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 AB 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, 2016
Date of reporting period: February 29, 2016
ITEM 1. REPORTS TO STOCKHOLDERS.
FEB 02.29.16
SEMI-ANNUAL REPORT
AB POOLING PORTFOLIOS
+ | AB U.S. VALUE |
+ | AB U.S. LARGE CAP GROWTH |
+ | AB INTERNATIONAL VALUE |
+ | AB INTERNATIONAL GROWTH |
+ | AB SHORT DURATION BOND |
+ | AB GLOBAL CORE BOND |
+ | AB BOND INFLATION PROTECTION |
+ | AB HIGH-YIELD |
+ | AB SMALL-MID CAP VALUE |
+ | AB SMALL-MID CAP GROWTH |
+ | AB MULTI-ASSET REAL RETURN |
+ | AB VOLATILITY MANAGEMENT |
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.abglobal.com or contact your AB representative. Please read the prospectus and/or summary prospectus carefully before investing.
This shareholder report must be preceded or accompanied by the Fund’s prospectus for individuals who are not current shareholders of the Fund.
You may obtain a description of the Fund’s proxy voting policies and procedures, and information regarding how the Fund voted proxies relating to portfolio securities during the most recent 12-month period ended June 30, without charge. Simply visit AB’s website at www.abglobal.com, or go to the Securities and Exchange Commission’s (the “Commission”) website at www.sec.gov, or call AB at (800) 227-4618.
The Fund files its complete schedule of portfolio holdings with the Commission for the first and third quarters of each fiscal year on Form N-Q. The Fund’s Forms N-Q are available on the Commission’s website at www.sec.gov. The Fund’s Forms N-Q may also be reviewed and copied at the Commission’s Public Reference Room in Washington, DC; information on the operation of the Public Reference Room may be obtained by calling (800) SEC-0330. AB publishes full portfolio holdings for the Fund monthly at www.abglobal.com.
AllianceBernstein Investments, Inc. (ABI) is the distributor of the AB family of mutual funds. ABI is a member of FINRA and is an affiliate of AllianceBernstein L.P., the Adviser of the funds.
The [A/B] logo is a registered service mark of AllianceBernstein and AllianceBernstein® is a registered service mark used by permission of the owner, AllianceBernstein L.P.
April 15, 2016
Semi-Annual Report
This report provides management’s discussion of fund performance for the AB Pooling Portfolios (collectively, the “Portfolios”; individually, the “Portfolio”) for the semi-annual reporting period ended February 29, 2016.
The tables on pages 20-22 show each Portfolio’s performance for the six- and 12-month periods ended February 29, 2016, compared to their respective benchmarks. Additional performance can be found on pages 23-26.
Market Review
Global equities charted a rocky path over the six-month period. Markets mainly rallied through the first half, recovering losses from August’s sharp sell-off. However, 2016 ushered in another dramatic pullback that punished stocks worldwide. The steep decline led to losses for the period, with international and emerging-market equities hit hardest. US dollar-based investors also saw a strong US dollar dampen their returns.
As 2015 drew to a close, markets fluctuated as concerns over uneven global growth gave way to hopes for central bank intervention. A US interest rate hike, the first in nine years, helped offset negative sentiment due to inaction from the European Central Bank and a further retrenchment in commodities and oil. However, uncertainty spilled over into the new year, which began on a sour note as concerns about China’s fiscal policy, slowing growth and oversupply in oil sparked a fresh bout of turmoil in financial markets worldwide. While
February offered a modest respite, investors remained cautious by the end of the reporting period.
Bond markets were volatile for the six-month period, as growth trends and monetary policies in the world’s biggest economies headed in different directions. Inflation continued to fall throughout the developed world, driven primarily by decreasing commodity prices. Oil prices reached their lowest level since 2003, causing volatility within government bond yields. Adding to the volatility was the rate hike by the US Federal Reserve. Fixed-income returns diverged between regions and sectors: credit securities generally underperformed developed-market Treasuries; developed-market Treasuries generally outperformed emerging-market local currency Treasuries; and investment-grade securities generally outperformed high-yield, which posted some of the worst returns across the fixed-income markets, specifically within the energy and commodities sectors.
U.S. Value Portfolio
Investment Objective and Policies
The Portfolio’s investment objective is long-term growth of capital. The Portfolio invests primarily in a diversified portfolio of equity securities of US companies emphasizing investments in companies that AllianceBernstein L.P. (the “Adviser”) believes are undervalued. The Portfolio uses the fundamental value approach of the Adviser. 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
AB POOLING PORTFOLIOS • | 1 |
Adviser relies heavily on the fundamental analysis and research of the Adviser’s large internal research staff in making investment decisions for the Portfolio. Under normal circumstances, the Portfolio invests at least 80% of its net assets in equity securities of US companies.
The Portfolio may enter into derivatives transactions, such as options, futures contracts, forwards and swaps. The Portfolio may use options strategies involving the purchase and/or writing of various combinations of call and/or put options, including on individual securities and stock indices, futures contracts (including futures contracts on individual securities and stock indices) or shares of exchange-traded funds (“ETFs”). These transactions may be used, for example, in an effort to earn extra income, to adjust exposure to individual securities or markets, or to protect all or a portion of the Portfolio’s portfolio from a decline in value, sometimes within certain ranges.
The Portfolio may, at times, invest in shares of ETFs in lieu of making direct investments in securities. ETFs may provide more efficient and economical exposure to the types of companies and geographic locations in which the Portfolio seeks to invest than direct investments.
Investment Results
The Portfolio underperformed its benchmark, the Russell 1000 Value Index, for the six- and 12-month periods ended February 29, 2016.
For the six-month period, security selection was the main source of underperformance, particularly within the consumer cyclicals, financials and industrial resources sectors, relative to the benchmark. Sector selection was positive, due to an underweight in energy and utilities. For the 12-month period, security selection drove the underperformance, with weakness in the consumer cyclicals, consumer growth and financials sectors. Sector allocation also detracted, due to an overweight in consumer cyclicals and an underweight in consumer staples. In contrast, security selection in airlines and energy, and an underweight in energy were beneficial to returns.
The Portfolio did not utilize derivatives during the six- or 12-month periods.
U.S. Large Cap Growth Portfolio
Investment Objective and Policies
The Portfolio’s investment objective is long-term growth of capital. The Portfolio invests primarily in equity securities of a limited number of large, carefully selected, high quality US companies. The Portfolio invests primarily in the domestic equity securities of companies selected by the Adviser for their growth potential within various market sectors. The Portfolio emphasizes investments in large, seasoned companies. Under normal circumstances, the Portfolio invests at least 80% of its net assets in equity securities of large-capitalization US companies. For these purposes, “large-capitalization companies” are those that, at the time of investment, have market capitalizations within the range of market capitalizations of
2 | • AB POOLING PORTFOLIOS |
companies appearing in the Russell 1000 Growth Index. The Adviser expects that normally the Portfolio’s portfolio will tend to emphasize investments in securities issued by US companies, although it may invest in foreign securities.
The Portfolio may enter into derivatives transactions, such as options, futures contracts, forwards and swaps. The Portfolio may use options strategies involving the purchase and/or writing of various combinations of call and/or put options, including on individual securities and stock indices, futures contracts (including futures contracts on individual securities and stock indices) or shares of ETFs. These transactions may be used, for example, in an effort to earn extra income, to adjust exposure to individual securities or markets, or to protect all or a portion of the Portfolio’s portfolio from a decline in value, sometimes within certain ranges.
The Portfolio may, at times, invest in shares of ETFs in lieu of making direct investments in securities. ETFs may provide more efficient and economical exposure to the types of companies and geographic locations in which the Portfolio seeks to invest than direct investments.
Investment Results
The Portfolio declined in absolute terms but outperformed its benchmark, the Russell 1000 Growth Index, for the six- and 12-month periods ended February 29, 2016.
During the six-month period, security selection was the main source of
outperformance, as stock selection in the health care and consumer discretionary sectors contributed to returns, relative to the benchmark. Stock selection in the consumer staples and technology sectors had a negative impact on performance. Sector selection was negative, due to an overweight in health care and an underweight in telecommunications. For the 12-month period, security selection was positive, as stocks within the consumer discretionary, industrials, health care and technology sectors contributed to performance. Security selection in the consumer staples and financials sectors had a negative impact on returns. Sector selection was positive, due to an underweight in energy and materials.
The Portfolio did not utilize derivatives during the six- or 12-month periods.
International Value Portfolio
Investment Objective and Policies
The Portfolio’s investment objective is 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-US companies. In addition, the Portfolio invests, under normal market conditions, in companies in at least three countries other than the United States.
AB POOLING PORTFOLIOS • | 3 |
The Portfolio invests in companies that the Adviser determines are undervalued, using a fundamental value approach. In selecting securities for the Portfolio, the Adviser uses its fundamental and quantitative research to identify companies whose stocks are priced low in relation to their perceived long-term earnings power.
Currencies can have a dramatic impact on equity returns, significantly adding to returns in some years and greatly diminishing them in others. The Adviser evaluates currency and equity positions separately and may seek to hedge the currency exposure resulting from securities positions when it finds the currency positions 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 contracts and options on futures contracts, 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.
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 Portfolio may enter into derivatives transactions, such as options, futures contracts, forwards and swaps. The Portfolio may use options strategies involving the purchase and/or writing
of various combinations of call and/or put options, including on individual securities and stock indices, futures contracts (including futures contracts on individual securities and stock indices) or shares of ETFs. These transactions may be used, for example, in an effort to earn extra income, to adjust exposure to individual securities or markets, or to protect all or a portion of the Portfolio’s portfolio from a decline in value, sometimes within certain ranges.
The Portfolio may, at times, invest in shares of ETFs in lieu of making direct investments in securities. ETFs may provide more efficient and economical exposure to the types of companies and geographic locations in which the Portfolio seeks to invest than direct investments.
Investment Results
The Portfolio declined in absolute terms but outperformed its benchmark, the Morgan Stanley Capital International All Country World Index (“MSCI ACWI”) ex-US, for the six- and 12-month periods ended February 29, 2016.
For the six-month period, security selection was the main source of outperformance, relative to the benchmark, particularly within the finance, telecommunications and health care sectors. Security selection in utilities detracted. Sector selection did not have a meaningful impact on performance. A positive overweight in transport was offset by a negative underweight in consumer staples. Country allocation contributed, driven by an overweight to Argentina; an
4 | • AB POOLING PORTFOLIOS |
overweight position to Japan detracted. For the 12-month period, security selection in the financials, capital equipment and industrial commodities sectors drove the outperformance. Sector selection was negative, due to underweights in consumer staples and health care, and an overweight in capital equipment. Country allocation contributed, particularly an overweight to Korea. In contrast, an underweight to Switzerland detracted.
The Portfolio utilized derivatives including futures for investment purposes and currency forwards for hedging and investment purposes, which detracted from returns during the six-month period and added during the 12-month period, in absolute terms.
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 pre-determined allocation. The Portfolio may also invest in synthetic foreign 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’s 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 contracts, options on futures contracts, 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.
The Portfolio may enter into derivatives transactions, such as options, futures contracts, forwards and swaps. The Portfolio may use options strategies involving the purchase and/or writing
AB POOLING PORTFOLIOS • | 5 |
of various combinations of call and/or put options, including on individual securities and stock indices, futures contracts (including futures contracts on individual securities and stock indices) or shares of ETFs. These transactions may be used, for example, in an effort to earn extra income, to adjust exposure to individual securities or markets, or to protect all or a portion of the Portfolio’s portfolio from a decline in value, sometimes within certain ranges.
The Portfolio may, at times, invest in shares of ETFs in lieu of making direct investments in securities. ETFs may provide more efficient and economical exposure to the types of companies and geographic locations in which the Portfolio seeks to invest than direct investments.
Investment Results
The Portfolio declined in absolute terms but outperformed its benchmark, the MSCI ACWI ex-US, for the six- and 12-month periods ended February 29, 2016.
For the six-month period, security selection was the main source of outperformance, with strength in the health care, technology and financials sectors. An overweight in technology also helped relative performance. An underweight to the consumer staples sector and selections in the consumer staples, utilities and consumer discretionary sectors detracted. Country allocation contributed to returns, due to an underweight to Japan; an overweight position to India detracted. For the 12-month period, security selection drove
the outperformance, with strength in the health care, technology and financials sectors. Sector selection also added value, due to positive underweights in energy and materials. Security selection in utilities and consumer staples detracted. Country allocation helped returns, due to an overweight to the UK; while an overweight position to India detracted.
The Portfolio utilized derivatives in the form of currency forwards for hedging purposes, which added to returns during both periods, in absolute terms.
Short Duration Bond Portfolio
Investment Objective and Policies
The Portfolio’s investment objective is to provide 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, US government and agency securities, asset-backed securities, mortgage-related securities, and inflation-indexed securities, as well as other securities of US and non-US issuers. Under normal circumstances, the Portfolio invests at least 80% of its net assets in fixed-income securities. The Portfolio may also invest up to 20% of its total assets in debt securities denominated in currencies other than the US dollar. The Portfolio may also invest up to 20% of its assets in hybrid instruments, which have characteristics of futures contracts, options, currencies and securities.
The Portfolio seeks to maintain a relatively short duration of one to three years under normal market conditions.
6 | • AB POOLING PORTFOLIOS |
The Adviser may use interest rate forecasting to determine the best level of interest rate risk at a given time. The Adviser may moderately shorten the average duration of the Portfolio when it expects interest rates to rise and modestly lengthen the average duration when it anticipates that rates will fall.
The Portfolio may invest in investment-grade quality securities rated A or Baa (including Baa1, Baa2 and Baa3) by Moody’s Investors Service, Inc. (“Moody’s”), or A or BBB (including BBB+ and BBB-) by Standard & Poor’s Ratings Services (“S&P”) or Fitch Ratings (“Fitch”). 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. The Portfolio may enter into derivatives transactions, such as options, futures contracts, forwards and swaps.
Investment Results
The Portfolio underperformed its benchmark, the Bank of America Merrill Lynch (“BofA ML”) 1-3 Year US Treasury Index, for the six-month period, yet outperformed for the 12-month period ended February 29, 2016.
Exposure to asset-backed securities and commercial mortgage-backed securities (“CMBS”) contributed to returns for both periods, relative to the benchmark. For both periods, exposure to inflation-linked securities detracted modestly, while yield-curve positioning detracted from performance, mainly from a slight underweight to the two-year part of the yield curve.
During both periods, the Portfolio utilized derivatives including Treasury futures and interest rate swaps to manage duration and yield-curve positioning. Currency forwards were also utilized during both periods to establish currency positioning. Cross currency swaps for hedging purposes had an immaterial impact during both periods, in absolute terms.
Global Core Bond Portfolio
Investment Objective and Policies
The Portfolio’s investment objective is to provide 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. 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-US 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 medium-quality securities rated A or Baa (including Baa1, Baa2 and Baa3) by Moody’s, or A or BBB (including BBB+ and BBB-) by S&P or Fitch. The Portfolio may invest in mortgage-related and other asset-backed securities, loan participations, inflation-indexed securities, structured securities, variable, floating, and inverse floating-rate instruments and preferred stock, and may use other investment techniques. To reduce volatility, the Adviser may hedge a significant portion of the currency exposure resulting from securities
AB POOLING PORTFOLIOS • | 7 |
positions when it finds the currency exposure unattractive. To hedge its currency exposure, the Portfolio intends to use currency-related derivatives, including forward currency exchange contracts and futures contracts. The Adviser may also seek investment opportunities by taking long or short positions in currencies through the use of currency-related derivatives. The Portfolio may also invest in other derivatives, including, without limitation, 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
The Portfolio underperformed its benchmark, the Barclays Global Aggregate Bond Index (US dollar hedged), for the six- and 12-month periods ended February 29, 2016.
Currency positioning contributed for both periods, relative to the benchmark. For the six-month period, a long position in the US dollar and Japanese yen as well as short positions in the euro and British pound contributed. For the 12-month period, a long US dollar position as well as short positions in the euro, Australian dollar and South Korean won contributed. Sector positioning detracted for both periods, mainly from an overweight to investment-grade corporates and mortgage pass-throughs. Country positioning detracted for both periods, specifically an underweight to Japan, and an overweight to the United States. Security selection within the energy and basic materials sectors detracted for both periods. Yield-curve positioning
detracted for the 12-month period, mainly from an underweight to the long end of the US curve. For the six-month period, yield-curve positioning contributed modestly due to positioning on the long end of the euro and Japan curves.
During both periods, the Portfolio utilized derivatives including Treasury futures to manage duration and yield-curve positioning; currency forwards and purchased and written options for hedging and investment purposes had an immaterial impact on performance, in absolute terms.
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. Real return equals total return less the estimated effect of inflation. The Portfolio pursues its objective by investing principally in Treasury inflation-protected securities (“TIPS”) directly or by gaining indirect exposure to TIPS through derivatives transactions such as Consumer Price Index (“CPI”) swaps and total return swaps linked to TIPS. In deciding whether to take direct or indirect exposure, the Adviser will consider the relative costs and efficiency of each method. In addition, in seeking to maximize real return, the Portfolio may invest in other fixed-income investments such as US and non-US government securities, corporate fixed-income securities and mortgage-related securities, as well as derivatives linked to such securities. Under normal circumstances, the
8 | • AB POOLING PORTFOLIOS |
Portfolio invests at least 80% of its net assets in fixed-income securities. While the Portfolio expects to invest 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 US and non-US issuers, and in derivative instruments linked to these securities. As noted above, the Portfolio may invest in derivatives, such as options, futures contracts, forwards or swap agreements. The Portfolio intends to use leverage for investment purposes. 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. If the rating of a fixed-income security falls below investment-grade, the Portfolio will not be obligated to sell the security and may continue to hold it if, in the Adviser’s opinion, the investment is appropriate under the circumstances.
Investment Results
The Portfolio underperformed its benchmark, the Barclays 1-10 Year TIPS Index, for the six- and 12-month periods ended February 29, 2016, and declined in absolute terms for the 12-month period.
During the six-month period TIPS returns were positive as US Treasury yields fell, and for the 12-month period returns were flat as rates ended the period close to where they started coupled with low levels of inflation. During both periods, the continued downward pressure on oil prices as well as other commodity prices caused TIPS to underperform relative to US Treasuries. For both periods, sector allocation detracted from returns while currency allocation contributed to returns, relative to the benchmark. Sector allocation to corporates detracted for both periods. Within currency allocation, the Portfolio’s short positions in the euro and Singapore dollar contributed to returns for the six-month period; a long US dollar position against its short euro, Australian dollar, Canadian dollar and British pound positions contributed to returns for the 12-month period.
The Portfolio utilized derivatives including interest rate swaps and Treasury futures during both periods to manage duration and yield-curve positioning. Overall duration and yield-curve positioning had a modest contribution to returns for the six- and 12-month periods in absolute terms. Credit default swaps, inflation swaps and written options were utilized for hedging and investment purposes, which had an immaterial impact during both periods. Currency forwards were utilized to establish currency positioning.
High-Yield Portfolio
Investment Objective and Policies
The Portfolio’s investment objective is to achieve high total return by maximizing
AB POOLING PORTFOLIOS • | 9 |
current income and, to the extent consistent with that objective, capital appreciation. The Portfolio invests, under normal circumstances, 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.” These securities involve greater volatility of price and risk of principal and income than higher quality debt securities. The Portfolio is managed to maximize current income by taking advantage of market developments, yield disparities, and variations in the creditworthiness of issuers. The Portfolio uses various strategies in attempting to achieve its objective. The Portfolio may invest in debt securities with a range of maturities from short- to long-term. The Portfolio may invest in US dollar-denominated and non-US dollar-denominated foreign fixed-income securities. The Portfolio also may invest in mortgage-related and other asset-backed securities, loan participations, inflation-indexed securities, structured securities and preferred stocks. The Portfolio may use leverage for investment purposes by entering into transactions such as reverse 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. The Portfolio may enter into derivatives transactions, such as options, futures contracts, forwards and swaps.
Investment Results
The Portfolio declined in absolute terms and underperformed its benchmark, the Barclays US High Yield 2% Issuer Capped Index, for the six- and 12-month periods ended February 29, 2016.
For both periods, an underweight to the energy and basic materials sectors as well as an overweight to the banking sector contributed to performance, relative to the benchmark. An allocation to collateralized mortgage obligations and CMBS also contributed to returns for both periods. Security selection within the energy, technology and industrials sectors was the main detractor from performance for both periods. Underweights to the telecommunications sector as well as an underweight to a number of consumer cyclical stocks also detracted for both periods.
During both periods, the Portfolio utilized derivatives including credit default swaps for hedging and investment purposes, and purchased options and interest rate swaps for hedging purposes, which detracted from performance in absolute terms; futures for hedging purposes added. Currency forwards for hedging and investment purposes and written options for hedging purposes had an immaterial impact during the six-month period and added during the 12-month period. During both periods, written swaptions for hedging purposes had an immaterial impact and total return swaps for investment purposes detracted.
10 | • AB POOLING PORTFOLIOS |
Small-Mid Cap Value Portfolio
Investment Objective and Policies
The Portfolio’s investment objective is long-term growth of capital. The Portfolio invests primarily in a diversified portfolio of equity securities of small- to mid-capitalization US companies. Under normal circumstances, the Portfolio invests at least 80% of its net assets in small- to mid-capitalization companies. For purposes of this policy, small- to mid-capitalization companies are those that, at the time of investment, fall within the capitalization range between the smallest company appearing in the Russell 2500 Value Index and the greater of $5 billion or the market capitalization of the largest company in the Russell 2500 Value Index. The Portfolio may invest in securities issued by non-US companies and enter into forward commitments.
The Portfolio may enter into derivatives transactions, such as options, futures contracts, forwards and swaps. The Portfolio may use options strategies involving the purchase and/or writing of various combinations of call and/or put options, including on individual securities and stock indices, futures contracts (including futures contracts on individual securities and stock indices) or shares of ETFs. These transactions may be used, for example, in an effort to earn extra income, to adjust exposure to individual securities or markets, or to protect all or a portion of the Portfolio’s portfolio from a decline in value, sometimes within certain ranges.
