS – 0.2% | ||||||||||
Lithuania – 0.2% | ||||||||||
Lithuania Government International Bond | 752 | 807,460 | ||||||||
|
| |||||||||
| Contracts | ||||||||||
OPTIONS PURCHASED - PUTS – 0.1% | ||||||||||
Options on Funds and Investment Trusts – 0.1% | ||||||||||
SPDR S&P 500 ETF Trust | 482 | 3,615 | ||||||||
SPDR S&P 500 ETF Trust | 353 | 2,118 | ||||||||
SPDR S&P 500 ETF Trust | 346 | 3,633 | ||||||||
SPDR S&P 500 ETF Trust | 256 | 3,328 | ||||||||
SPDR S&P 500 ETF Trust | 243 | 4,131 | ||||||||
SPDR S&P 500 ETF Trust | 350 | 155,050 | ||||||||
SPDR S&P 500 ETF Trust | 447 | 128,736 | ||||||||
|
| |||||||||
| 300,611 | ||||||||||
|
| |||||||||
Options on Forward Contracts – 0.0% | ||||||||||
CNY/USD | 235,000,000 | 37 | ||||||||
|
| |||||||||
Total Options Purchased - Puts | 300,648 | |||||||||
|
| |||||||||
| ALLIANCEBERNSTEIN POOLING PORTFOLIOS • | 137 |
High-Yield Portfolio—Portfolio of Investments
| Shares | U.S. $ Value | |||||||||
| ||||||||||
WARRANTS – 0.0% | ||||||||||
Fairpoint Communications, Inc., | 12,231 | $ | – 0 | – | ||||||
Ipayment Holdings, Inc., | 272 | – 0 | – | |||||||
Talon Equity Co., | 671 | – 0 | – | |||||||
|
| |||||||||
Total Warrants | – 0 | – | ||||||||
|
| |||||||||
SHORT-TERM INVESTMENTS – 1.9% | ||||||||||
Investment Companies – 1.9% | ||||||||||
AllianceBernstein Fixed-Income Shares, Inc. – Government STIF Portfolio, 0.09%(l) | 8,039,615 | 8,039,615 | ||||||||
|
| |||||||||
Total Investments – 99.6% | 433,635,413 | |||||||||
Other assets less liabilities – 0.4% | 1,593,563 | |||||||||
|
| |||||||||
Net Assets – 100.0% | $ | 435,228,976 | ||||||||
|
| |||||||||
FORWARD CURRENCY EXCHANGE CONTRACTS (see Note C)
| Counterparty & Description | Contract Amount (000) | U.S. $ Value on Origination Date | U.S. $ Value at February 29, 2012 | Unrealized Appreciation/ (Depreciation) | ||||||||||||
Buy Contracts | ||||||||||||||||
State Street Bank and Trust Co.: | ||||||||||||||||
Indian Rupee settling 3/30/12(1) | 104,998 | $ | 2,119,499 | $ | 2,122,295 | $ | 2,796 | |||||||||
South African Rand settling 3/26/12 | 9,752 | 1,254,957 | 1,293,668 | 38,711 | ||||||||||||
Swedish Krona settling 3/28/12 | 8,624 | 1,314,260 | 1,302,053 | (12,207 | ) | |||||||||||
Turkish Lira settling 3/26/12 | 2,254 | 1,274,512 | 1,282,269 | 7,757 | ||||||||||||
Sale Contracts | ||||||||||||||||
State Street Bank and Trust Co.: | ||||||||||||||||
Australian Dollar settling 3/09/12 | 863 | 929,413 | 925,027 | 4,386 | ||||||||||||
Canadian Dollar settling 3/02/12 | 3,918 | 3,927,926 | 3,959,361 | (31,435 | ) | |||||||||||
Canadian Dollar settling 4/03/12 | 3,918 | 3,963,051 | 3,956,637 | 6,414 | ||||||||||||
Euro settling 3/29/12 | 978 | 1,316,648 | 1,303,160 | 13,488 | ||||||||||||
Euro settling 3/29/12 | 984 | 1,301,261 | 1,311,120 | (9,859 | ) | |||||||||||
Euro settling 3/29/12 | 8,120 | 10,739,469 | 10,818,992 | (79,523 | ) | |||||||||||
Great British Pound settling 3/29/12 | 3,279 | 5,173,784 | 5,214,849 | (41,065 | ) | |||||||||||
Japanese Yen settling 3/21/12 | 162,661 | 2,079,821 | 2,001,306 | 78,515 | ||||||||||||
|
| |||||||||||||||
| $ | (22,022 | ) | ||||||||||||||
|
| |||||||||||||||
| (1) | Contract represents non-deliverable forward where payment is received from or paid to a counterparty based on the net realized gain/loss on settlement date. |
| 138 | • ALLIANCEBERNSTEIN POOLING PORTFOLIOS |
High-Yield Portfolio—Portfolio of Investments
CREDIT DEFAULT SWAPTIONS WRITTEN
| Description | Counter- party | Buy/Sell Protection | Strike Price | Expiration Date | Notional Amount (000) | Premiums | Market Value | |||||||||||||||||||
CDX-NAHYS17V3-5 Year Index | Bank of America, N.A. | Sell | 93.00 | % | 6/20/2012 | $ | 8,450 | $ | 257,539 | $ | (129,543 | ) | ||||||||||||||
CDX-NAHYS17V3-5 Year Index | Bank of America, N.A. | Sell | 98.00 | 6/20/2012 | 6,450 | 200,692 | (203,100 | ) | ||||||||||||||||||
CDX-NAHYS17V1-5 Year Index | Bank of America, N.A. | Sell | 89.00 | 3/21/2012 | 4,120 | 140,080 | (2,032 | ) | ||||||||||||||||||
CDX-NAHYS17V1-5 Year Index | JPMorgan Chase Bank, N.A. | Sell | 91.00 | 3/21/2012 | 4,300 | 223,600 | (3,883 | ) | ||||||||||||||||||
CDX-NAHYS17V1-5 Year Index | Barclays Bank PLC | Sell | 91.00 | 3/21/2012 | 4,300 | 219,300 | (3,883 | ) | ||||||||||||||||||
CDX-NAHYS17V1-5 Year Index | Barclays Bank PLC | Sell | 88.00 | 3/21/2012 | 6,075 | 315,900 | (1,804 | ) | ||||||||||||||||||
CDX-NAHYS17V2-5 Year Index | Morgan Stanley Capital Services, Inc. | Sell | 89.00 | 3/21/2012 | 4,200 | 151,767 | (2,071 | ) | ||||||||||||||||||
CDX-NAHYS17V1-5 Year Index | Credit Suisse International | Sell | 89.00 | 3/21/2012 | 6,250 | 230,794 | (3,082 | ) | ||||||||||||||||||
|
| |||||||||||||||||||||||||
| $ | (349,398 | ) | ||||||||||||||||||||||||
|
| |||||||||||||||||||||||||
INTEREST RATE SWAP TRANSACTIONS (see Note C)
| Rate Type | ||||||||||||||||||||
| Swap Counterparty | Notional Amount (000) | Termination Date | Payments made by the Portfolio | Payments received by the Portfolio | Unrealized Appreciation/ (Depreciation) | |||||||||||||||
Morgan Stanley Capital Services Inc. | $ | 43,000 | 2/17/17 | 1.069% | 3 Month LIBOR | $ | 94,861 | |||||||||||||
Morgan Stanley Capital Services Inc | 31,700 | 2/17/19 | 3 Month LIBOR | 1.535% | (92,179 | ) | ||||||||||||||
Morgan Stanley Capital Services Inc | 23,000 | 2/17/22 | 2.010% | 3 Month LIBOR | 104,975 | |||||||||||||||
|
| |||||||||||||||||||
| $ | 107,657 | |||||||||||||||||||
|
| |||||||||||||||||||
| ALLIANCEBERNSTEIN POOLING PORTFOLIOS • | 139 |
High-Yield Portfolio—Portfolio of Investments
CREDIT DEFAULT SWAP CONTRACTS ON CORPORATE, SOVEREIGN ISSUES AND INDICES (see Note C)
| Swap Counterparty & Referenced Obligation | Fixed Deal (Pay) Receive Rate | Implied Credit Spread at February 29, 2012 | Notional Amount (000) | Market Value | Upfront Premiums Paid (Received) | Unrealized Appreciation/ (Depreciation) | ||||||||||||||||||
Buy Contracts | ||||||||||||||||||||||||
Bank of America, N.A.: Fiat SpA, 6.625% 2/15/13, 3/20/2017* | (5.00 | )% | 7.21 | % | EUR | 380 | $ | 36,561 | $ | 43,145 | $ | (6,584 | ) | |||||||||||
Barclays Bank PLC: Bolivarian Republic of Venezuela, 9.25% 9/15/27, 6/20/16* | (5.00 | ) | 7.08 | $ | 2,800 | 167,863 | 479,829 | (311,966 | ) | |||||||||||||||
Liz Claiborne, Inc., 5% 7/8/13, 12/20/13* | (5.00 | ) | 1.88 | 180 | (11,777 | ) | 2,562 | (14,339 | ) | |||||||||||||||
The McClatchy Company, 5.75% 9/1/17, 12/20/13* | (5.00 | ) | 6.56 | 180 | 2,810 | 4,804 | (1,994 | ) | ||||||||||||||||
Citibank, N.A.: CDX-NAHYS17V3-5 Year Index, 12/20/2016* | (5.00 | ) | 5.52 | 2,910 | 29,100 | 82,860 | (53,760 | ) | ||||||||||||||||
ITRAXX-XOVERS16V1-5 Year Index, 12/20/2016* | (5.00 | ) | 5.68 | EUR | 3,000 | 64,111 | 189,680 | (125,569 | ) | |||||||||||||||
ITRAXX-XOVERS16V1-5 Year Index, 12/20/2016* | (5.00 | ) | 5.68 | $ | 2,500 | 53,426 | 159,215 | (105,789 | ) | |||||||||||||||
Goldman Sachs International: CDXNAHYS11V17- 5 Year Index, 12/20/13* | (0.00 | ) | 88.61 | 909 | 673,633 | 360,096 | 313,537 | |||||||||||||||||
JPMorgan Chase Bank, NA: CDX-NAIGS17V1-5 Year Index, 12/20/16* | (1.00 | ) | 0.94 | 8,300 | (39,550 | ) | 150,244 | (189,794 | ) | |||||||||||||||
JPMorgan Chase Bank: Fiat SpA, 6.625% 2/15/13, 12/20/16* | (5.00 | ) | 7.41 | 450 | 34,540 | 64,852 | (30,312 | ) | ||||||||||||||||
MBIA, Inc., 6.625% 10/1/28, 12/20/13* | (5.00 | ) | 5.89 | 370 | 1,749 | 27,708 | (25,959 | ) | ||||||||||||||||
Morgan Stanley Capital Services Inc.: CDX-EMS16V1-5 Year Index, 12/20/16* | (5.00 | ) | 2.51 | 9,800 | (1,156,606 | ) | (695,680 | ) | (460,926 | ) | ||||||||||||||
CDX-NAIGS9V4-10 Year Index, 2/25/2017* | (0.80 | ) | 1.16 | 17,350 | 313,202 | 360,758 | (47,556 | ) | ||||||||||||||||
| 140 | • ALLIANCEBERNSTEIN POOLING PORTFOLIOS |
High-Yield Portfolio—Portfolio of Investments
| Swap Counterparty & Referenced Obligation | Fixed Deal (Pay) Receive Rate | Implied Credit Spread at February 29, 2012 | Notional Amount (000) | Market Value | Upfront Premiums Paid (Received) | Unrealized Appreciation/ (Depreciation) | ||||||||||||||||||
ITRAXX-XOVERS16V1-5 Year Index, 12/20/2016* | (5.00 | )% | 5.68 | % | EUR | 1,640 | $ | 35,047 | $ | 103,692 | $ | (68,645 | ) | |||||||||||
XL Capital LTD 5.25%, 9/15/14, 3/20/12* | (5.00 | ) | 0.36 | $ | 1,260 | (16,021 | ) | 2,198 | (18,219 | ) | ||||||||||||||
UBS AG | (5.00 | ) | 3.04 | 870 | (84,400 | ) | (72,803 | ) | (11,597 | ) | ||||||||||||||
Sale Contracts | ||||||||||||||||||||||||
Bank of America, N.A.: Boyd Gaming Corp., 6.75% 4/15/14, 3/20/16* | 5.00 | 7.79 | 860 | (66,810 | ) | (46,616 | ) | (20,194 | ) | |||||||||||||||
CDX-NAHYS17V3-5 Year Index, 12/20/2016* | 5.00 | 5.52 | 3,153 | (31,525 | ) | (99,691 | ) | 68,166 | ||||||||||||||||
Barclays Bank PLC: Alcatel-Lucent USA Inc., 6.5% 1/15/28, 6/20/16* | 5.00 | 8.05 | 1,100 | (98,351 | ) | 51,687 | (150,038 | ) | ||||||||||||||||
Amkor Technology, Inc., 9.25% 6/1/16, 6/20/16* | 5.00 | 4.02 | 800 | 37,430 | 25,579 | 11,851 | ||||||||||||||||||
CDX NAIGS15V1-5 Year Index, 12/20/15* | 1.00 | 4.22 | 500 | (62,780 | ) | (56,334 | ) | (6,446 | ) | |||||||||||||||
Community Health Systems, Inc., 8.875% 7/15/15, 6/20/16* | 5.00 | 5.06 | 800 | 6,299 | (21,568 | ) | 27,867 | |||||||||||||||||
Freescale Semiconductor, Inc., 8.875% 12/15/14, 6/20/16* | 5.00 | 6.13 | 1,850 | (53,845 | ) | (43,634 | ) | (10,211 | ) | |||||||||||||||
NXP BV/NXP Funding LLC, 8.625% 10/15/15, 3/20/16* | 5.00 | 4.46 | 550 | 15,932 | 26,278 | (10,346 | ) | |||||||||||||||||
Rite Aid Corporation, 7.7% 2/15/27, 3/20/12* | 5.00 | 2.05 | 1,000 | 11,774 | 825 | 10,949 | ||||||||||||||||||
Univision Communications Inc. 8.5%, 5/15/21, 6/20/16* | 5.00 | 6.26 | 550 | (18,369 | ) | (14,597 | ) | (3,772 | ) | |||||||||||||||
Citibank, N.A.: CDX-NAHYS17V3-5 Year Index, 12/20/2016* | 5.00 | 5.52 | 3,153 | (31,525 | ) | (101,645 | ) | 70,120 | ||||||||||||||||
Credit Suisse International CDX NAHY-15 5 Year Index, 12/20/15* | 5.00 | 8.07 | 2,800 | (288,225 | ) | (230,782 | ) | (57,443 | ) | |||||||||||||||
| ALLIANCEBERNSTEIN POOLING PORTFOLIOS • | 141 |
High-Yield Portfolio—Portfolio of Investments
| Swap Counterparty & Referenced Obligation | Fixed Deal (Pay) Receive Rate | Implied Credit Spread at February 29, 2012 | Notional Amount (000) | Market Value | Upfront Premiums Paid (Received) | Unrealized Appreciation/ (Depreciation) | ||||||||||||||||||
CDX NAHYS15V1-5 Year Index, 12/20/15* | 5.00 | % | 8.07 | % | $ | 2,500 | $ | (257,344 | ) | $ | (207,671 | ) | $ | (49,673 | ) | |||||||||
Ford Motor Company 6.5%, 8/01/18, 6/20/16* | 5.00 | 2.31 | 1,100 | 128,395 | 87,247 | 41,148 | ||||||||||||||||||
MGM Resorts International, 5.875% 2/27/14, 3/20/16* | 5.00 | 6.09 | 1,700 | (44,347 | ) | (44,128 | ) | (219 | ) | |||||||||||||||
MGM Resorts International, 7.625% 1/15/17, 6/20/13* | 5.00 | 3.97 | 800 | 18,574 | 11,930 | 6,644 | ||||||||||||||||||
Wind Acquisition Finance S.A., 11% 12/1/15, 6/20/16* | 5.00 | 8.62 | 1,320 | (139,424 | ) | 51,361 | (190,785 | ) | ||||||||||||||||
Goldman Sachs Bank USA: CDX S15V1-5 Year Index, 12/20/15* | 1.00 | 4.61 | 900 | (113,004 | ) | (102,728 | ) | (10,276 | ) | |||||||||||||||
CDX NAHYS15V1-3 Year Index, 12/20/13* | 5.00 | 21.72 | 4,747 | (1,152,050 | ) | (764,800 | ) | (387,250 | ) | |||||||||||||||
Mediacom LLC, 9.125% 8/15/19, 3/20/16* | 5.00 | 4.75 | 1,070 | 20,113 | (36,618 | ) | 56,731 | |||||||||||||||||
Tenet Healthcare Corp., 6.875% 11/15/31, 9/20/16* | 5.00 | 5.08 | 1,050 | 7,303 | (27,371 | ) | 34,674 | |||||||||||||||||
JPMorgan Chase Bank, N.A.: CDX-NAHYS17V3-5 Year Index, 12/20/2016* | 5.00 | 5.52 | 1,261 | (12,610 | ) | (39,876 | ) | 27,266 | ||||||||||||||||
Morgan Stanley Capital Services Inc.: AK Steel Holding Corporation, 7.625% 5/15/20, 3/20/16* | 5.00 | 7.22 | 550 | (33,617 | ) | 7,190 | (40,807 | ) | ||||||||||||||||
Boyd Gaming Corp., 6.75% 4/15/14, 6/20/13* | 5.00 | 4.27 | 550 | 10,606 | 7,382 | 3,224 | ||||||||||||||||||
CDX-NAHYS17V1-5 Year, 12/20/16* | 5.00 | 5.52 | 1,183 | (11,834 | ) | (127,205 | ) | 115,371 | ||||||||||||||||
CDX-NAIGS17V1-5 Year Index, 12/20/2016* | 1.00 | 0.94 | 21,650 | 103,162 | 39,814 | 63,348 | ||||||||||||||||||
|
| |||||||||||||||||||||||
| $ | (1,559,573 | ) | ||||||||||||||||||||||
|
| |||||||||||||||||||||||
| * | Termination date |
| 142 | • ALLIANCEBERNSTEIN POOLING PORTFOLIOS |
High-Yield Portfolio—Portfolio of Investments
UNFUNDED LOAN COMMITMENTS (see Note C)
As of February 29, 2012, the Fund had the following unfunded loan commitment of $2,175,000, which may be drawn at the option of the borrower:
| Borrower | Unfunded Loan Commitments | Cost | Value | |||||||||
Sandridge Energy, Inc., LIBOR+0.00%, 4/15/12 | $ | 900,000 | $ | — | $ | — | ||||||
General Motors Holding, LLC Revolver LIBOR+2.75%, 10/27/15 | 1,275,000 | — | (134,666 | ) | ||||||||
| (a) | Security is exempt from registration under Rule 144A of the Securities Act of 1933. These securities are considered liquid and may be resold in transactions exempt from registration, normally to qualified institutional buyers. At February 29, 2012, the aggregate market value of these securities amounted to $120,863,269 or 27.8% of net assets. |
| (b) | Security is in default and is non-income producing. |
| (c) | Floating Rate Security. Stated interest rate was in effect at February 29, 2012. |
| (d) | Pay-In-Kind Payments (PIK). |
| (e) | Illiquid security. |
| (f) | Variable rate coupon, rate shown as of February 29, 2012. |
| (g) | Fair valued. |
| (h) | Position, or a portion thereof, has been segregated to collateralize interest rate and credit default swaps. The aggregate market value of these securities amounted to $3,048,742. |
| (i) | This position or a portion of this position represents an unsettled loan purchase. At February 29, 2012, the market value and unrealized gain of these unsettled loan purchases amounted to $653,752 and $16,752, respectively. The coupon rate will be determined at the time of settlement and will be based upon the London-Interbank Offered Rate (“LIBOR”) plus a premium which was determined at the time of purchase. |
| (j) | Non-income producing security. |
| (k) | One contract relates to 100 shares. |
| (l) | Investment in affiliated money market mutual fund. The rate shown represents the 7-day yield as of period end. |
Currency Abbreviations:
| AUD | – Australian Dollar |
| CAD | – Canadian Dollar |
| CNY | – Chinese Yuan Renminbi |
| EUR | – Euro |
| GBP | – Great British Pound |
Glossary:
CDS-EM – Emerging Market Credit Default Swap Index
CDX-NAHY – North American High Yield Credit Default Swap Index
CDX-NAIG – North American Investment Grade Credit Default Swap Index
CMBS – Commercial Mortgage-Backed Securities
GO – General Obligation
LIBOR – London Interbank Offered Rates
MBIA – MBIA Insurance Corporation
OJSC – Open Joint Stock Company
REIT – Real Estate Investment Trust
See notes to financial statements.
| ALLIANCEBERNSTEIN POOLING PORTFOLIOS • | 143 |
High-Yield Portfolio—Portfolio of Investments
SMALL-MID CAP VALUE PORTFOLIO
PORTFOLIO OF INVESTMENTS
February 29, 2012 (unaudited)
| Company | Shares | U.S. $ Value | ||||||
| ||||||||
COMMON STOCKS – 99.6% | ||||||||
Financials – 27.3% | ||||||||
Capital Markets – 0.9% | ||||||||
Legg Mason, Inc. | 123,750 | $ | 3,389,513 | |||||
|
| |||||||
Commercial Banks – 10.4% | ||||||||
Associated Banc-Corp | 348,330 | 4,611,889 | ||||||
CapitalSource, Inc. | 630,310 | 4,254,593 | ||||||
Comerica, Inc. | 158,250 | 4,698,443 | ||||||
First Niagara Financial Group, Inc. | 412,708 | 3,945,488 | ||||||
Hancock Holding Co. | 62,949 | 2,137,119 | ||||||
Huntington Bancshares, Inc./OH | 740,910 | 4,330,619 | ||||||
Popular, Inc.(a) | 1,657,186 | 3,148,653 | ||||||
Susquehanna Bancshares, Inc. | 438,360 | 4,063,597 | ||||||
Webster Financial Corp. | 102,880 | 2,251,014 | ||||||
Zions Bancorporation | 258,730 | 4,915,870 | ||||||
|
| |||||||
| 38,357,285 | ||||||||
|
| |||||||
Insurance – 7.9% | ||||||||
Amtrust Financial Services, Inc. | 108,700 | 2,935,987 | ||||||
Aspen Insurance Holdings Ltd. | 138,090 | 3,663,528 | ||||||
Endurance Specialty Holdings Ltd. | 132,200 | 5,084,412 | ||||||
Platinum Underwriters Holdings Ltd. | 121,530 | 4,321,607 | ||||||
Reinsurance Group of America, Inc. – Class A | 86,830 | 5,007,486 | ||||||
Torchmark Corp. | 91,330 | 4,424,025 | ||||||
Unum Group | 154,410 | 3,559,150 | ||||||
|
| |||||||
| 28,996,195 | ||||||||
|
| |||||||
Real Estate Investment Trusts (REITs) – 7.4% | ||||||||
BioMed Realty Trust, Inc. | 215,240 | 3,964,721 | ||||||
BRE Properties, Inc. | 74,525 | 3,609,246 | ||||||
Camden Property Trust | 49,410 | 3,063,420 | ||||||
DiamondRock Hospitality Co. | 372,180 | 3,706,913 | ||||||
Entertainment Properties Trust | 94,610 | 4,304,755 | ||||||
Glimcher Realty Trust | 384,670 | 3,808,233 | ||||||
Home Properties, Inc. | 44,070 | 2,539,754 | ||||||
Mid-America Apartment Communities, Inc. | 34,830 | 2,172,347 | ||||||
|
| |||||||
| 27,169,389 | ||||||||
|
| |||||||
Thrifts & Mortgage Finance – 0.7% | ||||||||
Washington Federal, Inc. | 145,860 | 2,362,932 | ||||||
|
| |||||||
| 100,275,314 | ||||||||
|
| |||||||
Information Technology – 18.0% | ||||||||
Communications Equipment – 0.6% | ||||||||
Arris Group, Inc.(a) | 189,440 | 2,157,722 | ||||||
|
| |||||||
Computers & Peripherals – 0.6% | ||||||||
NCR Corp.(a) | 103,240 | 2,242,373 | ||||||
|
| |||||||
| 144 | • ALLIANCEBERNSTEIN POOLING PORTFOLIOS |
Small-Mid Cap Value Portfolio—Portfolio of Investments
| Company | Shares | U.S. $ Value | ||||||
| ||||||||
Electronic Equipment, Instruments & Components – 8.9% | ||||||||
Anixter International, Inc.(a) | 34,670 | $ | 2,410,952 | |||||
Arrow Electronics, Inc.(a) | 113,440 | 4,554,616 | ||||||
AU Optronics Corp. (Sponsored ADR) | 805,974 | 4,279,722 | ||||||
Avnet, Inc.(a) | 135,470 | 4,841,698 | ||||||
Flextronics International Ltd.(a) | 555,010 | 3,912,820 | ||||||
Ingram Micro, Inc.—Class A(a) | 114,320 | 2,186,942 | ||||||
Insight Enterprises, Inc.(a) | 148,800 | 3,109,920 | ||||||
TTM Technologies, Inc.(a) | 369,078 | 4,321,903 | ||||||
Vishay Intertechnology, Inc.(a) | 268,530 | 3,292,178 | ||||||
|
| |||||||
| 32,910,751 | ||||||||
|
| |||||||
IT Services – 2.3% | ||||||||
Amdocs Ltd.(a) | 144,460 | 4,430,588 | ||||||
Convergys Corp.(a) | 299,950 | 3,863,356 | ||||||
|
| |||||||
| 8,293,944 | ||||||||
|
| |||||||
Semiconductors & Semiconductor | ||||||||
Amkor Technology, Inc.(a)(b) | 551,090 | 3,521,465 | ||||||
Entegris, Inc.(a) | 471,500 | 4,262,360 | ||||||
Lam Research Corp.(a) | 103,560 | 4,318,452 | ||||||
Micron Technology, Inc.(a) | 619,020 | 5,292,621 | ||||||
MKS Instruments, Inc. | 108,334 | 3,244,603 | ||||||
|
| |||||||
| 20,639,501 | ||||||||
|
| |||||||
| 66,244,291 | ||||||||
|
| |||||||
Consumer Discretionary – 16.4% | ||||||||
Auto Components – 4.7% | ||||||||
Cooper Tire & Rubber Co. | 189,210 | 3,140,886 | ||||||
Dana Holding Corp.(a) | 279,830 | 4,477,280 | ||||||
Lear Corp. | 120,410 | 5,443,736 | ||||||
TRW Automotive Holdings Corp.(a) | 91,520 | 4,186,125 | ||||||
|
| |||||||
| 17,248,027 | ||||||||
|
| |||||||
Hotels, Restaurants & Leisure – 2.3% | ||||||||
MGM Resorts International(a) | 299,112 | 4,118,772 | ||||||
Royal Caribbean Cruises Ltd. | 150,090 | 4,276,064 | ||||||
|
| |||||||
| 8,394,836 | ||||||||
|
| |||||||
Household Durables – 2.6% | ||||||||
Meritage Homes Corp.(a) | 82,450 | 2,134,631 | ||||||
Newell Rubbermaid, Inc. | 236,790 | 4,333,257 | ||||||
NVR, Inc.(a) | 4,290 | 2,968,680 | ||||||
|
| |||||||
| 9,436,568 | ||||||||
|
| |||||||
Media – 1.1% | ||||||||
Gannett Co., Inc. | 269,710 | 4,002,496 | ||||||
|
| |||||||
Specialty Retail – 4.5% | ||||||||
ANN, Inc.(a) | 174,465 | 4,167,969 | ||||||
| ALLIANCEBERNSTEIN POOLING PORTFOLIOS • | 145 |
Small-Mid Cap Value Portfolio—Portfolio of Investments
| Company | Shares | U.S. $ Value | ||||||
| ||||||||
Childrens Place Retail Stores, Inc. (The)(a) | 56,350 | $ | 2,859,762 | |||||
GameStop Corp. – Class A(b) | 152,760 | 3,479,873 | ||||||
Office Depot, Inc.(a) | 1,046,110 | 3,452,163 | ||||||
Signet Jewelers Ltd. | 58,014 | 2,720,857 | ||||||
|
| |||||||
| 16,680,624 | ||||||||
|
| |||||||
Textiles, Apparel & Luxury Goods – 1.2% | ||||||||
Jones Group, Inc. (The) | 468,660 | 4,616,301 | ||||||
|
| |||||||
| 60,378,852 | ||||||||
|
| |||||||
Industrials – 12.7% | ||||||||
Air Freight & Logistics – 0.6% | ||||||||
Atlas Air Worldwide Holdings, Inc.(a) | 55,070 | 2,347,083 | ||||||
|
| |||||||
Building Products – 0.9% | ||||||||
Fortune Brands Home & Security, Inc.(a) | 166,993 | 3,229,645 | ||||||
|
| |||||||
Commercial Services & Supplies – 1.2% | ||||||||
Avery Dennison Corp. | 144,500 | 4,407,250 | ||||||
|
| |||||||
Construction & Engineering – 1.0% | ||||||||
Tutor Perini Corp.(a) | 219,260 | 3,459,923 | ||||||
|
| |||||||
Electrical Equipment – 2.4% | ||||||||
EnerSys(a) | 123,088 | 4,133,295 | ||||||
General Cable Corp.(a) | 146,880 | 4,548,874 | ||||||
|
| |||||||
| 8,682,169 | ||||||||
|
| |||||||
Machinery – 2.0% | ||||||||
Sauer-Danfoss, Inc.(a) | 56,040 | 3,034,005 | ||||||
Timken Co. | 83,000 | 4,349,200 | ||||||
|
| |||||||
| 7,383,205 | ||||||||
|
| |||||||
Road & Rail – 2.4% | ||||||||
Avis Budget Group, Inc.(a) | 172,200 | 2,221,380 | ||||||
Con-way, Inc. | 144,880 | 4,281,204 | ||||||
Hertz Global Holdings, Inc.(a) | 162,690 | 2,326,467 | ||||||
|
| |||||||
| 8,829,051 | ||||||||
|
| |||||||
Trading Companies & Distributors – 2.2% | ||||||||
Aircastle Ltd. | 347,400 | 4,728,114 | ||||||
WESCO International, Inc.(a) | 53,760 | 3,380,966 | ||||||
|
| |||||||
| 8,109,080 | ||||||||
|
| |||||||
| 46,447,406 | ||||||||
|
| |||||||
Materials – 6.4% | ||||||||
Chemicals – 3.8% | ||||||||
Ferro Corp.(a) | 488,510 | 2,711,230 | ||||||
Huntsman Corp. | 246,780 | 3,371,015 | ||||||
PolyOne Corp. | 291,840 | 3,919,411 | ||||||
Westlake Chemical Corp.(b) | 63,130 | 3,802,320 | ||||||
|
| |||||||
| 13,803,976 | ||||||||
|
| |||||||
| 146 | • ALLIANCEBERNSTEIN POOLING PORTFOLIOS |
Small-Mid Cap Value Portfolio—Portfolio of Investments
| Company | Shares | U.S. $ Value | ||||||
| ||||||||
Metals & Mining – 2.6% | ||||||||
Commercial Metals Co. | 252,660 | $ | 3,357,851 | |||||
Reliance Steel & Aluminum Co. | 61,340 | 3,295,185 | ||||||
Steel Dynamics, Inc. | 208,150 | 3,082,702 | ||||||
|
| |||||||
| 9,735,738 | ||||||||
|
| |||||||
| 23,539,714 | ||||||||
|
| |||||||
Utilities – 5.9% | ||||||||
Electric Utilities – 4.0% | ||||||||
Great Plains Energy, Inc. | 138,820 | 2,745,860 | ||||||
NV Energy, Inc. | 281,780 | 4,418,310 | ||||||
PNM Resources, Inc. | 216,250 | 3,888,175 | ||||||
Portland General Electric Co. | 149,660 | 3,687,622 | ||||||
|
| |||||||
| 14,739,967 | ||||||||
|
| |||||||
Gas Utilities – 1.9% | ||||||||
Atmos Energy Corp. | 127,440 | 3,916,231 | ||||||
UGI Corp. | 105,430 | 2,978,398 | ||||||
|
| |||||||
| 6,894,629 | ||||||||
|
| |||||||
| 21,634,596 | ||||||||
|
| |||||||
Energy – 5.8% | ||||||||
Energy Equipment & Services – 1.1% | ||||||||
Bristow Group, Inc. | 89,740 | 4,236,625 | ||||||
|
| |||||||
Oil, Gas & Consumable Fuels – 4.7% | ||||||||
Plains Exploration & Production Co.(a) | 92,410 | 4,072,509 | ||||||
Stone Energy Corp.(a) | 108,920 | 3,479,994 | ||||||
Teekay Corp. | 111,340 | 3,206,592 | ||||||
Tesoro Corp.(a) | 85,610 | 2,271,233 | ||||||
Western Refining, Inc.(b) | 229,730 | 4,169,600 | ||||||
|
| |||||||
| 17,199,928 | ||||||||
|
| |||||||
| 21,436,553 | ||||||||
|
| |||||||
Consumer Staples – 3.8% | ||||||||
Beverages – 1.5% | ||||||||
Constellation Brands, Inc. – Class A(a) | 242,534 | 5,296,943 | ||||||
|
| |||||||
Food Products – 2.3% | ||||||||
Dean Foods Co.(a) | 368,700 | 4,520,262 | ||||||
Dole Food Co., Inc.(a)(b) | 296,100 | 2,836,638 | ||||||
Tyson Foods, Inc. – Class A | 62,030 | 1,172,987 | ||||||
|
| |||||||
| 8,529,887 | ||||||||
|
| |||||||
| 13,826,830 | ||||||||
|
| |||||||
Health Care – 3.3% | ||||||||
Health Care Providers & Services – 3.3% | ||||||||
Health Net, Inc.(a) | 129,070 | 4,871,102 | ||||||
LifePoint Hospitals, Inc.(a) | 105,018 | 4,092,551 | ||||||
| ALLIANCEBERNSTEIN POOLING PORTFOLIOS • | 147 |
Small-Mid Cap Value Portfolio—Portfolio of Investments
| Company | Shares | U.S. $ Value | ||||||
| ||||||||
Molina Healthcare, Inc.(a) | 95,597 | $ | 3,246,474 | |||||
|
| |||||||
| 12,210,127 | ||||||||
|
| |||||||
Total Common Stocks | 365,993,683 | |||||||
|
| |||||||
SHORT-TERM INVESTMENTS – 0.9% | ||||||||
Investment Companies – 0.9% | ||||||||
AllianceBernstein Fixed-Income Shares, Inc. – | 3,443,558 | 3,443,558 | ||||||
|
| |||||||
Total Investments Before Security Lending Collateral for Securities Loaned – 100.5% | 369,437,241 | |||||||
|
| |||||||
INVESTMENTS OF CASH COLLATERAL FOR SECURITY LOANED – 3.5% | ||||||||
Investment Companies – 3.5% | ||||||||
AllianceBernstein Exchange Reserves – Class I, 0.22%(c) | 12,779,658 | 12,779,658 | ||||||
|
| |||||||
Total Investments – 104.0% | 382,216,899 | |||||||
Other assets less liabilities – (4.0)% | (14,571,987 | ) | ||||||
|
| |||||||
Net Assets – 100.0% | $ | 367,644,912 | ||||||
|
| |||||||
| (a) | Non-income producing security. |
| (b) | Represents entire or partial securities out on loan. See Note D for securities lending information. |
| (c) | Investment in affiliated money market mutual fund. The rate shown represents the 7-day yield as of period end. |
Glossary:
| ADR | – American Depositary Receipt |
See notes to financial statements.
| 148 | • ALLIANCEBERNSTEIN POOLING PORTFOLIOS |
Small-Mid Cap Value Portfolio—Portfolio of Investments
SMALL-MID CAP GROWTH PORTFOLIO
PORTFOLIO OF INVESTMENTS
February 29, 2012 (unaudited)
| Company | Shares | U.S. $ Value | ||||||
| ||||||||
COMMON STOCKS – 98.4% | ||||||||
Industrials – 26.0% | ||||||||
Aerospace & Defense – 1.5% | ||||||||
Hexcel Corp.(a) | 217,845 | $ | 5,504,943 | |||||
|
| |||||||
Air Freight & Logistics – 1.1% | ||||||||
Expeditors International of Washington, Inc. | 94,660 | 4,130,016 | ||||||
|
| |||||||
Building Products – 0.8% | ||||||||
Simpson Manufacturing Co., Inc. | 103,213 | 3,077,812 | ||||||
|
| |||||||
Electrical Equipment – 1.7% | ||||||||
AMETEK, Inc. | 133,210 | 6,340,796 | ||||||
|
| |||||||
Machinery – 11.1% | ||||||||
Actuant Corp. – Class A | 173,830 | 4,896,791 | ||||||
Gardner Denver, Inc. | 85,770 | 5,890,684 | ||||||
IDEX Corp. | 128,315 | 5,363,567 | ||||||
Joy Global, Inc. | 77,520 | 6,741,139 | ||||||
Lincoln Electric Holdings, Inc. | 96,350 | 4,450,406 | ||||||
Middleby Corp.(a) | 50,040 | 4,890,910 | ||||||
Robbins & Myers, Inc. | 89,085 | 4,348,239 | ||||||
Valmont Industries, Inc. | 39,391 | 4,375,158 | ||||||
|
| |||||||
| 40,956,894 | ||||||||
|
| |||||||
Marine – 1.8% | ||||||||
Kirby Corp.(a) | 95,208 | 6,533,173 | ||||||
|
| |||||||
Professional Services – 3.4% | ||||||||
CoStar Group, Inc.(a) | 108,976 | 6,536,380 | ||||||
Robert Half International, Inc. | 208,470 | 5,926,802 | ||||||
|
| |||||||
| 12,463,182 | ||||||||
|
| |||||||
Road & Rail – 1.2% | ||||||||
Genesee & Wyoming, Inc. – Class A(a) | 75,980 | 4,514,732 | ||||||
|
| |||||||
Trading Companies & Distributors – 3.4% | ||||||||
MSC Industrial Direct Co., Inc. – Class A | 80,390 | 6,383,770 | ||||||
United Rentals, Inc.(a)(b) | 143,530 | 5,982,330 | ||||||
|
| |||||||
| 12,366,100 | ||||||||
|
| |||||||
| 95,887,648 | ||||||||
|
| |||||||
Information Technology – 19.7% | ||||||||
Communications Equipment – 0.6% | ||||||||
ADTRAN, Inc. | 64,144 | 2,261,076 | ||||||
|
| |||||||
IT Services – 3.0% | ||||||||
Alliance Data Systems Corp.(a) | 27,421 | 3,327,812 | ||||||
ServiceSource International, Inc.(a) | 225,417 | 3,787,006 | ||||||
VeriFone Systems, Inc.(a) | 80,364 | 3,848,632 | ||||||
|
| |||||||
| 10,963,450 | ||||||||
|
| |||||||
| ALLIANCEBERNSTEIN POOLING PORTFOLIOS • | 149 |
Small-Mid Cap Growth Portfolio—Portfolio of Investments
| Company | Shares | U.S. $ Value | ||||||
| ||||||||
Semiconductors & Semiconductor Equipment – 6.7% | ||||||||
Fairchild Semiconductor International, Inc.(a) | 245,566 | $ | 3,582,808 | |||||
Hittite Microwave Corp.(a) | 39,990 | 2,286,628 | ||||||
International Rectifier Corp.(a) | 111,458 | 2,502,232 | ||||||
LSI Corp.(a) | 592,850 | 5,098,510 | ||||||
ON Semiconductor Corp.(a) | 362,700 | 3,289,689 | ||||||
Skyworks Solutions, Inc.(a) | 156,350 | 4,216,759 | ||||||
Teradyne, Inc.(a) | 238,140 | 3,910,259 | ||||||
|
| |||||||
| 24,886,885 | ||||||||
|
| |||||||
Software – 9.4% | ||||||||
ANSYS, Inc.(a) | 90,580 | 5,722,845 | ||||||
Aspen Technology, Inc.(a) | 234,038 | 4,811,821 | ||||||
Cadence Design Systems, Inc.(a) | 543,225 | 6,393,758 | ||||||
Fortinet, Inc.(a) | 124,360 | 3,363,938 | ||||||
Informatica Corp.(a) | 42,120 | 2,070,619 | ||||||
MICROS Systems, Inc.(a) | 108,590 | 5,639,079 | ||||||
SolarWinds, Inc.(a) | 78,634 | 2,929,903 | ||||||
TIBCO Software, Inc.(a) | 124,770 | 3,614,587 | ||||||
|
| |||||||
| 34,546,550 | ||||||||
|
| |||||||
| 72,657,961 | ||||||||
|
| |||||||
Health Care – 17.7% | ||||||||
Biotechnology – 3.4% | ||||||||
Alexion Pharmaceuticals, Inc.(a) | 18,310 | 1,533,096 | ||||||
Amarin Corp. PLC (ADR)(a) | 277,040 | 2,147,060 | ||||||
Ariad Pharmaceuticals, Inc.(a) | 158,495 | 2,272,818 | ||||||
AVEO Pharmaceuticals, Inc.(a) | 118,013 | 1,538,890 | ||||||
BioMarin Pharmaceutical, Inc.(a) | 97,480 | 3,484,910 | ||||||
Ironwood Pharmaceuticals, Inc.(a) | 120,030 | 1,607,202 | ||||||
|
| |||||||
| 12,583,976 | ||||||||
|
| |||||||
Health Care Equipment & Supplies – 4.0% | ||||||||
NxStage Medical, Inc.(a) | 168,600 | 3,372,000 | ||||||
Sirona Dental Systems, Inc.(a) | 87,926 | 4,387,507 | ||||||
Volcano Corp.(a) | 132,760 | 3,721,263 | ||||||
Zoll Medical Corp.(a) | 44,720 | 3,271,268 | ||||||
|
| |||||||
| 14,752,038 | ||||||||
|
| |||||||
Health Care Providers & Services – 7.7% | ||||||||
AMERIGROUP Corp.(a) | 83,470 | 5,670,117 | ||||||
Catalyst Health Solutions, Inc.(a) | 93,000 | 5,767,860 | ||||||
Centene Corp.(a) | 110,660 | 5,400,208 | ||||||
HMS Holdings Corp.(a) | 139,965 | 4,509,672 | ||||||
Mednax, Inc.(a) | 94,283 | 7,013,713 | ||||||
|
| |||||||
| 28,361,570 | ||||||||
|
| |||||||
Health Care Technology – 1.7% | ||||||||
SXC Health Solutions Corp.(a) | 87,129 | 6,168,733 | ||||||
|
| |||||||
| 150 | • ALLIANCEBERNSTEIN POOLING PORTFOLIOS |
Small-Mid Cap Growth Portfolio—Portfolio of Investments
| Company | Shares | U.S. $ Value | ||||||
| ||||||||
Pharmaceuticals – 0.9% | ||||||||
Akorn, Inc.(a) | 267,269 | $ | 3,348,881 | |||||
|
| |||||||
| 65,215,198 | ||||||||
|
| |||||||
Consumer Discretionary – 17.1% | ||||||||
Distributors – 1.5% | ||||||||
LKQ Corp.(a) | 179,290 | 5,712,180 | ||||||
|
| |||||||
Hotels, Restaurants & Leisure – 4.2% | ||||||||
Orient-Express Hotels Ltd. – Class A(a) | 438,970 | 4,341,413 | ||||||
Panera Bread Co. – Class A(a) | 37,630 | 5,816,845 | ||||||
Wyndham Worldwide Corp. | 124,740 | 5,487,313 | ||||||
|
| |||||||
| 15,645,571 | ||||||||
|
| |||||||
Household Durables – 1.8% | ||||||||
Tempur-Pedic International, Inc.(a) | 82,605 | 6,525,795 | ||||||
|
| |||||||
Media – 2.2% | ||||||||
National CineMedia, Inc. | 291,040 | 4,630,446 | ||||||
Pandora Media, Inc.(a) | 255,447 | 3,336,138 | ||||||
|
| |||||||
| 7,966,584 | ||||||||
|
| |||||||
Multiline Retail – 1.5% | ||||||||
Dollar Tree, Inc.(a) | 63,220 | 5,595,602 | ||||||
|
| |||||||
Specialty Retail – 5.9% | ||||||||
CarMax, Inc.(a) | 120,520 | 3,698,759 | ||||||
Dick’s Sporting Goods, Inc. | 157,610 | 7,054,624 | ||||||
Tractor Supply Co. | 68,785 | 5,879,054 | ||||||
Ulta Salon Cosmetics & Fragrance, Inc.(a) | 63,100 | 5,252,444 | ||||||
|
| |||||||
| 21,884,881 | ||||||||
|
| |||||||
| 63,330,613 | ||||||||
|
| |||||||
Energy – 8.2% | ||||||||
Energy Equipment & Services – 4.6% | ||||||||
FMC Technologies, Inc.(a) | 75,040 | 3,784,267 | ||||||
Oceaneering International, Inc. | 82,150 | 4,458,281 | ||||||
Oil States International, Inc.(a) | 61,220 | 4,972,288 | ||||||
Superior Energy Services, Inc.(a) | 130,910 | 3,840,899 | ||||||
|
| |||||||
| 17,055,735 | ||||||||
|
| |||||||
Oil, Gas & Consumable Fuels – 3.6% | ||||||||
Cabot Oil & Gas Corp. | 133,590 | 4,659,619 | ||||||
Concho Resources, Inc.(a) | 30,650 | 3,274,646 | ||||||
Range Resources Corp. | 23,250 | 1,480,560 | ||||||
SM Energy Co. | 48,223 | 3,796,115 | ||||||
|
| |||||||
| 13,210,940 | ||||||||
|
| |||||||
| 30,266,675 | ||||||||
|
| |||||||
Financials – 5.5% | ||||||||
Capital Markets – 3.5% | ||||||||
Affiliated Managers Group, Inc.(a) | 42,320 | 4,502,425 | ||||||
| ALLIANCEBERNSTEIN POOLING PORTFOLIOS • | 151 |
Small-Mid Cap Growth Portfolio—Portfolio of Investments
| Company | Shares | U.S. $ Value | ||||||
| ||||||||
Lazard Ltd. – Class A | 135,770 | $ | 4,135,554 | |||||
Stifel Financial Corp.(a) | 109,611 | 4,113,701 | ||||||
|
| |||||||
| 12,751,680 | ||||||||
|
| |||||||
Commercial Banks – 2.0% | ||||||||
Iberiabank Corp. | 65,592 | 3,479,000 | ||||||
Signature Bank/New York NY(a) | 66,420 | 3,942,691 | ||||||
|
| |||||||
| 7,421,691 | ||||||||
|
| |||||||
| 20,173,371 | ||||||||
|
| |||||||
Materials – 1.6% | ||||||||
Chemicals – 1.6% | ||||||||
Solutia, Inc. | 211,080 | 5,933,459 | ||||||
|
| |||||||
Telecommunication Services – 1.5% | ||||||||
Diversified Telecommunication | ||||||||
tw telecom, Inc.(a) | 258,547 | 5,584,615 | ||||||
|
| |||||||
Consumer Staples – 1.1% | ||||||||
Food Products – 1.1% | ||||||||
Green Mountain Coffee Roasters, Inc.(a)(b) | 64,418 | 4,185,237 | ||||||
|
| |||||||
Total Common Stocks | 363,234,777 | |||||||
|
| |||||||
SHORT-TERM INVESTMENTS – 1.5% | ||||||||
Investment Companies – 1.5% | ||||||||
AllianceBernstein Fixed-Income Shares, Inc. – | 5,615,565 | 5,615,565 | ||||||
|
| |||||||
Total Investments Before Security Lending Collateral for Securities Loaned – 99.9% | 368,850,342 | |||||||
|
| |||||||
INVESTMENTS OF CASH COLLATERAL FOR SECURITY LOANED – 2.4% | ||||||||
Investment Companies – 2.4% | ||||||||
AllianceBernstein Exchange Reserves – Class I, 0.22%(c) | 8,740,611 | 8,740,611 | ||||||
|
| |||||||
Total Investments – 102.3% | 377,590,953 | |||||||
Other assets less liabilities – (2.3)% | (8,383,183 | ) | ||||||
|
| |||||||
Net Assets – 100.0% | $ | 369,207,770 | ||||||
|
| |||||||
| 152 | • ALLIANCEBERNSTEIN POOLING PORTFOLIOS |
Small-Mid Cap Growth Portfolio—Portfolio of Investments
| (a) | Non-income producing security. |
| (b) | Represents entire or partial securities out on loan. See Note D for securities lending information. |
| (c) | Investment in affiliated money market mutual fund. The rate shown represents the 7-day yield as of period end. |
Glossary:
| ADR | – American Depositary Receipt |
See notes to financial statements.
| ALLIANCEBERNSTEIN POOLING PORTFOLIOS • | 153 |
Small-Mid Cap Growth Portfolio—Portfolio of Investments
MULTI-ASSET REAL RETURN PORTFOLIO
PORTFOLIO OF INVESTMENTS
February 29, 2012 (unaudited)
| Company | Shares | U.S. $ Value | ||||||
| ||||||||
COMMON STOCKS – 65.2% | ||||||||
Energy – 22.3% | ||||||||
Coal & Consumable Fuels – 0.4% | ||||||||
Banpu PCL | 98,100 | $ | 2,120,133 | |||||
|
| |||||||
Integrated Oil & Gas – 15.3% | ||||||||
BG Group PLC | 238,300 | 5,750,968 | ||||||
BP PLC | 1,453,210 | 11,370,773 | ||||||
Chevron Corp. | 76,210 | 8,316,035 | ||||||
China Petroleum & Chemical Corp. – Class H | 3,476,000 | 3,949,063 | ||||||
Exxon Mobil Corp. | 247,480 | 21,407,020 | ||||||
Gazprom OAO (Sponsored ADR) | 551,440 | 7,279,008 | ||||||
Hess Corp. | 31,530 | 2,046,928 | ||||||
Petroleo Brasileiro SA (ADR) | 177,620 | 5,300,181 | ||||||
Petroleo Brasileiro SA (Sponsored ADR) | 75,018 | 2,137,263 | ||||||
PTT PCL | 195,400 | 2,343,638 | ||||||
Royal Dutch Shell PLC (Euronext Amsterdam) – Class A | 284,827 | 10,396,264 | ||||||
Royal Dutch Shell PLC – Class B | 97,360 | 3,608,849 | ||||||
Suncor Energy, Inc. (Toronto) | 163,690 | 5,892,807 | ||||||
Total SA | 67,480 | 3,774,866 | ||||||
|
| |||||||
| 93,573,663 | ||||||||
|
| |||||||
Oil & Gas Drilling – 1.3% | ||||||||
Ensco PLC (Sponsored ADR)(a) | 29,060 | 1,694,198 | ||||||
Seadrill Ltd. | 78,660 | 3,309,226 | ||||||
Transocean Ltd./Switzerland | 53,880 | 2,873,959 | ||||||
|
| |||||||
| 7,877,383 | ||||||||
|
| |||||||
Oil & Gas Equipment & Services – 0.8% | ||||||||
Halliburton Co. | 55,950 | 2,047,211 | ||||||
Schlumberger Ltd. | 40,240 | 3,123,026 | ||||||
|
| |||||||
| 5,170,237 | ||||||||
|
| |||||||
Oil & Gas Exploration & Production – 4.2% | ||||||||
Anadarko Petroleum Corp. | 59,250 | 4,984,110 | ||||||
Cabot Oil & Gas Corp. | 32,000 | 1,116,160 | ||||||
Devon Energy Corp. | 48,770 | 3,575,329 | ||||||
EOG Resources, Inc. | 27,090 | 3,084,467 | ||||||
Marathon Oil Corp. | 62,550 | 2,119,820 | ||||||
Nexen, Inc. (Toronto) | 100,184 | 2,042,257 | ||||||
Noble Energy, Inc. | 24,990 | 2,440,273 | ||||||
Occidental Petroleum Corp. | 49,520 | 5,168,402 | ||||||
Penn West Petroleum Ltd. | 67 | 1,463 | ||||||
Stone Energy Corp.(b) | 33,930 | 1,084,064 | ||||||
|
| |||||||
| 25,616,345 | ||||||||
|
| |||||||
Oil & Gas Refining & Marketing – 0.3% | ||||||||
Marathon Petroleum Corp. | 46,670 | 1,939,139 | ||||||
|
| |||||||
| 136,296,900 | ||||||||
|
| |||||||
| 154 | • ALLIANCEBERNSTEIN POOLING PORTFOLIOS |
Multi-Asset Real Return Portfolio—Portfolio of Investments
| Company | Shares | U.S. $ Value | ||||||
| ||||||||
Materials – 10.9% | ||||||||
Diversified Chemicals – 0.5% | ||||||||
BASF SE | 30,860 | $ | 2,709,308 | |||||
|
| |||||||
Diversified Metals & Mining – 4.6% | ||||||||
Anglo American PLC | 124,660 | 5,255,004 | ||||||
BHP Billiton Ltd. | 151,840 | 5,878,556 | ||||||
BHP Billiton PLC | 62,330 | 2,015,920 | ||||||
Exxaro Resources Ltd. | 117,410 | 3,279,214 | ||||||
Freeport-McMoRan Copper & Gold, Inc. | 23,810 | 1,013,354 | ||||||
Rio Tinto Ltd. | 18,600 | 1,336,245 | ||||||
Rio Tinto PLC | 119,280 | 6,766,676 | ||||||
Teck Resources Ltd. | 72,160 | 2,889,463 | ||||||
|
| |||||||
| 28,434,432 | ||||||||
|
| |||||||
Fertilizers & Agricultural Chemicals – 1.2% | ||||||||
Agrium, Inc. (Toronto) | 43,000 | 3,658,335 | ||||||
Monsanto Co. | 46,100 | 3,567,218 | ||||||
|
| |||||||
| 7,225,553 | ||||||||
|
| |||||||
Gold – 2.0% | ||||||||
Goldcorp, Inc. | 105,860 | 5,132,249 | ||||||
IAMGOLD Corp. | 119,500 | 1,806,782 | ||||||
Kinross Gold Corp. | 266,980 | 2,954,602 | ||||||
New Gold, Inc.(b) | 183,290 | 2,141,424 | ||||||
Real Gold Mining Ltd.(a)(c)(d) | 686,500 | 321,468 | ||||||
|
| |||||||
| 12,356,525 | ||||||||
|
| |||||||
Paper Products – 0.3% | ||||||||
Mondi PLC(e) | 193,210 | 1,803,592 | ||||||
|
| |||||||
Specialty Chemicals – 0.4% | ||||||||
Koninklijke DSM NV | 48,730 | 2,707,427 | ||||||
|
| |||||||
Steel – 1.9% | ||||||||
Commercial Metals Co. | 147,400 | 1,958,946 | ||||||
JFE Holdings, Inc. | 95,100 | 2,057,024 | ||||||
OneSteel Ltd. | 671,187 | 758,316 | ||||||
United States Steel Corp.(a) | 33,840 | 921,125 | ||||||
Vale SA (Sponsored ADR) (Local Preference Shares) | 245,040 | 6,023,083 | ||||||
|
| |||||||
| 11,718,494 | ||||||||
|
| |||||||
| 66,955,331 | ||||||||
|
| |||||||
Equity: Other – 10.7% | ||||||||
Diversified/Specialty – 9.9% | ||||||||
British Land Co. PLC | 382,895 | 2,858,040 | ||||||
CapitaLand Ltd. | 497,000 | 1,220,386 | ||||||
CBRE Group, Inc.(b) | 75,770 | 1,388,864 | ||||||
Dexus Property Group | 1,845,639 | 1,767,413 | ||||||
| ALLIANCEBERNSTEIN POOLING PORTFOLIOS • | 155 |
Multi-Asset Real Return Portfolio—Portfolio of Investments
| Company | Shares | U.S. $ Value | ||||||
| ||||||||
Digital Realty Trust, Inc.(a) | 77,550 | $ | 5,622,375 | |||||
Duke Realty Corp. | 176,160 | 2,445,101 | ||||||
Dundee Real Estate Investment Trust | 57,846 | 2,011,120 | ||||||
Evergrande Real Estate Group Ltd. | 1,644,000 | 1,035,889 | ||||||
Forest City Enterprises, Inc.(b) | 104,309 | 1,524,997 | ||||||
Hang Lung Properties Ltd. | 278,000 | 1,049,606 | ||||||
Hysan Development Co., Ltd. | 623,366 | 2,701,893 | ||||||
Mitsui Fudosan Co., Ltd. | 409,000 | 7,752,894 | ||||||
Morguard Real Estate Investment Trust | 73,100 | 1,204,235 | ||||||
Soho China Ltd. | 3,135,000 | 2,277,416 | ||||||
Sun Hung Kai Properties Ltd. | 512,305 | 7,873,855 | ||||||
Telecity Group PLC(b) | 97,795 | 1,070,565 | ||||||
Tokyu Land Corp. | 532,000 | 2,567,406 | ||||||
Unibail-Rodamco SE | 30,507 | 5,871,482 | ||||||
UOL Group Ltd. | 306,715 | 1,146,705 | ||||||
Weyerhaeuser Co. | 95,520 | 1,995,413 | ||||||
Wharf Holdings Ltd. | 807,000 | 5,043,873 | ||||||
|
| |||||||
| 60,429,528 | ||||||||
|
| |||||||
Health Care – 0.8% | ||||||||
Ventas, Inc. | 92,140 | 5,152,469 | ||||||
|
| |||||||
| 65,581,997 | ||||||||
|
| |||||||
Retail – 7.4% | ||||||||
Regional Mall – 3.5% | ||||||||
General Growth Properties, Inc. | 152,130 | 2,475,155 | ||||||
Glimcher Realty Trust | 407,846 | 4,037,676 | ||||||
Multiplan Empreendimentos Imobiliarios SA | 16,605 | 377,112 | ||||||
Simon Property Group, Inc. | 76,711 | 10,392,806 | ||||||
Westfield Group | 448,967 | 4,214,009 | ||||||
|
| |||||||
| 21,496,758 | ||||||||
|
| |||||||
Shopping Center/Other Retail – 3.9% | ||||||||
Aeon Mall Co., Ltd. | 105,400 | 2,362,908 | ||||||
Corio NV | 57,908 | 2,773,064 | ||||||
DDR Corp. | 209,376 | 2,958,483 | ||||||
Hammerson PLC | 481,810 | 2,995,969 | ||||||
Klepierre | 47,142 | 1,492,239 | ||||||
Link REIT (The) | 537,878 | 2,011,118 | ||||||
Regency Centers Corp. | 57,000 | 2,439,030 | ||||||
Retail Opportunity Investments Corp.(a) | 162,376 | 1,888,433 | ||||||
RioCan Real Estate Investment Trust (New York)(f) | 132,100 | 3,620,751 | ||||||
RioCan Real Estate Investment Trust (Toronto) | 1 | 27 | ||||||
Weingarten Realty Investors(a) | 58,900 | 1,466,610 | ||||||
|
| |||||||
| 24,008,632 | ||||||||
|
| |||||||
| 45,505,390 | ||||||||
|
| |||||||
| 156 | • ALLIANCEBERNSTEIN POOLING PORTFOLIOS |
Multi-Asset Real Return Portfolio—Portfolio of Investments
| Company | Shares | U.S. $ Value | ||||||
| ||||||||
Residential – 4.6% | ||||||||
Multi-Family – 3.1% | ||||||||
BRE Properties, Inc. | 60,290 | $ | 2,919,845 | |||||
Camden Property Trust | 39,530 | 2,450,860 | ||||||
China Overseas Land & Investment Ltd.(a) | 596,000 | 1,235,945 | ||||||
Equity Residential | 23,310 | 1,326,106 | ||||||
Essex Property Trust, Inc. | 13,184 | 1,845,628 | ||||||
GSW Immobilien AG(b) | 31,960 | 1,005,329 | ||||||
MRV Engenharia e Participacoes SA | 116,400 | 938,792 | ||||||
Northern Property Real Estate Investment Trust | 45,176 | 1,515,835 | ||||||
Post Properties, Inc. | 53,860 | 2,352,066 | ||||||
Rossi Residencial SA | 277,000 | 1,659,822 | ||||||
Stockland | 462,400 | 1,562,939 | ||||||
|
| |||||||
| 18,813,167 | ||||||||
|
| |||||||
Self Storage – 1.5% | ||||||||
Big Yellow Group PLC | 451,533 | 2,079,864 | ||||||
CubeSmart | 41,590 | 469,135 | ||||||
Extra Space Storage, Inc. | 75,277 | 1,985,055 | ||||||
Public Storage | 17,427 | 2,336,438 | ||||||
Sovran Self Storage, Inc. | 53,192 | 2,527,152 | ||||||
|
| |||||||
| 9,397,644 | ||||||||
|
| |||||||
| 28,210,811 | ||||||||
|
| |||||||
Office – 4.1% | ||||||||
Office – 4.1% | ||||||||
Allied Properties Real Estate Investment Trust | 33,644 | 904,132 | ||||||
Boston Properties, Inc. | 18,703 | 1,899,290 | ||||||
Castellum AB | 184,984 | 2,434,419 | ||||||
Cominar Real Estate Investment Trust | 85,843 | 1,991,971 | ||||||
Corporate Office Properties Trust | 39,011 | 956,550 | ||||||
Derwent London PLC | 55,530 | 1,489,260 | ||||||
Douglas Emmett, Inc. | 210,438 | 4,433,929 | ||||||
Great Portland Estates PLC | 263,330 | 1,476,798 | ||||||
Hufvudstaden AB – Class A | 148,642 | 1,649,022 | ||||||
Kilroy Realty Corp. | 34,909 | 1,530,410 | ||||||
Nippon Building Fund, Inc. | 53 | 508,820 | ||||||
NTT Urban Development Corp. | 612 | 492,548 | ||||||
PS Business Parks, Inc. | 30,560 | 1,907,555 | ||||||
SL Green Realty Corp. | 45,487 | 3,459,286 | ||||||
|
| |||||||
| 25,133,990 | ||||||||
|
| |||||||
Industrials – 2.4% | ||||||||
Industrial Warehouse Distribution – 1.8% | ||||||||
EastGroup Properties, Inc. | 58,340 | 2,811,405 | ||||||
Global Logistic Properties Ltd.(b) | 1,541,000 | 2,679,160 | ||||||
ProLogis, Inc. | 173,996 | 5,856,705 | ||||||
|
| |||||||
| 11,347,270 | ||||||||
|
| |||||||
| ALLIANCEBERNSTEIN POOLING PORTFOLIOS • | 157 |
Multi-Asset Real Return Portfolio—Portfolio of Investments
| Company | Shares | U.S. $ Value | ||||||
| ||||||||
Mixed Office Industrial – 0.6% | ||||||||
Goodman Group | 4,866,980 | $ | 3,582,762 | |||||
|
| |||||||
| 14,930,032 | ||||||||
|
| |||||||
Lodging – 2.3% | ||||||||
Lodging – 2.3% | ||||||||
Ashford Hospitality Trust, Inc. | 128,614 | 1,085,502 | ||||||
Great Eagle Holdings Ltd. | 859,000 | 2,500,832 | ||||||
InnVest Real Estate Investment Trust | 174,266 | 961,638 | ||||||
Intercontinental Hotels Group PLC | 116,120 | 2,638,338 | ||||||
LaSalle Hotel Properties | 89,810 | 2,396,131 | ||||||
Pebblebrook Hotel Trust | 63,550 | 1,361,877 | ||||||
Starwood Hotels & Resorts Worldwide, Inc. | 34,520 | 1,860,628 | ||||||
Strategic Hotels & Resorts, Inc.(b) | 158,590 | 988,016 | ||||||
|
| |||||||
| 13,792,962 | ||||||||
|
| |||||||
Food Beverage & Tobacco – 0.5% | ||||||||
Agricultural Products – 0.3% | ||||||||
Bunge Ltd. | 23,460 | 1,579,327 | ||||||
|
| |||||||
Packaged Foods & Meats – 0.2% | ||||||||
Tyson Foods Inc – Class A | 79,540 | 1,504,103 | ||||||
|
| |||||||
| 3,083,430 | ||||||||
|
| |||||||
Total Common Stocks | 399,490,843 | |||||||
|
| |||||||
| Principal Amount (000) | ||||||||
INFLATION-LINKED SECURITIES – 13.4% | ||||||||
United States – 13.4% | ||||||||
U.S. Treasury Inflation Index | $ | 73,129 | 82,006,781 | |||||
|
| |||||||
| Contracts | ||||||||
OPTIONS PURCHASED – PUTS – 0.2% | ||||||||
Options on Equity Index – 0.2% | ||||||||
S&P 500 Index | 105 | 885,675 | ||||||
|
| |||||||
| 158 | • ALLIANCEBERNSTEIN POOLING PORTFOLIOS |
Multi-Asset Real Return Portfolio—Portfolio of Investments
| Company | Contracts | U.S. $ Value | ||||||
| ||||||||
OPTION PURCHASED – CALL – 0.0% | ||||||||
Options on Funds and Investment | ||||||||
United States Oil Fund LP | 3,943 | $ | 224,751 | |||||
|
| |||||||
| Shares | ||||||||
SHORT-TERM INVESTMENTS – 18.5% | ||||||||
Investment Companies – 7.5% | ||||||||
AllianceBernstein Fixed-Income Shares, Inc. – Government STIF Portfolio 0.09%(h) | 46,136,848 | 46,136,848 | ||||||
|
| |||||||
| Principal Amount (000) | ||||||||
U.S. TREASURY BILLS – 11.0% | ||||||||
U.S. Treasury Bill | ||||||||
Zero Coupon, 3/15/12 | $ | 34,000 | 33,999,514 | |||||
Zero Coupon, 4/12/12(i) | 33,400 | 33,398,781 | ||||||
|
| |||||||
Total U.S. Treasury Bills | 67,398,295 | |||||||
|
| |||||||
Total Investments Before Security Lending Collateral for Securities Loaned – 97.3% | 596,143,193 | |||||||
|
| |||||||
| Shares | ||||||||
INVESTMENTS OF CASH COLLATERAL FOR SECURITY LOANED – 1.7% | ||||||||
Investment Companies – 1.7% | ||||||||
AllianceBernstein Exchange Reserves – Class I, 0.22%(h) | 9,988,082 | 9,988,082 | ||||||
|
| |||||||
Total Investments – 99.0% | 606,131,275 | |||||||
Other assets less liabilities – 1.0% | 6,409,422 | |||||||
|
| |||||||
Net Assets – 100.0% | $ | 612,540,697 | ||||||
|
| |||||||
| ALLIANCEBERNSTEIN POOLING PORTFOLIOS • | 159 |
Multi-Asset Real Return Portfolio—Portfolio of Investments
FUTURES CONTRACTS (see Note C)
| Type | Number of Contracts | Expiration Month | Original Value | Value at February 29, 2012 | Unrealized Appreciation/ (Depreciation) | |||||||||||||||
Purchased Contracts | ||||||||||||||||||||
Brent Crude Oil Futures | 28 | June 2012 | $ | 3,351,903 | $ | 3,383,800 | $ | 31,897 | ||||||||||||
Cocoa Futures | 21 | May 2012 | 513,122 | 490,140 | (22,982 | ) | ||||||||||||||
Gasoline RBOB Futures | 3 | May 2012 | 407,425 | 409,588 | 2,163 | |||||||||||||||
Nickel Futures | 8 | May 2012 | 983,432 | 923,760 | (59,672 | ) | ||||||||||||||
Platinum Futures | 93 | April 2012 | 6,718,713 | 7,870,590 | 1,151,877 | |||||||||||||||
Platinum Futures | 56 | July 2012 | 4,834,740 | 4,752,160 | (82,580 | ) | ||||||||||||||
Soybean Meal Futures | 127 | May 2012 | 4,223,426 | 4,481,830 | 258,404 | |||||||||||||||
Zinc Futures | 27 | May 2012 | 1,368,419 | 1,424,925 | 56,506 | |||||||||||||||
Sold Contracts | ||||||||||||||||||||
Coffee C Futures | 38 | May 2012 | 3,146,274 | 2,896,313 | 249,961 | |||||||||||||||
Copper LME Futures | 1 | May 2012 | 210,249 | 212,500 | (2,251 | ) | ||||||||||||||
Gold 100 OZ Futures | 47 | April 2012 | 7,845,940 | 8,043,110 | (197,170 | ) | ||||||||||||||
Heating Oil Futures | 7 | May 2012 | 948,984 | 942,270 | 6,714 | |||||||||||||||
Lean Hogs Futures | 29 | April 2012 | 1,047,058 | 1,037,330 | 9,728 | |||||||||||||||
Nickel Futures | 1 | May 2012 | 129,869 | 115,470 | 14,399 | |||||||||||||||
Silver Futures | 12 | May 2012 | 2,047,752 | 2,078,520 | (30,768 | ) | ||||||||||||||
Wheat Futures | 17 | May 2012 | 584,610 | 602,225 | (17,615 | ) | ||||||||||||||
Zing Futures | 27 | May 2012 | 1,394,639 | 1,424,925 | (30,286 | ) | ||||||||||||||
|
| |||||||||||||||||||
| $ | 1,338,325 | |||||||||||||||||||
|
| |||||||||||||||||||
FORWARD CURRENCY EXCHANGE CONTRACTS (see Note C)
| Counterparty & Description | Contract Amount (000) | U.S. $ Value on Origination Date | U.S. $ Value at | Unrealized Appreciation/ (Depreciation) | ||||||||||||
Buy Contracts | ||||||||||||||||
Barclays Bank PLC Wholesale: | ||||||||||||||||
Australian Dollar settling 3/15/12 | 2,857 | $ | 3,008,921 | $ | 3,059,477 | $ | 50,556 | |||||||||
Canadian Dollar settling 3/15/12 | 3,816 | 3,795,938 | 3,855,528 | 59,590 | ||||||||||||
Canadian Dollar settling 3/15/12 | 2,894 | 2,872,405 | 2,923,978 | 51,573 | ||||||||||||
Euro settling 3/15/12 | 3,818 | 5,009,063 | 5,086,975 | 77,912 | ||||||||||||
Great British Pound settling 3/15/12 | 2,199 | 3,446,851 | 3,498,066 | 51,215 | ||||||||||||
Malaysian Ringgit settling 3/02/12(1) | 6,085 | 2,014,367 | 2,031,380 | 17,013 | ||||||||||||
South African Rand settling 3/02/12 | 29,176 | 3,851,007 | 3,883,945 | 32,938 | ||||||||||||
Swedish Krona settling 3/15/12 | 11,509 | 1,699,375 | 1,738,458 | 39,083 | ||||||||||||
Swiss Franc settling 3/15/12 | 1,191 | 1,292,654 | 1,316,635 | 23,981 | ||||||||||||
Credit Suisse London Branch (GFX): | ||||||||||||||||
Euro settling 3/15/12 | 1,491 | 1,952,579 | 1,986,558 | 33,979 | ||||||||||||
Great British Pound settling 3/15/12 | 1,251 | 1,958,532 | 1,990,033 | 31,501 | ||||||||||||
Indian Rupee settling 3/02/12(1) | 140,492 | 2,870,652 | 2,866,599 | (4,053 | ) | |||||||||||
Indian Rupee settling 4/03/12(1) | 140,492 | 2,824,528 | 2,835,931 | 11,403 | ||||||||||||
Indonesian Rupiah settling 3/02/12(1) | 20,453,303 | 2,246,381 | 2,267,550 | 21,169 | ||||||||||||
Indonesian Rupiah settling 4/03/12(1) | 20,453,303 | 2,209,973 | 2,244,409 | 34,436 | ||||||||||||
Japanese Yen settling 3/15/12 | 445,677 | 5,751,413 | 5,483,143 | (268,270 | ) | |||||||||||
Malaysian Ringgit settling 3/02/12(1) | 6,085 | 2,030,296 | 2,031,380 | 1,084 | ||||||||||||
Malaysian Ringgit settling 4/03/12(1) | 6,085 | 2,007,721 | 2,023,905 | 16,184 | ||||||||||||
Singapore Dollar settling 3/15/12 | 2,352 | 1,872,928 | 1,880,635 | 7,707 | ||||||||||||
South Korean Won settling 3/02/12 | 2,171,428 | 1,927,588 | 1,940,985 | 13,397 | ||||||||||||
South Korean Won settling 4/03/12 | 2,171,428 | 1,916,276 | 1,936,693 | 20,417 | ||||||||||||
HSBC Bank USA: | ||||||||||||||||
Euro settling 3/15/12 | 1,627 | 2,082,511 | 2,167,760 | 85,249 | ||||||||||||
Euro settling 3/15/12 | 1,207 | 1,581,991 | 1,608,167 | 26,176 | ||||||||||||
| 160 | • ALLIANCEBERNSTEIN POOLING PORTFOLIOS |
Multi-Asset Real Return Portfolio—Portfolio of Investments
| Counterparty & Description | Contract Amount (000) | U.S. $ Value on Origination Date | U.S. $ Value at | Unrealized Appreciation/ (Depreciation) | ||||||||||||
Hong Kong Dollar settling 3/15/12 | 14,055 | $ | 1,812,629 | $ | 1,812,146 | $ | (483 | ) | ||||||||
Hong Kong Dollar settling 3/15/12 | 24,644 | 3,178,149 | 3,177,412 | (737 | ) | |||||||||||
Mexican Nuevo Peso settling 3/02/12 | 24,513 | 1,931,831 | 1,908,934 | (22,897 | ) | |||||||||||
JPMorgan Chase Bank USA: | ||||||||||||||||
Great British Pound settling 3/15/12 | 1,117 | 1,752,107 | 1,776,871 | 24,764 | ||||||||||||
Morgan Stanley & Co., Inc.: | ||||||||||||||||
Australian Dollar settling 3/15/12 | 7,137 | 7,627,312 | 7,642,803 | 15,491 | ||||||||||||
Australian Dollar settling 6/15/12 | 5,949 | 6,297,017 | 6,304,689 | 7,672 | ||||||||||||
Brazilian Real settling 3/02/12 | 1,629 | 946,268 | 948,610 | 2,342 | ||||||||||||
Brazilian Real settling 3/02/12 | 4,498 | 2,631,641 | 2,619,305 | (12,336 | ) | |||||||||||
Canadian Dollar settling 3/15/12 | 3,888 | 3,780,814 | 3,928,275 | 147,461 | ||||||||||||
South Korean Won settling 3/02/12 | 2,171,428 | 1,931,961 | 1,940,984 | 9,023 | ||||||||||||
Royal Bank of Canada: | ||||||||||||||||
Canadian Dollar settling 3/15/12 | 1,896 | 1,830,293 | 1,915,641 | 85,348 | ||||||||||||
Royal Bank of Scotland PLC: | ||||||||||||||||
Indian Rupee settling 3/02/12(1) | 140,492 | 2,855,528 | 2,866,598 | 11,070 | ||||||||||||
Mexican Nuevo Peso settling 4/03/12 | 24,513 | 1,887,080 | 1,903,974 | 16,894 | ||||||||||||
South African Rand settling 4/03/12 | 29,176 | 3,808,132 | 3,865,890 | 57,758 | ||||||||||||
Standard Chartered Bank: | ||||||||||||||||
Brazilian Real settling 3/02/12 | 2,869 | 1,627,340 | 1,670,695 | 43,355 | ||||||||||||
Chinese Yuan Renminbi settling 3/15/12(1) | 201,006 | 31,466,187 | 31,930,594 | 464,407 | ||||||||||||
Chinese Yuan Renminbi settling 3/15/12(1) | 12,130 | 1,906,933 | 1,926,898 | 19,965 | ||||||||||||
Chinese Yuan Renminbi settling 6/15/12(1) | 9,596 | 1,526,081 | 1,525,377 | (704 | ) | |||||||||||
Great British Pound settling 3/15/12 | 1,633 | 2,527,855 | 2,597,700 | 69,845 | ||||||||||||
Indonesian Rupiah settling 3/02/12(1) | 20,453,303 | 2,278,920 | 2,267,551 | (11,369 | ) | |||||||||||
Singapore Dollar settling 3/15/12 | 5,436 | 4,195,837 | 4,346,569 | 150,732 | ||||||||||||
State Street Bank & Trust Co.: | ||||||||||||||||
Japanese Yen settling 3/15/12 | 152,976 | 1,968,170 | 1,882,057 | (86,113 | ) | |||||||||||
Westpac Banking Corporation: | ||||||||||||||||
Australian Dollar settling 6/15/12 | 1,809 | 1,913,073 | 1,917,160 | 4,087 | ||||||||||||
Sale Contracts | ||||||||||||||||
Bank of America, N.A.: | ||||||||||||||||
Great British Pound settling 6/15/12 | 1,288 | 2,037,745 | 2,047,471 | (9,726 | ) | |||||||||||
Barclays Bank PLC Wholesale | ||||||||||||||||
Malaysian Ringgit settling 3/02/12(1) | 6,085 | 2,030,296 | 2,031,380 | (1,084 | ) | |||||||||||
Barclays Bank PLC Wholesale: | ||||||||||||||||
Australian Dollar settling 3/15/12 | 1,860 | 1,871,861 | 1,991,819 | (119,958 | ) | |||||||||||
Canadian Dollar settling 3/15/12 | 3,789 | 3,786,187 | 3,828,249 | (42,062 | ) | |||||||||||
Canadian Dollar settling 3/15/12 | 17,759 | 17,327,595 | 17,942,960 | (615,365 | ) | |||||||||||
Great British Pound settling 3/15/12 | 1,925 | 3,089,329 | 3,062,200 | 27,129 | ||||||||||||
Hong Kong Dollar settling 3/15/12 | 10,775 | 1,389,312 | 1,389,248 | 64 | ||||||||||||
Japanese Yen settling 3/15/12 | 217,775 | 2,855,051 | 2,679,276 | 175,775 | ||||||||||||
Singapore Dollar settling 3/15/12 | 3,180 | 2,527,888 | 2,542,695 | (14,807 | ) | |||||||||||
Citibank N.A.: | ||||||||||||||||
Euro settling 3/15/12 | 1,357 | 1,775,902 | 1,808,022 | (32,120 | ) | |||||||||||
Hong Kong Dollar settling 3/15/12 | 14,046 | 1,811,072 | 1,810,986 | 86 | ||||||||||||
Credit Suisse London Branch (GFX): | ||||||||||||||||
Malaysian Ringgit settling 3/02/12(1) | 6,085 | 2,011,105 | 2,031,381 | (20,276 | ) | |||||||||||
Credit Suisse Londong Branch (GFX): | ||||||||||||||||
Great British Pound settling 3/15/12 | 1,516 | 2,371,066 | 2,411,581 | (40,515 | ) | |||||||||||
Indian Rupee settling 3/02/12(1) | 140,492 | 2,848,003 | 2,866,598 | (18,595 | ) | |||||||||||
| ALLIANCEBERNSTEIN POOLING PORTFOLIOS • | 161 |
Multi-Asset Real Return Portfolio—Portfolio of Investments
| Counterparty & Description | Contract Amount (000) | U.S. $ Value on Origination Date | U.S. $ Value at | Unrealized Appreciation/ (Depreciation) | ||||||||||||
Indonesian Rupiah settling 3/02/12(1) | 20,453,303 | $ | 2,228,029 | $ | 2,267,551 | $ | (39,522 | ) | ||||||||
South Korean Won settling 3/02/12 | 2,171,428 | 1,920,768 | 1,940,985 | (20,217 | ) | |||||||||||
Deutsche Bank AG London: | ||||||||||||||||
Great British Pound settling 3/15/12 | 2,722 | 4,259,884 | 4,330,031 | (70,147 | ) | |||||||||||
Goldman Sachs International: | ||||||||||||||||
Canadian Dollar settling 3/15/12 | 2,414 | 2,364,233 | 2,439,006 | (74,773 | ) | |||||||||||
HSBC Bank USA: | ||||||||||||||||
Australian Dollar settling 3/15/12 | 8,134 | 8,185,960 | 8,710,460 | (524,500 | ) | |||||||||||
Euro settling 3/15/12 | 16,400 | 21,930,769 | 21,850,812 | 79,957 | ||||||||||||
Great British Pound settling 6/15/12 | 13,828 | 21,813,670 | 21,981,694 | (168,024 | ) | |||||||||||
Hong Kong Dollar settling 3/15/12 | 13,878 | 1,781,698 | 1,789,325 | (7,627 | ) | |||||||||||
JPMorgan Chase Bank, N.A.: | ||||||||||||||||
Euro settling 6/15/12 | 2,436 | 3,187,667 | 3,247,195 | (59,528 | ) | |||||||||||
Morgan Stanley & Co., Inc.: | ||||||||||||||||
Brazilian Real settling 3/02/12 | 1,629 | 953,077 | 948,609 | 4,468 | ||||||||||||
Brazilian Real settling 3/02/12 | 4,498 | 2,533,514 | 2,619,305 | (85,791 | ) | |||||||||||
Chinese Yuan Renminbi settling 3/15/12(1) | 11,748 | 1,866,243 | 1,866,216 | 27 | ||||||||||||
Great British Pound settling 3/15/12 | 1,356 | 2,106,831 | 2,157,062 | (50,231 | ) | |||||||||||
Great British Pound settling 3/15/12 | 2,057 | 3,206,904 | 3,272,179 | (65,275 | ) | |||||||||||
South Korean Won settling 3/02/12 | 2,171,428 | 1,927,588 | 1,940,985 | (13,397 | ) | |||||||||||
Royal Bank of Canada: | ||||||||||||||||
Canadian Dollar settling 3/15/12 | 2,890 | 2,825,881 | 2,919,937 | (94,056 | ) | |||||||||||
Euro settling 3/15/12 | 1,454 | 1,887,365 | 1,937,261 | (49,896 | ) | |||||||||||
Royal Bank of Scotland PLC: | ||||||||||||||||
Canadian Dollar settling 3/15/12 | 2,230 | 2,231,428 | 2,253,100 | (21,672 | ) | |||||||||||
Indian Rupee settling 3/02/12(1) | 140,492 | 2,870,562 | 2,866,509 | 4,053 | ||||||||||||
Mexican Nuevo Peso settling 3/02/12 | 24,513 | 1,892,224 | 1,908,934 | (16,710 | ) | |||||||||||
South African Rand settling 3/02/12 | 29,176 | 3,825,681 | 3,883,945 | (58,264 | ) | |||||||||||
Standard Chartered Bank: | ||||||||||||||||
Brazilian Real settling 3/02/12 | 2,869 | 1,678,563 | 1,670,694 | 7,869 | ||||||||||||
Chinese Yuan Renminbi settling 3/15/12(1) | 35,719 | 5,668,783 | 5,674,104 | (5,321 | ) | |||||||||||
Chinese Yuan Renminbi settling 3/15/12(1) | 11,185 | 1,746,565 | 1,776,782 | (30,217 | ) | |||||||||||
Indonesian Rupiah settling 3/02/12(1) | 20,453,303 | 2,246,381 | 2,267,550 | (21,169 | ) | |||||||||||
State Street Bank & Trust Co.: | ||||||||||||||||
Thailand Baht settling 3/02/12 | 73,259 | 2,362,279 | 2,420,585 | (58,306 | ) | |||||||||||
Thailand Baht settling 4/03/12 | 73,259 | 2,403,274 | 2,415,238 | (11,964 | ) | |||||||||||
UBS AG: | ||||||||||||||||
Canadian Dollar settling 3/15/12 | 2,020 | 1,984,965 | 2,040,924 | (55,959 | ) | |||||||||||
Canadian Dollar settling 6/15/12 | 1,594 | 1,592,050 | 1,607,130 | (15,080 | ) | |||||||||||
Swedish Krona settling 3/15/12 | 11,509 | 1,645,858 | 1,738,458 | (92,600 | ) | |||||||||||
|
| |||||||||||||||
| $ | (895,511 | ) | ||||||||||||||
|
| |||||||||||||||
| (1) | Contract represents non-deliverable forward where payment is received from or paid to a counterparty based on the net realized gain/loss on settlement date. |
| 162 | • ALLIANCEBERNSTEIN POOLING PORTFOLIOS |
Multi-Asset Real Return Portfolio—Portfolio of Investments
PUT OPTIONS WRITTEN (see Note C)
| Description | Contracts | Exercise Price | Expiration Month | U.S. $ Value | ||||||||||||
S&P 500 Index (premium received $409,182) | 105 | $ | 1,075 | December 2012 | $ | (354,900 | ) | |||||||||
TOTAL RETURN SWAP CONTRACTS ON INDICES (see Note C)
| Receive Total Return on Reference Index | Index | # of Shares or Units | Rate Paid by the Fund | Notional Amount (000) | Maturity Date | Counterparty | Unrealized Appreciation/ (Depreciation) | |||||||||||||||||
Receive Total Return on Reference Index |
| |||||||||||||||||||||||
Receive | Dow Jones-UBS Commodity Index 2 Month Forward | 193,405 | 0.20 | % | $ | 60,035 | 3/15/12 | Barclays Bank PLC | $ | 1,263,797 | ||||||||||||||
Receive | Dow Jones-UBS 3 Month Forward Grains Excess Return Commodity Index | 60,246 | 0.30 | % | 6,013 | 3/15/12 | Citibank, N.A. | 261,415 | ||||||||||||||||
Receive | Dow Jones-UBS Commodity Index 2 Month Forward | 238,168 | 0.20 | % | 73,930 | 3/15/12 | Credit Suisse International | 1,556,298 | ||||||||||||||||
Receive | Dow Jones-UBS Commodity Index 2 Month Forward | 23,799 | 0.20 | % | 7,387 | 3/15/12 | Goldman Sachs International | 155,514 | ||||||||||||||||
Receive | Dow Jones-UBS Commodity Index 2 Month Forward | 18,425 | 0.20 | % | 5,719 | 3/15/12 | Goldman Sachs International | 120,397 | ||||||||||||||||
Receive | Dow Jones-UBS Commodity Index 2 Month Forward | 10,109 | 0.20 | % | 3,138 | 5/15/12 | Goldman Sachs International | 66,057 | ||||||||||||||||
Receive | Dow Jones-UBS Commodity Index | 147,944 | 0.13 | % | 21,408 | 3/15/12 | JPMorgan Chase Bank, N.A. | 492,090 | ||||||||||||||||
Receive | Dow Jones-UBS Commodity Index | 48,714 | 0.13 | % | 7,049 | 3/15/12 | JPMorgan Chase Bank, N.A. | 162,032 | ||||||||||||||||
| ALLIANCEBERNSTEIN POOLING PORTFOLIOS • | 163 |
Multi-Asset Real Return Portfolio—Portfolio of Investments
| Receive Total Return on Reference Index | Index | # of Shares or Units | Rate Paid by the Fund | Notional Amount (000) | Maturity Date | Counterparty | Unrealized Appreciation/ (Depreciation) | |||||||||||||||||
Receive | Dow Jones-UBS Commodity Index | 10,543 | 0.13 | % | $ | 1,526 | 3/15/12 | JPMorgan Chase Bank, N.A. | $ | 35,068 | ||||||||||||||
Receive | Dow Jones-UBS Commodity Index | 40,068 | 0.13 | % | 5,798 | 3/15/12 | JPMorgan Chase Bank, N.A. | 133,274 | ||||||||||||||||
|
| |||||||||||||||||||||||
| $ | 4,245,942 | |||||||||||||||||||||||
|
| |||||||||||||||||||||||
| (a) | Represents entire or partial securities out on loan. See Note D for securities lending information. |
| (b) | Non-income producing security. |
| (c) | Fair valued. |
| (d) | Illiquid security. |
| (e) | When-Issued or delayed delivery security. |
| (f) | Security is exempt from registration under Rule 144A of the Securities Act of 1933. This security is considered liquid and may be resold in transactions exempt from registration, normally to qualified institutional buyers. At February 29, 2012, the market value of this security amounted to $3,620,751 or 0.6% of net assets. |
| (g) | One contract relates to 100 shares. |
| (h) | Investment in affiliated money market mutual fund. The rate shown represents the 7-day yield as of period end. |
| (i) | Position, or a portion thereof, has been segregated to collateralize margin requirements for open futures contracts. The market value of the collateral amounted to $2,999,883. |
Glossary:
ADR – American Depositary Receipt
REIT – Real Estate Investment Trust
TIPS – Treasury Inflation Protected Security
See notes to financial statements.
| 164 | • ALLIANCEBERNSTEIN POOLING PORTFOLIOS |
Multi-Asset Real Return Portfolio—Portfolio of Investments
VOLATILITY MANAGEMENT
PORTFOLIO OF INVESTMENTS
February 29, 2012 (unaudited)
| Company | Shares | U.S. $ Value | ||||||
| ||||||||
COMMON STOCKS – 15.5% | ||||||||
Information Technology – 2.2% | ||||||||
Communications Equipment – 0.2% | ||||||||
Cisco Systems, Inc. | 87,900 | $ | 1,747,452 | |||||
F5 Networks, Inc.(a) | 1,300 | 162,448 | ||||||
Harris Corp. | 1,900 | 82,897 | ||||||
JDS Uniphase Corp.(a) | 3,700 | 48,248 | ||||||
Juniper Networks, Inc.(a) | 8,600 | 195,736 | ||||||
Motorola Mobility Holdings, Inc.(a) | 4,300 | 170,710 | ||||||
Motorola Solutions, Inc. | 4,700 | 234,060 | ||||||
QUALCOMM, Inc. | 27,500 | 1,709,950 | ||||||
|
| |||||||
| 4,351,501 | ||||||||
|
| |||||||
Computers & Peripherals – 0.6% | ||||||||
Apple, Inc.(a) | 15,200 | 8,245,088 | ||||||
Dell, Inc.(a) | 24,900 | 430,770 | ||||||
EMC Corp./Massachusetts(a) | 33,300 | 922,077 | ||||||
Hewlett-Packard Co. | 32,500 | 822,575 | ||||||
Lexmark International, Inc. – Class A | 1,100 | 40,568 | ||||||
NetApp, Inc.(a) | 5,800 | 249,400 | ||||||
SanDisk Corp.(a) | 3,900 | 192,894 | ||||||
Western Digital Corp.(a) | 3,800 | 149,150 | ||||||
|
| |||||||
| 11,052,522 | ||||||||
|
| |||||||
Electronic Equipment & Instruments & Components – 0.1% | ||||||||
Amphenol Corp. – Class A | 2,700 | 151,092 | ||||||
Corning, Inc. | 25,700 | 335,128 | ||||||
FLIR Systems, Inc. | 2,500 | 65,425 | ||||||
Jabil Circuit, Inc. | 2,900 | 74,907 | ||||||
Molex, Inc. | 2,200 | 59,620 | ||||||
TE Connectivity Ltd. | 6,900 | 252,195 | ||||||
|
| |||||||
| 938,367 | ||||||||
|
| |||||||
Internet Software & Services – 0.2% | ||||||||
Akamai Technologies, Inc.(a) | 2,900 | 104,400 | ||||||
eBay, Inc.(a) | 18,700 | 668,338 | ||||||
Google, Inc. – Class A(a) | 4,200 | 2,596,650 | ||||||
VeriSign, Inc. | 2,600 | 96,070 | ||||||
Yahoo!, Inc.(a) | 20,200 | 299,566 | ||||||
|
| |||||||
| 3,765,024 | ||||||||
|
| |||||||
IT Services – 0.4% | ||||||||
Accenture PLC | 10,500 | 625,170 | ||||||
Automatic Data Processing, Inc. | 8,000 | 434,560 | ||||||
Cognizant Technology Solutions | 4,900 | 347,655 | ||||||
Computer Sciences Corp. | 2,500 | 79,400 | ||||||
Fidelity National Information | 3,900 | 123,747 | ||||||
| ALLIANCEBERNSTEIN POOLING PORTFOLIOS • | 165 |
Volatility Management—Portfolio of Investments
| Company | Shares | U.S. $ Value | ||||||
| ||||||||
Fiserv, Inc.(a) | 2,300 | $ | 152,490 | |||||
International Business Machines Corp. | 19,300 | 3,796,889 | ||||||
Mastercard, Inc. – Class A | 1,800 | 756,000 | ||||||
Paychex, Inc. | 5,200 | 162,760 | ||||||
SAIC, Inc.(a) | 4,500 | 54,990 | ||||||
Teradata Corp.(a) | 2,700 | 179,685 | ||||||
Total System Services, Inc. | 2,600 | 56,888 | ||||||
Visa, Inc. – Class A | 8,300 | 965,871 | ||||||
Western Union Co. (The) – Class W | 10,100 | 176,447 | ||||||
|
| |||||||
| 7,912,552 | ||||||||
|
| |||||||
Office Electronics – 0.0% | ||||||||
Xerox Corp. | 22,600 | 185,998 | ||||||
|
| |||||||
Semiconductors & Semiconductor | ||||||||
Advanced Micro Devices, Inc.(a) | 9,500 | 69,825 | ||||||
Altera Corp. | 5,200 | 199,940 | ||||||
Analog Devices, Inc. | 4,800 | 188,208 | ||||||
Applied Materials, Inc. | 21,300 | 260,712 | ||||||
Broadcom Corp. – Class A(a) | 7,900 | 293,485 | ||||||
Intel Corp. | 83,300 | 2,239,104 | ||||||
KLA-Tencor Corp. | 2,700 | 130,680 | ||||||
Linear Technology Corp. | 3,700 | 123,876 | ||||||
LSI Corp.(a) | 9,200 | 79,120 | ||||||
Microchip Technology, Inc.(b) | 3,100 | 111,817 | ||||||
Micron Technology, Inc.(a) | 16,100 | 137,655 | ||||||
Novellus Systems, Inc.(a) | 1,100 | 51,128 | ||||||
NVIDIA Corp.(a) | 9,900 | 149,985 | ||||||
Teradyne, Inc.(a) | 3,000 | 49,260 | ||||||
Texas Instruments, Inc. | 18,600 | 620,310 | ||||||
Xilinx, Inc. | 4,300 | 158,799 | ||||||
|
| |||||||
| 4,863,904 | ||||||||
|
| |||||||
Software – 0.4% | ||||||||
Adobe Systems, Inc.(a) | 8,000 | 263,120 | ||||||
Autodesk, Inc.(a) | 3,700 | 140,045 | ||||||
BMC Software, Inc.(a) | 2,700 | 101,088 | ||||||
CA, Inc. | 6,000 | 162,180 | ||||||
Citrix Systems, Inc.(a) | 3,100 | 231,694 | ||||||
Electronic Arts, Inc.(a) | 5,400 | 88,182 | ||||||
Intuit, Inc. | 4,900 | 283,416 | ||||||
Microsoft Corp. | 122,400 | 3,884,976 | ||||||
Oracle Corp. | 64,300 | 1,882,061 | ||||||
Red Hat, Inc.(a) | 3,100 | 153,326 | ||||||
Salesforce.com, Inc.(a) | 2,200 | 314,952 | ||||||
Symantec Corp.(a) | 12,000 | 214,080 | ||||||
|
| |||||||
| 7,719,120 | ||||||||
|
| |||||||
| 40,788,988 | ||||||||
|
| |||||||
| 166 | • ALLIANCEBERNSTEIN POOLING PORTFOLIOS |
Volatility Management—Portfolio of Investments
| Company | Shares | U.S. $ Value | ||||||
| ||||||||
Equity:Other – 1.8% | ||||||||
Diversified/Specialty – 1.4% | ||||||||
Affine SA | 450 | $ | 8,665 | |||||
Alexandria Real Estate Equities, Inc. | 6,210 | 445,195 | ||||||
American Assets Trust, Inc. | 3,900 | 83,928 | ||||||
Artis Real Estate Investment Trust | 8,400 | 134,899 | ||||||
Azrieli Group | 6,550 | 151,329 | ||||||
BioMed Realty Trust, Inc. | 15,300 | 281,826 | ||||||
British Land Co. PLC | 89,150 | 665,442 | ||||||
CA Immobilien Anlagen AG(a) | 8,869 | 92,368 | ||||||
Campus Crest Communities, Inc. | 3,000 | 31,770 | ||||||
Canadian Real Estate Investment Trust | 6,750 | 260,872 | ||||||
CapLease, Inc. | 6,600 | 26,598 | ||||||
City Developments Ltd. | 69,600 | 617,827 | ||||||
Cofinimmo | 1,420 | 170,841 | ||||||
Country Garden Holdings Co., Ltd.(b) | 333,300 | 150,324 | ||||||
Cousins Properties, Inc. | 10,314 | 76,221 | ||||||
Daejan Holdings PLC | 555 | 25,261 | ||||||
Dexus Property Group | 487,580 | 466,914 | ||||||
DIC Asset AG | 3,450 | 30,630 | ||||||
Digital Realty Trust, Inc.(b) | 10,760 | 780,100 | ||||||
Duke Realty Corp. | 25,060 | 347,833 | ||||||
Dundee Real Estate Investment Trust | 6,650 | 231,199 | ||||||
DuPont Fabros Technology, Inc. | 6,190 | 141,751 | ||||||
Eurobank Properties Real Estate Investment Co. | 1,870 | 9,966 | ||||||
F&C Commercial Property Trust Ltd. | 50,933 | 83,298 | ||||||
FKP Property Group | 89,590 | 52,751 | ||||||
Fonciere Des Regions | 2,720 | 196,596 | ||||||
Forest City Enterprises, Inc.(a) | 14,960 | 218,715 | ||||||
Gecina SA | 1,910 | 182,665 | ||||||
GPT Group | 185,030 | 617,724 | ||||||
H&R Real Estate Investment Trust | 16,750 | 399,853 | ||||||
Helical Bar PLC | 11,766 | 34,945 | ||||||
Henderson Land Development Co., Ltd. | 118,050 | 738,823 | ||||||
Hopson Development Holdings Ltd. | 69,950 | 56,398 | ||||||
Hysan Development Co., Ltd. | 79,750 | 345,665 | ||||||
ICADE | 2,150 | 177,507 | ||||||
Inmobiliaria Colonial SA(a) | 3,445 | 8,721 | ||||||
Investors Real Estate Trust | 8,060 | 61,498 | ||||||
Invista Foundation Property Trust Ltd. | 35,513 | 19,774 | ||||||
Kenedix Realty Investment | 29 | 100,363 | ||||||
Keppel Land Ltd.(b) | 75,300 | 204,908 | ||||||
Kerry Properties Ltd. | 71,950 | 342,052 | ||||||
Kiwi Income Property Trust | 98,000 | 82,989 | ||||||
Klovern AB | 12,390 | 46,762 | ||||||
Klovern AB (Preference Shares)(a) | 34 | 707 | ||||||
| ALLIANCEBERNSTEIN POOLING PORTFOLIOS • | 167 |
Volatility Management—Portfolio of Investments
| Company | Shares | U.S. $ Value | ||||||
| ||||||||
Kungsleden AB | 13,800 | $ | 102,967 | |||||
Land Securities Group PLC | 78,469 | 842,403 | ||||||
Lexington Realty Trust | 15,380 | 133,037 | ||||||
London & Stamford Property PLC | 54,427 | 98,869 | ||||||
Mitsubishi Estate Co., Ltd. | 104,440 | 1,892,166 | ||||||
Mitsui Fudosan Co., Ltd. | 88,040 | 1,668,863 | ||||||
Mobimo Holding AG(a) | 650 | 155,880 | ||||||
Morguard Real Estate Investment Trust | 4,250 | 70,014 | ||||||
Mucklow A & J Group PLC | 2,368 | 12,055 | ||||||
New World China Land Ltd. | 258,700 | 70,126 | ||||||
New World Development Co., Ltd. | 449,650 | 619,774 | ||||||
Nieuwe Steen Investments NV | 6,024 | 71,160 | ||||||
Nomura Real Estate Holdings, Inc. | 7,580 | 131,995 | ||||||
Picton Property Income Ltd. | 34,284 | 22,865 | ||||||
Premier Investment Corp. | 20 | 72,864 | ||||||
Quintain Estates & Development PLC(a) | 51,612 | 34,075 | ||||||
Shui On Land Ltd.(b) | 260,050 | 111,536 | ||||||
Sino Land Co., Ltd. | 290,160 | 516,956 | ||||||
Soho China Ltd. | 207,050 | 150,411 | ||||||
ST Modwen Properties PLC | 14,923 | 38,641 | ||||||
Standard Life Investment Property Income Trust PLC | 13,600 | 13,177 | ||||||
Sumitomo Realty & Development Co., Ltd. | 46,990 | 1,101,375 | ||||||
Sun Hung Kai Properties Ltd. | 194,400 | 2,987,825 | ||||||
Suntec Real Estate Investment Trust | 221,500 | 217,369 | ||||||
TAG Immobilien AG(a) | 7,520 | 61,561 | ||||||
Tokyu Land Corp. | 39,870 | 192,411 | ||||||
Tokyu REIT, Inc. | 13 | 71,557 | ||||||
Top REIT, Inc. | 16 | 84,781 | ||||||
Unibail-Rodamco SE | 9,210 | 1,772,588 | ||||||
Unite Group PLC | 15,823 | 46,592 | ||||||
United Urban Investment Corp. | 210 | 230,512 | ||||||
Vornado Realty Trust | 21,570 | 1,762,916 | ||||||
Wallenstam AB | 12,050 | 122,554 | ||||||
Wereldhave Belgium NV | 250 | 22,816 | ||||||
Wereldhave NV | 2,170 | 161,803 | ||||||
Weyerhaeuser Co. | 8,700 | 181,743 | ||||||
Wharf Holdings Ltd. | 152,850 | 955,336 | ||||||
Whiterock Real Estate Investment Trust | 3,600 | 59,015 | ||||||
Wihlborgs Fastigheter AB | 7,770 | 107,434 | ||||||
Winthrop Realty Trust | 2,450 | 27,906 | ||||||
|
| |||||||
| 26,202,401 | ||||||||
|
| |||||||
Health Care – 0.3% | ||||||||
Chartwell Seniors Housing Real Estate Investment Trust | 14,600 | 135,309 | ||||||
Extendicare Real Estate Investment Trust | 7,950 | 68,296 | ||||||
| 168 | • ALLIANCEBERNSTEIN POOLING PORTFOLIOS |
Volatility Management—Portfolio of Investments
| Company | Shares | U.S. $ Value | ||||||
| ||||||||
HCP, Inc. | 47,510 | $ | 1,876,645 | |||||
Health Care REIT, Inc. | 22,520 | 1,225,989 | ||||||
Healthcare Realty Trust, Inc. | 7,750 | 160,192 | ||||||
LTC Properties, Inc. | 3,050 | 94,123 | ||||||
Medical Properties Trust, Inc. | 11,030 | 107,212 | ||||||
National Health Investors, Inc. | 2,800 | 131,964 | ||||||
Omega Healthcare Investors, Inc.(b) | 10,240 | 208,589 | ||||||
Primary Health Properties PLC | 6,759 | 35,807 | ||||||
Senior Housing Properties Trust | 16,180 | 346,252 | ||||||
Universal Health Realty Income Trust | 1,260 | 47,615 | ||||||
Ventas, Inc. | 33,690 | 1,883,945 | ||||||
|
| |||||||
| 6,321,938 | ||||||||
|
| |||||||
Triple Net – 0.1% | ||||||||
Agree Realty Corp. | 900 | 21,600 | ||||||
Entertainment Properties Trust | 4,610 | 209,755 | ||||||
Getty Realty Corp.(b) | 2,450 | 41,650 | ||||||
National Retail Properties, Inc. | 10,400 | 277,160 | ||||||
Realty Income Corp.(b) | 13,770 | 507,975 | ||||||
|
| |||||||
| 1,058,140 | ||||||||
|
| |||||||
| 33,582,479 | ||||||||
|
| |||||||
Financials – 1.5% | ||||||||
Capital Markets – 0.2% | ||||||||
Ameriprise Financial, Inc. | 3,700 | 206,312 | ||||||
Bank of New York Mellon Corp. (The) | 19,800 | 437,778 | ||||||
BlackRock, Inc. – Class A | 1,700 | 338,300 | ||||||
Charles Schwab Corp. (The) | 17,600 | 244,288 | ||||||
E*Trade Financial Corp.(a) | 4,100 | 39,483 | ||||||
Federated Investors, Inc. – Class B(b) | 1,500 | 30,735 | ||||||
Franklin Resources, Inc. | 2,400 | 282,936 | ||||||
Goldman Sachs Group, Inc. (The) | 8,100 | 932,634 | ||||||
Invesco Ltd. | 7,300 | 180,821 | ||||||
Legg Mason, Inc. | 2,000 | 54,780 | ||||||
Morgan Stanley | 24,200 | 448,668 | ||||||
Northern Trust Corp. | 3,900 | 173,199 | ||||||
State Street Corp. | 8,000 | 337,840 | ||||||
T Rowe Price Group, Inc. | 4,100 | 252,519 | ||||||
|
| |||||||
| 3,960,293 | ||||||||
|
| |||||||
Commercial Banks – 0.3% | ||||||||
BB&T Corp. | 11,400 | 333,450 | ||||||
Comerica, Inc. | 3,200 | 95,008 | ||||||
Fifth Third Bancorp | 15,000 | 204,150 | ||||||
First Horizon National Corp. | 4,300 | 40,420 | ||||||
Huntington Bancshares, Inc./OH | 14,100 | 82,415 | ||||||
KeyCorp | 15,500 | 125,550 | ||||||
M&T Bank Corp. | 2,100 | 171,402 | ||||||
PNC Financial Services Group, Inc. | 8,600 | 511,872 | ||||||
| ALLIANCEBERNSTEIN POOLING PORTFOLIOS • | 169 |
Volatility Management—Portfolio of Investments
| Company | Shares | U.S. $ Value | ||||||
| ||||||||
Regions Financial Corp. | 20,500 | $ | 118,080 | |||||
SunTrust Banks, Inc. | 8,700 | 199,752 | ||||||
US Bancorp | 31,200 | 917,280 | ||||||
Wells Fargo & Co. | 86,200 | 2,697,198 | ||||||
Zions Bancorporation | 3,000 | 57,000 | ||||||
|
| |||||||
| 5,553,577 | ||||||||
|
| |||||||
Consumer Finance – 0.1% | ||||||||
American Express Co. | 16,500 | 872,685 | ||||||
Capital One Financial Corp. | 8,885 | 449,581 | ||||||
Discover Financial Services | 8,900 | 267,089 | ||||||
SLM Corp. | 8,300 | 130,808 | ||||||
|
| |||||||
| 1,720,163 | ||||||||
|
| |||||||
Diversified Financial Services – 0.3% | ||||||||
Bank of America Corp. | 165,800 | 1,321,426 | ||||||
Citigroup, Inc. | 47,800 | 1,592,696 | ||||||
CME Group, Inc. – Class A | 1,100 | 318,439 | ||||||
IntercontinentalExchange, Inc.(a) | 1,200 | 165,552 | ||||||
JPMorgan Chase & Co. | 62,100 | 2,436,804 | ||||||
Leucadia National Corp. | 3,200 | 91,168 | ||||||
Moody’s Corp. | 3,200 | 123,552 | ||||||
NASDAQ OMX Group, Inc. (The)(a) | 2,000 | 52,680 | ||||||
NYSE Euronext | 4,200 | 125,034 | ||||||
|
| |||||||
| 6,227,351 | ||||||||
|
| |||||||
Insurance – 0.4% | ||||||||
ACE Ltd. | 5,500 | 394,405 | ||||||
Aflac, Inc. | 7,600 | 359,100 | ||||||
Allstate Corp. (The) | 8,200 | 257,726 | ||||||
American International Group, Inc.(a) | 7,100 | 207,462 | ||||||
AON Corp. | 5,300 | 248,093 | ||||||
Assurant, Inc. | 1,500 | 63,705 | ||||||
Berkshire Hathaway, Inc.(a) | 28,800 | 2,259,360 | ||||||
Chubb Corp. (The) | 4,600 | 312,616 | ||||||
Cincinnati Financial Corp. | 2,600 | 91,442 | ||||||
Genworth Financial, Inc. – Class A(a) | 8,000 | 72,720 | ||||||
Hartford Financial Services Group, Inc. | 7,200 | 149,112 | ||||||
Lincoln National Corp. | 4,900 | 121,716 | ||||||
Loews Corp. | 5,000 | 195,700 | ||||||
Marsh & McLennan Cos., Inc. | 8,800 | 274,560 | ||||||
MetLife, Inc. | 17,300 | 666,915 | ||||||
Principal Financial Group, Inc. | 4,900 | 135,534 | ||||||
Progressive Corp. (The) | 10,000 | 214,200 | ||||||
Prudential Financial, Inc. | 7,700 | 470,932 | ||||||
Torchmark Corp. | 1,700 | 82,348 | ||||||
Travelers Cos., Inc. (The) | 6,700 | 388,399 | ||||||
Unum Group | 4,700 | 108,335 | ||||||
XL Group PLC | 5,200 | 108,160 | ||||||
|
| |||||||
| 7,182,540 | ||||||||
|
| |||||||
| 170 | • ALLIANCEBERNSTEIN POOLING PORTFOLIOS |
Volatility Management—Portfolio of Investments
| Company | Shares | U.S. $ Value | ||||||
| ||||||||
Real Estate Investment Trusts | ||||||||
American Tower Corp. | 6,400 | $ | 400,512 | |||||
Plum Creek Timber Co., Inc. | 2,600 | 101,816 | ||||||
|
| |||||||
| 502,328 | ||||||||
|
| |||||||
Real Estate Management & Development – 0.2% | ||||||||
CapitaLand Ltd. | 319,300 | 784,043 | ||||||
CapitaMalls Asia Ltd. | 156,446 | 191,916 | ||||||
CBRE Group, Inc.(a) | 5,300 | 97,149 | ||||||
China Overseas Land & Investment Ltd.(b) | 411,300 | 852,926 | ||||||
Hang Lung Properties Ltd. | 224,850 | 848,935 | ||||||
|
| |||||||
| 2,774,969 | ||||||||
|
| |||||||
Thrifts & Mortgage Finance – 0.0% | ||||||||
Hudson City Bancorp, Inc. | 8,600 | 58,910 | ||||||
People’s United Financial, Inc. | 5,900 | 74,281 | ||||||
|
| |||||||
| 133,191 | ||||||||
|
| |||||||
| 28,054,412 | ||||||||
|
| |||||||
Industrials – 1.4% | ||||||||
Aerospace & Defense – 0.3% | ||||||||
Boeing Co. (The) | 12,200 | 914,390 | ||||||
General Dynamics Corp. | 5,800 | 424,734 | ||||||
Goodrich Corp. | 2,100 | 264,537 | ||||||
Honeywell International, Inc. | 12,700 | 756,539 | ||||||
L-3 Communications Holdings, Inc. | 1,600 | 112,400 | ||||||
Lockheed Martin Corp. | 4,400 | 389,004 | ||||||
Northrop Grumman Corp. | 4,300 | 257,183 | ||||||
Precision Castparts Corp. | 2,400 | 401,832 | ||||||
Raytheon Co. | 5,600 | 282,912 | ||||||
Rockwell Collins, Inc. | 2,500 | 148,225 | ||||||
Textron, Inc. | 4,500 | 123,795 | ||||||
United Technologies Corp. | 14,800 | 1,241,276 | ||||||
|
| |||||||
| 5,316,827 | ||||||||
|
| |||||||
Air Freight & Logistics – 0.1% | ||||||||
CH Robinson Worldwide, Inc. | 2,700 | 178,659 | ||||||
Expeditors International of Washington, Inc. | 3,400 | 148,342 | ||||||
FedEx Corp. | 5,200 | 467,948 | ||||||
United Parcel Service, Inc. – Class B | 15,800 | 1,214,862 | ||||||
|
| |||||||
| 2,009,811 | ||||||||
|
| |||||||
Airlines – 0.0% | ||||||||
Southwest Airlines Co. | 12,700 | 114,046 | ||||||
|
| |||||||
Building Products – 0.0% | ||||||||
Masco Corp. | 5,800 | 68,904 | ||||||
|
| |||||||
| ALLIANCEBERNSTEIN POOLING PORTFOLIOS • | 171 |
Volatility Management—Portfolio of Investments
| Company | Shares | U.S. $ Value | ||||||
| ||||||||
Commercial Services & | ||||||||
Avery Dennison Corp. | 1,700 | $ | 51,850 | |||||
Cintas Corp. | 1,800 | 69,408 | ||||||
Iron Mountain, Inc. | 3,000 | 93,150 | ||||||
Pitney Bowes, Inc.(b) | 3,200 | 58,016 | ||||||
Republic Services, Inc. – Class A | 5,100 | 152,133 | ||||||
RR Donnelley & Sons Co.(b) | 3,000 | 41,460 | ||||||
Stericycle, Inc.(a) | 1,400 | 121,478 | ||||||
Waste Management, Inc. | 7,500 | 262,350 | ||||||
|
| |||||||
| 849,845 | ||||||||
|
| |||||||
Construction & Engineering – 0.0% | ||||||||
Fluor Corp. | 2,800 | 169,344 | ||||||
Jacobs Engineering Group, Inc.(a) | 2,100 | 97,062 | ||||||
Quanta Services, Inc.(a) | 3,400 | �� | 71,060 | |||||
|
| |||||||
| 337,466 | ||||||||
|
| |||||||
Electrical Equipment – 0.1% | ||||||||
Cooper Industries PLC | 2,600 | 159,172 | ||||||
Emerson Electric Co. | 12,000 | 603,720 | ||||||
First Solar, Inc.(a)(b) | 900 | 29,070 | ||||||
Rockwell Automation, Inc. | 2,300 | 183,954 | ||||||
Roper Industries, Inc. | 1,600 | 146,432 | ||||||
|
| |||||||
| 1,122,348 | ||||||||
|
| |||||||
Industrial Conglomerates – 0.3% | ||||||||
3M Co. | 11,500 | 1,007,400 | ||||||
Danaher Corp. | 9,300 | 491,319 | ||||||
General Electric Co. | 172,700 | 3,289,935 | ||||||
Tyco International Ltd. | 7,500 | 388,650 | ||||||
|
| |||||||
| 5,177,304 | ||||||||
|
| |||||||
Industrial Warehouse | ||||||||
Ascendas Real Estate Investment Trust | 209,150 | 344,032 | ||||||
DCT Industrial Trust, Inc. | 24,410 | 138,161 | ||||||
EastGroup Properties, Inc. | 2,680 | 129,149 | ||||||
First Industrial Realty Trust, Inc.(a) | 8,550 | 101,061 | ||||||
Global Logistic Properties Ltd.(a) | 185,165 | 321,925 | ||||||
Hansteen Holdings PLC | 63,763 | 75,808 | ||||||
Mapletree Industrial Trust | 122,962 | 115,829 | ||||||
Mapletree Logistics Trust | 183,305 | 131,663 | ||||||
ProLogis, Inc. | 53,785 | 1,810,403 | ||||||
Segro PLC | 74,825 | 278,950 | ||||||
Warehouses De Pauw SCA | 990 | 50,622 | ||||||
|
| |||||||
| 3,497,603 | ||||||||
|
| |||||||
Machinery – 0.2% | ||||||||
Caterpillar, Inc. | 10,600 | 1,210,626 | ||||||
Cummins, Inc. | 3,200 | 385,824 | ||||||
| 172 | • ALLIANCEBERNSTEIN POOLING PORTFOLIOS |
Volatility Management—Portfolio of Investments
| Company | Shares | U.S. $ Value | ||||||
| ||||||||
Deere & Co. | 6,800 | $ | 563,924 | |||||
Dover Corp. | 3,000 | 192,060 | ||||||
Eaton Corp. | 5,500 | 287,045 | ||||||
Flowserve Corp. | 900 | 106,713 | ||||||
Illinois Tool Works, Inc. | 7,900 | 439,951 | ||||||
Ingersoll-Rand PLC | 5,100 | 203,388 | ||||||
Joy Global, Inc. | 1,700 | 147,832 | ||||||
PACCAR, Inc. | 5,800 | 266,858 | ||||||
Pall Corp. | 1,900 | 120,555 | ||||||
Parker Hannifin Corp. | 2,500 | 224,525 | ||||||
Snap-On, Inc. | 900 | 55,017 | ||||||
Stanley Black & Decker, Inc. | 2,800 | 215,040 | ||||||
Xylem, Inc. | 3,000 | 77,940 | ||||||
|
| |||||||
| 4,497,298 | ||||||||
|
| |||||||
Mixed Office Industrial – 0.0% | ||||||||
Goodman Group | 745,040 | 548,451 | ||||||
|
| |||||||
Professional Services – 0.0% | ||||||||
Dun & Bradstreet Corp. (The) | 800 | 66,120 | ||||||
Equifax, Inc. | 2,000 | 84,080 | ||||||
Robert Half International, Inc. | 2,300 | 65,389 | ||||||
|
| |||||||
| 215,589 | ||||||||
|
| |||||||
Road & Rail – 0.1% | ||||||||
CSX Corp. | 17,100 | 359,271 | ||||||
Norfolk Southern Corp. | 5,500 | 378,950 | ||||||
Ryder System, Inc. | 800 | 42,584 | ||||||
Union Pacific Corp. | 7,900 | 870,975 | ||||||
|
| |||||||
| 1,651,780 | ||||||||
|
| |||||||
Trading Companies & | ||||||||
Fastenal Co. | 4,800 | 252,864 | ||||||
WW Grainger, Inc. | 1,000 | 207,730 | ||||||
|
| |||||||
| 460,594 | ||||||||
|
| |||||||
| 25,867,866 | ||||||||
|
| |||||||
Energy – 1.3% | ||||||||
Energy Equipment & Services – 0.2% | ||||||||
Baker Hughes, Inc. | 7,100 | 356,988 | ||||||
Cameron International Corp.(a) | 4,000 | 222,840 | ||||||
Diamond Offshore Drilling, Inc.(b) | 1,100 | 75,317 | ||||||
FMC Technologies, Inc.(a) | 3,900 | 196,677 | ||||||
Halliburton Co. | 15,000 | 548,850 | ||||||
Helmerich & Payne, Inc. | 1,800 | 110,340 | ||||||
Nabors Industries Ltd.(a) | 4,700 | 102,366 | ||||||
National Oilwell Varco, Inc. | 6,900 | 569,457 | ||||||
Noble Corp.(a) | 4,100 | 164,738 | ||||||
Rowan Cos., Inc.(a) | 2,000 | 73,740 | ||||||
| ALLIANCEBERNSTEIN POOLING PORTFOLIOS • | 173 |
Volatility Management—Portfolio of Investments
| Company | Shares | U.S. $ Value | ||||||
| ||||||||
Schlumberger Ltd. | 22,000 | $ | 1,707,420 | |||||
|
| |||||||
| 4,128,733 | ||||||||
|
| |||||||
Oil, Gas & Consumable Fuels – 1.1% | ||||||||
Alpha Natural Resources, Inc.(a) | 3,500 | 64,960 | ||||||
Anadarko Petroleum Corp. | 8,200 | 689,784 | ||||||
Apache Corp. | 6,300 | 679,959 | ||||||
Cabot Oil & Gas Corp. | 3,400 | 118,592 | ||||||
Chesapeake Energy Corp. | 10,700 | 267,500 | ||||||
Chevron Corp. | 32,600 | 3,557,312 | ||||||
ConocoPhillips | 21,700 | 1,661,135 | ||||||
Consol Energy, Inc. | 3,700 | 132,534 | ||||||
Denbury Resources, Inc.(a) | 6,400 | 127,424 | ||||||
Devon Energy Corp. | 6,600 | 483,846 | ||||||
El Paso Corp. | 12,600 | 350,406 | ||||||
EOG Resources, Inc. | 4,400 | 500,984 | ||||||
EQT Corp. | 2,400 | 127,248 | ||||||
Exxon Mobil Corp. | 78,400 | 6,781,600 | ||||||
Hess Corp. | 4,900 | 318,108 | ||||||
Marathon Oil Corp. | 11,400 | 386,346 | ||||||
Marathon Petroleum Corp. | 5,800 | 240,990 | ||||||
Murphy Oil Corp. | 3,200 | 204,608 | ||||||
Newfield Exploration Co.(a) | 2,100 | 75,600 | ||||||
Noble Energy, Inc. | 2,900 | 283,185 | ||||||
Occidental Petroleum Corp. | 13,300 | 1,388,121 | ||||||
Peabody Energy Corp. | 4,400 | 153,472 | ||||||
Pioneer Natural Resources Co. | 2,000 | 219,280 | ||||||
QEP Resources, Inc. | 2,800 | 95,592 | ||||||
Range Resources Corp. | 2,600 | 165,568 | ||||||
Southwestern Energy Co.(a) | 5,600 | 185,136 | ||||||
Spectra Energy Corp. | 10,600 | 332,628 | ||||||
Sunoco, Inc. | 1,700 | 65,671 | ||||||