The Portfolio may, at times, invest in shares of ETFs in lieu of making direct
investments in securities. ETFs may provide more efficient and economical exposure to the types of companies and geographic locations in which the Portfolio seeks to invest than direct investments.
Investment Results
The Portfolio declined in absolute terms and underperformed its benchmark, the Russell 2500 Value Index, for the six-month period, but outperformed its benchmark for the 12-month period ended February 29, 2016.
During the six-month period, security selection in the financials sector and an underweight in the utilities sector were the primary causes of the underperformance, relative to the benchmark. Stock selection in the consumer staples and energy sectors, as well as an overweight position in technology mitigated some of the losses. For the 12-month period, security selection drove the outperformance, strongest in the financials sector. Stock selection in the consumer staples, energy and health care sectors, as well as an underweight position in the energy sector, also significantly contributed to relative performance. The leading detractors from performance for the period were stock selection in the consumer discretionary and technology sectors and underweight positions in utilities and financials.
The Portfolio did not utilize derivatives during the six- or 12-month periods.
AB POOLING PORTFOLIOS • | 11 |
Small-Mid Cap Growth Portfolio
Investment Objective and Policies
The Portfolio’s investment objective is 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 US 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 US equity market capitalization (excluding, for purposes of this calculation, companies with market capitalizations of less than $10 million). 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 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 up to 20% of its total assets in rights and warrants.
The Portfolio may enter into derivatives transactions, such as options, futures
contracts, forwards and swaps. The Portfolio may use options strategies involving the purchase and/or writing of various combinations of call and/or put options, including on individual securities and stock indices, futures contracts (including futures contracts on individual securities and stock indices) or shares of ETFs. These transactions may be used, for example, in an effort to earn extra income, to adjust exposure to individual securities or markets, or to protect all or a portion of the Portfolio’s portfolio from a decline in value, sometimes within certain ranges.
The Portfolio may, at times, invest in shares of ETFs in lieu of making direct investments in securities. ETFs may provide more efficient and economical exposure to the types of companies and locations in which the Portfolio seeks to invest than direct investments.
Investment Results
The Portfolio declined in absolute terms and underperformed its benchmark, the Russell 2500 Growth Index, for the six- and 12-month periods ended February 29, 2016.
Stock selection in the industrials and financial sectors detracted most from returns for both periods. Selection in the health care sector, particularly an underweight to biopharmaceuticals, contributed for both periods. Consistent with the Senior Investment Management Team’s (the “Team’s”) investment discipline, the Portfolio’s holdings—regardless of their absolute level of growth or degree of economic sensitivity—are, in the Team’s opinion,
12 | • AB POOLING PORTFOLIOS |
well positioned as many of their purchases have unique secular growth drivers or company-specific initiatives that should help drive earnings.
The Portfolio did not utilize derivatives during the six- or 12-month periods.
Multi-Asset Real Return Portfolio
Investment Objective and Policies
The Portfolio’s investment objective is to maximize real return over inflation. Real return is the rate of total return (including income and capital appreciation) after adjusting for 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 expects to invest 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-indexed fixed-income securities, such as TIPS and similar bonds issued by governments outside of the United States, 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 expects its investments in fixed-income securities to have a broad range of any maturity and quality level.
The Portfolio may invest in derivatives, such as options, futures
contracts, forwards, swap agreements or structured notes. The Portfolio intends to use leverage for investment purposes through the use of cash made available by derivatives transactions to make other investments in accordance with its investment policies.
The Portfolio may seek to gain exposure to physical commodities traded in the commodities markets through investments in a variety of derivative instruments, including investments in commodity index-linked notes. The Adviser expects that the Portfolio will seek 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 is advised by the Adviser and has the same investment objective and substantially similar investment policies and restrictions as the Portfolio. The Subsidiary, unlike the Portfolio, may invest, without limitation, in commodities and commodities-related instruments. The Portfolio will be subject to the risks associated with the commodities, derivatives and other instruments in which the Subsidiary invests, to the extent of its investment in the Subsidiary. The Portfolio limits its investment in the Subsidiary to no more than 25% of its net assets.
The Portfolio is non-diversified, which means that it may concentrate its assets in a smaller number of issuers than a diversified fund.
AB POOLING PORTFOLIOS • | 13 |
Investment Results
The Portfolio declined and underperformed its primary benchmark, the MSCI AC World Commodity Producers Index, for the six-month period ended February 29, 2016, but outperformed for the 12-month period. The Portfolio underperformed its secondary benchmark, the All Market Real Return Portfolio Benchmark, for both periods.
Over the six-month period, strategic exposure to commodity futures detracted while strategic exposure to global real estate was positive, albeit to a smaller degree. The outperformance during the 12-month period versus the primary benchmark was driven by a strategic exposure to global real estate, which strongly outperformed the primary benchmark (which has no real estate exposure or commodity futures exposure and has only commodity equity exposure). The strategic allocation to commodity futures also boosted performance for both periods, although to a smaller degree for the 12-month period. Further, overlay positions such as an overweight to the US dollar, CPI swaps, and security selection outperformed relative to the primary benchmark, which helped returns; long-dated oil futures detracted for both periods.
The underperformance versus the secondary benchmark during both periods was driven by an overweight to energy stocks, energy futures and CPI swaps. An underweight to mining equities, as well as security selection and the foreign exchange market, contributed to performance.
The Portfolio utilized derivatives for hedging and investment purposes in the form of currency forwards, futures, total return swaps, interest rate swaps and written options, which detracted from returns during both periods in absolute terms; inflation swaps were utilized, which detracted during the six-month period and added during the 12-month period, and purchased options had an immaterial impact during the six-month period and added during the 12-month period.
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 invest directly in equity securities, but it will also be able to invest without limit in derivative instruments, including futures contracts, forwards, options, swaps and other financially linked investments. The Portfolio will also have the ability to invest in a wide array of asset classes, including US,
14 | • AB POOLING PORTFOLIOS |
non-US and emerging-market equity and fixed-income securities, commodities, real estate investment trusts (“REITs”) and other real estate-related securities, currencies and inflation-indexed securities.
To effectuate the Portfolio’s dynamic, opportunistic asset allocation approach, the Adviser may invest in derivatives or ETFs rather than investing directly in equity securities. The Portfolio may use index futures or ETFs, 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 investments, 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 and/or ETFs. 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 and/or ETFs. 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 classes not represented elsewhere in the investing Fund’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
The Portfolio declined and underperformed its benchmark, the MSCI ACWI, for the six- and 12-month periods ended February 29, 2016.
Throughout the first half of the 12-month period, the Portfolio was fully allocated to growth-sensitive assets until late August, when the Portfolio moved to underweight equity and added to cash in response to rising volatility caused by Chinese currency devaluation and emerging-market growth concerns. Throughout both periods, the Portfolio was more diversified than the benchmark through holdings of global REITs and made modest tilts across equity regions.
Regional shifts in equities (an overweight to Japan) detracted from performance for both periods. Strategic allocations to underweight international developed- and emerging-market equities contributed to performance in the six-month period. Decisions to underweight REITs detracted from performance in the six-month period and contributed to performance in the 12-month period.
The Portfolio utilized derivatives for hedging and investment purposes including currency forwards, which added to returns during both periods, in absolute terms; futures, total return swaps and purchased and written options detracted during both periods.
AB POOLING PORTFOLIOS • | 15 |
DISCLOSURES AND RISKS
Benchmark Disclosures
None of the indices listed below reflect fees and expenses associated with the active management of a mutual fund portfolio; all indices are unmanaged. The Russell 1000® Value Index represents the performance of 1,000 large-cap value companies within the US. The Russell 1000® Growth Index represents the performance of 1,000 large-cap growth companies within the US. The MSCI ACWI ex-US (free float-adjusted, market capitalization weighted) represents the equity market performance of developed and emerging markets, excluding the United States. The BofA ML® 1-3 Year US Treasury Index represents the performance of US dollar-denominated sovereign debt publicly issued by the US government in its domestic market with a remaining term to final maturity of one to three years. The Barclays Global Aggregate Bond Index (US dollar hedged) represents the performance of the global investment-grade developed fixed-income markets. The Barclays 1-10 Year TIPS Index represents the performance of inflation-protected securities issued by the US Treasury. The Barclays US High Yield 2% Issuer Capped Index is the 2% issuer capped component of the US 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. The Russell 2500™ Value Index represents the performance of 2,500 small- to mid-cap value companies within the US. The Russell 2500™ Growth Index represents the performance of 2,500 small- to mid-cap growth companies within the US. The All Market Real Return Portfolio Benchmark is an equally-weighted blend of the MSCI AC World Commodity Producers Index, the FTSE EPRA/NAREIT Global Index and the Dow Jones-UBS Commodity Index. The MSCI AC World Commodity Producers Index is a free float-adjusted, market capitalization index designed to track the performance of global listed commodity producers, including emerging markets. The FTSE EPRA/NAREIT Global Index (market-value-weighted index based upon the last closing price of the month) represents the performance of tax-qualified REITs listed on the NYSE, AMEX and the NASDAQ. The Dow Jones-UBS Commodity Index measures price movements of the commodities included in the appropriate sub index. It does not account for effects of rolling futures contracts or costs associated with holding the physical commodity. Commodities sectors include: energy, grains, industrial metals, petroleum, precious metals and softs. The MSCI ACWI (free float-adjusted, market capitalization weighted) represents the equity market performance of developed and emerging markets. MSCI makes no express or implied warranties or representations, and shall have no liability whatsoever with respect to any MSCI data contained herein. The MSCI data may not be further redistributed or used as a basis for other indices, any securities or financial products. This report is not approved, reviewed or produced by MSCI. 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
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.
(Disclosures, Risks and Note about Historical Performance continued on next page)
16 | • AB POOLING PORTFOLIOS |
Disclosures and Risks
DISCLOSURES AND RISKS
(continued from previous page)
Market Risk: The value of the Portfolios’ assets will fluctuate as the stock or bond market fluctuates. The value of their investments may decline, sometimes rapidly and unpredictably, simply because of economic changes or other events that affect large portions of the market. It includes the risk that a particular style of investing, such as the Portfolios’ value approach, may be underperforming the market generally.
Derivatives Risk: Derivatives may be illiquid, difficult to price, and leveraged so that small changes may produce disproportionate losses for the Portfolios, and may be subject to counterparty risk to a greater degree than more traditional investments.
Management Risk: The Portfolios are subject to management risk because they are actively managed investment funds. The Adviser will apply its investment techniques and risk analyses in making investment decisions for the Portfolios, but there is no guarantee that its techniques will produce the intended results.
U.S. Large Cap Growth Portfolio
Focused Portfolio Risk: This is the risk that 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 net asset value (“NAV”).
International Value Portfolio, International Growth Portfolio, Short Duration Bond Portfolio, Global Core Bond Portfolio, Bond Inflation Protection Portfolio, High-Yield Portfolio, Small-Mid Cap Value Portfolio, Small-Mid Cap Growth Portfolio, Multi-Asset Real Return Portfolio, Volatility Management Portfolio
Foreign (Non-US) Risk: Investments in securities of non-US issuers may involve more risk than those of US issuers. These securities may fluctuate more widely in price and may be less liquid due to adverse market, economic, political, regulatory or other factors.
International Value Portfolio, International Growth Portfolio, Short Duration Bond Portfolio, Global Core Bond Portfolio, Bond Inflation Protection Portfolio, High-Yield Portfolio, Small-Mid Cap Value Portfolio, Multi-Asset Real Return Portfolio, Volatility Management Portfolio
Currency Risk: Fluctuations in currency exchange rates may negatively affect the value of the Portfolios’ investments or reduce their returns.
International Value Portfolio, International Growth Portfolio, Global Core Bond Portfolio, Volatility Management 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.
Short Duration Bond Portfolio, Global Core Bond Portfolio, Bond Inflation Protection Portfolio, High-Yield Portfolio, Multi-Asset Real Return Portfolio, Volatility Management Portfolio
Interest Rate Risk: Changes in interest rates will affect the value of investments in fixed-income securities. When interest rates rise, the value of investments in fixed-income securities tends to fall and this decrease in value may not be offset by higher income from new investments. Interest rate risk is generally greater for fixed-income securities with longer maturities or durations.
Credit Risk: An issuer or guarantor of a fixed-income security, or the counterparty to a derivatives or other contract, may be unable or unwilling to make timely payments of interest or principal, or to otherwise honor its obligations. The issuer or
(Disclosures, Risks and Note about Historical Performance continued on next page)
AB POOLING PORTFOLIOS • | 17 |
Disclosures and Risks
DISCLOSURES AND RISKS
(continued from previous page)
guarantor may default, causing a loss of the full principal amount of a security. The degree of risk for a particular security may be reflected in its credit rating. There is the possibility that the credit rating of a fixed-income security may be downgraded after purchase, which may adversely affect the value of the security. Investments in fixed-income securities with lower ratings tend to have a higher probability that an issuer will default or fail to meet its payment obligations.
Short Duration Bond Portfolio, Global Core Bond Portfolio, Bond Inflation Protection Portfolio, High-Yield Portfolio, Volatility Management Portfolio
Inflation Risk: This is the risk that the value of assets or income from investments will be less in the future as inflation decreases the value of money. As inflation increases, the value of each Portfolio’s assets can decline as can the value of each Portfolio’s distributions.
Short Duration Bond Portfolio, Global Core Bond Portfolio, Bond Inflation Protection Portfolio
Duration Risk: Duration is a measure that relates the expected price volatility of a fixed-income security to changes in interest rates. The duration of a fixed-income security may be shorter than or equal to full maturity of a fixed-income security. Fixed-income securities with longer durations have more risk and will decrease in price as interest rates rise. For example, a fixed-income security with a duration of three years will decrease in value by approximately 3% if interest rates increase by 1%.
Global Core Bond Portfolio, Bond Inflation Protection Portfolio, High-Yield Portfolio, Multi-Asset Real Return Portfolio
Leverage Risk: To the extent the Portfolios use leveraging techniques, their NAVs may be more volatile because leverage tends to exaggerate the effect of changes in interest rates and any increase or decrease in the value of the Portfolios’ investments.
Bond Inflation Protection Portfolio, Multi-Asset Real Return Portfolio
Liquidity Risk: Liquidity risk occurs when certain investments become difficult to purchase or sell. Difficulty in selling less liquid securities may result in sales at disadvantageous prices affecting the value of your investment in the Portfolios. Causes of liquidity risk may include low trading volumes and large positions. Foreign fixed-income securities may have more liquidity risk because secondary trading markets for these securities may be smaller and less well-developed and the securities may trade less frequently. Liquidity risk may be higher in a rising interest rate environment, when the value and liquidity of fixed-income securities generally go down.
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. These securities may be subject to greater price volatility due to such factors as specific corporate developments, interest rate sensitivity, negative performance of the junk bond market generally and less secondary market liquidity.
Small-Mid Cap Value Portfolio, Small-Mid Cap Growth Portfolio
Capitalization Risk: Investments in small- and mid-capitalization companies may be more volatile than investments in large-capitalization companies. Investments in small-capitalization companies may have additional risks because these companies have limited product lines, markets or financial resources.
(Disclosures, Risks and Note about Historical Performance continued on next page)
18 | • AB POOLING PORTFOLIOS |
Disclosures and Risks
DISCLOSURES AND RISKS
(continued from previous page)
Multi-Asset Real Return Portfolio, Volatility Management Portfolio
Commodity Risk: Investments in commodities and commodity-linked derivative instruments, either directly or through the Subsidiary, may subject the Portfolios 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.
Multi-Asset Real Return Portfolio
Subsidiary Risk: By investing in the Subsidiary, the Portfolio is indirectly exposed to the risks associated with the Subsidiary’s investments, including its investments in commodities. There is no guarantee that the investment objective of the Subsidiary will be achieved.
Real Estate Risk: The Portfolio’s investments in real estate securities have many of the same risks as direct ownership of real estate, including the risk that the value of real estate could decline due to a variety of factors that affect the real estate market generally. Investments in REITs may have additional risks. REITs are dependent on the capability of their managers, may have limited diversification, and could be significantly affected by changes in taxes.
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.
An Important Note About Historical Performance
The investment return and principal value of an investment in the Portfolios will fluctuate, so that shares, when redeemed, may be worth more or less than their original cost. Performance shown 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.abglobal.com.
Please note: Shares of the Portfolios are offered exclusively to mutual funds advised by, and certain institutional clients of, AB that seek a blend of asset classes for investment. These share classes are not currently offered for direct investment from the general public. The Pooling Portfolios can be purchased at the relevant NAV without a sales charge or other fee. However, there are sales charges in connection to purchases of other AB share classes invested in these Portfolios. For additional information regarding other retail share classes and their sales charges and fees, please visit www.abglobal.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.
AB POOLING PORTFOLIOS • | 19 |
Disclosures and Risks
HISTORICAL PERFORMANCE
THE PORTFOLIOS VS. THEIR BENCHMARKS PERIODS ENDED FEBRUARY 29, 2016 (unaudited)
Returns | ||||||||||
U.S. VALUE PORTFOLIO | 6 Months | 12 Months | ||||||||
AB U.S. Value Portfolio* | -4.72% | -10.67% | ||||||||
| ||||||||||
Russell 1000 Value Index | -2.87% | -9.41% | ||||||||
| ||||||||||
* Includes the impact of proceeds received and credited to the Portfolio resulting from class-action settlements, which enhanced the performance of the Portfolio for the six- and 12-month periods ended February 29, 2016, by 0.03% and 0.32%, respectively. | ||||||||||
Returns | ||||||||||
U.S. LARGE CAP GROWTH PORTFOLIO | 6 Months | 12 Months | ||||||||
AB U.S. Large Cap Growth Portfolio* | -0.68% | -1.70% | ||||||||
| ||||||||||
Russell 1000 Growth Index | -1.22% | -5.05% | ||||||||
| ||||||||||
* Includes the impact of proceeds received and credited to the Portfolio resulting from class-action settlements, which enhanced the performance of the Portfolio for the six- and 12-month periods ended February 29, 2016, by 0.17% and 0.17%, respectively. | ||||||||||
Returns | ||||||||||
INTERNATIONAL VALUE PORTFOLIO | 6 Months | 12 Months | ||||||||
AB International Value Portfolio | -7.36% | -14.73% | ||||||||
| ||||||||||
MSCI ACWI ex-US | -9.29% | -17.37% | ||||||||
| ||||||||||
Returns | ||||||||||
INTERNATIONAL GROWTH PORTFOLIO | 6 Months | 12 Months | ||||||||
AB International Growth Portfolio | -7.34% | -14.24% | ||||||||
| ||||||||||
MSCI ACWI ex-US | -9.29% | -17.37% | ||||||||
| ||||||||||
See Disclosures, Risks and Note about Historical Performance on pages 16-19.
(Historical Performance continued on next page)
20 | • AB POOLING PORTFOLIOS |
Historical Performance
HISTORICAL PERFORMANCE
(continued from previous page)
THE PORTFOLIOS VS. THEIR BENCHMARKS PERIODS ENDED FEBRUARY 29, 2016 (unaudited)
Returns | ||||||||||
SHORT DURATION BOND PORTFOLIO | 6 Months | 12 Months | ||||||||
AB Short Duration Bond Portfolio* | 0.51% | 0.99% | ||||||||
| ||||||||||
BofA ML 1-3 Year US Treasury Index | 0.59% | 0.98% | ||||||||
| ||||||||||
* Includes the impact of proceeds received and credited to the Portfolio resulting from class-action settlements, which enhanced the performance of the Portfolio for the six- and 12-month periods ended February 29, 2016, by 0.01% and 0.01%, respectively. | ||||||||||
Returns | ||||||||||
GLOBAL CORE BOND PORTFOLIO | 6 Months | 12 Months | ||||||||
AB Global Core Bond Portfolio | 3.13% | 2.07% | ||||||||
| ||||||||||
Barclays Global Aggregate Bond Index (US dollar hedged) | 3.15% | 2.19% | ||||||||
| ||||||||||
Returns | ||||||||||
BOND INFLATION PROTECTION PORTFOLIO | 6 Months | 12 Months | ||||||||
AB Bond Inflation Protection Portfolio | 0.85% | -0.80% | ||||||||
| ||||||||||
Barclays 1-10 Year TIPS Index | 1.16% | 0.00% | ||||||||
| ||||||||||
Returns | ||||||||||
HIGH-YIELD PORTFOLIO | 6 Months | 12 Months | ||||||||
AB High-Yield Portfolio* | -6.61% | -8.69% | ||||||||
| ||||||||||
Barclays US High Yield 2% Issuer Capped Index | -5.57% | -8.26% | ||||||||
| ||||||||||
* Includes the impact of proceeds received and credited to the Portfolio resulting from class-action settlements, which enhanced the performance of the Portfolio for the six- and 12-month periods ended February 29, 2016, by 0.00% and 0.05%, respectively. | ||||||||||
See Disclosures, Risks and Note about Historical Performance on pages 16-19.
(Historical Performance continued on next page)
AB POOLING PORTFOLIOS • | 21 |
Historical Performance
HISTORICAL PERFORMANCE
(continued from previous page)
THE PORTFOLIOS VS. THEIR BENCHMARKS
PERIODS ENDED FEBRUARY 29, 2016 (unaudited)
Returns | ||||||||||
SMALL-MID CAP VALUE PORTFOLIO | 6 Months | 12 Months | ||||||||
AB Small-Mid Cap Value Portfolio* | -6.73% | -10.86% | ||||||||
| ||||||||||
Russell 2500 Value Index | -5.93% | -12.06% | ||||||||
| ||||||||||
* Includes the impact of proceeds received and credited to the Portfolio resulting from class-action settlements, which enhanced the performance of the Portfolio for the six- and 12-month periods ended February 29, 2016, by 0.01% and 0.01%, respectively. | ||||||||||
Returns | ||||||||||
SMALL-MID CAP GROWTH PORTFOLIO | 6 Months | 12 Months | ||||||||
AB Small-Mid Cap Growth Portfolio* | -13.20% | -15.45% | ||||||||
| ||||||||||
Russell 2500 Growth Index | -11.30% | -14.65% | ||||||||
| ||||||||||
* Includes the impact of proceeds received and credited to the Portfolio resulting from class-action settlements, which enhanced the performance of the Portfolio for the six- and 12-month periods ended February 29, 2016, by 0.02% and 0.02%, respectively. | ||||||||||
Returns | ||||||||||
MULTI-ASSET REAL RETURN PORTFOLIO | 6 Months | 12 Months | ||||||||
AB Multi-Asset Real Return Portfolio | -11.47% | -24.07% | ||||||||
| ||||||||||
Primary benchmark: MSCI AC World Commodity Producers Index | -10.18% | -28.15% | ||||||||
| ||||||||||
Secondary Benchmark: All Market Real Return Portfolio Benchmark | -8.59% | -21.27% | ||||||||
| ||||||||||
Returns | ||||||||||
VOLATILITY MANAGEMENT PORTFOLIO | 6 Months | 12 Months | ||||||||
AB Volatility Management Portfolio | -6.22% | -12.54% | ||||||||
| ||||||||||
MSCI ACWI | -5.54% | -12.32% | ||||||||
| ||||||||||
See Disclosures, Risks and Note about Historical Performance on pages 16-19.
(Historical Performance continued on next page)
22 | • AB POOLING PORTFOLIOS |
Historical Performance
HISTORICAL PERFORMANCE
(continued from previous page)
AVERAGE ANNUAL RETURNS AS OF FEBRUARY 29, 2016 (unaudited) | ||||
NAV/SEC Returns* | ||||
AB U.S. Value Portfolio | ||||
1 Year | -10.67 | % | ||
5 Years | 8.08 | % | ||
10 Years | 4.01 | % | ||
AB U.S. Large Cap Growth Portfolio | ||||
1 Year | -1.70 | % | ||
5 Years | 12.19 | % | ||
10 Years | 6.88 | % | ||
AB International Value Portfolio | ||||
1 Year | -14.73 | % | ||
5 Years | -1.62 | % | ||
10 Years | -0.81 | % | ||
AB International Growth Portfolio | ||||
1 Year | -14.24 | % | ||
5 Years | -1.80 | % | ||
10 Years | -1.33 | % | ||
AB Short Duration Bond Portfolio | ||||
1 Year | 0.99 | % | ||
5 Years | 1.08 | % | ||
10 Years | 2.24 | % | ||
AB Global Core Bond Portfolio | ||||
1 Year | 2.07 | % | ||
5 Years | 4.64 | % | ||
10 Years | 5.57 | % | ||
AB Bond Inflation Protection Portfolio | ||||
1 Year | -0.80 | % | ||
5 Years | 2.41 | % | ||
10 Years | 4.33 | % | ||
AB High-Yield Portfolio | ||||
1 Year | -8.69 | % | ||
5 Years | 4.58 | % | ||
10 Years | 7.11 | % |
* | These Portfolios are offered at NAV, and their SEC returns are the same as their NAV returns. |
See Disclosures, Risks and Note about Historical Performance on pages 16-19.
(Historical Performance continued on next page)
AB POOLING PORTFOLIOS • | 23 |
Historical Performance
HISTORICAL PERFORMANCE
(continued from previous page)
AVERAGE ANNUAL RETURNS AS OF FEBRUARY 29, 2016 (unaudited) | ||||
NAV/SEC Returns* | ||||
AB Small-Mid Cap Value Portfolio | ||||
1 Year | -10.86 | % | ||
5 Years | 7.84 | % | ||
10 Years | 7.57 | % | ||
AB Small-Mid Cap Growth Portfolio | ||||
1 Year | -15.45 | % | ||
5 Years | 7.53 | % | ||
10 Years | 8.53 | % | ||
AB Multi-Asset Real Return Portfolio | ||||
1 Year | -24.07 | % | ||
5 Years | -7.94 | % | ||
10 Years | -2.28 | % | ||
AB Volatility Management Portfolio | ||||
1 Year | -12.54 | % | ||
5 Years | 3.49 | % | ||
Since Inception† | 5.58 | % |
* | These Portfolios are offered at NAV, and their SEC returns are the same as their NAV returns. |
† | Inception date: 4/16/2010. |
See Disclosures, Risks and Note about Historical Performance on pages 16-19.
(Historical Performance continued on next page)
24 | • AB POOLING PORTFOLIOS |
Historical Performance
HISTORICAL PERFORMANCE
(continued from previous page)
SEC AVERAGE ANNUAL RETURNS AS OF THE MOST RECENT CALENDAR QUARTER-END MARCH 31, 2016 (unaudited) | ||||
SEC Returns* | ||||
AB U.S. Value Portfolio | ||||
1 Year | -3.34 | % | ||
5 Years | 9.51 | % | ||
10 Years | 4.60 | % | ||
AB U.S. Large Cap Growth Portfolio | ||||
1 Year | 4.12 | % | ||
5 Years | 13.52 | % | ||
10 Years | 7.51 | % | ||
AB International Value Portfolio | ||||
1 Year | -5.97 | % | ||
5 Years | 0.91 | % | ||
10 Years | -0.45 | % | ||
AB International Growth Portfolio | ||||
1 Year | -6.64 | % | ||
5 Years | -0.40 | % | ||
10 Years | -0.99 | % | ||
AB Short Duration Bond Portfolio | ||||
1 Year | 1.03 | % | ||
5 Years | 1.13 | % | ||
10 Years | 2.26 | % | ||
AB Global Core Bond Portfolio | ||||
1 Year | 2.62 | % | ||
5 Years | 4.85 | % | ||
10 Years | 5.78 | % | ||
AB Bond Inflation Protection Portfolio | ||||
1 Year | 1.92 | % | ||
5 Years | 2.71 | % | ||
10 Years | 4.67 | % | ||
AB High-Yield Portfolio | ||||
1 Year | -4.50 | % | ||
5 Years | 5.38 | % | ||
10 Years | 7.55 | % |
* | These Portfolios are offered at NAV, and their SEC returns are the same as their NAV returns. |
See Disclosures, Risks and Note about Historical Performance on pages 16-19.
(Historical Performance continued on next page)
AB POOLING PORTFOLIOS • | 25 |
Historical Performance
HISTORICAL PERFORMANCE
(continued from previous page)
SEC AVERAGE ANNUAL RETURNS AS OF THE MOST RECENT CALENDAR QUARTER-END MARCH 31, 2016 (unaudited) | ||||
SEC Returns* | ||||
AB Small-Mid Cap Value Portfolio | ||||
1 Year | -3.78 | % | ||
5 Years | 9.45 | % | ||
10 Years | 8.26 | % | ||
AB Small-Mid Cap Growth Portfolio | ||||
1 Year | -9.91 | % | ||
5 Years | 8.04 | % | ||
10 Years | 8.79 | % | ||
AB Multi-Asset Real Return Portfolio | ||||
1 Year | -14.16 | % | ||
5 Years | -6.69 | % | ||
10 Years | -1.94 | % | ||
AB Volatility Management Portfolio | ||||
1 Year | -6.83 | % | ||
5 Years | 4.95 | % | ||
Since Inception† | 6.63 | % |
* | These Portfolios are offered at NAV, and their SEC returns are the same as their NAV returns. |
† | Inception date: 4/16/2010. |
See Disclosures, Risks and Note about Historical Performance on pages 16-19.
26 | • AB POOLING PORTFOLIOS |
Historical Performance
EXPENSE EXAMPLE
(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, 2015 | Ending Account Value February 29, 2016 | Expenses Paid During Period* | Annualized Expense Ratio* | |||||||||||||
AB U.S. Value | ||||||||||||||||
Actual | $ | 1,000 | $ | 952.80 | $ | 0.34 | 0.07 | % | ||||||||
Hypothetical** | $ | 1,000 | $ | 1,024.52 | $ | 0.35 | 0.07 | % | ||||||||
AB U.S. Large Cap Growth | ||||||||||||||||
Actual | $ | 1,000 | $ | 993.20 | $ | 0.35 | 0.07 | % | ||||||||
Hypothetical** | $ | 1,000 | $ | 1,024.52 | $ | 0.35 | 0.07 | % | ||||||||
AB International Value | ||||||||||||||||
Actual | $ | 1,000 | $ | 926.40 | $ | 0.62 | 0.13 | % | ||||||||
Hypothetical** | $ | 1,000 | $ | 1,024.22 | $ | 0.65 | 0.13 | % | ||||||||
AB International Growth | ||||||||||||||||
Actual | $ | 1,000 | $ | 926.60 | $ | 0.53 | 0.11 | % | ||||||||
Hypothetical** | $ | 1,000 | $ | 1,024.32 | $ | 0.55 | 0.11 | % | ||||||||
AB Short Duration Bond | ||||||||||||||||
Actual | $ | 1,000 | $ | 1,005.10 | $ | 0.20 | 0.04 | % | ||||||||
Hypothetical** | $ | 1,000 | $ | 1,024.66 | $ | 0.20 | 0.04 | % |
AB POOLING PORTFOLIOS • | 27 |
Expense Example
EXPENSE EXAMPLE
(unaudited)
(continued from previous page)
Beginning Account Value September 1, 2015 | Ending Account Value February 29, 2016 | Expenses Paid During Period* | Annualized Expense Ratio* | |||||||||||||
AB Global Core Bond | ||||||||||||||||
Actual | $ | 1,000 | $ | 1,031.30 | $ | 0.25 | 0.05 | % | ||||||||
Hypothetical** | $ | 1,000 | $ | 1,024.61 | $ | 0.25 | 0.05 | % | ||||||||
AB Bond Inflation Protection | ||||||||||||||||
Actual | $ | 1,000 | $ | 1,008.50 | $ | 1.15 | 0.23 | % | ||||||||
Hypothetical** | $ | 1,000 | $ | 1,023.72 | $ | 1.16 | 0.23 | % | ||||||||
AB High-Yield | ||||||||||||||||
Actual | $ | 1,000 | $ | 933.90 | $ | 0.82 | 0.17 | % | ||||||||
Hypothetical** | $ | 1,000 | $ | 1,024.02 | $ | 0.86 | 0.17 | % | ||||||||
AB Small-Mid Cap Value | ||||||||||||||||
Actual | $ | 1,000 | $ | 932.70 | $ | 0.48 | 0.10 | % | ||||||||
Hypothetical** | $ | 1,000 | $ | 1,024.37 | $ | 0.50 | 0.10 | % | ||||||||
AB Small-Mid Cap Growth | ||||||||||||||||
Actual | $ | 1,000 | $ | 868.00 | $ | 0.51 | 0.11 | % | ||||||||
Hypothetical** | $ | 1,000 | $ | 1,024.32 | $ | 0.55 | 0.11 | % | ||||||||
AB Multi-Asset Real Return*** | ||||||||||||||||
Actual | $ | 1,000 | $ | 885.30 | $ | 0.42 | 0.09 | % | ||||||||
Hypothetical** | $ | 1,000 | $ | 1,024.42 | $ | 0.45 | 0.09 | % | ||||||||
AB Volatility Management | ||||||||||||||||
Actual | $ | 1,000 | $ | 937.80 | $ | 0.29 | 0.06 | % | ||||||||
Hypothetical** | $ | 1,000 | $ | 1,024.57 | $ | 0.30 | 0.06 | % |
* | Expenses are equal to the Portfolio’s annualized expense ratio, multiplied by the average account value over the period, multiplied by 182/366 (to reflect the one-half year period). |
** | Assumes 5% annual return before expenses. |
*** | Consolidated (see Note A). |
28 | • AB POOLING PORTFOLIOS |
Expense Example
AB U.S. VALUE PORTFOLIO
PORTFOLIO SUMMARY
February 29, 2016 (unaudited)
PORTFOLIO STATISTICS
Net Assets ($mil): $307.3
* | All data are as of February 29, 2016. The Portfolio’s sector breakdown is expressed as a percentage of total investments (excluding security lending collateral) and may vary over time. |
Please note: The sector classifications presented herein are based on the Global Industry Classification Standard (GICS) which was developed by MSCI and S&P. The components are divided into sector, industry group, and industry sub-indices as classified by the GICS for each of the market capitalization indices in the broad market. These sector classifications are broadly defined. The “Portfolio of Investments” section of the report reflects more specific industry information and is consistent with the investment restrictions discussed in the Portfolio’s prospectus.
AB POOLING PORTFOLIOS • | 29 |
Portfolio Summary
AB U.S. LARGE CAP GROWTH PORTFOLIO
PORTFOLIO SUMMARY
February 29, 2016 (unaudited)
PORTFOLIO STATISTICS
Net Assets ($mil): $306.7
* | All data are as of February 29, 2016. The Portfolio’s sector breakdown is expressed as a percentage of total investments (excluding security lending collateral) and may vary over time. |
Please note: The sector classifications presented herein are based on the GICS which was developed by MSCI and S&P. The components are divided into sector, industry group, and industry sub-indices as classified by the GICS for each of the market capitalization indices in the broad market. These sector classifications are broadly defined. The “Portfolio of Investments” section of the report reflects more specific industry information and is consistent with the investment restrictions discussed in the Portfolio’s prospectus.
30 | • AB POOLING PORTFOLIOS |
Portfolio Summary
AB INTERNATIONAL VALUE PORTFOLIO
PORTFOLIO SUMMARY
February 29, 2016 (unaudited)
PORTFOLIO STATISTICS
Net Assets ($mil): $253.0
* | All data are as of February 29, 2016. The Portfolio’s sector and country breakdowns are expressed as a percentage of total investments (excluding security lending collateral) and may vary over time. The Portfolio also enters into derivative transactions, which may be used for hedging or investment purposes (see “Portfolio of Investments” section of the report for additional details). “Other” country weightings represent 2.4% or less in the following countries: Argentina, Belgium, Hong Kong, Hungary, India, Israel, Norway, Portugal, Russia, South Africa, Taiwan and Turkey. |
Please note: The industry classifications presented herein are based on the GICS which was developed by MSCI and S&P. The components are divided into sector, industry group, and industry sub-indices as classified by the GICS for each of the market capitalization indices in the broad market. These sector classifications are broadly defined. The “Portfolio of Investments” section of the report reflects more specific industry information and is consistent with the investment restrictions discussed in the Portfolio’s prospectus.
AB POOLING PORTFOLIOS • | 31 |
Portfolio Summary
AB INTERNATIONAL GROWTH PORTFOLIO
PORTFOLIO SUMMARY
February 29, 2016 (unaudited)
PORTFOLIO STATISTICS
Net Assets ($mil): $253.4
* | All data are as of February 29, 2016. The Portfolio’s sector and country breakdowns are expressed as a percentage of total investments (excluding security lending collateral) and may vary over time. The Portfolio also enters into derivative transactions, which may be used for hedging or investment purposes (see “Portfolio of Investments” section of the report for additional details). “Other” country weightings represent 1.6% or less in the following countries: Australia, Indonesia, Netherlands, Philippines, Russia, South Korea, Taiwan and Thailand. |
Please note: The industry classifications presented herein are based on the GICS which was developed by MSCI and S&P. The components are divided into sector, industry group, and industry sub-indices as classified by the GICS for each of the market capitalization indices in the broad market. These sector classifications are broadly defined. The “Portfolio of Investments” section of the report reflects more specific industry information and is consistent with the investment restrictions discussed in the Portfolio’s prospectus.
32 | • AB POOLING PORTFOLIOS |
Portfolio Summary
AB SHORT DURATION BOND PORTFOLIO
PORTFOLIO SUMMARY
February 29, 2016 (unaudited)
PORTFOLIO STATISTICS
Net Assets ($mil): $838.0
* | All data are as of February 29, 2016. The Portfolio’s security type breakdown is expressed as a percentage of total investments and may vary over time. The Portfolio also enters into derivative transactions, which may be used for hedging or investment purposes (see “Portfolio of Investments” section of the report for additional details). |
AB POOLING PORTFOLIOS • | 33 |
Portfolio Summary
AB GLOBAL CORE BOND PORTFOLIO
PORTFOLIO SUMMARY
February 29, 2016 (unaudited)
PORTFOLIO STATISTICS
Net Assets ($mil): $792.6
* | All data are as of February 29, 2016. The Portfolio’s security type breakdown is expressed as a percentage of total investments and may vary over time. The Portfolio also enters into derivative transactions, which may be used for hedging or investment purposes (see “Portfolio of Investments” section of the report for additional details). “Other” security type weightings represent 0.4% or less in the following types: Asset-Backed Securities, Emerging Markets – Corporate Bonds and Local Governments – Municipal Bonds. |
34 | • AB POOLING PORTFOLIOS |
Portfolio Summary
AB GLOBAL CORE BOND PORTFOLIO
PORTFOLIO SUMMARY
February 29, 2016 (unaudited)
PORTFOLIO STATISTICS
Net Assets ($mil): $792.6
* | All data are as of February 29, 2016. The Portfolio’s country breakdown is expressed as a percentage of total investments and may vary over time. The Portfolio also enters into derivative transactions, which may be used for hedging or investment purposes (see “Portfolio of Investments” section of the report for additional details). “Other” country weightings represent 1.2% or less in the following countries or regions: Belgium, Brazil, Chile, China, Colombia, Denmark, India, Indonesia, Morocco, Norway, Peru, Poland, Portugal, Singapore, South Africa, Supranational, Switzerland and United Arab Emirates. |
AB POOLING PORTFOLIOS • | 35 |
Portfolio Summary
AB BOND INFLATION PROTECTION PORTFOLIO
PORTFOLIO SUMMARY
February 29, 2016 (unaudited)
PORTFOLIO STATISTICS
Net Assets ($mil): $635.9
Total Investments ($mil): $906.2
INFLATION PROTECTION BREAKDOWN* | ||||
U.S. Inflation-Protected Exposure | 101.3 | % | ||
Non-U.S. | — | |||
Non-Inflation Exposure | (1.3 | )% | ||
|
| |||
100 | % |
SECTOR BREAKDOWN OF NET PORTFOLIO ASSETS, EXCLUDING CASH EQUIVALENTS* | ||||
Corporates – Investment Grade | 16.1 | % | ||
Commercial Mortgage-Backed Securities | 10.4 | % | ||
Asset-Backed Securities | 9.7 | % | ||
Collateralized Mortgage Obligations | 3.4 | % | ||
Governments – Sovereign Agencies | 0.6 | % | ||
Quasi-Sovereigns | 0.4 | % | ||
Common Stocks | 0.2 | % | ||
Emerging Markets – Corporate Bonds | 0.1 | % | ||
Preferred Stocks | 0.1 | % | ||
Governments – Sovereign Bonds | 0.1 | % | ||
Corporates – Non-Investment Grade | (0.9 | )% |
* | All data are as of February 29, 2016. The Portfolio’s sector and inflation protection exposure breakdowns are expressed as an approximate percentage of the Portfolio’s total net assets (and may vary over time) inclusive of derivative exposure except as noted, based on the Adviser’s internal classification. |
36 | • AB POOLING PORTFOLIOS |
Portfolio Summary
AB BOND INFLATION PROTECTION PORTFOLIO
PORTFOLIO SUMMARY
February 29, 2016 (unaudited)
PORTFOLIO STATISTICS
Net Assets ($mil): $635.9
Total Investments ($mil): $906.2
SECTOR BREAKDOWN OF TOTAL PORTFOLIO INVESTMENTS, EXCLUDING DERIVATIVES* | ||||
Inflation-Linked Securities | 62.7 | % | ||
Corporates – Investment Grade | 13.5 | % | ||
Commercial Mortgage-Backed Securities | 7.3 | % | ||
Asset-Backed Securities | 6.8 | % | ||
Collateralized Mortgage Obligations | 2.4 | % | ||
Corporates – Non-Investment Grade | 2.0 | % | ||
Governments – Sovereign Agencies | 0.4 | % | ||
Quasi-Sovereigns | 0.3 | % | ||
Emerging Markets – Treasuries | 0.3 | % | ||
Common Stocks | 0.1 | % | ||
Emerging Markets – Corporate Bonds | 0.1 | % | ||
Preferred Stocks | 0.1 | % | ||
Short-Term | 4.0 | % |
* | The Portfolio’s sector breakdown is expressed, based on the Adviser’s internal classification, as a percentage of total investments and may vary over time. The Portfolio also enters into derivative transactions (not reflected in the table), which may be used for hedging or investment purposes or to adjust the risk profile or exposures of the Portfolio (see “Portfolio of Investments” section of the report for additional details). Derivative transactions may result in a form of leverage for the Portfolio. The Portfolio uses leverage for investment purposes by entering into reverse repurchase agreements. As a result, the Portfolio’s total investments will generally exceed its net assets. |
AB POOLING PORTFOLIOS • | 37 |
Portfolio Summary
AB HIGH-YIELD PORTFOLIO
PORTFOLIO SUMMARY
February 29, 2016 (unaudited)
PORTFOLIO STATISTICS
Net Assets ($mil): $252.2
* | All data are as of February 29, 2016. The Portfolio’s security type breakdown is expressed as a percentage of total investments and may vary over time. The Portfolio also enters into derivative transactions, which may be used for hedging or investment purposes (see “Portfolio of Investments” section of the report for additional details). “Other” securities type weightings represent 0.1% or less in the following security types: Agencies, Emerging Markets – Sovereigns, Options Purchased – Calls, Options Purchased – Puts and Warrants. |
38 | • AB POOLING PORTFOLIOS |
Portfolio Summary
AB SMALL-MID CAP VALUE PORTFOLIO
PORTFOLIO SUMMARY
February 29, 2016 (unaudited)
PORTFOLIO STATISTICS
Net Assets ($mil): $226.3
* | All data are as of February 29, 2016. The Portfolio’s sector breakdown is expressed as a percentage of total investments (excluding security lending collateral) and may vary over time. |
Please note: The sector classifications presented herein are based on the GICS which was developed by MSCI and S&P. The components are divided into sector, industry group, and industry sub-indices as classified by the GICS for each of the market capitalization indices in the broad market. These sector classifications are broadly defined. The “Portfolio of Investments” section of the report reflects more specific industry information and is consistent with the investment restrictions discussed in the Portfolio’s prospectus.