Tesoro Corp.(a) | 2,300 | 61,019 | ||||||
Valero Energy Corp. | 9,100 | 222,859 | ||||||
Williams Cos., Inc. (The) | 9,600 | 286,848 | ||||||
WPX Energy, Inc.(a) | 3,200 | 58,112 | ||||||
|
| |||||||
| 20,286,427 | ||||||||
|
| |||||||
| 24,415,160 | ||||||||
|
| |||||||
Health Care – 1.2% | ||||||||
Biotechnology – 0.1% | ||||||||
Amgen, Inc. | 13,000 | 883,350 | ||||||
Biogen Idec, Inc.(a) | 4,000 | 465,880 | ||||||
Celgene Corp.(a) | 7,300 | 535,273 | ||||||
Gilead Sciences, Inc.(a) | 12,300 | 559,650 | ||||||
|
| |||||||
| 2,444,153 | ||||||||
|
| |||||||
| 174 | • ALLIANCEBERNSTEIN POOLING PORTFOLIOS |
Volatility Management—Portfolio of Investments
| Company | Shares | U.S. $ Value | ||||||
| ||||||||
Health Care Equipment & | ||||||||
Baxter International, Inc. | 9,200 | $ | 534,796 | |||||
Becton Dickinson and Co. | 3,500 | 266,770 | ||||||
Boston Scientific Corp.(a) | 24,200 | 150,524 | ||||||
CareFusion Corp.(a) | 3,600 | 92,916 | ||||||
Covidien PLC | 7,900 | 412,775 | ||||||
CR Bard, Inc. | 1,400 | 131,068 | ||||||
DENTSPLY International, Inc. | 2,300 | 88,964 | ||||||
Edwards Lifesciences Corp.(a) | 1,900 | 138,947 | ||||||
Intuitive Surgical, Inc.(a) | 700 | 358,134 | ||||||
Medtronic, Inc. | 17,200 | 655,664 | ||||||
St Jude Medical, Inc. | 5,200 | 219,024 | ||||||
Stryker Corp. | 5,300 | 284,292 | ||||||
Varian Medical Systems, Inc.(a) | 1,800 | 117,450 | ||||||
Zimmer Holdings, Inc.(a) | 2,900 | 176,175 | ||||||
|
| |||||||
| 3,627,499 | ||||||||
|
| |||||||
Health Care Providers & | ||||||||
Aetna, Inc. | 5,900 | 275,884 | ||||||
AmerisourceBergen Corp. – Class A | 4,200 | 156,870 | ||||||
Cardinal Health, Inc. | 5,600 | 232,680 | ||||||
CIGNA Corp. | 4,700 | 207,317 | ||||||
Coventry Health Care, Inc.(a) | 2,300 | 75,187 | ||||||
DaVita, Inc.(a) | 1,500 | 129,825 | ||||||
Express Scripts, Inc. – Class A(a) | 7,900 | 421,307 | ||||||
Humana, Inc. | 2,700 | 235,170 | ||||||
Laboratory Corp. of America Holdings(a) | 1,600 | 143,824 | ||||||
McKesson Corp. | 4,000 | 334,040 | ||||||
Medco Health Solutions, Inc.(a) | 6,300 | 425,817 | ||||||
Patterson Cos., Inc. | 1,400 | 44,688 | ||||||
Quest Diagnostics, Inc./DE | 2,600 | 150,930 | ||||||
Tenet Healthcare Corp.(a) | 7,100 | 40,115 | ||||||
UnitedHealth Group, Inc. | 17,400 | 970,050 | ||||||
WellPoint, Inc. | 5,700 | 374,091 | ||||||
|
| |||||||
| 4,217,795 | ||||||||
|
| |||||||
Health Care Technology – 0.0% | ||||||||
Cerner Corp.(a) | 2,400 | 177,192 | ||||||
|
| |||||||
Life Sciences Tools & Services – 0.1% | ||||||||
Agilent Technologies, Inc.(a) | 5,700 | 248,634 | ||||||
Life Technologies Corp.(a) | 2,900 | 137,199 | ||||||
PerkinElmer, Inc. | 1,800 | 48,600 | ||||||
Thermo Fisher Scientific, Inc.(a) | 6,200 | 351,044 | ||||||
Waters Corp.(a) | 1,500 | 134,400 | ||||||
|
| |||||||
| 919,877 | ||||||||
|
| |||||||
| ALLIANCEBERNSTEIN POOLING PORTFOLIOS • | 175 |
Volatility Management—Portfolio of Investments
| Company | Shares | U.S. $ Value | ||||||
| ||||||||
Pharmaceuticals – 0.6% | ||||||||
Abbott Laboratories | 25,500 | $ | 1,443,555 | |||||
Allergan, Inc./United States | 5,000 | 447,950 | ||||||
Bristol-Myers Squibb Co. | 27,700 | 891,109 | ||||||
Eli Lilly & Co. | 16,600 | 651,384 | ||||||
Forest Laboratories, Inc.(a) | 4,300 | 139,836 | ||||||
Hospira, Inc.(a) | 2,700 | 96,174 | ||||||
Johnson & Johnson | 44,700 | 2,909,076 | ||||||
Merck & Co., Inc. | 49,800 | 1,900,866 | ||||||
Mylan, Inc./PA(a) | 6,900 | 161,736 | ||||||
Perrigo Co. | 1,500 | 154,590 | ||||||
Pfizer, Inc. | 125,700 | 2,652,270 | ||||||
Watson Pharmaceuticals, Inc.(a) | 2,100 | 122,472 | ||||||
|
| |||||||
| 11,571,018 | ||||||||
|
| |||||||
| 22,957,534 | ||||||||
|
| |||||||
Consumer Discretionary – 1.2% | ||||||||
Auto Components – 0.0% | ||||||||
BorgWarner, Inc.(a) | 1,800 | 149,112 | ||||||
Goodyear Tire & Rubber Co. (The)(a) | 3,900 | 50,154 | ||||||
Johnson Controls, Inc. | 11,100 | 362,193 | ||||||
|
| |||||||
| 561,459 | ||||||||
|
| |||||||
Automobiles – 0.1% | ||||||||
Ford Motor Co. | 62,100 | 768,798 | ||||||
Harley-Davidson, Inc. | 3,800 | 177,004 | ||||||
|
| |||||||
| 945,802 | ||||||||
|
| |||||||
Distributors – 0.0% | ||||||||
Genuine Parts Co. | 2,500 | 156,700 | ||||||
|
| |||||||
Diversified Consumer Services – 0.0% | ||||||||
Apollo Group, Inc. – Class A(a) | 1,900 | 81,016 | ||||||
DeVry, Inc. | 1,000 | 35,530 | ||||||
H&R Block, Inc. | 4,700 | 76,610 | ||||||
|
| |||||||
| 193,156 | ||||||||
|
| |||||||
Hotels, Restaurants & Leisure – 0.2% | ||||||||
Carnival Corp. | 7,400 | 224,146 | ||||||
Chipotle Mexican Grill, Inc. – Class A(a) | 600 | 234,132 | ||||||
Darden Restaurants, Inc. | 2,100 | 107,079 | ||||||
International Game Technology | 4,800 | 72,096 | ||||||
Marriott International, Inc./DE – Class A | 4,300 | 151,704 | ||||||
McDonald’s Corp. | 16,800 | 1,667,904 | ||||||
Starbucks Corp. | 12,200 | 592,432 | ||||||
Starwood Hotels & Resorts Worldwide, Inc. | 3,100 | 167,090 | ||||||
Wynn Resorts Ltd. | 1,300 | 154,102 | ||||||
Yum! Brands, Inc. | 7,500 | 496,800 | ||||||
|
| |||||||
| 3,867,485 | ||||||||
|
| |||||||
| 176 | • ALLIANCEBERNSTEIN POOLING PORTFOLIOS |
Volatility Management—Portfolio of Investments
| Company | Shares | U.S. $ Value | ||||||
| ||||||||
Household Durables – 0.0% | ||||||||
DR Horton, Inc. | 4,500 | $ | 64,530 | |||||
Harman International Industries, Inc. | 1,100 | 54,043 | ||||||
Leggett & Platt, Inc.(b) | 2,200 | 49,786 | ||||||
Lennar Corp. – Class A | 2,600 | 60,788 | ||||||
Newell Rubbermaid, Inc. | 4,700 | 86,010 | ||||||
Pulte Group, Inc.(a) | 5,500 | 48,510 | ||||||
Whirlpool Corp. | 1,200 | 90,684 | ||||||
|
| |||||||
| 454,351 | ||||||||
|
| |||||||
Internet & Catalog Retail – 0.1% | ||||||||
Amazon.com, Inc.(a) | 6,000 | 1,078,140 | ||||||
Expedia, Inc.(b) | 1,500 | 51,075 | ||||||
NetFlix, Inc.(a)(b) | 900 | 99,657 | ||||||
priceline.com, Inc.(a) | 900 | 564,318 | ||||||
TripAdvisor, Inc.(a) | 1,500 | 48,345 | ||||||
|
| |||||||
| 1,841,535 | ||||||||
|
| |||||||
Leisure Equipment & Products – 0.0% | ||||||||
Hasbro, Inc. | 1,900 | 67,108 | ||||||
Mattel, Inc. | 5,500 | 178,420 | ||||||
|
| |||||||
| 245,528 | ||||||||
|
| |||||||
Media – 0.4% | ||||||||
Cablevision Systems Corp. | 3,600 | 51,228 | ||||||
CBS Corp. – Class B | 10,700 | 319,930 | ||||||
Comcast Corp. – Class A | 44,500 | 1,307,410 | ||||||
DIRECTV(a) | 11,500 | 532,680 | ||||||
Discovery Communications, | 4,300 | 200,595 | ||||||
Gannett Co., Inc. | 3,800 | 56,392 | ||||||
Interpublic Group of Cos., Inc. (The) | 7,500 | 87,900 | ||||||
McGraw-Hill Cos., Inc. (The) | 4,800 | 223,392 | ||||||
News Corp. – Class A | 35,800 | 711,346 | ||||||
Omnicom Group, Inc. | 4,500 | 222,480 | ||||||
Scripps Networks Interactive, | 1,600 | 72,320 | ||||||
Time Warner Cable, Inc. – Class A | 5,200 | 412,568 | ||||||
Time Warner, Inc. | 16,300 | 606,523 | ||||||
Viacom, Inc. – Class B | 9,000 | 428,580 | ||||||
Walt Disney Co. (The) | 29,400 | 1,234,506 | ||||||
Washington Post Co. (The) – Class B(b) | 100 | 39,390 | ||||||
|
| |||||||
| 6,507,240 | ||||||||
|
| |||||||
Multiline Retail – 0.1% | ||||||||
Big Lots, Inc.(a) | 1,000 | 43,850 | ||||||
Dollar Tree, Inc.(a) | 2,000 | 177,020 | ||||||
Family Dollar Stores, Inc. | 1,900 | 102,581 | ||||||
JC Penney Co., Inc.(b) | 2,300 | 91,080 | ||||||
Kohl’s Corp. | 4,100 | 203,688 | ||||||
| ALLIANCEBERNSTEIN POOLING PORTFOLIOS • | 177 |
Volatility Management—Portfolio of Investments
| Company | Shares | U.S. $ Value | ||||||
| ||||||||
Macy’s, Inc. | 6,800 | $ | 258,196 | |||||
Nordstrom, Inc. | 2,600 | 139,412 | ||||||
Sears Holdings Corp.(a)(b) | 600 | 41,796 | ||||||
Target Corp. | 11,000 | 623,590 | ||||||
|
| |||||||
| 1,681,213 | ||||||||
|
| |||||||
Specialty Retail – 0.2% | ||||||||
Abercrombie & Fitch Co. – Class A | 1,400 | 64,106 | ||||||
AutoNation, Inc.(a)(b) | 700 | 23,856 | ||||||
AutoZone, Inc.(a) | 500 | 187,240 | ||||||
Bed Bath & Beyond, Inc.(a) | 3,900 | 232,986 | ||||||
Best Buy Co., Inc. | 4,800 | 118,560 | ||||||
CarMax, Inc.(a) | 3,700 | 113,553 | ||||||
GameStop Corp. – Class A(b) | 2,200 | 50,116 | ||||||
Gap, Inc. (The) | 5,600 | 130,816 | ||||||
Home Depot, Inc. (The) | 25,200 | 1,198,764 | ||||||
Limited Brands, Inc. | 4,000 | 186,120 | ||||||
Lowe’s Cos., Inc. | 20,400 | 578,952 | ||||||
O’Reilly Automotive, Inc.(a) | 2,100 | 181,650 | ||||||
Ross Stores, Inc. | 3,800 | 202,654 | ||||||
Staples, Inc. | 11,400 | 167,124 | ||||||
Tiffany & Co. | 2,100 | 136,521 | ||||||
TJX Cos., Inc. | 12,200 | 446,642 | ||||||
Urban Outfitters, Inc.(a) | 1,800 | 51,102 | ||||||
|
| |||||||
| 4,070,762 | ||||||||
|
| |||||||
Textiles, Apparel & Luxury | ||||||||
Coach, Inc. | 4,800 | 359,232 | ||||||
NIKE, Inc. – Class B | 6,100 | 658,312 | ||||||
Ralph Lauren Corp. | 1,100 | 191,103 | ||||||
VF Corp. | 1,500 | 219,075 | ||||||
|
| |||||||
| 1,427,722 | ||||||||
|
| |||||||
| 21,952,953 | ||||||||
|
| |||||||
Consumer Staples – 1.2% | ||||||||
Beverages – 0.3% | ||||||||
Beam, Inc. | 2,500 | 137,700 | ||||||
Brown-Forman Corp. – Class B | 1,700 | 138,805 | ||||||
Coca-Cola Co. (The) | 37,200 | 2,598,792 | ||||||
Coca-Cola Enterprises, Inc. | 5,100 | 147,390 | ||||||
Constellation Brands, Inc. – Class A(a) | 2,800 | 61,152 | ||||||
Dr Pepper Snapple Group, Inc. | 3,500 | 133,175 | ||||||
Molson Coors Brewing Co. – Class B | 2,600 | 114,244 | ||||||
PepsiCo, Inc./NC | 25,600 | 1,611,264 | ||||||
|
| |||||||
| 4,942,522 | ||||||||
|
| |||||||
Food & Staples Retailing – 0.3% | ||||||||
Costco Wholesale Corp. | 7,100 | 611,026 | ||||||
CVS Caremark Corp. | 21,300 | 960,630 | ||||||
| 178 | • ALLIANCEBERNSTEIN POOLING PORTFOLIOS |
Volatility Management—Portfolio of Investments
| Company | Shares | U.S. $ Value | ||||||
| ||||||||
Kroger Co. (The) | 9,700 | $ | 230,763 | |||||
Safeway, Inc.(b) | 5,500 | 117,975 | ||||||
SUPERVALU, Inc.(b) | 3,400 | 22,202 | ||||||
Sysco Corp. | 9,600 | 282,432 | ||||||
Wal-Mart Stores, Inc. | 28,600 | 1,689,688 | ||||||
Walgreen Co. | 14,500 | 480,820 | ||||||
Whole Foods Market, Inc. | 2,600 | 209,924 | ||||||
|
| |||||||
| 4,605,460 | ||||||||
|
| |||||||
Food Products – 0.2% | ||||||||
Archer-Daniels-Midland Co. | 10,900 | 340,080 | ||||||
Campbell Soup Co.(b) | 2,900 | 96,628 | ||||||
ConAgra Foods, Inc. | 6,700 | 175,875 | ||||||
Dean Foods Co.(a) | 3,000 | 36,780 | ||||||
General Mills, Inc. | 10,500 | 402,255 | ||||||
Hershey Co. (The) | 2,500 | 151,750 | ||||||
HJ Heinz Co. | 5,200 | 274,092 | ||||||
Hormel Foods Corp. | 2,200 | 62,634 | ||||||
JM Smucker Co. (The) | 1,900 | 143,108 | ||||||
Kellogg Co. | 4,000 | 209,400 | ||||||
Kraft Foods, Inc. – Class A | 28,700 | 1,092,609 | ||||||
McCormick & Co., Inc./MD | 2,200 | 110,990 | ||||||
Mead Johnson Nutrition Co. – Class A | 3,300 | 256,575 | ||||||
Sara Lee Corp. | 9,600 | 194,400 | ||||||
Tyson Foods, Inc. – Class A | 4,700 | 88,877 | ||||||
|
| |||||||
| 3,636,053 | ||||||||
|
| |||||||
Household Products – 0.2% | ||||||||
Clorox Co. (The) | 2,200 | 148,742 | ||||||
Colgate-Palmolive Co. | 7,900 | 736,122 | ||||||
Kimberly-Clark Corp. | 6,500 | 473,720 | ||||||
Procter & Gamble Co. (The) | 45,000 | 3,038,400 | ||||||
|
| |||||||
| 4,396,984 | ||||||||
|
| |||||||
Personal Products – 0.0% | ||||||||
Avon Products, Inc. | 7,000 | 130,830 | ||||||
Estee Lauder Cos., Inc. (The) – Class A | 3,700 | 216,598 | ||||||
|
| |||||||
| 347,428 | ||||||||
|
| |||||||
Tobacco – 0.2% | ||||||||
Altria Group, Inc. | 33,600 | 1,011,360 | ||||||
Lorillard, Inc. | 2,200 | 288,376 | ||||||
Philip Morris International, Inc. | 28,400 | 2,371,968 | ||||||
Reynolds American, Inc. | 5,500 | 230,615 | ||||||
|
| |||||||
| 3,902,319 | ||||||||
|
| |||||||
| 21,830,766 | ||||||||
|
| |||||||
Retail – 1.1% | ||||||||
Regional Mall – 0.6% | ||||||||
Alexander’s, Inc. | 240 | 91,068 | ||||||
CapitaMall Trust | 251,750 | 361,641 | ||||||
| ALLIANCEBERNSTEIN POOLING PORTFOLIOS • | 179 |
Volatility Management—Portfolio of Investments
| Company | Shares | U.S. $ Value | ||||||
| ||||||||
CBL & Associates Properties, Inc. | 14,740 | $ | 259,866 | |||||
CFS Retail Property Trust | 213,180 | 405,099 | ||||||
General Growth Properties, Inc. | 48,000 | 780,960 | ||||||
Glimcher Realty Trust | 10,680 | 105,732 | ||||||
Macerich Co. (The) | 13,570 | 732,644 | ||||||
Pennsylvania Real Estate Investment Trust | 5,510 | 73,944 | ||||||
Simon Property Group, Inc. | 34,270 | 4,642,900 | ||||||
Taubman Centers, Inc. | 6,050 | 417,874 | ||||||
Westfield Group | 232,580 | 2,182,999 | ||||||
|
| |||||||
| 10,054,727 | ||||||||
|
| |||||||
Shopping Center/Other Retail – 0.5% | ||||||||
Acadia Realty Trust | 4,160 | 88,150 | ||||||
Aeon Mall Co., Ltd. | 9,120 | 204,457 | ||||||
BWP Trust | 51,860 | 101,040 | ||||||
Calloway Real Estate Investment Trust | 10,800 | 295,364 | ||||||
Capital & Counties Properties PLC | 68,965 | 207,906 | ||||||
Capital Shopping Centres Group PLC | 64,973 | 343,003 | ||||||
Cedar Realty Trust, Inc. | 6,750 | 32,130 | ||||||
Charter Hall Retail REIT | 30,176 | 101,191 | ||||||
Citycon Oyj | 20,980 | 70,704 | ||||||
Corio NV | 9,310 | 445,832 | ||||||
Crombie Real Estate Investment Trust | 4,150 | 60,397 | ||||||
DDR Corp. | 27,570 | 389,564 | ||||||
Deutsche Euroshop AG | 5,265 | 181,237 | ||||||
Development Securities PLC | 12,113 | 32,243 | ||||||
Equity One, Inc. | 5,630 | 107,083 | ||||||
Eurocommercial Properties N.V. | 4,140 | 148,781 | ||||||
Federal Realty Investment Trust | 6,530 | 622,635 | ||||||
First Capital Realty, Inc.(b) | 6,880 | 124,535 | ||||||
Hammerson PLC | 71,378 | 443,839 | ||||||
Immobiliare Grande Distribuzione | 12,000 | 13,056 | ||||||
Inland Real Estate Corp. | 8,850 | 76,730 | ||||||
Japan Retail Fund Investment Corp.(b) | 188 | 282,386 | ||||||
Kimco Realty Corp. | 48,180 | 885,548 | ||||||
Kite Realty Group Trust | 6,300 | 30,933 | ||||||
Klepierre | 9,550 | 302,297 | ||||||
Link REIT (The) | 226,500 | 846,880 | ||||||
Mercialys SA | 4,590 | 159,091 | ||||||
Primaris Retail Real Estate Investment Trust | 8,100 | 177,726 | ||||||
Ramco-Gershenson Properties Trust | 3,830 | 42,398 | ||||||
Regency Centers Corp. | 9,420 | 403,082 | ||||||
Retail Opportunity Investments Corp.(b) | 4,800 | 55,824 | ||||||
RioCan Real Estate Investment Trust (Toronto) | 27,550 | 755,123 | ||||||
Rouse Properties, Inc.(a)(b) | 1,700 | 24,871 | ||||||
| 180 | • ALLIANCEBERNSTEIN POOLING PORTFOLIOS |
Volatility Management—Portfolio of Investments
| Company | Shares | U.S. $ Value | ||||||
| ||||||||
Saul Centers, Inc. | 1,440 | $ | 54,518 | |||||
Shaftesbury PLC | 25,283 | 196,578 | ||||||
Tanger Factory Outlet Centers | 8,540 | 250,051 | ||||||
Urstadt Biddle Properties, Inc. | 2,000 | 38,040 | ||||||
Vastned Retail NV | 1,910 | 85,234 | ||||||
Weingarten Realty Investors(b) | 12,020 | 299,298 | ||||||
Westfield Retail Trust | 307,780 | 826,684 | ||||||
|
| |||||||
| 9,806,439 | ||||||||
|
| |||||||
| 19,861,166 | ||||||||
|
| |||||||
Residential – 0.7% | ||||||||
Manufactured Homes – 0.0% | ||||||||
Equity Lifestyle Properties, Inc. | 4,140 | 275,351 | ||||||
Sun Communities, Inc. | 2,640 | 109,270 | ||||||
|
| |||||||
| 384,621 | ||||||||
|
| |||||||
Multi-Family – 0.6% | ||||||||
Agile Property Holdings Ltd.(b) | 138,600 | 184,899 | ||||||
Apartment Investment & Management Co. – Class A | 13,940 | 346,270 | ||||||
Associated Estates Realty Corp. | 4,150 | 61,918 | ||||||
AvalonBay Communities, Inc. | 11,150 | 1,445,821 | ||||||
Boardwalk Real Estate Investment Trust | 4,850 | 272,780 | ||||||
BRE Properties, Inc. | 7,820 | 378,723 | ||||||
Camden Property Trust | 7,100 | 440,200 | ||||||
Canadian Apartment Properties REIT | 8,550 | 199,006 | ||||||
China Resources Land Ltd.(b) | 234,750 | 444,509 | ||||||
Colonia Real Estate AG(a) | 2,180 | 9,410 | ||||||
Colonial Properties Trust(b) | 8,650 | 177,498 | ||||||
Conwert Immobilien Invest SE | 8,194 | 92,600 | ||||||
Deutsche Wohnen AG | 10,250 | 136,177 | ||||||
Equity Residential | 34,500 | 1,962,705 | ||||||
Essex Property Trust, Inc. | 3,380 | 473,166 | ||||||
GAGFAH SA | 9,000 | 50,804 | ||||||
Grainger PLC | 31,015 | 54,138 | ||||||
GSW Immobilien AG(a) | 4,150 | 130,542 | ||||||
Home Properties, Inc. | 4,850 | 279,506 | ||||||
Killam Properties, Inc. | 4,900 | 62,349 | ||||||
Mid-America Apartment Communities, Inc. | 3,830 | 238,877 | ||||||
Mirvac Group | 344,250 | 441,362 | ||||||
Nippon Accommodations Fund, Inc.(b) | 15 | 98,172 | ||||||
Northern Property Real Estate Investment Trust | 2,950 | 98,984 | ||||||
Patrizia Immobilien AG(a) | 2,550 | 15,295 | ||||||
Post Properties, Inc. | 5,200 | 227,084 | ||||||
Shenzhen Investment Ltd. | 266,500 | 63,819 | ||||||
Shimao Property Holdings Ltd.(b) | 141,300 | 183,602 | ||||||
Stockland | 235,950 | 797,525 | ||||||
| ALLIANCEBERNSTEIN POOLING PORTFOLIOS • | 181 |
Volatility Management—Portfolio of Investments
| Company | Shares | U.S. $ Value | ||||||
| ||||||||
Transglobe Apartment Real Estate Investment Trust | 5,750 | $ | 72,002 | |||||
UDR, Inc. | 22,630 | 566,203 | ||||||
Wing Tai Holdings Ltd. | 59,375 | 60,458 | ||||||
Yanlord Land Group Ltd.(b) | 58,288 | 64,084 | ||||||
|
| |||||||
| 10,130,488 | ||||||||
|
| |||||||
Self Storage – 0.1% | ||||||||
Big Yellow Group PLC | 12,954 | 59,669 | ||||||
CubeSmart | 12,230 | 137,954 | ||||||
Extra Space Storage, Inc. | 9,350 | 246,560 | ||||||
Public Storage | 15,320 | 2,053,953 | ||||||
Safestore Holdings PLC | 18,633 | 35,177 | ||||||
Sovran Self Storage, Inc. | 2,830 | 134,453 | ||||||
|
| |||||||
| 2,667,766 | ||||||||
|
| |||||||
Student Housing – 0.0% | ||||||||
American Campus Communities, Inc. | 7,070 | 290,931 | ||||||
Education Realty Trust, Inc. | 9,180 | 94,370 | ||||||
|
| |||||||
| 385,301 | ||||||||
|
| |||||||
| 13,568,176 | ||||||||
|
| |||||||
Office – 0.7% | ||||||||
Office – 0.7% | ||||||||
Allied Properties Real Estate Investment Trust | 5,150 | 138,399 | ||||||
Allreal Holding AG(a) | 680 | 109,119 | ||||||
Alstria Office REIT-AG | 7,170 | 80,616 | ||||||
Befimmo SCA Sicafi | 1,770 | 113,274 | ||||||
Beni Stabili SpA | 96,550 | 53,806 | ||||||
Boston Properties, Inc. | 17,250 | 1,751,737 | ||||||
Brandywine Realty Trust | 13,350 | 144,314 | ||||||
Brookfield Office Properties, Inc. | 37,850 | 657,579 | ||||||
CapitaCommercial Trust | 212,500 | 200,872 | ||||||
Castellum AB | 17,310 | 227,802 | ||||||
Champion REIT | 246,000 | 109,879 | ||||||
Charter Hall Office REIT(b) | 49,713 | 162,919 | ||||||
CLS Holdings PLC(a) | 2,254 | 22,377 | ||||||
Cominar Real Estate Investment Trust | 10,955 | 254,209 | ||||||
Commonwealth Property Office Fund | 246,840 | 257,511 | ||||||
CommonWealth REIT | 8,330 | 154,938 | ||||||
Corporate Office Properties Trust | 7,100 | 174,092 | ||||||
Derwent London PLC | 10,270 | 275,431 | ||||||
Douglas Emmett, Inc. | 9,540 | 201,008 | ||||||
Fabege AB | 16,640 | 149,891 | ||||||
First Potomac Realty Trust | 4,950 | 65,489 | ||||||
Franklin Street Properties Corp. | 8,220 | 84,748 | ||||||
Government Properties Income Trust | 3,470 | 80,955 | ||||||
Great Portland Estates PLC | 31,581 | 177,111 | ||||||
| 182 | • ALLIANCEBERNSTEIN POOLING PORTFOLIOS |
Volatility Management—Portfolio of Investments
| Company | Shares | U.S. $ Value | ||||||
| ||||||||
Highwoods Properties, Inc. | 7,180 | $ | 229,760 | |||||
Hongkong Land Holdings Ltd. | 175,400 | 966,359 | ||||||
Hufvudstaden AB – Class A | 15,380 | 170,624 | ||||||
Intervest Offices & Warehouses | 650 | 17,168 | ||||||
Investa Office Fund | 265,230 | 177,375 | ||||||
IVG Immobilien AG(a) | 15,700 | 45,624 | ||||||
Japan Prime Realty Investment Corp. | 72 | 191,762 | ||||||
Japan Real Estate Investment Corp.(b) | 50 | 442,897 | ||||||
Kilroy Realty Corp. | 5,870 | 257,341 | ||||||
Liberty Property Trust | 11,580 | 392,794 | ||||||
Mack-Cali Realty Corp. | 8,670 | 247,962 | ||||||
Mori Trust Sogo Reit, Inc. | 13 | 119,359 | ||||||
Nippon Building Fund, Inc. | 58 | 556,822 | ||||||
Nomura Real Estate Office Fund, Inc. | 31 | 180,373 | ||||||
NorthWest Healthcare Properties Real Estate Investment Trust | 3,450 | 43,062 | ||||||
Norwegian Property ASA | 50,250 | 74,442 | ||||||
NTT Urban Development Corp. | 132 | 106,236 | ||||||
Orix JREIT, Inc.(b) | 22 | 103,303 | ||||||
Parkway Properties Inc./MD | 2,100 | 20,979 | ||||||
Piedmont Office Realty Trust, Inc.(b) | 17,200 | 303,064 | ||||||
Prime Office REIT-AG(a) | 3,900 | 21,618 | ||||||
PS Business Parks, Inc. | 1,790 | 111,732 | ||||||
PSP Swiss Property AG(a) | 4,680 | 406,112 | ||||||
SL Green Realty Corp. | 8,580 | 652,509 | ||||||
Societe de la Tour Eiffel | 570 | 29,652 | ||||||
Societe Immobiliere de Location pour l’Industrie et le Commerce | 1,340 | 138,961 | ||||||
Sponda Oyj | 28,560 | 120,392 | ||||||
Swiss Prime Site AG(a) | 4,030 | 314,588 | ||||||
Technopolis PLC | 6,410 | 33,288 | ||||||
Tokyo Tatemono Co., Ltd.(a) | 31,860 | 130,278 | ||||||
Washington Real Estate Investment Trust | 6,540 | 193,715 | ||||||
Workspace Group PLC | 14,297 | 51,233 | ||||||
Zueblin Immobilien Holding AG(a) | 4,490 | 11,708 | ||||||
|
| |||||||
| 12,511,168 | ||||||||
|
| |||||||
Materials – 0.4% | ||||||||
Chemicals – 0.3% | ||||||||
Air Products & Chemicals, Inc. | 3,500 | 315,840 | ||||||
Airgas, Inc. | 1,100 | 90,563 | ||||||
CF Industries Holdings, Inc. | 1,100 | 204,600 | ||||||
Dow Chemical Co. (The) | 19,300 | 646,743 | ||||||
Eastman Chemical Co. | 2,200 | 119,086 | ||||||
Ecolab, Inc. | 4,900 | 294,000 | ||||||
EI du Pont de Nemours & Co. | 15,100 | 767,835 | ||||||
FMC Corp. | 1,200 | 118,764 | ||||||
| ALLIANCEBERNSTEIN POOLING PORTFOLIOS • | 183 |
Volatility Management—Portfolio of Investments
| Company | Shares | U.S. $ Value | ||||||
| ||||||||
International Flavors & Fragrances, Inc. | 1,300 | $ | 74,139 | |||||
Monsanto Co. | 8,800 | 680,944 | ||||||
Mosaic Co. (The) | 4,900 | 282,975 | ||||||
PPG Industries, Inc. | 2,500 | 228,125 | ||||||
Praxair, Inc. | 4,900 | 534,100 | ||||||
Sherwin-Williams Co. (The) | 1,400 | 144,410 | ||||||
Sigma-Aldrich Corp. | 2,000 | 143,580 | ||||||
|
| |||||||
| 4,645,704 | ||||||||
|
| |||||||
Construction Materials – 0.0% | ||||||||
Vulcan Materials Co.(b) | 2,100 | 93,576 | ||||||
|
| |||||||
Containers & Packaging – 0.0% | ||||||||
Ball Corp. | 2,600 | 104,208 | ||||||
Bemis Co., Inc. | 1,600 | 50,192 | ||||||
Owens-Illinois, Inc.(a) | 2,600 | 62,140 | ||||||
Sealed Air Corp. | 3,100 | 60,853 | ||||||
|
| |||||||
| 277,393 | ||||||||
|
| |||||||
Metals & Mining – 0.1% | ||||||||
Alcoa, Inc. | 17,400 | 176,958 | ||||||
Allegheny Technologies, Inc. | 1,700 | 74,579 | ||||||
Cliffs Natural Resources, Inc. | 2,300 | 146,004 | ||||||
Freeport-McMoRan Copper & Gold, Inc. | 15,500 | 659,680 | ||||||
Newmont Mining Corp. | 8,100 | 481,140 | ||||||
Nucor Corp. | 5,200 | 226,356 | ||||||
Titanium Metals Corp.(b) | 1,300 | 19,058 | ||||||
United States Steel Corp.(b) | 2,300 | 62,606 | ||||||
|
| |||||||
| 1,846,381 | ||||||||
|
| |||||||
Paper & Forest Products – 0.0% | ||||||||
International Paper Co. | 7,100 | 249,565 | ||||||
MeadWestvaco Corp. | 2,700 | 81,756 | ||||||
|
| |||||||
| 331,321 | ||||||||
|
| |||||||
| 7,194,375 | ||||||||
|
| |||||||
Utilities – 0.4% | ||||||||
Electric Utilities – 0.2% | ||||||||
American Electric Power Co., Inc. | 7,900 | 297,119 | ||||||
Duke Energy Corp. | 21,800 | 456,056 | ||||||
Edison International | 5,300 | 221,911 | ||||||
Entergy Corp. | 2,900 | 193,227 | ||||||
Exelon Corp. | 10,800 | 421,956 | ||||||
FirstEnergy Corp. | 6,800 | 301,172 | ||||||
NextEra Energy, Inc. | 6,900 | 410,619 | ||||||
Northeast Utilities | 2,900 | 104,110 | ||||||
Pepco Holdings, Inc. | 3,700 | 71,928 | ||||||
Pinnacle West Capital Corp. | 1,800 | 84,654 | ||||||
PPL Corp. | 9,400 | 268,370 | ||||||
Progress Energy, Inc. | 4,800 | 254,784 | ||||||
| 184 | • ALLIANCEBERNSTEIN POOLING PORTFOLIOS |
Volatility Management—Portfolio of Investments
| Company | Shares | U.S. $ Value | ||||||
| ||||||||
Southern Co. (The) | 14,100 | $ | 623,079 | |||||
|
| |||||||
| 3,708,985 | ||||||||
|
| |||||||
Gas Utilities – 0.0% | ||||||||
AGL Resources, Inc. | 1,900 | 75,753 | ||||||
Oneok, Inc. | 1,700 | 140,488 | ||||||
|
| |||||||
| 216,241 | ||||||||
|
| |||||||
Independent Power Producers & Energy Traders – 0.0% | ||||||||
AES Corp. (The)(a) | 10,500 | 142,380 | ||||||
Constellation Energy Group, Inc. | 3,300 | 119,658 | ||||||
NRG Energy, Inc.(a) | 3,700 | 63,270 | ||||||
|
| |||||||
| 325,308 | ||||||||
|
| |||||||
Multi-Utilities – 0.2% | ||||||||
Ameren Corp. | 3,900 | 125,073 | ||||||
CenterPoint Energy, Inc. | 6,900 | 134,481 | ||||||
CMS Energy Corp. | 4,100 | 87,781 | ||||||
Consolidated Edison, Inc. | 4,800 | 278,880 | ||||||
Dominion Resources, Inc./VA | 9,300 | 469,371 | ||||||
DTE Energy Co. | 2,800 | 151,172 | ||||||
Integrys Energy Group, Inc. | 1,300 | 67,639 | ||||||
NiSource, Inc. | 4,500 | 108,000 | ||||||
PG&E Corp. | 6,600 | 275,088 | ||||||
Public Service Enterprise Group, Inc. | 8,200 | 252,396 | ||||||
SCANA Corp. | 1,900 | 85,500 | ||||||
Sempra Energy | 3,900 | 231,036 | ||||||
TECO Energy, Inc. | 3,500 | 62,825 | ||||||
Wisconsin Energy Corp. | 3,700 | 126,096 | ||||||
Xcel Energy, Inc. | 7,900 | 209,271 | ||||||
|
| |||||||
| 2,664,609 | ||||||||
|
| |||||||
| 6,915,143 | ||||||||
|
| |||||||
Telecommunication Services – 0.3% | ||||||||
Diversified Telecommunication Services – 0.3% | ||||||||
AT&T, Inc. | 96,900 | 2,964,171 | ||||||
CenturyLink, Inc. | 10,100 | 406,525 | ||||||
Frontier Communications Corp.(b) | 16,200 | 74,358 | ||||||
Verizon Communications, Inc. | 46,300 | 1,764,493 | ||||||
Windstream Corp. | 9,500 | 114,760 | ||||||
|
| |||||||
| 5,324,307 | ||||||||
|
| |||||||
Wireless Telecommunication Services – 0.0% | ||||||||
MetroPCS Communications, Inc.(a) | 4,800 | 49,440 | ||||||
Sprint Nextel Corp.(a) | 49,000 | 121,030 | ||||||
|
| |||||||
| 170,470 | ||||||||
|
| |||||||
| 5,494,777 | ||||||||
|
| |||||||
| ALLIANCEBERNSTEIN POOLING PORTFOLIOS • | 185 |
Volatility Management—Portfolio of Investments
| Company | Shares | U.S. $ Value | ||||||
| ||||||||
Lodging – 0.1% | ||||||||
Lodging – 0.1% | ||||||||
Ashford Hospitality Trust, Inc. | 6,710 | $ | 56,632 | |||||
CDL Hospitality Trusts | 72,288 | 98,937 | ||||||
Chesapeake Lodging Trust | 3,150 | 55,535 | ||||||
DiamondRock Hospitality Co. | 16,620 | 165,535 | ||||||
FelCor Lodging Trust, Inc.(a) | 12,340 | 47,386 | ||||||
Hersha Hospitality Trust | 16,840 | 84,705 | ||||||
Hospitality Properties Trust | 12,260 | 303,190 | ||||||
Host Hotels & Resorts, Inc. | 82,610 | 1,303,586 | ||||||
InnVest Real Estate Investment Trust | 9,300 | 51,319 | ||||||
LaSalle Hotel Properties | 8,300 | 221,444 | ||||||
Pebblebrook Hotel Trust | 5,050 | 108,222 | ||||||
RLJ Lodging Trust | 10,550 | 184,836 | ||||||
Strategic Hotels & Resorts, Inc.(a) | 18,450 | 114,943 | ||||||
Sunstone Hotel Investors, Inc.(a) | 11,680 | 104,886 | ||||||
Wyndham Worldwide Corp. | 2,500 | 109,975 | ||||||
|
| |||||||
| 3,011,131 | ||||||||
|
| |||||||
Total Common Stocks | 288,006,094 | |||||||
|
| |||||||
INVESTMENT COMPANIES – 7.8% | ||||||||
Funds and Investment Trusts – 7.8% | ||||||||
IRP Property Investments Ltd. | 11,010 | 13,305 | ||||||
iShares MSCI Emerging Markets Index Fund | 1,151,090 | 51,004,798 | ||||||
UK Commercial Property Trust Ltd./fund | 35,849 | 41,907 | ||||||
Vanguard MSCI Emerging Markets ETF | 2,097,220 | 93,598,929 | ||||||
|
| |||||||
Total Investment Companies | 144,658,939 | |||||||
|
| |||||||
| Contracts | ||||||||
OPTIONS PURCHASED – CALLS – 0.0% | ||||||||
Options on Equity Indices – 0.0% | ||||||||
Euro STOXX 50 Index | 1,369 | 10,032 | ||||||
S&P 500 Index: | 1,314 | 108,405 | ||||||
S&P 500 Index: | 4,905 | 147,150 | ||||||
|
| |||||||
Total Options Purchased – Calls | 265,587 | |||||||
|
| |||||||
| 186 | • ALLIANCEBERNSTEIN POOLING PORTFOLIOS |
Volatility Management—Portfolio of Investments
| Company | Shares | U.S. $ Value | ||||||
| ||||||||
WARRANTS – 0.0% | ||||||||
Equity: Other – 0.0% | ||||||||
Diversified/Specialty – 0.0% | ||||||||
Nieuwe Steen Investments NV, | 250 | $ | – 0 – | |||||
|
| |||||||
RIGHTS – 0.0% | ||||||||
Retail – 0.0% | ||||||||
Shopping Center/Other Retail – 0.0% | ||||||||
Rouse Properties, Inc.(a) | 1,700 | – 0 – | ||||||
|
| |||||||
SHORT-TERM INVESTMENTS – 74.3% | ||||||||
Investment Companies – 74.3% | ||||||||
AllianceBernstein Fixed-Income Shares, Inc. – Government STIF Portfolio, 0.09%(e) | 1,376,439,264 | 1,376,439,264 | ||||||
|
| |||||||
Total Investments Before Security Lending Collateral for Securities Loaned: – 97.6% | 1,809,369,884 | |||||||
|
| |||||||
INVESTMENTS OF CASH COLLATERAL FOR SECURITY LOANED – 0.3% | ||||||||
Investment Companies – 0.3% | ||||||||
AllianceBernstein Exchange Reserves – Class I, 0.22%(e) | 5,610,052 | 5,610,052 | ||||||
|
| |||||||
Total Investments – 97.9% | 1,814,979,936 | |||||||
Other assets less liabilities – 2.1% | 38,824,524 | |||||||
|
| |||||||
Net Assets – 100.0% | $ | 1,853,804,460 | ||||||
|
| |||||||
FUTURES CONTRACTS (see Note C)
| Type | Number of Contracts | Expiration Month | Original Value | Value at February 29, 2012 | Unrealized Appreciation/ (Depreciation) | |||||||||||||||
Purchased Contracts |
| |||||||||||||||||||
10 Yr Japan Govt Bond Futures | 18 | March 2012 | $ | 31,578,454 | $ | 31,604,625 | $ | 26,171 | ||||||||||||
ASX SPI 200 Index Futures | 480 | March 2012 | 54,486,859 | 55,184,011 | 697,152 | |||||||||||||||
| ALLIANCEBERNSTEIN POOLING PORTFOLIOS • | 187 |
Volatility Management—Portfolio of Investments
| Type | Number of Contracts | Expiration Month | Original Value | Value at February 29, 2012 | Unrealized Appreciation/ (Depreciation) | |||||||||||||||
Australian T-Bond 10 Yr Futures | 17 | March 2012 | $ | 2,141,060 | $ | 2,117,198 | $ | (23,862 | ) | |||||||||||
FTSE 100 Index Futures | 1,560 | March 2012 | 141,929,661 | 145,259,992 | 3,330,331 | |||||||||||||||
German Euro Bund Futures | 6 | March 2012 | 1,110,328 | 1,118,252 | 7,924 | |||||||||||||||
German Euro Buxl Futures | 27 | March 2012 | 4,515,787 | 4,597,233 | 81,446 | |||||||||||||||
Hang Seng Index Futures | 157 | March 2012 | 21,692,073 | 21,911,825 | 219,752 | |||||||||||||||
S&P 500 E Mini Index Futures | 9,153 | March 2012 | 598,882,352 | 624,417,660 | 25,535,308 | |||||||||||||||
S&P Midcap 400 EMini Index Futures | 1,168 | March 2012 | 110,002,473 | 114,066,880 | 4,064,407 | |||||||||||||||
S&P TSE 60 Index Futures | 533 | March 2012 | 76,728,904 | 77,333,347 | 604,443 | |||||||||||||||
Topix Index Futures | 1,207 | March 2012 | 112,569,869 | 123,758,703 | 11,188,834 | |||||||||||||||
U.S. T-Note 10 Yr Futures | 28 | June 2012 | 3,665,860 | 3,666,688 | 828 | |||||||||||||||
UK Long GILT Bond Futures | 54 | June 2012 | 9,837,488 | 9,882,067 | 44,579 | |||||||||||||||
|
| |||||||||||||||||||
| $ | 45,777,313 | |||||||||||||||||||
|
| |||||||||||||||||||
FORWARD CURRENCY EXCHANGE CONTRACTS (see Note C)
| Counterparty & Description | Contract Amount (000) | U.S. $ Value on Origination Date | U.S. $ Value at February 29, 2012 | Unrealized Appreciation/ (Depreciation) | ||||||||||||
Buy Contracts | ||||||||||||||||
Bank of America NA: | ||||||||||||||||
Great British Pound settling 3/15/12 | 12,788 | $ | 19,601,063 | $ | 20,342,553 | $ | 741,490 | |||||||||
Great British Pound settling 3/15/12 | 32,184 | 50,605,156 | 51,196,803 | 591,647 | ||||||||||||
Great British Pound settling 3/15/12 | 4,013 | 6,203,560 | 6,383,693 | 180,133 | ||||||||||||
Barclays Bank PLC Wholesale: | ||||||||||||||||
Canadian Dollar settling 6/15/12 | 1,856 | 1,853,481 | 1,871,288 | 17,807 | ||||||||||||
Great British Pound settling 6/15/12 | 3,516 | 5,577,276 | 5,589,213 | 11,937 | ||||||||||||
Japanese Yen settling 3/15/12 | 151,389 | 1,949,164 | 1,862,532 | (86,632 | ) | |||||||||||
Japanese Yen settling 3/15/12 | 260,150 | 3,348,220 | 3,200,613 | (147,607 | ) | |||||||||||
Japanese Yen settling 3/15/12 | 489,245 | 6,363,376 | 6,019,158 | (344,218 | ) | |||||||||||
Japanese Yen settling 6/15/12 | 899,651 | 11,136,624 | 11,078,379 | (58,245 | ) | |||||||||||
Citibank NA: | ||||||||||||||||
Australian Dollar settling 3/15/12 | 18,435 | 19,544,345 | 19,741,498 | 197,153 | ||||||||||||
Australian Dollar settling 3/15/12 | 1,817 | 1,850,705 | 1,945,771 | 95,066 | ||||||||||||
Great British Pound settling 3/15/12 | 3,151 | 4,947,476 | 5,012,463 | 64,987 | ||||||||||||
Japanese Yen settling 3/15/12 | 354,928 | 4,580,088 | 4,366,662 | (213,426 | ) | |||||||||||
Swiss Franc settling 3/15/12 | 1,639 | 1,777,985 | 1,811,894 | 33,909 | ||||||||||||
Credit Suisse London Branch (GFX): | ||||||||||||||||
Great British Pound settling 3/15/12 | 2,790 | 4,363,850 | 4,438,201 | 74,351 | ||||||||||||
Goldman Sachs International: | ||||||||||||||||
Canadian Dollar settling 6/15/12 | 12,251 | 12,281,706 | 12,351,915 | 70,209 | ||||||||||||
Canadian Dollar settling 6/15/12 | 8,456 | 8,523,077 | 8,525,653 | 2,576 | ||||||||||||
Great British Pound settling 6/15/12 | 10,398 | 16,541,970 | 16,529,191 | (12,779 | ) | |||||||||||
| 188 | • ALLIANCEBERNSTEIN POOLING PORTFOLIOS |
Volatility Management—Portfolio of Investments
Counterparty & Description | Contract Amount (000) | U.S. $ Value on Origination Date | U.S. $ Value at February 29, 2012 | Unrealized Appreciation/ (Depreciation) | ||||||||||||
HSBC BankUSA: | ||||||||||||||||
Australian Dollar settling 6/15/12 | 9,550 | $ | 10,179,727 | $ | 10,120,991 | $ | (58,736 | ) | ||||||||
Great British Pound settling 6/15/12 | 14,535 | 23,071,260 | 23,105,577 | 34,317 | ||||||||||||
Japanese Yen settling 3/15/12 | 1,403,380 | 18,305,116 | 17,265,719 | (1,039,397 | ) | |||||||||||
Morgan Stanley and Co., Inc.: | ||||||||||||||||
Japanese Yen settling 3/15/12 | 3,723,485 | 48,560,017 | 45,809,861 | (2,750,156 | ) | |||||||||||
Royal Bank of Scotland PLC: | ||||||||||||||||
Australian Dollar settling 3/15/12 | 6,967 | 7,148,490 | 7,460,754 | 312,264 | ||||||||||||
Canadian Dollar settling 3/15/12 | 50,869 | 50,776,333 | 51,395,937 | 619,604 | ||||||||||||
Euro settling 3/15/12 | 4,333 | 5,656,948 | 5,773,144 | 116,196 | ||||||||||||
Great British Pound settling 3/15/12 | 2,301 | 3,602,791 | 3,660,324 | 57,533 | ||||||||||||
Japanese Yen settling 6/15/12 | 1,329,315 | 16,366,843 | 16,369,298 | 2,455 | ||||||||||||
Japanese Yen settling 6/15/12 | 2,054,241 | 26,760,822 | 25,296,099 | (1,464,723 | ) | |||||||||||
Standard Chartered Bank: | ||||||||||||||||
Australian Dollar settling 3/15/12 | 2,101 | 2,114,362 | 2,249,899 | 135,537 | ||||||||||||
Great British Pound settling 3/15/12 | 1,075 | 1,667,089 | 1,710,060 | 42,971 | ||||||||||||
UBS AG: | ||||||||||||||||
Australian Dollar settling 3/15/12 | 2,345 | 2,425,480 | 2,511,191 | 85,711 | ||||||||||||
Australian Dollar settling 6/15/12 | 5,527 | 5,860,610 | 5,857,458 | (3,152 | ) | |||||||||||
Japanese Yen settling 3/15/12 | 292,008 | 3,813,235 | 3,592,560 | (220,675 | ) | |||||||||||
Westpac Banking Corp.: | ||||||||||||||||
Australian Dollar settling 3/15/12 | 1,520 | 1,564,688 | 1,627,723 | 63,035 | ||||||||||||
Sale Contracts | ||||||||||||||||
Bank of America NA: | ||||||||||||||||
Euro settling 6/15/12 | 1,680 | 2,227,174 | 2,239,444 | (12,270 | ) | |||||||||||
Barclays Bank PLC Wholesale: | ||||||||||||||||
Euro settling 3/15/12 | 1,296 | 1,762,110 | 1,726,747 | 35,363 | ||||||||||||
BNP Paribas SA: | ||||||||||||||||
Euro settling 3/15/12 | 2,901 | 3,831,061 | 3,865,196 | (34,135 | ) | |||||||||||
HSBC BankUSA: | ||||||||||||||||
Euro settling 3/15/12 | 4,684 | 6,263,642 | 6,240,805 | 22,837 | ||||||||||||
Royal Bank of Scotland PLC: | ||||||||||||||||
Swiss Franc settling 3/15/12 | 1,476 | 1,576,805 | 1,631,699 | (54,894 | ) | |||||||||||
State Street Bank and Trust Co.: | ||||||||||||||||
Swiss Franc settling 3/15/12 | 163 | 180,156 | 180,118 | (38 | ) | |||||||||||
UBS AG: | ||||||||||||||||
Euro settling 3/15/12 | 1,243 | 1,602,575 | 1,656,132 | (53,557 | ) | |||||||||||
|
| |||||||||||||||
| $ | (2,945,552 | ) | ||||||||||||||
|
| |||||||||||||||
TOTAL RETURN SWAP CONTRACTS ON INDICES (see Note C)
| Receive/ Pay Total Return on Reference Index | Index | # of Shares or Units | Rate Paid by the Fund | Notional Amount (000) | Maturity Date | Counterparty | Unrealized Appreciation/ (Depreciation) | |||||||||||||||||
Receive Total Return on Reference Index |
| |||||||||||||||||||||||
Receive | Russell 2000 Total Return Index | 528 | 0.25 | % | $ | 1,948 | 10/15/12 | Citibank, N.A. | $ | (6,187 | ) | |||||||||||||
| ALLIANCEBERNSTEIN POOLING PORTFOLIOS • | 189 |
Volatility Management—Portfolio of Investments
| Receive/ Pay Total Return on Reference Index | Index | # of Shares or Units | Rate Paid by the Fund | Notional Amount (000) | Maturity Date | Counterparty | Unrealized Appreciation/ (Depreciation) | |||||||||||||||||
Receive | FTSE EPRA/NAREIT Developed Real Estate Index | 4,457 | 0.25 | % | $ | 13,498 | 2/15/13 | Deutsche Bank AG | $ | 106,100 | ||||||||||||||
Receive | FTSE EPRA/NAREIT Developed Real Estate Index | 2,846 | — | 8,671 | 3/15/13 | Deutsche Bank AG | 18,909 | |||||||||||||||||
Receive | FTSE EPRA/NAREIT Developed Real Estate Index | 1,601 | 0.00 | % | 4,881 | 3/15/13 | Deutsche Bank AG | 6,819 | ||||||||||||||||
Receive | Russell 2000 Total Return Index | 1,614 | 0.24 | % | 6,050 | 3/15/13 | Deutsche Bank AG | (115,534 | ) | |||||||||||||||
Receive | FTSE EPRA/NAREIT Developed Real Estate Index | 349 | 0.25 | % | 1,057 | 12/17/12 | JPMorgan Chase Bank, N.A. | 8,316 | ||||||||||||||||
Receive | FTSE EPRA/NAREIT Developed Real Estate Index | 5,866 | 0.25 | % | 17,766 | 12/17/12 | JPMorgan Chase Bank, N.A. | 139,776 | ||||||||||||||||
Receive | FTSE EPRA/NAREIT Developed Real Estate Index | 2,264 | 0.25 | % | 6,857 | 1/15/13 | JPMorgan Chase Bank, N.A. | 53,947 | ||||||||||||||||
Receive | FTSE EPRA/NAREIT Developed Real Estate Index | 6,411 | 0.25 | % | 19,416 | 1/15/13 | JPMorgan Chase Bank, N.A. | 152,762 | ||||||||||||||||
| 190 | • ALLIANCEBERNSTEIN POOLING PORTFOLIOS |
Volatility Management—Portfolio of Investments
| Receive/ Pay Total Return on Reference Index | Index | # of Shares or Units | Rate Paid by the Fund | Notional Amount (000) | Maturity Date | Counterparty | Unrealized Appreciation/ (Depreciation) | |||||||||||||||||
Receive | FTSE EPRA/NAREIT Developed Real Estate Index | 341 | 0.25 | % | $ | 1,033 | 1/15/13 | JPMorgan Chase Bank, N.A. | $ | 8,125 | ||||||||||||||
Receive | Russell 2000 Total Return Index | 3,533 | 0.00 | % | 12,990 | 3/15/13 | JPMorgan Chase Bank, N.A. | (766 | ) | |||||||||||||||
Receive | FTSE EPRA/NAREIT Developed Real Estate Index | 5,390 | 0.25 | % | 16,324 | 2/15/13 | Morgan Stanley Capital Services Inc. | 129,046 | ||||||||||||||||
Receive | Russell 2000 Total Return Index | 244 | 0.25 | % | 900 | 6/15/12 | Morgan Stanley Capital Services Inc. | (2,904 | ) | |||||||||||||||
Receive | Russell 2000 Total Return Index | 1,346 | 0.25 | % | 4,965 | 2/15/13 | Morgan Stanley Capital Services Inc. | (15,858 | ) | |||||||||||||||
Receive | FTSE EPRA/NAREIT Developed Real Estate Index | 3,269 | 0.25 | % | 9,900 | 10/15/12 | UBS AG | 78,018 | ||||||||||||||||
Receive | Russell 2000 Total Return Index | 5,069 | 0.25 | % | 18,699 | 2/15/13 | UBS AG | (59,909 | ) | |||||||||||||||
Receive | Russell 2000 Total Return Index | 13,044 | 0.25 | % | 48,117 | 2/15/13 | UBS AG | (152,478 | ) | |||||||||||||||
|
| |||||||||||||||||||||||
| $ | 348,182 | |||||||||||||||||||||||
|
| |||||||||||||||||||||||
| ALLIANCEBERNSTEIN POOLING PORTFOLIOS • | 191 |
Volatility Management—Portfolio of Investments
| (a) | Non-income producing security. |
| (b) | Represents entire or partial securities out on loan. See Note D for securities lending information. |
| (c) | One contract relates to 10 shares. |
| (d) | One contract relates to 100 shares. |
| (e) | Investment in affiliated money market mutual fund. The rate shown represents the 7-day yield as of period end. |
Glossary:
| REIT | – Real Estate Investment Trust |
See notes to financial statements.
| 192 | • ALLIANCEBERNSTEIN POOLING PORTFOLIOS |
Volatility Management—Portfolio of Investments
STATEMENT OF ASSETS & LIABILITIES
February 29, 2012 (unaudited)
| U.S. Value | U.S. Large Cap Growth | International Value | ||||||||||
| Assets | ||||||||||||
Investments in securities, at value | ||||||||||||
Unaffiliated issuers (cost $1,145,976,782, $1,001,115,076 and $1,078,236,300, respectively)(a) | $ | 1,288,493,865 | $ | 1,263,221,488 | $ | 1,110,790,915 | ||||||
Affiliated issuers (cost $25,284,579, $29,604,011 and $30,308,394,—including investment of cash collateral for securities loaned of $4,230,960, $11,842,425 and $24,451,319, respectively) | 25,284,579 | 29,604,011 | 30,308,394 | |||||||||
Cash(b) | – 0 | – | – 0 | – | 455,021 | |||||||
Foreign currencies, at value (cost $0, $0 and $4,273,742, respectively) | – 0 | – | – 0 | – | 4,298,979 | |||||||
Dividends and interest receivable | 4,766,893 | 1,704,720 | 4,898,680 | |||||||||
Receivable for shares of beneficial interest sold | 426,407 | 58,593 | 491 | |||||||||
Receivable for investment securities sold | – 0 | – | 34,654,298 | 246,368 | ||||||||
Unrealized appreciation of forward currency exchange contracts | – 0 | – | – 0 | – | 8,633,992 | |||||||
|
|
|
|
|
| |||||||
Total assets | 1,318,971,744 | 1,329,243,110 | 1,159,632,840 | |||||||||
|
|
|
|
|
| |||||||
| Liabilities | ||||||||||||
Payable for investment securities purchased and foreign currency transactions | 4,518,383 | �� | – 0 | – | 1,509,087 | |||||||
Payable for collateral received on securities loaned | 4,230,960 | 11,842,425 | 24,451,319 | |||||||||
Payable for shares of beneficial interest redeemed | – 0 | – | 495,284 | 1,494,926 | ||||||||
Unrealized depreciation of forward currency exchange contracts | – 0 | – | – 0 | – | 5,349,745 | |||||||
Payable for variation margin on futures contracts | – 0 | – | – 0 | – | 77,342 | |||||||
Accrued expenses and other liabilities | 80,660 | 83,407 | 176,514 | |||||||||
|
|
|
|
|
| |||||||
Total liabilities | 8,830,003 | 12,421,116 | 33,058,933 | |||||||||
|
|
|
|
|
| |||||||
Net Assets | $ | 1,310,141,741 | $ | 1,316,821,994 | $ | 1,126,573,907 | ||||||
|
|
|
|
|
| |||||||
| Composition of Net Assets | ||||||||||||
Paid-in capital | $ | 1,840,013,315 | $ | 1,174,017,207 | $ | 1,552,507,987 | ||||||
Undistributed net investment income | 6,213,548 | 2,210,575 | 4,683,349 | |||||||||
Accumulated net realized loss on investment and foreign currency transactions | (678,602,205 | ) | (121,512,200 | ) | (467,280,919 | ) | ||||||
Net unrealized appreciation on investments and foreign currency denominated assets and liabilities | 142,517,083 | 262,106,412 | 36,663,490 | |||||||||
|
|
|
|
|
| |||||||
Net Assets | $ | 1,310,141,741 | $ | 1,316,821,994 | $ | 1,126,573,907 | ||||||
|
|
|
|
|
| |||||||
Shares of beneficial interest outstanding—unlimited shares authorized, without par value | 148,651,050 | 108,273,404 | 155,481,527 | |||||||||
|
|
|
|
|
| |||||||
Net Asset Value | $ | 8.81 | $ | 12.16 | $ | 7.25 | ||||||
|
|
|
|
|
| |||||||
| (a) | Includes securities on loan with a value of $4,037,527, $11,560,463 and $22,372,145, respectively (see Note D). |
| (b) | An amount of $455,021 has been segregated to collateralize margin requirements for open futures contracts outstanding at February 29, 2012 for the International Value Portfolio. |
See notes to financial statements.
| ALLIANCEBERNSTEIN POOLING PORTFOLIOS • | 193 |
Statement of Assets & Liabilities
| International Growth | Short Duration Bond | Global Core Bond | ||||||||||
| Assets | ||||||||||||
Investments in securities, at value | ||||||||||||
Unaffiliated issuers (cost $1,037,287,118, $947,613,141 and $1,164,554,496, respectively)(a) | $ | 1,112,178,384 | $ | 951,815,852 | $ | 1,195,240,195 | ||||||
Affiliated issuers (cost $32,467,276, $24,864,308 and $53,343,138,—including investment of cash collateral for securities loaned of $31,106,287, $0 and $0, respectively) | 32,467,276 | 24,864,308 | 53,343,138 | |||||||||
Cash(b) | – 0 | – | 8,872,295 | 34,925 | ||||||||
Foreign currencies, at value (cost $3,856,359, $0 and $98,369, respectively) | 3,873,369 | – 0 | – | 97,633 | ||||||||
Receivable for investment securities sold and foreign currency transactions | 27,546,291 | 142,399 | 19,329,570 | |||||||||
Unrealized appreciation of forward currency exchange contracts | 8,433,359 | 86,763 | 2,690,988 | |||||||||
Dividends and interest receivable | 2,624,960 | 2,738,101 | 10,931,587 | |||||||||
Receivable for shares of beneficial interest sold | – 0 | – | 448,157 | 193,690 | ||||||||
Receivable for variation margin on futures contracts | – 0 | – | – 0 | – | 7,938 | |||||||
Other asset (see Note F) | – 0 | – | – 0 | – | 926,278 | |||||||
|
|
|
|
|
| |||||||
Total assets | 1,187,123,639 | 988,967,875 | 1,282,795,942 | |||||||||
|
|
|
|
|
| |||||||
| Liabilities | ||||||||||||
Payable for collateral received on securities loaned | 31,106,287 | – 0 | – | – 0 | – | |||||||
Payable for investment securities purchased and foreign currency transactions | 19,061,756 | 36,585,191 | 71,359,491 | |||||||||
Unrealized depreciation of forward currency exchange contracts | 13,840,888 | 354,091 | 3,302,549 | |||||||||
Payable for shares of beneficial interest redeemed | 2,310,877 | – 0 | – | 7,741 | ||||||||
Payable for variation margin on futures contracts | – 0 | – | 64,406 | – 0 | – | |||||||
Accrued expenses and other liabilities | 340,523 | 76,354 | 66,416 | |||||||||
|
|
|
|
|
| |||||||
Total liabilities | 66,660,331 | 37,080,042 | 74,736,197 | |||||||||
|
|
|
|
|
| |||||||
Net Assets | $ | 1,120,463,308 | $ | 951,887,833 | $ | 1,208,059,745 | ||||||
|
|
|
|
|
| |||||||
| Composition of Net Assets | ||||||||||||
Paid-in capital | $ | 1,478,544,949 | $ | 1,017,027,751 | $ | 1,148,123,538 | ||||||
Undistributed/(distributions in excess of) net investment income | 3,619,199 | (3,275,257 | ) | (430,965 | ) | |||||||
Accumulated net realized gain (loss) on investment and foreign currency transactions | (431,047,460 | ) | (65,733,745 | ) | 29,716,037 | |||||||
Net unrealized appreciation on investments and foreign currency denominated assets and liabilities and other assets | 69,346,620 | 3,869,084 | 30,651,135 | |||||||||
|
|
|
|
|
| |||||||
Net Assets | $ | 1,120,463,308 | $ | 951,887,833 | $ | 1,208,059,745 | ||||||
|
|
|
|
|
| |||||||
Shares of beneficial interest outstanding—unlimited shares authorized, without par value | 139,216,982 | 99,775,798 | 112,848,069 | |||||||||
|
|
|
|
|
| |||||||
Net Asset Value | $ | 8.05 | $ | 9.54 | $ | 10.71 | ||||||
|
|
|
|
|
| |||||||
| (a) | Includes securities on loan with a value of $29,502,232 for the International Growth Portfolio (see Note D). |
| (b) | Amounts of $358,960 and $34,925 have been segregated to collateralize margin requirements for open futures contracts outstanding at February 29, 2012 for the Short Duration Bond Portfolio and Global Core Bond Portfolio, respectively. |
See notes to financial statements.
| 194 | • ALLIANCEBERNSTEIN POOLING PORTFOLIOS |
Statement of Assets & Liabilities
| Bond Inflation Protection | High-Yield | Small-Mid Cap Value | ||||||||||
| Assets | ||||||||||||
Investments in securities, at value | ||||||||||||
Unaffiliated issuers (cost $1,029,126,067, $407,341,816 and $330,566,863, respectively)(a) | $ | 1,099,541,401 | $ | 425,595,798 | $ | 365,993,683 | ||||||
Affiliated issuers (cost $0, $8,039,615 and $16,223,216,—including investment of cash collateral for securities loaned of $0, $0 and $12,779,658, respectively) | – 0 | – | 8,039,615 | 16,223,216 | ||||||||
Cash(b) | 6,822,106 | 35,362 | – 0 | – | ||||||||
Foreign currencies, at value (cost $0, $594,454 and $0, respectively) | – 0 | – | 592,341 | – 0 | – | |||||||
Receivable for investment securities sold | 32,552,055 | 204,388 | 1,154,674 | |||||||||
Dividends and interest receivable | 4,084,210 | 7,124,648 | 363,320 | |||||||||
Unrealized appreciation of forward currency exchange contracts | 419,286 | 152,067 | – 0 | – | ||||||||
Receivable for variation margin on futures contracts | 207,250 | – 0 | – | – 0 | – | |||||||
Receivable for shares of beneficial interest sold | 142,736 | 21,595 | 115,008 | |||||||||
Unrealized appreciation on interest rate swap contracts | 9,041 | 199,836 | – 0 | – | ||||||||
Premium paid on credit default swap contracts | – 0 | – | 2,340,936 | – 0 | – | |||||||
Unrealized appreciation on credit default swap contracts | – 0 | – | 850,896 | – 0 | – | |||||||
|
|
|
|
|
| |||||||
Total assets | 1,143,778,085 | 445,157,482 | 383,849,901 | |||||||||
|
|
|
|
|
| |||||||
| Liabilities | ||||||||||||
Payable reverse repurchase agreements | 302,050,155 | – 0 | – | – 0 | – | |||||||
Payable for investment securities purchased and foreign currency transactions | 7,701,593 | 3,949,234 | 3,368,449 | |||||||||
Unrealized depreciation on interest rate swap contracts | 1,682,588 | 92,179 | – 0 | – | ||||||||
Unrealized depreciation of forward currency exchange contracts | 420,837 | 174,089 | – 0 | – | ||||||||
Premium received on credit default swap contracts | – 0 | – | 2,733,747 | – 0 | – | |||||||
Unrealized depreciation on credit default swap contracts | – 0 | – | 2,410,469 | – 0 | – | |||||||
Options written, at value (premium received $0, $1,739,672 and $0) | – 0 | – | 349,398 | – 0 | – | |||||||
Unfunded loan commitment, at value | – 0 | – | 134,666 | – 0 | – | |||||||
Payable for shares of beneficial interest redeemed | – 0 | – | 2,927 | – 0 | – | |||||||
Payable for collateral received on securities loaned | – 0 | – | – 0 | – | 12,779,658 | |||||||
Accrued expenses and other liabilities | 62,440 | 81,797 | 56,882 | |||||||||
|
|
|
|
|
| |||||||
Total liabilities | 311,917,613 | 9,928,506 | 16,204,989 | |||||||||
|
|
|
|
|
| |||||||
Net Assets | $ | 831,860,472 | $ | 435,228,976 | $ | 367,644,912 | ||||||
|
|
|
|
|
| |||||||
| Composition of Net Assets | ||||||||||||
Paid-in capital | $ | 755,751,341 | $ | 456,833,597 | $ | 313,014,909 | ||||||
Undistributed/(distributions in excess of) net investment income | (2,961,582 | ) | 3,992,688 | 2,539,828 | ||||||||
Accumulated net realized gain (loss) on investment and foreign currency transactions | 10,292,201 | (43,727,522 | ) | 16,663,355 | ||||||||
Net unrealized appreciation on investments and foreign currency denominated assets and liabilities | 68,778,512 | 18,130,213 | 35,426,820 | |||||||||
|
|
|
|
|
| |||||||
Net Assets | $ | 831,860,472 | $ | 435,228,976 | $ | 367,644,912 | ||||||
|
|
|
|
|
| |||||||
Shares of beneficial interest outstanding—unlimited shares authorized, without par value | 76,438,296 | 43,142,271 | 31,234,597 | |||||||||
|
|
|
|
|
| |||||||
Net Asset Value | $ | 10.88 | $ | 10.09 | $ | 11.77 | ||||||
|
|
|
|
|
| |||||||
| (a) | Includes securities on loan with a value of $12,140,816 for the Small-Mid Cap Value Portfolio (see Note D). |
| (b) | An amount of $734,990 has been segregated to collateralize margin requirements for open futures contracts outstanding at February 29, 2012 for the Bond Inflation Protection Portfolio. |
See notes to financial statements.