AB POOLING PORTFOLIOS • | 39 |
Portfolio Summary
AB SMALL-MID CAP GROWTH PORTFOLIO
PORTFOLIO SUMMARY
February 29, 2016 (unaudited)
PORTFOLIO STATISTICS
Net Assets ($mil): $212.2
* | All data are as of February 29, 2016. The Portfolio’s sector breakdown is expressed as a percentage of total investments (excluding security lending collateral) and may vary over time. |
Please note: The sector classifications presented herein are based on the GICS which was developed by MSCI and S&P. The components are divided into sector, industry group, and industry sub-indices as classified by the GICS for each of the market capitalization indices in the broad market. These sector classifications are broadly defined. The “Portfolio of Investments” section of the report reflects more specific industry information and is consistent with the investment restrictions discussed in the Portfolio’s prospectus.
40 | • AB POOLING PORTFOLIOS |
Portfolio Summary
AB MULTI-ASSET REAL RETURN PORTFOLIO
PORTFOLIO SUMMARY
February 29, 2016 (unaudited)
PORTFOLIO STATISTICS
Net Assets ($mil): $443.3
PORTFOLIO BREAKDOWN*
Commodity Related Stocks | 40.1 | % | ||
Commodity Related Derivatives | 37.2 | |||
Real Estate Stocks | 27.6 | |||
Other | (4.9 | ) |
SECURITY TYPE BREAKDOWN†
Common Stocks | 61.6 | % | ||
Investment Companies | 5.2 | |||
Inflation-Linked Securities | 1.4 | |||
Short-Term | 31.8 |
* | All data are as of February 29, 2016. The Portfolio’s portfolio type breakdown is expressed as an approximate percentage of the Portfolio’s net assets inclusive of derivative exposure, based on the Adviser’s internal classification guidelines. |
† | The Portfolio’s security type breakdown is expressed as a percentage of total investments (excluding security lending collateral) and may vary over time. The Portfolio also enters into derivative transactions, which may be used for hedging or investment purposes (see “Portfolio of Investments” section of the report for additional details). |
AB POOLING PORTFOLIOS • | 41 |
Portfolio Summary
AB MULTI-ASSET REAL RETURN PORTFOLIO
PORTFOLIO SUMMARY
February 29, 2016 (unaudited)
* | All data are as of February 29, 2016. The Portfolio’s country breakdown is expressed as a percentage of total investments (excluding security lending collateral) and may vary over time. The Portfolio also enters into derivative transactions, which may be used for hedging or investment purposes (see “Portfolio of Investments” section of the report for additional details). “Other” country weightings represent 0.4% or less in the following countries: Austria, Belgium, Brazil, Chile, Finland, India, Indonesia, Ireland, Israel, Italy, Jersey (Channel Islands), Malaysia, Mexico, New Zealand, Norway, Philippines, Poland, Portugal, South Africa, South Korea, Spain, Switzerland, Taiwan, Thailand, Turkey and United Arab Emirates. |
42 | • AB POOLING PORTFOLIOS |
Portfolio Summary
AB VOLATILITY MANAGEMENT PORTFOLIO
PORTFOLIO SUMMARY
February 29, 2016 (unaudited)
PORTFOLIO STATISTICS
Net Assets ($mil): $1,059.3
TEN LARGEST HOLDINGS†
February 29, 2016 (unaudited)
Company | U.S. $ Value | Percent of Net Assets | ||||||
Apple, Inc. | $ | 12,262,903 | 1.1 | % | ||||
Alphabet, Inc. — Class A & Class C | 9,367,637 | 0.9 | ||||||
Microsoft Corp. | 9,141,610 | 0.9 | ||||||
Exxon Mobil Corp. | 7,510,295 | 0.7 | ||||||
Johnson & Johnson | 6,544,062 | 0.6 | ||||||
General Electric Co. | 6,185,810 | 0.6 | ||||||
Nestle SA (REG) | 5,918,606 | 0.6 | ||||||
Berkshire Hathaway, Inc. — Class B | 5,653,253 | 0.5 | ||||||
Facebook, Inc. — Class A | 5,428,542 | 0.5 | ||||||
AT&T, Inc. | 5,106,194 | 0.5 | ||||||
$ | 73,118,912 | 6.9 | % |
* | All data are as of February 29, 2016. 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. |
AB POOLING PORTFOLIOS • | 43 |
Portfolio Summary and Ten Largest Holdings
AB U.S. VALUE PORTFOLIO
PORTFOLIO OF INVESTMENTS
February 29, 2016 (unaudited)
Company | Shares | U.S. $ Value | ||||||
| ||||||||
COMMON STOCKS – 99.3% |
| |||||||
Financials – 26.7% |
| |||||||
Banks – 11.3% |
| |||||||
Bank of America Corp. | 730,070 | $ | 9,140,476 | |||||
Citizens Financial Group, Inc. | 113,764 | 2,187,682 | ||||||
Fifth Third Bancorp | 26,911 | 410,662 | ||||||
JPMorgan Chase & Co. | 124,209 | 6,992,967 | ||||||
PNC Financial Services Group, Inc. (The) | 35,306 | 2,870,731 | ||||||
SunTrust Banks, Inc. | 17,152 | 569,103 | ||||||
US Bancorp | 55,940 | 2,154,809 | ||||||
Wells Fargo & Co. | 223,725 | 10,497,177 | ||||||
|
| |||||||
34,823,607 | ||||||||
|
| |||||||
Capital Markets – 1.6% | ||||||||
Bank of New York Mellon Corp. (The) | 43,900 | 1,553,621 | ||||||
Goldman Sachs Group, Inc. (The) | 14,508 | 2,169,381 | ||||||
Morgan Stanley | 45,873 | 1,133,063 | ||||||
|
| |||||||
4,856,065 | ||||||||
|
| |||||||
Consumer Finance – 5.0% | ||||||||
Capital One Financial Corp. | 89,901 | 5,909,193 | ||||||
Discover Financial Services | 65,261 | 3,029,416 | ||||||
OneMain Holdings, Inc.(a) | 107,304 | 2,421,851 | ||||||
Synchrony Financial(a) | 148,802 | 4,010,214 | ||||||
|
| |||||||
15,370,674 | ||||||||
|
| |||||||
Diversified Financial Services – 0.9% | ||||||||
Berkshire Hathaway, Inc. – Class B(a) | 21,137 | 2,835,951 | ||||||
|
| |||||||
Insurance – 7.4% | ||||||||
Aflac, Inc. | 14,417 | 858,100 | ||||||
Allstate Corp. (The) | 83,635 | 5,307,477 | ||||||
American Financial Group, Inc./OH | 26,608 | 1,784,865 | ||||||
American International Group, Inc. | 68,845 | 3,456,019 | ||||||
First American Financial Corp. | 45,616 | 1,689,160 | ||||||
FNF Group | 85,175 | 2,809,071 | ||||||
Hartford Financial Services Group, Inc. (The) | 15,614 | 657,662 | ||||||
Progressive Corp. (The) | 19,603 | 625,728 | ||||||
Reinsurance Group of America, Inc. – Class A | 21,393 | 1,927,509 | ||||||
Travelers Cos., Inc. (The) | 32,461 | 3,490,207 | ||||||
|
| |||||||
22,605,798 | ||||||||
|
| |||||||
Real Estate Investment Trusts (REITs) – 0.5% | ||||||||
RLJ Lodging Trust | 78,364 | 1,643,293 | ||||||
|
| |||||||
82,135,388 | ||||||||
|
| |||||||
Information Technology – 13.4% | ||||||||
Communications Equipment – 1.6% | ||||||||
Cisco Systems, Inc. | 185,322 | 4,851,730 | ||||||
|
|
44 | • AB POOLING PORTFOLIOS |
AB U.S. Value Portfolio—Portfolio of Investments
Company | Shares | U.S. $ Value | ||||||
| ||||||||
Electronic Equipment, Instruments & Components – 1.1% | ||||||||
Keysight Technologies, Inc.(a) | 126,193 | $ | 3,292,375 | |||||
|
| |||||||
Internet Software & Services – 0.3% | ||||||||
Alphabet, Inc. – Class C(a) | 1,320 | 921,057 | ||||||
|
| |||||||
IT Services – 1.0% |
| |||||||
Xerox Corp. | 308,753 | 2,967,116 | ||||||
|
| |||||||
Semiconductors & Semiconductor Equipment – 3.2% | ||||||||
Applied Materials, Inc. | 261,866 | 4,941,411 | ||||||
Intel Corp. | 153,580 | 4,544,432 | ||||||
Xilinx, Inc. | 6,643 | 313,683 | ||||||
|
| |||||||
9,799,526 | ||||||||
|
| |||||||
Software – 4.2% | ||||||||
Microsoft Corp. | 159,893 | 8,135,356 | ||||||
Oracle Corp. | 132,652 | 4,878,941 | ||||||
|
| |||||||
13,014,297 | ||||||||
|
| |||||||
Technology Hardware, Storage & Peripherals – 2.0% | ||||||||
Hewlett Packard Enterprise Co. | 245,865 | 3,262,628 | ||||||
HP, Inc. | 277,159 | 2,962,830 | ||||||
|
| |||||||
6,225,458 | ||||||||
|
| |||||||
41,071,559 | ||||||||
|
| |||||||
Health Care – 11.4% | ||||||||
Biotechnology – 0.7% | ||||||||
Gilead Sciences, Inc. | 26,463 | 2,308,897 | ||||||
|
| |||||||
Health Care Providers & Services – 3.6% | ||||||||
Aetna, Inc. | 53,087 | 5,766,841 | ||||||
Quest Diagnostics, Inc. | 31,468 | 2,093,566 | ||||||
UnitedHealth Group, Inc. | 27,177 | 3,236,780 | ||||||
|
| |||||||
11,097,187 | ||||||||
|
| |||||||
Pharmaceuticals – 7.1% | ||||||||
Johnson & Johnson | 90,848 | 9,558,118 | ||||||
Merck & Co., Inc. | 73,832 | 3,707,105 | ||||||
Pfizer, Inc. | 286,506 | 8,500,633 | ||||||
|
| |||||||
21,765,856 | ||||||||
|
| |||||||
35,171,940 | ||||||||
|
| |||||||
Energy – 10.2% | ||||||||
Energy Equipment & Services – 1.7% | ||||||||
Schlumberger Ltd. | 72,414 | 5,193,532 | ||||||
|
|
AB POOLING PORTFOLIOS • | 45 |
AB U.S. Value Portfolio—Portfolio of Investments
Company | Shares | U.S. $ Value | ||||||
| ||||||||
Oil, Gas & Consumable Fuels – 8.5% | ||||||||
California Resources Corp. | 1,249 | $ | 702 | |||||
Chevron Corp. | 11,455 | 955,805 | ||||||
EOG Resources, Inc. | 61,419 | 3,976,266 | ||||||
Exxon Mobil Corp. | 142,927 | 11,455,599 | ||||||
HollyFrontier Corp. | 79,036 | 2,672,998 | ||||||
Occidental Petroleum Corp. | 13,337 | 917,852 | ||||||
Phillips 66 | 18,294 | 1,452,361 | ||||||
QEP Resources, Inc. | 164,003 | 1,600,669 | ||||||
Valero Energy Corp. | 53,151 | 3,193,312 | ||||||
|
| |||||||
26,225,564 | ||||||||
|
| |||||||
31,419,096 | ||||||||
|
| |||||||
Consumer Discretionary – 9.9% |
| |||||||
Auto Components – 2.9% |
| |||||||
Goodyear Tire & Rubber Co. (The) | 85,982 | 2,589,778 | ||||||
Lear Corp. | 29,952 | 3,035,635 | ||||||
Magna International, Inc. (New York) – Class A | 87,258 | 3,389,973 | ||||||
|
| |||||||
9,015,386 | ||||||||
|
| |||||||
Automobiles – 0.6% | ||||||||
General Motors Co. | 59,274 | 1,745,027 | ||||||
|
| |||||||
Leisure Products – 0.1% | ||||||||
Mattel, Inc. | 11,324 | 368,256 | ||||||
|
| |||||||
Media – 2.3% | ||||||||
Comcast Corp. – Class A | 64,980 | 3,751,295 | ||||||
Interpublic Group of Cos., Inc. (The) | 26,798 | 573,209 | ||||||
Thomson Reuters Corp. | 17,294 | 632,960 | ||||||
Time Warner Cable, Inc. – Class A | 8,925 | 1,703,426 | ||||||
Twenty-First Century Fox, Inc. – Class A | 12,772 | 345,100 | ||||||
|
| |||||||
7,005,990 | ||||||||
|
| |||||||
Multiline Retail – 1.0% | ||||||||
Dollar General Corp. | 41,731 | 3,098,527 | ||||||
|
| |||||||
Specialty Retail – 2.5% | ||||||||
Foot Locker, Inc. | 39,269 | 2,454,312 | ||||||
GameStop Corp. – Class A(b) | 79,560 | 2,452,039 | ||||||
Ross Stores, Inc. | 25,063 | 1,377,964 | ||||||
TJX Cos., Inc. (The) | 18,399 | 1,363,366 | ||||||
|
| |||||||
7,647,681 | ||||||||
|
| |||||||
Textiles, Apparel & Luxury Goods – 0.5% | ||||||||
NIKE, Inc. – Class B | 23,511 | 1,448,043 | ||||||
|
| |||||||
30,328,910 | ||||||||
|
|
46 | • AB POOLING PORTFOLIOS |
AB U.S. Value Portfolio—Portfolio of Investments
Company | Shares | U.S. $ Value | ||||||
| ||||||||
Industrials – 8.9% | ||||||||
Aerospace & Defense – 2.2% | ||||||||
L-3 Communications Holdings, Inc. | 31,964 | $ | 3,749,697 | |||||
Northrop Grumman Corp. | 6,215 | 1,194,647 | ||||||
United Technologies Corp. | 18,390 | 1,776,842 | ||||||
|
| |||||||
6,721,186 | ||||||||
|
| |||||||
Airlines – 2.2% | ||||||||
Delta Air Lines, Inc. | 70,095 | 3,381,383 | ||||||
JetBlue Airways Corp.(a) | 150,350 | 3,307,700 | ||||||
|
| |||||||
6,689,083 | ||||||||
|
| |||||||
Construction & Engineering – 0.4% | ||||||||
Quanta Services, Inc.(a) | 53,627 | 1,088,092 | ||||||
|
| |||||||
Electrical Equipment – 1.5% | ||||||||
Eaton Corp. PLC | 81,165 | 4,602,867 | ||||||
|
| |||||||
Industrial Conglomerates – 1.4% | ||||||||
General Electric Co. | 153,240 | 4,465,414 | ||||||
|
| |||||||
Machinery – 0.8% | ||||||||
ITT Corp. | 70,027 | 2,469,152 | ||||||
|
| |||||||
Trading Companies & Distributors – 0.4% |
| |||||||
WESCO International, Inc.(a)(b) | 30,070 | 1,324,583 | ||||||
|
| |||||||
27,360,377 | ||||||||
|
| |||||||
Utilities – 7.8% | ||||||||
Electric Utilities – 5.4% | ||||||||
American Electric Power Co., Inc. | 54,285 | 3,352,099 | ||||||
Edison International | 47,525 | 3,239,304 | ||||||
Exelon Corp. | 86,218 | 2,715,005 | ||||||
FirstEnergy Corp. | 20,437 | 684,026 | ||||||
PPL Corp. | 123,973 | 4,337,815 | ||||||
Westar Energy, Inc. | 56,200 | 2,442,452 | ||||||
|
| |||||||
16,770,701 | ||||||||
|
| |||||||
Multi-Utilities – 2.4% | ||||||||
NiSource, Inc. | 143,787 | 3,088,545 | ||||||
PG&E Corp. | 53,815 | 3,052,925 | ||||||
Public Service Enterprise Group, Inc. | 26,100 | 1,113,426 | ||||||
|
| |||||||
7,254,896 | ||||||||
|
| |||||||
24,025,597 | ||||||||
|
| |||||||
Consumer Staples – 5.5% | ||||||||
Food Products – 2.6% | ||||||||
Archer-Daniels-Midland Co. | 20,764 | 725,909 | ||||||
Bunge Ltd. | 7,309 | 363,404 | ||||||
ConAgra Foods, Inc. | 17,001 | 715,062 |
AB POOLING PORTFOLIOS • | 47 |
AB U.S. Value Portfolio—Portfolio of Investments
Company | Shares | U.S. $ Value | ||||||
| ||||||||
Ingredion, Inc. | 14,532 | $ | 1,470,929 | |||||
Mondelez International, Inc. – Class A | 55,649 | 2,255,454 | ||||||
Tyson Foods, Inc. – Class A | 38,772 | 2,510,487 | ||||||
|
| |||||||
8,041,245 | ||||||||
|
| |||||||
Household Products – 1.1% | ||||||||
Kimberly-Clark Corp. | 2,507 | 326,662 | ||||||
Procter & Gamble Co. (The) | 37,394 | 3,002,364 | ||||||
|
| |||||||
3,329,026 | ||||||||
|
| |||||||
Tobacco – 1.8% | ||||||||
Altria Group, Inc. | 67,241 | 4,140,028 | ||||||
Philip Morris International, Inc. | 14,120 | 1,285,344 | ||||||
|
| |||||||
5,425,372 | ||||||||
|
| |||||||
16,795,643 | ||||||||
|
| |||||||
Materials – 4.0% | ||||||||
Chemicals – 4.0% | ||||||||
CF Industries Holdings, Inc. | 139,754 | 5,095,431 | ||||||
Dow Chemical Co. (The) | 49,246 | 2,393,848 | ||||||
LyondellBasell Industries NV – Class A | 58,571 | 4,697,980 | ||||||
|
| |||||||
12,187,259 | ||||||||
|
| |||||||
Telecommunication Services – 1.5% | ||||||||
Diversified Telecommunication Services – 1.5% | ||||||||
AT&T, Inc. | 21,457 | 792,836 | ||||||
Verizon Communications, Inc. | 75,675 | 3,838,993 | ||||||
|
| |||||||
4,631,829 | ||||||||
|
| |||||||
Total Common Stocks | 305,127,598 | |||||||
|
| |||||||
SHORT-TERM INVESTMENTS – 1.9% | ||||||||
Investment Companies – 1.9% | ||||||||
AB Fixed Income Shares, Inc. – | 5,675,116 | 5,675,116 | ||||||
|
| |||||||
Total Investments Before Security Lending Collateral for Securities Loaned – 101.2% | 310,802,714 | |||||||
|
|
48 | • AB POOLING PORTFOLIOS |
AB U.S. Value Portfolio—Portfolio of Investments
Company | Shares | U.S. $ Value | ||||||
| ||||||||
INVESTMENTS OF CASH COLLATERAL FOR SECURITIES LOANED – 1.2% | ||||||||
Investment Companies – 1.2% | ||||||||
AB Exchange Reserves – Class I, 0.41%(c)(d) | 3,846,918 | $ | 3,846,918 | |||||
|
| |||||||
Total Investments – 102.4% | 314,649,632 | |||||||
Other assets less liabilities – (2.4)% | (7,397,760 | ) | ||||||
|
| |||||||
Net Assets – 100.0% | $ | 307,251,872 | ||||||
|
|
(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. |
(d) | To obtain a copy of the fund’s financial statements, please go to the Securities and Exchange Commission’s website at www.sec.gov, or call AB at (800) 227-4618. |
See notes to financial statements.
AB POOLING PORTFOLIOS • | 49 |
AB U.S. Value Portfolio—Portfolio of Investments
AB U.S. LARGE CAP GROWTH PORTFOLIO
PORTFOLIO OF INVESTMENTS
February 29, 2016 (unaudited)
Company | Shares | U.S. $ Value | ||||||
| ||||||||
COMMON STOCKS – 95.6% |
| |||||||
Information Technology – 35.6% |
| |||||||
Communications Equipment – 2.1% |
| |||||||
Arista Networks, Inc.(a)(b) | 49,852 | $ | 3,416,856 | |||||
Palo Alto Networks, Inc.(a) | 20,780 | 3,008,736 | ||||||
|
| |||||||
6,425,592 | ||||||||
|
| |||||||
Electronic Equipment, Instruments & Components – 1.6% | ||||||||
Amphenol Corp. – Class A | 93,681 | 4,971,651 | ||||||
|
| |||||||
Internet Software & Services – 13.3% | ||||||||
Alphabet, Inc. – Class A(a) | 5,645 | 4,048,707 | ||||||
Alphabet, Inc. – Class C(a) | 24,478 | 17,080,014 | ||||||
Facebook, Inc. – Class A(a) | 168,310 | 17,995,705 | ||||||
Twitter, Inc.(a) | 94,720 | 1,716,327 | ||||||
|
| |||||||
40,840,753 | ||||||||
|
| |||||||
IT Services – 6.1% | ||||||||
Cognizant Technology Solutions Corp. – Class A(a) | 77,440 | 4,412,531 | ||||||
Vantiv, Inc. – Class A(a) | 52,000 | 2,706,080 | ||||||
Visa, Inc. – Class A | 159,668 | 11,558,367 | ||||||
|
| |||||||
18,676,978 | ||||||||
|
| |||||||
Semiconductors & Semiconductor Equipment – 3.3% | ||||||||
NVIDIA Corp. | 197,452 | 6,192,095 | ||||||
Xilinx, Inc. | 83,719 | 3,953,211 | ||||||
|
| |||||||
10,145,306 | ||||||||
|
| |||||||
Software – 4.7% | ||||||||
Adobe Systems, Inc.(a) | 30,960 | 2,636,244 | ||||||
ANSYS, Inc.(a) | 32,470 | 2,695,659 | ||||||
Aspen Technology, Inc.(a) | 83,274 | 2,745,544 | ||||||
Mobileye NV(a)(b) | 72,113 | 2,340,788 | ||||||
ServiceNow, Inc.(a) | 49,458 | 2,719,695 | ||||||
Tableau Software, Inc. – Class A(a) | 27,190 | 1,241,224 | ||||||
|
| |||||||
14,379,154 | ||||||||
|
| |||||||
Technology Hardware, Storage & Peripherals – 4.5% | ||||||||
Apple, Inc. | 143,121 | 13,838,369 | ||||||
|
| |||||||
109,277,803 | ||||||||
|
| |||||||
Consumer Discretionary – 23.7% | ||||||||
Hotels, Restaurants & Leisure – 2.0% | ||||||||
Starbucks Corp. | 107,840 | 6,277,366 | ||||||
|
| |||||||
Internet & Catalog Retail – 2.8% | ||||||||
Priceline Group, Inc. (The)(a) | 6,780 | 8,578,124 | ||||||
|
|
50 | • AB POOLING PORTFOLIOS |
AB U.S. Large Cap Growth Portfolio—Portfolio of Investments
Company | Shares | U.S. $ Value | ||||||
| ||||||||
Media – 6.6% | ||||||||
AMC Networks, Inc. – Class A(a) | 63,894 | $ | 4,187,613 | |||||
Comcast Corp. – Class A | 151,150 | 8,725,889 | ||||||
Walt Disney Co. (The) | 75,936 | 7,253,407 | ||||||
|
| |||||||
20,166,909 | ||||||||
|
| |||||||
Multiline Retail – 2.4% |
| |||||||
Dollar Tree, Inc.(a) | 91,180 | 7,317,195 | ||||||
|
| |||||||
Specialty Retail – 7.6% | ||||||||
Home Depot, Inc. (The) | 100,601 | 12,486,596 | ||||||
L Brands, Inc. | 34,540 | 2,928,647 | ||||||
O’Reilly Automotive, Inc.(a) | 10,630 | 2,767,202 | ||||||
Ulta Salon Cosmetics & Fragrance, Inc.(a) | 30,770 | 5,082,896 | ||||||
|
| |||||||
23,265,341 | ||||||||
|
| |||||||
Textiles, Apparel & Luxury Goods – 2.3% | ||||||||
NIKE, Inc. – Class B | 117,422 | 7,232,021 | ||||||
|
| |||||||
72,836,956 | ||||||||
|
| |||||||
Health Care – 21.6% | ||||||||
Biotechnology – 8.0% | ||||||||
Alexion Pharmaceuticals, Inc.(a) | 39,067 | 5,500,633 | ||||||
Biogen, Inc.(a) | 51,514 | 13,363,762 | ||||||
Gilead Sciences, Inc. | 64,880 | 5,660,780 | ||||||
|
| |||||||
24,525,175 | ||||||||
|
| |||||||
Health Care Equipment & Supplies – 6.9% | ||||||||
Align Technology, Inc.(a) | 70,996 | 4,687,866 | ||||||
Edwards Lifesciences Corp.(a) | 26,950 | 2,344,650 | ||||||
Intuitive Surgical, Inc.(a) | 25,321 | 14,257,242 | ||||||
|
| |||||||
21,289,758 | ||||||||
|
| |||||||
Health Care Providers & Services – 4.8% | ||||||||
Premier, Inc. – Class A(a) | 79,864 | 2,597,177 | ||||||
UnitedHealth Group, Inc. | 100,865 | 12,013,022 | ||||||
|
| |||||||
14,610,199 | ||||||||
|
| |||||||
Life Sciences Tools & Services – 1.9% | ||||||||
Illumina, Inc.(a) | 18,827 | 2,828,569 | ||||||
Mettler-Toledo International, Inc.(a) | 9,163 | 2,885,520 | ||||||
|
| |||||||
5,714,089 | ||||||||
|
| |||||||
66,139,221 | ||||||||
|
| |||||||
Consumer Staples – 8.7% | ||||||||
Beverages – 1.8% | ||||||||
Monster Beverage Corp.(a) | 43,678 | 5,481,589 | ||||||
|
| |||||||
Food & Staples Retailing – 4.7% | ||||||||
Costco Wholesale Corp. | 27,580 | 4,137,828 | ||||||
CVS Health Corp. | 106,661 | 10,364,249 | ||||||
|
| |||||||
14,502,077 | ||||||||
|
|
AB POOLING PORTFOLIOS • | 51 |
AB U.S. Large Cap Growth Portfolio—Portfolio of Investments
Company | Shares | U.S. $ Value | ||||||
| ||||||||
Food Products – 0.3% | ||||||||
WhiteWave Foods Co. (The)(a) | 25,034 | $ | 969,317 | |||||
|
| |||||||
Personal Products – 1.9% | ||||||||
Estee Lauder Cos., Inc. (The) – Class A | 62,880 | 5,742,830 | ||||||
|
| |||||||
26,695,813 | ||||||||
|
| |||||||
Industrials – 5.2% | ||||||||
Aerospace & Defense – 0.9% | ||||||||
Rockwell Collins, Inc. | 30,750 | 2,692,777 | ||||||
|
| |||||||
Airlines – 0.6% | ||||||||
Alaska Air Group, Inc. | 24,325 | 1,797,618 | ||||||
|
| |||||||
Building Products – 0.4% | ||||||||
AO Smith Corp. | 18,260 | 1,285,139 | ||||||
|
| |||||||
Electrical Equipment – 1.0% | ||||||||
Acuity Brands, Inc. | 14,519 | 3,040,714 | ||||||
|
| |||||||
Industrial Conglomerates – 2.0% | ||||||||
Danaher Corp. | 47,919 | 4,277,729 | ||||||
Roper Technologies, Inc. | 10,330 | 1,734,717 | ||||||
|
| |||||||
6,012,446 | ||||||||
|
| |||||||
Professional Services – 0.3% | ||||||||
Robert Half International, Inc. | 27,060 | 1,065,893 | ||||||
|
| |||||||
15,894,587 | ||||||||
|
| |||||||
Financials – 0.8% | ||||||||
Capital Markets – 0.8% | ||||||||
BlackRock, Inc. – Class A | 7,450 | 2,324,102 | ||||||
|
| |||||||
Total Common Stocks | 293,168,482 | |||||||
|
| |||||||
SHORT-TERM INVESTMENTS – 3.2% | ||||||||
Investment Companies – 3.2% | ||||||||
AB Fixed Income Shares, Inc. – | 9,714,991 | 9,714,991 | ||||||
|
| |||||||
Total Investments Before Security Lending Collateral for Securities Loaned – 98.8% | 302,883,473 | |||||||
|
|
52 | • AB POOLING PORTFOLIOS |
AB U.S. Large Cap Growth Portfolio—Portfolio of Investments
Company | Shares | U.S. $ Value | ||||||
| ||||||||
INVESTMENTS OF CASH COLLATERAL FOR SECURITIES LOANED – 1.4% | ||||||||
Investment Companies – 1.4% | ||||||||
AB Exchange Reserves – Class I, 0.41%(c)(d) | 4,407,349 | $ | 4,407,349 | |||||
|
| |||||||
Total Investments – 100.2% | 307,290,822 | |||||||
Other assets less liabilities – (0.2)% | (594,633 | ) | ||||||
|
| |||||||
Net Assets – 100.0% | $ | 306,696,189 | ||||||
|
|
(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. |
(d) | To obtain a copy of the fund’s financial statements, please go to the Securities and Exchange Commission’s website at www.sec.gov, or call AB at (800) 227-4618. |
See notes to financial statements.
AB POOLING PORTFOLIOS • | 53 |
AB U.S. Large Cap Growth Portfolio—Portfolio of Investments
AB INTERNATIONAL VALUE PORTFOLIO
PORTFOLIO OF INVESTMENTS
February 29, 2016 (unaudited)
Company | Shares | U.S. $ Value | ||||||
| ||||||||
COMMON STOCKS – 97.6% |
| |||||||
Financials – 25.5% |
| |||||||
Banks – 14.8% |
| |||||||
Banco Macro SA (ADR)(a) | 32,930 | $ | 2,212,896 | |||||
Bank Hapoalim BM | 192,313 | 939,444 | ||||||
Bank of Baroda | 689,970 | 1,335,453 | ||||||
Bank of Montreal | 24,760 | 1,366,100 | ||||||
Bank of Queensland Ltd. | 484,083 | 3,636,171 | ||||||
CYBG PLC(a) | 620,484 | 1,632,244 | ||||||
Danske Bank A/S | 184,600 | 5,038,165 | ||||||
ING Groep NV | 411,810 | 4,909,325 | ||||||
Intesa Sanpaolo SpA | 676,740 | 1,709,357 | ||||||
KB Financial Group, Inc. | 66,050 | 1,581,410 | ||||||
Mitsubishi UFJ Financial Group, Inc. | 1,572,000 | 6,783,660 | ||||||
OTP Bank PLC | 60,180 | 1,251,962 | ||||||
Shinhan Financial Group Co., Ltd. | 37,810 | 1,165,586 | ||||||
Toronto-Dominion Bank (The) | 62,140 | 2,407,982 | ||||||
UniCredit SpA | 414,920 | 1,541,259 | ||||||
|
| |||||||
37,511,014 | ||||||||
|
| |||||||
Capital Markets – 1.1% | ||||||||
Amundi SA(a)(b) | 30,570 | 1,273,689 | ||||||
Azimut Holding SpA | 77,390 | 1,484,971 | ||||||
|
| |||||||
2,758,660 | ||||||||
|
| |||||||
Diversified Financial Services – 1.4% | ||||||||
BM&FBovespa SA – Bolsa de Valores Mercadorias e Futuros | 435,600 | 1,260,518 | ||||||
Challenger Ltd./Australia | 427,190 | 2,285,103 | ||||||
|
| |||||||
3,545,621 | ||||||||
|
| |||||||
Insurance – 5.8% | ||||||||
AIA Group Ltd. | 367,600 | 1,869,624 | ||||||
Aviva PLC | 264,019 | 1,601,961 | ||||||
Dongbu Insurance Co., Ltd. | 27,480 | 1,498,898 | ||||||
Muenchener Rueckversicherungs-Gesellschaft AG in Muenchen (REG) | 14,030 | 2,754,031 | ||||||
NN Group NV | 87,279 | 2,688,475 | ||||||
Ping An Insurance Group Co. of China Ltd. – Class H | 249,500 | 1,059,046 | ||||||
Suncorp Group Ltd. | 185,412 | 1,477,628 | ||||||
Zurich Insurance Group AG(a) | 7,780 | 1,647,889 | ||||||
|
| |||||||
14,597,552 | ||||||||
|
| |||||||
Real Estate Investment Trusts (REITs) – 0.5% | ||||||||
Emlak Konut Gayrimenkul Yatirim Ortakligi AS | 1,420,530 | 1,232,358 | ||||||
|
|
54 | • AB POOLING PORTFOLIOS |
AB International Value Portfolio—Portfolio of Investments
Company | Shares | U.S. $ Value | ||||||
| ||||||||
Real Estate Management & Development – 1.3% | ||||||||
China Overseas Land & Investment Ltd. | 440,000 | $ | 1,311,626 | |||||
LendLease Group | 220,073 | 2,040,042 | ||||||
|
| |||||||
3,351,668 | ||||||||
|
| |||||||
Thrifts & Mortgage Finance – 0.6% | ||||||||
LIC Housing Finance Ltd. | 231,687 | 1,427,950 | ||||||
|
| |||||||
64,424,823 | ||||||||
|
| |||||||
Consumer Discretionary – 13.9% |
| |||||||
Auto Components – 4.7% |
| |||||||
Hankook Tire Co., Ltd.(a) | 67,050 | 2,893,386 | ||||||
Magna International, Inc. (New York) – Class A | 71,470 | 2,776,609 | ||||||
Plastic Omnium SA | 52,252 | 1,659,418 | ||||||
Sumitomo Electric Industries Ltd. | 206,600 | 2,477,481 | ||||||
Valeo SA | 16,110 | 2,227,248 | ||||||
|
| |||||||
12,034,142 | ||||||||
|
| |||||||
Automobiles – 4.4% | ||||||||
Honda Motor Co., Ltd. | 136,500 | 3,510,625 | ||||||
Isuzu Motors Ltd.(c) | 170,700 | 1,707,789 | ||||||
Peugeot SA(a) | 230,180 | 3,453,523 | ||||||
Tata Motors Ltd.(a) | 229,503 | 1,005,241 | ||||||
Tata Motors Ltd. – Class A(a) | 418,556 | 1,437,721 | ||||||
|
| |||||||
11,114,899 | ||||||||
|
| |||||||
Internet & Catalog Retail – 0.4% | ||||||||
JD.com, Inc. (ADR)(a) | 37,810 | 972,095 | ||||||
|
| |||||||
Leisure Products – 0.7% | ||||||||
Bandai Namco Holdings, Inc. | 84,100 | 1,676,021 | ||||||
|
| |||||||
Media – 2.8% | ||||||||
Liberty Global PLC – Series C(a) | 101,245 | 3,640,770 | ||||||
Vivendi SA | 164,737 | 3,417,179 | ||||||
|
| |||||||
7,057,949 | ||||||||
|
| |||||||
Specialty Retail – 0.5% | ||||||||
Kingfisher PLC | 264,010 | 1,219,542 | ||||||
|
| |||||||
Textiles, Apparel & Luxury Goods – 0.4% | ||||||||
Kering | 6,320 | 1,099,634 | ||||||
|
| |||||||
35,174,282 | ||||||||
|
| |||||||
Industrials – 10.6% | ||||||||
Aerospace & Defense – 1.2% | ||||||||
Airbus Group SE | 44,538 | 2,874,337 | ||||||
|
| |||||||
Airlines – 3.6% | ||||||||
Air Canada(a) | 157,410 | 839,986 | ||||||
International Consolidated Airlines Group SA | 454,850 | 3,458,088 |
AB POOLING PORTFOLIOS • | 55 |
AB International Value Portfolio—Portfolio of Investments
Company | Shares | U.S. $ Value | ||||||
| ||||||||
Japan Airlines Co., Ltd. | 80,100 | $ | 2,866,100 | |||||
Qantas Airways Ltd.(a) | 694,423 | 1,907,495 | ||||||
|
| |||||||
9,071,669 | ||||||||
|
| |||||||
Industrial Conglomerates – 1.0% | ||||||||
Rheinmetall AG | 36,640 | 2,602,329 | ||||||
|
| |||||||
Machinery – 2.1% | ||||||||
IHI Corp. | 990,000 | 1,762,705 | ||||||
JTEKT Corp. | 261,700 | 3,572,785 | ||||||
|
| |||||||
5,335,490 | ||||||||
|
| |||||||
Marine – 0.5% | ||||||||
AP Moeller – Maersk A/S – Class B | 937 | 1,231,408 | ||||||
|
| |||||||
Road & Rail – 2.2% |
| |||||||
Canadian National Railway Co. | 18,800 | 1,092,151 | ||||||
Central Japan Railway Co. | 25,200 | 4,508,698 | ||||||
|
| |||||||
5,600,849 | ||||||||
|
| |||||||
26,716,082 | ||||||||
|
| |||||||
Information Technology – 9.6% | ||||||||
Electronic Equipment, Instruments & Components – 0.6% | ||||||||
Largan Precision Co., Ltd. | 20,000 | 1,512,139 | ||||||
|
| |||||||
Internet Software & Services – 0.7% | ||||||||
Tencent Holdings Ltd. | 104,200 | 1,907,945 | ||||||
|
| |||||||
Semiconductors & Semiconductor Equipment – 5.7% | ||||||||
Advanced Semiconductor Engineering, Inc. | 1,388,000 | 1,570,496 | ||||||
Infineon Technologies AG | 205,930 | 2,499,459 | ||||||
Novatek Microelectronics Corp. | 680,000 | 2,795,891 | ||||||
SCREEN Holdings Co., Ltd. | 487,000 | 3,616,455 | ||||||
Sumco Corp. | 330,400 | 2,099,005 | ||||||
Tokyo Electron Ltd. | 30,000 | 1,808,323 | ||||||
|
| |||||||
14,389,629 | ||||||||
|
| |||||||
Software – 0.9% | ||||||||
Nintendo Co., Ltd. | 15,700 | 2,197,592 | ||||||
|
| |||||||
Technology Hardware, Storage & Peripherals – 1.7% | ||||||||
Samsung Electronics Co., Ltd. | 4,500 | 4,289,926 | ||||||
|
| |||||||
24,297,231 | ||||||||
|
|
56 | • AB POOLING PORTFOLIOS |
AB International Value Portfolio—Portfolio of Investments
Company | Shares | U.S. $ Value | ||||||
| ||||||||
Telecommunication Services – 9.1% | ||||||||
Diversified Telecommunication Services – 5.9% | ||||||||
BT Group PLC | 938,630 | $ | 6,320,881 | |||||
Nippon Telegraph & Telephone Corp. | 157,400 | 6,665,468 | ||||||
Telefonica Brasil SA (Preference Shares) | 200,000 | 1,902,604 | ||||||
|
| |||||||
14,888,953 | ||||||||
|
| |||||||
Wireless Telecommunication Services – 3.2% | ||||||||
Rogers Communications, Inc. – Class B | 24,990 | 924,981 | ||||||
SoftBank Group Corp. | 30,400 | 1,493,879 | ||||||
Turkcell Iletisim Hizmetleri AS | 411,260 | 1,532,978 | ||||||
Vodafone Group PLC | 1,404,222 | 4,258,864 | ||||||
|
| |||||||
8,210,702 | ||||||||
|
| |||||||
23,099,655 | ||||||||
|
| |||||||
Energy – 7.1% | ||||||||
Energy Equipment & Services – 0.2% | ||||||||
Aker Solutions ASA(b) | 172,617 | 512,047 | ||||||
|
| |||||||
Oil, Gas & Consumable Fuels – 6.9% | ||||||||
Canadian Natural Resources Ltd. | 46,740 | 976,945 | ||||||
JX Holdings, Inc. | 1,109,600 | 4,310,070 | ||||||
LUKOIL PJSC (Sponsored ADR)(c) | 30,680 | 1,088,833 | ||||||
Royal Dutch Shell PLC (Euronext Amsterdam) – Class A | 279,892 | 6,385,462 | ||||||
TOTAL SA | 59,737 | 2,677,440 | ||||||
Tupras Turkiye Petrol Rafinerileri AS(a) | 76,140 | 1,945,471 | ||||||
|
| |||||||
17,384,221 | ||||||||
|
| |||||||
17,896,268 | ||||||||
|
| |||||||
Consumer Staples – 6.9% | ||||||||
Beverages – 0.4% | ||||||||
Asahi Group Holdings Ltd. | 33,000 | 969,774 | ||||||
|
| |||||||
Food & Staples Retailing – 3.2% | ||||||||
Alimentation Couche-Tard, Inc. – Class B | 30,540 | 1,381,861 | ||||||
Delhaize Group | 55,180 | 5,580,119 | ||||||
X5 Retail Group NV (GDR)(a)(b) | 53,395 | 995,817 | ||||||
|
| |||||||
7,957,797 | ||||||||
|
| |||||||
Food Products – 0.5% | ||||||||
JBS SA | 453,700 | 1,288,038 | ||||||
|
| |||||||
Tobacco – 2.8% | ||||||||
British American Tobacco PLC | 101,980 | 5,548,143 | ||||||
Imperial Brands PLC | 31,370 | 1,619,189 | ||||||
|
| |||||||
7,167,332 | ||||||||
|
| |||||||
17,382,941 | ||||||||
|
|
AB POOLING PORTFOLIOS • | 57 |
AB International Value Portfolio—Portfolio of Investments
Company | Shares | U.S. $ Value | ||||||
| ||||||||
Materials – 6.0% | ||||||||
Chemicals – 4.2% | ||||||||
Agrium, Inc. (Toronto) | 17,820 | $ | 1,534,522 | |||||
Arkema SA | 40,872 | 2,495,359 | ||||||
Covestro AG(a)(b) | 40,504 | 1,290,899 | ||||||
JSR Corp. | 131,900 | 1,849,004 | ||||||
Koninklijke DSM NV | 46,109 | 2,268,232 | ||||||
LG Chem Ltd. | 4,740 | 1,152,216 | ||||||
|
| |||||||
10,590,232 | ||||||||
|
| |||||||
Metals & Mining – 1.1% | ||||||||
Goldcorp, Inc. | 83,780 | 1,203,757 | ||||||
Novolipetsk Steel AO (GDR)(b) | 160,380 | 1,564,600 | ||||||
|
| |||||||
2,768,357 | ||||||||
|
| |||||||
Paper & Forest Products – 0.7% | ||||||||
Mondi PLC | 100,801 | 1,798,422 | ||||||
|
| |||||||
15,157,011 | ||||||||
|
| |||||||
Utilities – 5.0% | ||||||||
Electric Utilities – 2.7% | ||||||||
EDP – Energias de Portugal SA | 1,050,840 | 3,254,440 | ||||||
Enel SpA | 434,878 | 1,737,963 | ||||||
Korea Electric Power Corp. | 40,420 | 1,917,575 | ||||||
|
| |||||||
6,909,978 | ||||||||
|
| |||||||
Independent Power and Renewable Electricity Producers – 1.5% | ||||||||
Huadian Power International Corp., Ltd. – Class H | 3,268,000 | 1,769,054 | ||||||
Huaneng Power International, Inc. – Class H | 2,530,000 | 1,983,972 | ||||||
|
| |||||||
3,753,026 | ||||||||
|
| |||||||
Water Utilities – 0.8% | ||||||||
Cia de Saneamento Basico do Estado de Sao Paulo | 367,200 | 2,067,561 | ||||||
|
| |||||||
12,730,565 | ||||||||
|
| |||||||
Health Care – 3.9% | ||||||||
Pharmaceuticals – 3.9% | ||||||||
GlaxoSmithKline PLC | 175,270 | 3,396,742 | ||||||
Roche Holding AG | 25,370 | 6,505,253 | ||||||
|
| |||||||
9,901,995 | ||||||||
|
| |||||||
Total Common Stocks | 246,780,853 | |||||||
|
| |||||||
58 | • AB POOLING PORTFOLIOS |
AB International Value Portfolio—Portfolio of Investments
Company | Shares | U.S. $ Value | ||||||
| ||||||||
SHORT-TERM INVESTMENTS – 0.1% | ||||||||
Investment Companies – 0.1% | ||||||||
AB Fixed Income Shares, Inc.– | 193,727 | $ | 193,727 | |||||
|
| |||||||
Total Investments Before Security Lending Collateral for Securities Loaned – 97.7% | 246,974,580 | |||||||
|
| |||||||
INVESTMENTS OF CASH COLLATERAL FOR SECURITIES LOANED – 0.4% | ||||||||
Investment Companies – 0.4% | ||||||||
AB Exchange Reserves – Class I, 0.41%(d)(e) | 1,072,400 | 1,072,400 | ||||||
|
| |||||||
Total Investments – 98.1% | 248,046,980 | |||||||
Other assets less liabilities – 1.9% | 4,905,166 | |||||||
|
| |||||||
Net Assets – 100.0% | $ | 252,952,146 | ||||||
|
|
FUTURES (see Note C)
Type | Number of Contracts | Expiration Month | Original Value | Value at February 29, 2016 | Unrealized Appreciation/ (Depreciation) | |||||||||||||||
Purchased Contracts | ||||||||||||||||||||
EURO STOXX 50 Index Futures | 10 | March 2016 | $ | 346,769 | $ | 319,175 | $ | (27,594 | ) |
FORWARD CURRENCY EXCHANGE CONTRACTS (see Note C)
Counterparty | Contracts to Deliver (000) | In Exchange For (000) | Settlement Date | Unrealized Appreciation/ (Depreciation) | ||||||||||||||||||||
Bank of America, NA | USD | 3,203 | NOK | 27,430 | 5/18/16 | $ | (51,930 | ) | ||||||||||||||||
Barclays Bank PLC | JPY | 174,315 | USD | 1,535 | 5/18/16 | (14,839 | ) | |||||||||||||||||
BNP Paribas SA | KRW | 4,592,376 | USD | 3,768 | 5/18/16 | 69,709 | ||||||||||||||||||
Citibank | RUB | 90,831 | USD | 1,167 | 4/07/16 | (28,075 | ) | |||||||||||||||||
Citibank | EUR | 1,894 | USD | 2,138 | 5/18/16 | 72,986 | ||||||||||||||||||
Citibank | GBP | 2,398 | USD | 3,460 | 5/18/16 | 121,563 | ||||||||||||||||||
Citibank | USD | 5,008 | AUD | 7,121 | 5/18/16 | 56,541 | ||||||||||||||||||
Credit Suisse International | JPY | 599,063 | USD | 4,958 | 5/18/16 | (367,602 | ) | |||||||||||||||||
Credit Suisse International | USD | 2,543 | EUR | 2,277 | 5/18/16 | (60,390 | ) | |||||||||||||||||
Credit Suisse International | USD | 2,263 | NOK | 19,785 | 5/18/16 | 9,973 | ||||||||||||||||||
Deutsche Bank AG | BRL | 16,681 | USD | 4,099 | 3/02/16 | (55,172 | ) | |||||||||||||||||
Deutsche Bank AG | USD | 4,192 | BRL | 16,681 | 3/02/16 | (37,526 | ) | |||||||||||||||||
HSBC Bank USA | BRL | 16,681 | USD | 4,192 | 3/02/16 | 37,526 |
AB POOLING PORTFOLIOS • | 59 |
AB International Value Portfolio—Portfolio of Investments
Counterparty | Contracts to Deliver (000) | In Exchange For (000) | Settlement Date | Unrealized Appreciation/ (Depreciation) | ||||||||||||||||||||
HSBC Bank USA | USD | 4,223 | BRL | 16,681 | 3/02/16 | $ | (68,403 | ) | ||||||||||||||||
HSBC Bank USA | BRL | 16,681 | USD | 4,185 | 4/04/16 | 66,128 | ||||||||||||||||||
HSBC Bank USA | USD | 5,247 | SEK | 44,060 | 5/18/16 | (85,790 | ) | |||||||||||||||||
Morgan Stanley & Co., Inc. | USD | 807 | CAD | 1,146 | 5/18/16 | 39,802 | ||||||||||||||||||
Royal Bank of Scotland PLC | EUR | 4,325 | USD | 4,910 | 5/18/16 | 193,744 | ||||||||||||||||||
Royal Bank of Scotland PLC | GBP | 437 | USD | 633 | 5/18/16 | 24,134 | ||||||||||||||||||
Royal Bank of Scotland PLC | KRW | 2,478,501 | USD | 2,065 | 5/18/16 | 68,604 | ||||||||||||||||||
Royal Bank of Scotland PLC | USD | 4,890 | CHF | 4,741 | 5/18/16 | (123,341 | ) | |||||||||||||||||
Standard Chartered Bank | JPY | 305,422 | USD | 2,667 | 5/18/16 | (48,465 | ) | |||||||||||||||||
State Street Bank & Trust Co. | GBP | 1,203 | USD | 1,717 | 5/18/16 | 42,562 | ||||||||||||||||||
State Street Bank & Trust Co. | JPY | 116,534 | USD | 985 | 5/18/16 | (50,500 | ) | |||||||||||||||||
State Street Bank & Trust Co. | USD | 3,714 | CHF | 3,590 | 5/18/16 | (104,278 | ) | |||||||||||||||||
State Street Bank & Trust Co. | USD | 2,125 | EUR | 1,894 | 5/18/16 | (59,919 | ) | |||||||||||||||||
UBS AG | EUR | 2,734 | USD | 3,021 | 5/18/16 | 39,844 | ||||||||||||||||||
UBS AG | CAD | 3,943 | USD | 2,726 | 5/18/16 | (188,316 | ) | |||||||||||||||||
|
| |||||||||||||||||||||||
$ | (501,430 | ) | ||||||||||||||||||||||
|
|
(a) | Non-income producing security. |
(b) | 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, 2016, the aggregate market value of these securities amounted to $5,637,051 or 2.2% of net assets. |
(c) | Represents entire or partial securities out on loan. See Note D for securities lending information. |
(d) | Investment in affiliated money market mutual fund. The rate shown represents the 7-day yield as of period end. |
(e) | To obtain a copy of the fund’s financial statements, please go to the Securities and Exchange Commission’s website at www.sec.gov, or call AB at (800) 227-4618. |
Currency Abbreviations:
AUD – Australian Dollar
BRL – Brazilian Real
CAD – Canadian Dollar
CHF – Swiss Franc
EUR – Euro
GBP – Great British Pound
JPY – Japanese Yen
KRW – South Korean Won
NOK – Norwegian Krone
RUB – Russian Ruble
SEK – Swedish Krona
USD – United States Dollar
Glossary:
ADR – American Depositary Receipt
GDR – Global Depositary Receipt
PJSC – Public Joint Stock Company
REG – Registered Shares
See notes to financial statements.