| ALLIANCEBERNSTEIN POOLING PORTFOLIOS • | 195 |
Statement of Assets & Liabilities
| Small-Mid Cap Growth | Multi-Asset Real Return* | Volatility Management | ||||||||||
| Assets | ||||||||||||
Investments in securities, at value | ||||||||||||
Unaffiliated issuers (cost $260,442,472, $511,386,642 and $422,593,565, respectively)(a) | $ | 363,234,777 | $ | 550,006,345 | $ | 432,930,620 | ||||||
Affiliated issuers (cost $14,356,176, $56,124,930 and $1,382,049,316,—including investment of cash collateral for securities loaned of $8,740,611, $9,988,082 and $5,610,052, respectively)(b) | 14,356,176 | 56,124,930 | 1,382,049,316 | |||||||||
Cash(c)(d) | – 0 | – | 11,365,467 | 40,583,256 | ||||||||
Foreign currencies, at value (cost $0, $1,470,570 and $19,346,575, respectively)(e) | – 0 | – | 1,462,004 | 19,596,293 | ||||||||
Receivable for investment securities sold | 1,240,076 | 2,140,681 | 15,940,898 | |||||||||
Dividends and interest receivable | 89,005 | 1,472,148 | 664,999 | |||||||||
Receivable for shares of beneficial interest sold | 22,114 | 16,361 | 75,917 | |||||||||
Unrealized appreciation on total return swap contracts | – 0 | – | 4,245,942 | 701,818 | ||||||||
Unrealized appreciation of forward currency exchange contracts | – 0 | – | 2,136,205 | 3,609,088 | ||||||||
Receivable for variation margin on futures contracts | – 0 | – | 360,881 | – 0 | – | |||||||
|
|
|
|
|
| |||||||
Total assets | 378,942,148 | 629,330,964 | 1,896,152,205 | |||||||||
|
|
|
|
|
| |||||||
| Liabilities | ||||||||||||
Payable for collateral received on securities loaned | 8,740,611 | 9,988,082 | 5,610,052 | |||||||||
Payable for investment securities purchased and foreign currency transactions | 944,370 | 1,347,535 | 21,680,719 | |||||||||
Unrealized depreciation of forward currency exchange contracts | – 0 | – | 3,031,716 | 6,554,640 | ||||||||
Collateral received from broker | – 0 | – | 1,910,000 | 1,320,000 | ||||||||
Options written, at value (premium received $0, $409,182 and $0, respectively) | – 0 | – | 354,900 | – 0 | – | |||||||
Transfer Agent fee payable | – 0 | – | 7,570 | – 0 | – | |||||||
Payable for shares of beneficial interest redeemed | – 0 | – | 2,722 | 585,025 | ||||||||
Payable for variation margin on futures contracts | – 0 | – | – 0 | – | 6,179,262 | |||||||
Unrealized depreciation on total return swap contracts | – 0 | – | – 0 | – | 353,636 | |||||||
Administrative fee payable | – 0 | – | – 0 | – | 15,247 | |||||||
Accrued expenses and other liabilities | 49,397 | 147,742 | 49,164 | |||||||||
|
|
|
|
|
| |||||||
Total liabilities | 9,734,378 | 16,790,267 | 42,347,745 | |||||||||
|
|
|
|
|
| |||||||
Net Assets | $ | 369,207,770 | $ | 612,540,697 | $ | 1,853,804,460 | ||||||
|
|
|
|
|
| |||||||
| Composition of Net Assets | ||||||||||||
Paid-in capital | $ | 232,294,233 | $ | 867,500,101 | $ | 1,789,516,896 | ||||||
Undistributed/(distributions in excess of) net investment income | 180,078 | (18,403,489 | ) | (2,000,016 | ) | |||||||
Accumulated net realized gain (loss) on investment and foreign currency transactions | 33,941,154 | (279,936,991 | ) | 12,521,556 | ||||||||
Net unrealized appreciation on investments and foreign currency denominated assets and liabilities | 102,792,305 | 43,381,076 | 53,766,024 | |||||||||
|
|
|
|
|
| |||||||
Net Assets | $ | 369,207,770 | $ | 612,540,697 | $ | 1,853,804,460 | ||||||
|
|
|
|
|
| |||||||
Shares of beneficial interest outstanding—unlimited shares authorized, without par value | 27,639,359 | 69,078,682 | 176,050,518 | |||||||||
|
|
|
|
|
| |||||||
Net Asset Value | $ | 13.36 | $ | 8.87 | $ | 10.53 | ||||||
|
|
|
|
|
| |||||||
| (a) | Includes securities on loan with a value of $8,420,330, $9,432,452 and $5,357,627, respectively (see Note D). |
| (b) | Includes investment of cash collateral of $1,910,000 and $1,320,000 received from broker for total return swap agreements for the Multi-Asset Real Return Portfolio and Volatility Management Portfolio, respectively. |
| (c) | An amount of $1,260,000 has been segregated to collaterallize open total return swap agreements for the Multi-Asset Real Return Portfolio. |
| (d) | An amount of $40,583,256 has been segregated to collateralize margin requirements for open futures contracts outstanding at February 29, 2012 for the Volatility Management Portfolio. |
| (e) | An amount equivalent to $19,060,584 has been segregated to collateralize margin requirements for open futures contracts outstanding at February 29, 2012 for the Volatility Management Portfolio. |
| * | Consolidated (see Note A). |
See notes to financial statements.
| 196 | • ALLIANCEBERNSTEIN POOLING PORTFOLIOS |
Statement of Assets & Liabilities
STATEMENT OF OPERATIONS
Six Months Ended February 29, 2012 (unaudited)
| U.S. Value | U.S. Large Cap Growth | International Value | ||||||||||
| Investment Income | ||||||||||||
Dividends | ||||||||||||
Unaffiliated issuers (net of foreign taxes withheld of $409,782, $10,366 and $706,983, respectively) | $ | 22,412,038 | $ | 9,404,378 | $ | 11,796,857 | ||||||
Affiliated issuers | 10,438 | 7,968 | 4,370 | |||||||||
Interest | – 0 | – | – 0 | – | 1,974 | |||||||
Securities lending income | 51,180 | 14,224 | 181,684 | |||||||||
|
|
|
|
|
| |||||||
Total income | 22,473,656 | 9,426,570 | 11,984,885 | |||||||||
|
|
|
|
|
| |||||||
| Expenses | ||||||||||||
Custodian | 83,456 | 92,749 | 136,962 | |||||||||
Legal | 18,862 | 19,065 | 18,048 | |||||||||
Audit | 18,780 | 18,755 | 20,749 | |||||||||
Printing | 2,890 | 2,650 | 2,829 | |||||||||
Trustees’ fees | 2,184 | 2,189 | 2,185 | |||||||||
Miscellaneous | 19,982 | 30,850 | 23,648 | |||||||||
|
|
|
|
|
| |||||||
Total expenses | 146,154 | 166,258 | 204,421 | |||||||||
|
|
|
|
|
| |||||||
Net investment income | 22,327,502 | 9,260,312 | 11,780,464 | |||||||||
|
|
|
|
|
| |||||||
| Realized and Unrealized Gain (Loss) on Investment and Foreign Currency Transactions | ||||||||||||
Net realized gain (loss) on: | ||||||||||||
Investment transactions | 19,553,323 | 138,104,184 | (58,529,968 | ) | ||||||||
Futures contracts | – 0 | – | – 0 | – | (554,969 | ) | ||||||
Foreign currency transactions | (2,573 | ) | – 0 | – | 493,693 | |||||||
Net change in unrealized appreciation/depreciation of: | ||||||||||||
Investments | 123,998,304 | 57,980,485 | 109,754,770 | (a) | ||||||||
Futures contracts | – 0 | – | – 0 | – | 1,317,836 | |||||||
Foreign currency denominated assets and liabilities | – 0 | – | – 0 | – | (858,353 | ) | ||||||
|
|
|
|
|
| |||||||
Net gain on investment and foreign currency transactions | 143,549,054 | 196,084,669 | 51,623,009 | |||||||||
|
|
|
|
|
| |||||||
Net Increase in Net Assets from Operations | $ | 165,876,556 | $ | 205,344,981 | $ | 63,403,473 | ||||||
|
|
|
|
|
| |||||||
| (a) | Net of increase in accrued foreign capital gains taxes of $86,631. |
See notes to financial statements.
| ALLIANCEBERNSTEIN POOLING PORTFOLIOS • | 197 |
Statement of Operations
| International Growth | Short Duration Bond | Global Core Bond | ||||||||||
| Investment Income | ||||||||||||
Dividends | ||||||||||||
Unaffiliated issuers (net of foreign taxes withheld of $203,868, $0 and $0, respectively) | $ | 7,423,497 | $ | – 0 | – | $ | – 0 | – | ||||
Affiliated issuers | 5,727 | 15,264 | 39,812 | |||||||||
Interest | 1,628 | 6,924,013 | 19,823,315 | |||||||||
Securities lending income | 222,263 | – 0 | – | – 0 | – | |||||||
|
|
|
|
|
| |||||||
Total income | 7,653,115 | 6,939,277 | 19,863,127 | |||||||||
|
|
|
|
|
| |||||||
| Expenses | ||||||||||||
Custodian | 133,814 | 86,680 | 101,930 | |||||||||
Audit | 20,362 | 21,684 | 21,541 | |||||||||
Legal | 18,253 | 15,392 | 18,148 | |||||||||
Printing | 2,909 | 2,483 | 3,442 | |||||||||
Trustees’ fees | 2,194 | 2,184 | 2,347 | |||||||||
Registration fees | – 0 | – | 123 | 2,028 | ||||||||
Miscellaneous | 31,681 | 17,147 | 23,192 | |||||||||
|
|
|
|
|
| |||||||
Total expenses | 209,213 | 145,693 | 172,628 | |||||||||
|
|
|
|
|
| |||||||
Net investment income | 7,443,902 | 6,793,584 | 19,690,499 | |||||||||
|
|
|
|
|
| |||||||
| Realized and Unrealized Gain (Loss) on Investment and Foreign Currency Transactions | ||||||||||||
Net realized gain (loss) on: | ||||||||||||
Investment transactions | (77,971,526 | ) | (7,287,043 | ) | 43,593,587 | |||||||
Futures contracts | – 0 | – | 211,059 | 134,887 | ||||||||
Swap contracts | – 0 | – | – 0 | – | (852,631 | ) | ||||||
Foreign currency transactions | (1,687,263 | ) | 2,966,176 | (1,689,093 | ) | |||||||
Net change in unrealized appreciation/depreciation of: | ||||||||||||
Investments | 73,423,429 | (a) | 1,257,023 | (24,340,618 | ) | |||||||
Futures contracts | – 0 | – | (368,472 | ) | (6,053 | ) | ||||||
Swap contracts | – 0 | – | – 0 | – | (101,159 | ) | ||||||
Foreign currency denominated assets and liabilities | (5,858,312 | ) | (792,207 | ) | (1,902,714 | ) | ||||||
|
|
|
|
|
| |||||||
Net gain (loss) on investment and foreign currency transactions | (12,093,672 | ) | (4,013,464 | ) | 14,836,206 | |||||||
|
|
|
|
|
| |||||||
Net Increase (Decrease) in Net Assets from Operations | $ | (4,649,770 | ) | $ | 2,780,120 | $ | 34,526,705 | |||||
|
|
|
|
|
| |||||||
| (a) | Net of increase in accrued foreign capital gains taxes of $258,912. |
See notes to financial statements.
| 198 | • ALLIANCEBERNSTEIN POOLING PORTFOLIOS |
Statement of Operations
| Bond Inflation Protection | High-Yield | Small-Mid Cap Value | ||||||||||
| Investment Income | ||||||||||||
Interest | $ | 7,535,734 | $ | 17,343,362 | $ | – 0 | – | |||||
Dividends | ||||||||||||
Unaffiliated issuers | – 0 | – | 176,898 | 3,204,749 | ||||||||
Affiliated issuers | 3,746 | 9,961 | 2,714 | |||||||||
Securities lending income | – 0 | – | – 0 | – | 19,170 | |||||||
Other fee income | – 0 | – | 35,262 | – 0 | – | |||||||
|
|
|
|
|
| |||||||
Total income | 7,539,480 | 17,565,483 | 3,226,633 | |||||||||
|
|
|
|
|
| |||||||
| Expenses | ||||||||||||
Custodian | 78,052 | 96,159 | 54,194 | |||||||||
Audit | 22,186 | 28,535 | 18,799 | |||||||||
Legal | 16,456 | 17,264 | 18,060 | |||||||||
Trustees’ fees | 2,368 | 2,522 | 2,188 | |||||||||
Printing | 2,288 | 3,025 | 2,991 | |||||||||
Registration fees | – 0 | – | 345 | 504 | ||||||||
Miscellaneous | 9,321 | 7,033 | 5,821 | |||||||||
|
|
|
|
|
| |||||||
Total expenses before interest expense | 130,671 | 154,883 | 102,557 | |||||||||
Interest expense | 216,275 | – 0 | – | – 0 | – | |||||||
|
|
|
|
|
| |||||||
Total expenses | 346,946 | 154,883 | 102,557 | |||||||||
|
|
|
|
|
| |||||||
Net investment income | 7,192,534 | 17,410,600 | 3,124,076 | |||||||||
|
|
|
|
|
| |||||||
| Realized and Unrealized Gain (Loss) on Investment and Foreign Currency Transactions | ||||||||||||
Net realized gain (loss) on: | ||||||||||||
Investment transactions | 10,224,259 | (1,287,753 | ) | 23,145,497 | ||||||||
Futures contracts | (935,016 | ) | – 0 | – | – 0 | – | ||||||
Options written | – 0 | – | 1,094,586 | – 0 | – | |||||||
Swap contracts | (976,518 | ) | 1,232,642 | – 0 | – | |||||||
Foreign currency transactions | 5,227,725 | 1,125,611 | – 0 | – | ||||||||
Net change in unrealized appreciation/depreciation of: | ||||||||||||
Investments | 2,502,230 | 8,906,742 | 28,162,036 | |||||||||
Futures contracts | (107,704 | ) | – 0 | – | – 0 | – | ||||||
Options written | – 0 | – | 1,193,833 | – 0 | – | |||||||
Swap contracts | 264,334 | 965,412 | – 0 | – | ||||||||
Unfunded loan commitments | – 0 | – | 112,364 | – 0 | – | |||||||
Foreign currency denominated assets and liabilities | 542,661 | 524,838 | – 0 | – | ||||||||
|
|
|
|
|
| |||||||
Net gain on investment and foreign currency transactions | 16,741,971 | 13,868,275 | 51,307,533 | |||||||||
|
|
|
|
|
| |||||||
Contributions from Adviser (see Note B) | – 0 | – | 1,035 | – 0 | – | |||||||
|
|
|
|
|
| |||||||
Net Increase in Net Assets from Operations | $ | 23,934,505 | $ | 31,279,910 | $ | 54,431,609 | ||||||
|
|
|
|
|
| |||||||
See notes to financial statements.
| ALLIANCEBERNSTEIN POOLING PORTFOLIOS • | 199 |
Statement of Operations
| Small-Mid Cap Growth | �� Multi-Asset Real Return* | Volatility Management | ||||||||||
| Investment Income | ||||||||||||
Dividends | ||||||||||||
Unaffiliated issuers (net of foreign taxes withheld of $0, $381,175 and $35,006, respectively) | $ | 831,154 | $ | 7,330,305 | $ | 1,252,002 | ||||||
Affiliated issuers | 3,112 | 8,720 | 313,252 | |||||||||
Interest | – 0 | – | – 0 | – | 985,158 | |||||||
Securities lending income | 527,495 | 41,192 | 7,101 | |||||||||
|
|
|
|
|
| |||||||
Total income | 1,361,761 | 7,380,217 | 2,557,513 | |||||||||
|
|
|
|
|
| |||||||
| Expenses | ||||||||||||
Transfer agency | – 0 | – | 6,006 | – 0 | – | |||||||
Custodian | 60,343 | 128,688 | 146,187 | |||||||||
Audit | 18,805 | 24,826 | 24,392 | |||||||||
Legal | 17,989 | 24,517 | 13,368 | |||||||||
Printing | 3,077 | 3,301 | 1,268 | |||||||||
Trustees’ fees | 2,333 | 2,418 | 2,187 | |||||||||
Registration fees | 450 | 501 | – 0 | – | ||||||||
Amortization of offering expense | – 0 | – | 2,830 | – 0 | – | |||||||
Administrative | – 0 | – | – 0 | – | 32,573 | |||||||
Miscellaneous | 6,071 | 27,826 | 38,375 | |||||||||
|
|
|
|
|
| |||||||
Total expenses before interest expense | 109,068 | 220,913 | 258,350 | |||||||||
Interest expense | – 0 | – | 574,211 | – 0 | – | |||||||
|
|
|
|
|
| |||||||
Net expenses | 109,068 | 795,124 | 258,350 | |||||||||
|
|
|
|
|
| |||||||
Net investment income | 1,252,693 | 6,585,093 | 2,299,163 | |||||||||
|
|
|
|
|
| |||||||
| Realized and Unrealized Gain (Loss) on Investment and Foreign Currency Transactions | ||||||||||||
Net realized gain (loss) on: | ||||||||||||
Investment transactions | 56,216,238 | 1,297,708 | (448,257 | ) | ||||||||
Futures contracts | – 0 | – | (2,971,725 | ) | 13,567,634 | |||||||
Options written | – 0 | – | 5,262,981 | – 0 | – | |||||||
Swap contracts | – 0 | – | (20,307,616 | ) | 7,139,996 | |||||||
Foreign currency transactions | – 0 | – | 356,655 | (381,245 | ) | |||||||
Net change in unrealized appreciation/depreciation of: | ||||||||||||
Investments | 14,669,997 | 18,316,656 | (a) | 8,193,689 | ||||||||
Futures contracts | – 0 | – | 3,528,095 | 47,325,148 | ||||||||
Options written | – 0 | – | 54,282 | – 0 | – | |||||||
Swap contracts | – 0 | – | (6,632,619 | ) | 360,220 | |||||||
Foreign currency denominated assets and liabilities | – 0 | – | (665,800 | ) | (2,309,616 | ) | ||||||
|
|
|
|
|
| |||||||
Net gain (loss) on investment and foreign currency transactions | 70,886,235 | (1,761,383 | ) | 73,447,569 | ||||||||
|
|
|
|
|
| |||||||
Net Increase in Net Assets from Operations | $ | 72,138,928 | $ | 4,823,710 | $ | 75,746,732 | ||||||
|
|
|
|
|
| |||||||
| (a) | Net of increase in accrued foreign capital gains taxes of $8,897. |
| * | Consolidated (see Note A). |
See notes to financial statements.
| 200 | • ALLIANCEBERNSTEIN POOLING PORTFOLIOS |
Statement of Operations
STATEMENT OF CHANGES IN NET ASSETS
| U.S. Value | ||||||||
| Six Months Ended February 29, 2012 (unaudited) | Year Ended August 31, 2011 | |||||||
| Increase in Net Assets from Operations | ||||||||
Net investment income | $ | 22,327,502 | $ | 46,363,312 | ||||
Net realized gain on investment transactions | 19,550,750 | 200,463,053 | ||||||
Net change in unrealized appreciation/depreciation of investments | 123,998,304 | 32,311,712 | ||||||
|
|
|
| |||||
Net increase in net assets from operations | 165,876,556 | 279,138,077 | ||||||
| Dividends to Shareholders from | ||||||||
Net investment income | (28,132,794 | ) | (42,781,375 | ) | ||||
| Transactions in Shares of Beneficial Interest | ||||||||
Net decrease | (770,395,525 | ) | (231,391,163 | ) | ||||
|
|
|
| |||||
Total increase (decrease) | (632,651,763 | ) | 4,965,539 | |||||
| Net Assets | ||||||||
Beginning of period | 1,942,793,504 | 1,937,827,965 | ||||||
|
|
|
| |||||
End of period (including undistributed net investment income of $6,213,548 and $12,018,840, respectively) | $ | 1,310,141,741 | $ | 1,942,793,504 | ||||
|
|
|
| |||||
See notes to financial statements.
| ALLIANCEBERNSTEIN POOLING PORTFOLIOS • | 201 |
Statement of Changes in Net Assets
| U.S. Large Cap Growth | ||||||||
| Six Months Ended February 29, 2012 (unaudited) | Year Ended August 31, 2011 | |||||||
| Increase in Net Assets from Operations | ||||||||
Net investment income | $ | 9,260,312 | $ | 24,082,966 | ||||
Net realized gain on investment and foreign currency transactions | 138,104,184 | 276,074,498 | ||||||
Net change in unrealized appreciation/depreciation of investments | 57,980,485 | 108,585,412 | ||||||
|
|
|
| |||||
Net increase in net assets from operations | 205,344,981 | 408,742,876 | ||||||
| Dividends to Shareholders from | ||||||||
Net investment income | (14,576,491 | ) | (20,138,612 | ) | ||||
| Transactions in Shares of Beneficial Interest | ||||||||
Net decrease | (826,792,750 | ) | (359,378,530 | ) | ||||
|
|
|
| |||||
Total increase (decrease) | (636,024,260 | ) | 29,225,734 | |||||
| Net Assets | ||||||||
Beginning of period | 1,952,846,254 | 1,923,620,520 | ||||||
|
|
|
| |||||
End of period (including undistributed net investment income of $2,210,575 and $7,526,754, respectively) | $ | 1,316,821,994 | $ | 1,952,846,254 | �� | |||
|
|
|
| |||||
See notes to financial statements.
| 202 | • ALLIANCEBERNSTEIN POOLING PORTFOLIOS |
Statement of Changes in Net Assets
| International Value | ||||||||
| Six Months Ended February 29, 2012 (unaudited) | Year Ended August 31, 2011 | |||||||
| Increase (Decrease) in Net Assets from Operations | ||||||||
Net investment income | $ | 11,780,464 | $ | 34,005,731 | ||||
Net realized gain (loss) on investment and foreign currency transactions | (58,591,244 | ) | 30,984,726 | |||||
Net change in unrealized appreciation/depreciation of investments and foreign currency denominated assets and liabilities | 110,214,253 | (3,025,225 | ) | |||||
|
|
|
| |||||
Net increase in net assets from operations | 63,403,473 | 61,965,232 | ||||||
| Dividends to Shareholders from | ||||||||
Net investment income | (13,765,709 | ) | (45,343,296 | ) | ||||
| Transactions in Shares of Beneficial Interest | ||||||||
Net increase (decrease) | 93,116,931 | (45,875,425 | ) | |||||
|
|
|
| |||||
Total increase (decrease) | 142,754,695 | (29,253,489 | ) | |||||
| Net Assets | ||||||||
Beginning of period | 983,819,212 | 1,013,072,701 | ||||||
|
|
|
| |||||
End of period (including undistributed net investment income of $4,683,349 and $6,668,594, respectively) | $ | 1,126,573,907 | $ | 983,819,212 | ||||
|
|
|
| |||||
See notes to financial statements.
| ALLIANCEBERNSTEIN POOLING PORTFOLIOS • | 203 |
Statement of Changes in Net Assets
| International Growth | ||||||||
| Six Months Ended February 29, 2012 (unaudited) | Year Ended August 31, 2011 | |||||||
| Increase (Decrease) in Net Assets from Operations | ||||||||
Net investment income | $ | 7,443,902 | $ | 24,293,272 | ||||
Net realized gain (loss) on investment and foreign currency transactions | (79,658,789 | ) | 78,606,100 | |||||
Net change in unrealized appreciation/depreciation of investments and foreign currency denominated assets and liabilities | 67,565,117 | (43,962,926 | ) | |||||
|
|
|
| |||||
Net increase (decrease) in net assets from operations | (4,649,770 | ) | 58,936,446 | |||||
| Dividends to Shareholders from | ||||||||
Net investment income | (14,042,335 | ) | (44,303,767 | ) | ||||
| Transactions in Shares of Beneficial Interest | ||||||||
Net increase (decrease) | 117,179,481 | (29,905,901 | ) | |||||
|
|
|
| |||||
Total increase (decrease) | 98,487,376 | (15,273,222 | ) | |||||
| Net Assets | ||||||||
Beginning of period | 1,021,975,932 | 1,037,249,154 | ||||||
|
|
|
| |||||
End of period (including undistributed net investment income of $3,619,199 and $10,217,632, respectively) | $ | 1,120,463,308 | $ | 1,021,975,932 | ||||
|
|
|
| |||||
See notes to financial statements.
| 204 | • ALLIANCEBERNSTEIN POOLING PORTFOLIOS |
Statement of Changes in Net Assets
| Short Duration Bond | ||||||||
| Six Months Ended February 29, 2012 (unaudited) | Year Ended August 31, 2011 | |||||||
| Increase (Decrease) in Net Assets from Operations | ||||||||
Net investment income | $ | 6,793,584 | $ | 22,638,369 | ||||
Net realized loss on investment transactions | (4,109,808 | ) | (14,277,435 | ) | ||||
Net change in unrealized appreciation/depreciation of investments and foreign currency denominated assets and liabilities | 96,344 | 22,623,147 | ||||||
|
|
|
| |||||
Net increase in net assets from operations | 2,780,120 | 30,984,081 | ||||||
| Dividends to Shareholders from | ||||||||
Net investment income | (9,077,077 | ) | (25,915,259 | ) | ||||
| Transactions in Shares of Beneficial Interest | ||||||||
Net increase (decrease) | (327,553,724 | ) | 62,658,671 | |||||
|
|
|
| |||||
Total increase (decrease) | (333,850,681 | ) | 67,727,493 | |||||
| Net Assets | ||||||||
Beginning of period | 1,285,738,514 | 1,218,011,021 | ||||||
|
|
|
| |||||
End of period (including distributions in excess of net investment income of ($3,275,257) and ($991,764), respectively) | $ | 951,887,833 | $ | 1,285,738,514 | ||||
|
|
|
| |||||
See notes to financial statements.
| ALLIANCEBERNSTEIN POOLING PORTFOLIOS • | 205 |
Statement of Changes in Net Assets
| Global Core Bond | ||||||||
| Six Months Ended February 29, 2012 (unaudited) | Year Ended August 31, 2011 | |||||||
| Increase (Decrease) in Net Assets from Operations | ||||||||
Net investment income | $ | 19,690,499 | $ | 53,564,054 | ||||
Net realized gain on investment and foreign currency transactions | 41,186,750 | 25,742,930 | ||||||
Net change in unrealized appreciation/depreciation of investments and foreign currency denominated assets and liabilities and other assets | (26,350,544 | ) | (5,299,531 | ) | ||||
|
|
|
| |||||
Net increase in net assets from operations | 34,526,705 | 74,007,453 | ||||||
| Dividends and Distributions to Shareholders from | ||||||||
Net investment income | (23,516,639 | ) | (56,340,131 | ) | ||||
Net realized gain on investment transactions | (32,616,025 | ) | (3,197,066 | ) | ||||
| Transactions in Shares of Beneficial Interest | ||||||||
Net decrease | (77,596,805 | ) | (60,630,492 | ) | ||||
|
|
|
| |||||
Total decrease | (99,202,764 | ) | (46,160,236 | ) | ||||
| Net Assets | ||||||||
Beginning of period | 1,307,262,509 | 1,353,422,745 | ||||||
|
|
|
| |||||
End of period (including distributions in excess of net investment income of ($430,965) and undistributed net investment income of $3,395,175, respectively) | $ | 1,208,059,745 | $ | 1,307,262,509 | ||||
|
|
|
| |||||
See notes to financial statements.
| 206 | • ALLIANCEBERNSTEIN POOLING PORTFOLIOS |
Statement of Changes in Net Assets
| Bond Inflation Protection | ||||||||
| Six Months Ended February 29, 2012 (unaudited) | Year Ended August 31, 2011 | |||||||
| Increase in Net Assets from Operations | ||||||||
Net investment income | $ | 7,192,534 | $ | 44,256,421 | ||||
Net realized gain on investment and foreign currency transactions | 13,540,450 | 4,484,669 | ||||||
Net change in unrealized appreciation/depreciation of investments and foreign currency denominated assets and liabilities | 3,201,521 | 22,163,161 | ||||||
|
|
|
| |||||
Net increase in net assets from operations | 23,934,505 | 70,904,251 | ||||||
| Dividends and Distributions to Shareholders from | ||||||||
Net investment income | (43,265,419 | ) | (19,696,303 | ) | ||||
Net realized gain on investment transactions | (12,914,162 | ) | – 0 | – | ||||
| Transactions in Shares of Beneficial Interest | ||||||||
Net increase (decrease) | 151,375,040 | (6,241,355 | ) | |||||
|
|
|
| |||||
Total increase | 119,129,964 | 44,966,593 | ||||||
| Net Assets | ||||||||
Beginning of period | 712,730,508 | 667,763,915 | ||||||
|
|
|
| |||||
End of period (including distributions in excess of net investment income of ($2,961,582) and undistributed net investment income of $33,111,303, respectively) | $ | 831,860,472 | $ | 712,730,508 | ||||
|
|
|
| |||||
See notes to financial statements.
| ALLIANCEBERNSTEIN POOLING PORTFOLIOS • | 207 |
Statement of Changes in Net Assets
| High-Yield | ||||||||
| Six Months Ended February 29, 2012 (unaudited) | Year Ended August 31, 2011 | |||||||
| Increase (Decrease) in Net Assets from Operations | ||||||||
Net investment income | $ | 17,410,600 | $ | 44,120,701 | ||||
Net realized gain on investment and foreign currency transactions | 2,165,086 | 17,498,951 | ||||||
Net change in unrealized appreciation/depreciation of investments and foreign currency denominated assets and liabilities | 11,703,189 | (20,965,969 | ) | |||||
Contributions from Adviser (see Note B) | 1,035 | 3,487 | ||||||
|
|
|
| |||||
Net increase in net assets from operations | 31,279,910 | 40,657,170 | ||||||
| Dividends to Shareholders from | ||||||||
Net investment income | (15,829,643 | ) | (47,357,542 | ) | ||||
| Transactions in Shares of Beneficial Interest | ||||||||
Net increase (decrease) | (62,643,945 | ) | 1,372,306 | |||||
|
|
|
| |||||
Total decrease | (47,193,678 | ) | (5,328,066 | ) | ||||
| Net Assets | ||||||||
Beginning of period | 482,422,654 | 487,750,720 | ||||||
|
|
|
| |||||
End of period (including undistributed net investment income of $3,992,688 and $2,411,731, respectively) | $ | 435,228,976 | $ | 482,422,654 | ||||
|
|
|
| |||||
See notes to financial statements.
| 208 | • ALLIANCEBERNSTEIN POOLING PORTFOLIOS |
Statement of Changes in Net Assets
| Small-Mid Cap Value | ||||||||
| Six Months Ended February 29, 2012 (unaudited) | Year Ended August 31, 2011 | |||||||
| Increase (Decrease) in Net Assets from Operations | ||||||||
Net investment income | $ | 3,124,076 | $ | 7,919,419 | ||||
Net realized gain on investment transactions | 23,145,497 | 83,651,355 | ||||||
Net change in unrealized appreciation/depreciation of investments | 28,162,036 | (1,487,080 | ) | |||||
|
|
|
| |||||
Net increase in net assets from operations | 54,431,609 | 90,083,694 | ||||||
| Dividends to Shareholders from | ||||||||
Net investment income | (2,301,812 | ) | (7,671,358 | ) | ||||
| Transactions in Shares of Beneficial Interest | ||||||||
Net decrease | (181,533,836 | ) | (85,888,438 | ) | ||||
|
|
|
| |||||
Total decrease | (129,404,039 | ) | (3,476,102 | ) | ||||
| Net Assets | ||||||||
Beginning of period | 497,048,951 | 500,525,053 | ||||||
|
|
|
| |||||
End of period (including undistributed net investment income of $2,539,828 and $1,717,564, respectively) | $ | 367,644,912 | $ | 497,048,951 | ||||
|
|
|
| |||||
See notes to financial statements.
| ALLIANCEBERNSTEIN POOLING PORTFOLIOS • | 209 |
Statement of Changes in Net Assets
| Small-Mid Cap Growth | ||||||||
| Six Months Ended February 29, 2012 (unaudited) | Year Ended August 31, 2011 | |||||||
| Increase in Net Assets from Operations | ||||||||
Net investment income | $ | 1,252,693 | $ | 2,556,485 | ||||
Net realized gain on investment transactions | 56,216,238 | 174,050,355 | ||||||
Net change in unrealized appreciation/depreciation of investments | 14,669,997 | 18,014,101 | ||||||
|
|
|
| |||||
Net increase in net assets from operations | 72,138,928 | 194,620,941 | ||||||
| Dividends and Distributions to Shareholders from | ||||||||
Net investment income | (1,549,611 | ) | (2,621,006 | ) | ||||
Net realized gain on investment transactions | (124,716,703 | ) | – 0 | – | ||||
| Transactions in Shares of Beneficial Interest | ||||||||
Net decrease | (81,600,676 | ) | (207,657,215 | ) | ||||
|
|
|
| |||||
Total decrease | (135,728,062 | ) | (15,657,280 | ) | ||||
| Net Assets | ||||||||
Beginning of period | 504,935,832 | 520,593,112 | ||||||
|
|
|
| |||||
End of period (including undistributed net investment income of $180,078 and $476,996, respectively) | $ | 369,207,770 | $ | 504,935,832 | ||||
|
|
|
| |||||
See notes to financial statements.
| 210 | • ALLIANCEBERNSTEIN POOLING PORTFOLIOS |
Statement of Changes in Net Assets
| Multi-Asset Real Return* | ||||||||
| Six Months Ended February 29, 2012 (unaudited) | Year Ended August 31, 2011 | |||||||
| Increase (Decrease) in Net Assets from Operations | ||||||||
Net investment income | $ | 6,585,093 | $ | 25,176,162 | ||||
Net realized gain (loss) on investment and foreign currency transactions | (16,361,997 | ) | 245,866,795 | |||||
Net change in unrealized appreciation/depreciation of investments and foreign currency denominated assets and liabilities | 14,600,614 | (129,127,865 | ) | |||||
|
|
|
| |||||
Net increase in net assets from operations | 4,823,710 | 141,915,092 | ||||||
| Dividends to Shareholders from | ||||||||
Net investment income | (34,377,414 | ) | (76,523,004 | ) | ||||
| Transactions in Shares of Beneficial Interest | ||||||||
Net decrease | (295,186,930 | ) | (53,153,080 | ) | ||||
|
|
|
| |||||
Total increase (decrease) | (324,740,634 | ) | 12,239,008 | |||||
| Net Assets | ||||||||
Beginning of period | 937,281,331 | 925,042,323 | ||||||
|
|
|
| |||||
End of period (including distributions in excess of net investment income of ($18,403,489) and undistributed net investment income of $9,388,832, respectively) | $ | 612,540,697 | $ | 937,281,331 | ||||
|
|
|
| |||||
| * | Consolidated (see Note A). |
See notes to financial statements.
| ALLIANCEBERNSTEIN POOLING PORTFOLIOS • | 211 |
Statement of Changes in Net Assets
| Volatility Management | ||||||||
| Six Months Ended February 29, 2012 (unaudited) | Year Ended August 31, 2011 | |||||||
| Increase in Net Assets from Operations | ||||||||
Net investment income | $ | 2,299,163 | $ | 2,935,174 | ||||
Net realized gain on investment and foreign currency transactions | 19,878,128 | 36,703,854 | ||||||
Net change in unrealized appreciation/depreciation of investments and foreign currency denominated assets and liabilities | 53,569,441 | 8,573,688 | ||||||
|
|
|
| |||||
Net increase in net assets from operations | 75,746,732 | 48,212,716 | ||||||
| Dividends and Distributions to Shareholders from | ||||||||
Net investment income | (5,546,626 | ) | (2,676,402 | ) | ||||
Net realized gain on investment transactions | (24,959,819 | ) | (12,752,268 | ) | ||||
| Transactions in Shares of Beneficial Interest | ||||||||
Net increase (decrease) | 1,524,181,655 | (44,653,853 | ) | |||||
|
|
|
| |||||
Total increase (decrease) | 1,569,421,942 | (11,869,807 | ) | |||||
| Net Assets | ||||||||
Beginning of period | 284,382,518 | 296,252,325 | ||||||
|
|
|
| |||||
End of period (including distributions in excess of net investment income of ($2,000,016) and undistributed net investment income of $1,247,447, respectively) | $ | 1,853,804,460 | $ | 284,382,518 | ||||
|
|
|
| |||||
See notes to financial statements.
| 212 | • ALLIANCEBERNSTEIN POOLING PORTFOLIOS |
Statement of Changes in Net Assets
STATEMENT OF CASH FLOWS
Six Months Ended February 29, 2012 (unaudited)
| Bond Inflation Protection | ||||||||
| Increase (Decrease) in Cash from Operating Activities: | ||||||||
Interest and dividends received | $ | 10,974,216 | ||||||
Interest expense paid | (216,275 | ) | ||||||
Operating expenses paid | (157,943 | ) | ||||||
Purchases of long-term investments | (392,136,152 | ) | ||||||
Proceeds from disposition of long-term investments | 286,625,424 | |||||||
Purchases of short-term investments, net | 23,858,087 | |||||||
Proceeds from swap contracts, net | (866,655 | ) | ||||||
Variation margin paid on futures contracts | (1,083,149 | ) | ||||||
|
| |||||||
Net decrease in cash from operating activities | $ | (73,002,447 | ) | |||||
| Financing Activities: | ||||||||
Redemptions of beneficial interest, net | 94,444,678 | |||||||
Decrease in reverse repurchase agreements | (20,438,174 | ) | ||||||
|
| |||||||
Net increase in cash from financing activities | 74,006,504 | |||||||
Effect of exchange rate on cash | 4,966,099 | |||||||
|
| |||||||
Net increase in cash | 5,970,156 | |||||||
Cash at beginning of period | 851,950 | |||||||
|
| |||||||
Cash at end of period | $ | 6,822,106 | ||||||
|
| |||||||
| Reconciliation of Net Increase in Net Assets from Operations to Net Increase in Cash from Operating Activities: | ||||||||
Net increase in net assets from operations | $ | 23,934,505 | ||||||
| Adjustments: | ||||||||
Decrease in interest and dividends receivable | $ | 1,422,361 | ||||||
Net accretion of bond discount and amortization of bond premium | 2,367,733 | |||||||
Inflation Index Income | (355,358 | ) | ||||||
Decrease in accrued expenses | (27,272 | ) | ||||||
Purchases of long-term investments | (392,136,152 | ) | ||||||
Proceeds from disposition of long-term investments | 286,625,424 | |||||||
Purchases of short-term investments, net | 23,858,087 | |||||||
Proceeds from swap contracts, net | (866,655 | ) | ||||||
Variation margin paid on futures contracts | (1,083,149 | ) | ||||||
Net realized gain on investment and foreign currency transactions | (13,540,450 | ) | ||||||
Net change in unrealized appreciation/depreciation of investments and foreign currency denominated assets and liabilities | (3,201,521 | ) | ||||||
|
| |||||||
Total adjustments | (96,936,952 | ) | ||||||
|
| |||||||
Net decrease in cash from operating activities | $ | (73,002,447 | ) | |||||
|
| |||||||
See notes to financial statements.
| ALLIANCEBERNSTEIN POOLING PORTFOLIOS • | 213 |
Statement of Cash Flows
NOTES TO FINANCIAL STATEMENTS
February 29, 2012 (unaudited)
NOTE A
Significant Accounting Policies
The AllianceBernstein Pooling Portfolios (the “Trust”) was organized as a Massachusetts business trust on November 11, 2004 and is registered under the Investment Company Act of 1940 as a diversified, open-end management investment company. The Trust is currently comprised of twelve separate series: AllianceBernstein U.S. Value Portfolio, AllianceBernstein U.S. Large Cap Growth Portfolio, AllianceBernstein International Value Portfolio, AllianceBernstein International Growth Portfolio, AllianceBernstein Short Duration Bond Portfolio, AllianceBernstein Global Core Bond Portfolio (formerly, AllianceBernstein Intermediate Duration Bond Portfolio), AllianceBernstein Bond Inflation Protection Portfolio, AllianceBernstein High-Yield Portfolio, AllianceBernstein Small-Mid Cap Value Portfolio, AllianceBernstein Small-Mid Cap Growth Portfolio, AllianceBernstein Multi-Asset Real Return Portfolio and AllianceBernstein Volatility Management Portfolio (collectively, the “Portfolios”). The AllianceBernstein Volatility Management Portfolio commenced operations on April 16, 2010. As part of AllianceBernstein Multi-Asset Real Return Portfolio’s investment strategy, the Portfolio seeks to gain exposure to commodities and commodities-related instruments and derivatives primarily through investments in AllianceBernstein Cayman Inflation Pooling Subsidiary, Ltd., a wholly-owned subsidiary of the Portfolio organized under the laws of the Cayman Islands (the “Subsidiary”). The Subsidiary was incorporated and commenced operations on October 18, 2010. The Multi-Asset Real Return Portfolio is the sole shareholder of the Subsidiary and it is intended that the Portfolio will remain the sole shareholder and will continue to control the Subsidiary. Under the Articles of Association of the Subsidiary, shares issued by the Subsidiary confer upon a shareholder the right to receive notice of, to attend and to vote at general meetings of the Subsidiary and shall confer upon the shareholder rights in a winding-up or repayment of capital and the right to participate in the profits or assets of the Subsidiary. As of February 29, 2012, net assets of the Multi-Asset Real Return Portfolio were approximately $612,540,697, of which approximately $125,560,643, or approximately 20.50%, represented the Portfolio’s ownership of all issued shares and voting rights of the Subsidiary. This report presents the consolidated financial statements and portfolio of investments of AllianceBernstein Multi-Asset Real Return Portfolio and the Subsidiary. All intercompany transactions and balances have been eliminated in consolidation. Each Portfolio is considered to be a separate entity for financial reporting and tax purposes. Shares of the Portfolios are offered exclusively to mutual funds advised by and certain other institutional clients of AllianceBernstein L.P. (the “Adviser”). A Portfolio’s shares may be purchased at the relevant net asset value without a sales charge or other fee. 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
| 214 | • ALLIANCEBERNSTEIN POOLING PORTFOLIOS |
Notes to Financial Statements
the reporting period. Actual results could differ from those estimates. The following is a summary of significant accounting policies followed by the Portfolios.
1. Security 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 Trust’s Board of Trustees.
In general, the market value 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 market (“OTC”) 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 contracts 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 other debt instruments having 60 days or less remaining until maturity are valued at amortized cost if their original maturity was 60 days or less; or by amortizing their fair value as of the 61st day prior to maturity if their original term to maturity exceeded 60 days; 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. Investments in money market funds are valued at their net asset value each day.
Securities for which market quotations are not readily available (including restricted securities) or are deemed unreliable are valued at fair value. 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
| ALLIANCEBERNSTEIN POOLING PORTFOLIOS • | 215 |
Notes to Financial Statements
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 the foreign markets gives rise to the possibility that significant events, including broad market moves, may have occurred between the close of the foreign markets and the time at which the Portfolios value their securities which may materially affect the value of securities trading in such markets.
2. 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. The U.S. GAAP disclosure requirements establish 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. 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 investment |
| • | 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) |
| 216 | • ALLIANCEBERNSTEIN POOLING PORTFOLIOS |
Notes to Financial Statements
The following tables summarize the valuation of the Portfolios’ investments by the above fair value hierarchy levels as of February 29, 2012:
| U.S. Value Portfolio | ||||||||||||||||
| Investments in Securities: | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Assets: | ||||||||||||||||
Common Stocks: | ||||||||||||||||
Financials | $ | 230,234,427 | $ | – 0 | – | $ | – 0 | – | $ | 230,234,427 | ||||||
Health Care | 214,138,105 | 6,319,100 | – 0 | – | 220,457,205 | |||||||||||
Consumer Discretionary | 202,996,413 | – 0 | – | – 0 | – | 202,996,413 | ||||||||||
Energy | 148,119,369 | – 0 | – | – 0 | – | 148,119,369 | ||||||||||
Information Technology | 146,032,133 | – 0 | – | – 0 | – | 146,032,133 | ||||||||||
Consumer Staples | 130,990,063 | – 0 | – | – 0 | – | 130,990,063 | ||||||||||
Industrials | 83,556,337 | – 0 | – | – 0 | – | 83,556,337 | ||||||||||
Utilities | 63,489,918 | – 0 | – | – 0 | – | 63,489,918 | ||||||||||
Telecommunication Services | 50,696,002 | – 0 | – | – 0 | – | 50,696,002 | ||||||||||
Materials | 11,921,998 | – 0 | – | – 0 | – | 11,921,998 | ||||||||||
Short-Term Investments | 21,053,619 | – 0 | – | – 0 | – | 21,053,619 | ||||||||||
Investments of Cash Collateral for Security Loaned in Affiliated Money Market Fund | 4,230,960 | – 0 | – | – 0 | – | 4,230,960 | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Investments in Securities | 1,307,459,344 | 6,319,100 | – 0 | – | 1,313,778,444 | |||||||||||
Other Financial Instruments**: | – 0 | – | – 0 | – | – 0 | – | – 0 | – | ||||||||
|
|
|
|
|
|
|
| |||||||||
Total | $ | 1,307,459,344 | $ | 6,319,100 | $ | – 0 | – | $ | 1,313,778,444 | |||||||
|
|
|
|
|
|
|
| |||||||||
| U.S. Large Cap Growth Portfolio | ||||||||||||||||
| Investments in Securities: | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Assets: | ||||||||||||||||
Common Stocks* | $ | 1,263,221,488 | $ | – 0 | – | $ | – 0 | – | $ | 1,263,221,488 | ||||||
Short-Term Investments | 17,761,586 | – 0 | – | – 0 | – | 17,761,586 | ||||||||||
Investments of Cash Collateral for Securities Loaned in Affiliated Money Market Fund | 11,842,425 | – 0 | – | – 0 | – | 11,842,425 | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Investments in Securities | 1,292,825,499 | – 0 | – | – 0 | – | 1,292,825,499 | ||||||||||
Other Financial Instruments** | – 0 | – | – 0 | – | – 0 | – | – 0 | – | ||||||||
|
|
|
|
|
|
|
| |||||||||
Total | $ | 1,292,825,499 | $ | – 0 | – | $ | – 0 | – | $ | 1,292,825,499 | ||||||
|
|
|
|
|
|
|
| |||||||||
| ALLIANCEBERNSTEIN POOLING PORTFOLIOS • | 217 |
Notes to Financial Statements
| International Value Portfolio | ||||||||||||||||
| Investments in Securities: | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Assets: | ||||||||||||||||
Common Stocks: | ||||||||||||||||
Financials | $ | 17,429,684 | $ | 232,694,050 | $ | – 0 | – | $ | 250,123,734 | |||||||
Energy | 10,967,836 | 162,614,113 | – 0 | – | 173,581,949 | |||||||||||
Materials | 15,092,414 | 130,022,752 | – 0 | – | 145,115,166 | |||||||||||
Consumer Discretionary | 9,421,713 | 128,199,792 | – 0 | – | 137,621,505 | |||||||||||
Information Technology | – 0 | – | 109,560,796 | – 0 | – | 109,560,796 | ||||||||||
Health Care | – 0 | – | 70,407,381 | – 0 | – | 70,407,381 | ||||||||||
Industrials | – 0 | – | 66,720,353 | – 0 | – | 66,720,353 | ||||||||||
Telecommunication Services | 36,458 | 66,620,309 | – 0 | – | 66,656,767 | |||||||||||
Consumer Staples | 2,407,582 | 53,675,268 | – 0 | – | 56,082,850 | |||||||||||
Utilities | – 0 | – | 34,920,414 | – 0 | – | 34,920,414 | ||||||||||
Short-Term Investments | 5,857,075 | – 0 | – | – 0 | – | 5,857,075 | ||||||||||
Investments of Cash Collateral for Security Loaned in Affiliated Money Market Fund | 24,451,319 | – 0 | – | – 0 | – | 24,451,319 | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Investments in Securities | 85,664,081 | 1,055,435,228 | + | – 0 | – | 1,141,099,309 | ||||||||||
Other Financial Instruments**: | ||||||||||||||||
Assets: | ||||||||||||||||
Futures Contracts | 866,745 | – 0 | – | – 0 | – | 866,745 | # | |||||||||
Forward Currency Exchange Contracts | – 0 | – | 8,633,992 | – 0 | – | 8,633,992 | ||||||||||
Liabilities: | ||||||||||||||||
Forward Currency Exchange Contracts | – 0 | – | (5,349,745 | ) | – 0 | – | (5,349,745 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Total | $ | 86,530,826 | $ | 1,058,719,475 | $ | – 0 | – | $ | 1,145,250,301 | |||||||
|
|
|
|
|
|
|
| |||||||||
| 218 | • ALLIANCEBERNSTEIN POOLING PORTFOLIOS |
Notes to Financial Statements
| International Growth Portfolio | ||||||||||||||||
| Investments in Securities: | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Assets: | ||||||||||||||||
Common Stocks: | ||||||||||||||||
Financials | $ | 45,020,931 | $ | 263,204,975 | $ | – 0 | – | $ | 308,225,906 | |||||||
Consumer Discretionary | 42,566,686 | 188,460,208 | – 0 | – | 231,026,894 | |||||||||||
Industrials | 11,561,245 | 120,697,153 | – 0 | – | 132,258,398 | |||||||||||
Consumer Staples | 11,753,830 | 119,278,718 | – 0 | – | 131,032,548 | |||||||||||
Energy | 25,699,690 | 102,323,677 | – 0 | – | 128,023,367 | |||||||||||
Materials | 11,273,293 | 61,518,095 | – 0 | – | 72,791,388 | |||||||||||
Information Technology | 11,415,953 | 57,730,271 | – 0 | – | 69,146,224 | |||||||||||
Health Care | – 0 | – | 39,673,659 | – 0 | – | 39,673,659 | ||||||||||
Short-Term Investments | 1,360,989 | – 0 | – | – 0 | – | 1,360,989 | ||||||||||
Investments of Cash Collateral for Security Loaned in Affiliated Money Market Fund | 31,106,287 | – 0 | – | – 0 | – | 31,106,287 | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Investments in Securities | 191,758,904 | 952,886,756 | + | – 0 | – | 1,144,645,660 | ||||||||||
Other Financial Instruments**: | ||||||||||||||||
Assets: | ||||||||||||||||
Forward Currency Exchange Contracts | – 0 | – | 8,433,359 | – 0 | – | 8,433,359 | ||||||||||
Liabilities: | ||||||||||||||||
Forward Currency Exchange Contracts | – 0 | – | (13,840,888 | ) | – 0 | – | (13,840,888 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Total | $ | 191,758,904 | $ | 947,479,227 | $ | – 0 | – | $ | 1,139,238,131 | |||||||
|
|
|
|
|
|
|
| |||||||||
| ALLIANCEBERNSTEIN POOLING PORTFOLIOS • | 219 |
Notes to Financial Statements
| Short Duration Bond Portfolio | ||||||||||||||||
| Investments in Securities: | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Assets: | ||||||||||||||||
Governments – Treasuries | $ | – 0 | – | $ | 417,613,120 | $ | – 0 | – | $ | 417,613,120 | ||||||
Asset-Backed Securities | – 0 | – | 120,686,767 | 31,337,764 | 152,024,531 | |||||||||||
Mortgage Pass-Throughs | – 0 | – | 144,594,286 | – 0 | – | 144,594,286 | ||||||||||
Corporates – Investment Grades | – 0 | – | 96,974,433 | – 0 | – | 96,974,433 | ||||||||||
Commercial Mortgage-Backed Securities | – 0 | – | 24,716,864 | 25,287,586 | 50,004,450 | |||||||||||
Agencies | – 0 | – | 30,974,562 | – 0 | – | 30,974,562 | ||||||||||
Collateralized Mortgage Obligations | – 0 | – | – 0 | – | 26,062,992 | 26,062,992 | ||||||||||
Inflation-Linked Securities | – 0 | – | 10,905,719 | – 0 | – | 10,905,719 | ||||||||||
Governments – Sovereign Agencies | – 0 | – | 6,389,703 | – 0 | – | 6,389,703 | ||||||||||
Short-Term Investments: | ||||||||||||||||
Investment Companies | 24,864,308 | – 0 | – | – 0 | – | 24,864,308 | ||||||||||
Certificates of Deposit | – 0 | – | 12,985,164 | – 0 | – | 12,985,164 | ||||||||||
Commercial Paper | – 0 | – | 3,286,892 | – 0 | – | 3,286,892 | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Investments in Securities | 24,864,308 | 869,127,510 | 82,688,342 | 976,680,160 | ||||||||||||
Other Financial Instruments**: | ||||||||||||||||
Assets: | ||||||||||||||||
Futures Contracts | 56,729 | – 0 | – | – 0 | – | 56,729 | # | |||||||||
Forward Currency Exchange Contracts | – 0 | – | 86,763 | – 0 | – | 86,763 | ||||||||||
Liabilities: | ||||||||||||||||
Futures Contracts | (38,091 | ) | – 0 | – | – 0 | – | (38,091 | )# | ||||||||
Forward Currency Exchange Contracts | – 0 | – | (354,091 | ) | – 0 | – | (354,091 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Total | $ | 24,882,946 | $ | 868,860,182 | $ | 82,688,342 | $ | 976,431,470 | ||||||||
|
|
|
|
|
|
|
| |||||||||
| 220 | • ALLIANCEBERNSTEIN POOLING PORTFOLIOS |
Notes to Financial Statements
| Global Core Bond Portfolio | ||||||||||||||||
| Investments in Securities: | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Assets: | ||||||||||||||||
Governments – Treasuries | $ | – 0 | – | $ | 466,306,992 | $ | – 0 | – | $ | 466,306,992 | ||||||
Corporates – Investment Grades | – 0 | – | 293,377,229 | – 0 | – | 293,377,229 | ||||||||||
Mortgage Pass-Throughs | – 0 | – | 167,474,605 | – 0 | – | 167,474,605 | ||||||||||
Asset-Backed Securities | – 0 | – | 75,439,951 | 8,585,670 | 84,025,621 | |||||||||||
Commercial Mortgage-Backed Securities | – 0 | – | 39,191,859 | 12,127,721 | 51,319,580 | |||||||||||
Governments – Sovereign Agencies | – 0 | – | 51,272,336 | – 0 | – | 51,272,336 | ||||||||||
Agencies | – 0 | – | 26,912,617 | – 0 | – | 26,912,617 | ||||||||||
Inflation-Linked Securities | – 0 | – | 18,077,387 | – 0 | – | 18,077,387 | ||||||||||
Quasi-Sovereigns | – 0 | – | 9,253,363 | – 0 | – | 9,253,363 | ||||||||||
Collateralized Mortgage Obligations | – 0 | – | – 0 | – | 8,023,071 | 8,023,071 | ||||||||||
Governments – Sovereign Bonds | – 0 | – | 7,383,781 | – 0 | – | 7,383,781 | ||||||||||
Local Governments – Municipal Bonds | – 0 | – | 4,398,262 | – 0 | – | 4,398,262 | ||||||||||
Covered Bonds | – 0 | – | 4,172,378 | – 0 | – | 4,172,378 | ||||||||||
Supranationals | – 0 | – | 3,242,973 | – 0 | – | 3,242,973 | ||||||||||
Short-Term Investments | 53,343,138 | – 0 | – | – 0 | – | 53,343,138 | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Investments in Securities | 53,343,138 | 1,166,503,733 | 28,736,462 | 1,248,583,333 | ||||||||||||
Other Financial Instruments**: | ||||||||||||||||
Assets: | ||||||||||||||||
Forward Currency Exchange Contracts | – 0 | – | 2,690,988 | – 0 | – | 2,690,988 | ||||||||||
Liabilities: | ||||||||||||||||
Futures Contracts | (250 | ) | – 0 | – | – 0 | – | (250 | )# | ||||||||
Forward Currency Exchange Contracts | – 0 | – | (3,302,549 | ) | – 0 | – | (3,302,549 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Total | $ | 53,342,888 | $ | 1,165,892,172 | $ | 28,736,462 | $ | 1,247,971,522 | ||||||||
|
|
|
|
|
|
|
| |||||||||
| ALLIANCEBERNSTEIN POOLING PORTFOLIOS • | 221 |
Notes to Financial Statements
| Bond Inflation Protection Portfolio | ||||||||||||||||
| Investments in Securities: | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Assets: | ||||||||||||||||
Inflation-Linked Securities | $ | – 0 | – | $ | 804,600,099 | $ | – 0 | – | $ | 804,600,099 | ||||||
Corporates – Investment Grades | – 0 | – | 133,852,807 | – 0 | – | 133,852,807 | ||||||||||
Asset-Backed Securities | – 0 | – | 43,940,603 | 4,980,261 | 48,920,864 | |||||||||||
Mortgage Pass-Throughs | – 0 | – | 45,053,370 | – 0 | – | 45,053,370 | ||||||||||
Commercial Mortgage-Backed Securities | – 0 | – | 26,304,885 | – 0 | – | 26,304,885 | ||||||||||
Governments – Treasuries | – 0 | – | 12,357,193 | – 0 | – | 12,357,193 | ||||||||||
Governments – Sovereign Agencies | – 0 | – | 9,684,235 | – 0 | – | 9,684,235 | ||||||||||
Agencies | – 0 | – | 8,021,877 | – 0 | – | 8,021,877 | ||||||||||
Quasi-Sovereigns | – 0 | – | 4,382,592 | – 0 | – | 4,382,592 | ||||||||||
Supranationals | – 0 | – | 3,500,000 | – 0 | – | 3,500,000 | ||||||||||
Governments – Sovereign Bonds | – 0 | – | 2,593,539 | – 0 | – | 2,593,539 | ||||||||||
Corporates – Non-Investment Grade | – 0 | – | 269,940 | – 0 | – | 269,940 | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Investments in Securities | – 0 | – | 1,094,561,140 | 4,980,261 | 1,099,541,401 | |||||||||||
Other Financial Instruments**: | ||||||||||||||||
Assets: | ||||||||||||||||
Futures Contracts | 97,988 | – 0 | – | – 0 | – | 97,988 | # | |||||||||
Forward Currency Exchange Contracts | – 0 | – | 419,286 | – 0 | – | 419,286 | ||||||||||
Interest Rate Swap Contracts | – 0 | – | 9,041 | – 0 | – | 9,041 | ||||||||||
Liabilities: | ||||||||||||||||
Futures Contracts | (22,051 | ) | – 0 | – | – 0 | – | (22,051 | )# | ||||||||
Forward Currency Exchange Contracts | – 0 | – | (420,837 | ) | – 0 | – | (420,837 | ) | ||||||||
Interest Rate Swap Contracts | – 0 | – | (1,682,588 | ) | – 0 | – | (1,682,588 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Total | $ | 75,937 | $ | 1,092,886,042 | $ | 4,980,261 | $ | 1,097,942,240 | ||||||||
|
|
|
|
|
|
|
| |||||||||
| 222 | • ALLIANCEBERNSTEIN POOLING PORTFOLIOS |
Notes to Financial Statements
| High-Yield Portfolio | ||||||||||||||||
| Investments in Securities: | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Assets: | ||||||||||||||||
Corporates – Non-Investment Grades | $ | – 0 | – | $ | 309,719,542 | $ | 2,809,332 | $ | 312,528,874 | |||||||
Corporates – Investment Grades | – 0 | – | 29,972,890 | 1,078,930 | 31,051,820 | |||||||||||
Governments – Treasuries | – 0 | – | 23,960,239 | 570,361 | 24,530,600 | |||||||||||
Emerging Markets – Corporate Bonds | – 0 | – | 12,376,882 | 432,740 | 12,809,622 | |||||||||||
Bank Loans | – 0 | – | – 0 | – | 9,911,223 | 9,911,223 | ||||||||||
Emerging Markets – Sovereigns | – 0 | – | 8,356,058 | – 0 | – | 8,356,058 | ||||||||||
Commercial Mortgage-Backed Securities | – 0 | – | – 0 | – | 5,570,305 | 5,570,305 | ||||||||||
Preferred Stocks | 3,115,976 | 2,233,724 | – 0 | – | 5,349,700 | |||||||||||
Quasi-Sovereigns | – 0 | – | 4,161,116 | – 0 | – | 4,161,116 | ||||||||||
Asset-Backed Securities | – 0 | – | – 0 | – | 3,961,548 | 3,961,548 | ||||||||||
Collateralized Mortgage Obligations | – 0 | – | – 0 | – | 1,849,866 | 1,849,866 | ||||||||||
Common Stocks | 526,993 | – 0 | – | 1,169,394 | 1,696,387 | |||||||||||
Governments – Sovereign Agencies | – 0 | – | 1,449,960 | – 0 | – | 1,449,960 | ||||||||||
Local Governments – Municipal Bonds | – 0 | – | 1,260,611 | – 0 | – | 1,260,611 | ||||||||||
Governments – Sovereign Bonds | – 0 | – | 807,460 | – 0 | – | 807,460 | ||||||||||
Options Purchased – Puts | – 0 | – | 300,611 | 37 | 300,648 | |||||||||||
Warrants | – 0 | – | – 0 | – | – 0 | –^ | – 0 | – | ||||||||
Short-Term Investments | 8,039,615 | – 0 | – | – 0 | – | 8,039,615 | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Investments in Securities | 11,682,584 | 394,599,093 | + | 27,353,736 | 433,635,413 | |||||||||||
Other Financial Instruments**: | ||||||||||||||||
Assets: | ||||||||||||||||
Forward Currency Exchange Contracts | – 0 | – | 152,067 | – 0 | – | 152,067 | ||||||||||
Interest Rate Swap Contracts | – 0 | – | 199,836 | – 0 | – | 199,836 | ||||||||||
Credit Default Swap Contracts | – 0 | – | 537,359 | 313,537 | 850,896 | |||||||||||
| ALLIANCEBERNSTEIN POOLING PORTFOLIOS • | 223 |
Notes to Financial Statements
| High-Yield Portfolio | ||||||||||||||||
| Investments in Securities: | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Liabilities: | ||||||||||||||||
Forward Currency Exchange Contracts | $ | – 0 | – | $ | (174,089 | ) | $ | – 0 | – | $ | (174,089 | ) | ||||
Interest Rate Swap Contracts | – 0 | – | (92,179 | ) | – 0 | – | (92,179 | ) | ||||||||
Credit Default Swaptions Written | – 0 | – | – 0 | – | (349,398 | ) | (349,398 | ) | ||||||||
Credit Default Swap Contracts | – 0 | – | (1,899,381 | ) | (511,088 | ) | (2,410,469 | ) | ||||||||
Unfunded Loan Commitments | – 0 | – | – 0 | – | (134,666 | ) | (134,666 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Total | $ | 11,682,584 | $ | 393,322,706 | $ | 26,672,121 | $ | 431,677,411 | ||||||||
|
|
|
|
|
|
|
| |||||||||
| Small-Mid Cap Value Portfolio | ||||||||||||||||
| Investments in Securities: | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Assets: | ||||||||||||||||
Common Stocks* | $ | 365,993,683 | $ | – 0 | – | $ | – 0 | – | $ | 365,993,683 | ||||||
Short-Term Investments | 3,443,558 | – 0 | – | – 0 | – | 3,443,558 | ||||||||||
Investments of Cash Collateral for Security Loaned in Affiliated Money Market Fund | 12,779,658 | – 0 | – | – 0 | – | 12,779,658 | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Investments in Securities | 382,216,899 | – 0 | – | – 0 | – | 382,216,899 | ||||||||||
Other Financial Instruments** | – 0 | – | – 0 | – | – 0 | – | – 0 | – | ||||||||
|
|
|
|
|
|
|
| |||||||||
Total | $ | 382,216,899 | $ | – 0 | – | $ | – 0 | – | $ | 382,216,899 | ||||||
|
|
|
|
|
|
|
| |||||||||
| Small-Mid Cap Growth Portfolio | ||||||||||||||||
| Investments in Securities: | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Assets: | ||||||||||||||||
Common Stocks* | $ | 363,234,777 | $ | – 0 | – | $ | – 0 | – | $ | 363,234,777 | ||||||
Short-Term Investments | 5,615,565 | – 0 | – | – 0 | – | 5,615,565 | ||||||||||
Investments of Cash Collateral for Security Loaned in Affiliated Money Market Fund | 8,740,611 | – 0 | – | – 0 | – | 8,740,611 | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Investments in Securities | 377,590,953 | – 0 | – | – 0 | – | 377,590,953 | ||||||||||
Other Financial Instruments** | – 0 | – | – 0 | – | – 0 | – | – 0 | – | ||||||||
|
|
|
|
|
|
|
| |||||||||
Total | $ | 377,590,953 | $ | – 0 | – | $ | – 0 | – | $ | 377,590,953 | ||||||
|
|
|
|
|
|
|
| |||||||||
| 224 | • ALLIANCEBERNSTEIN POOLING PORTFOLIOS |
Notes to Financial Statements
| Multi-Asset Real Return Portfolio*** | ||||||||||||||||
| Investments in Securities: | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Assets: | ||||||||||||||||
Common Stocks: | ||||||||||||||||
Energy | $ | 83,566,075 | $ | 52,730,825 | $ | – 0 | – | $ | 136,296,900 | |||||||
Materials | 31,922,054 | 34,711,809 | 321,468 | 66,955,331 | ||||||||||||
Equity: Other | 21,344,574 | 44,237,423 | – 0 | – | 65,581,997 | |||||||||||
Retail | 26,035,332 | 15,849,307 | 3,620,751 | 45,505,390 | ||||||||||||
Residential | 22,326,734 | 5,884,077 | – 0 | – | 28,210,811 | |||||||||||
Office | 17,083,123 | 8,050,867 | – 0 | – | 25,133,990 | |||||||||||
Industrials | 8,668,110 | 6,261,922 | – 0 | – | 14,930,032 | |||||||||||
Lodging | 8,653,792 | 5,139,170 | – 0 | – | 13,792,962 | |||||||||||
Food Beverage & Tobacco | 3,083,430 | – 0 | – | – 0 | – | 3,083,430 | ||||||||||
Inflation-Linked Securities | – 0 | – | 82,006,781 | – 0 | – | 82,006,781 | ||||||||||
Options Purchased – Puts | 885,675 | – 0 | – | – 0 | – | 885,675 | ||||||||||
Option Purchased – Call | – 0 | – | 224,751 | – 0 | – | 224,751 | ||||||||||
Short-Term Investments: | ||||||||||||||||
Investment Companies | 46,136,848 | – 0 | – | – 0 | – | 46,136,848 | ||||||||||
U.S. Treasury Bills | – 0 | – | 67,398,295 | – 0 | – | 67,398,295 | ||||||||||
Investments of Cash Collateral for Security Loaned in Affiliated Money Market Fund | 9,988,082 | – 0 | – | – 0 | – | 9,988,082 | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Investments in Securities | 279,693,829 | 322,495,227 | + | 3,942,219 | 606,131,275 | |||||||||||
Other Financial Instruments**: | ||||||||||||||||
Assets: | ||||||||||||||||
Futures Contracts | 1,781,649 | – 0 | – | – 0 | – | 1,781,649 | # | |||||||||
Forward Currency Exchange Contracts | – 0 | – | 2,136,205 | – 0 | – | 2,136,205 | ||||||||||
Total Return Swap Contracts | – 0 | – | 4,245,942 | – 0 | – | 4,245,942 | ||||||||||
Liabilities: | ||||||||||||||||
Futures Contracts | (443,324 | ) | – 0 | – | – 0 | – | (443,324 | )# | ||||||||
Forward Currency Exchange Contracts | – 0 | – | (3,031,716 | ) | – 0 | – | (3,031,716 | ) | ||||||||
Put Options Written | (354,900 | ) | – 0 | – | – 0 | – | (354,900 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Total | $ | 280,677,254 | $ | 325,845,658 | $ | 3,942,219 | $ | 610,465,131 | ||||||||
|
|
|
|
|
|
|
| |||||||||
| ALLIANCEBERNSTEIN POOLING PORTFOLIOS • | 225 |
Notes to Financial Statements
| Volatility Management Portfolio | ||||||||||||||||
| Investments in Securities: | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Assets: | ||||||||||||||||
Common Stocks: | ||||||||||||||||
Information Technology | $ | 40,788,988 | $ | – 0 | – | $ | – 0 | – | $ | 40,788,988 | ||||||
Equity: Other | 13,260,914 | 20,321,565 | – 0 | – | 33,582,479 | |||||||||||
Financials | 25,376,592 | 2,677,820 | – 0 | – | 28,054,412 | |||||||||||
Industrials | 24,000,586 | 1,867,280 | – 0 | – | 25,867,866 | |||||||||||
Energy | 24,415,160 | – 0 | – | – 0 | – | 24,415,160 | ||||||||||
Health Care | 22,957,534 | – 0 | – | – 0 | – | 22,957,534 | ||||||||||
Consumer Discretionary | 21,952,953 | – 0 | – | – 0 | – | 21,952,953 | ||||||||||
Consumer Staples | 21,830,766 | – 0 | – | – 0 | – | 21,830,766 | ||||||||||
Retail | 11,918,988 | 7,942,178 | – 0 | – | 19,861,166 | |||||||||||
Residential | 10,655,344 | 2,912,832 | – 0 | – | 13,568,176 | |||||||||||
Office | 6,211,619 | 6,299,549 | – 0 | – | 12,511,168 | |||||||||||
Materials | 7,194,375 | – 0 | – | – 0 | – | 7,194,375 | ||||||||||
Utilities | 6,915,143 | – 0 | – | – 0 | – | 6,915,143 | ||||||||||
Telecommunication Services | 5,494,777 | – 0 | – | – 0 | – | 5,494,777 | ||||||||||
Lodging | 2,912,194 | 98,937 | – 0 | – | 3,011,131 | |||||||||||
Investment Companies | 144,603,727 | 55,212 | – 0 | – | 144,658,939 | |||||||||||
Options Purchased – Calls | – 0 | – | 265,587 | – 0 | – | 265,587 | ||||||||||
Warrants | – 0 | – | – 0 | – | – 0 | –^ | – 0 | – | ||||||||
Rights | – 0 | – | – 0 | – | – 0 | –^ | – 0 | – | ||||||||
Short-Term Investments | 1,376,439,264 | – 0 | – | – 0 | – | 1,376,439,264 | ||||||||||
Investments of Cash Collateral for Security Loaned in Affiliated Money Market Fund | 5,610,052 | – 0 | – | – 0 | – | 5,610,052 | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Investments in Securities | 1,772,538,976 | 42,440,960 | + | – 0 | – | 1,814,979,936 | ||||||||||
Other Financial Instruments**: | ||||||||||||||||
Assets: | ||||||||||||||||
Futures Contracts | 45,801,175 | – 0 | – | – 0 | – | 45,801,175 | # | |||||||||
Forward Currency Exchange Contracts | – 0 | – | 3,609,088 | – 0 | – | 3,609,088 | ||||||||||
Total Return Swap Contracts | – 0 | – | 701,818 | – 0 | – | 701,818 | ||||||||||
Liabilities: | ||||||||||||||||
Futures Contracts | (23,862 | ) | – 0 | – | – 0 | – | (23,862 | )# | ||||||||
Forward Currency Exchange Contracts | – 0 | – | (6,554,640 | ) | – 0 | – | (6,554,640 | ) | ||||||||
Total Return Swap Contracts | – 0 | – | (353,636 | ) | – 0 | – | (353,636 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Total | $ | 1,818,316,289 | $ | 39,843,590 | $ | – 0 | – | $ | 1,858,159,879 | |||||||
|
|
|
|
|
|
|
| |||||||||
| ^ | The Portfolio held securities with zero market value at period end. |
| * | See Portfolio of Investments for sector classifications. |
| ** | Other financial instruments are derivative instruments, such as futures, forwards and swap contracts, which are valued at the unrealized appreciation/depreciation on the instrument. |
| 226 | • ALLIANCEBERNSTEIN POOLING PORTFOLIOS |
Notes to Financial Statements
| *** | Consolidated (see Note A). |
| + | A significant portion of the Portfolio 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 A.1. |
| # | Only variation margin receivable/payable at period end is reported within the statement of assets and liabilities. This amount reflects cumulative appreciation/(depreciation) of futures contracts as reported in the portfolio of investments. |
Following is a reconciliation of investments in which significant unobservable inputs (Level 3) were used in determining fair value. The transfers between levels of the fair value hierarchy assumes the financial instrument was transferred at the beginning of the reporting period.
Short Duration Bond | Asset- Backed Securities | Commercial Mortgage- Backed Securities | Collateralized Mortgage Obligations | |||||||||
Balance as of 8/31/11 | $ | 21,463,661 | $ | 30,986,926 | $ | 16,186,730 | ||||||
Accrued discounts/(premiums) | 1,622 | 254 | (28,632 | ) | ||||||||
Realized gain (loss) | (8,864,804 | ) | (1,986,702 | ) | (3,664,930 | ) | ||||||
Change in unrealized appreciation/depreciation | 8,401,295 | 816,970 | 3,103,088 | |||||||||
Purchases | 3,510,000 | – 0 | – | 25,060,973 | ||||||||
Sales | (7,283,372 | ) | (4,529,862 | ) | (15,165,616 | ) | ||||||
Transfers in to Level 3 | 14,109,362 | – 0 | – | 571,379 | ||||||||
Transfers out of Level 3 | – 0 | – | – 0 | – | – 0 | – | ||||||
|
|
|
|
|
| |||||||
Balance as of 2/29/12 | $ | 31,337,764 | $ | 25,287,586 | $ | 26,062,992 | ||||||
|
|
|
|
|
| |||||||
Net change in unrealized appreciation/depreciation from Investments held as of 2/29/12* | $ | 7,449 | $ | (349,240 | ) | $ | (250,644 | ) | ||||
|
|
|
|
|
| |||||||
| Total | ||||
Balance as of 8/31/11 | $ | 68,637,317 | ||
Accrued discounts/(premiums) | (26,756 | ) | ||
Realized gain (loss) | (14,516,436 | ) | ||
Change in unrealized appreciation/depreciation | 12,321,353 | |||
Purchases | 28,570,973 | |||
Sales | (26,978,850 | ) | ||
Transfers in to Level 3 | 14,680,741 | |||
Transfers out of Level 3 | – 0 | – | ||
|
| |||
Balance as of 2/29/12 | $ | 82,688,342 | ||
|
| |||
Net change in unrealized appreciation/depreciation from Investments held as of 2/29/12* | $ | (592,435 | ) | |
|
| |||
| ALLIANCEBERNSTEIN POOLING PORTFOLIOS • | 227 |
Notes to Financial Statements
Global Core Bond Portfolio | Asset- Backed Securities | Commercial Mortgage- Backed Securities | Collateralized Mortgage Obligations | |||||||||
Balance as of 8/31/11 | $ | 8,643,573 | $ | 18,537,925 | $ | 9,320,078 | ||||||
Accrued discounts/(premiums) | 313 | (41,302 | ) | 245 | ||||||||
Realized gain (loss) | 663 | 431,694 | (886,300 | ) | ||||||||
Change in unrealized appreciation/depreciation | 184,076 | 118,357 | 1,113,369 | |||||||||
Purchases | 1,407,710 | – 0 | – | – 0 | – | |||||||
Sales | (1,650,665 | ) | (6,918,953 | ) | (1,811,643 | ) | ||||||
Transfers in to Level 3 | – 0 | – | – 0 | – | 287,322 | |||||||
Transfers out of Level 3 | – 0 | – | – 0 | – | – 0 | – | ||||||
|
|
|
|
|
| |||||||
Balance as of 2/29/12 | $ | 8,585,670 | $ | 12,127,721 | $ | 8,023,071 | ||||||
|
|
|
|
|
| |||||||
Net change in unrealized appreciation/depreciation from Investments held as of 2/29/12* | $ | 184,076 | $ | 487,207 | $ | 265,763 | ||||||
|
|
|
|
|
| |||||||
| Total | ||||
Balance as of 8/31/11 | $ | 36,501,576 | ||
Accrued discounts/(premiums) | (40,744 | ) | ||
Realized gain (loss) | (453,943 | ) | ||
Change in unrealized appreciation/depreciation | 1,415,802 | |||
Purchases | 1,407,710 | |||
Sales | (10,381,261 | ) | ||
Transfers in to Level 3 | 287,322 | |||
Transfers out of Level 3 | – 0 | – | ||
|
| |||
Balance as of 2/29/12 | $ | 28,736,462 | ||
|
| |||
Net change in unrealized appreciation/depreciation from Investments held as of 2/29/12* | $ | 937,046 | ||
|
| |||
| 228 | • ALLIANCEBERNSTEIN POOLING PORTFOLIOS |
Notes to Financial Statements
Bond Inflation Protection | Asset- Backed Securities | Commercial Mortgage- Backed Securities | Total | |||||||||
Balance as of 8/31/11 | $ | 1,473,812 | $ | 4,871,181 | $ | 6,344,993 | ||||||
Accrued discounts/(premiums) | 10 | (2,989 | ) | (2,979 | ) | |||||||
Realized gain (loss) | 9 | (49,938 | ) | (49,929 | ) | |||||||
Change in unrealized appreciation/depreciation | (1,343 | ) | 26,879 | 25,536 | ||||||||
Purchases | 3,772,081 | – 0 | – | 3,772,081 | ||||||||
Sales | (264,308 | ) | (4,845,133 | ) | (5,109,441 | ) | ||||||
Transfers in to Level 3 | – 0 | – | – 0 | – | – 0 | – | ||||||
Transfers out of Level 3 | – 0 | – | – 0 | – | – 0 | – | ||||||
|
|
|
|
|
| |||||||
Balance as of 2/29/12 | $ | 4,980,261 | $ | – 0 | – | $ | 4,980,261 | |||||
|
|
|
|
|
| |||||||
Net change in unrealized appreciation/depreciation from Investments held as of 2/29/12* | $ | (1,343 | ) | $ | – 0 | – | $ | (1,343 | ) | |||
|
|
|
|
|
| |||||||
High-Yield Portfolio | Corporates – Non-Investment Grades | Corporates Investment Grade | Governments – Treasuries | |||||||||
Balance as of 8/31/11 | $ | – 0 | – | $ | – 0 | – | $ | – 0 | – | |||
Accrued discounts/(premiums) | (3,030 | ) | (999 | ) | 844 | |||||||
Realized gain (loss) | 28 | – 0 | – | – 0 | – | |||||||
Change in unrealized appreciation/depreciation | 172,420 | (8,506 | ) | (1,887 | ) | |||||||
Purchases | 398,393 | – 0 | – | – 0 | – | |||||||
Sales | (5,950 | ) | (690,000 | ) | – 0 | – | ||||||
Settlements | – 0 | – | – 0 | – | – 0 | – | ||||||
Transfers in to Level 3 | 2,247,471 | 1,778,435 | 571,404 | |||||||||
Transfers out of Level 3 | – 0 | – | – 0 | – | – 0 | – | ||||||
|
|
|
|
|
| |||||||
Balance as of 2/29/12 | $ | 2,809,332 | $ | 1,078,930 | $ | 570,361 | ||||||
|
|
|
|
|
| |||||||
Net change in unrealized appreciation/depreciation from Investments held as of 2/29/12* | $ | 172,778 | $ | (8,506 | ) | $ | (1,887 | ) | ||||
|
|
|
|
|
| |||||||
| ALLIANCEBERNSTEIN POOLING PORTFOLIOS • | 229 |
Notes to Financial Statements
| Emerging Markets – Corporate Bonds | Bank Loans | Commercial Mortgage- Backed Securities | ||||||||||
Balance as of 8/31/11 | $ | – 0 | – | $ | 10,343,363 | $ | 8,359,213 | |||||
Accrued discounts/(premiums) | (404 | ) | 83,091 | 57,564 | ||||||||
Realized gain (loss) | – 0 | – | (224,119 | ) | 346,612 | |||||||
Change in unrealized appreciation/depreciation | 21,674 | 328,410 | (12,353 | ) | ||||||||
Purchases | 204,500 | 7,177,877 | – 0 | – | ||||||||
Sales | – 0 | – | (7,797,399 | ) | (3,180,731 | ) | ||||||
Settlements | – 0 | – | – 0 | – | – 0 | – | ||||||
Transfers in to Level 3 | 206,970 | – 0 | – | – 0 | – | |||||||
Transfers out of Level 3 | – 0 | – | – 0 | – | – 0 | – | ||||||
|
|
|
|
|
| |||||||
Balance as of 2/29/12 | $ | 432,740 | $ | 9,911,223 | $ | 5,570,305 | ||||||
|
|
|
|
|
| |||||||
Net change in unrealized appreciation/depreciation from Investments held as of 2/29/12* | $ | 21,674 | $ | (7,998 | ) | $ | 362,677 | |||||
|
|
|
|
|
| |||||||
| Asset- Backed Securities | Collateralized Mortgage Obligations | Common Stocks | ||||||||||
Balance as of 8/31/11 | $ | 4,150,561 | $ | 3,199,181 | $ | 1,177,497 | ||||||
Accrued discounts/(premiums) | 43,683 | 27,311 | – 0 | – | ||||||||
Realized gain (loss) | (3,804 | ) | (89,357 | ) | – 0 | – | ||||||
Change in unrealized appreciation/depreciation | (147,550 | ) | 6,870 | (8,103 | ) | |||||||
Purchases | – 0 | – | – 0 | – | – 0 | – | ||||||
Sales | (81,342 | ) | (1,294,139 | ) | – 0 | – | ||||||
Settlements | – 0 | – | – 0 | – | – 0 | – | ||||||
Transfers in to Level 3 | – 0 | – | – 0 | – | – 0 | – | ||||||
Transfers out of Level 3 | – 0 | – | – 0 | – | – 0 | – | ||||||
|
|
|
|
|
| |||||||
Balance as of 2/29/12 | $ | 3,961,548 | $ | 1,849,866 | $ | 1,169,394 | ||||||
|
|
|
|
|
| |||||||
Net change in unrealized appreciation/depreciation from Investments held as of 2/29/12* | $ | (147,550 | ) | $ | (63,646 | ) | $ | (8,103 | ) | |||
|
|
|
|
|
| |||||||
| 230 | • ALLIANCEBERNSTEIN POOLING PORTFOLIOS |
Notes to Financial Statements
| Option Purchased – Puts | Option Purchased – Call | Warrants^ | ||||||||||
Balance as of 8/31/11 | $ | 70,508 | $ | 42,334 | $ | – 0 | – | |||||
Accrued discounts/(premiums) | – 0 | – | – 0 | – | – 0 | – | ||||||
Realized gain (loss) | (88,740 | ) | (234,050 | ) | – 0 | – | ||||||
Change in unrealized appreciation/depreciation | 18,269 | 191,716 | – 0 | – | ||||||||
Purchases | – 0 | – | – 0 | – | – 0 | – | ||||||
Sales | – 0 | – | – 0 | – | – 0 | – | ||||||
Settlements | – 0 | – | – 0 | – | – 0 | – | ||||||
Transfers in to Level 3 | – 0 | – | – 0 | – | – 0 | – | ||||||
Transfers out of Level 3 | – 0 | – | – 0 | – | – 0 | – | ||||||
|
|
|
|
|
| |||||||
Balance as of 2/29/12 | $ | 37 | $ | – 0 | – | $ | – 0 | – | ||||
|
|
|
|
|
| |||||||
Net change in unrealized appreciation/depreciation from Investments held as of 2/29/12* | $ | (46,460 | ) | $ | – 0 | – | $ | – 0 | – | |||
|
|
|
|
|
| |||||||
| Credit Default Swaptions Written | Credit Default Swap Contracts | Unfunded Loan Commitments | ||||||||||
Balance as of 8/31/11 | $ | (23,659 | ) | $ | 409,234 | $ | (141,844 | ) | ||||
Accrued discounts/(premiums) | – 0 | – | – 0 | – | 12,545 | |||||||
Realized gain (loss) | 220,100 | 999,365 | – 0 | – | ||||||||
Change in unrealized appreciation/depreciation | 1,193,833 | 1,594,060 | (5,367 | ) | ||||||||
Purchases | – 0 | – | – 0 | – | – 0 | – | ||||||
Sales | (1,739,672 | ) | (2,057,375 | ) | – 0 | – | ||||||
Settlements | – 0 | – | (278,900 | ) | – 0 | – | ||||||
Transfers in to Level 3 | – 0 | – | (863,935 | ) | – 0 | – | ||||||
Transfers out of Level 3 | – 0 | – | – 0 | – | – 0 | – | ||||||
|
|
|
|
|
| |||||||
Balance as of 2/29/12 | $ | (349,398 | ) | $ | (197,551 | ) | $ | (134,666 | ) | |||
|
|
|
|
|
| |||||||
Net change in unrealized appreciation/depreciation from Investments held as of 2/29/12* | $ | 1,390,273 | $ | 2,275,294 | $ | (5,367 | ) | |||||
|
|
|
|
|
| |||||||
| ALLIANCEBERNSTEIN POOLING PORTFOLIOS • | 231 |
Notes to Financial Statements
| Total | ||||
Balance as of 8/31/11 | $ | 27,586,388 | ||
Accrued discounts/(premiums) | 220,605 | |||
Realized gain (loss) | 926,035 | |||
Change in unrealized appreciation/depreciation | 3,343,486 | |||
Purchases | 7,780,770 | |||
Sales | (16,846,608 | ) | ||
Settlements | (278,900 | ) | ||
Transfers in to Level 3 | 3,940,345 | |||
Transfers out of Level 3 | – 0 | – | ||
|
| |||
Balance as of 2/29/12 | $ | 26,672,121 | ||
|
| |||
Net change in unrealized appreciation/depreciation from Investments held as of 2/29/12* | $ | 3,933,179 | ||
|
| |||
Multi-Asset Real Return | Energy | Materials | Retail | |||||||||
Balance as of 8/31/11 | $ | 2,927,738 | $ | – 0 | – | $ | – 0 | – | ||||
Accrued discounts/(premiums) | – 0 | – | – 0 | – | – 0 | – | ||||||
Realized gain (loss) | – 0 | – | – 0 | – | – 0 | – | ||||||
Change in unrealized appreciation/depreciation | – 0 | – | (276,079 | ) | 171,556 | |||||||
Purchases | – 0 | – | – 0 | – | – 0 | – | ||||||
Sales | – 0 | – | – 0 | – | – 0 | – | ||||||
Transfers in to Level 3 | – 0 | – | 597,547 | 3,449,195 | ||||||||
Transfers out of Level 3 | (2,927,738 | ) | – 0 | – | – 0 | – | ||||||
|
|
|
|
|
| |||||||
Balance as of 2/29/12 | $ | – 0 | – | $ | 321,468 | $ | 3,620,751 | |||||
|
|
|
|
|
| |||||||
Net change in unrealized appreciation/depreciation from Investments held as of 2/29/12* | $ | – 0 | – | $ | (276,079 | ) | $ | 171,556 | ||||
|
|
|
|
|
| |||||||
| Total | ||||
Balance as of 8/31/11 | $ | 2,927,738 | ||
Accrued discounts/(premiums) | – 0 | – | ||
Realized gain (loss) | – 0 | – | ||
Change in unrealized appreciation/depreciation | (104,523 | ) | ||
Purchases | – 0 | – | ||
Sales | – 0 | – | ||
Transfers in to Level 3 | 4,046,742 | |||
Transfers out of Level 3 | (2,927,738 | ) | ||
|
| |||
Balance as of 2/29/12 | $ | 3,942,219 | ||
|
| |||
Net change in unrealized appreciation/depreciation from Investments held as of 2/29/12* | $ | (104,523 | ) | |
|
| |||
| 232 | • ALLIANCEBERNSTEIN POOLING PORTFOLIOS |
Notes to Financial Statements
Volatility Management Portfolio | Warrants^ | Rights^ | Total | |||||||||
Balance as of 8/31/11 | $ | – 0 | – | $ | – 0 | – | $ | – 0 | – | |||
Accrued discounts/(premiums) | – 0 | – | – 0 | – | – 0 | – | ||||||
Realized gain (loss) | – 0 | – | – 0 | – | – 0 | – | ||||||
Change in unrealized appreciation/depreciation | – 0 | – | – 0 | – | – 0 | – | ||||||
Purchases | – 0 | – | – 0 | – | – 0 | – | ||||||
Sales | – 0 | – | – 0 | – | – 0 | – | ||||||
Transfers in to Level 3 | – 0 | – | – 0 | – | – 0 | – | ||||||
Transfers out of Level 3 | – 0 | – | – 0 | – | – 0 | – | ||||||
|
|
|
|
|
| |||||||
Balance as of 2/29/12 | $ | – 0 | – | $ | – 0 | – | $ | – 0 | – | |||
|
|
|
|
|
| |||||||
Net change in unrealized appreciation/depreciation from Investments held as of 2/29/12* | $ | – 0 | – | $ | – 0 | – | $ | – 0 | – | |||
|
|
|
|
|
| |||||||
| * | The unrealized appreciation/depreciation is included in net change in unrealized appreciation/depreciation of investments in the accompanying statement of operations. |
| ^ | The Portfolio held securities with zero market value at period end. |
3. Currency Translation
Assets and liabilities denominated in foreign currencies and commitments under forward currency exchange contracts are translated into U.S. dollars at the mean of the quoted bid and ask prices of such currencies against the U.S. dollar. Purchases and sales of portfolio securities are translated into U.S. dollars at the rates of exchange prevailing when such securities were acquired or sold. Income and expenses are translated into U.S. dollars at rates of exchange prevailing when accrued.
Net realized gain or loss on foreign currency transactions represents foreign exchange gains and losses from sales and maturities of foreign fixed income investments, foreign currency exchange contracts, holding of foreign currencies, currency gains or losses realized between the trade and settlement dates on foreign investment transactions, and the difference between the amounts of dividends, interest and foreign withholding taxes recorded on the Portfolios’ books and the U.S. dollar equivalent amounts actually received or paid. Net unrealized currency gains and losses from valuing foreign currency denominated assets and liabilities at period end exchange rates are reflected as a component of net unrealized appreciation or depreciation of investments and foreign currency denominated assets and liabilities.
4. Taxes
It is each Portfolios’ policy to meet the requirements of the Internal Revenue Code applicable to regulated investment companies and to distribute all of its investment company taxable income and net realized gains, if any, to shareholders. Therefore, no provisions for federal income or excise taxes are required. 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.
| ALLIANCEBERNSTEIN POOLING PORTFOLIOS • | 233 |
Notes to Financial Statements
If, during a taxable year, the Subsidiary’s taxable losses (and other deductible items) exceed its income and gains, the net loss will not pass through to the Multi-Asset Real Return Portfolio as a deductible amount for Federal income tax purposes. Note that the loss from the Subsidiary contemplated activities also cannot be carried forward to reduce future Subsidiary’s income in subsequent years. However, if the Subsidiary’s taxable gains exceed its losses and other deductible items during a taxable year, the net gain will pass through to the Portfolio as income for Federal income tax purposes.
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, as applicable) and has concluded that no provision for income tax is required in the Portfolios’ financial statements.
5. Investment Income and Investment Transactions
Dividend income is recorded on the ex-dividend date or as soon as a Portfolio is informed of the dividend. Interest income is accrued daily. Investment transactions are accounted for on the date the securities are purchased or sold. Investment gains or losses are determined on the identified cost basis. The Portfolios amortize premiums and accrete discounts as adjustments to interest income.
6. Expenses
Certain expenses of the Trust are charged to each Portfolio in proportion to each Portfolio’s respective net assets, while other expenses of the Trust are distributed equally among the Portfolios.
7. Dividends and Distributions
Dividends and distributions to shareholders, if any, are recorded on the ex-dividend date. Income dividends and capital gains distributions are determined in accordance with federal tax regulations and may differ from those determined in accordance with U.S. GAAP. To the extent these differences are permanent, such amounts are reclassified within the capital accounts based on their federal tax basis treatment; temporary differences do not require such reclassification.
NOTE B
Advisory Fee and Other Transactions with Affiliates
The Trust has entered into an advisory agreement (the “Advisory Agreement”) with the Adviser. Under the terms of the Advisory Agreement, the Portfolios pay no advisory fees to the Adviser. The Adviser serves as investment manager and adviser of each of the Portfolios and continuously furnishes an investment program for each Portfolio and manages, supervises and conducts the affairs of each Portfolio, subject to the supervision of the Trust’s Board of Trustees. The
| 234 | • ALLIANCEBERNSTEIN POOLING PORTFOLIOS |
Notes to Financial Statements
Advisory Agreement provides that the Adviser or an affiliate will furnish, or pay the expenses of the Trust for, office space, facilities and equipment, services of executive and other personnel of the Trust and certain administrative services. The Adviser has agreed to bear certain expenses to the extent necessary to limit the total portfolio operating expenses to .15% of average daily net assets for the Volatility Management Portfolio. For the six months ended February 29, 2012, there was no such reimbursement.
The Subsidiary has entered into a separate agreement with the Adviser for the management of the Subsidiary’s portfolio. The Adviser receives no compensation from the Subsidiary for its services under the agreement.
The Adviser reimbursed the High-Yield Portfolio $1,035 and $3,487 for trading losses incurred due to a trade entry error during the six months ended February 29, 2012 and the year ended August 31, 2011, respectively.
The Trust has entered into a distribution agreement (the “Distribution Agreement”) on behalf of each Portfolio with AllianceBernstein Investments, Inc., a wholly-owned subsidiary of the Adviser, the Portfolios’ principal underwriter (the “Underwriter”), to permit the Underwriter to distribute the Portfolios’ shares, which are sold at the net asset value without any sales charge.
Under the Distribution Agreement, the Trust is responsible for all expenses of the Portfolios, including, for example, certain administrative services, costs of printing Portfolio prospectuses and other reports to shareholders, any taxes levied against the Portfolios and brokerage fees and commissions in connection with the purchase and sale of portfolio securities, but not expenses incurred in promoting the sale of the Portfolios’ shares, which are borne by the Underwriter.
AllianceBernstein Investor Services, Inc. (“ABIS”), a wholly-owned subsidiary of the Adviser, acts as the Portfolios’ registrar, transfer agent and dividend-disbursing agent.
The Portfolios may invest in the AllianceBernstein Fixed-Income Shares, Inc. – Government STIF Portfolio (“Government STIF Portfolio”), an open-end management investment company managed by the Adviser. The Government STIF Portfolio is offered as a cash management option to mutual funds and other institutional accounts of the Adviser, and is not available for direct purchase by members of the public. The Government STIF Portfolio pays no investment management fees but does bear its own expenses. A summary of the
| ALLIANCEBERNSTEIN POOLING PORTFOLIOS • | 235 |
Notes to Financial Statements
Portfolios’ transactions in shares of the Government STIF Portfolio for the six months ended February 29, 2012 is as follows:
| Portfolio | Market Value August 31, (000) | Purchases at Cost (000) | Sales Proceeds (000) | Market February 29, (000) | Dividend Income (000) | |||||||||||||||
U.S. Value | $ | 42,922 | $ | 244,558 | $ | 266,426 | $ | 21,054 | $ | 10 | ||||||||||
U.S. Large Cap Growth | 4,459 | 197,943 | 184,640 | 17,762 | 8 | |||||||||||||||
International Value | 10,264 | 160,205 | 164,612 | 5,857 | 4 | |||||||||||||||
International Growth | 4,217 | 189,314 | 192,170 | 1,361 | 6 | |||||||||||||||
Short Duration Bond | 25,697 | 225,284 | 226,117 | 24,864 | 15 | |||||||||||||||
Global Core Bond | 104,235 | 424,063 | 474,955 | 53,343 | 40 | |||||||||||||||
Bond Inflation Protection | 23,960 | 215,442 | 239,402 | – 0 | – | 4 | ||||||||||||||
High-Yield | 5,662 | 107,678 | 105,300 | 8,040 | 10 | |||||||||||||||
Small-Mid Cap Value | 7,130 | 74,465 | 78,152 | 3,443 | 3 | |||||||||||||||
Small-Mid Cap Growth | 6,402 | 91,905 | 92,692 | 5,615 | 3 | |||||||||||||||
Multi-Asset Real Return | 4,896 | 225,106 | 183,865 | 46,137 | 9 | |||||||||||||||
Volatility Management | 180,151 | 1,434,442 | 238,154 | 1,376,439 | 313 | |||||||||||||||
Brokerage commissions paid on investment transactions and brokerage commissions paid to Sanford C. Bernstein & Co. LLC and Sanford C. Bernstein Limited, affiliates of the Adviser, for the six months ended February 29, 2012 were as follows:
| Portfolio | Total Commissions | Sanford C. Bernstein & Co. LLC | Sanford C. Bernstein Limited | |||||||||
U.S. Value | $ | 1,198,883 | $ | – 0 | – | $ | – 0 | – | ||||
U.S. Large Cap Growth | 848,044 | – 0 | – | – 0 | – | |||||||
International Value | 789,041 | – 0 | – | 1,109 | ||||||||
International Growth | 1,215,652 | – 0 | – | 71 | ||||||||
Short Duration Bond | 15,614 | – 0 | – | – 0 | – | |||||||
Global Core Bond | 1,651 | – 0 | – | – 0 | – | |||||||
Bond Inflation Protection | 5,835 | – 0 | – | – 0 | – | |||||||
High-Yield | 13,227 | – 0 | – | – 0 | – | |||||||
Small-Mid Cap Value | 563,867 | – 0 | – | – 0 | – | |||||||
Small-Mid Cap Growth | 362,776 | – 0 | – | – 0 | – | |||||||
Multi-Asset Real Return | 579,170 | – 0 | – | – 0 | – | |||||||
Volatility Management | 210,207 | – 0 | – | – 0 | – | |||||||
| 236 | • ALLIANCEBERNSTEIN POOLING PORTFOLIOS |
Notes to Financial Statements
NOTE C
Investment Transactions
Purchases and sales of investment securities (excluding U.S. government securities and short-term investments) for the six months ended February 29, 2012, were as follows:
| Portfolio | Purchases | Sales | ||||||
U.S. Value | $ | 328,564,268 | $ | 1,073,149,331 | ||||
U.S. Large Cap Growth | 469,046,751 | 1,349,531,504 | ||||||
International Value | 457,848,122 | 351,366,783 | ||||||
International Growth | 634,785,008 | 529,206,368 | ||||||
Short Duration Bond | 143,250,502 | 362,994,314 | ||||||
Global Core Bond | 631,894,873 | 281,319,751 | ||||||
Bond Inflation Protection | 112,182,088 | 148,691,272 | ||||||
High-Yield | 69,122,845 | 136,943,636 | ||||||
Small-Mid Cap Value | 129,521,038 | 302,471,792 | ||||||
Small-Mid Cap Growth | 131,808,683 | 335,698,349 | ||||||
Multi-Asset Real Return | 250,656,018 | 473,974,333 | ||||||
Volatility Management | 481,961,073 | 103,492,573 | ||||||
Purchases and sales of U.S. government securities for the six months ended February 29, 2012, were as follows:
| Portfolio | Purchases | Sales | ||||||
U.S. Value | $ | – 0 | – | $ | – 0 | – | ||
U.S. Large Cap Growth | – 0 | – | – 0 | – | ||||
International Value | – 0 | – | – 0 | – | ||||
International Growth | – 0 | – | – 0 | – | ||||
Short Duration Bond | 448,436,104 | 478,685,786 | ||||||
Global Core Bond | 675,194,831 | 1,097,776,320 | ||||||
Bond Inflation Protection | 287,655,657 | 152,634,197 | ||||||
High-Yield | 16,597,436 | 5,293,786 | ||||||
Small-Mid Cap Value | – 0 | – | – 0 | – | ||||
Small-Mid Cap Growth | – 0 | – | – 0 | – | ||||
Multi-Asset Real Return | 232,914,208 | 463,284,479 | ||||||
Volatility Management | 188,150,861 | 239,474,174 | ||||||
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 (excluding futures, foreign currency and swap transactions) are as follows:
| Gross Unrealized | Net Unrealized Appreciation | |||||||||||
Portfolio | Appreciation | (Depreciation) | ||||||||||
U.S. Value | $ | 177,167,661 | $ | (34,650,578 | ) | $ | 142,517,083 | |||||
U.S. Large Cap Growth | 265,133,693 | (3,027,281 | ) | 262,106,412 | ||||||||
International Value | 109,739,463 | (77,184,848 | ) | 32,554,615 | ||||||||
International Growth | 111,375,154 | (36,483,888 | ) | 74,891,266 | ||||||||
Short Duration Bond | 7,055,825 | (2,853,114 | ) | 4,202,711 | ||||||||
Global Core Bond | 51,050,137 | (20,364,438 | ) | 30,685,699 | ||||||||
Bond Inflation Protection | 70,840,923 | (425,589 | ) | 70,415,334 | ||||||||
High-Yield | 35,117,297 | (16,863,315 | ) | 18,253,982 | ||||||||
Small-Mid Cap Value | 47,346,789 | (11,919,969 | ) | 35,426,820 | ||||||||
Small-Mid Cap Growth | 105,106,151 | (2,313,846 | ) | 102,792,305 | ||||||||
Multi-Asset Real Return | 45,948,519 | (7,328,816 | ) | 38,619,703 | ||||||||
Volatility Management | 16,365,380 | (6,028,325 | ) | 10,337,055 | ||||||||
| ALLIANCEBERNSTEIN POOLING PORTFOLIOS • | 237 |
Notes to Financial Statements
1. Derivative Financial Instruments
Certain Portfolios 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 Contracts |
Certain Portfolios may buy or sell futures contracts for investment purposes or for the purpose of hedging their Portfolios against adverse effects of potential movements in the market or for investment purposes. 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 contracts 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 contracts 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 a futures contract, the Portfolio deposits and maintains as collateral an initial margin with the broker, as required by the exchange on which the transaction is effected. 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 contracts is generally less than privately negotiated futures contracts, since the clearinghouse, which is the issuer or counterparty to each exchange-traded future, provides a guarantee of performance. This guarantee is supported by a daily payment system (i.e., margin requirements). 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 contracts 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 contracts. Use of short futures contracts subjects the Portfolio to unlimited risk of loss. Under some circumstances, futures exchanges may establish daily limits on the amount that the price of a futures contract can vary from the previous day’s settlement price, which could effectively prevent liquidation of unfavorable positions.
| 238 | • ALLIANCEBERNSTEIN POOLING PORTFOLIOS |
Notes to Financial Statements
During the six months ended February 29, 2012 the International Growth Portfolio and High-Yield Portfolio held futures for hedging purposes and International Value Portfolio for non-hedging purposes. Short Duration Bond Portfolio, Global Core Bond Portfolio, Bond Inflation Protection Portfolio, Multi-Asset Real Return Portfolio and Volatility Management Portfolio held futures for hedging and non-hedging purposes.
| • | Forward Currency Exchange Contracts |
Certain Portfolios may enter into forward currency exchange contracts in order to hedge their exposure to changes in foreign currency exchange rates on their foreign portfolio holdings, to hedge certain firm purchase and sale commitments denominated in foreign currencies and for non-hedging purposes as a means of making direct investments in foreign currencies, as described below under “Currency Transactions”.
A forward currency exchange contract is a commitment to purchase or sell a foreign currency at a future date at a negotiated forward rate. 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. The face or contract amount, in U.S. dollars reflects the total exposure the Portfolio has in that particular currency contract.
During the six months ended February 29, 2012, the International Value Portfolio, International Growth Portfolio, Bond Inflation Protection Portfolio, High-Yield Portfolio and Multi-Asset Real Return Portfolio held forward currency exchange contracts for hedging and non-hedging purposes. Volatility Management Portfolio, Short Duration Bond Portfolio and Global Core Bond Portfolio held forward currency exchange contracts for hedging purposes.
| • | Option Transactions |
For hedging and investment purposes, certain Portfolios may purchase and write (sell) put and call options on U.S. and foreign securities, including government securities, and foreign currencies that are traded on U.S. and foreign securities exchanges and over-the-counter markets. Among other things, the Portfolio may use options transactions for non-hedging purposes as a means of making direct investments in foreign currencies, as described below under “Currency Transactions” and may use options strategies involving the purchase and/or writing of various combinations of call and/or put options, for hedging and investment purposes.
| ALLIANCEBERNSTEIN POOLING PORTFOLIOS • | 239 |
Notes to Financial Statements
The risk associated with purchasing an option is that the Portfolio pays a premium whether or not the option is exercised. Additionally, the Portfolio bears the risk of loss of the premium and change in market value should the counterparty not perform under the contract. Put and call options purchased are accounted for in the same manner as portfolio securities. The cost of securities acquired through the exercise of call options is increased by premiums paid. The proceeds from securities sold through the exercise of put options are decreased by the premiums paid.
When the Portfolio writes an option, the premium received by the Portfolio is recorded as a liability and is subsequently adjusted to the current market value of the option written. Premiums received from written options which expire unexercised are recorded by the Portfolio on the expiration date as realized gains from options written. The difference between the premium received and the amount paid on effecting a closing purchase transaction, including brokerage commissions, is also treated as a realized gain, or if the premium received is less than the amount paid for the closing purchase transaction, as a realized loss. If a call option is exercised, the premium received is added to the proceeds from the sale of the underlying security or currency in determining whether the Portfolio has realized a gain or loss. If a put option is exercised, the premium received reduces the cost basis of the security or currency purchased by the Portfolio. In writing an option, the Portfolio bears the market risk of an unfavorable change in the price of the security or currency underlying the written option. Exercise of an option written by the Portfolio could result in the Portfolio selling or buying a security or currency at a price different from the current market value.
A Portfolio may also invest in options on swap agreements, also called “swaptions”. A swaption is an option that gives the buyer the right, but not the obligation, to enter into a swap on a future date in exchange for paying a market-based “premium”. A receiver swaption gives the owner the right to receive the total return of a specified asset, reference rate, or index. A payer swaption gives the owner the right to pay the total return on a specified asset, reference rate, or index. Swaptions also include options that allow an existing swap to be terminated or extended by one of the counterparties.
During the six months ended February 29, 2012, the Multi-Asset Real Return Portfolio and Volatility Management Portfolio held purchased options for hedging and non-hedging purposes; the High-Yield Portfolio held written options, swaptions and purchased options for hedging purposes and the Multi-Asset Real Return Portfolio held written options for hedging and non-hedging purposes.
| 240 | • ALLIANCEBERNSTEIN POOLING PORTFOLIOS |
Notes to Financial Statements
For the six months ended February 29, 2012, the High-Yield Portfolio and Multi-Asset Real Return Portfolio had the following transactions in written options:
| High–Yield Portfolio | Number of Contracts | Premiums Received | ||||||
Options written outstanding as of 8/31/11 | 62,000,000 | $ | 220,100 | |||||
Options written | 75,935,000 | 2,614,158 | ||||||
Options expired | (93,790,000 | ) | (1,094,586 | ) | ||||
Options bought back | – 0 | – | – 0 | – | ||||
Options exercised | – 0 | – | – 0 | – | ||||
|
|
|
| |||||
Options written outstanding as of 2/29/12 | 44,145,000 | $ | 1,739,672 | |||||
|
|
|
| |||||
| • | Swap Agreements |
Certain Portfolios may enter into swaps to hedge their exposure to interest rates, credit risk, equity markets, currencies or other underlying asset classes. The Portfolio 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” or in order to take a “long” or “short” position with respect to an underlying referenced asset described below under “Total Return Swaps”. 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 swap agreements 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 agreement.
Risks may arise as a result of the failure of the counterparty to the swap contract to comply with the terms of the swap contract. 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 contract 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 swap contracts on a daily basis, with the net amount recorded within unrealized appreciation/depreciation of swap contracts 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
| ALLIANCEBERNSTEIN POOLING PORTFOLIOS • | 241 |
Notes to Financial Statements
statement of operations, in addition to any realized gain/(loss) recorded upon the termination of swap contracts. Fluctuations in the value of swap contracts are recorded as a component of net change in unrealized appreciation/depreciation of swap contracts on the statement of operations.
Interest Rate Swaps:
The Portfolio is subject to interest rate risk exposure in the normal course of pursuing its investment objectives. Because the Portfolio holds 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 Portfolio may enter into interest rate swap contracts. Interest rate swaps are agreements between two parties to exchange cash flows based on a notional amount. The Portfolio 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 February 29, 2012, the Bond Inflation Protection Portfolio held interest rate swaps for hedging and non-hedging purposes and the High-Yield Portfolio for hedging purposes.
Credit Default Swaps:
The Portfolio may enter into credit default swaps, including to manage its exposure to the market or certain sectors of the market, to reduce its risk exposure to defaults by corporate and sovereign issuers held by the Portfolio, or to create exposure to corporate or sovereign issuers to which it is 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 agreement, the Portfolio receives/(pays) fixed payments from/(to) the respective counterparty, calculated at the agreed upon rate applied to the notional amount. The accrual for these interim payments is recorded within unrealized appreciation/depreciation of swap contracts on the statement of assets and liabilities. Upfront premiums paid or received in connection with credit default swap contracts are recognized as cost or
| 242 | • ALLIANCEBERNSTEIN POOLING PORTFOLIOS |
Notes to Financial Statements
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. If the Portfolio is a buyer/(seller) of protection and a credit event occurs, as defined under the terms of the swap agreement, 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 contract (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.
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 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.
During the six months ended February 29, 2012 the Intermediate Duration Bond Portfolio and Bond Inflation Protection Portfolio held credit default swaps for non-hedging purposes and High-Yield Portfolio for hedging and non-hedging purposes.
Implied credit spreads 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 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.
At February 29, 2012, the High-Yield Portfolio had Sale Contracts outstanding with Maximum Payout Amounts aggregating $57,497,000, with net unrealized appreciation/depreciation of $(400,101) and terms of less than 5 years, as reflected in the portfolio of investments.
In certain circumstances Maximum Payout Amounts may be partially offset by recovery values of the respective referenced obligations, upfront
| ALLIANCEBERNSTEIN POOLING PORTFOLIOS • | 243 |
Notes to Financial Statements
premium received upon entering into the agreement, or net amounts received from settlement of buy protection credit default swap agreements entered into by the Portfolio for the same reference obligation with the same counterparty.
Total Return Swaps:
The Portfolio may enter into total return swaps in order to take a “long” or “short” position with respect to an underlying referenced asset. The 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 February 29, 2012, the Multi-Asset Real Return Portfolio held total return swaps for hedging and non-hedging purposes and Volatility Management Portfolio for non-hedging purposes.
Documentation governing the Portfolios’ swap transactions may contain provisions for early termination of a swap in the event the net assets of the Portfolio decline below specific levels set forth in the documentation (“net asset contingent features”). If these levels are triggered, the Portfolios’ counterparty has the right to terminate the swap and require the Portfolio to pay or receive a settlement amount in connection with the terminated swap transaction. As of February 29, 2012, the Bond Inflation Protection Portfolio had open interest rate swap contracts with contingent features in net liability positions of $1,585,913. The fair value of assets pledged as collateral by the Portfolio for such swap contracts was $2,042,628 at February 29, 2012. As of February 29, 2012, the High-Yield Portfolio had open interest rate swap contracts and credit default swap contracts with contingent features in net liability positions of $1,983,096 and $84,400, respectively. The fair value of assets pledged as collateral by the Portfolio for such swap contracts was $3,048,742 at February 29, 2012. As of February 29, 2012, the Volatility Management Portfolio had open total return swap contracts with contingent features in net liability positions of $140,556. The fair value of assets pledged as collateral by the Portfolio for such swap contracts was $1,320,000 at February 29, 2012. If a trigger event had occurred at February 29, 2012, for those swap contracts in a net liability position, no additional amounts would be required to be posted by the Portfolio since the aggregate fair value of the required collateral posted exceeded the settlement amounts of open derivative contracts.
| 244 | • ALLIANCEBERNSTEIN POOLING PORTFOLIOS |
Notes to Financial Statements
At February 29, 2012, the Portfolios had entered into the following derivatives:
International | Asset Derivatives | Liability Derivatives | ||||||||||
| Derivative Type | Statement of Assets and Liabilities Location | Fair Value | Statement of Assets and Liabilities Location | Fair Value | ||||||||
Foreign exchange contracts | Unrealized appreciation of forward currency exchange contracts | $ | 8,633,992 |
| Unrealized depreciation of forward currency exchange contracts | $ | 5,349,745 |
| ||||
Equity contracts | Receivable/Payable for variation margin on futures contracts | 866,745 | * | |||||||||
|
|
|
| |||||||||
Total | $ | 9,500,737 | $ | 5,349,745 | ||||||||
|
|
|
| |||||||||
| * | Only variation margin receivable/payable at period end is reported within the statement of assets and liabilities. This amount reflects cumulative appreciation/(depreciation) of futures contracts as reported in the portfolio of investments. |
The effect of derivative instruments on the statement of operations for the six months ended February 29, 2012:
| Derivative Type | Location of Gain or (Loss) on Derivatives | Realized Gain or (Loss) on Derivatives | Change in Unrealized Appreciation or (Depreciation) | |||||||
Foreign exchange contracts | Net realized gain (loss) on foreign currency transactions; Net change in unrealized appreciation/depreciation of foreign currency denominated assets and liabilities | $ | 264,158 | $ | (764,178 | ) | ||||
Equity contracts | Net realized gain (loss) on futures contracts; Net change in unrealized appreciation/depreciation of futures contracts | (554,969 | ) | 1,317,836 | ||||||
|
|
|
| |||||||
Total | $ | (290,811 | ) | $ | 553,658 | |||||
|
|
|
| |||||||
For the six months ended February 29, 2012, the average monthly principal amount of foreign currency exchange contracts was $799,651,238 and the average monthly original value of futures contracts was $8,849,520.
| ALLIANCEBERNSTEIN POOLING PORTFOLIOS • | 245 |
Notes to Financial Statements
International | Asset Derivatives | Liability Derivatives | ||||||||||
| Derivative Type | Statement of Assets and Liabilities Location | Fair Value | Statement of Assets and Liabilities Location | Fair Value | ||||||||
Foreign exchange contracts | Unrealized appreciation of forward currency exchange contracts | $ | 8,433,359 |
| Unrealized depreciation of forward currency exchange contracts | $ | 13,840,888 |
| ||||
|
|
|
| |||||||||
Total | $ | 8,433,359 | $ | 13,840,888 | ||||||||
|
|
|
| |||||||||
The effect of derivative instruments on the statement of operations for the six months ended February 29, 2012:
| Derivative Type | Location of Gain or (Loss) on Derivatives | Realized Gain or (Loss) on Derivatives | Change in Unrealized Appreciation or (Depreciation) | |||||||
Foreign exchange contracts | Net realized gain (loss) on foreign currency transactions; Net change in unrealized appreciation/depreciation of foreign currency denominated assets and liabilities and other assets | $ | (744,906 | ) | $ | (5,812,581 | ) | |||
|
|
|
| |||||||
Total | $ | (744,906 | ) | $ | (5,812,581 | ) | ||||
|
|
|
| |||||||
For the six months ended February 29, 2012 the average monthly principal amount of foreign currency exchange contracts was $494,286,992.
Short Duration Bond Portfolio | Asset Derivatives | Liability Derivatives | ||||||||||
| Derivative Type | Statement of Assets and Liabilities Location | Fair Value | Statement of Assets and Liabilities Location | Fair Value | ||||||||
Foreign exchange contracts |
Unrealized appreciation of forward currency exchange contracts |
$ |
86,763 |
|
Unrealized depreciation of forward currency exchange contracts |
$ |
354,091 |
| ||||
Interest rate contracts | Receivable/Payable for variation margin on futures contracts | $ | 18,638 | * | ||||||||
|
|
|
| |||||||||
Total | $ | 105,401 | $ | 354,091 | ||||||||
|
|
|
| |||||||||
| 246 | • ALLIANCEBERNSTEIN POOLING PORTFOLIOS |
Notes to Financial Statements
| * | Only variation margin receivable/payable at period end is reported within the statement of assets and liabilities. This amount reflects cumulative appreciation/(depreciation) of futures contracts as reported in the portfolio of investments. |
The effect of derivative instruments on the statement of operations for the six months ended February 29, 2012:
| Derivative Type | Location of Gain or (Loss) on Derivatives | Realized Gain or (Loss) on Derivatives | Change in Unrealized Appreciation or (Depreciation) | |||||||
Foreign exchange contracts | Net realized gain (loss) on foreign currency transactions; Net change in unrealized appreciation/depreciation of foreign currency denominated assets and liabilities | $ | 3,827,924 | $ (670,176) | ||||||
Interest rate contracts | Net realized gain (loss) on futures contracts; Net change in unrealized appreciation/depreciation of futures contracts | 211,059 | (368,472 | ) | ||||||
|
|
|
| |||||||
Total | $ | 4,038,983 | $ | (1,038,648 | ) | |||||
|
|
|
| |||||||
For the six months ended February 29, 2012, the average monthly principal amount of foreign currency exchange contracts was $78,074,434 and the average monthly original value of futures contracts was $358,842,025.
Global Core | Asset Derivatives | Liability Derivatives | ||||||||||
| Derivative Type | Statement of Assets and Liabilities Location | Fair Value | Statement of Assets and Liabilities Location | Fair Value | ||||||||
Foreign exchange contracts | Unrealized appreciation of forward currency exchange contracts | $ | 2,690,988 |
| Unrealized depreciation of forward currency exchange contracts | $ | 3,302,549 |
| ||||
Interest rate contracts | Receivable/Payable for variation margin on futures contracts | 250 | * | |||||||||
|
|
|
| |||||||||
Total | $ | 2,690,988 | $ | 3,302,799 | ||||||||
|
|
|
| |||||||||
| * | Only variation margin receivable/payable at period end is reported within the statement of assets and liabilities. This amount reflects cumulative appreciation/(depreciation) of futures contracts as reported in the portfolio of investments. |
| ALLIANCEBERNSTEIN POOLING PORTFOLIOS • | 247 |
Notes to Financial Statements
The effect of derivative instruments on the statement of operations for the six months ended February 29, 2012:
| Derivative Type | Location of Gain or (Loss) on Derivatives | Realized Gain or (Loss) on Derivatives | Change in Unrealized Appreciation or (Depreciation) | |||||||
Foreign exchange contracts | Net realized gain (loss) on foreign currency transactions; Net change in unrealized appreciation/depreciation of foreign currency denominated assets and liabilities | $ | 1,351,475 | $ | (2,071,951 | ) | ||||
Credit contracts | Net realized gain (loss) on swap contracts; Net change in unrealized appreciation/depreciation of swap contracts | (852,631 | ) | (101,159 | ) | |||||
Interest rate contracts | Net realized gain (loss) on futures contracts; Net change in unrealized appreciation/depreciation of futures contracts | 134,887 | (6,053 | ) | ||||||
|
|
|
| |||||||
Total | $ | 633,731 | $ | (2,179,163 | ) | |||||
|
|
|
| |||||||
| 248 | • ALLIANCEBERNSTEIN POOLING PORTFOLIOS |
Notes to Financial Statements
For the six months ended February 29, 2012, the average monthly principal amount of foreign currency exchange contracts was $168,947,412, the average monthly original value of futures contracts was $44,122,348 and the average monthly notional amount of credit default swaps was $44,661,781.
Bond Inflation | Asset Derivatives | Liability Derivatives | ||||||||||
| Derivative Type | Statement of Assets and Liabilities Location | Fair Value | Statement of Assets and Liabilities Location | Fair Value | ||||||||
Foreign exchange contracts | Unrealized appreciation of forward currency exchange contracts | $ | 419,286 |
| Unrealized depreciation of forward currency exchange contracts | $ | 420,837 |
| ||||
Interest rate contracts | Receivable/Payable for variation margin on futures contracts |
| 75,937 | * | ||||||||
Interest rate contracts | Unrealized appreciation on interest rate swap contracts |
| 9,041 |
| Unrealized depreciation on interest rate swap contracts |
| 1,682,588 |
| ||||
|
|
|
| |||||||||
Total | $ | 504,264 | $ | 2,103,425 | ||||||||
|
|
|
| |||||||||
| * | Only variation margin receivable/payable at period end is reported within the statement of assets and liabilities. This amount reflects cumulative appreciation/(depreciation) of futures contracts as reported in the portfolio of investments. |
| ALLIANCEBERNSTEIN POOLING PORTFOLIOS • | 249 |
Notes to Financial Statements
The effect of derivative instruments on the statement of operations for the six months ended February 29, 2012:
| Derivative Type | Location of Gain or (Loss) on Derivatives | Realized Gain or (Loss) on Derivatives | Change in Unrealized Appreciation or (Depreciation) | |||||||
Foreign exchange contracts | Net realized gain (loss) on foreign currency transactions; Net change in unrealized appreciation/depreciation of foreign currency denominated assets and liabilities | $ | 738,704 | $ | 608,764 | |||||
Interest rate contracts | Net realized gain (loss) on futures contracts; Net change in unrealized appreciation/depreciation of futures contracts | (935,016 | ) | (107,704 | ) | |||||
Interest rate contracts | Net realized gain (loss) on swap contracts; Net change in unrealized appreciation/depreciation of swap contracts | (177,127 | ) | (44,834 | ) | |||||
Credit contracts | Net realized gain (loss) on swap contracts; Net change in unrealized appreciation/depreciation of swap contracts | (799,391 | ) | 309,168 | ||||||
|
|
|
| |||||||
Total | $ | (1,172,830 | ) | $ | 765,394 | |||||
|
|
|
| |||||||
| 250 | • ALLIANCEBERNSTEIN POOLING PORTFOLIOS |
Notes to Financial Statements
For the six months ended February 29, 2012, the average monthly principal amount of foreign currency exchange contracts was $93,597,180, the average monthly original value of futures contracts was $75,170,134 and the average monthly notional amount of interest rate swaps was $100,519,935. For five months of the period, the average monthly notional amount of credit default swaps was $20,824,475.
High-Yield | Asset Derivatives | Liability Derivatives | ||||||||||
| Derivative Type | Statement of Assets and Liabilities Location | Fair Value | Statement of Assets and Liabilities Location | Fair Value | ||||||||
Foreign exchange contracts | Unrealized appreciation of forward currency exchange contracts | $ | 152,067 |
| Unrealized depreciation of forward currency exchange contracts | $ | 174,089 |
| ||||
Foreign exchange contracts | Investments in securities, at value |
| 37 |
| ||||||||
Interest rate contracts | Unrealized appreciation on interest rate swap contracts |
| 199,836 |
| Unrealized depreciation on interest rate swap contracts |
| 92,179 |
| ||||
Credit contracts | Unrealized appreciation on credit default swap contracts | 850,896 | Unrealized depreciation on credit default swap contracts | 2,410,469 | ||||||||
Credit contracts | Options written, at value | 349,398 | ||||||||||
Equity contracts | Investments in securities, at value | 300,611 | ||||||||||
|
|
|
| |||||||||
Total | $ | 1,503,447 | $ | 3,026,135 | ||||||||
|
|
|
| |||||||||
| ALLIANCEBERNSTEIN POOLING PORTFOLIOS • | 251 |
Notes to Financial Statements
The effect of derivative instruments on the statement of operations for the six months ended February 29, 2012:
| Derivative Type | Location of Gain or (Loss) on Derivatives | Realized Gain or (Loss) on Derivatives | Change in Unrealized Appreciation or (Depreciation) | |||||||
Foreign exchange contracts | Net realized gain (loss) on foreign currency transactions; Net change in unrealized appreciation/depreciation of foreign currency denominated assets and liabilities | $ | 85,089 | $ | 545,002 | |||||
Foreign exchange contracts | Net realized gain (loss) on investment transactions; Net change in unrealized appreciation/depreciation of investment transactions | (96,215 | ) | 18,269 | ||||||
Interest rate contracts | Net realized gain (loss) on investment transactions; Net change in unrealized appreciation/depreciation of investment transactions | (234,050 | ) | 191,716 | ||||||
Interest rate contracts | Net realized gain (loss) on swap contracts; Net change in unrealized appreciation/depreciation of swap contracts | 438,459 | 5,845 | |||||||
Credit contracts | Net realized gain (loss) on swap contracts; Net change in unrealized appreciation/depreciation of swap contracts | 794,183 | 959,567 | |||||||
Credit contracts | Net realized gain (loss) on options written; Net change in unrealized appreciation/depreciation of options written | 1,094,586 | 1,193,833 | |||||||
Equity contracts | Net realized gain (loss) on investment transactions; Net change in unrealized appreciation/depreciation of investment transactions | (907,191 | ) | (1,457,711 | ) | |||||
|
|
|
| |||||||
Total | $ | 1,174,861 | $ | 1,456,521 | ||||||
|
|
|
| |||||||
| 252 | • ALLIANCEBERNSTEIN POOLING PORTFOLIOS |
Notes to Financial Statements
For the six months ended February 29, 2012, the average monthly principal amount of foreign currency exchange contracts was $31,292,330, the average monthly notional amount of credit default swaps was $73,141,463 and the average monthly cost of purchased options contracts was $1,322,932. For five months of the period, the average monthly notional amount of interest rate swaps was $136,368,000.