60 | • AB POOLING PORTFOLIOS |
AB International Value Portfolio—Portfolio of Investments
AB INTERNATIONAL GROWTH PORTFOLIO
PORTFOLIO OF INVESTMENTS
February 29, 2016 (unaudited)
Company | Shares | U.S. $ Value | ||||||
| ||||||||
COMMON STOCKS – 97.4% |
| |||||||
Financials – 21.8% |
| |||||||
Banks – 1.7% |
| |||||||
Axis Bank Ltd. | 270,110 | $ | 1,488,855 | |||||
HDFC Bank Ltd. | 172,230 | 2,809,042 | ||||||
|
| |||||||
4,297,897 | ||||||||
|
| |||||||
Capital Markets – 5.2% | ||||||||
Credit Suisse Group AG (REG)(a) | 129,346 | 1,731,192 | ||||||
Partners Group Holding AG | 11,129 | 4,028,263 | ||||||
UBS Group AG(b) | 491,363 | 7,506,543 | ||||||
|
| |||||||
13,265,998 | ||||||||
|
| |||||||
Consumer Finance – 0.6% | ||||||||
Shriram Transport Finance Co., Ltd. | 123,250 | 1,442,296 | ||||||
|
| |||||||
Diversified Financial Services – 0.9% | ||||||||
GRENKELEASING AG | 11,240 | 2,229,018 | ||||||
|
| |||||||
Insurance – 8.2% | ||||||||
Admiral Group PLC | 225,631 | 5,418,083 | ||||||
AIA Group Ltd. | 1,503,400 | 7,646,333 | ||||||
Prudential PLC | 436,550 | 7,602,161 | ||||||
|
| |||||||
20,666,577 | ||||||||
|
| |||||||
Real Estate Management & Development – 2.6% | ||||||||
Ayala Land, Inc. | 2,840,000 | 1,958,030 | ||||||
Daito Trust Construction Co., Ltd. | 3,300 | 446,949 | ||||||
Global Logistic Properties Ltd. | 3,401,000 | 4,276,092 | ||||||
|
| |||||||
6,681,071 | ||||||||
|
| |||||||
Thrifts & Mortgage Finance – 2.6% | ||||||||
Housing Development Finance Corp., Ltd. | 430,650 | 6,708,463 | ||||||
|
| |||||||
55,291,320 | ||||||||
|
| |||||||
Information Technology – 18.0% | ||||||||
Electronic Equipment, Instruments & Components – 1.0% | ||||||||
China Railway Signal & Communication Corp., Ltd. – Class H(a)(b)(c) | 3,640,450 | 1,918,845 | ||||||
PAX Global Technology Ltd.(b) | 529,000 | 556,586 | ||||||
|
| |||||||
2,475,431 | ||||||||
|
| |||||||
Internet Software & Services – 4.1% | ||||||||
Baidu, Inc. (Sponsored ADR)(a) | 29,013 | 5,031,435 | ||||||
Tencent Holdings Ltd. | 286,900 | 5,253,258 | ||||||
|
| |||||||
10,284,693 | ||||||||
|
|
AB POOLING PORTFOLIOS • | 61 |
AB International Growth Portfolio—Portfolio of Investments
Company | Shares | U.S. $ Value | ||||||
| ||||||||
IT Services – 3.6% | ||||||||
Tata Consultancy Services Ltd. | 141,910 | $ | 4,502,740 | |||||
Wirecard AG(b) | 45,460 | 1,793,478 | ||||||
Worldpay Group PLC(a)(c) | 695,896 | 2,778,706 | ||||||
|
| |||||||
9,074,924 | ||||||||
|
| |||||||
Semiconductors & Semiconductor Equipment – 3.1% | ||||||||
ARM Holdings PLC | 139,440 | 1,916,123 | ||||||
ASML Holding NV | 30,910 | 2,815,834 | ||||||
Taiwan Semiconductor Manufacturing Co., Ltd. | 719,000 | 3,216,760 | ||||||
|
| |||||||
7,948,717 | ||||||||
|
| |||||||
Software – 5.8% | ||||||||
Constellation Software, Inc./Canada | 23,350 | 9,742,455 | ||||||
Dassault Systemes | 66,510 | 5,038,006 | ||||||
|
| |||||||
14,780,461 | ||||||||
|
| |||||||
Technology Hardware, Storage & Peripherals – 0.4% | ||||||||
Samsung Electronics Co., Ltd. | 1,200 | 1,143,980 | ||||||
|
| |||||||
45,708,206 | ||||||||
|
| |||||||
Consumer Discretionary – 16.1% | ||||||||
Auto Components – 1.4% | ||||||||
Continental AG | 18,640 | 3,710,056 | ||||||
|
| |||||||
Automobiles – 0.5% | ||||||||
Toyota Motor Corp. | 23,500 | 1,225,233 | ||||||
|
| |||||||
Diversified Consumer Services – 0.8% | ||||||||
TAL Education Group (ADR)(a) | 37,710 | 1,951,492 | ||||||
|
| |||||||
Hotels, Restaurants & Leisure – 2.1% | ||||||||
IMAX China Holding, Inc.(a)(b)(c) | 284,100 | 1,685,116 | ||||||
Melco International Development Ltd.(b) | 1,686,000 | 1,965,254 | ||||||
Yum! Brands, Inc. | 23,860 | 1,729,134 | ||||||
|
| |||||||
5,379,504 | ||||||||
|
| |||||||
Internet & Catalog Retail – 1.0% | ||||||||
Ctrip.com International Ltd. (ADR)(a) | 8,900 | 364,188 | ||||||
Vipshop Holdings Ltd. (ADR)(a) | 192,850 | 2,142,563 | ||||||
|
| |||||||
2,506,751 | ||||||||
|
| |||||||
Media – 3.9% | ||||||||
CTS Eventim AG & Co. KGaA | 114,697 | 4,014,659 | ||||||
Naspers Ltd. – Class N | 50,154 | 5,930,225 | ||||||
|
| |||||||
9,944,884 | ||||||||
|
|
62 | • AB POOLING PORTFOLIOS |
AB International Growth Portfolio—Portfolio of Investments
Company | Shares | U.S. $ Value | ||||||
| ||||||||
Multiline Retail – 1.8% | ||||||||
B&M European Value Retail SA | 1,131,857 | $ | 4,488,245 | |||||
|
| |||||||
Specialty Retail – 1.3% | ||||||||
L’Occitane International SA | 491,500 | 984,418 | ||||||
Sports Direct International PLC(a) | 407,998 | 2,284,491 | ||||||
|
| |||||||
3,268,909 | ||||||||
|
| |||||||
Textiles, Apparel & Luxury Goods – 3.3% | ||||||||
Cie Financiere Richemont SA(b) | 66,084 | 4,196,377 | ||||||
HUGO BOSS AG | 34,655 | 1,971,085 | ||||||
Samsonite International SA | 738,800 | 2,165,014 | ||||||
|
| |||||||
8,332,476 | ||||||||
|
| |||||||
40,807,550 | ||||||||
|
| |||||||
Industrials – 15.9% |
| |||||||
Aerospace & Defense – 1.1% |
| |||||||
Zodiac Aerospace | 171,170 | 2,850,964 | ||||||
|
| |||||||
Commercial Services & Supplies – 4.2% | ||||||||
Babcock International Group PLC | 564,365 | 7,140,799 | ||||||
Regus PLC | 846,352 | 3,395,639 | ||||||
|
| |||||||
10,536,438 | ||||||||
|
| |||||||
Construction & Engineering – 0.1% | ||||||||
IRB Infrastructure Developers Ltd. | 117,330 | 369,675 | ||||||
|
| |||||||
Machinery – 2.3% | ||||||||
Hoshizaki Electric Co., Ltd. | 73,600 | 5,696,054 | ||||||
|
| |||||||
Professional Services – 6.3% | ||||||||
Bureau Veritas SA | 269,628 | 5,371,321 | ||||||
Capita PLC | 461,700 | 6,402,188 | ||||||
Teleperformance | 54,870 | 4,236,153 | ||||||
|
| |||||||
16,009,662 | ||||||||
|
| |||||||
Road & Rail – 0.2% | ||||||||
CAR, Inc.(a)(b) | 391,000 | 446,070 | ||||||
|
| |||||||
Trading Companies & Distributors – 1.7% | ||||||||
Brenntag AG | 28,690 | 1,384,787 | ||||||
Bunzl PLC | 108,700 | 2,909,173 | ||||||
|
| |||||||
4,293,960 | ||||||||
|
| |||||||
40,202,823 | ||||||||
|
| |||||||
Health Care – 13.0% | ||||||||
Health Care Equipment & Supplies – 3.1% | ||||||||
Essilor International SA | 11,860 | 1,408,773 | ||||||
Sartorius AG (Preference Shares) | 25,730 | 6,605,841 | ||||||
|
| |||||||
8,014,614 | ||||||||
|
|
AB POOLING PORTFOLIOS • | 63 |
AB International Growth Portfolio—Portfolio of Investments
Company | Shares | U.S. $ Value | ||||||
| ||||||||
Health Care Providers & Services – 0.8% | ||||||||
Ramsay Health Care Ltd. | 42,533 | $ | 2,005,594 | |||||
|
| |||||||
Life Sciences Tools & Services – 3.4% | ||||||||
Eurofins Scientific SE | 24,221 | 8,615,648 | ||||||
|
| |||||||
Pharmaceuticals – 5.7% | ||||||||
Aspen Pharmacare Holdings Ltd.(a) | 144,460 | 2,553,079 | ||||||
Novo Nordisk A/S – Class B | 104,791 | 5,395,126 | ||||||
Shire PLC | 71,310 | 3,720,214 | ||||||
Sun Pharmaceutical Industries Ltd. | 218,647 | 2,735,001 | ||||||
|
| |||||||
14,403,420 | ||||||||
|
| |||||||
33,039,276 | ||||||||
|
| |||||||
Consumer Staples – 7.6% | ||||||||
Food & Staples Retailing – 2.8% | ||||||||
CP ALL PCL | 1,598,400 | 1,940,241 | ||||||
Lenta Ltd. (GDR)(a)(c) | 386,641 | 2,177,362 | ||||||
Magnit PJSC (Sponsored GDR)(c) | 28,340 | 949,390 | ||||||
Olam International Ltd.(b) | 1,847,570 | 2,096,434 | ||||||
|
| |||||||
7,163,427 | ||||||||
|
| |||||||
Food Products – 0.6% | ||||||||
First Resources Ltd.(b) | 291,300 | 394,559 | ||||||
Universal Robina Corp. | 238,190 | 991,285 | ||||||
|
| |||||||
1,385,844 | ||||||||
|
| |||||||
Personal Products – 1.0% | ||||||||
Hengan International Group Co., Ltd. | 279,000 | 2,208,542 | ||||||
Unilever PLC | 9,150 | 390,911 | ||||||
|
| |||||||
2,599,453 | ||||||||
|
| |||||||
Tobacco – 3.2% | ||||||||
British American Tobacco PLC | 148,119 | 8,058,299 | ||||||
|
| |||||||
19,207,023 | ||||||||
|
| |||||||
Materials – 3.6% | ||||||||
Chemicals – 3.6% | ||||||||
Essentra PLC | 786,856 | 9,091,362 | ||||||
|
| |||||||
Energy – 0.5% | ||||||||
Oil, Gas & Consumable Fuels – 0.5% | ||||||||
Royal Dutch Shell PLC (Euronext Amsterdam) – Class A | 52,540 | 1,198,649 | ||||||
|
| |||||||
Utilities – 0.5% | ||||||||
Independent Power and Renewable Electricity Producers – 0.5% | ||||||||
TerraForm Global, Inc. – Class A(b) | 355,817 | 1,127,940 | ||||||
|
|
64 | • AB POOLING PORTFOLIOS |
AB International Growth Portfolio—Portfolio of Investments
Company | Shares | U.S. $ Value | ||||||
| ||||||||
Telecommunication Services – 0.4% | ||||||||
Wireless Telecommunication Services – 0.4% | ||||||||
Tower Bersama Infrastructure Tbk PT(a) | 2,295,000 | $ | 989,801 | |||||
|
| |||||||
Total Common Stocks | 246,663,950 | |||||||
|
| |||||||
SHORT-TERM INVESTMENTS – 1.2% | ||||||||
Investment Companies – 1.2% | ||||||||
AB Fixed Income Shares, Inc. – | 3,117,070 | 3,117,070 | ||||||
|
| |||||||
Total Investments Before Security Lending Collateral for Securities Loaned – 98.6% | 249,781,020 | |||||||
|
| |||||||
INVESTMENTS OF CASH COLLATERAL FOR SECURITIES LOANED – 2.5% | ||||||||
Investment Companies – 2.5% | ||||||||
AB Exchange Reserves – Class I, 0.41%(d)(e) | 6,467,227 | 6,467,227 | ||||||
|
| |||||||
Total Investments – 101.1% | 256,248,247 | |||||||
Other assets less liabilities – (1.1)% | (2,859,942 | ) | ||||||
|
| |||||||
Net Assets – 100.0% | $ | 253,388,305 | ||||||
|
|
FORWARD CURRENCY EXCHANGE CONTRACTS (see Note C)
Counterparty | Contracts to Deliver (000) | In Exchange For (000) | Settlement Date | Unrealized Appreciation/ (Depreciation) | ||||||||||||||||||||
Barclays Bank PLC | JPY | 147,746 | USD | 1,298 | 3/18/16 | $ | (12,654 | ) | ||||||||||||||||
Barclays Bank PLC | USD | 1,200 | SEK | 10,115 | 3/18/16 | (18,150 | ) | |||||||||||||||||
BNP Paribas SA | EUR | 26,587 | USD | 28,891 | 3/18/16 | (44,755 | ) | |||||||||||||||||
BNP Paribas SA | JPY | 346,079 | USD | 2,962 | 3/18/16 | (108,944 | ) | |||||||||||||||||
BNP Paribas SA | USD | 7,852 | CAD | 10,598 | 3/18/16 | (19,360 | ) | |||||||||||||||||
Citibank | USD | 11,163 | EUR | 10,328 | 3/18/16 | 77,227 | ||||||||||||||||||
Citibank | USD | 3,199 | GBP | 2,195 | 3/18/16 | (144,169 | ) | |||||||||||||||||
Deutsche Bank AG | GBP | 10,566 | USD | 15,926 | 3/18/16 | 1,219,113 | ||||||||||||||||||
Deutsche Bank AG | USD | 1,384 | CHF | 1,360 | 3/18/16 | (21,283 | ) | |||||||||||||||||
Deutsche Bank AG | USD | 2,666 | EUR | 2,457 | 3/18/16 | 8,266 | ||||||||||||||||||
Deutsche Bank AG | USD | 1,956 | JPY | 239,548 | 3/18/16 | 169,881 | ||||||||||||||||||
Deutsche Bank AG | USD | 4,299 | SEK | 36,609 | 3/18/16 | (20,779 | ) | |||||||||||||||||
HSBC Bank USA | CAD | 10,773 | USD | 7,472 | 3/18/16 | (490,280 | ) |
AB POOLING PORTFOLIOS • | 65 |
AB International Growth Portfolio—Portfolio of Investments
Counterparty | Contracts to Deliver (000) | In Exchange For (000) | Settlement Date | Unrealized Appreciation/ (Depreciation) | ||||||||||||||||||||
JPMorgan Chase Bank | USD | 2,814 | CHF | 2,828 | 3/18/16 | $ | 19,898 | |||||||||||||||||
JPMorgan Chase Bank | USD | 4,574 | JPY | 553,199 | 3/18/16 | 334,788 | ||||||||||||||||||
Nomura Global Financial | USD | 3,574 | JPY | 417,969 | 3/18/16 | 134,267 | ||||||||||||||||||
Royal Bank of Scotland PLC | CAD | 1,603 | USD | 1,168 | 3/18/16 | (16,423 | ) | |||||||||||||||||
Royal Bank of Scotland PLC | CAD | 2,996 | USD | 2,189 | 6/17/16 | (25,705 | ) | |||||||||||||||||
Societe Generale | EUR | 2,018 | USD | 2,145 | 3/18/16 | (51,744 | ) | |||||||||||||||||
Societe Generale | GBP | 7,979 | USD | 11,256 | 3/18/16 | 149,413 | ||||||||||||||||||
State Street Bank & Trust Co. | CHF | 1,360 | USD | 1,364 | 3/18/16 | 1,088 | ||||||||||||||||||
State Street Bank & Trust Co. | HKD | 109,911 | USD | 14,189 | 3/18/16 | 56,667 | ||||||||||||||||||
State Street Bank & Trust Co. | USD | 720 | HKD | 5,619 | 3/18/16 | 2,128 | ||||||||||||||||||
State Street Bank & Trust Co. | USD | 15,860 | JPY | 1,950,653 | 3/18/16 | 1,447,724 | ||||||||||||||||||
State Street Bank & Trust Co. | USD | 1,166 | JPY | 131,116 | 6/17/16 | 721 | ||||||||||||||||||
UBS AG | USD | 4,465 | EUR | 4,040 | 3/18/16 | (68,285 | ) | |||||||||||||||||
UBS AG | EUR | 1,832 | USD | 2,000 | 6/17/16 | 395 | ||||||||||||||||||
|
| |||||||||||||||||||||||
$ | 2,579,045 | |||||||||||||||||||||||
|
|
(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. These securities are considered liquid and may be resold in transactions exempt from registration, normally to qualified institutional buyers. At February 29, 2016, the aggregate market value of these securities amounted to $9,509,419 or 3.8% of net assets. |
(d) | Investment in affiliated money market mutual fund. The rate shown represents the 7-day yield as of period end. |
(e) | To obtain a copy of the fund’s financial statements, please go to the Securities and Exchange Commission’s website at www.sec.gov, or call AB at (800) 227-4618. |
Currency Abbreviations:
CAD – Canadian Dollar
CHF – Swiss Franc
EUR – Euro
GBP – Great British Pound
HKD – Hong Kong Dollar
JPY – Japanese Yen
SEK – Swedish Krona
USD – United States Dollar
Glossary:
ADR – American Depositary Receipt
GDR – Global Depositary Receipt
PJSC – Public Joint Stock Company
REG – Registered Shares
See notes to financial statements.