Multi-Asset Real | Asset Derivatives | Liability Derivatives | ||||||||||
| Derivative Type | Statement of Assets and Liabilities Location | Fair Value | Statement of Assets and Liabilities Location | Fair Value | ||||||||
Foreign exchange contracts | Unrealized appreciation of forward currency exchange contracts | $ | 2,136,205 |
| Unrealized depreciation of forward currency exchange contracts | $ | 3,031,716 |
| ||||
Commodity contracts | Receivable/Payable for variation margin on futures contracts |
| 1,338,325 | * | ||||||||
Equity contracts | Unrealized appreciation on total return swap contracts | 4,245,942 | ||||||||||
Equity contracts | Investments in securities, at value | 1,110,426 | ||||||||||
Equity contracts | Options written, at value | 354,900 | ||||||||||
|
|
|
| |||||||||
Total | $ | 8,830,898 | $ | 3,386,616 | ||||||||
|
|
|
| |||||||||
| * | Only variation margin receivable/payable at period end is reported within the statement of assets and liabilities. This amount reflects cumulative appreciation/(depreciation) of futures contracts as reported in the portfolio of investments. |
| ** | Consolidated (see Note A). |
| ALLIANCEBERNSTEIN POOLING PORTFOLIOS • | 253 |
Notes to Financial Statements
The effect of derivative instruments on the statement of operations for the six months ended February 29, 2012:
| Derivative Type | Location of Gain or (Loss) on Derivatives | Realized Gain or (Loss) on Derivatives | Change in Unrealized Appreciation or (Depreciation) | |||||||
Foreign exchange contracts | Net realized gain (loss) on foreign currency transactions; Net change in unrealized appreciation/depreciation of foreign currency denominated assets and liabilities | $ | 1,154,953 | $ | (651,032 | ) | ||||
Commodity contracts | Net realized gain (loss) on futures contracts; Net change in unrealized appreciation/depreciation of futures contracts | (2,628,250 | ) | 2,175,729 | ||||||
Equity contracts | Net realized gain (loss) on futures contracts; Net change in unrealized appreciation/depreciation of futures contracts | (343,475 | ) | 1,352,366 | ||||||
Equity contracts | Net realized gain (loss) on swap contracts; Net change in unrealized appreciation/depreciation of swap contracts | (20,307,616 | ) | (6,632,619 | ) | |||||
Equity contracts | Net realized gain (loss) on investment transactions; Net change in unrealized appreciation/depreciation of investment transactions | (2,241,678 | ) | 88,014 | ||||||
Equity contracts | Net realized gain (loss) on options written; Net change in unrealized appreciation/depreciation of options written | 5,262,981 | 54,282 | |||||||
|
|
|
| |||||||
Total | $ | (19,103,085 | ) | $ | (3,613,260 | ) | ||||
|
|
|
| |||||||
| 254 | • ALLIANCEBERNSTEIN POOLING PORTFOLIOS |
Notes to Financial Statements
For the six months ended February 29, 2012, the average monthly principal amount of foreign currency exchange contracts was $274,422,097, the average monthly original value of futures contracts was $76,046,421, the average monthly notional amount of total return swaps was $223,705,134 and the average monthly cost of purchased options contracts was $1,604,751.
Volatility | Asset Derivatives | Liability Derivatives | ||||||||||
| Derivative Type | Statement of Assets and Liabilities Location | Fair Value | Statement of Assets and Liabilities Location | Fair Value | ||||||||
Foreign exchange contracts | Unrealized appreciation of forward currency exchange contracts | $ | 3,609,088 |
| Unrealized depreciation of forward currency exchange contracts | $ | 6,554,640 |
| ||||
Interest rate contracts | Receivable/Payable for variation margin on futures contracts |
| 137,086 | * | ||||||||
Equity contracts | Receivable/Payable for variation margin on futures contracts | 45,640,227 | * | |||||||||
Equity contracts | Unrealized appreciation on total return swap contracts | 701,818 | Unrealized depreciation on total return swap agreements | 353,636 | ||||||||
Equity contracts | Investments, at value | 265,587 | ||||||||||
|
|
|
| |||||||||
Total | $ | 50,353,806 | $ | 6,908,276 | ||||||||
|
|
|
| |||||||||
| * | Only variation margin receivable/payable at period end is reported within the statement of assets and liabilities. This amount reflects cumulative appreciation/(depreciation) of futures contracts as reported in the portfolio of investments. |
| ALLIANCEBERNSTEIN POOLING PORTFOLIOS • | 255 |
Notes to Financial Statements
The effect of derivative instruments on the statement of operations for the six months ended February 29, 2012:
| Derivative Type | Location of Gain or (Loss) on Derivatives | Realized Gain or (Loss) on Derivatives | Change in Unrealized Appreciation or (Depreciation) | |||||||
Foreign exchange contracts | Net realized gain (loss) on foreign currency transactions; Net change in unrealized appreciation/depreciation of foreign currency denominated assets and liabilities | $ | (384,060 | ) | $ | (2,554,126 | ) | |||
Interest rate contracts | Net realized gain (loss) on futures contracts; Net change in unrealized appreciation/depreciation of futures contracts | 7,243,062 | 1,155,211 | |||||||
Equity contracts | Net realized gain (loss) on futures contracts; Net change in unrealized appreciation/depreciation of futures contracts | 6,324,572 | 46,169,937 | |||||||
Equity contracts | Net realized gain (loss) on swap contracts; Net change in unrealized appreciation/depreciation of swap contracts | 7,139,996 | 360,220 | |||||||
Equity contracts | Net realized gain (loss) on investment transactions; Net change in unrealized appreciation/depreciation of investment transactions | (3,295,982 | ) | (3,875,455 | ) | |||||
|
|
|
| |||||||
Total | $ | 17,027,588 | $ | 41,255,787 | ||||||
|
|
|
| |||||||
For the six months ended February 29, 2012, the average monthly principal amount of foreign currency exchange contracts was $148,395,450, the average monthly notional amount of total return swaps was $58,062,578 and the average monthly original value of futures contracts was $549,292,860. For five months of the period, the average monthly cost of purchased options contracts was $5,009,252.
| 256 | • ALLIANCEBERNSTEIN POOLING PORTFOLIOS |
Notes to Financial Statements
2. Currency Transactions
The Portfolios may invest in non-U.S. Dollar 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 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).
3. Dollar Rolls
Certain Portfolios may enter into dollar rolls. Dollar rolls involve sales by the Portfolio 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 Portfolio forgoes principal and interest paid on the securities. The Portfolio is 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 Portfolio is obligated to repurchase under the agreement may decline below the repurchase price. Dollar rolls are speculative techniques and may be considered to be borrowings by the Portfolio. For the six months ended February 29, 2012, the Global Core Bond Portfolio earned drop income of $706,696, which is included in interest income in the accompanying statement of operations.
4. Reverse Repurchase Agreements
Under a reverse repurchase agreement, the Portfolios sell securities and agree to repurchase them at a mutually agreed upon date and price. At the time the Portfolios enter 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. For the six months ended February 29, 2012, the average amount of reverse repurchase agreements outstanding for Bond Inflation Protection Portfolio was $332,875,609 and the daily weighted average interest rate was 0.13%.
5. Loan Participations and Assignments
Certain Portfolios may invest in direct debt instruments which are interests in amounts owed to lenders or lending syndicates by corporate, governmental, or other borrowers, either in the form of participations at the time the loan is originated (“Participations”) or by buying an interest in the loan in the
| ALLIANCEBERNSTEIN POOLING PORTFOLIOS • | 257 |
Notes to Financial Statements
secondary market from a financial institution or institutional investor (“Assignments”). A loan is often administered by a bank or other financial institution (the “Lender”) that acts as agent for all holders. The agent administers the term of the loan as specified in the loan agreement. When investing in Participations, the Portfolio generally has no right to enforce compliance with the terms of the loan agreement with the borrower. In addition, when investing in Participations, the Portfolio has the right to receive payments of principal, interest and any fees to which it is entitled only from the Lender and only upon receipt of payments by the Lender from the borrower. As a result, the Portfolio may be subject to the credit risk of both the borrower and the Lender. When the Portfolio purchases Assignments from Lenders, it will typically acquire direct rights against the borrower on the loan. These loans may include participations in “bridge loans”, which are loans taken out by borrowers for a short period (typically less than six months) pending arrangement of more permanent financing through, for example, the issuance of bonds, frequently high-yield bonds issued for the purpose of acquisitions. The Portfolio may also participate in unfunded loan commitments, which are contractual obligations for investing in future Participations, and receive a commitment fee based on the amount of the commitment. Under these arrangements, the Portfolio will receive a fixed rate commitment fee and, if and to the extent the borrower borrows under the facility, the Portfolio may receive an additional funding fee.
Unfunded loan commitments and funded loans are marked to market daily.
As of February 29, 2012, the Portfolio had the following unfunded loan commitments which could be extended at the option of the borrower pursuant to the respective loan agreement. The unrealized depreciation on such loans was $29,480.
| Borrower | Unfunded Loan Commitment | Funded | ||||||
General Motors Holding, LLC Revolver LIBOR+2.75%, 10/27/15 | $ | 1,275,000 | $ | – 0 | – | |||
Sandridge Energy, Inc., LIBOR+XX, 4/15/12 | $ | 900,000 | $ | – 0 | – | |||
As of February 29, 2012, the Portfolio had no bridge loan commitments outstanding; however, the Portfolio received commitment fees or additional funding fees during the period in the amount of $35,262.
NOTE D
Securities Lending
Certain Portfolio’s may enter into securities lending transactions. Under the Portfolio’s securities lending program, all securities loans will be collateralized continually by cash. The Portfolio will be compensated for the loan from a portion of the net return from the income earned on cash collateral after a rebate is paid to the borrower (in some cases, this rebate may be a “negative rebate” or fee paid by the borrower to the Portfolio in connection with the loan), and
| 258 | • ALLIANCEBERNSTEIN POOLING PORTFOLIOS |
Notes to Financial Statements
payments for fees of the securities lending agent and for certain other administrative expenses. It is the policy of the Portfolio to receive collateral consisting of cash in an amount exceeding the value of the securities loaned. The Portfolio will have the right to call a loan and obtain the securities loaned at any time on notice to the borrower within the normal and customary settlement time for the securities. While the securities are on loan, the borrower is obligated to pay the Portfolio amounts equal to any income or other distributions from the securities. The Portfolio will not have the right to vote any securities during the existence of a loan, but will have the right to regain ownership of loaned securities in order to exercise voting or other ownership rights. The lending agent has agreed to indemnify the Portfolio in the case of default of any securities borrower. Collateral received and securities loaned are marked to market daily to ensure that the securities loaned are secured by collateral. The lending agent will invest the cash collateral received in AllianceBernstein Exchange Reserves, an eligible money market vehicle, in accordance with the investment restrictions of the Portfolio, and as approved by the Trust’s Board of Trustees. The collateral received on securities loaned is recorded as an asset as well as a corresponding liability in the statement of assets and liabilities. When the Portfolio lends securities, its investment performance will continue to reflect changes in the value of the securities loaned. As of February 29, 2012, the value of securities on loan and cash collateral received which has been invested into AllianceBernstein Exchange Reserves are as follows:
| Portfolio | Market Value of Securities on Loan | Market Value of Cash Collateral | ||||||
U.S. Value | $ | 4,037,527 | $ | 4,230,960 | ||||
U.S. Large Cap Growth | 11,560,463 | 11,842,425 | ||||||
International Value | 22,372,145 | 24,451,319 | ||||||
International Growth | 29,502,232 | 31,106,287 | ||||||
Small-Mid Cap Value | 12,140,816 | 12,779,658 | ||||||
Small-Mid Cap Growth | 8,420,330 | 8,740,611 | ||||||
Multi-Asset Real Return | 9,432,452 | 9,988,082 | ||||||
Volatility Management | 5,357,627 | 5,610,052 | ||||||
The cash collateral will be adjusted on the next business day after period end to maintain the required collateral amount. The securities lending income earned for the six months ended February 29, 2012 from the borrowers and AllianceBernstein Exchange Reserves are as follows:
| Portfolio | Borrowers | AllianceBernstein Exchange Reserves | ||||||
U.S. Value | $ | 51,180 | $ | 349 | ||||
U.S. Large Cap Growth | 14,224 | 443 | ||||||
International Value | 181,684 | – 0 | – | |||||
International Growth | 222,263 | – 0 | – | |||||
Small-Mid Cap Value | 19,170 | – 0 | – | |||||
Small-Mid Cap Growth | 527,495 | – 0 | – | |||||
Multi-Asset Real Return | 41,192 | 12 | ||||||
Volatility Management | 7,101 | – 0 | – | |||||
| ALLIANCEBERNSTEIN POOLING PORTFOLIOS • | 259 |
Notes to Financial Statements
These amounts are reflected in the statement of operations. A principal risk of lending portfolio securities is that the borrower will fail to return the loaned securities upon termination of the loan and that the collateral will not be sufficient to replace the loaned securities. A summary of the Portfolios’ transactions in shares of AllianceBernstein Exchange Reserves for the six months ended February 29, 2012 are as follows:
| Portfolio | Market Value August 31, (000) | Purchases at Cost (000) | Sales Proceeds (000) | Market Value February 29, (000) | Dividend Income (000) | |||||||||||||||
U.S. Value | $ | – 0 | – | $ | 62,603 | $ | 58,372 | $ | 4,231 | $ | – 0 | –* | ||||||||
U.S. Large Cap Growth | – 0 | – | 108,663 | 96,821 | 11,842 | – 0 | –* | |||||||||||||
International Value | – 0 | – | 258,903 | 234,452 | 24,451 | – 0 | – | |||||||||||||
International Growth | – 0 | – | 152,534 | 121,428 | 31,106 | – 0 | – | |||||||||||||
Small-Mid Cap Value | – 0 | – | 47,371 | 34,591 | 12,780 | – 0 | – | |||||||||||||
Small-Mid Cap Growth | – 0 | – | 74,730 | 65,989 | 8,741 | – 0 | – | |||||||||||||
Multi-Asset Real Return | – 0 | – | 109,536 | 99,548 | 9,988 | – 0 | –* | |||||||||||||
Volatility Management | – 0 | – | 13,574 | 7,964 | 5,610 | – 0 | – | |||||||||||||
| * | Amount is less than $500. |
NOTE E
Shares of Beneficial Interest
Transactions in shares of beneficial interest for each class were as follows:
| U.S. Value | ||||||||||||||||||||
| Shares | Amount | |||||||||||||||||||
| Six Months Ended February 29, 2012 (unaudited) | Year Ended 2011 | Six Months Ended February 29, 2012 (unaudited) | Year Ended 2011 | |||||||||||||||||
|
| |||||||||||||||||||
Shares sold | 2,779,676 | 5,556,148 | $ | 22,511,632 | $ | 45,546,543 | ||||||||||||||
| ||||||||||||||||||||
Shares issued in reinvestment of dividends | 3,620,090 | 5,148,051 | 28,132,795 | 42,781,375 | ||||||||||||||||
| ||||||||||||||||||||
Shares redeemed | (101,429,584 | ) | (37,024,831 | ) | (821,039,952 | ) | (319,719,081 | ) | ||||||||||||
| ||||||||||||||||||||
Net decrease | (95,029,818 | ) | (26,320,632 | ) | $ | (770,395,525 | ) | $ | (231,391,163 | ) | ||||||||||
| ||||||||||||||||||||
| 260 | • ALLIANCEBERNSTEIN POOLING PORTFOLIOS |
Notes to Financial Statements
| U.S. Large Cap Growth | ||||||||||||||||||||
| Shares | Amount | |||||||||||||||||||
| Six Months Ended February 29, 2012 (unaudited) | Year Ended 2011 | Six Months Ended February 29, 2012 (unaudited) | Year Ended 2011 | |||||||||||||||||
|
| |||||||||||||||||||
Shares sold | 1,475,196 | 4,041,461 | $ | 15,892,051 | $ | 43,952,480 | ||||||||||||||
| ||||||||||||||||||||
Shares issued in reinvestment of dividends | 1,377,476 | 1,871,161 | 14,576,490 | 20,138,612 | ||||||||||||||||
| ||||||||||||||||||||
Shares redeemed | (77,848,082 | ) | (37,793,066 | ) | (857,261,291 | ) | (423,469,622 | ) | ||||||||||||
| ||||||||||||||||||||
Net decrease | (74,995,410 | ) | (31,880,444 | ) | $ | (826,792,750 | ) | $ | (359,378,530 | ) | ||||||||||
| ||||||||||||||||||||
| International Value | ||||||||||||||||||||
| Shares | Amount | |||||||||||||||||||
| Six Months Ended February 29, 2012 (unaudited) | Year Ended 2011 | Six Months Ended February 29, 2012 (unaudited) | Year Ended 2011 | |||||||||||||||||
|
| |||||||||||||||||||
Shares sold | 29,211,483 | 5,086,828 | $ | 193,741,710 | $ | 39,550,165 | ||||||||||||||
| ||||||||||||||||||||
Shares issued in reinvestment of dividends | 2,182,112 | 5,686,368 | 13,765,709 | 45,343,296 | ||||||||||||||||
| ||||||||||||||||||||
Shares redeemed | (16,857,958 | ) | (16,118,367 | ) | (114,390,488 | ) | (130,768,886 | ) | ||||||||||||
| ||||||||||||||||||||
Net increase (decrease) | 14,535,637 | (5,345,171 | ) | $ | 93,116,931 | $ | (45,875,425 | ) | ||||||||||||
| ||||||||||||||||||||
| International Growth | ||||||||||||||||||||
| Shares | Amount | |||||||||||||||||||
| Six Months Ended February 29, 2012 (unaudited) | Year Ended 2011 | Six Months Ended February 29, 2012 (unaudited) | Year Ended 2011 | |||||||||||||||||
|
| |||||||||||||||||||
Shares sold | 24,690,694 | 5,412,107 | $ | 188,287,488 | $ | 48,706,511 | ||||||||||||||
| ||||||||||||||||||||
Shares issued in reinvestment of dividends | 1,937,043 | 4,929,191 | 14,042,335 | 44,303,767 | ||||||||||||||||
| ||||||||||||||||||||
Shares redeemed | (10,965,060 | ) | (13,637,684 | ) | (85,150,342 | ) | (122,916,179 | ) | ||||||||||||
| ||||||||||||||||||||
Net increase (decrease) | 15,662,677 | (3,296,386 | ) | $ | 117,179,481 | $ | (29,905,901 | ) | ||||||||||||
| ||||||||||||||||||||
| ALLIANCEBERNSTEIN POOLING PORTFOLIOS • | 261 |
Notes to Financial Statements
| Short Duration Bond | ||||||||||||||||||||
| Shares | Amount | |||||||||||||||||||
| Six Months Ended February 29, 2012 (unaudited) | Year Ended 2011 | Six Months Ended February 29, 2012 (unaudited) | Year Ended 2011 | |||||||||||||||||
|
| |||||||||||||||||||
Shares sold | 4,020,535 | 16,297,661 | $ | 38,407,541 | $ | 155,826,491 | ||||||||||||||
| ||||||||||||||||||||
Shares issued in reinvestment of dividends | 950,776 | 2,709,733 | 9,077,076 | 25,915,259 | ||||||||||||||||
| ||||||||||||||||||||
Shares redeemed | (39,197,144 | ) | (12,427,329 | ) | (375,038,341 | ) | (119,083,079 | ) | ||||||||||||
| ||||||||||||||||||||
Net increase (decrease) | (34,225,833 | ) | 6,580,065 | $ | (327,553,724 | ) | $ | 62,658,671 | ||||||||||||
| ||||||||||||||||||||
| Global Core Bond | ||||||||||||||||||||
| Shares | Amount | |||||||||||||||||||
| Six Months Ended February 29, 2012 (unaudited) | Year Ended 2011 | Six Months Ended February 29, 2012 (unaudited) | Year Ended 2011 | |||||||||||||||||
|
| |||||||||||||||||||
Shares sold | 11,257,692 | 9,067,222 | $ | 122,084,536 | $ | 95,848,768 | ||||||||||||||
| ||||||||||||||||||||
Shares issued in reinvestment of dividends and distributions | 5,283,185 | 5,587,829 | 56,132,664 | 59,537,197 | ||||||||||||||||
| ||||||||||||||||||||
Shares redeemed | (23,821,359 | ) | (20,061,680 | ) | (255,814,005 | ) | (216,016,457 | ) | ||||||||||||
| ||||||||||||||||||||
Net decrease | (7,280,482 | ) | (5,406,629 | ) | $ | (77,596,805 | ) | $ | (60,630,492 | ) | ||||||||||
| ||||||||||||||||||||
| �� | ||||||||||||||||||||
| Bond Inflation Protection | ||||||||||||||||||||
| Shares | Amount | |||||||||||||||||||
| Six Months Ended February 29, 2012 (unaudited) | Year Ended 2011 | Six Months Ended February 29, 2012 (unaudited) | Year Ended 2011 | |||||||||||||||||
|
| |||||||||||||||||||
Shares sold | 16,434,431 | 5,807,022 | $ | 179,683,370 | $ | 62,583,463 | ||||||||||||||
| ||||||||||||||||||||
Shares issued in reinvestment of dividends and distributions | 5,280,036 | 1,856,390 | 56,179,581 | 19,696,303 | ||||||||||||||||
| ||||||||||||||||||||
Shares redeemed | (7,467,855 | ) | (7,908,218 | ) | (84,487,911 | ) | (88,521,121 | ) | ||||||||||||
| ||||||||||||||||||||
Net increase (decrease) | 14,246,612 | (244,806 | ) | $ | 151,375,040 | $ | (6,241,355 | ) | ||||||||||||
| ||||||||||||||||||||
| 262 | • ALLIANCEBERNSTEIN POOLING PORTFOLIOS |
Notes to Financial Statements
| High-Yield | ||||||||||||||||||||
| Shares | Amount | |||||||||||||||||||
| Six Months Ended February 29, 2012 (unaudited) | Year Ended 2011 | Six Months Ended February 29, 2012 (unaudited) | Year Ended 2011 | |||||||||||||||||
|
| |||||||||||||||||||
Shares sold | 4,471,606 | 2,237,376 | $ | 42,882,511 | $ | 22,664,735 | ||||||||||||||
| ||||||||||||||||||||
Shares issued in reinvestment of dividends | 1,653,720 | 4,690,921 | 15,829,643 | 47,357,542 | ||||||||||||||||
| ||||||||||||||||||||
Shares redeemed | (12,659,154 | ) | (6,755,778 | ) | (121,356,099 | ) | (68,649,971 | ) | ||||||||||||
| ||||||||||||||||||||
Net increase (decrease) | (6,533,828 | ) | 172,519 | $ | (62,643,945 | ) | $ | 1,372,306 | ||||||||||||
| ||||||||||||||||||||
| Small-Mid Cap Value | ||||||||||||||||||||
| Shares | Amount | |||||||||||||||||||
| Six Months Ended February 29, 2012 (unaudited) | Year Ended 2011 | Six Months Ended February 29, 2012 (unaudited) | Year Ended 2011 | |||||||||||||||||
|
| |||||||||||||||||||
Shares sold | 442,836 | 840,084 | $ | 4,708,842 | $ | 9,008,600 | ||||||||||||||
| ||||||||||||||||||||
Shares issued in reinvestment of dividends | 229,722 | 675,306 | 2,301,812 | 7,671,358 | ||||||||||||||||
| ||||||||||||||||||||
Shares redeemed | (17,333,882 | ) | (8,770,162 | ) | (188,544,490 | ) | (102,568,396 | ) | ||||||||||||
| ||||||||||||||||||||
Net decrease | (16,661,324 | ) | (7,254,772 | ) | $ | (181,533,836 | ) | $ | (85,888,438 | ) | ||||||||||
| ||||||||||||||||||||
| Small-Mid Cap Growth | ||||||||||||||||||||
| Shares | Amount | |||||||||||||||||||
| Six Months Ended February 29, 2012 (unaudited) | Year Ended 2011 | Six Months Ended February 29, 2012 (unaudited) | Year Ended 2011 | |||||||||||||||||
|
| |||||||||||||||||||
Shares sold | 181,797 | 358,088 | $ | 2,457,719 | $ | 5,809,406 | ||||||||||||||
| ||||||||||||||||||||
Shares issued in reinvestment of dividends and distributions | 10,698,625 | 163,587 | 126,266,314 | 2,621,006 | ||||||||||||||||
| ||||||||||||||||||||
Shares redeemed | (14,619,661 | ) | (13,362,922 | ) | (210,324,709 | ) | (216,087,627 | ) | ||||||||||||
| ||||||||||||||||||||
Net decrease | (3,739,239 | ) | (12,841,247 | ) | $ | (81,600,676 | ) | $ | (207,657,215 | ) | ||||||||||
| ||||||||||||||||||||
| ALLIANCEBERNSTEIN POOLING PORTFOLIOS • | 263 |
Notes to Financial Statements
| Multi-Asset Real Return* | ||||||||||||||||||||
| Shares | Amount | |||||||||||||||||||
| Six Months Ended February 29, 2012 (unaudited) | Year Ended 2011 | Six Months Ended February 29, 2012 (unaudited) | Year Ended 2011 | |||||||||||||||||
|
| |||||||||||||||||||
Shares sold | 1,487,395 | 4,784,248 | $ | 12,294,098 | $ | 45,242,422 | ||||||||||||||
| ||||||||||||||||||||
Shares issued in reinvestment of dividends | 4,253,554 | 8,546,303 | 34,377,414 | 76,523,004 | ||||||||||||||||
| ||||||||||||||||||||
Shares redeemed | (39,329,946 | ) | (18,542,204 | ) | (341,858,442 | ) | (174,918,506 | ) | ||||||||||||
| ||||||||||||||||||||
Net decrease | (33,588,997 | ) | (5,211,653 | ) | $ | (295,186,930 | ) | $ | (53,153,080 | ) | ||||||||||
| ||||||||||||||||||||
| * | Consolidated (see Note A). |
| Volatility Management | ||||||||||||||||||||
| Shares | Amount | |||||||||||||||||||
| Six Months Ended February 29, 2012 (unaudited) | Year Ended 2011 | Six Months Ended February 29, 2012 (unaudited) | Year Ended 2011 | |||||||||||||||||
|
| |||||||||||||||||||
Shares sold | 152,253,765 | 1,954,798 | $ | 1,565,325,013 | $ | 20,347,850 | ||||||||||||||
| ||||||||||||||||||||
Shares issued in reinvestment of dividends and distributions | 3,047,597 | 1,512,615 | 30,506,445 | 15,428,671 | ||||||||||||||||
| ||||||||||||||||||||
Shares redeemed | (6,940,493 | ) | (7,581,898 | ) | (71,649,803 | ) | (80,430,374 | ) | ||||||||||||
| ||||||||||||||||||||
Net increase (decrease) | 148,360,869 | (4,114,485 | ) | $ | 1,524,181,655 | $ | (44,653,853 | ) | ||||||||||||
| ||||||||||||||||||||
NOTE F
Risks Involved in Investing in the Portfolios
Interest Rate Risk and Credit Risk—Interest rate risk is the risk that changes in interest rates will affect the value of the Portfolios’ investments in fixed-income debt securities such as bonds or notes. Increases in interest rates may cause the value of the Portfolios’ investments to decline. Credit risk is the risk that the issuer or guarantor of a debt security, or the counterparty to a derivative contract, will be unable or unwilling to make timely principal and/or interest payments, or to otherwise honor its obligations. The degree of risk for a particular security may be reflected in its credit risk rating. Credit risk is greater for medium quality and lower-rated securities. Lower-rated debt securities and similar unrated securities (commonly known as “junk bonds”) have speculative elements or are predominantly speculative risks.
During the year ended August 31, 2009, the Intermediate Duration Bond Portfolio had swap counterparty exposure to Lehman Brothers Holdings Inc. (“Lehman Brothers”), as a guarantor for Lehman Brothers Special Financing Inc. (“LBSF”), which filed for bankruptcy on September 15, 2008. As a result,
| 264 | • ALLIANCEBERNSTEIN POOLING PORTFOLIOS |
Notes to Financial Statements
on September 15, 2008, the Portfolio terminated all outstanding swap contracts with LSBF prior to their scheduled maturity dates in accordance with the terms of the swap agreements. Upon the termination of the swap contracts, Lehman Brothers’ obligations to the Portfolio amounted to $2,015,576. The Portfolio’s claim to these obligations is subject to the pending bankruptcy proceeding against the Lehman Brothers estate (the “Bankruptcy Claim”). As of February 29, 2012, the Bankruptcy Claim, based upon the estimated recovery value, was being valued at $926,278 (45.96% of the Bankruptcy Claim). The estimated recovery value may change over time. The Adviser has agreed to make the Portfolio whole in respect of the amount of the recovery that would be paid on the Bankruptcy Claim in the event the Bankruptcy Claim is not honored by the Lehman Brothers estate, or with respect to any diminution in value upon the sale of the Bankruptcy Claim, in either case resulting from the manner in which the Bankruptcy Claim was processed by the Adviser.
Foreign Securities Risk—Investing in securities of foreign companies or foreign governments involves special risks which include changes in foreign currency exchange rates and the possibility of future political and economic developments which could adversely affect the value of such securities. Moreover, securities of many foreign companies or foreign governments and their markets may be less liquid and their prices more volatile than those of comparable U.S. companies or of the U.S. government.
Currency Risk—This is the risk that changes in foreign currency exchange rates may negatively affect the value of the Portfolios’ investments or reduce the returns of the Portfolio. For example, the value of the Portfolios’ investments in foreign currency-denominated securities or currencies 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). Currency markets are generally not as regulated as securities markets. Independent of the Portfolios’ investments denominated in foreign currencies, the Portfolios’ positions in various foreign currencies may cause the Portfolio to experience investment losses due to the changes in exchange rates and interest rates.
Derivatives Risk—The Portfolios may enter into derivative transactions such as forwards, options, futures and swaps. Derivatives may be illiquid, difficult to price, and leveraged so that small changes may produce disproportionate losses for the Portfolios, and subject to counterparty risk to a greater degree than more traditional investments. Derivatives may result in significant losses, including losses that are far greater than the value of the derivatives reflected in the statement of assets and liabilities.
Leverage Risk—When certain Portfolios borrow money or otherwise leverages its portfolios, it may be volatile because leverage tends to exaggerate the effect of any increase or decrease in the value of the Portfolio’s investments. The Portfolio may create leverage through the use of reverse repurchase arrangements, forward
| ALLIANCEBERNSTEIN POOLING PORTFOLIOS • | 265 |
Notes to Financial Statements
currency exchange contracts, forward commitments, dollar rolls or futures contracts or by borrowing money. The use of derivative instruments by the Portfolios, such as forwards, futures, options and swaps, may also result in a form of leverage. Leverage may result in higher returns to the Portfolios than if the Portfolios were not leveraged, but may also adversely affect returns, particularly if the market is declining.
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.
Commodity Risk—Investments in commodities and commodity-linked derivative instruments by AllianceBernstein Multi-Asset Real Return, either directly or through its Subsidiary, may subject the Portfolio to greater volatility than investments in traditional securities. The value of commodity-linked derivative instruments 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.
Indemnification Risk—In the ordinary course of business, the Portfolios enter into contracts that contain a variety of indemnifications. The Portfolio’s 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 G
Distributions to Shareholders
The tax character of distributions to be paid for the year ending August 31, 2012 will be determined at the end of the current fiscal year. The tax character of distributions paid during the fiscal years ended August 31, 2011 and August 31, 2010 were as follows:
| U.S. Value | 2011 | 2010 | ||||||
Distributions paid from: | ||||||||
Ordinary income | $ | 42,781,375 | $ | 46,431,849 | ||||
|
|
|
| |||||
Total distributions paid | $ | 42,781,375 | $ | 46,431,849 | ||||
|
|
|
| |||||
| U.S. Large Cap Growth | 2011 | 2010 | ||||||
Distributions paid from: | ||||||||
Ordinary income | $ | 20,138,612 | $ | 24,398,886 | ||||
|
|
|
| |||||
Total distributions paid | $ | 20,138,612 | $ | 24,398,886 | ||||
|
|
|
| |||||
| 266 | • ALLIANCEBERNSTEIN POOLING PORTFOLIOS |
Notes to Financial Statements
| International Value | 2011 | 2010 | ||||||
Distributions paid from: | ||||||||
Ordinary income | $ | 45,343,296 | $ | 26,785,904 | ||||
|
|
|
| |||||
Total distributions paid | $ | 45,343,296 | $ | 26,785,904 | ||||
|
|
|
| |||||
| International Growth | 2011 | 2010 | ||||||
Distributions paid from: | ||||||||
Ordinary income | $ | 44,303,767 | $ | 37,417,914 | ||||
|
|
|
| |||||
Total distributions paid | $ | 44,303,767 | $ | 37,417,914 | ||||
|
|
|
| |||||
| Short Duration Bond | 2011 | 2010 | ||||||
Distributions paid from: | ||||||||
Ordinary income | $ | 25,915,259 | $ | 34,462,838 | ||||
|
|
|
| |||||
Total distributions paid | $ | 25,915,259 | $ | 34,462,838 | ||||
|
|
|
| |||||
| Global Core Bond | 2011 | 2010 | ||||||
Distributions paid from: | ||||||||
Ordinary income | $ | 56,723,779 | $ | 59,461,645 | ||||
Long-term capital gains | 2,813,418 | – 0 | – | |||||
|
|
|
| |||||
Total distributions paid | $ | 59,537,197 | $ | 59,461,645 | ||||
|
|
|
| |||||
| Bond Inflation Protection | 2011 | 2010 | ||||||
Distributions paid from: | ||||||||
Ordinary income | $ | 19,696,303 | $ | 7,815,952 | ||||
|
|
|
| |||||
Total distributions paid | $ | 19,696,303 | $ | 7,815,952 | ||||
|
|
|
| |||||
| High-Yield | 2011 | 2010 | ||||||
Distributions paid from: | ||||||||
Ordinary income | $ | 47,357,542 | $ | 45,864,332 | ||||
|
|
|
| |||||
Total distributions paid | $ | 47,357,542 | $ | 45,864,332 | ||||
|
|
|
| |||||
| Small-Mid Cap Value | 2011 | 2010 | ||||||
Distributions paid from: | ||||||||
Ordinary income | $ | 7,671,358 | $ | 7,444,369 | ||||
|
|
|
| |||||
Total distributions paid | $ | 7,671,358 | $ | 7,444,369 | ||||
|
|
|
| |||||
| Small-Mid Cap Growth | 2011 | 2010 | ||||||
Distributions paid from: | ||||||||
Ordinary income | $ | 2,621,006 | $ | 2,538,112 | ||||
|
|
|
| |||||
Total distributions paid | $ | 2,621,006 | $ | 2,538,112 | ||||
|
|
|
| |||||
| Multi-Asset Real Return | 2011 | 2010 | ||||||
Distributions paid from: | ||||||||
Ordinary income | $ | 76,523,004 | $ | 26,734,353 | ||||
|
|
|
| |||||
Total distributions paid | $ | 76,523,004 | $ | 26,734,353 | ||||
|
|
|
| |||||
| ALLIANCEBERNSTEIN POOLING PORTFOLIOS • | 267 |
Notes to Financial Statements
| Volatility Management | 2011 | 2010 | ||||||
Distributions paid from: | ||||||||
Ordinary income | $ | 9,131,254 | $ | – 0 | – | |||
Long-term capital gains | 6,297,416 | – 0 | – | |||||
|
|
|
| |||||
Total distributions paid | $ | 15,428,670 | $ | – 0 | – | |||
|
|
|
| |||||
As of August 31, 2011, the components of accumulated earnings/(deficit) on a tax basis were as follows:
| Portfolio | Undistributed Ordinary Income | Undistributed Long-Term Gains | Accumulated Capital and | Unrealized Appreciation/ | Total Accumulated Earnings/ (Deficit)(b) | |||||||||||||||
U.S. Value | $ | 11,954,886 | $ | – 0 | – | $ | (697,500,757 | ) | $ | 17,930,529 | $ | (667,615,342 | ) | |||||||
U.S. Large Cap Growth | 5,314,538 | – 0 | – | (229,062,968 | ) | 175,784,731 | (47,963,699 | ) | ||||||||||||
International Value | 13,783,543 | – 0 | – | (377,202,218 | ) | (112,153,172 | ) | (475,571,847 | ) | |||||||||||
International Growth | 10,641,269 | – 0 | – | (348,276,037 | ) | (1,754,775 | ) | (339,389,543 | ) | |||||||||||
Short Duration Bond | 2,480,461 | – 0 | – | (64,274,070 | ) | 2,950,651 | (58,842,958 | ) | ||||||||||||
Global Core Bond | 12,732,324 | 14,155,364 | (176,664 | ) | 54,831,145 | 81,542,169 | ||||||||||||||
Bond Inflation Protection | 31,962,059 | 10,421,676 | – 0 | – | 65,970,474 | 108,354,209 | ||||||||||||||
High-Yield | 167,979 | – 0 | – | (45,848,471 | ) | 9,257,755 | (36,422,737 | ) | ||||||||||||
Small-Mid Cap Value | 1,717,567 | – 0 | – | (4,434,248 | ) | 5,216,890 | 2,500,209 | |||||||||||||
Small-Mid Cap Growth | 466,414 | 109,065,242 | – 0 | – | 81,509,260 | 191,040,916 | ||||||||||||||
Multi-Asset Real Return | 34,299,040 | – 0 | – | (257,380,621 | ) | (497,185 | ) | (223,578,766 | ) | |||||||||||
Volatility Management | 1,275,063 | 16,429,893 | – 0 | – | 1,397,903 | 19,102,859 | ||||||||||||||
| (a) | The difference between book-basis and tax-basis unrealized appreciation (depreciation) is attributable primarily to the tax deferral of losses on wash sales, swap income (loss) accrual, return of capital distributions, the tax treatment of partnerships, derivatives, real estate investment trusts (REITs), inflation-protected securities (TIPs) and passive foreign investment companies (PFICs), and the tax treatment of earnings from a wholly-owned subsidiary. |
| (b) | The difference between book-basis and tax-basis components of accumulated earnings/(deficit) is attributable primarily to interest on defaulted securities, offering costs, and the tax treatment of earnings from a wholly-owned subsidiary. |
| (c) | Net capital losses and currency 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. Short Duration Bond elects to defer $14,597,721 of capital losses and High Yield elects to defer $188,512 of currency losses that are deemed to arise on September 1, 2011. At August 31, 2011, Short Duration Bond deferred $4,431,539 in straddle losses, Global Core Bond deferred $176,664 in straddle losses, and High Yield deferred $18,399 in straddle losses. Additionally, on August 31, 2011, the Portfolios had capital loss carryforwards for federal income tax purposes. |
| 268 | • ALLIANCEBERNSTEIN POOLING PORTFOLIOS |
Notes to Financial Statements
During the fiscal year ended August 31, 2011, certain Portfolios utilized capital loss carryforwards from prior years. The following Portfolios have capital loss carryforwards remaining as of August 31, 2011 for federal income tax purposes that may be used to offset future gains:
| Capital Loss Carryforwards Utilized | Total Capital Losses Available At August 31, 2011 | |||||||
U.S. Value | $ | 140,848,707 | $ | 697,500,757 | ||||
U.S. Large Cap Growth | 258,162,155 | 229,062,968 | ||||||
International Value | 1,656,725 | 377,202,218 | ||||||
International Growth | 62,439,461 | 348,276,037 | ||||||
Short Duration Bond | – 0 | – | 45,244,810 | |||||
Global Core Bond (formerly Intermediate Duration Bond) | 885,748 | – 0 | – | |||||
Bond Inflation Protection | 1,405,495 | – 0 | – | |||||
High-Yield | 17,699,261 | 45,641,560 | ||||||
Small-Mid Cap Value | 83,244,565 | 4,434,248 | ||||||
Small-Mid Cap Growth | 60,936,184 | – 0 | – | |||||
Multi-Asset Real Return | 176,469,245 | 257,380,621 | ||||||
Volatility Management | 11,546,824 | – 0 | – | |||||
The total capital loss carryforwards shown above for each Portfolio will expire in future years, as follows:
| Capital Losses Expiring in 2014 | Capital Losses Expiring in 2015 | Capital Losses Expiring in 2016 | Capital Losses Expiring in 2017 | Capital Losses Expiring in 2018 | Capital Losses Expiring in 2019 | |||||||||||||||||||
U.S. Value | $ | – 0 | – | $ | – 0 | – | $ | – 0 | – | $ | 64,313,432 | $ | 633,187,325 | $ | – 0 | – | ||||||||
U.S. Large Cap Growth | – 0 | – | – 0 | – | – 0 | – | 50,297,127 | 178,765,841 | – 0 | – | ||||||||||||||
International Value | – 0 | – | – 0 | – | – 0 | – | 51,400,581 | 325,801,637 | – 0 | – | ||||||||||||||
International Growth | – 0 | – | – 0 | – | – 0 | – | 45,345,293 | 302,930,744 | – 0 | – | ||||||||||||||
Short Duration Bond | 529,195 | 3,562,331 | 1,756,801 | 19,308,695 | 11,669,892 | 8,417,896 | ||||||||||||||||||
Global Core Bond | – 0 | – | – 0 | – | – 0 | – | – 0 | – | – 0 | – | – 0 | – | ||||||||||||
Bond Inflation Protection | – 0 | – | – 0 | – | – 0 | – | – 0 | – | – 0 | – | – 0 | – | ||||||||||||
High-Yield | – 0 | – | – 0 | – | – 0 | – | 310,972 | 45,330,588 | – 0 | – | ||||||||||||||
Small-Mid Cap Value | – 0 | – | – 0 | – | – 0 | – | – 0 | – | 4,434,248 | – 0 | – | |||||||||||||
Small-Mid Cap Growth | – 0 | – | – 0 | – | – 0 | – | – 0 | – | – 0 | – | – 0 | – | ||||||||||||
Multi-Asset Real Return | – 0 | – | – 0 | – | – 0 | – | – 0 | – | 257,380,621 | – 0 | – | |||||||||||||
Volatility Management | – 0 | – | – 0 | – | – 0 | – | – 0 | – | – 0 | – | – 0 | – | ||||||||||||
For tax purposes, net capital losses may be carried over to offset future capital gains, if any. Under the Regulated Investment Company Modernization Act of
| ALLIANCEBERNSTEIN POOLING PORTFOLIOS • | 269 |
Notes to Financial Statements
2010, funds are permitted to carry forward capital losses incurred in taxable years beginning after December 22, 2010 for an indefinite period. These post-enactment capital losses must be utilized prior to the pre-enactment capital losses, which are subject to expiration. Post-enactment 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.
NOTE H
Recent Accounting Pronouncements
In April 2011, the Financial Accounting Standards Board (“FASB”) issued an Accounting Standard Update (“ASU”) related to the accounting for repurchase agreements and similar agreements that both entitle and obligate a transferor to repurchase or redeem financial assets before their maturity. The ASU modifies the criteria for determining effective control of transferred assets and, as a result, certain agreements may now be accounted for as secured borrowings. The ASU is effective prospectively for new transfers and existing transactions that are modified in the first interim or annual period beginning on or after December 15, 2011. At this time, management is evaluating the implications of this ASU and its impact on the financial statements has not been determined.
In May 2011, the Financial Accounting Standards Board (“FASB”) issued an Accounting Standards Update (“ASU”) to develop common requirements for measuring fair value and for disclosing information about fair value measurements in U.S. GAAP and International Financial Reporting Standards (“IFRS”). The amendments are intended to improve the comparability of fair value measurements presented and disclosed in the financial statements prepared in accordance with U.S. GAAP and IFRS. The ASU is effective during interim or annual periods beginning after December 15, 2011. At this time, management is evaluating the implication of this ASU and its impact on the financial statements has not been determined.
In December 2011, the FASB issued an ASU related to disclosures about offsetting assets and liabilities in financial statements. The amendments in this update require an entity to disclose both gross and net information for derivatives and other financial instruments that are either offset in the statement of assets and liabilities or subject to an enforceable master netting arrangement or similar agreement. The ASU is effective during interim or annual reporting periods beginning on or after January 1, 2013. At this time, management is evaluating the implication of this ASU and its impact on the financial statements has not been determined.
NOTE I
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 Portfolios’ financial statements through this date.
| 270 | • ALLIANCEBERNSTEIN POOLING PORTFOLIOS |
Notes to Financial Statements
FINANCIAL HIGHLIGHTS
Selected Data For A Share Of Beneficial Interest Outstanding Throughout Each Period
| U.S. Value | ||||||||||||||||||||||||
Six Months (unaudited) | Year Ended August 31, | |||||||||||||||||||||||
| 2011 | 2010 | 2009 | 2008 | 2007 | ||||||||||||||||||||
|
| |||||||||||||||||||||||
Net asset value, beginning of period | $ 7.97 | $ 7.18 | $ 7.22 | $ 9.27 | $ 12.44 | $ 11.41 | ||||||||||||||||||
|
| |||||||||||||||||||||||
Income From Investment Operations | ||||||||||||||||||||||||
Net investment income(a) | .12 | .18 | .16 | .21 | .31 | .31 | ||||||||||||||||||
Net realized and unrealized gain (loss) on investment transactions | .85 | .77 | (.03 | ) | (2.03 | ) | (2.75 | ) | 1.22 | |||||||||||||||
|
| |||||||||||||||||||||||
Net increase (decrease) in net asset value from operations | .97 | .95 | .13 | (1.82 | ) | (2.44 | ) | 1.53 | ||||||||||||||||
|
| |||||||||||||||||||||||
Less: Dividends and Distributions | ||||||||||||||||||||||||
Dividends from net investment income | (.13 | ) | (.16 | ) | (.17 | ) | (.23 | ) | (.31 | ) | (.30 | ) | ||||||||||||
Distributions from net realized gain on investment transactions | – 0 | – | – 0 | – | – 0 | – | (.00 | )(b) | (.42 | ) | (.20 | ) | ||||||||||||
|
| |||||||||||||||||||||||
Total dividends and distributions | (.13 | ) | (.16 | ) | (.17 | ) | (.23 | ) | (.73 | ) | (.50 | ) | ||||||||||||
|
| |||||||||||||||||||||||
Net asset value, end of period | $ 8.81 | $ 7.97 | $ 7.18 | $ 7.22 | $ 9.27 | $ 12.44 | ||||||||||||||||||
|
| |||||||||||||||||||||||
Total Return | ||||||||||||||||||||||||
Total investment return based on net asset value(c) | 12.42 | % | 13.21 | % | 1.64 | % | (19.36 | )% | (20.55 | )% | 13.55 | % | ||||||||||||
Ratios/Supplemental Data | ||||||||||||||||||||||||
Net assets, end of period (000,000’s omitted) | $1,310 | $1,943 | $1,938 | $2,091 | $2,521 | $2,573 | ||||||||||||||||||
Ratio to average net assets of: | ||||||||||||||||||||||||
Expenses | .02 | %(d) | .01 | %(e) | .01 | % | .02 | % | .02 | % | .02 | % | ||||||||||||
Net investment income | 2.95 | %(d) | 2.14 | %(e) | 2.09 | % | 3.23 | % | 2.93 | % | 2.49 | % | ||||||||||||
Portfolio turnover rate | 22 | % | 65 | % | 73 | % | 59 | % | 20 | % | 22 | % | ||||||||||||
See footnote summary on page 283.
| ALLIANCEBERNSTEIN POOLING PORTFOLIOS • | 271 |
Financial Highlights
Selected Data For A Share Of Beneficial Interest Outstanding Throughout Each Period
| U.S. Large Cap Growth | ||||||||||||||||||||||||
Six Months (unaudited) | Year Ended August 31, | |||||||||||||||||||||||
| 2011 | 2010 | 2009 | 2008 | 2007 | ||||||||||||||||||||
|
| |||||||||||||||||||||||
Net asset value, beginning of period | $ 10.66 | $ 8.94 | $ 9.25 | $ 11.08 | $ 12.47 | $ 11.09 | ||||||||||||||||||
|
| |||||||||||||||||||||||
Income From Investment Operations | ||||||||||||||||||||||||
Net investment income(a) | .07 | .12 | .11 | .11 | .10 | .10 | ||||||||||||||||||
Net realized and unrealized gain (loss) on investment and foreign currency transactions | 1.53 | 1.70 | (.31 | ) | (1.83 | ) | (1.04 | ) | 1.57 | |||||||||||||||
|
| |||||||||||||||||||||||
Net increase (decrease) in net asset value from operations | 1.60 | 1.82 | (.20 | ) | (1.72 | ) | (.94 | ) | 1.67 | |||||||||||||||
|
| |||||||||||||||||||||||
Less: Dividends and Distributions | ||||||||||||||||||||||||
Dividends from net investment income | (.10 | ) | (.10 | ) | (.11 | ) | (.11 | ) | (.10 | ) | (.09 | ) | ||||||||||||
Distributions from net realized gain on investment transactions | – 0 | – | – 0 | – | – 0 | – | – 0 | – | (.35 | ) | (.20 | ) | ||||||||||||
|
| |||||||||||||||||||||||
Total dividends and distributions | (.10 | ) | (.10 | ) | (.11 | ) | (.11 | ) | (.45 | ) | (.29 | ) | ||||||||||||
|
| |||||||||||||||||||||||
Net asset value, end of period | $ 12.16 | $ 10.66 | $ 8.94 | $ 9.25 | $ 11.08 | $ 12.47 | ||||||||||||||||||
|
| |||||||||||||||||||||||
Total Return | ||||||||||||||||||||||||
Total investment return based on net asset value(c) | 15.09 | % | 20.35 | %* | (2.23 | )%* | (15.41 | )% | (8.06 | )% | 15.23 | % | ||||||||||||
Ratios/Supplemental Data | ||||||||||||||||||||||||
Net assets, end of period (000,000’s omitted) | $1,317 | $1,953 | $1,924 | $2,078 | $2,532 | $2,608 | ||||||||||||||||||
Ratio to average net assets of: | ||||||||||||||||||||||||
Expenses | .02 | %(d) | .02 | %(e) | .01 | % | .02 | % | .02 | % | .02 | % | ||||||||||||
Net investment income | 1.22 | %(d) | 1.09 | %(e) | 1.13 | % | 1.40 | % | .86 | % | .80 | % | ||||||||||||
Portfolio turnover rate | 32 | % | 91 | % | 81 | % | 108 | % | 93 | % | 92 | % | ||||||||||||
See footnote summary on page 283.
| 272 | • ALLIANCEBERNSTEIN POOLING PORTFOLIOS |
Financial Highlights
Selected Data For A Share Of Beneficial Interest Outstanding Throughout Each Period
| International Value | ||||||||||||||||||||||||
Six Months (unaudited) | Year Ended August 31, | |||||||||||||||||||||||
| 2011 | 2010 | 2009 | 2008 | 2007 | ||||||||||||||||||||
|
| |||||||||||||||||||||||
Net asset value, beginning of period | $ 6.98 | $ 6.93 | $ 7.50 | $ 10.37 | $ 14.88 | $ 13.84 | ||||||||||||||||||
|
| |||||||||||||||||||||||
Income From Investment Operations | ||||||||||||||||||||||||
Net investment income(a) | .08 | .24 | .21 | .23 | .45 | .42 | ||||||||||||||||||
Net realized and unrealized gain (loss) on investment and foreign currency transactions | .28 | .13 | (.60 | ) | (2.55 | ) | (3.18 | ) | 2.29 | |||||||||||||||
Contributions from Adviser | – 0 | – | – 0 | – | – 0 | – | .00 | (b) | – 0 | – | – 0 | – | ||||||||||||
|
| |||||||||||||||||||||||
Net increase (decrease) in net asset value from operations | .36 | .37 | (.39 | ) | (2.32 | ) | (2.73 | ) | 2.71 | |||||||||||||||
|
| |||||||||||||||||||||||
Less: Dividends and Distributions | ||||||||||||||||||||||||
Dividends from net investment income | (.09 | ) | (.32 | ) | (.18 | ) | (.19 | ) | (.43 | ) | (.55 | ) | ||||||||||||
Distributions from net realized gain on investment transactions | – 0 | – | – 0 | – | – 0 | – | (.36 | ) | (1.35 | ) | (1.12 | ) | ||||||||||||
|
| |||||||||||||||||||||||
Total dividends and distributions | (.09 | ) | (.32 | ) | (.18 | ) | (.55 | ) | (1.78 | ) | (1.67 | ) | ||||||||||||
|
| |||||||||||||||||||||||
Net asset value, end of period | $ 7.25 | $ 6.98 | $ 6.93 | $ 7.50 | $ 10.37 | $ 14.88 | ||||||||||||||||||
|
| |||||||||||||||||||||||
Total Return | ||||||||||||||||||||||||
Total investment return based on net asset value(c) | 5.42 | % | 4.82 | % | (5.15 | )% | (20.71 | )% | (20.92 | )% | 20.64 | % | ||||||||||||
Ratios/Supplemental Data | ||||||||||||||||||||||||
Net assets, end of period (000,000’s omitted) | $1,127 | $984 | $1,013 | $1,127 | $1,228 | $1,316 | ||||||||||||||||||
Ratio to average net assets of: | ||||||||||||||||||||||||
Expenses | .04 | %(d) | .04 | %(e) | .04 | % | .06 | % | .07 | % | .08 | % | ||||||||||||
Net investment income | 2.37 | %(d) | 3.00 | %(e) | 2.70 | % | 3.56 | % | 3.49 | % | 2.89 | % | ||||||||||||
Portfolio turnover rate | 35 | % | 58 | % | 60 | % | 56 | % | 31 | % | 31 | % | ||||||||||||
See footnote summary on page 283.
| ALLIANCEBERNSTEIN POOLING PORTFOLIOS • | 273 |
Financial Highlights
Selected Data For A Share Of Beneficial Interest Outstanding Throughout Each Period
| International Growth | ||||||||||||||||||||||||
Six Months (unaudited) | Year Ended August 31, | |||||||||||||||||||||||
| 2011 | 2010 | 2009 | 2008 | 2007 | ||||||||||||||||||||
|
| |||||||||||||||||||||||
Net asset value, beginning of period | $ 8.27 | $ 8.18 | $ 8.12 | $ 11.27 | $ 13.98 | $ 12.54 | ||||||||||||||||||
|
| |||||||||||||||||||||||
Income From Investment Operations | ||||||||||||||||||||||||
Net investment income(a) | .06 | .19 | .19 | .23 | .38 | .34 | ||||||||||||||||||
Net realized and unrealized gain (loss) on investment and foreign currency transactions | (.17 | ) | .26 | .16 | (3.11 | ) | (1.89 | ) | 1.86 | |||||||||||||||
Contributions from Adviser | – 0 | – | – 0 | – | .00 | (b) | .00 | (b) | .00 | (b) | .00 | (b) | ||||||||||||
|
| |||||||||||||||||||||||
Net increase (decrease) in net asset value from operations | (.11 | ) | .45 | .35 | (2.88 | ) | (1.51 | ) | 2.20 | |||||||||||||||
|
| |||||||||||||||||||||||
Less: Dividends and Distributions | ||||||||||||||||||||||||
Dividends from net investment income | (.11 | ) | (.36 | ) | (.29 | ) | (.27 | ) | (.38 | ) | (.27 | ) | ||||||||||||
Distributions from net realized gain on investment transactions | – 0 | – | – 0 | – | – 0 | – | (.00 | )(b) | (.82 | ) | (.49 | ) | ||||||||||||
|
| |||||||||||||||||||||||
Total dividends and distributions | (.11 | ) | (.36 | ) | (.29 | ) | (.27 | ) | (1.20 | ) | (.76 | ) | ||||||||||||
|
| |||||||||||||||||||||||
Net asset value, end of period | $ 8.05 | $ 8.27 | $ 8.18 | $ 8.12 | $ 11.27 | $ 13.98 | ||||||||||||||||||
|
| |||||||||||||||||||||||
Total Return | ||||||||||||||||||||||||
Total investment return based on net asset value(c) | (1.18 | )% | 5.15 | % | 4.20 | % | (25.32 | )% | (12.46 | )% | 18.08 | % | ||||||||||||
Ratios/Supplemental Data | ||||||||||||||||||||||||
Net assets, end of period (000,000’s omitted) | $1,120 | $1,022 | $1,037 | $1,078 | $1,246 | $1,329 | ||||||||||||||||||
Ratio to average net assets of: | ||||||||||||||||||||||||
Expenses | .04 | %(d) | .04 | %(e) | .03 | % | .05 | % | .06 | % | .07 | % | ||||||||||||
Net investment income | 1.52 | %(d) | 2.15 | %(e) | 2.27 | % | 3.19 | % | 2.81 | % | 2.50 | % | ||||||||||||
Portfolio turnover rate | 52 | % | 73 | % | 119 | % | 111 | % | 85 | % | 82 | % | ||||||||||||
See footnote summary on page 283.
| 274 | • ALLIANCEBERNSTEIN POOLING PORTFOLIOS |
Financial Highlights
Selected Data For A Share Of Beneficial Interest Outstanding Throughout Each Period
| Short Duration Bond | ||||||||||||||||||||||||
Six Months (unaudited) | Year Ended August 31, | |||||||||||||||||||||||
| 2011 | 2010 | 2009 | 2008 | 2007 | ||||||||||||||||||||
|
| |||||||||||||||||||||||
Net asset value, beginning of period | $ 9.59 | $ 9.56 | $ 9.26 | $ 9.37 | $ 9.87 | $ 9.93 | ||||||||||||||||||
|
| |||||||||||||||||||||||
Income From Investment Operations | ||||||||||||||||||||||||
Net investment income(a) | .07 | .17 | .25 | .36 | .46 | .52 | ||||||||||||||||||
Net realized and unrealized gain (loss) on investment transactions | (.03 | ) | .05 | .32 | (.08 | ) | (.49 | ) | (.08 | ) | ||||||||||||||
|
| |||||||||||||||||||||||
Net increase (decrease) in net asset value from operations | .04 | .22 | .57 | .28 | (.03 | ) | .44 | |||||||||||||||||
|
| |||||||||||||||||||||||
Less: Dividends | ||||||||||||||||||||||||
Dividends from net investment income | (.09 | ) | (.19 | ) | (.27 | ) | (.39 | ) | (.47 | ) | (.50 | ) | ||||||||||||
|
| |||||||||||||||||||||||
Net asset value, end of period | $ 9.54 | $ 9.59 | $ 9.56 | $ 9.26 | $ 9.37 | $ 9.87 | ||||||||||||||||||
|
| |||||||||||||||||||||||
Total Return | ||||||||||||||||||||||||
Total investment return based on net asset value(c) | .38 | % | 2.36 | % | 6.26 | % | 3.14 | % | (.40 | )% | 4.51 | % | ||||||||||||
Ratios/Supplemental Data | ||||||||||||||||||||||||
Net assets, end of period (000,000’s omitted) | $952 | $1,286 | $1,218 | $1,108 | $1,299 | $1,272 | ||||||||||||||||||
Ratio to average net assets of: | ||||||||||||||||||||||||
Expenses | .03 | %(d) | .05 | %(e) | .12 | % | .04 | % | .03 | % | .02 | % | ||||||||||||
Expenses, excluding interest expense and TALF administration fee | .03 | %(d) | .03 | %(e) | .02 | % | .03 | % | .03 | % | .02 | % | ||||||||||||
Expenses, excluding interest expense | .03 | %(d) | .03 | %(e) | .03 | % | .04 | % | .03 | % | .02 | % | ||||||||||||
Net investment income | 1.39 | %(d) | 1.75 | %(e) | 2.64 | % | 4.06 | % | 4.75 | % | 5.23 | % | ||||||||||||
Portfolio turnover rate | 61 | % | 88 | % | 130 | % | 153 | % | 116 | % | 138 | % | ||||||||||||
See footnote summary on page 283.
| ALLIANCEBERNSTEIN POOLING PORTFOLIOS • | 275 |
Financial Highlights
Selected Data For A Share Of Beneficial Interest Outstanding Throughout Each Period
| Global Core Bond | ||||||||||||||||||||||||
Six Months (unaudited) | Year Ended August 31, | |||||||||||||||||||||||
| 2011 | 2010 | 2009 | 2008 | 2007 | ||||||||||||||||||||
|
| |||||||||||||||||||||||
Net asset value, beginning of period | $ 10.88 | $ 10.78 | $ 9.98 | $ 9.70 | $ 9.87 | $ 9.86 | ||||||||||||||||||
|
| |||||||||||||||||||||||
Income From Investment Operations | ||||||||||||||||||||||||
Net investment income(a) | .16 | .41 | .45 | .51 | .50 | .49 | ||||||||||||||||||
Net realized and unrealized gain (loss) on investment and foreign currency transactions | .13 | .15 | .80 | .33 | (.16 | ) | .00 | (b) | ||||||||||||||||
|
| |||||||||||||||||||||||
Net increase in net asset value from operations | .29 | .56 | 1.25 | .84 | .34 | .49 | ||||||||||||||||||
|
| |||||||||||||||||||||||
Less: Dividends and Distributions | ||||||||||||||||||||||||
Dividends from net investment income | (.19 | ) | (.43 | ) | (.45 | ) | (.56 | ) | (.51 | ) | (.48 | ) | ||||||||||||
Distributions from net realized gain on investment transactions | (.27 | ) | (.03 | ) | – 0 | – | – 0 | – | – 0 | – | – 0 | – | ||||||||||||
|
| |||||||||||||||||||||||
Total dividends and distributions | (.46 | ) | (.46 | ) | (.45 | ) | (.56 | ) | (.51 | ) | (.48 | ) | ||||||||||||
|
| |||||||||||||||||||||||
Net asset value, end of period | $ 10.71 | $ 10.88 | $ 10.78 | $ 9.98 | $ 9.70 | $ 9.87 | ||||||||||||||||||
|
| |||||||||||||||||||||||
Total Return | ||||||||||||||||||||||||
Total investment return based on net asset value(c) | 2.75 | % | 5.38 | % | 12.84 | % | 9.26 | % | 3.51 | % | 5.03 | % | ||||||||||||
Ratios/Supplemental Data | ||||||||||||||||||||||||
Net assets, end of period (000,000’s omitted) | $1,208 | $1,307 | $1,353 | $1,281 | $1,654 | $1,600 | ||||||||||||||||||
Ratio to average net assets of: | ||||||||||||||||||||||||
Expenses | .03 | %(d) | .03 | %(e) | .13 | % | .04 | % | .03 | % | .04 | % | ||||||||||||
Expenses, excluding interest expense and TALF administration fee | .03 | %(d) | .02 | %(e) | .02 | % | .03 | % | .03 | % | .04 | % | ||||||||||||
Expenses, excluding interest expense | .03 | %(d) | .02 | %(e) | .03 | % | .04 | % | .03 | % | .04 | % | ||||||||||||
Net investment income | 3.04 | %(d) | 3.87 | %(e) | 4.38 | % | 5.47 | % | 5.01 | % | 5.01 | % | ||||||||||||
Portfolio turnover rate | 105 | % | 114 | % | 94 | % | 108 | % | 114 | % | 236 | % | ||||||||||||
See footnote summary on page 283.
| 276 | • ALLIANCEBERNSTEIN POOLING PORTFOLIOS |
Financial Highlights
Selected Data For A Share Of Beneficial Interest Outstanding Throughout Each Period
| Bond Inflation Protection | ||||||||||||||||||||||||
Six Months (unaudited) | Year Ended August 31, | |||||||||||||||||||||||
| 2011 | 2010 | 2009 | 2008 | 2007 | ||||||||||||||||||||
|
| |||||||||||||||||||||||
Net asset value, beginning of period | $ 11.46 | $ 10.70 | $ 9.91 | $ 10.74 | $ 9.99 | $ 9.91 | ||||||||||||||||||
|
|
|
|
|
| |||||||||||||||||||
Income From Investment Operations | ||||||||||||||||||||||||
Net investment income(a) | .11 | .68 | .34 | .04 | .69 | .49 | ||||||||||||||||||
Net realized and unrealized gain (loss) on investment and foreign currency transactions | .25 | .40 | .58 | (.19 | ) | .52 | (.06 | ) | ||||||||||||||||
Contributions from Adviser | – 0 | – | – 0 | – | .00 | (b) | – 0 | – | – 0 | – | .00 | (b) | ||||||||||||
|
| |||||||||||||||||||||||
Net increase (decrease) in net asset value from operations | .36 | 1.08 | .92 | (.15 | ) | 1.21 | .43 | |||||||||||||||||
|
| |||||||||||||||||||||||
Less: Dividends and Distributions | ||||||||||||||||||||||||
Dividends from net investment income | (.72 | ) | (.32 | ) | (.13 | ) | (.68 | ) | (.46 | ) | (.35 | ) | ||||||||||||
Distributions from net realized gain on investment transactions | (.22 | ) | – 0 | – | – 0 | – | – 0 | – | – 0 | – | – 0 | – | ||||||||||||
|
| |||||||||||||||||||||||
Total dividends and distributions | (.94 | ) | (.32 | ) | (.13 | ) | (.68 | ) | (.46 | ) | (.35 | ) | ||||||||||||
|
| |||||||||||||||||||||||
Net asset value, end of period | $ 10.88 | $ 11.46 | $ 10.70 | $ 9.91 | $ 10.74 | $ 9.99 | ||||||||||||||||||
|
| |||||||||||||||||||||||
Total Return | ||||||||||||||||||||||||
Total investment return based on net asset value(c) | 3.36 | % | 10.28 | % | 9.31 | % | (.88 | )% | 12.45 | % | 4.44 | % | ||||||||||||
Ratios/Supplemental Data | ||||||||||||||||||||||||
Net assets, end of period (000’s omitted) | $831,860 | $712,731 | $667,764 | $586,321 | $688,918 | $643,549 | ||||||||||||||||||
Ratio to average net assets of: | ||||||||||||||||||||||||
Expenses | .10 | %(d) | .12 | %(e) | .07 | % | .04 | % | .04 | % | .04 | % | ||||||||||||
Expenses, excluding interest expense | .04 | %(d) | .04 | %(e) | .04 | % | .04 | % | .04 | % | .04 | % | ||||||||||||
Net investment income | 2.04 | %(d) | 6.21 | %(e) | 3.25 | % | .44 | % | 6.63 | % | 4.98 | % | ||||||||||||
Portfolio turnover rate | 31 | % | 39 | % | 21 | % | 20 | % | 9 | % | 12 | % | ||||||||||||
See footnote summary on page 283.
| ALLIANCEBERNSTEIN POOLING PORTFOLIOS • | 277 |
Financial Highlights
Selected Data For A Share Of Beneficial Interest Outstanding Throughout Each Period
| High-Yield | ||||||||||||||||||||||||
Six Months (unaudited) | Year Ended August 31, | |||||||||||||||||||||||
| 2011 | 2010 | 2009 | 2008 | 2007 | ||||||||||||||||||||
|
| |||||||||||||||||||||||
Net asset value, beginning of period | $ 9.71 | $ 9.85 | $ 8.51 | $ 8.87 | $ 9.89 | $ 9.99 | ||||||||||||||||||
|
| |||||||||||||||||||||||
Income From Investment Operations | ||||||||||||||||||||||||
Net investment income(a) | .39 | .87 | .89 | .81 | .78 | .77 | ||||||||||||||||||
Net realized and unrealized gain (loss) on investment and foreign currency transactions | .34 | (.08 | ) | 1.33 | (.38 | ) | (1.03 | ) | (.15 | ) | ||||||||||||||
Contributions from Adviser | .00 | (b) | .00 | (b) | – 0 | – | – 0 | – | – 0 | – | – 0 | – | ||||||||||||
|
| |||||||||||||||||||||||
Net increase (decrease) in net asset value from operations | .73 | .79 | 2.22 | .43 | (.25 | ) | .62 | |||||||||||||||||
|
| |||||||||||||||||||||||
Less: Dividends | ||||||||||||||||||||||||
Dividends from net investment income | (.35 | ) | (.93 | ) | (.88 | ) | (.79 | ) | (.77 | ) | (.72 | ) | ||||||||||||
|
| |||||||||||||||||||||||
Net asset value, end of period | $ 10.09 | $ 9.71 | $ 9.85 | $ 8.51 | $ 8.87 | $ 9.89 | ||||||||||||||||||
|
| |||||||||||||||||||||||
Total Return | ||||||||||||||||||||||||
Total investment return based on net asset value(c) | 7.78 | % | 8.07 | % | 27.01 | % | 7.25 | % | (2.76 | )% | 6.22 | % | ||||||||||||
Ratios/Supplemental Data | ||||||||||||||||||||||||
Net assets, end of period (000’s omitted) | $435,229 | $482,423 | $487,751 | $463,400 | $526,850 | $495,833 | ||||||||||||||||||
Ratio to average net assets of: | ||||||||||||||||||||||||
Expenses | .07 | %(d) | .07 | %(e) | .05 | % | .06 | % | .05 | % | .06 | % | ||||||||||||
Net investment income | 8.15 | %(d) | 8.53 | %(e) | 9.29 | % | 11.13 | % | 8.19 | % | 7.50 | % | ||||||||||||
Portfolio turnover rate | 21 | % | 55 | % | 34 | % | 40 | % | 25 | % | 49 | % | ||||||||||||
See footnote summary on page 283.
| 278 | • ALLIANCEBERNSTEIN POOLING PORTFOLIOS |
Financial Highlights
Selected Data For A Share Of Beneficial Interest Outstanding Throughout Each Period
| Small-Mid Cap Value | ||||||||||||||||||||||||
Six Months (unaudited) | Year Ended August 31, | |||||||||||||||||||||||
| 2011 | 2010 | 2009 | 2008 | 2007 | ||||||||||||||||||||
|
| |||||||||||||||||||||||
Net asset value, beginning of period | $ 10.38 | $ 9.08 | $ 8.10 | $ 11.19 | $ 12.79 | $ 11.08 | ||||||||||||||||||
|
| |||||||||||||||||||||||
Income From Investment Operations | ||||||||||||||||||||||||
Net investment income(a) | .08 | .15 | .11 | .14 | .19 | .24 | ||||||||||||||||||
Net realized and unrealized gain (loss) on investment transactions | 1.36 | 1.30 | .99 | (2.34 | ) | (.96 | ) | 1.80 | ||||||||||||||||
|
| |||||||||||||||||||||||
Net increase (decrease) in net asset value from operations | 1.44 | 1.45 | 1.10 | (2.20 | ) | (.77 | ) | 2.04 | ||||||||||||||||
|
| |||||||||||||||||||||||
Less: Dividends and Distributions | ||||||||||||||||||||||||
Dividends from net investment income | (.05 | ) | (.15 | ) | (.12 | ) | (.14 | ) | (.18 | ) | (.23 | ) | ||||||||||||
Distributions from net realized gain on investment transactions | – 0 | – | – 0 | – | – 0 | – | (.75 | ) | (.65 | ) | (.10 | ) | ||||||||||||
|
| |||||||||||||||||||||||
Total dividends and distributions | (.05 | ) | (.15 | ) | (.12 | ) | (.89 | ) | (.83 | ) | (.33 | ) | ||||||||||||
|
| |||||||||||||||||||||||
Net asset value, end of period | $ 11.77 | $ 10.38 | $ 9.08 | $ 8.10 | $ 11.19 | $ 12.79 | ||||||||||||||||||
|
| |||||||||||||||||||||||
Total Return | ||||||||||||||||||||||||
Total investment return based on net asset value(c) | 13.93 | % | 15.84 | % | 13.56 | % | (16.76 | )% | (6.29 | )% | 18.64 | % | ||||||||||||
Ratios/Supplemental Data | ||||||||||||||||||||||||
Net assets, end of period (000’s omitted) | $367,645 | $497,049 | $500,525 | $553,145 | $685,788 | $648,401 | ||||||||||||||||||
Ratio to average net assets of: | ||||||||||||||||||||||||
Expenses | .05 | %(d) | .04 | %(e) | .04 | % | .04 | % | .04 | % | .04 | % | ||||||||||||
Net investment income | 1.49 | %(d) | 1.36 | %(e) | 1.20 | % | 2.00 | % | 1.67 | % | 1.93 | % | ||||||||||||
Portfolio turnover rate | 32 | % | 65 | % | 54 | % | 60 | % | 38 | % | 33 | % | ||||||||||||
See footnote summary on page 283.
| ALLIANCEBERNSTEIN POOLING PORTFOLIOS • | 279 |
Financial Highlights
Selected Data For A Share Of Beneficial Interest Outstanding Throughout Each Period
| Small-Mid Cap Growth | ||||||||||||||||||||||||
Six Months (unaudited) | Year Ended August 31, | |||||||||||||||||||||||
| 2011 | 2010 | 2009 | 2008 | 2007 | ||||||||||||||||||||
|
| |||||||||||||||||||||||
Net asset value, beginning of period | $ 16.09 | $ 11.77 | $ 10.18 | $ 12.62 | $ 14.79 | $ 11.84 | ||||||||||||||||||
|
| |||||||||||||||||||||||
Income From Investment Operations | ||||||||||||||||||||||||
Net investment income(a) | .04 | .07 | .05 | .04 | .05 | .06 | ||||||||||||||||||
Net realized and unrealized gain (loss) on investment transactions | 2.29 | 4.32 | 1.59 | (2.44 | ) | (.78 | ) | 3.16 | ||||||||||||||||
Contributions from Adviser | – 0 | – | – 0 | – | – 0 | – | .00 | (b) | .01 | .00 | (b) | |||||||||||||
|
| |||||||||||||||||||||||
Net increase (decrease) in net asset value from operations | 2.33 | 4.39 | 1.64 | (2.40 | ) | (.72 | ) | 3.22 | ||||||||||||||||
|
| |||||||||||||||||||||||
Less: Dividends and Distributions | ||||||||||||||||||||||||
Dividends from net investment income | (.06 | ) | (.07 | ) | (.05 | ) | (.04 | ) | (.06 | ) | (.04 | ) | ||||||||||||
Distributions from net realized gain on investment transactions | (5.00 | ) | – 0 | – | – 0 | – | – 0 | – | (1.39 | ) | (.23 | ) | ||||||||||||
|
| |||||||||||||||||||||||
Total dividends and distributions | (5.06 | ) | (.07 | ) | (.05 | ) | (.04 | ) | (1.45 | ) | (.27 | ) | ||||||||||||
|
| |||||||||||||||||||||||
Net asset value, end of period | $ 13.36 | $ 16.09 | $ 11.77 | $ 10.18 | $ 12.62 | $ 14.79 | ||||||||||||||||||
|
| |||||||||||||||||||||||
Total Return | ||||||||||||||||||||||||
Total investment return based on net asset value(c) | 18.66 | %* | 37.31 | %* | 16.13 | % | (18.97 | )% | (5.84 | )% | 27.50 | % | ||||||||||||
Ratios/Supplemental Data | ||||||||||||||||||||||||
Net assets, end of period (000’s omitted) | $369,208 | $504,936 | $520,593 | $548,279 | $686,291 | $668,771 | ||||||||||||||||||
Ratio to average net assets of: | ||||||||||||||||||||||||
Expenses | .05 | %(d) | .04 | %(e) | .04 | % | .05 | % | .04 | % | .05 | % | ||||||||||||
Net investment income | .59 | %(d) | .43 | %(e) | .46 | % | .49 | % | .39 | % | .45 | % | ||||||||||||
Portfolio turnover rate | 32 | % | 75 | % | 91 | % | 107 | % | 88 | % | 88 | % | ||||||||||||
See footnote summary on page 283.
| 280 | • ALLIANCEBERNSTEIN POOLING PORTFOLIOS |
Financial Highlights
Selected Data For A Share Of Beneficial Interest Outstanding Throughout Each Period
| Multi-Asset Real Return | ||||||||||||||||||||||||
Six Months (unaudited) | Year Ended August 31, | |||||||||||||||||||||||
| 2011** | 2010 | 2009 | 2008 | 2007 | ||||||||||||||||||||
|
| |||||||||||||||||||||||
Net asset value, beginning of period | $ 9.13 | $ 8.57 | $ 7.68 | $ 9.56 | $ 13.90 | $ 13.14 | ||||||||||||||||||
|
| |||||||||||||||||||||||
Income From Investment Operations | ||||||||||||||||||||||||
Net investment income(a) | .08 | .24 | .28 | .28 | .36 | .27 | ||||||||||||||||||
Net realized and unrealized gain (loss) on investment and foreign currency transactions | .05 | 1.06 | .83 | (2.11 | ) | (2.32 | ) | 1.59 | ||||||||||||||||
|
| |||||||||||||||||||||||
Net increase (decrease) in net asset value from operations | .13 | 1.30 | 1.11 | (1.83 | ) | (1.96 | ) | 1.86 | ||||||||||||||||
|
| |||||||||||||||||||||||
Less: Dividends and Distributions | ||||||||||||||||||||||||
Dividends from net investment income | (.39 | ) | (.74 | ) | (.22 | ) | (.05 | ) | (1.33 | ) | (.58 | ) | ||||||||||||
Distributions from net realized gain on investment transactions | – 0 | – | – 0 | – | – 0 | – | – 0 | – | (1.05 | ) | (.52 | ) | ||||||||||||
|
| |||||||||||||||||||||||
Total dividends and distributions | (.39 | ) | (.74 | ) | (.22 | ) | (.05 | ) | (2.38 | ) | (1.10 | ) | ||||||||||||
|
| |||||||||||||||||||||||
Net asset value, end of period | $ 8.87 | $ 9.13 | $ 8.57 | $ 7.68 | $ 9.56 | $ 13.90 | ||||||||||||||||||
|
| |||||||||||||||||||||||
Total Return | ||||||||||||||||||||||||
Total investment return based on net asset value(c) | 1.85 | % | 15.42 | % | 14.68 | % | (19.25 | )% | (17.38 | )% | 14.33 | % | ||||||||||||
Ratios/Supplemental Data | ||||||||||||||||||||||||
Net assets, end of period (000’s omitted) | $612,541 | $937,281 | $925,042 | $994,537 | $1,132,381 | $1,203,895 | ||||||||||||||||||
Ratio to average net assets of: | ||||||||||||||||||||||||
Expenses | .22 | %(d) | .05 | %(e) | .03 | % | .05 | % | .07 | % | .06 | % | ||||||||||||
Expenses, excluding interest expense | .06 | %(d) | .05 | %(e) | .03 | % | .05 | % | .07 | % | .06 | % | ||||||||||||
Net investment income | 1.81 | %(d) | 2.52 | %(e) | 3.43 | % | 4.46 | % | 3.11 | % | 1.90 | % | ||||||||||||
Portfolio turnover rate | 69 | % | 156 | % | 57 | % | 76 | % | 46 | % | 49 | % | ||||||||||||
See footnote summary on page 283.
| ALLIANCEBERNSTEIN POOLING PORTFOLIOS • | 281 |
Financial Highlights
Selected Data For A Share Of Beneficial Interest Outstanding Throughout Each Period
| Volatility Management | ||||||||||||
| Six Months Ended February 29, 2012 (unaudited) | Year Ended August 31, 2011 | April 16, 2010(f) to August 31, 2010 | ||||||||||
|
| |||||||||||
Net asset value, beginning of period | $ 10.27 | $ 9.31 | $ 10.00 | |||||||||
|
| |||||||||||
Income From Investment Operations | ||||||||||||
Net investment income(a) | .02 | .09 | (g) | .04 | (g) | |||||||
Net realized and unrealized gain (loss) on investment and foreign currency transactions | .58 | 1.36 | (.73 | ) | ||||||||
|
| |||||||||||
Net increase (decrease) in net asset value from operations | .60 | 1.45 | (.69 | ) | ||||||||
|
| |||||||||||
Less: Dividends and Distributions | ||||||||||||
Dividends from net investment income | (.06 | ) | (.08 | ) | – 0 | – | ||||||
Distributions from net realized gain on investment transactions | (.28 | ) | (.41 | ) | – 0 | – | ||||||
|
| |||||||||||
Total dividends and distributions | (.34 | ) | (.49 | ) | – 0 | – | ||||||
|
| |||||||||||
Net asset value, end of period | $ 10.53 | $ 10.27 | $ 9.31 | |||||||||
|
| |||||||||||
Total Return | ||||||||||||
Total investment return based on net asset value(c) | 6.02 | % | 15.61 | % | (6.90 | )% | ||||||
Ratios/Supplemental Data | ||||||||||||
Net assets, end of period (000,000’s omitted) | $1,854 | $284 | $296 | |||||||||
Ratio to average net assets of: | ||||||||||||
Expenses, net of waivers/reimbursements | .05 | %(d) | .15 | %(e) | .15 | %(d)(e) | ||||||
Expenses, before waivers/reimbursements | .05 | %(d) | .16 | %(e) | .21 | %(d)(e) | ||||||
Net investment income | .46 | %(d) | .88 | %(e)(g) | 1.06 | %(d)(e)(g) | ||||||
Portfolio turnover rate | 106 | % | 81 | % | 51 | % | ||||||
See footnote summary on page 283.
| 282 | • ALLIANCEBERNSTEIN POOLING PORTFOLIOS |
Financial Highlights
| (a) | Based on average shares outstanding. |
| (b) | Amount is less than $0.005. |
| (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. Total investment return calculated for a period of less than one year is not annualized. |
| (d) | Annualized. |
| (e) | The ratio includes expenses attributable to costs of proxy solicitation. |
| (f) | Commencement of operations. |
| (g) | Net of fees and expenses waived/reimbursed by the Adviser. |
| * | Includes the impact of proceeds received and credited to the Portfolio resulting from the class action settlements, which enhanced the performance for the U.S. Large Cap Growth Portfolio for the years ended August 31, 2011 and August 31, 2010 by 0.01% and 0.01%, respectively, and of the Small-Mid Cap Growth Portfolio for the six months ended February 29, 2012 and year ended August 31, 2011 by 0.01% and 0.01%, respectively. |
| ** | Consolidated (see Note A). |
See notes to financial statements.
| ALLIANCEBERNSTEIN POOLING PORTFOLIOS • | 283 |
Financial Highlights
TRUSTEES
William H. Foulk, Jr.(1) , Chairman John H. Dobkin(1) Michael J. Downey(1) D. James Guzy(1) Nancy P. Jacklin(1) | Robert M. Keith, President and Chief Executive Officer Garry L. Moody(1) Marshall C. Turner, Jr.(1) Earl D. Weiner(1) | |
| OFFICERS(2) | ||
Philip L. Kirstein, Senior Vice President and Independent Compliance Officer Bruce K. Aronow, Vice President Takeo Aso, Vice President Frank V. Caruso, Vice President Vincent L. Childers, Vice President Sergey Davalchenko, Vice President Paul J. DeNoon, Vice President Jon P. Denfeld, Vice President Scott A. DiMaggio, Vice President Gershon M. Distenfeld, Vice President Vincent C. DuPont, Vice President Sharon E. Fay, Vice President Rajen B. Jadav, Vice President John H. Fogarty, Vice President Shawn E. Keegan, Vice President N. Kumar Kirpalani, Vice President Samantha S. Lau, Vice President Avi Lavi, Vice President Daniel J. Loewy, Vice President James W. MacGregor, Vice President | Alison M. Martier, Vice President Christopher W. Marx, Vice President Seth J. Masters, Vice President Michael L. Mon, Vice President Joseph G. Paul, Vice President Douglas J. Peebles, Vice President Greg L. Powell, Vice President Jonathan E. Ruff, Vice President Laurent Saltiel, Vice President Matthew S. Sheridan, Vice President Ashish C. Shah, Vice President Kevin F. Simms, Vice President Wen-Tse Tseng, Vice President Andrew J. Weiner, Vice President Greg J. Wilensky, Vice President Jean-Francois Van de Walle, Vice President Emilie D. Wrapp, Secretary Joseph J. Mantineo, Treasurer and Chief Financial Officer Phyllis J. Clarke, Controller | |
Custodian and Accounting Agent State Street Bank and Trust Company
Principal Underwriter AllianceBernstein Investments, Inc.
Transfer Agent AllianceBernstein Investor |
Legal Counsel Seward & Kissel LLP
Independent Registered Public Ernst & Young LLP | |
| 284 | • ALLIANCEBERNSTEIN POOLING PORTFOLIOS |
Trustees
| (1) | Member of the Audit Committee, the Governance and Nominating Committee, and the Independent Directors Committee. Mr. Foulk is the sole member of the Fair Value Pricing Committee. |
| (2) | The management of, and investment decisions for, the AllianceBernstein Multi-Asset Real Return Portfolio are made by the Real Asset Strategy Team. Mr. Vincent L. Childers and Mr. Jonathan E. Ruff are the senior most members of the Investment Management Team. |
| The management of, and investment decisions for, the AllianceBernstein U.S. Value Portfolio are made by the U.S. Value Senior Investment Management Team. Mr. Joseph G. Paul, Mr. Christopher W. Marx and Mr. Greg L. Powell are the senior most members of the Investment Management Team. |
| The management of, and investment decisions for, the AllianceBernstein Small-Mid Cap Value Portfolio are made by the Small-Mid Cap Value Senior Investment Management Team. Mr. Joseph G. Paul, Mr. James W. MacGregor and Mr. Andrew J. Weiner are the senior most members of the Investment Management Team. |
| The management of, and investment decisions for, the AllianceBernstein International Value Portfolio are made by the International Value Senior Investment Management Team. Mr. Takeo Aso, Ms. Sharon E. Fay, Mr. Avi Lavi and Mr. Kevin F. Simms are the senior most members of the Investment Management Team. |
| The management of, and investment decisions for, the AllianceBernstein U.S. Large Cap Growth Portfolio are made by the U.S. Large Cap Growth Team. Mr. Frank V. Caruso, Mr. Vincent C. DuPont and Mr. John H. Fogarty are the senior most members of the team. |
| The management of, and investment decisions for, the AllianceBernstein Small-Mid Cap Growth Portfolio are made by the Small/Mid Cap Growth Investment Team. Mr. Bruce K. Aronow, Mr. N. Kumar Kirpalani, Ms. Samantha S. Lau and Mr. Wen-Tse Tseng are the senior most members of the team. |
| The management of, and investment decisions for, the AllianceBernstein International Growth Portfolio are made by the International Growth Team. Mr. Sergey Davalchenko, Mr. Laurent Saltiel and Mr. Jean-Francois Van de Walle are the senior most members of the team. |
| The management of, and investment decisions for, the AllianceBernstein Short Duration Bond Portfolio are made by the U.S. Multi Sector Fixed Income Team. Mr. Jon P. Denfeld, Mr. Paul J. DeNoon, Mr. Shawn E. Keegan, Ms. Alison M. Martier, Mr. Douglas J. Peebles and Mr. Greg J. Wilensky are the senior most members of the team. |
| The management of, and investment decisions for, the AllianceBernstein Global Core Bond Portfolio are made by the U.S. Global Fixed Income Team. Mr. Paul J. DeNoon, Mr. Scott A. DiMaggio, Mr. Michael L. Mon, Mr. Douglas J. Peebles and Mr. Matthew S. Sheridan are the senior most members of the team. |
| The management of, and investment decisions for, the AllianceBernstein High-Yield Portfolio are made by the Global Credit Investment Team. Mr. Gershon M. Distenfeld, Mr. Douglas J. Peebles and Mr. Ashish C. Shah are the senior most members of the team. |
| Mr. Greg J. Wilensky, Director of Stable Value Investments, Mr. Rajen B. Jadav and Mr. Shawn E. Keegan are primarily responsible for the day-to-day management of the AllianceBernstein Bond Inflation Protection Portfolio. |
| The day-to-day management of, and investment decisions for, the AllianceBernstein Volatility Management Portfolio are made by the Adviser’s Dynamic Asset Allocation Team. Mr. Seth J. Masters and Mr. Daniel J. Loewy are primarily responsible for the day-to-day management of the Portfolio. |
| ALLIANCEBERNSTEIN POOLING PORTFOLIOS • | 285 |
Trustees
Information Regarding the Review and Approval of the Advisory Agreement in Respect of Each Portfolio
The disinterested trustees (the “trustees”) of The AllianceBernstein Pooling Portfolios (the “Trust”) unanimously approved the continuance of the Trust’s Advisory Agreement with the Adviser in respect of each of the fixed-income portfolios listed below (each, a “Portfolio” and collectively, the “Portfolios”) at a meeting held on November 1-3, 2011:
| • | AllianceBernstein Short Duration Bond Portfolio |
| • | AllianceBernstein Global Core Bond Portfolio (formerly named AllianceBernstein Intermediate Duration Bond Portfolio) |
| • | AllianceBernstein Bond Inflation Protection Portfolio (formerly named AllianceBernstein Inflation Protected Securities Portfolio) |
| • | AllianceBernstein High-Yield Portfolio |
Prior to approval of the continuance of the Advisory Agreement in respect of each Portfolio, the trustees had requested from the Adviser, and received and evaluated, extensive materials. They reviewed the proposed continuance of the Advisory Agreement with the Adviser and with experienced counsel who are independent of the Adviser, who advised on the relevant legal standards. The trustees also reviewed an independent evaluation prepared by the Trust’s Senior Officer (who is also the Trust’s Independent Compliance Officer) of the reasonableness of the advisory fee in the Advisory Agreement in respect of each Portfolio, in which the Senior Officer concluded that the contractual fee (zero) for each Portfolio was reasonable. The trustees also discussed the proposed continuances in private sessions with counsel and the Trust’s Senior Officer.
The trustees noted that the Portfolios are designed as investment vehicles for certain AllianceBernstein institutional clients, including registered investment companies sponsored by the Adviser (the institutional clients, including the registered investment companies, are all referred to as the “Pooling Investors”). The trustees also noted that no advisory fee is payable by any of the Portfolios, although the Advisory Agreement provides that the Portfolios will reimburse the Adviser for the cost of certain clerical, accounting, administrative and other services provided to the Portfolios by employees of the Adviser or its affiliates, and that a similar reimbursement provision is included in the Adviser’s advisory agreements with most of the open-end AllianceBernstein Funds. The trustees further noted that the Trust acknowledges in the Advisory Agreement that the Adviser will receive compensation for its services to the Portfolios from third parties (e.g., the Pooling Investors). The trustees noted that the current Pooling Investors in the Portfolios are certain registered investment companies sponsored by the Adviser and an unaffiliated institutional investor.
The trustees considered their knowledge of the nature and quality of the services provided by the Adviser to the Portfolios gained from their experience as trustees
| 286 | • ALLIANCEBERNSTEIN POOLING PORTFOLIOS |
or directors of most of the registered investment companies advised by the Adviser, their overall confidence in the Adviser’s integrity and competence they have gained from that experience, the Adviser’s initiative in identifying and raising potential issues with the trustees and its responsiveness, frankness and attention to concerns raised by the trustees in the past, including the Adviser’s willingness to consider and implement organizational and operational changes designed to improve investment results and the services provided to the AllianceBernstein Funds. The trustees noted that they have four regular meetings each year, at each of which they receive presentations from the Adviser on the investment results of the Portfolios and review extensive materials and information presented by the Adviser.
The trustees also considered all other factors they believed relevant, including the specific matters discussed below. In their deliberations, the trustees did not identify any particular information that was all-important or controlling, and different trustees may have attributed different weights to the various factors. The trustees determined that the selection of the Adviser to manage each Portfolio, and the overall arrangements between each Portfolio and the Adviser as provided in the Advisory Agreement, including the advisory fee, were fair and reasonable in light of the services performed, expenses incurred and such other matters as the trustees considered relevant in the exercise of their business judgment. The material factors and conclusions that formed the basis for the trustees’ determination included the following:
Nature, Extent and Quality of Services Provided
The trustees considered the scope and quality of services provided by the Adviser under the Advisory Agreement, including the quality of the investment research capabilities of the Adviser and the other resources it has dedicated to performing services for the Portfolios. They also noted the professional experience and qualifications of each Portfolio’s portfolio management team and other senior personnel of the Adviser. The trustees also considered that the Advisory Agreement provides that the Portfolios will reimburse the Adviser for the cost to it of providing certain clerical, accounting, administrative and other services provided to the Portfolios by employees of the Adviser or its affiliates. Requests for these reimbursements require the trustees’ approval on a quarterly basis and, to the extent requested and paid, will result in some compensation from the Portfolios to the Adviser. The trustees noted that the methodology to be used to determine the reimbursement amounts had been reviewed by an independent consultant retained by the Trust’s Senior Officer. The trustees noted that to date the Adviser had not asked them to approve reimbursements for any of the Portfolios. The quality of administrative and other services, including the Adviser’s role in coordinating the activities of each Portfolio’s other service providers, also were considered. The trustees concluded that, overall, they were satisfied with the nature, extent and quality of services provided to each of the Portfolios under the Advisory Agreement.
| ALLIANCEBERNSTEIN POOLING PORTFOLIOS • | 287 |
Costs of Services Provided and Profitability
The trustees reviewed a schedule of the revenues, expenses and related notes indicating the profitability of each Portfolio (which, as noted above, pays no advisory fee to the Adviser but may reimburse expenses to the Adviser) to the Adviser for calendar years 2009 and 2010 that had been prepared with an expense allocation methodology arrived at in consultation with an independent consultant retained by the Trust’s Senior Officer. The trustees reviewed the assumptions and methods of allocation used by the Adviser in preparing fund-specific profitability data and noted that there are a number of potentially acceptable allocation methodologies for information of this type. The trustees noted that the methodology took into account that the Adviser was indirectly compensated for its services to the Portfolios by the Pooling Investors. The trustees also noted that the profitability information reflected all revenues and expenses of the Adviser’s relationships with the Portfolios, including those relating to its subsidiaries which provide transfer agency, distribution and brokerage services to the Portfolios, and that the profitability methodology attributed revenues and expenses to the Portfolios relating to the Pooling Investors. The trustees recognized that it is difficult to make comparisons of profitability between fund advisory contracts because comparative information is not generally publicly available and is affected by numerous factors. The trustees focused on the profitability of the Adviser’s relationships with the Portfolios before taxes and distribution expenses. The trustees concluded that they were satisfied that the Adviser’s level of profitability from its relationship with each Portfolio was not unreasonable.
Fall-Out Benefits
The trustees considered the other benefits to the Adviser and its affiliates from their relationships with the Portfolios, including but not limited to benefits relating to soft dollar arrangements (whereby the Adviser receives brokerage and research services from many of the brokers that execute purchases and sales of securities on behalf of its clients (although not for the Portfolios) on an agency basis), 12b-1 fees and sales charges received by the Trust’s principal underwriter (which is a wholly owned subsidiary of the Adviser) in respect of certain classes of shares of the Pooling Investors that are registered investment companies, and brokerage commissions paid by the Portfolios to brokers affiliated with the Adviser. The trustees noted that while the Adviser’s affiliated transfer agent does not receive fees for providing services to the Portfolios (although it may be reimbursed for its out-of-pocket expenses), such affiliated transfer agent receives fees for providing services to the Pooling Investors. The trustees noted that the Adviser receives fees for advisory, distribution, recordkeeping and other services provided to the institutional Pooling Investor and is compensated by the other Pooling Investors for providing advisory services to them. The trustees recognized that the Adviser’s profitability would be somewhat lower without these benefits. The trustees also understood that the Adviser also might derive reputational and other benefits from its association with the Portfolios.
| 288 | • ALLIANCEBERNSTEIN POOLING PORTFOLIOS |
Investment Results
In addition to the information reviewed by the trustees in connection with the meeting, the trustees receive detailed comparative performance information for each Portfolio at each regular Board meeting during the year. At the November 2011 meeting, the trustees reviewed information prepared by Lipper showing the performance of each Portfolio as compared with that of a group of similar funds selected by Lipper (the “Performance Group”) and as compared with that of a broader array of funds selected by Lipper (the “Performance Universe”), and information prepared by the Adviser showing performance of each Portfolio as compared with an index, in each case for the 1-, 3- and 5-year periods ended July 31, 2011 and (in the case of comparisons with the index) the since inception period (May 2005 inception).
In reviewing the performance information the trustees noted that the Portfolios had a performance advantage in that the performance of virtually all of the Portfolios’ competitors was negatively affected by the fact they pay advisory fees whereas the Portfolios do not.
AllianceBernstein Short Duration Bond Portfolio
The trustees noted that the Portfolio was in the 5th quintile of the Performance Group and 4th quintile of the Performance Universe for the 1- and 3-year periods, and in the 5th quintile of the Performance Group and the Performance Universe for the 5-year period. The Portfolio outperformed the Bank of America (BofA) Merrill Lynch (ML) 1-3 Year Treasury Index in the 1- and 3-year periods but lagged it in the 5-year and the since inception periods. Based on their review and their discussion with the Adviser of the reasons for the Portfolio’s performance, the trustees concluded that they retained confidence in the Adviser’s ability to advise the Portfolio.
AllianceBernstein Global Core Bond Portfolio (formerly named AllianceBernstein Intermediate Duration Bond Portfolio)
The trustees noted that the Portfolio was in the 4th quintile of the Performance Group and the Performance Universe for the 1-year period, in the 2nd quintile of the Performance Group and 3rd quintile of the Performance Universe for the 3-year period, and in the 4th quintile of the Performance Group and 3rd quintile of the Performance Universe for the 5-year period. The Portfolio outperformed the Barclays Capital U.S. Aggregate Bond Index in all periods. Based on their review and their discussion with the Adviser of the reasons for the Portfolio’s recent performance, the trustees concluded that the Portfolio’s relative performance was acceptable. The trustees noted the Adviser’s proposed changes to the investment policies and restrictions of the Portfolio, and the related changes to the Portfolio’s name (to AllianceBernstein Global Core Bond Portfolio) and its benchmark (to the Barclays Capital Global Aggregate Bond Index, hedged to U.S. dollars), which subsequently took effect.
| ALLIANCEBERNSTEIN POOLING PORTFOLIOS • | 289 |
AllianceBernstein Bond Inflation Protection Portfolio
The trustees noted that the Portfolio was in the 2nd quintile of the Performance Group and the Performance Universe for the 1-year period, in the 3rd quintile of the Performance Group and 4th quintile of the Performance Universe for the 3-year period, and in the 3rd quintile of the Performance Group and the Performance Universe for the 5-year period. The Portfolio outperformed the Barclays Capital U.S. 1-10 Year Treasury Inflation Protected Securities (TIPS) Index in all periods. The trustees noted that in 2010 they had approved modifications to the Portfolio’s investment guidelines and a name change to AllianceBernstein Bond Inflation Protection Portfolio from AllianceBernstein Inflation Protected Securities Portfolio. Based on their review, the trustees concluded that the Portfolio’s relative performance was satisfactory.
AllianceBernstein High-Yield Portfolio
The trustees noted that the Portfolio was in the 3rd quintile of the Performance Group and the Performance Universe for the 1-year period, and in the 1st quintile of the Performance Group and the Performance Universe for the 3- and 5-year periods. The Portfolio outperformed the Barclays Capital U.S. High Yield 2% Issuer Capped Index in all periods. Based on their review, the trustees concluded that the Portfolio’s relative performance over time had been satisfactory.
Advisory Fees and Other Expenses
The trustees considered the advisory fee rate paid by each Portfolio to the Adviser (zero) and information prepared by Lipper concerning advisory fee rates paid by other funds in the same Lipper category as such Portfolio at a common asset level. The trustees also reviewed certain information showing the fees paid to the Adviser by the Pooling Investors. The trustees recognized that it is difficult to make comparisons of advisory fees because there are variations in the services that are included in the fees paid by other funds.
The trustees noted the unusual arrangements in the Advisory Agreement providing for no advisory fee but were cognizant that the Adviser is indirectly compensated by the Pooling Investors for its services to the Portfolios. While the fees paid by the Pooling Investors to the Adviser vary, the trustees acknowledged that a portion of those fees may reasonably be viewed as compensating the Adviser for advisory services it provides to each Portfolio (the “implied fee”) and that the Adviser had represented to the Securities and Exchange Commission’s staff and to the Trust’s former counsel that the implied fee rate is the same for all the Pooling Investors. The trustees also noted that the Adviser had undertaken to work with the trustees to develop procedures to enable the trustees to monitor the implied fee rates for the Portfolios and had provided the trustees with information concerning the fees paid by the various Pooling Investors. Based on their review, the trustees concluded that the advisory arrangements for the Portfolios, including the zero fee aspect of the Advisory Agreement with the Adviser, were satisfactory.
| 290 | • ALLIANCEBERNSTEIN POOLING PORTFOLIOS |
For each Portfolio, the trustees also considered the advisory fees the Adviser charges other clients pursuing a substantially similar investment style (similar investment style in the case of AllianceBernstein Global Core Bond Portfolio). For this purpose, the trustees reviewed the relevant fee information from the Adviser’s Form ADV and the evaluation from the Trust’s Senior Officer. The trustees recognized that this information was of limited utility in light of the Portfolios’ unusual fee arrangement. The trustees noted that the Adviser may, in some cases, agree to fee rates with large institutional clients that are lower than those on the schedules reviewed by the trustees and that they had previously discussed with the Adviser its policies in respect of such arrangements.
The Adviser reviewed with the trustees the significantly greater scope of the services it provides the Portfolios relative to institutional clients and sub-advised funds. The Adviser also noted that because mutual funds are constantly issuing and redeeming shares, they are more difficult to manage than an institutional account, where the assets tend to be relatively stable. In light of the substantial differences in services rendered by the Adviser to institutional clients as compared to funds such as the Portfolios, and the unusual fee structure for all the Portfolios, the trustees considered these fee comparisons inapt and did not place significant weight on them in their deliberations.
The trustees also considered the total non-advisory expense ratio of each Portfolio in comparison to the non-advisory expenses of funds within two comparison groups created by Lipper: an Expense Group and an Expense Universe. Lipper described an Expense Group as a representative sample of funds similar to a Portfolio and an Expense Universe as a broader group, consisting of all funds in a Portfolio’s investment classification/objective. The non-advisory expense ratio of each Portfolio was based on the Portfolio’s latest fiscal year. The trustees noted that it was likely that the non-advisory expense ratios of some of the other funds in a Portfolio’s Lipper category were lowered by waivers or reimbursements by those funds’ investment advisers, which in some cases might be voluntary or temporary. The trustees view the non-advisory expense ratio information as relevant to their evaluation of the Adviser’s services because the Adviser is responsible for coordinating services provided to the Portfolios by others.
The trustees noted that each Portfolio’s total non-advisory expense ratio was lower than the Expense Group and the Expense Universe medians. The trustees concluded that each Portfolio’s non-advisory expense ratio was satisfactory.
Economies of Scale
Since the Advisory Agreement does not provide for any compensation to be paid to the Adviser by the Portfolios, the trustees did not consider the extent to which the fee levels in the Advisory Agreement reflect economies of scale. They did note, however, that the fee schedules for the Pooling Investors that are registered investment companies incorporate breakpoints.
| ALLIANCEBERNSTEIN POOLING PORTFOLIOS • | 291 |
THE FOLLOWING IS NOT PART OF THE SHAREHOLDER REPORT OR THE FINANCIAL STATEMENTS
SUMMARY OF SENIOR OFFICER’S EVALUATION OF INVESTMENT ADVISORY AGREEMENT1
The following is a summary of the evaluation of the Investment Advisory Agreement between AllianceBernstein L.P. (the “Adviser”) and AllianceBernstein Pooling Portfolios (the “Trust” or the “Pooling Portfolios”) in respect of the following Portfolios:2
U.S. Value Portfolio
U.S. Large Cap Growth Portfolio
Multi-Asset Real Return Portfolio3
International Value Portfolio
International Growth Portfolio
Small-Mid Cap Value Portfolio
Small-Mid Cap Growth Portfolio
Volatility Management Portfolio4
The Trust, which is designed to facilitate a “blended style” investment approach, represents a variety of asset classes and investment styles, and is available for investment only to institutional clients of the Adviser, including both registered investment companies and large managed separate accounts.
With respect to Volatility Management Portfolio, the Portfolio seeks to reduce the volatility of its institutional clients’ overall portfolios and the negative impact caused by such volatility without sacrificing long-term returns by reducing each institutional client’s overall equity exposure when the Adviser determines that the risks in the equity markets have risen to a level that is not compensated by the potential returns offered. The Portfolio does not pursue an asset class-pure, relative performance driven investment strategy. Instead, the Portfolio invests opportunistically in a wide range of instruments, including both securities and derivatives, across a wide spectrum of asset classes, chosen for their potential to moderate the perceived increased equity market risk in the blended style
| 1 | It should be noted that the information in the fee summary was completed on April 21, 2011 and discussed with the Board of Trustees on May 3-5, 2011. |
| 2 | Future references to the Portfolios do not include “AllianceBernstein.” The Portfolios of the Trust that are not discussed in this evaluation are Volatility Management Portfolio and the fixed-income Pooling Portfolios: Short Duration Bond Portfolio, Intermediate Duration Bond Portfolio, Inflation Protected Securities Portfolio and High Yield Portfolio. The fixed-income Pooling Portfolios will be considered separately at the Board meeting schedules to be held on November 1-3, 2011. |
| 3 | Effective December 31, 2011, the Portfolio changed its name from Global Real Estate Investment Porftfolio and eliminated its policy of investing at least 80% of its net assets in real estate related investments. Also at this time, the Porfolio’s management team changed. |
| 4 | The Portfolio commenced operations on April 16, 2010. |
| 292 | • ALLIANCEBERNSTEIN POOLING PORTFOLIOS |
investor’s overall portfolio. At times when the Adviser determines equity market risk to be normal and/or the risk appropriate to the return potential presented, the Portfolio predominantly invests in equities. When the Adviser determines that the risks in the equity markets have risen to a level that is not compensated by the potential returns offered, the Portfolio responds defensively by seeking exposure to bonds or other fixed-income investments, real estate-investments, commodity-linked securities or other instruments.
The evaluation of the Investment Advisory Agreement was prepared by Philip L. Kirstein, the Senior Officer, for the Trustees of the Trust, as required by a September 2004 agreement between the Adviser and the New York State Attorney General (the “NYAG”). The Senior Officer’s evaluation of the Investment Advisory Agreement is not meant to diminish the responsibility or authority of the Board of Trustees of the Trust to perform its duties pursuant to Section 15 of the Investment Company Act of 1940 (the “40 Act”) and applicable state law. The purpose of the summary is to provide shareholders with a synopsis of the independent evaluation of the reasonableness of the advisory fees proposed to be paid by the Portfolios which was provided to the Trustees in connection with their review of the proposed approval of the continuance of the Investment Advisory Agreement. The Senior Officer’s evaluation considered the following factors:
| 1. | Advisory fees charged to institutional and other clients of the Adviser for like services; |
| 2. | Advisory fees charged by other mutual fund companies for like services; |
| 3. | Costs to the Adviser and its affiliates of supplying services pursuant to the advisory agreements, excluding any intra-corporate profit; |
| 4. | Profit margins of the Adviser and its affiliates from supplying such services; |
| 5. | Possible economies of scale as the Portfolios grow larger; and |
| 6. | Nature and quality of the Adviser’s services including the performance of the Portfolios. |
These factors, with the exception of the first factor, are generally referred to as the “Gartenberg factors,” which were articulated by the United States Court of Appeals for the Second Circuit in 1982. Gartenberg v. Merrill Lynch Asset Management, Inc., 694 F. 2d 923 (2d Cir. 1982). On March 30, 2010, the Supreme Court held the Gartenberg decision was correct in its basic formulation of what §36(b) requires: to face liability under §36(b), “an investment adviser must charge a fee that is so disproportionately large that it bears no reasonable relationship to the services rendered and could not have been the product of arms length bargaining.” Jones v. Harris Associates L.P., (No. 08-586), 130 U.S. 1418 (2010). In the Jones decision, the Court stated the Gartenberg approach
| ALLIANCEBERNSTEIN POOLING PORTFOLIOS • | 293 |
fully incorporates the correct understanding of fiduciary duty within the context of section 36(b) and noted with approval that “Gartenberg insists that all relevant circumstances be taken into account” and “uses the range of fees that might result from arms-length bargaining as the benchmark for reviewing challenged fees.”
PORTFOLIO ADVISORY FEES, NET ASSETS, & EXPENSE RATIOS
Under the Investment Advisory Agreement, the Portfolios are not charged an advisory fee. The investment advisory contract also does not provide for the Adviser to be reimbursed for the cost of providing non-advisory services, which would include administration, distribution and transfer agent-related services, although the transfer agent of the Portfolios is reimbursed for out of pocket expenses. The Adviser is compensated by institutional clients of the Adviser (the “Institutional Clients”) that invest in the Pooling Portfolios. These clients include the AllianceBernstein Blended Style Series, Inc.—AllianceBernstein Retirement Strategies (“Retirement Strategies”),5 AllianceBernstein Blended Style Series, Inc.—U.S. Large Cap Portfolio (“U.S. Large Cap Portfolio”), The AllianceBernstein Portfolios—AllianceBernstein Wealth Strategies (“Wealth Strategies”),6 and the Rhode Island Higher Education Savings Trust (referred to herein as “CollegeBoundfund”). Collectively, these shareholders (the “Institutional Clients”) own 100 percent of the Pooling Portfolios’ total outstanding shares. Set forth below are the advisory fee schedules of the Institutional Clients that invests in the Pooling Portfolios.
AllianceBernstein Blended Style Series, Inc.—AllianceBernstein Retirement Strategies
Each of the Retirement Strategies pays an advisory fee correlated to the percentage of equity investments held by the Retirement Strategy. This fee is discounted by a certain percentage depending on the asset level of the Retirement Strategy as indicated below:
| % Invested in Equity Investments | Advisory Fee | |||
Equal to or less than 60% Greater than 60% and less than 80% Equal to or greater than 80% |
| 0.55 0.60 0.65 | % % % | |
| 5 | Includes AllianceBernstein 2000 Retirement Strategy, AllianceBernstein 2005 Retirement Strategy, AllianceBernstein 2010 Retirement Strategy, AllianceBernstein 2015 Retirement Strategy, AllianceBernstein 2020 Retirement Strategy, AllianceBernstein 2025 Retirement Strategy, AllianceBernstein 2030 Retirement Strategy, AllianceBernstein 2035 Retirement Strategy, AllianceBernstein 2040 Retirement Strategy, AllianceBernstein 2045 Retirement Strategy, AllianceBernstein 2050 Retirement Strategy and AllianceBernstein 2055 Retirement Strategy . Future references to the Retirement Strategies do not include “AllianceBernstein.” |
| 6 | Includes AllianceBernstein Balanced Wealth Strategy, AllianceBernstein Wealth Appreciation Strategy, AllianceBernstein Conservative Wealth Strategy. Future references to the Wealth Strategies do not include “AllianceBernstein.” |
| 294 | • ALLIANCEBERNSTEIN POOLING PORTFOLIOS |
| Net Asset Level | Discount | |
Assets equal to or less than $2.5 billion Assets greater than $2.5 billion and less than $5 billion Assets greater than $5 billion | n/a 10 basis points 15 basis points |
Accordingly, under the terms of the Investment Advisory Agreement, the Retirement Strategies will pay the Adviser at the following annual rates:
| Average Daily Net Assets | ||||||||||||
| Retirement Strategy | First $2.5 billion | Next $2.5 billion | In excess of $5 billion | |||||||||
| Retirement Strategies: 2030, 2035, 2040, 2045, 2050, 2055 | 0.65 | % | 0.55 | % | 0.50 | % | ||||||
| Retirement Strategies: 2015, 2020, 2025 | 0.60 | % | 0.50 | % | 0.45 | % | ||||||
| Retirement Strategies: 2000, 2005, 2010 | 0.55 | % | 0.45 | % | 0.40 | % | ||||||
U.S. Large Cap Portfolio and the Wealth Strategies
Large Cap Portfolio and the Wealth Strategies are charged by the Adviser an advisory fee based on a percentage of each fund’s average daily net assets:
| Fund | Advisory Fee Based on % of Average Daily Net Assets | |||
| U.S. Large Cap Portfolio | First $2.5 billion | 0.65% | ||
| Next $2.5 billion | 0.55% | |||
| Excess of $5 billion | 0.50% | |||
| Wealth Appreciation Strategy | First $2.5 billion | 0.65% | ||
| Next $2.5 billion | 0.55% | |||
| Excess of $5 billion | 0.50% | |||
| Balanced Wealth Strategy | First $2.5 billion | 0.55% | ||
| Next $2.5 billion | 0.45% | |||
| Excess of $5 billion | 0.40% | |||
| Conservative Wealth Strategy7 | First $2.5 billion | 0.55% | ||
| Next $2.5 billion | 0.45% | |||
| Excess of $5 billion | 0.40% | |||
CollegeBoundfund
The Adviser serves as the program manager of the CollegeBoundfund, a 529 college-savings plan. Services provided by the Adviser as program manager for CollegeBoundfund include managing the assets of each Education Strategy of the plan that may invest in a combination of the Pooling Portfolios (the “Underlying Portfolios”), performing administrative related functions, servicing shareholder accounts, providing customer service to participants, maintaining the program and developing/updating a website where participants can access
| 7 | Effective December 31, 2009, AllianceBernstein Wealth Preservation Strategy changed its name to AllianceBernstein Conservative Wealth Strategy. |
| ALLIANCEBERNSTEIN POOLING PORTFOLIOS • | 295 |
their personal accounts. Note that shareholder servicing is provided by AllianceBernstein Investor Services (“ABIS”) and distribution by AllianceBernstein Investments, Inc. (“ABI”), both which are affiliates of the Adviser. As program manager, the Adviser is paid a program management fee equal to the total expense ratio (fixed) of each Education Strategy minus the weighted average of the expenses of the Underlying Portfolios in which the Strategy is invested. The weighted average of the expenses of the Underlying Portfolios may fluctuate over time, resulting in an increase or decrease in the program management fee since the total expense ratio is constant. Set forth below is a table showing the total expense ratios of the Education Strategies as of December 31, 2010.
| Portfolios | Total Expense Ratio (%)8 | |||
Age-Based Education Strategies9 | ||||
| Age-Based Aggressive 2011-201310 | 0.94 | |||
| Age-Based Aggressive 2008-2010 | 0.94 | |||
| Age-Based Aggressive 2005-2007 | 0.90 | |||
| Age-Based Aggressive 2002-2004 | 0.86 | |||
| Age-Based Aggressive 1999-2001 | 0.82 | |||
| Age-Based Aggressive 1996-1998 | 0.78 | |||
| Age-Based Aggressive 1993-1995 | 0.74 | |||
| Age-Based Aggressive 1990-1992 | 0.74 | |||
| Age-Based Aggressive 1987-1989 | 0.74 | |||
| Age-Based Aggressive 1984-1986 | 0.74 | |||
| Age-Based Aggressive Pre-1984 | 0.74 | |||
| Age-Based 2011-201311 | 0.92 | |||
| Age-Based 2008-2010 | 0.88 | |||
| Age-Based 2005-2007 | 0.84 | |||
| Age-Based 2002-2004 | 0.80 | |||
| Age-Based 1999-2001 | 0.78 | |||
| Age-Based 1996-1998 | 0.76 | |||
| Age-Based 1993-1995 | 0.72 | |||
| Age-Based 1990-1992 | 0.72 | |||
| Age-Based 1987-1989 | 0.72 | |||
| Age-Based 1984-1986 | 0.72 | |||
| Age-Based Pre-1984 | 0.72 | |||
Fixed Based Education Strategies | ||||
| Appreciation | 0.94 | |||
| Balanced | 0.80 | |||
| Conservative | 0.72 | |||
| 8 | The total expense ratios do not include an annual distribution fee of 0.25% payable to AllianceBernstein Investments, Inc., the program distributor and an affiliate of the Adviser, which is applied only to certain accounts that are established with the involvement of a financial adviser (“FA”). This charge is to fund compensation payable in the same amount by ABI to the FA for the FA’s services after such account is open at least one year. |
| 9 | Effective September 1, 2010, the total expense ratio, which includes the blended underlying expense ratio related to the Pooling Portfolios, for all Age-Based Education Strategies held only by Rhode Island resident accounts will be capped at 0.20%. |
| 10 | The Fund commenced operations on January 27, 2011. |
| 11 | The Fund commenced operations on February 14, 2011. |
| 296 | • ALLIANCEBERNSTEIN POOLING PORTFOLIOS |
The Portfolios’ net assets as of March 31, 2011 are as follows:
| Portfolio | Net Assets 03/31/11 ($MM) | |||
| U.S. Value Portfolio | 2,316.5 | |||
| U.S. Large Cap Growth Portfolio | 2,315.8 | |||
| Multi-Asset Real Return Portfolio | 1,041.5 | |||
| International Value Portfolio | 1,164.6 | |||
| International Growth Portfolio | 1,161.7 | |||
| Small-Mid Cap Value Portfolio | 621.2 | |||
| Small-Mid Cap Growth Portfolio | 629.0 | |||
| Volatility Management Portfolio4 | 348.5 | |||
Set forth below are the most recently completed fiscal year total expense ratios of the Pooling Portfolios:
| Portfolio | Fiscal Year End | Total Expense Ratio | ||||||
| U.S. Value Portfolio | August 31 | 0.01 | % | |||||
| U.S. Large Cap Growth Portfolio | August 31 | 0.01 | % | |||||
| Multi-Asset Real Return Portfolio | August 31 | 0.03 | % | |||||
| International Value Portfolio | August 31 | 0.04 | % | |||||
| International Growth Portfolio | August 31 | 0.03 | % | |||||
| Small-Mid Cap Value Portfolio | August 31 | 0.04 | % | |||||
With respect to Volatility Management Portfolio, The Adviser has agreed to reimburse the Portfolio for that portion of its total operating expenses to the degree necessary to limit the Portfolio’s expense ratios to the amounts set forth below for the Portfolio’s fiscal year. The agreement for such reimbursement is terminable by the Adviser at the end of the Portfolio’s fiscal year upon at least 60 days written notice prior to the termination date of the undertaking. In addition, set forth below is the gross expense ratio of the Portfolio for the most recently completed fiscal year:
| Fund | Expense Cap Pursuant to Expense Limitation Undertaking | Gross Expense Ratio12 | Fiscal Year End | |||||
| Volatility Management Portfolio13 | 0.15% | 0.21 | % | August 31 | ||||
| I. | ADVISORY FEES CHARGED TO INSTITUTIONAL AND OTHER CLIENTS |
Although the Portfolios are not charged an advisory fee, their shareholders, which include other investment companies and large institutional clients managed by the Adviser, pay the Adviser an investment advisory fee for managing their assets. In this regard, it is worth considering the advisory fees charged by the Adviser to institutional and other clients. The advisory fees charged to
| 12 | Annualized. |
| 13 | Expense caps effective April 16, 2010, the inception date of the Portfolio. |
| ALLIANCEBERNSTEIN POOLING PORTFOLIOS • | 297 |
investment companies that the Adviser manages and sponsors are normally higher than those charged to similar sized institutional accounts, including pension plans and sub-advised investment companies. The fee differential reflects, among other things, different services provided to such clients and different liabilities assumed. Services provided by the Adviser to investment companies, including the Portfolios, that are not provided to non-investment company clients and sub-advised investment companies include providing office space and personnel to serve as Fund Officers, who among other responsibilities make the certifications required under the Sarbanes–Oxley Act of 2002, and coordinating with and monitoring third party service providers such as Fund counsel, auditors, custodians, transfer agents and pricing services. The accounting, administrative, legal and compliance requirements for investment companies are more costly than those for institutional accounts due to the greater complexities and time required for investment companies, although, as previously mentioned, the Adviser is reimbursed for providing such services. It should be noted that those reimbursement agreements do not exist with respect to the Pooling Portfolios. In addition, managing the cash flow of an investment company may be more difficult than managing that of a stable pool of assets, such as an institutional account with little cash movement in either direction, particularly if the investment company experiences a net redemption and the Adviser is frequently forced to sell securities to raise cash for the redemption. However, managing an investment company with positive cash flow may be easier at times than managing a stable pool of assets. Finally, in recent years, investment advisers have been sued by institutional clients and have suffered reputational damage both by the attendant publicity and outcomes other than complete victories. Accordingly, the legal and reputational risks associated with institutional accounts are greater than previously thought, although still not equal to those related to the mutual fund industry.
Notwithstanding the Adviser’s view that managing an investment company is not comparable to managing other institutional accounts because the services provided are different, the Supreme Court has indicated consideration should be given to the advisory fees charged to institutional accounts that have a substantially similar investment style as the Portfolio.14 In addition to the AllianceBernstein Institutional fee schedule, set forth below are what would have been the effective advisory fees of the Portfolios had the AllianceBernstein Institutional fee schedules been applicable to the Portfolios based on March 31, 2011 net assets, although it should be noted that the Portfolios are not charged an advisory fee by the Adviser.15
| 14 | It should be noted that the Supreme Court stated that “courts may give such comparisons the weights that they merit in light of the similarities and differences between the services that the clients in question require, but the courts must be wary of inapt comparisons.” Among the significant differences the Supreme Court noted that may exist between services provided to mutual funds and institutional accounts are “higher marketing costs.” Jones v. Harris at 1428. |
| 15 | The Adviser has indicated that with respect to institutional accounts with assets greater than $300 million, it will negotiate a fee schedule. Discounts that are negotiated vary based upon each client relationship. |
| 298 | • ALLIANCEBERNSTEIN POOLING PORTFOLIOS |
| Portfolio | Portfolio Net Assets ($MIL) | AllianceBernstein (AB) Institutional (Inst.) Fee Schedule | Effective AB Inst. Advisory Fee (%) | |||||
| U.S. Value Portfolio | $2,316.5 | Diversified Value Schedule 65 bp on 1st $25 million 50 bp on next $25 million 40 bp on next $50 million 30 bp on next $100 million 25 bp on the balance Minimum Account Size: $25m | 0.262 | |||||
| U.S. Large Cap Growth Portfolio | $2,315.8 | U.S. Large Cap Growth Schedule 80 bp on 1st $25 million 50 bp on next $25 million 40 bp on next $50 million 30 bp on next $100 million 25 bp on the balance Minimum Account Size: $25m | 0.264 | |||||
| Multi-Asset Real Return Portfolio | $1,041.5 | N/A | ||||||
| International Value Portfolio | $1,164.6 | International Value Schedule 80 bp on 1st $25 million 60 bp on next $25 million 50 bp on next $50 million 40 bp on the balance Minimum Account Size: $25m | 0.417 | |||||
| International Growth Portfolio | $1,161.7 | International Research Growth AC Schedule 85 bp on 1st $25 million 65 bp on next $25 million 55 bp on next $50 million 45 bp on the balance Minimum Account Size: $25m | 0.467 | |||||
| Small-Mid Cap Value Portfolio | $621.2 | Small & Mid Cap Value Schedule 95 bp on 1st $25 million 75 bp on next $25 million 65 bp on next $50 million 55 bp on the balance Minimum Account Size: $25m | 0.582 | |||||
| Small-Mid Cap Growth Portfolio | $629.0 | U.S. SMID Cap Growth Schedule 95 bp on 1st $25 million 75 bp on next $25 million 65 bp on next $50 million 55 bp on the balance Minimum Account Size: $25m | 0.582 | |||||
| Volatility Management Portfolio | $348.5 | N/A | N/A | |||||
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The Adviser manages the AllianceBernstein Mutual Funds (“ABMF”), which are open-end investment companies, and AllianceBernstein Variable Products Series Fund, Inc. (“AVPS”), which offers variable annuity and variable life contract policyholders the option to utilize certain AVPS portfolios as the investment option underlying their insurance contracts. The advisory schedules of almost all of the ABMF and AVPS funds, implemented in January 2004 as a result of the Assurance of Discontinuance between the NYAG and the Adviser, contemplates eight categories with almost all of the AllianceBernstein funds in each category having the same advisory fee schedule. In addition to the fee schedules of the ABMF and AVPS funds, set forth below are what would have been the effective advisory fees of the Pooling Portfolios had the fee schedules of the ABMF/AVPS funds been applicable to the Portfolios based on the Portfolios March 31, 2011 net assets:
| Portfolio | ABMF/AVPS Portfolio | Fee Schedule | ABMF/ AVPS Effective Fee (%) | |||||
| U.S. Value Portfolio | Value Fund AVPS Value Portfolio | 0.55% on first $2.5 billion 0.45% on next $2.5 billion 0.40% on the balance | 0.550 | |||||
| U.S. Large Cap Growth Portfolio | Large Cap Growth Fund, Inc. AVPS Large Cap Growth Portfolio | 0.75% on first $2.5 billion 0.65% on next $2.5 billion 0.60% on the balance | 0.750 | |||||
| Multi-Asset Real Return Portfolio | Bond Fund, Inc.—Real Asset Strategy | 0.75% | 0.750 | |||||
| International Value Portfolio | International Value Fund, Inc. AVPS International Value Portfolio | 0.75% on first $2.5 billion 0.65% on next $2.5 billion 0.60% on the balance | 0.750 | |||||
| International Growth Portfolio | International Growth Fund, Inc. AVPS International Growth Portfolio | 0.75% on first $2.5 billion 0.65% on next $2.5 billion 0.60% on the balance | 0.750 | |||||
| Small-Mid Cap Value Portfolio | Small/Mid Cap Value Fund AVPS Small/Mid Cap Value Portfolio | 0.75% on first $2.5 billion 0.65% on next $2.5 billion 0.60% on the balance | 0.750 | |||||
| Small-Mid Cap Growth Portfolio | Small/Mid Cap Growth Fund | 0.75% on first $500 million 0.65% on next $500 million 0.55% on the balance | 0.729 | |||||
| 300 | • ALLIANCEBERNSTEIN POOLING PORTFOLIOS |
The Adviser also manages and sponsors retail mutual funds, which are organized in jurisdictions outside the United States, generally Luxembourg and Japan, and sold to non-United States resident investors. The Adviser charges the fees set forth below for the Luxembourg fund that has a somewhat similar investment style as U.S. Large Cap Portfolio.
| Portfolio | Luxembourg Fund | Fee16 | ||
| U.S. Large Cap Growth Portfolio | American Growth Portfolio Class A Class I | 1.50% 0.70% |
The Adviser provides sub-advisory investment services to certain other investment companies managed by other fund families. The Adviser charges the fees set forth below for the following sub-advisory relationships that have a somewhat similar investment style as the Portfolios. In the table below are the advisory fee schedules of the sub-advised funds and the effective management fees of the sub-advisory relationships based on the Portfolios’ March 31, 2011 net assets.17
| Portfolio | Sub-advised Fund | Sub-advised Fund Fee Schedule | Sub-advised Fund Eff. Mgmt. Fee (%) | |||
| U.S. Value Portfolio | Client #1 | 0.49% on the first $100 million 0.30% on the next $100 million 0.25% on the balance | 0.263 | |||
| Client #2 | 0.30% of average daily net assets | 0.300 | ||||
| Client #3 | 0.25% on the first $500 million 0.20% on the balance | 0.250 | ||||
| Client #4 | 0.15% on first $1 billion 0.14% on next $2 billion 0.12% on next $2 billion 0.10% on the balance +/- Performance Fee (v. R1000V) | 0.15018 | ||||
| U.S. Large Cap Growth Portfolio | Client #5 | 0.35% on the first $50 million 0.30% on the next $100 million 0.25% on the balance | 0.254 |
| 16 | It should be noted that Class A shares of the Luxembourg funds are charged an “all-in” fee, which covers investment advisory services and distribution related services, unlike Class I shares, whose fee is for investment advisory services only. |
| 17 | In considering this section, it should be noted that the Supreme Court cautioned against accepting mutual fund fee comparisons without careful scrutiny since “these comparisons are problematic because these fees, like those challenged, may not be the product of negotiations conducted at arms length.” Jones v. Harris at 1429. |
| 18 | The sub-advised fund’s sub-advisory fee shown does not include any performance fee adjustment. |
| ALLIANCEBERNSTEIN POOLING PORTFOLIOS • | 301 |
| Portfolio | Sub-advised Fund | Sub-advised Fund Fee Schedule | Sub-advised Fund Eff. Mgmt. Fee (%) | |||
| International Value Portfolio | Client #6 | 0.40% on the first $50 million 0.31% on the next $950 million 0.27% on the next $1 billion 0.25% on the balance | 0.308 | |||
| Client #719 | 0.60% on the first $1 billion 0.55% on the next $500 million 0.50% on the next $500 million 0.45% on the next $500 million 0.40% on the balance | 0.593 | ||||
| Client #8 | 0.60% of average daily net assets | 0.600 | ||||
| Client #9 | 0.50% of average daily net assets | 0.500 | ||||
| Client #10 | 0.50% on 1st $100 million 0.46% on next $300 million 0.41% on the balance | 0.431 | ||||
| Client #11 | 0.72% on the first $25 million 0.54% on the next $25 million 0.45% on the next $50 million 0.36% on the balance | 0.375 | ||||
| Client #12 | 0.36% of average daily net assets | 0.360 | ||||
| Client #13 | 0.35% on the first $1 billion 0.325 % on the balance | 0.346 | ||||
| Client #14 | 0.22% on the first $1 billion 0.18% on the next $1.5 billion 0.16% on the balance +/- Performance Fee (v. ACWI ex U.S.) | 0.19718 | ||||
| Small/Mid Cap Value Portfolio | Client #15 | 0.50% on the first $250 million 0.40 % on the balance | 0.470 | |||
| Client #16 | 0.95% on the first $25 million 0.75% on the next $25 million 0.65% on the next $50 million 0.55% on the balance | 0.582 | ||||
| Small/Mid Cap Growth Portfolio | Client #17 | 0.36% of average daily net assets | 0.360 |
| 19 | Assets are aggregated with other similar client portfolios for purposes of calculating the investment advisory fee. |
| 302 | • ALLIANCEBERNSTEIN POOLING PORTFOLIOS |
It is fair to note that the services the Adviser provides pursuant to sub-advisory agreements are generally confined to the services related to the investment process; in other words, they are not as comprehensive as the services provided to the Portfolios by the Adviser. In addition, to the extent that certain of these sub-advisory relationships are with affiliates of the Adviser, the fee schedules may not reflect arm’s-length bargaining or negotiations.