66 | • AB POOLING PORTFOLIOS |
AB International Growth Portfolio—Portfolio of Investments
AB SHORT DURATION BOND PORTFOLIO
PORTFOLIO OF INVESTMENTS
February 29, 2016 (unaudited)
Principal Amount (000) | U.S. $ Value | |||||||||
| ||||||||||
GOVERNMENTS - TREASURIES – 34.9% |
| |||||||||
United States – 34.9% |
| |||||||||
U.S. Treasury Notes | U.S.$ | 107,680 | $ | 107,602,368 | ||||||
0.50%, 4/30/17 | 24,365 | 24,300,287 | ||||||||
0.625%, 5/31/17 | 33,394 | 33,344,443 | ||||||||
0.75%, 10/31/17-2/28/18 | 56,370 | 56,322,062 | ||||||||
1.375%, 6/30/18 | 63,207 | 64,014,343 | ||||||||
1.625%, 6/30/20 | 6,779 | 6,902,134 | ||||||||
|
| |||||||||
Total Governments - Treasuries | 292,485,637 | |||||||||
|
| |||||||||
ASSET-BACKED SECURITIES – 18.0% | ||||||||||
Autos - Fixed Rate – 9.8% | ||||||||||
Ally Auto Receivables Trust | ||||||||||
Series 2012-A, Class C | 2,415 | 2,422,553 | ||||||||
Series 2015-2, Class A3 | 2,235 | 2,242,539 | ||||||||
Ally Master Owner Trust | 3,398 | 3,392,956 | ||||||||
ARI Fleet Lease Trust | 407 | 406,887 | ||||||||
Avis Budget Rental Car Funding AESOP LLC | 1,730 | 1,719,610 | ||||||||
Series 2013-2A, Class A | 4,101 | 4,132,333 | ||||||||
Bank of The West Auto Trust | 3,297 | 3,288,692 | ||||||||
California Republic Auto Receivables Trust | 1,507 | 1,508,672 | ||||||||
CarMax Auto Owner Trust | 2,225 | 2,231,074 | ||||||||
Chrysler Capital Auto Receivables Trust | 2,200 | 2,211,914 | ||||||||
Drive Auto Receivables Trust | 125 | 124,517 | ||||||||
Series 2015-DA, Class A2A | 1,047 | 1,046,567 |
AB POOLING PORTFOLIOS • | 67 |
AB Short Duration Bond Portfolio—Portfolio of Investments
Principal Amount (000) | U.S. $ Value | |||||||||
| ||||||||||
Series 2016-AA, Class A2A | U.S.$ | 1,545 | $ | 1,544,775 | ||||||
Enterprise Fleet Financing LLC | 365 | 363,982 | ||||||||
Series 2014-2, Class A2 | 2,098 | 2,086,828 | ||||||||
Series 2015-1, Class A2 | 3,018 | 2,997,754 | ||||||||
Fifth Third Auto Trust | 2,965 | 2,969,285 | ||||||||
Ford Credit Auto Lease Trust | 1,753 | 1,753,501 | ||||||||
Ford Credit Auto Owner Trust | ||||||||||
Series 2013-A, Class D | 2,185 | 2,184,424 | ||||||||
Series 2014-2, Class A | 3,468 | 3,501,379 | ||||||||
GM Financial Automobile Leasing Trust | ||||||||||
Series 2015-1, Class A2 | 2,469 | 2,470,973 | ||||||||
Series 2015-2, Class A3 | 3,024 | 3,030,117 | ||||||||
GMF Floorplan Owner Revolving Trust | 1,367 | 1,363,817 | ||||||||
Harley-Davidson Motorcycle Trust | ||||||||||
Series 2014-1, Class A3 | 3,870 | 3,863,647 | ||||||||
Series 2015-1, Class A3 | 1,413 | 1,412,545 | ||||||||
Hertz Vehicle Financing II LP | 1,200 | 1,199,400 | ||||||||
Hertz Vehicle Financing LLC | 4,270 | 4,189,691 | ||||||||
Honda Auto Receivables Owner Trust | 2,342 | 2,339,462 | ||||||||
Hyundai Auto Lease Securitization Trust | ||||||||||
Series 2015-A, Class A2 | 1,762 | 1,761,732 | ||||||||
Series 2015-B, Class A3 | 1,487 | 1,489,610 | ||||||||
Hyundai Auto Receivables Trust | 1,077 | 1,076,837 |
68 | • AB POOLING PORTFOLIOS |
AB Short Duration Bond Portfolio—Portfolio of Investments
Principal Amount (000) | U.S. $ Value | |||||||||
| ||||||||||
Mercedes Benz Auto Lease Trust | U.S.$ | 1,674 | $ | 1,675,845 | ||||||
Nissan Auto Lease Trust | 2,825 | 2,825,802 | ||||||||
Santander Drive Auto Receivables Trust | 1,106 | 1,104,524 | ||||||||
Series 2015-4, Class A2A | 1,367 | 1,364,832 | ||||||||
TCF Auto Receivables Owner Trust | 1,557 | 1,551,280 | ||||||||
Volkswagen Auto Loan Enhanced Trust | 2,822 | 2,819,748 | ||||||||
Volkswagen Credit Auto Master Trust | 1,359 | 1,343,745 | ||||||||
Westlake Automobile Receivables Trust | 1,516 | 1,515,197 | ||||||||
World Omni Auto Receivables Trust | 1,489 | 1,488,142 | ||||||||
|
| |||||||||
82,017,188 | ||||||||||
|
| |||||||||
Credit Cards - Fixed Rate – 2.5% | ||||||||||
American Express Credit Account Master Trust | 1,948 | 1,952,792 | ||||||||
Barclays Dryrock Issuance Trust | ||||||||||
Series 2014-3, Class A | 2,074 | 2,124,212 | ||||||||
Series 2015-4, Class A | 1,689 | 1,699,078 | ||||||||
Capital One Multi-Asset Execution Trust | 2,091 | 2,104,595 | ||||||||
Discover Card Execution Note Trust | 2,841 | 2,852,433 | ||||||||
Synchrony Credit Card Master Note Trust | ||||||||||
Series 2012-2, Class A | 3,299 | 3,338,577 | ||||||||
Series 2015-3, Class A | 2,231 | 2,242,676 | ||||||||
World Financial Network Credit Card Master Trust | 1,540 | 1,545,572 |
AB POOLING PORTFOLIOS • | 69 |
AB Short Duration Bond Portfolio—Portfolio of Investments
Principal Amount (000) | U.S. $ Value | |||||||||
| ||||||||||
Series 2013-A, Class A | U.S.$ | 950 | $ | 952,580 | ||||||
Series 2015-B, Class A | 2,193 | 2,240,486 | ||||||||
|
| |||||||||
21,053,001 | ||||||||||
|
| |||||||||
Credit Cards - Floating Rate – 2.1% | ||||||||||
Cabela’s Credit Card Master Note Trust | ||||||||||
Series 2013-2A, Class A2 | 3,365 | 3,367,888 | ||||||||
Series 2014-1, Class A | 1,200 | 1,197,575 | ||||||||
Chase Issuance Trust | 4,632 | 4,626,497 | ||||||||
Discover Card Execution Note Trust | ||||||||||
Series 2014-A1, Class A1 | 1,905 | 1,901,718 | ||||||||
Series 2015-A1, Class A1 | 2,907 | 2,907,058 | ||||||||
First National Master Note Trust | 2,006 | 2,007,951 | ||||||||
World Financial Network Credit Card Master Trust | 1,853 | 1,846,382 | ||||||||
|
| |||||||||
17,855,069 | ||||||||||
|
| |||||||||
Autos - Floating Rate – 1.8% | ||||||||||
BMW Floorplan Master Owner Trust | 2,788 | 2,783,316 | ||||||||
Ford Credit Floorplan Master Owner Trust A | 2,635 | 2,629,196 | ||||||||
GE Dealer Floorplan Master Note Trust | ||||||||||
Series 2014-1, Class A | 1,462 | 1,460,493 | ||||||||
Series 2015-1, Class A | 2,788 | 2,760,474 | ||||||||
Hertz Fleet Lease Funding LP | ||||||||||
Series 2013-3, Class A | 1,316 | 1,316,699 | ||||||||
Series 2014-1, Class A | 2,024 | 2,025,227 | ||||||||
Navistar Financial Dealer Note Master Trust | 2,069 | 2,058,953 | ||||||||
|
| |||||||||
15,034,358 | ||||||||||
|
|
70 | • AB POOLING PORTFOLIOS |
AB Short Duration Bond Portfolio—Portfolio of Investments
Principal Amount (000) | U.S. $ Value | |||||||||
| ||||||||||
Other ABS - Fixed Rate – 1.7% | ||||||||||
Ascentium Equipment Receivables LLC | U.S.$ | 1,839 | $ | 1,835,046 | ||||||
CIT Equipment Collateral | 1,313 | 1,312,789 | ||||||||
CNH Equipment Trust | ||||||||||
Series 2013-D, Class A4 | 4,975 | 4,977,990 | ||||||||
Series 2014-B, Class A4 | 1,812 | 1,813,678 | ||||||||
Series 2015-A, Class A4 | 1,728 | 1,739,253 | ||||||||
Dell Equipment Finance Trust | ||||||||||
Series 2014-1, Class A3 | 1,498 | 1,496,943 | ||||||||
Series 2015-1, Class A3 | 981 | 977,162 | ||||||||
Macquarie Equipment Funding Trust | 284 | 284,067 | ||||||||
|
| |||||||||
14,436,928 | ||||||||||
|
| |||||||||
Home Equity Loans - Fixed Rate – 0.1% | ||||||||||
Credit-Based Asset Servicing and Securitization LLC | 482 | 485,867 | ||||||||
Nationstar NIM Ltd. | 35 | – 0 | – | |||||||
|
| |||||||||
485,867 | ||||||||||
|
| |||||||||
Total Asset-Backed Securities | 150,882,411 | |||||||||
|
| |||||||||
CORPORATES - INVESTMENT GRADE – 18.0% | ||||||||||
Financial Institutions – 12.8% | ||||||||||
Banking – 12.4% | ||||||||||
Abbey National Treasury Services PLC/London | 3,145 | 3,160,190 | ||||||||
ABN AMRO Bank NV | 4,092 | 4,129,123 | ||||||||
American Express Credit Corp. | 3,340 | 3,346,029 | ||||||||
1.80%, 7/31/18 | 2,310 | 2,300,340 | ||||||||
Bank of America NA | 2,340 | 2,330,399 | ||||||||
Bank of New York Mellon Corp. (The) | 3,330 | 3,330,017 |
AB POOLING PORTFOLIOS • | 71 |
AB Short Duration Bond Portfolio—Portfolio of Investments
Principal Amount (000) | U.S. $ Value | |||||||||
| ||||||||||
Barclays PLC | U.S.$ | 2,320 | $ | 2,281,720 | ||||||
BNP Paribas SA | 6,725 | 6,730,807 | ||||||||
Capital One Bank USA NA | 3,355 | 3,348,998 | ||||||||
Citigroup, Inc. | 2,327 | 2,313,306 | ||||||||
1.325%, 11/24/17(b) | 2,374 | 2,354,111 | ||||||||
Credit Agricole SA/London | 3,750 | 3,825,142 | ||||||||
Credit Suisse AG/New York NY | 3,267 | 3,244,350 | ||||||||
Danske Bank A/S | 1,612 | 1,618,184 | ||||||||
Goldman Sachs Group, Inc. (The) | 2,308 | 2,284,191 | ||||||||
2.75%, 9/15/20 | 2,211 | 2,206,089 | ||||||||
HSBC USA, Inc. | 2,336 | 2,318,636 | ||||||||
Huntington National Bank (The) | 3,355 | 3,353,769 | ||||||||
ING Bank NV | 3,310 | 3,310,311 | ||||||||
JPMorgan Chase & Co. | 2,340 | 2,315,037 | ||||||||
KeyBank NA/Cleveland OH | 3,690 | 3,679,096 | ||||||||
Lloyds Bank PLC | 4,203 | 4,183,317 | ||||||||
Mizuho Bank Ltd. | 4,785 | 4,764,630 | ||||||||
Morgan Stanley | 2,378 | 2,373,793 | ||||||||
5.95%, 12/28/17 | 2,782 | 2,970,486 | ||||||||
PNC Funding Corp. | 3,130 | 3,155,334 | ||||||||
Royal Bank of Canada | 3,335 | 3,335,193 | ||||||||
Societe Generale SA | 3,493 | 3,544,386 | ||||||||
SunTrust Bank/Atlanta GA | 3,330 | 3,318,055 | ||||||||
UBS AG/Stamford CT | 3,747 | 3,750,799 |
72 | • AB POOLING PORTFOLIOS |
AB Short Duration Bond Portfolio—Portfolio of Investments
Principal Amount (000) | U.S. $ Value | |||||||||
| ||||||||||
US Bank NA/Cincinnati OH | U.S.$ | 1,851 | $ | 1,823,594 | ||||||
1.45%, 1/29/18 | 3,000 | 3,003,282 | ||||||||
Wells Fargo & Co. | 3,907 | 3,937,205 | ||||||||
|
| |||||||||
103,939,919 | ||||||||||
|
| |||||||||
Insurance – 0.4% | ||||||||||
MetLife, Inc. | 3,400 | 3,401,173 | ||||||||
|
| |||||||||
107,341,092 | ||||||||||
|
| |||||||||
Industrial – 5.2% | ||||||||||
Basic – 0.4% | ||||||||||
Monsanto Co. | 3,355 | 3,342,258 | ||||||||
|
| |||||||||
Communications - Media – 0.4% | ||||||||||
NBCUniversal Enterprise, Inc. | 3,795 | 3,796,522 | ||||||||
|
| |||||||||
Communications - Telecommunications – 0.3% | ||||||||||
America Movil SAB de CV | 2,031 | 2,223,324 | ||||||||
|
| |||||||||
Consumer Cyclical - Automotive – 1.4% | ||||||||||
Daimler Finance North America LLC | 2,236 | 2,213,897 | ||||||||
Ford Motor Credit Co. LLC | 2,806 | 2,786,972 | ||||||||
Harley-Davidson Financial Services, Inc. | 3,440 | 3,463,860 | ||||||||
Volkswagen International Finance NV | 3,350 | 3,326,751 | ||||||||
|
| |||||||||
11,791,480 | ||||||||||
|
| |||||||||
Consumer Cyclical - Retailers – 0.3% | ||||||||||
Wal-Mart Stores, Inc. | 2,375 | 2,375,361 | ||||||||
|
| |||||||||
Consumer Non-Cyclical – 0.8% | ||||||||||
AbbVie, Inc. | 3,280 | 3,277,416 | ||||||||
Gilead Sciences, Inc. | 3,085 | 3,130,772 | ||||||||
|
| |||||||||
6,408,188 | ||||||||||
|
| |||||||||
Energy – 0.5% | ||||||||||
Schlumberger Holdings Corp. | 4,360 | 4,308,238 | ||||||||
|
| |||||||||
Services – 0.4% | ||||||||||
Visa, Inc. | 3,500 | 3,562,877 | ||||||||
|
|
AB POOLING PORTFOLIOS • | 73 |
AB Short Duration Bond Portfolio—Portfolio of Investments
Principal Amount (000) | U.S. $ Value | |||||||||
| ||||||||||
Technology – 0.7% | ||||||||||
Cisco Systems, Inc. | U.S.$ | 3,360 | $ | 3,363,007 | ||||||
QUALCOMM, Inc. | 2,355 | 2,348,995 | ||||||||
|
| |||||||||
5,712,002 | ||||||||||
|
| |||||||||
43,520,250 | ||||||||||
|
| |||||||||
Total Corporates - Investment Grade | 150,861,342 | |||||||||
|
| |||||||||
COMMERCIAL MORTGAGE-BACKED SECURITIES – 10.7% | ||||||||||
Non-Agency Fixed Rate CMBS – 9.9% | ||||||||||
Banc of America Commercial Mortgage Trust | 3,935 | 4,088,967 | ||||||||
Citigroup Commercial Mortgage Trust | ||||||||||
Series 2006-C4, Class A1A | 127 | 126,729 | ||||||||
Series 2015-GC29, Class A2 | 2,900 | 2,964,595 | ||||||||
Commercial Mortgage Pass Through Certificates | ||||||||||
Series 2006-C8, Class A1A | 2,892 | 2,933,659 | ||||||||
Series 2012-CR4, Class A1 | 1,036 | 1,031,743 | ||||||||
Series 2013-CR6, Class A1 | 2,104 | 2,078,907 | ||||||||
Series 2013-LC6, Class A1 | 1,002 | 993,350 | ||||||||
Series 2014-CR16, Class A2 | 3,374 | 3,483,207 | ||||||||
Series 2014-CR19, Class A2 | 4,220 | 4,355,218 | ||||||||
Series 2015-DC1, Class A2 | 3,205 | 3,295,389 | ||||||||
Series 2015-LC21, Class A2 | 2,430 | 2,517,042 | ||||||||
Commercial Mortgage Trust | 5,653 | 381,812 | ||||||||
Credit Suisse Commercial Mortgage Trust | 1,873 | 1,940,561 | ||||||||
DBUBS Mortgage Trust | 3,829 | 3,835,319 |
74 | • AB POOLING PORTFOLIOS |
AB Short Duration Bond Portfolio—Portfolio of Investments
Principal Amount (000) | U.S. $ Value | |||||||||
| ||||||||||
GS Mortgage Securities Corp. II | U.S.$ | 2,965 | $ | 3,039,834 | ||||||
GS Mortgage Securities Trust | 1,417 | 1,455,905 | ||||||||
Series 2013-GC14, Class A1 | 1,083 | 1,078,813 | ||||||||
JP Morgan Chase Commercial Mortgage Securities Corp. | 120 | 119,912 | ||||||||
JP Morgan Chase Commercial Mortgage Securities Trust | 655 | 652,452 | ||||||||
Series 2007-LDPX, Class A1A | 4,732 | 4,845,610 | ||||||||
Series 2010-C1, Class A1 | 90 | 89,675 | ||||||||
Series 2013-C10, Class A1 | 957 | 950,294 | ||||||||
Series 2013-C16, Class A2 | 3,574 | 3,674,164 | ||||||||
JPMBB Commercial Mortgage Securities Trust | 3,675 | 3,770,375 | ||||||||
Series 2015-C28, Class A2 | 3,659 | 3,761,453 | ||||||||
Series 2015-C29, Class A2 | 1,800 | 1,868,623 | ||||||||
LSTAR Commercial Mortgage Trust | 1,388 | 1,384,077 | ||||||||
Merrill Lynch Mortgage Trust | 1,457 | 1,467,528 | ||||||||
ML-CFC Commercial Mortgage Trust | 2,445 | 2,475,161 | ||||||||
Morgan Stanley Bank of America Merrill Lynch Trust | 2,876 | 2,999,747 | ||||||||
Series 2015-C23, Class A2 | 2,960 | 3,060,443 | ||||||||
UBS-Barclays Commercial Mortgage Trust | 1,227 | 1,216,543 |
AB POOLING PORTFOLIOS • | 75 |
AB Short Duration Bond Portfolio—Portfolio of Investments
Principal Amount (000) | U.S. $ Value | |||||||||
| ||||||||||
Series 2013-C5, Class A1 | U.S.$ | 2,062 | $ | 2,040,523 | ||||||
Wachovia Bank Commercial Mortgage Trust | 793 | 794,259 | ||||||||
Wells Fargo Commercial Mortgage Trust | ||||||||||
Series 2012-LC5, Class A1 | 1,480 | 1,472,283 | ||||||||
Series 2015-NXS1, Class A2 | 1,633 | 1,669,539 | ||||||||
WF-RBS Commercial Mortgage Trust | ||||||||||
Series 2012-C10, Class XA | 4,820 | 391,153 | ||||||||
Series 2012-C6, Class XA | 3,279 | 279,493 | ||||||||
Series 2012-C9, Class A1 | 1,645 | 1,634,683 | ||||||||
Series 2013-C12, Class A1 | 452 | 451,247 | ||||||||
Series 2014-C24, Class A2 | 2,150 | 2,213,817 | ||||||||
|
| |||||||||
82,884,104 | ||||||||||
|
| |||||||||
Non-Agency Floating Rate CMBS – 0.8% | ||||||||||
Carefree Portfolio Trust | 1,340 | 1,331,027 | ||||||||
JP Morgan Chase Commercial Mortgage Securities Trust | 3,239 | 3,189,970 | ||||||||
PFP III Ltd. | 176 | 175,732 | ||||||||
Resource Capital Corp., Ltd. | 725 | 706,338 | ||||||||
Starwood Retail Property Trust | 1,625 | 1,607,860 | ||||||||
|
| |||||||||
7,010,927 | ||||||||||
|
| |||||||||
Total Commercial Mortgage-Backed Securities | 89,895,031 | |||||||||
|
| |||||||||
COLLATERALIZED MORTGAGE OBLIGATIONS – 6.2% | ||||||||||
Agency Floating Rate – 2.5% | ||||||||||