While it appears that certain sub-advisory relationships are paying a lower fee than the ABMF/AVPS Funds, it is difficult to evaluate the relevance of such lower fees due to differences in terms of the service provided, risks involved and other competitive factors between the ABMF/AVPS Funds and the sub-advisory relationships. There could be various business reasons why an investment adviser would be willing to provide a sub-advisory relationship investment related services at a different fee level than an investment company it is sponsoring where the investment adviser is providing all the services, not just investment management, generally required by a registered investment company.
| II. | MANAGEMENT FEES CHARGED BY OTHER MUTUAL FUNDS COMPANIES FOR LIKE SERVICES. |
The Trustees previously received the Senior Officer’s Evaluation of the Investment Advisory Agreement (the “Senior Officer Fee Evaluation”) for the Retirement Strategies, U.S. Large Cap Portfolio and the Wealth Strategies. In those Senior Officer Fee Evaluations, the Senior Officer concluded that the investment advisory agreements for those funds were reasonable and within range of what would have been negotiated at arm’s-length.
The Pooling Portfolios are not charged an advisory fee. However, as previously mentioned, the Institutional Clients that invest in the Pooling Portfolios do pay an advisory fee pursuant to their advisory agreements with the Adviser. The Adviser believes that the fee paid by the Institutional Clients includes a portion, referred by the Adviser as the “Implied Advisory Fee,” that may be reasonably viewed as compensation for services that the Adviser provides to the Pooling Portfolios. The Adviser further believes that the rate of the Implied Advisory Fee is the same for each Institutional Client invested in a series of the Pooling Portfolios.
Because of the Pooling Portfolios’ limited availability for investment, open only to certain institutional clients of the Adviser, the Pooling Portfolios have zero transfer agent (with the exception of certain transfer agent out of pocket expenses) and distribution fees, in addition to zero advisory fees. Such expense structure is rare in the industry. The UBS Relationship Funds, an open-end investment company managed by UBS Global Asset Management (Americas) Inc., was the only other fund family that was determined by the Adviser, the Senior Officer and Lipper, Inc. (“Lipper”) to have an expense structure comparable to the Pooling Portfolios.
| ALLIANCEBERNSTEIN POOLING PORTFOLIOS • | 303 |
Since there are not many funds of other fund families that have a similar expense structure as the Portfolios, Lipper, an analytical service not affiliated with the Adviser, compared the total expense ratios of the Portfolios to that of funds of a similar investment classification/objective with institutional class shares;20 however, Lipper excluded management, transfer agent and distribution fees from the total expense ratios of the Portfolios’ peers.21 Lipper’s analysis included the Portfolios’ rankings22 relative to their respective Lipper Expense Group (“EG”) and Lipper Expense Universe (“EU”).23
Lipper describes an EG as a representative sample of comparable funds. Lipper’s standard methodology for screening funds to be included in an EG entails the consideration of several fund criteria, including fund type, investment classification/objective, load type and similar 12b-1/non-12b-1 service fees, asset (size) comparability, and expense components and attributes. An EG will typically consist of seven to twenty funds. An EU is a much broader group, consisting of all institutional classes of funds of the same investment classification/objective as the subject Portfolio.24
With respect to International Value Portfolio and International Growth Portfolio, each of those Portfolios’ original EGs had an insufficient number of comparable peers. Consequently, Lipper expanded each of those Portfolios’ EGs to include peers that have a similar but not the same Lipper investment classification/objective. However, because Lipper had expanded the EGs of those Portfolios, under Lipper’s standard guidelines, each of the Portfolios’ EUs was also expanded to include the universe of those peers that had a similar but not the same Lipper investment classification/objective.
| 20 | As stated previously, comparisons with fees charged to mutual funds by other advisers may be “problematic” as the fees charged by other advisers may not be the product of negotiations conducted at arms length. Jones v. Harris at 1429. |
| 21 | Because the Portfolios are offered only to other investment companies and certain institutional clients managed by the Adviser, the Portfolios are not assessed a fee for transfer agent and distribution-related services although it should be noted that the transfer agent of the Portfolios is reimbursed for out of pocket expenses. |
| 22 | A ranking of “1” would mean that the Portfolio had the lowest total expense ratio in the Lipper peer group. |
| 23 | Note that there are limitations on expense category data because different funds categorize expenses differently. |
| 24 | Except for asset (size) comparability, Lipper uses the same criteria for selecting a Lipper EG when selecting a Lipper EU. Unlike the Lipper EG, the Lipper EU allows for the same adviser to be represented by more than just one fund. In addition, multiple institutional class shares for the Portfolios’ peers are included. |
| 304 | • ALLIANCEBERNSTEIN POOLING PORTFOLIOS |
| Portfolio | Expense Ratio (%) | Lipper Exp. Group Median (%) | Lipper Group Rank | Lipper Exp. Median (%) | Lipper Rank | |||||||||||
| U.S. Value Portfolio | 0.014 | 0.041 | 1/9 | 0.070 | 4/51 | |||||||||||
| U.S. Large Cap Growth Portfolio | 0.019 | 0.045 | 1/14 | 0.073 | 12/147 | |||||||||||
| Multi-Asset Real Return Portfolio | 0.043 | 0.098 | 1/9 | 0.100 | 4/36 | |||||||||||
| International Value Portfolio25 | 0.035 | 0.095 | 1/16 | 0.118 | 7/162 | |||||||||||
| International Growth Portfolio26 | 0.032 | 0.092 | 1/16 | 0.119 | 7/89 | |||||||||||
| Small-Mid Cap Value Portfolio | 0.036 | 0.087 | 1/14 | 0.068 | 5/35 | |||||||||||
| Small-Mid Cap Growth Portfolio | 0.035 | 0.059 | 2/19 | 0.104 | 8/83 | |||||||||||
| Volatility Management Portfolio | 0.205 | 0.111 | 10/10 | 0.101 | 31/36 | |||||||||||
Based on this analysis, except for Volatility Management Portfolio, the total expense ratios of the Portfolios are lower than their respective EG and EU medians.
| III. | COSTS TO THE ADVISER AND ITS AFFILIATES OF SUPPLYING SERVICES PURSUANT TO THE ADVISORY FEE ARRANGEMENT, EXCLUDING ANY INTRA-CORPORATE PROFIT. |
The Adviser utilizes two profitability reporting systems, which operate independently but are aligned with each other, to estimate the Adviser’s profitability in connection with investment advisory services provided to the Portfolios. The Senior Officer has retained a consultant to provide independent advice regarding the alignment of the two profitability systems as well as the methodologies and allocations utilized by both profitability systems. See Section IV for additional discussion.
| IV. | PROFIT MARGINS OF THE ADVISER AND ITS AFFILIATES FOR SUPPLYING SUCH SERVICES. |
The Pooling Portfolios’ profitability information, prepared by the Adviser for the Board of Trustees, was reviewed by the Senior Officer and the consultant. The
| 25 | The Portfolio’s EG includes the Portfolio, three other International Multi-Cap Value funds (“IMLV”), five International Large Cap Core funds (“ILCC”), three International Large Cap Value fund (“ILCV”), and four International Large Cap Growth fund (“ILCG”). The Portfolio’s EU includes the Portfolio and all other institutional funds of IMLV, ILCC, ILCV and ILCG, excluding outliers. |
| 26 | The Portfolio’s EG includes the Portfolio, five other International Multi-Cap Growth funds (“IMLG) and ten ILCG funds. The Portfolio’s EU includes the Portfolio and all other institutional funds of IMLG and ILCG, excluding outliers. |
| ALLIANCEBERNSTEIN POOLING PORTFOLIOS • | 305 |
Adviser used a weighted average of the Adviser’s profitability with respect to the Institutional Clients that are invested in the Pooling Portfolios, in addition to any Portfolio’s specific revenue or expense item, to calculate the Adviser’s profitability. The Adviser’s profitability from providing investment advisory services to each of the Pooling Portfolios decreased during calendar year 2010, relative to 2009.27
With the exception of International Value Portfolio, the Portfolios did not effect brokerage transactions and pay commissions to the Adviser’s affiliate, Sanford C. Bernstein & Co. LLC, and/or its U.K. based affiliate, Sanford C. Bernstein Ltd., collectively “SCB”, during the Portfolios’ most recently completed fiscal year. The Adviser represented that SCB’s profitability from business conducted in the future with the Portfolios would be comparable to the profitability of SCB’s dealings with other similar third party clients. In the ordinary course of business, SCB receives and pays liquidity rebates from electronic communications networks (“ECNs”) derived from trading for its clients, including the Portfolios. These credits and charges are not being passed on to any SCB client.
| V. | POSSIBLE ECONOMIES OF SCALE |
Although it is clear that economies of scale may have been shared through the existence of breakpoints in the investment advisory fee schedule, it should be noted that sufficient data does not exist to evaluate the extent to which economies of scale or scope are being shared with the AllianceBernstein Mutual Funds’ shareholders. The Adviser has indicated that economies of scale are being shared with shareholders through fee structures, subsidies and enhancement to services. Based on some of the professional literature that has considered economies of scale in the mutual fund industry, it is thought that to the extent economies of scale exist, they may more often exist across a fund family as opposed to a specific fund. This is because the costs incurred by the Adviser, such as investment research or technology for trading or compliance systems can be spread across a greater asset base as the fund family increases in size. It is also possible that as the level of services required to operate a successful investment company has increased over time, and advisory firms make such investments in their business to provide services, there may be a sharing of economies of scale without a reduction in advisory fees.
In February 2008, an independent consultant, retained by the Senior Officer, provided the Board of Directors an update of the Deli28 study on advisory fees
| 27 | It should be noted that at the August 2, 2011 meeting, the Adviser presented to the Board revised profitability figures with the respect to the Portfolios. The Portfolios in which the Adviser’s 2010 profitability changed from a decrease to an increase, relative to 2009’s profitability were U.S. Value Portfolio, U.S. Large Cap Growth Portfolio, Multi-Asset Real Return Portfolio, International Value Portfolio, International Growth Portfolio, Small-Mid Cap Value Portfolio and Small-Mid Cap Growth Portfolio. |
| 28 | The Deli study was originally published in 2002 based on 1997 data. |
| 306 | • ALLIANCEBERNSTEIN POOLING PORTFOLIOS |
and various fund characteristics.29 The independent consultant first reiterated the results of his previous two dimensional comparison analysis (fund size and family size) with the Board of Directors.30 The independent consultant then discussed the results of the regression model that was utilized to study the effects of various factors on advisory fees. The regression model output indicated that the bulk of the variation in fees predicted were explained by various factors, but substantially by fund AUM, family AUM, index fund indicator and investment style. The independent consultant also compared the advisory fees of the AllianceBernstein Mutual Funds to similar funds managed by 19 other large asset managers, regardless of the fund size and each Adviser’s proportion of mutual fund assets to non-mutual fund assets.
| VI. | NATURE AND QUALITY OF THE ADVISER’S SERVICES INCLUDING THE PERFORMANCE OF THE PORTFOLIOS. |
With assets under management of $477 billion as of March 31, 2011, the Adviser has the investment experience to manage and provide non-investment services to the Portfolios.
The information in the table below shows the 1, 3 and 5 year (with respect to Volatility Management Portfolio, since inception) gross performance returns and
| 29 | As mentioned previously, the Supreme Court cautioned against accepting mutual fund fee comparisons without careful scrutiny since the fees may not be the product of negotiations conducted at arms length. See Jones V. Harris at 1429. |
| 30 | The two dimensional analysis showed patterns of lower advisory fees for funds with larger asset sizes and funds from larger family sizes compared to funds with smaller asset sizes and funds from smaller family sizes, which according to the independent consultant is indicative of a sharing of economies of scale and scope. However, in less liquid and active markets, such is not the case, as the empirical analysis showed potential for diseconomies of scale in those markets. The empirical analysis also showed diminishing economies of scale and scope as funds surpassed a certain high level of assets. |
| ALLIANCEBERNSTEIN POOLING PORTFOLIOS • | 307 |
rankings of the Portfolios31 relative to their Lipper Performance Group (“PG”) and Lipper Performance Universe (“PU”)32 for the periods ended February 28, 2011.33
Portfolio Return (%) | PG Median (%) | PU Median (%) | PG Rank | PU Rank | ||||||||||||
| U.S. Value Portfolio | ||||||||||||||||
1 year | 19.72 | 22.61 | 22.65 | 8/9 | 37/45 | |||||||||||
3 year | -1.18 | 0.72 | 1.60 | 9/9 | 29/32 | |||||||||||
5 year | 0.12 | 1.34 | 2.98 | 7/9 | 22/25 | |||||||||||
| U.S. Large Cap Growth Portfolio | ||||||||||||||||
1 year | 21.63 | 22.28 | 24.68 | 10/14 | 94/130 | |||||||||||
3 year | 3.33 | 4.73 | 4.44 | 11/14 | 69/108 | |||||||||||
5 year | 1.85 | 4.47 | 4.32 | 13/14 | 77/88 | |||||||||||
| Multi-Asset Real Return Portfolio | ||||||||||||||||
1 year | 30.69 | 15.77 | 16.12 | 1/9 | 1/33 | |||||||||||
3 year | 1.33 | 2.87 | 3.24 | 5/5 | 15/18 | |||||||||||
5 year | 3.79 | 5.56 | 5.54 | 4/4 | 9/12 | |||||||||||
| International Value Portfolio | ||||||||||||||||
1 year | 18.86 | 20.12 | 21.63 | 4/4 | 19/21 | |||||||||||
3 year | -5.73 | -0.40 | -1.02 | 3/3 | 16/16 | |||||||||||
5 year | 0.07 | 2.32 | 3.09 | 3/3 | 11/11 | |||||||||||
| International Growth Portfolio | ||||||||||||||||
1 year | 11.54 | 24.72 | 24.47 | 5/5 | 42/42 | |||||||||||
3 year | -7.97 | -2.88 | -1.60 | 4/4 | 29/29 | |||||||||||
5 year | -0.79 | 3.06 | 3.98 | 4/4 | 23/23 | |||||||||||
| Small-Mid Cap Value Portfolio34 | ||||||||||||||||
1 year | 29.74 | 29.57 | N/A | 7/14 | N/A | |||||||||||
3 year | 9.64 | 7.67 | N/A | 2/14 | N/A | |||||||||||
5 year | 7.35 | 5.72 | N/A | 2/11 | N/A | |||||||||||
| 31 | It should be noted that the performance returns of the Portfolios shown were provided by Lipper. |
| 32 | A Portfolio’s PG and PU may not be identical to its respective EG and EU as the criteria for including/excluding a fund in a PG or PU is somewhat different from that of an EG or EU. |
| 33 | The performance returns of the Portfolios’ peers are also adjusted for expenses (gross up). |
| 34 | The Portfolio’s PU is intentionally omitted since it is identical to the PG. |
| 308 | • ALLIANCEBERNSTEIN POOLING PORTFOLIOS |
Portfolio Return (%) | PG Median (%) | PU Median (%) | PG Rank | PU Rank | ||||||||||||
| Small-Mid Cap Growth Portfolio | ||||||||||||||||
1 year | 54.11 | 33.94 | 35.83 | 1/19 | 3/76 | |||||||||||
3 year | 14.44 | 6.68 | 8.46 | 1/19 | 2/62 | |||||||||||
5 year | 9.59 | 7.29 | 7.18 | 2/17 | 4/48 | |||||||||||
| Volatility Management Portfolio35 | ||||||||||||||||
Since Inception | 6.61 | 8.52 | 10.6 | 6/10 | 23/33 | |||||||||||
Set forth below are the 1, 3, 5 year and since inception net performance returns of the Portfolios (in bold) versus their benchmarks.36 Porftolio and benchmark volatility and reward-to-variability ratio (“Sharpe Ratio”) information is also shown.37
Periods Ended February 28, 2011 Annualized Performance | ||||||||||||||||||||||||||||
Since Inception38 | Annualized | Risk Period (Year) | ||||||||||||||||||||||||||
1 Year (%) | 3 Year (%) | 5 Year (%) | Volatility (%) | Sharpe Ratio | ||||||||||||||||||||||||
| U.S. Value Portfolio | 19.69 | -1.20 | 0.10 | 1.90 | 19.68 | -0.01 | 5 | |||||||||||||||||||||
| Russell 1000 Value Index | 22.16 | -1.17 | 1.57 | 3.29 | 18.83 | 0.06 | 5 | |||||||||||||||||||||
| Inception Date: May 20, 2005 | ||||||||||||||||||||||||||||
| U.S. Large Cap Growth Portfolio | 21.61 | 3.31 | 1.83 | 4.88 | 18.51 | 0.07 | 5 | |||||||||||||||||||||
| Russell 1000 Growth Index | 24.94 | 4.11 | 4.62 | 5.47 | 17.97 | 0.21 | 5 | |||||||||||||||||||||
| Inception Date: May 20, 2005 | ||||||||||||||||||||||||||||
| 35 | As previously mentioned, the Portfolio does not pursue and asset class-pure, relative performance driven investment strategy. Instead, the Portfolio invests opportunistically in a wide range of instruments, including both securities and derivatives, across a wide spectrum of asset classes, chosen for their potential to moderate the perceived increased equity market risk in the blended style investor’s overall portfolio. |
| 36 | The Adviser provided Portfolio and benchmark performance return information for periods through February 28, 2011. |
| 37 | Portfolio and benchmark volatility and Sharpe Ratio information was obtained through Lipper LANA, a database maintained by Lipper. Volatility is a statistical measure of the tendency of a market price or yield to vary over time. A Sharpe Ratio is a risk adjusted measure of return that divides a portfolio’s return in excess of the riskless return by the portfolio’s standard deviation. A portfolio with a greater volatility would be regarded as more risky than a portfolio with equivalent performance but lower volatility; for that reason, a greater return would be demanded for the more risky portfolio. A portfolio with a higher Sharpe Ratio would be regarded as better performing than a portfolio with a lower Sharpe Ratio. |
| 38 | Benchmark inception performance is from the exact inception date. |
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Periods Ended February 28, 2011 Annualized Performance | ||||||||||||||||||||||||||||
Since Inception38 | Annualized | Risk Period (Year) | ||||||||||||||||||||||||||
1 Year (%) | 3 Year (%) | 5 Year (%) | Volatility (%) | Sharpe Ratio | ||||||||||||||||||||||||
| Multi-Asset Real Return Portfolio39 | 30.62 | 1.28 | 3.73 | 6.86 | 25.20 | 0.19 | 5 | |||||||||||||||||||||
| MSCI AC World Commodity Producers Index | 29.26 | -0.35 | 9.92 | 14.14 | 25.15 | 0.42 | 5 | |||||||||||||||||||||
| FTSE EPRA/NAREIT Developed RE Index | 29.26 | -1.72 | 1.97 | 5.83 | N/A | N/A | N/A | |||||||||||||||||||||
| Inception Date: May 20, 2005 | ||||||||||||||||||||||||||||
| International Value Portfolio | 18.79 | -5.78 | 0.00 | 4.87 | 24.67 | 0.04 | 5 | |||||||||||||||||||||
| MSCI EAFE Net Index | 20.00 | -2.10 | 2.43 | 5.92 | 21.25 | 0.11 | 5 | |||||||||||||||||||||
| Inception Date: May 20, 2005 | ||||||||||||||||||||||||||||
| International Growth Portfolio | 11.48 | -8.02 | -0.85 | 2.82 | 21.59 | -0.03 | 5 | |||||||||||||||||||||
| MSCI EAFE Net Index | 20.00 | -2.10 | 2.43 | 5.92 | 21.25 | 0.11 | 5 | |||||||||||||||||||||
| Inception Date: May 20, 2005 | ||||||||||||||||||||||||||||
| Small-Mid Cap Value Portfolio | 29.68 | 9.60 | 7.30 | 8.54 | 24.13 | 0.32 | 5 | |||||||||||||||||||||
| Russell 2500 Value Index | 29.55 | 5.82 | 3.70 | 6.01 | 21.89 | 0.17 | 5 | |||||||||||||||||||||
| Inception Date: May 20, 2005 | ||||||||||||||||||||||||||||
| Small-Mid Cap Growth Portfolio | 54.04 | 14.38 | 9.53 | 12.80 | 23.36 | 0.41 | 5 | |||||||||||||||||||||
| Russell 2500 Growth Index | 36.42 | 7.23 | 5.51 | 8.35 | 22.30 | 0.25 | 5 | |||||||||||||||||||||
| Inception Date: May 20, 2005 | ||||||||||||||||||||||||||||
| Volatility Management Portfolio35 | N/A | N/A | N/A | 15.91 | N/A | N/A | N/A | |||||||||||||||||||||
| S&P 500 Index | N/A | N/A | N/A | 11.50 | N/A | N/A | N/A | |||||||||||||||||||||
| Inception Date: April 16, 2010 | ||||||||||||||||||||||||||||
CONCLUSION:
Based on the factors discussed above the Senior Officer’s conclusion is that the proposed advisory fees for the Portfolios are reasonable and within the range of what would have been negotiated at arm’s-length in light of all the surrounding circumstances. This conclusion in respect of the Portfolios is based on an evaluation of all of these factors and no single factor was dispositive.
Dated: May 24, 2011.
| 39 | Effective December 31, 2010, the Portfolio’s benchmark changed to the MSCI AC World Commodity Producers Index from FTSE EPRA/NAREIT Developed RE Index to better align with the change in investment policy. |
| 310 | • ALLIANCEBERNSTEIN POOLING PORTFOLIOS |
THE FOLLOWING IS NOT PART OF THE SHAREHOLDER REPORT OR THE FINANCIAL STATEMENTS
SUMMARY OF SENIOR OFFICER’S EVALUATION OF INVESTMENT ADVISORY AGREEMENT1
The following is a summary of the evaluation of the Investment Advisory Agreement between AllianceBernstein L.P. (the “Adviser”) and AllianceBernstein Pooling Portfolios (the “Trust” or the “Pooling Portfolios”) with respect to the following Portfolios:2
Short Duration Bond Portfolio
Intermediate Duration Bond Portfolio
Bond Inflation Protected Securities Portfolio3
High-Yield Portfolio
The Trust, which is designed to facilitate a “blended style” investment approach, represents a variety of asset classes and investment styles, and is available for investment only to institutional clients of the Adviser, including both registered investment companies and large managed separate accounts.
The evaluation of the Investment Advisory Agreement was prepared by Philip L. Kirstein, the Senior Officer of the Trust, for the Trustees of the Trust, as required by the September 1, 2004 Assurance of Discontinuance (“AoD”) between the Adviser and the New York State Attorney General (the “NYAG”). The Senior Officer’s evaluation of the Investment Advisory Agreement is not meant to diminish the responsibility or authority of the Board of Trustees of the Trust to perform its duties pursuant to Section 15 of the Investment Company Act of 1940 (the “40 Act”) and applicable state law. The purpose of the summary is to provide shareholders with a synopsis of the independent evaluation of the reasonableness of the advisory fees proposed to be paid by the Portfolios which was provided to the Trustees in connection with their review of the proposed approval of the continuance of the Investment Advisory Agreement. The Senior Officer’s evaluation considered the following factors:
| 1. | Advisory fees charged to institutional and other clients of the Adviser for like services; |
| 2. | Advisory fees charged by other mutual fund companies for like services; |
| 3. | Costs to the Adviser and its affiliates of supplying services pursuant to the advisory agreements, excluding any intra-corporate profit; |
| 1 | The Senior Officer’s fee evaluation was completed on October 20, 2011 and discussed with the Board of Trustees on November 1-3, 2011. |
| 2 | Future references to the Portfolios do not include “AllianceBernstein.” |
| 3 | The Portfolio was formerly known as Inflation Protected Securities Portfolio. |
| ALLIANCEBERNSTEIN POOLING PORTFOLIOS • | 311 |
| 4. | Profit margins of the Adviser and its affiliates from supplying such services; |
| 5. | Possible economies of scale as the Portfolios grow larger; and |
| 6. | Nature and quality of the Adviser’s services including the performance of the Portfolios. |
These factors, with the exception of the first factor, are generally referred to as the “Gartenberg factors,” which were articulated by the United States Court of Appeals for the Second Circuit in 1982. Gartenberg v. Merrill Lynch Asset Management, Inc., 694 F. 2d 923 (2d Cir. 1982). On March 30, 2010, the Supreme Court held the Gartenberg decision was correct in its basic formulation of what §36(b) requires: to face liability under §36(b), “an investment adviser must charge a fee that is so disproportionately large that it bears no reasonable relationship to the services rendered and could not have been the product of arm’s length bargaining” Jones v. Harris Associates L.P., 130 S. Ct. 1418 (2010). In Jones, the Court stated the Gartenberg approach fully incorporates the correct understanding of fiduciary duty within the context of section 36(b) and noted with approval that “Gartenberg insists that all relevant circumstances be taken into account” and “uses the range of fees that might result from arm’s-length bargaining as the benchmark for reviewing challenged fees.”4
PORTFOLIO ADVISORY FEES, NET ASSETS, & EXPENSE RATIOS
Under the Investment Advisory Agreement, the Portfolios are not charged an advisory fee.5 The Adviser is compensated by institutional clients of the Adviser (the “Institutional Clients”) that invest in the Pooling Portfolios. These clients include the AllianceBernstein Blended Style Series, Inc.—AllianceBernstein Retirement Strategies (“Retirement Strategies”),6 certain series of The
| 4 | Jones v. Harris at 1427. |
| 5 | In November 2010, the Pooling Portfolios’ shareholders approved amendments to the Pooling Portfolios’ Advisory Agreement to provide for reimbursement to the Adviser for providing certain clerical, legal, accounting, administrative, and other services, which is standard for most AllianceBernstein Mutual Funds. Although the Trustees had previously approved and authorized submission to shareholders for amendments to the Pooling Portfolios’ Investment Advisory Agreement, as of the date of the Senior Officer’s evaluation, the Trustees have not yet authorized reimbursements to the Adviser under the reimbursement provision approved by shareholders. |
| 6 | Includes AllianceBernstein 2000 Retirement Strategy, AllianceBernstein 2005 Retirement Strategy, AllianceBernstein 2010 Retirement Strategy, AllianceBernstein 2015 Retirement Strategy, AllianceBernstein 2020 Retirement Strategy, AllianceBernstein 2025 Retirement Strategy, AllianceBernstein 2030 Retirement Strategy, AllianceBernstein 2035 Retirement Strategy, AllianceBernstein 2040 Retirement Strategy, AllianceBernstein 2045 Retirement Strategy, AllianceBernstein 2050 Retirement Strategy and AllianceBernstein 2055 Retirement Strategy . Future references to the Retirement Strategies do not include “AllianceBernstein.” |
| 312 | • ALLIANCEBERNSTEIN POOLING PORTFOLIOS |
AllianceBernstein Portfolios—AllianceBernstein Wealth Strategies (“Wealth Strategies”),7 and the Rhode Island Higher Education Savings Trust (referred to herein as “CollegeBoundfund”). Collectively, these shareholders (the “Institutional Clients”) own 100 percent of the Pooling Portfolios’ total outstanding shares. Set forth below are the advisory fee schedules of the Institutional Clients that invests in the Pooling Portfolios.
AllianceBernstein Blended Style Series, Inc.—AllianceBernstein Retirement Strategies
Each of the Retirement Strategies pays an advisory fee correlated to the percentage of equity investments held by each Retirement Strategy and discounted by a certain percentage dependent on the asset level of the Retirement Strategy as indicated below:
| % Invested in Equity Investments | Advisory Fee | |||
| Equal to or less than 60% | 0.55 | % | ||
| Greater than 60% and less than 80% | 0.60 | % | ||
| Equal to or greater than 80% | 0.65 | % | ||
| Net Asset Level | Discount | |||
Assets equal to or less than $2.5 billion Assets greater than $2.5 billion and less than $5 billion Assets greater than $5 billion |
| n/a 10 basis points 15 basis points |
| |
Accordingly, under the terms of the Investment Advisory Agreement, the Strategies will pay the Adviser at the following annual rates:
| Average Daily Net Assets | ||||||||||||
| Retirement Strategy | First $2.5 billion | Next $2.5 billion | In excess of $5 billion | |||||||||
Retirement Strategies: 2030, 2035, 2040, 2045, 2050, 2055 | 0.65 | % | 0.55 | % | 0.50 | % | ||||||
| Retirement Strategies: 2015, 2020, 2025 | 0.60 | % | 0.50 | % | 0.45 | % | ||||||
| Retirement Strategies: 2000, 2005, 2010 | 0.55 | % | 0.45 | % | 0.40 | % | ||||||
| 7 | Includes AllianceBernstein Balanced Wealth Strategy and AllianceBernstein Wealth Preservation Strategy. AllianceBernstein Wealth Appreciation Strategy is not included since the fund is not invested in any of the fixed income Pooling Portfolios. Future references to the Wealth Strategies do not include “AllianceBernstein.” |
| ALLIANCEBERNSTEIN POOLING PORTFOLIOS • | 313 |
The AllianceBernstein Portfolios—Balanced Wealth Strategy and Conservative Wealth Strategy
The Adviser charges Balanced Wealth Strategy and Conservative Wealth Strategy an advisory fee based on a percentage of each fund’s average daily net assets:
| Fund | Advisory Fee Based on % of Average Daily Net Assets | |||||
| Balanced Wealth Strategy | First $2.5 billion Next $2.5 billion Excess of $5 billion |
| 0.55 0.45 0.40 | % % % | ||
| Conservative Wealth Strategy | First $2.5 billion Next $2.5 billion Excess of $5 billion |
| 0.55 0.45 0.40 | % % % | ||
CollegeBoundfund
The Adviser serves as the program manager of the CollegeBoundfund, a 529 college-savings plan. Services provided by the Adviser as program manager for CollegeBoundfund include managing the assets of each Education Strategy of the plan that may invest in a combination of the Pooling Portfolios (the “Underlying Portfolios”), performing administrative related functions, servicing shareholder accounts, providing customer service to participants, maintaining the program and developing/updating a website where participants can access their personal accounts. It should be noted that shareholder servicing is provided by AllianceBernstein Investor Services (“ABIS”) and distribution by AllianceBernstein Investments, Inc. (“ABI”), both of which are affiliates of the Adviser. As program manager, the Adviser is paid a program management fee equal to the total expense ratio (fixed) of each Education Strategy minus the weighted average of the expenses of the Underlying Portfolios in which the Strategy is invested. The weighted average of the expenses of the Underlying Portfolios may fluctuate over time, resulting in an increase or decrease in the program management fee since the total expense ratio is constant. Set forth below is a table showing the total expense ratios of the Education Strategies as of July 31, 2011:
| Portfolios | Total Expense Ratio8 | |||
Age-Based Education Strategies9 | ||||
| Age-Based Aggressive 2011-2013 | 0.94 | % | ||
| Age-Based Aggressive 2008-2010 | 0.94 | % | ||
| Age-Based Aggressive 2005-2007 | 0.90 | % | ||
| 8 | The total expense ratios do not include an annual distribution fee of 1.00% payable to ABI, the program distributor, which is applied only to certain accounts that are established with the involvement of a financial adviser (“FA”). This charge is to fund compensation payable in the same amount by ABI to the FA for the FA’s services after such account is open at least one year. |
| 9 | Effective September 1, 2010, the total expense ratio, which includes the blended underlying expense ratio related to the Pooling Portfolios, for all Age-Based Education Strategies held only by Rhode Island resident accounts, was capped at 0.20%. |
| 314 | • ALLIANCEBERNSTEIN POOLING PORTFOLIOS |
| Portfolios | Total Expense Ratio8 | |||
| Age-Based Aggressive 2002-2004 | 0.86 | % | ||
| Age-Based Aggressive 1999-2001 | 0.82 | % | ||
| Age-Based Aggressive 1996-1998 | 0.78 | % | ||
| Age-Based Aggressive 1993-1995 | 0.74 | % | ||
| Age-Based Aggressive 1990-1992 | 0.74 | % | ||
| Age-Based Aggressive 1987-1989 | 0.74 | % | ||
| Age-Based Aggressive 1984-1986 | 0.74 | % | ||
| Age-Based Aggressive Pre-1984 | 0.74 | % | ||
| Age-Based 2011-2013 | 0.92 | % | ||
| Age-Based 2008-2010 | 0.88 | % | ||
| Age-Based 2005-2007 | 0.84 | % | ||
| Age-Based 2002-2004 | 0.80 | % | ||
| Age-Based 1999-2001 | 0.78 | % | ||
| Age-Based 1996-1998 | 0.76 | % | ||
| Age-Based 1993-1995 | 0.72 | % | ||
| Age-Based 1990-1992 | 0.72 | % | ||
| Age-Based 1987-1989 | 0.72 | % | ||
| Age-Based 1984-1986 | 0.72 | % | ||
| Age-Based Pre-1984 | 0.72 | % | ||
Fixed Based Education Strategies | ||||
| Appreciation | 0.94 | % | ||
| Balanced | 0.80 | % | ||
| Conservative | 0.72 | % | ||
The Portfolios’ net assets as of September 30, 2011 are set forth below:
| Portfolio | 9/30/2011 Net Assets ($MM) | |||
| Short Duration Bond Portfolio | $ | 936.8 | ||
| Intermediate Duration Bond Portfolio | $ | 1,343.1 | ||
| Bond Inflation Protected Securities Portfolio | $ | 671.6 | ||
| High-Yield Portfolio | $ | 419.4 | ||
Set forth below are the most recent semi-annual total expense ratios of the Portfolios. It should be noted that the fiscal year end of the Portfolios is August 31.
| Portfolio | 02/28/11 Total Expense Ratio (%)10 | |||
| Short Duration Bond Portfolio | 0.02 | % | ||
| Intermediate Duration Bond Portfolio | 0.02 | % | ||
| Bond Inflation Protected Securities Portfolio | 0.09 | % | ||
| High-Yield Portfolio | 0.05 | % | ||
| I. | ADVISORY FEES CHARGED TO INSTITUTIONAL AND OTHER CLIENTS |
Although the Portfolios are not charged an advisory fee, their shareholders, which include other investment companies and large institutional clients managed by the Adviser, pay the Adviser an investment advisory fee for managing their assets. In this regard, it is worth considering the advisory fees charged by
| 10 | Annualized. |
| ALLIANCEBERNSTEIN POOLING PORTFOLIOS • | 315 |
the Adviser to institutional and other clients. The advisory fees charged to investment companies that the Adviser manages and sponsors are normally higher than those charged to similar sized institutional accounts, including pension plans and sub-advised investment companies. The fee differential reflects, among other things, different services provided to such clients and different liabilities assumed. Services provided by the Adviser to investment companies, including the Portfolios, that are not provided to non-investment company clients and sub-advised investment companies include providing office space and personnel to serve as Fund Officers, who among other responsibilities make the certifications required under the Sarbanes–Oxley Act of 2002, and coordinating with and monitoring third party service providers such as Fund counsel, auditors, custodians, transfer agents and pricing services. The accounting, administrative, legal and compliance requirements for investment companies are more costly than those for institutional client accounts due to the greater complexities and time required for investment companies. In addition, managing the cash flow of an investment company may be more difficult than managing that of a stable pool of assets, such as an institutional account with little cash movement in either direction, particularly if the investment company experiences a net redemption and the Adviser is frequently forced to sell securities to raise cash for the redemption. However, managing an investment company with positive cash flow may be easier at times than managing a stable pool of assets. Finally, in recent years, investment advisers have been sued by institutional clients and have suffered reputational damage both by the attendant publicity and outcomes other than complete victories. Accordingly, the legal and reputational risks associated with institutional accounts are greater than previously thought, although arguably still not equal to those related to the mutual fund industry.
Notwithstanding the Adviser’s view that managing an investment company is not comparable to managing other institutional accounts because the services provided are different, the Supreme Court has indicated consideration should be given to the advisory fees charged to institutional accounts that have a substantially similar investment style the Portfolios.11 In addition to the AllianceBernstein Institutional fee schedule, set forth below are what would have been the effective advisory fees of the Portfolios had the AllianceBernstein Institutional fee schedule been applicable to the Portfolios based on September 30, 2011 net assets, although it should be noted that the Portfolios are not charged an advisory fee by the Adviser.12
| 11 | The Supreme Court stated that “courts may give such comparisons the weight that they merit in light of the similarities and differences between the services that the clients in question require, but the courts must be wary of inapt comparisons.” Among the significant differences the Supreme Court noted that may exist between services provided to mutual funds and institutional accounts are “higher marketing costs.” Jones v. Harris at 1428. |
| 12 | The Adviser has indicated that with respect to institutional accounts with assets greater than $300 million, it will negotiate a fee schedule. Discounts that are negotiated vary based upon each client relationship. |
| 316 | • ALLIANCEBERNSTEIN POOLING PORTFOLIOS |
| Portfolio | Portfolio Net Assets ($MM) | AllianceBernstein (AB) Fee Schedule | Effective AB Inst. Advisory Fee | |||||
| Short Duration Bond Portfolio13 | $936.8 | Low Duration 30 bp on the first $20 million 20 bp on the next $80 million 15 bp on the next $150 million 12.5 bp on the next $250 million 10 bp on the balance Minimum Account Size: $25m | 0.127% | |||||
| Intermediate Duration Bond Portfolio14 | $1,343.1 | U.S. Strategic Core Plus 50 bp on the first $30 million 20 bp on the balance Minimum Account Size: $25m | 0.207% | |||||
| Bond Inflation Protected Securities Portfolio | $671.6 | TIPS Plus 50 bp on the first $30 million 20 bp on the balance Minimum Account Size: $25m | 0.213% | |||||
| High-Yield Portfolio | $419.4 | U.S. High Yield 55 bp on the first $50 million 35 bp on the balance Minimum Account Size: $50m | 0.364% | |||||
The Adviser manages the AllianceBernstein Mutual Funds (“ABMF”), which are open-end investment companies, and AllianceBernstein Variable Products Series Fund, Inc. (“AVPS”), which offers variable annuity and variable life contract policyholders the option to utilize certain AVPS portfolios as the investment option underlying their insurance contracts. The advisory schedules of these funds, implemented in January 2004 as a result of the AoD between the NYAG and the Adviser, contemplates eight categories with almost all of the AllianceBernstein funds in each category having the same advisory fee schedule. In addition to the fee schedules of the ABMF and AVPS funds, set forth below are what would have been the effective advisory fees of the Pooling Portfolios
| 13 | Compared to the low duration institutional mandates, the Portfolio has a wider opportunity set and risk budget compared to that of the institutional mandates. |
| 14 | Intermediate Duration Bond Portfolio has a similar investment style as the institutional mandate. However, the Portfolio does not permit currency exposure and investing in below investment grade debt securities. The Portfolio may hold non-U.S. denominated securities, but the currency risk associated with these securities must be hedged. |
| ALLIANCEBERNSTEIN POOLING PORTFOLIOS • | 317 |
had the fee schedules of the ABMF / AVPS funds been applicable to the Portfolios based on the Portfolios September 30, 2011 net assets:
| Portfolio | ABMF/AVPS Category | Fee Schedule | Effective ABMF/ Adv. Fee | |||
| Short Duration Bond Portfolio | Low Risk Income | 0.45% on first $2.5 billion 0.40% on next $2.5 billion 0.35% on the balance | 0.450% | |||
| Intermediate Duration Bond Portfolio15 | Low Risk Income | 0.45% on first $2.5 billion 0.40% on next $2.5 billion 0.35% on the balance | 0.450% | |||
| Bond Inflation Protected Securities Portfolio | Low Risk Income | 0.45% on first $2.5 billion 0.40% on next $2.5 billion 0.35% on the balance | 0.500% | |||
| High-Yield Portfolio | High Income | 0.50% on first $2.5 billion 0.45% on next $2.5 billion 0.40% on the balance | 0.500% |
The Adviser manages Sanford C. Bernstein Fund, Inc. (“SCB Fund”), an open-end management investment company. Several portfolios of SCB Fund have a somewhat similar investment style to certain of the Portfolios and their advisory fee schedules are set forth below. Also presented are what would have been the effective advisory fees of the Portfolios had the SCB Fund fee schedules been applicable to the Portfolios based on September 30, 2011 net assets:
| Portfolio | SCB Fund Portfolio | Fee Schedule | SCB Fund Effective Fee | |||
| Short Duration Bond Portfolio | Short Duration Plus Portfolio | 45 bp on 1st $750 million 40 bp thereafter | 0.440% | |||
| Intermediate Duration Bond Portfolio | Intermediate Duration Portfolio | 50 bp on 1st $1 billion 45 bp on next $2 billion 40 bp on next $2 billion 35 bp on next $2 billion 30 bp thereafter | 0.487% |
| 15 | The Adviser also manages Sanford C. Bernstein Fund II—Intermediate Duration Institutional Portfolio (“SCB II”), an open-end mutual fund that has a similar investment style as the Portfolio. SCB II is charged by the Adviser an advisory fee rate of 0.50% on the first $1 billion and 0.45% thereafter. SCB II has an expense cap of 0.45% which effectively reduces the advisory fee. |
| 318 | • ALLIANCEBERNSTEIN POOLING PORTFOLIOS |
The AllianceBernstein Investment Trust Management mutual funds (“ITM”), which are offered to investors in Japan, have an “all-in” fee to compensate the Adviser for investment advisory as well as fund accounting and administrative related services. The fee schedule of the ITM mutual fund that has a somewhat similar investment style as High Yield Portfolio is set forth below:
| Portfolio | ITM Mutual Fund | ITM Fee | ||
| High-Yield Portfolio | High Yield Open Fund | 1.00% |
The Adviser provides sub-advisory services to certain other investment companies managed by other fund families. The Adviser charges the fee set forth below for the sub-advisory relationship that has a similar investment style as Intermediate Duration Bond Portfolio. Also shown is what would have been the advisory fee of the Portfolio had the sub-advisory fee schedule been applicable to the Portfolio based on September 30, 2011 net assets:
| Portfolio | Fee Schedule | Sub-advised Effective Fee | ||||
| Intermediate Duration Bond Portfolio | Client # 1 | 0.29% on first $100 million 0.20% thereafter | 0.207% |
It is fair to note that the services the Adviser provides pursuant to sub-advisory agreements are generally confined to the services related to the investment process; in other words, they are not as comprehensive as the services provided to the Portfolios by the Adviser. In addition, to the extent that this is the only sub-advisory relationship and it is with an affiliate of the Adviser, the fee schedule may not reflect arm’s-length bargaining or negotiations.
While it appears the sub-advisory relationship is paying a lower fee than the ABMF /AVPS Funds, it is difficult to evaluate the relevance of such lower fees due to differences in terms of the service provided, risks involved and other competitive factors between the ABMF /AVPS Funds and the sub-advisory relationships. There could be various business reasons why an investment adviser would be willing to manage a sub-advisory relationship for a different fee level than an investment company it is sponsoring where the investment adviser is providing all the services, not just investment services generally required by a registered investment company
| II. | MANAGEMENT FEES CHARGED BY OTHER MUTUAL FUNDS COMPANIES FOR LIKE SERVICES. |
The Trustees previously received the Senior Officer’s Evaluation of the Investment Advisory Agreement (the “Senior Officer Fee Evaluation”) for the Retirement Strategies and the Wealth Strategies dated July 21, 2011. In those Senior Officer Fee Evaluations, the Senior Officer concluded that the investment advisory agreements for those funds were reasonable and within range of what would have been negotiated at arm’s-length.
| ALLIANCEBERNSTEIN POOLING PORTFOLIOS • | 319 |
The Pooling Portfolios are not charged an advisory fee. However, as previously mentioned, the Institutional Clients that invest in the Pooling Portfolios do pay an advisory fee pursuant to their advisory agreements with the Adviser. The Adviser believes that the fee paid by the Institutional Clients includes a portion, referred by the Adviser as the “Implied Advisory Fee,” that may be reasonably viewed as compensation for services that the Adviser provides to the Pooling Portfolios. The Adviser further believes that the rate of the Implied Advisory Fee is the same for each Institutional Client invested in a series of the Pooling Portfolios.
Because of the Pooling Portfolios’ limited availability for investment, open only to certain institutional clients of the Adviser, the Pooling Portfolios have zero transfer agent (with the exception of certain transfer agent out of pocket expenses) and distribution fees, in addition to zero advisory fees. Such expense structure is rare in the industry. The UBS Relationship Funds, an open-end investment company managed by UBS Global Asset Management (Americas) Inc., was the only other fund family that was determined by the Adviser, the Senior Officer and Lipper, Inc. (“Lipper”) to have an expense structure comparable to the Pooling Portfolios.
Since there are not many funds of other fund families that have a similar expense structure as the Portfolios, Lipper, an analytical service not affiliated with the Adviser, provided additional information for expense and performance comparisons. Lipper compared the total expense ratios of the Portfolios to that of funds of a similar investment classification/objective with institutional class shares; however, Lipper excluded management, transfer agent and distribution fees from the total expense ratios of the Portfolios’ peers.16,17 Lipper’s analysis included the Portfolios’ rankings18 relative to their respective Lipper Expense Group (“EG”) and Lipper Expense Universe (“EU”).19
Lipper describes an EG as a representative sample of comparable funds. Lipper’s standard methodology for screening funds to be included in an EG entails the consideration of several fund criteria, including fund type, investment classification/objective, load type and similar 12b-1/non-12b-1 service fees, asset
| 16 | Because the Portfolios are offered only to other investment companies and certain institutional clients managed by the Adviser, the Portfolios are not assessed a fee for transfer agent and distribution-related services although it should be noted that the transfer agent of the Portfolios is reimbursed for out of pocket expenses. |
| 17 | The Supreme Court cautioned against accepting mutual fund fee comparisons without careful scrutiny since “these comparisons are problematic because these fees, like those challenged, may not be the product of negotiations conducted at arm’s length.” Jones v. Harris at 1429. |
| 18 | A ranking of “1” would mean that the Portfolio had the lowest total expense ratio in the Lipper peer group. |
| 19 | Note that there are limitations on expense category data because different funds categorize expenses differently. |
| 320 | • ALLIANCEBERNSTEIN POOLING PORTFOLIOS |
(size) comparability, and expense components and attributes. An EG will typically consist of seven to twenty funds. An EU is a much broader group, consisting of all institutional classes of funds of the same classification/objective as the subject Portfolio.20 The result of Lipper’s analysis is set forth below:
| Portfolio | Expense Ratio (%)21 | Lipper Exp. Group Median (%)22 | Lipper Group Rank | Lipper Exp. Universe Median (%) | Lipper Rank | |||||||||||
| Short Duration Bond Portfolio | 0.023 | 0.039 | 1/12 | 0.073 | 1/53 | |||||||||||
| Intermediate Duration Bond Portfolio | 0.023 | 0.044 | 1/17 | 0.057 | 5/110 | |||||||||||
| Bond Inflation Protected Securities Portfolio | 0.038 | 0.045 | 1/9 | 0.056 | 2/24 | |||||||||||
| High-Yield Portfolio | 0.053 | 0.062 | 5/17 | 0.071 | 29/92 | |||||||||||
| III. | COSTS TO THE ADVISER AND ITS AFFILIATES OF SUPPLYING SERVICES PURSUANT TO THE ADVISORY FEE ARRANGEMENT, EXCLUDING ANY INTRA-CORPORATE PROFIT. |
The Adviser utilizes two profitability reporting systems, which operate independently but are aligned with each other, to estimate the Adviser’s profitability in connection with investment advisory services provided to the Portfolios. The Senior Officer has retained a consultant to provide independent advice regarding the alignment of the two profitability systems as well as the methodologies and allocations utilized by both profitability systems. See Section IV for additional discussion.
| IV. | PROFIT MARGINS OF THE ADVISER AND ITS AFFILIATES FOR SUPPLYING SUCH SERVICES. |
The Pooling Portfolios’ profitability information, prepared by the Adviser for the Board of Trustees, was reviewed by the Senior Officer and the consultant. The Adviser used a weighted average of the Adviser’s profitability with respect to the Institutional Clients that are invested in the Pooling Portfolios, in addition to any Portfolio’s specific revenue or expense item, to calculate the Adviser’s profitability. With the exception of Intermediate Duration Bond Portfolio, the Adviser’s profitability from providing investment advisory services to the Pooling Portfolios increased during the calendar year 2010, relative to 2009.
| 20 | Except for asset (size) comparability, Lipper uses the same criteria for selecting an EG peer when selecting an EU peers. Unlike the EG, the EU allows for the same adviser to be represented by more than just one fund. |
| 21 | Most recently completed total expense ratio. |
| 22 | With respect to the Portfolios’ peers, the total expense ratios of those funds are net of management, transfer agent and distribution fees. |
| ALLIANCEBERNSTEIN POOLING PORTFOLIOS • | 321 |
| V. | POSSIBLE ECONOMIES OF SCALE |
The Adviser has indicated that economies of scale are being shared with shareholders through fee structures,23 subsidies and enhancement to services. Based on some of the professional literature that has considered economies of scale in the mutual fund industry, it is thought that to the extent economies of scale exist, they may more often exist across a fund family as opposed to a specific fund. This is because the costs incurred by the Adviser, such as investment research or technology for trading or compliance systems, can be spread across a greater asset base as the fund family increases in size. It is also possible that as the level of services required to operate a successful investment company has increased over time, and advisory firms have made such investments in their business to provide services, there may be a sharing of economies of scale without a reduction in advisory fees.
An independent consultant, retained by the Senior Officer, provided the Board of Trustees an update of the Deli24 study on advisory fees and various fund characteristics.25 The independent consultant first reiterated the results of his previous two dimensional comparison analysis (fund size and family size) with the Board of Trustees.26 The independent consultant then discussed the results of the regression model that was utilized to study the effects of various factors on advisory fees. The regression model output indicated that the bulk of the variation in fees predicted were explained by various factors, but substantially by fund assets under management (“AUM”), family AUM, index fund indicator and investment style. The independent consultant also compared the advisory fees of the AllianceBernstein Mutual Funds to similar funds managed by 19 other large asset managers, regardless of fund size and the large asset manager’s proportion of mutual fund assets to non-mutual fund assets.
| 23 | Fee structures include fee reductions, pricing at scale and breakpoints in advisory fee schedules. |
| 24 | The Deli study, originally published in 2002 based on 1997 data and updated for the February 2008 presentation, may be of diminished value due to the age of the data used in the presentation and the changes experienced in the industry over the last four years. |
| 25 | As mentioned previously, the Supreme Court cautioned against accepting mutual fund fee comparisons without careful scrutiny since the fees may not be the product of negotiations conducted at arm’s length. See Jones V. Harris at 14. |
| 26 | The two dimensional analysis showed patterns of lower advisory fees for funds with larger asset sizes and funds from larger family sizes compared to funds with smaller asset sizes and funds from smaller family sizes, which according to the independent consultant is indicative of a sharing of economies of scale and scope. However, in less liquid and active markets, such is not the case, as the empirical analysis showed potential for diseconomies of scale in those markets. The empirical analysis also showed diminishing economies of scale and scope as funds surpassed a certain high level of assets. |
| 322 | • ALLIANCEBERNSTEIN POOLING PORTFOLIOS |
| VI. | NATURE AND QUALITY OF THE ADVISER’S SERVICES INCLUDING THE PERFORMANCE OF THE PORTFOLIOS. |
With assets under management of $402 billion as of September 30, 2011, the Adviser has the investment experience to manage the portfolio assets of the Portfolios and provide non-investment services to the Portfolios
The information in the table below shows the 1, 3 and 5 year gross performance returns and rankings of the Portfolios relative to their Lipper Performance Group (“PG”) and Lipper Performance Universe (“PU”)27 for the periods ended July 31, 2011.28
| Portfolio | Portfolio Return (%) | PG Median (%) | PU Median (%) | PG Rank | PU Rank | |||||||||||
| Short Duration Bond Portfolio | ||||||||||||||||
1 year | 2.60 | 3.49 | 3.34 | 12/12 | 39/51 | |||||||||||
3 year | 3.92 | 4.93 | 4.65 | 7/7 | 29/40 | |||||||||||
5 year | 3.29 | 4.38 | 4.56 | 7/7 | 31/34 | |||||||||||
| Intermediate Duration Bond Portfolio | ||||||||||||||||
1 year | 5.82 | 6.17 | 6.30 | 11/17 | 69/108 | |||||||||||
3 year | 8.94 | 8.82 | 8.85 | 6/15 | 42/98 | |||||||||||
5 year | 7.23 | 7.25 | 7.28 | 9/14 | 44/82 | |||||||||||
| Bond Inflation Protected Securities Portfolio | ||||||||||||||||
1 year | 12.24 | 11.60 | 11.92 | 2/9 | 7/22 | |||||||||||
3 year | 6.75 | 6.75 | 7.14 | 5/9 | 13/21 | |||||||||||
5 year | 7.43 | 7.43 | 7.46 | 5/9 | 10/18 | |||||||||||
| High-Yield Portfolio | ||||||||||||||||
1 year | 13.44 | 13.34 | 13.82 | 8/17 | 49/88 | |||||||||||
3 year | 15.69 | 12.75 | 12.29 | 1/15 | 2/74 | |||||||||||
5 year | 10.14 | 9.35 | 8.98 | 2/13 | 6/57 | |||||||||||
Set forth below are the 1, 3 and 5 year and since inception net performance returns of the Portfolios (in bold) versus their benchmarks.29 Portfolio and
| 27 | The Portfolios’ PGs are identical to the Portfolios’ EGs. The Portfolios’ PUs are not identical to the Portfolios’ EUs as the criteria for including/excluding a portfolio in/from a PU are somewhat different from that of an EU. |
| 28 | The gross performance returns of the Portfolios were provided by Lipper. The performance returns of the Portfolios’ peers are also adjusted for expenses (gross up). |
| 29 | The Adviser provided Portfolio and benchmark performance return information for periods through July 31, 2011. |
| ALLIANCEBERNSTEIN POOLING PORTFOLIOS • | 323 |
benchmark volatility and reward-to-variability ratio (“Sharpe Ratio”) information are also shown.30
| Periods Ending July 31, 2011 Annualized Performance (%) | ||||||||||||||||||||||||||||
1 Year | 3 Year (%) | 5 Year (%) | Since Inception (%) | Annualized | Risk Period (Year) | |||||||||||||||||||||||
Volatility (%) | Sharpe (%) | |||||||||||||||||||||||||||
| Short Duration Bond Portfolio | 2.57 | 3.90 | 3.28 | 3.19 | 1.97 | 0.64 | 5 | |||||||||||||||||||||
| BofA Merrill Lynch 1-3 Yr. Treasury Index | 1.35 | 2.76 | 4.04 | 3.74 | 1.63 | 1.45 | 5 | |||||||||||||||||||||
| Inception Date: May 20, 2005 | ||||||||||||||||||||||||||||
| Intermediate Duration Bond Portfolio | 5.80 | 8.93 | 7.20 | 6.23 | 4.63 | 1.09 | 5 | |||||||||||||||||||||
| Barclays Capital U.S. Aggregate Bond Index | 4.44 | 7.05 | 6.57 | 5.56 | 3.60 | 1.24 | 5 | |||||||||||||||||||||
| Inception Date: May 20, 2005 | ||||||||||||||||||||||||||||
| Bond Inflation Protected Securities Portfolio | 12.20 | 6.73 | 7.40 | 6.27 | 6.20 | 0.87 | 5 | |||||||||||||||||||||
| Barclays Capital 1-10 Yr. TIPS Index | 9.63 | 5.68 | 6.80 | 5.81 | 6.11 | 0.79 | 5 | |||||||||||||||||||||
| Inception Date: May 20, 2005 | ||||||||||||||||||||||||||||
| High-Yield Portfolio | 13.38 | 15.66 | 10.99 | 9.27 | 13.59 | 0.63 | 5 | |||||||||||||||||||||
| Barclays Capital U.S. High Yield 2% Issuer Cap Index | 12.89 | 13.71 | 9.49 | 9.12 | 13.34 | 0.60 | 5 | |||||||||||||||||||||
| Inception Date: May 20, 2005 | ||||||||||||||||||||||||||||
CONCLUSION:
Based on the factors discussed above the Senior Officer’s conclusion is that the proposed advisory fees for the Portfolios are reasonable and within the range of what would have been negotiated at arm’s-length in light of all the surrounding circumstances. This conclusion in respect of the Portfolios is based on an evaluation of all of these factors and no single factor was dispositive.
Dated: November 28, 2011
| 30 | Volatility and Sharpe Ratio information for the Portfolios’ benchmarks was obtained through Lipper LANA, a database maintained by Lipper. Portfolio volatility and Sharpe Ratio information was estimated by the Mutual Fund Senior Officer Group using standard Lipper methodology. Volatility is a statistical measure of the tendency of a market price or yield to vary over time. A Sharpe Ratio is a risk adjusted measure of return that divides a fund’s return in excess of the riskless return by the fund’s standard deviation. A fund with a greater volatility would be viewed as more risky than a fund with equivalent performance but lower volatility; for that reason, a greater return would be demanded for the more risky fund. A fund with a higher Sharpe Ratio would be regarded as better performing than a fund with a lower Sharpe Ratio. |
| 324 | • ALLIANCEBERNSTEIN POOLING PORTFOLIOS |
THIS PAGE IS NOT PART OF THE SHAREHOLDER REPORT OR THE FINANCIAL STATEMENTS
ALLIANCEBERNSTEIN FAMILY OF FUNDS
Wealth Strategies Funds
Balanced Wealth Strategy
Conservative Wealth Strategy
Wealth Appreciation Strategy
Tax-Managed Balanced Wealth Strategy
Tax-Managed Conservative Wealth Strategy
Tax-Managed Wealth Appreciation Strategy
Asset Allocation/Multi-Asset
Dynamic All Market Fund
Emerging Markets Multi-Asset
International Portfolio
Real Asset Strategy
Tax-Managed International Portfolio
Growth Funds
Domestic
Growth Fund
Large Cap Growth Fund
Select U.S. Equity Portfolio
Small Cap Growth Portfolio
Small/Mid Cap Growth Fund
U.S. Strategic Research Portfolio
Global & International
Global Thematic Growth Fund
Greater China ’97 Fund
International Discovery Equity Portfolio
International Focus 40 Portfolio
International Growth Fund
Value Funds
Domestic
Core Opportunities Fund
Equity Income Fund
Growth & Income Fund
Small/Mid Cap Value Fund
Value Fund
Global & International
Global Real Estate Investment Fund
Global Value Fund
International Value Fund
Taxable Bond Funds
Bond Inflation Strategy
Global Bond Fund
High Income Fund
Intermediate Bond Portfolio
Limited Duration High Income Portfolio
Short Duration Portfolio
Unconstrained Bond Fund
Municipal Bond Funds
Arizona California High Income Massachusetts Michigan Minnesota Municipal Bond Inflation Strategy | National New Jersey New York Ohio Pennsylvania Virginia |
Intermediate Municipal Bond Funds
Intermediate California
Intermediate Diversified
Intermediate New York
Closed-End Funds
Alliance California Municipal Income Fund
Alliance New York Municipal Income Fund
AllianceBernstein Global High Income Fund
AllianceBernstein Income Fund
AllianceBernstein National Municipal Income Fund
Alternatives
Market Neutral Strategy-Global
Market Neutral Strategy-U.S.
Balanced
Balanced Shares
Retirement Strategies Funds
2000 Retirement Strategy | 2020 Retirement Strategy | 2040 Retirement Strategy | ||
2005 Retirement Strategy | 2025 Retirement Strategy | 2045 Retirement Strategy | ||
2010 Retirement Strategy | 2030 Retirement Strategy | 2050 Retirement Strategy | ||
2015 Retirement Strategy | 2035 Retirement Strategy | 2055 Retirement Strategy |
We also offer Exchange Reserves,** which serves as the money market fund exchange vehicle for the AllianceBernstein mutual funds.
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.alliancebernstein.com or contact your AllianceBernstein investments representative. Please read the prospectus and/or summary prospectus carefully before investing.
| ** | An investment in the Fund 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. |
| ALLIANCEBERNSTEIN POOLING PORTFOLIOS • | 325 |
AllianceBernstein Family of Funds
NOTES
| 326 | • ALLIANCEBERNSTEIN POOLING PORTFOLIOS |
ALLIANCEBERNSTEIN POOLING PORTFOLIOS
1345 Avenue of the Americas
New York, NY 10105
800.221.5672
| POOL-0152-0212 |  | |
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.
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 | |
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): The AllianceBernstein Pooling Portfolios
| By: | /s/ ROBERT M. KEITH | |
| Robert M. Keith President | ||
Date: April 23, 2012
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/ ROBERT M. KEITH | |
Robert M. Keith President | ||
Date: April 23, 2012
| By: | /s/ JOSEPH J. MANTINEO | |
Joseph J. Mantineo Treasurer and Chief Financial Officer | ||
Date: April 23, 2012