Federal Home Loan Mortgage Corp. REMICs | 2,610 | 2,593,483 |
76 | • AB POOLING PORTFOLIOS |
AB Short Duration Bond Portfolio—Portfolio of Investments
Principal Amount (000) | U.S. $ Value | |||||||||
| ||||||||||
Series 4286, Class VF | U.S.$ | 3,039 | $ | 3,001,580 | ||||||
Federal National Mortgage Association REMICs | 2,902 | 2,862,316 | ||||||||
Series 2014-49, Class AF | 5,524 | 5,453,629 | ||||||||
NCUA Guaranteed Notes Trust | 7,380 | 7,390,697 | ||||||||
|
| |||||||||
21,301,705 | ||||||||||
|
| |||||||||
Agency Fixed Rate – 2.0% | ||||||||||
Federal Home Loan Mortgage Corp. REMICs | 3,302 | 3,394,839 | ||||||||
Series 4461, Class EA | 2,370 | 2,387,092 | ||||||||
Federal National Mortgage Association REMICs | 1,075 | 1,104,898 | ||||||||
Series 2011-39, Class DA | 547 | 550,260 | ||||||||
Series 2014-54, Class LA | 2,885 | 2,918,182 | ||||||||
Series 2015-72, Class PC | 5,797 | 5,939,961 | ||||||||
|
| |||||||||
16,295,232 | ||||||||||
|
| |||||||||
GSE Risk Share Floating Rate – 1.3% | ||||||||||
Federal Home Loan Mortgage Corp. Structured Agency Credit Risk Debt Notes | 1,079 | 1,078,281 | ||||||||
Series 2014-HQ1, Class M1 | 1,349 | 1,351,900 | ||||||||
Series 2014-HQ2, Class M1 | 997 | 999,244 | ||||||||
Series 2014-HQ3, Class M1 | 750 | 750,826 | ||||||||
Series 2015-DNA3, Class M1 | 1,590 | 1,592,533 | ||||||||
Federal National Mortgage Association Connecticut Avenue Securities | 2,412 | 2,381,861 | ||||||||
Series 2014-C04, Class 2M1 | 1,341 | 1,343,710 |
AB POOLING PORTFOLIOS • | 77 |
AB Short Duration Bond Portfolio—Portfolio of Investments
Principal Amount (000) | U.S. $ Value | |||||||||
| ||||||||||
Series 2015-C01, Class 1M1 | U.S.$ | 681 | $ | 681,324 | ||||||
Series 2015-C03, Class 1M1 | 861 | 859,834 | ||||||||
|
| |||||||||
11,039,513 | ||||||||||
|
| |||||||||
Non-Agency Floating Rate – 0.4% | ||||||||||
JP Morgan Chase Commercial Mortgage Securities Trust | 1,340 | 1,328,797 | ||||||||
Mortgage Equity Conversion Asset Trust | 2,280 | 1,942,958 | ||||||||
|
| |||||||||
3,271,755 | ||||||||||
|
| |||||||||
Total Collateralized Mortgage Obligations | 51,908,205 | |||||||||
|
| |||||||||
MORTGAGE PASS-THROUGHS – 1.7% | ||||||||||
Agency ARMs – 0.1% | ||||||||||
Federal National Mortgage Association | 800 | 825,287 | ||||||||
|
| |||||||||
Agency Fixed Rate 15-Year – 0.3% | ||||||||||
Federal Home Loan Mortgage Corp. Gold | 975 | 1,053,742 | ||||||||
Federal National Mortgage Association | ||||||||||
Series 2006 | 640 | 694,337 | ||||||||
Series 2007 | 200 | 217,565 | ||||||||
Series 2001 | 3 | 3,190 | ||||||||
Series 2005 | 16 | 16,967 | ||||||||
Series 2002 | 10 | 10,516 | ||||||||
|
| |||||||||
1,996,317 | ||||||||||
|
| |||||||||
Agency Fixed Rate 30-Year – 1.3% | ||||||||||
Federal National Mortgage Association | 6,485 | 7,329,497 | ||||||||
Government National Mortgage Association | 3,143 | 3,531,193 | ||||||||
|
| |||||||||
10,860,690 | ||||||||||
|
| |||||||||
Total Mortgage Pass-Throughs | 13,682,294 | |||||||||
|
| |||||||||
78 | • AB POOLING PORTFOLIOS |
AB Short Duration Bond Portfolio—Portfolio of Investments
Principal Amount (000) | U.S. $ Value | |||||||||
| ||||||||||
AGENCIES – 1.1% | ||||||||||
Agency Callables – 1.1% | ||||||||||
Federal Home Loan Mortgage Corp. | U.S.$ | 9,427 | $ | 9,407,546 | ||||||
|
| |||||||||
INFLATION-LINKED SECURITIES – 1.1% |
| |||||||||
United States – 1.1% | ||||||||||
U.S. Treasury Inflation Index | 9,205 | 9,305,884 | ||||||||
|
| |||||||||
COVERED BONDS – 0.4% |
| |||||||||
DNB Boligkreditt AS 1.45%, 3/21/18(a) | 3,335 | 3,329,967 | ||||||||
|
| |||||||||
Shares | ||||||||||
SHORT-TERM INVESTMENTS – 5.0% |
| |||||||||
Investment Companies – 5.0% | ||||||||||
AB Fixed Income Shares, Inc.— | 41,909,621 | 41,909,621 | ||||||||
|
| |||||||||
Total Investments – 97.1% | 813,667,938 | |||||||||
Other assets less liabilities – 2.9% | 24,370,912 | |||||||||
|
| |||||||||
Net Assets – 100.0% | $ | 838,038,850 | ||||||||
|
|
FUTURES (see Note C)
Type | Number of Contracts | Expiration Month | Original Value | Value at February 29, 2016 | Unrealized Appreciation/ (Depreciation) | |||||||||||||||
Purchased Contracts |
| |||||||||||||||||||
U.S. T-Note 2 Yr (CBT) Futures | 1,459 | June 2016 | $ | 319,258,275 | $ | 318,859,892 | $ | (398,383 | ) | |||||||||||
Sold Contracts |
| |||||||||||||||||||
U.S. T-Note 5 Yr (CBT) Futures | 34 | June 2016 | 4,115,569 | 4,113,469 | 2,100 | |||||||||||||||
U.S. T-Note 10 Yr (CBT) Futures | 83 | June 2016 | 10,824,358 | 10,832,797 | (8,439 | ) | ||||||||||||||
|
| |||||||||||||||||||
$ | (404,722 | ) | ||||||||||||||||||
|
|
FORWARD CURRENCY EXCHANGE CONTRACTS (see Note C)
Counterparty | Contracts to Deliver (000) | In Exchange For (000) | Settlement Date | Unrealized Appreciation/ (Depreciation) | ||||||||||||||||||||
Royal Bank of Scotland PLC | JPY | 5,380,000 | USD | 45,017 | 3/25/16 | $ | (2,732,979 | ) |
AB POOLING PORTFOLIOS • | 79 |
AB Short Duration Bond Portfolio—Portfolio of Investments
CENTRALLY CLEARED INTEREST RATE SWAPS (see Note C)
Rate Type | ||||||||||||||||||||||||
Clearing Broker/ (Exchange) | Notional Amount (000) | Termination Date | Payments made by the Fund | Payments received by the Fund | Unrealized Appreciation/ (Depreciation) | |||||||||||||||||||
Morgan Stanley & Co., LLC/(CME Group) | NZD | 11,260 | 4/29/17 | 3 Month BKBM | 4.274 | % | $ | 244,921 |
(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, 2016, the aggregate market value of these securities amounted to $108,886,510 or 13.0% of net assets. |
(b) | Floating Rate Security. Stated interest rate was in effect at February 29, 2016. |
(c) | Fair valued by the Adviser. |
(d) | Security is exempt from registration under Rule 144A of the Securities Act of 1933. This security, which represents 0.00% of net assets as of February 29, 2016, is considered illiquid and restricted. |
Restricted Securities | Acquisition Date | Cost | Market Value | Percentage of Net Assets | ||||||||||||
Nationstar NIM Ltd. Series 2007-A, | 4/04/07 | $ | 35,213 | $ | – 0 | – | 0.00 | % |
(e) | IO – Interest Only |
(f) | To obtain a copy of the fund’s financial statements, please go to the Securities and Exchange Commission’s website at www.sec.gov, or call AB at (800) 227-4618. |
(g) | Investment in affiliated money market mutual fund. The rate shown represents the 7-day yield as of period end. |
Currency | Abbreviations: |
JPY | – Japanese Yen |
NZD | – New Zealand Dollar |
USD | – United States Dollar |
Glossary: |
ABS | – Asset-Backed Securities |
ARMs | – Adjustable Rate Mortgages |
BKBM | – Bank Bill Benchmark (New Zealand) |
CBT | – Chicago Board of Trade |
CMBS | – Commercial Mortgage-Backed Securities |
CME | – Chicago Mercantile Exchange |
GSE | – Government-Sponsored Enterprise |
NCUA | – National Credit Union Administration |
REMICs | – Real Estate Mortgage Investment Conduits |
TIPS | – Treasury Inflation Protected Security |
See notes to financial statements.
80 | • AB POOLING PORTFOLIOS |
AB Short Duration Bond Portfolio—Portfolio of Investments
AB GLOBAL CORE BOND PORTFOLIO
PORTFOLIO OF INVESTMENTS
February 29, 2016 (unaudited)
Principal Amount (000) | U.S. $ Value | |||||||||
| ||||||||||
GOVERNMENTS - TREASURIES – 47.5% | ||||||||||
Australia – 5.5% | ||||||||||
Australia Government Bond | AUD | 29,815 | $ | 25,251,386 | ||||||
Series 142 | 18,130 | 15,077,115 | ||||||||
Series 144 | 4,220 | 3,358,603 | ||||||||
|
| |||||||||
43,687,104 | ||||||||||
|
| |||||||||
Belgium – 1.0% | ||||||||||
Belgium Government Bond | EUR | 3,605 | 6,089,068 | |||||||
Series 75 | 1,755 | 1,895,139 | ||||||||
|
| |||||||||
7,984,207 | ||||||||||
|
| |||||||||
Denmark – 0.5% | ||||||||||
Denmark Government Bond | DKK | 21,530 | 3,693,212 | |||||||
|
| |||||||||
France – 1.6% | ||||||||||
France Government Bond OAT | EUR | 6,633 | 7,292,343 | |||||||
2.50%, 5/25/30(a) | 1,818 | 2,394,444 | ||||||||
3.25%, 5/25/45(a) | 1,225 | 1,893,289 | ||||||||
4.50%, 4/25/41(a) | 680 | 1,235,555 | ||||||||
|
| |||||||||
12,815,631 | ||||||||||
|
| |||||||||
Germany – 2.9% | ||||||||||
Bundesrepublik Deutschland | 9,776 | 11,124,454 | ||||||||
Series 00 | 2,475 | 4,651,331 | ||||||||
6.25%, 1/04/30(a) | 3,545 | 6,947,331 | ||||||||
Series 03 | 325 | 609,994 | ||||||||
|
| |||||||||
23,333,110 | ||||||||||
|
| |||||||||
Ireland – 1.5% | ||||||||||
Ireland Government Bond | 2,931 | 3,641,966 | ||||||||
3.40%, 3/18/24(a) | 3,820 | 5,055,274 | ||||||||
5.40%, 3/13/25 | 2,209 | 3,362,715 | ||||||||
|
| |||||||||
12,059,955 | ||||||||||
|
|
AB POOLING PORTFOLIOS • | 81 |
AB Global Core Bond Portfolio—Portfolio of Investments
Principal Amount (000) | U.S. $ Value | |||||||||
| ||||||||||
Italy – 4.7% | ||||||||||
Italy Buoni Poliennali Del Tesoro | EUR | 14,038 | $ | 15,825,560 | ||||||
3.75%, 3/01/21-5/01/21 | 5,702 | 7,220,290 | ||||||||
4.25%, 9/01/19 | 2,245 | 2,788,932 | ||||||||
4.50%, 5/01/23 | 1,905 | 2,579,788 | ||||||||
5.50%, 11/01/22 | 6,000 | 8,474,529 | ||||||||
|
| |||||||||
36,889,099 | ||||||||||
|
| |||||||||
Japan – 6.7% | ||||||||||
Japan Government Thirty Year Bond | JPY | 250,050 | 2,832,968 | |||||||
Series 44 | 179,500 | 1,923,725 | ||||||||
Series 49 | 490,250 | 4,905,152 | ||||||||
Japan Government Twenty Year Bond | 1,784,200 | 19,939,272 | ||||||||
Series 143 | 935,050 | 10,004,384 | ||||||||
Series 150 | 1,271,050 | 13,127,138 | ||||||||
|
| |||||||||
52,732,639 | ||||||||||
|
| |||||||||
Mexico – 2.7% | ||||||||||
Mexican Bonos | MXN | 59,645 | 3,429,354 | |||||||
7.75%, 11/13/42 | 60,655 | 3,709,212 | ||||||||
Series M 20 | 203,825 | 14,345,458 | ||||||||
|
| |||||||||
21,484,024 | ||||||||||
|
| |||||||||
Netherlands – 0.3% | ||||||||||
Netherlands Government Bond | EUR | 2,519 | 2,740,221 | |||||||
|
| |||||||||
Poland – 1.0% | ||||||||||
Poland Government Bond | PLN | 29,353 | 7,644,198 | |||||||
|
| |||||||||
Singapore – 0.1% | ||||||||||
Singapore Government Bond | SGD | 876 | 677,754 | |||||||
|
|
82 | • AB POOLING PORTFOLIOS |
AB Global Core Bond Portfolio—Portfolio of Investments
Principal Amount (000) | U.S. $ Value | |||||||||
| ||||||||||
South Africa – 0.1% | ||||||||||
South Africa Government Bond | ZAR | 21,030 | $ | 1,035,563 | ||||||
|
| |||||||||
Spain – 1.5% | ||||||||||
Spain Government Bond | EUR | 1,305 | 1,406,016 | |||||||
4.20%, 1/31/37(a) | 2,715 | 3,801,403 | ||||||||
4.70%, 7/30/41(a) | 4,246 | 6,437,828 | ||||||||
|
| |||||||||
11,645,247 | ||||||||||
|
| |||||||||
Sweden – 0.4% | ||||||||||
Sweden Government Bond | SEK | 24,950 | 3,525,612 | |||||||
|
| |||||||||
United Kingdom – 7.4% | ||||||||||
United Kingdom Gilt | GBP | 8,210 | 12,013,576 | |||||||
2.00%, 9/07/25(a) | 7,330 | 10,805,483 | ||||||||
3.50%, 7/22/68(a) | 440 | 872,119 | ||||||||
4.25%, 12/07/40(a) | 1,005 | 1,931,074 | ||||||||
4.50%, 12/07/42(a) | 5,671 | 11,433,963 | ||||||||
4.75%, 12/07/30(a) | 5,269 | 10,156,466 | ||||||||
5.00%, 3/07/25(a) | 6,165 | 11,346,843 | ||||||||
|
| |||||||||
58,559,524 | ||||||||||
|
| |||||||||
United States – 9.6% | ||||||||||
U.S. Treasury Bonds | U.S.$ | 7,155 | 7,729,919 | |||||||
3.625%, 8/15/43 | 1,565 | 1,909,239 | ||||||||
4.625%, 2/15/40 | 9,898 | 13,845,040 | ||||||||
5.375%, 2/15/31 | 5,280 | 7,564,424 | ||||||||
6.25%, 5/15/30 | 2,080 | 3,172,000 | ||||||||
U.S. Treasury Notes | 1,825 | 1,832,271 | ||||||||
1.25%, 1/31/20 | 7,000 | 7,033,635 | ||||||||
1.375%, 4/30/20-9/30/20 | 9,960 | 10,039,097 | ||||||||
1.50%, 2/28/19 | 15 | 14,845 | ||||||||
1.625%, 8/15/22 | 2,852 | 2,882,414 | ||||||||
2.00%, 2/15/25 | 4,820 | 4,931,650 | ||||||||
2.125%, 6/30/21 | 875 | 910,615 | ||||||||
2.25%, 11/15/25 | 7,665 | 8,006,330 | ||||||||
2.75%, 2/15/24 | 6,045 | 6,560,953 | ||||||||
|
| |||||||||
76,432,432 | ||||||||||
|
| |||||||||
Total Governments - Treasuries | 376,939,532 | |||||||||
|
| |||||||||
AB POOLING PORTFOLIOS • | 83 |
AB Global Core Bond Portfolio—Portfolio of Investments
Principal Amount (000) | U.S. $ Value | |||||||||
| ||||||||||
CORPORATES - INVESTMENT | ||||||||||
Industrial – 13.3% | ||||||||||
Basic – 0.7% | ||||||||||
Glencore Funding LLC | U.S.$ | 1,257 | $ | 1,150,940 | ||||||
4.00%, 4/16/25(a) | 1,065 | 766,800 | ||||||||
4.125%, 5/30/23(a) | 561 | 427,896 | ||||||||
International Paper Co. | 97 | 84,989 | ||||||||
Minsur SA | 714 | 601,119 | ||||||||
Mosaic Co. (The) | 714 | 664,609 | ||||||||
Rio Tinto Finance USA Ltd. | 2,309 | 2,205,347 | ||||||||
|
| |||||||||
5,901,700 | ||||||||||
|
| |||||||||
Capital Goods – 0.2% | ||||||||||
Yamana Gold, Inc. | 2,097 | 1,624,944 | ||||||||
|
| |||||||||
Communications - Media – 2.0% | ||||||||||
21st Century Fox America, Inc. | 268 | 302,128 | ||||||||
CBS Corp. | 2,110 | 2,046,094 | ||||||||
CCO Safari II LLC | 980 | 981,951 | ||||||||
4.908%, 7/23/25(a) | 980 | 1,005,383 | ||||||||
Cox Communications, Inc. | 666 | 605,343 | ||||||||
Discovery Communications LLC | 1,001 | 900,681 | ||||||||
McGraw Hill Financial, Inc. | 1,677 | 1,760,929 | ||||||||
Myriad International Holdings BV | 1,582 | 1,693,417 | ||||||||
RELX Capital, Inc. | 2,109 | 2,460,711 | ||||||||
Time Warner, Inc. | 1,386 | 1,364,130 | ||||||||
3.60%, 7/15/25 | 990 | 973,092 | ||||||||
7.625%, 4/15/31 | 380 | 461,290 | ||||||||
Viacom, Inc. | 1,511 | 1,414,346 | ||||||||
|
| |||||||||
15,969,495 | ||||||||||
|
|
84 | • AB POOLING PORTFOLIOS |
AB Global Core Bond Portfolio—Portfolio of Investments
Principal Amount (000) | U.S. $ Value | |||||||||
| ||||||||||
Communications - | ||||||||||
America Movil SAB de CV | U.S.$ | 1,330 | $ | 1,332,150 | ||||||
American Tower Corp. | 2,750 | 2,950,885 | ||||||||
AT&T, Inc. | 2,235 | 2,195,465 | ||||||||
Bell Canada | CAD | 924 | 707,813 | |||||||
3.35%, 6/18/19 | 460 | 353,255 | ||||||||
4.70%, 9/11/23 | 625 | 511,909 | ||||||||
British Telecommunications PLC | U.S.$ | 534 | 764,542 | |||||||
DIRECTV Holdings LLC/DIRECTV Financing Co., Inc. | 1,517 | 1,541,914 | ||||||||
4.45%, 4/01/24 | 1,065 | 1,120,269 | ||||||||
Rogers Communications, Inc. | CAD | 1,100 | 866,268 | |||||||
Verizon Communications, Inc. | U.S.$ | 2,358 | 2,875,041 | |||||||
|
| |||||||||
15,219,511 | ||||||||||
|
| |||||||||
Consumer Cyclical - Automotive – 0.5% | ||||||||||
Ford Motor Credit Co. LLC | 2,126 | 2,091,240 | ||||||||
General Motors Financial Co., Inc. | 1,825 | 1,805,500 | ||||||||
3.25%, 5/15/18 | 133 | 132,653 | ||||||||
|
| |||||||||
4,029,393 | ||||||||||
|
| |||||||||
Consumer Cyclical - Restaurants – 0.1% | ||||||||||
McDonald’s Corp. | 915 | 926,573 | ||||||||
|
| |||||||||
Consumer Cyclical - Retailers – 0.3% | ||||||||||
Kohl’s Corp. | 1,401 | 1,346,472 | ||||||||
Walgreens Boots Alliance, Inc. | 1,088 | 1,096,620 | ||||||||
|
| |||||||||
2,443,092 | ||||||||||
|
| |||||||||
Consumer Non-Cyclical – 2.9% | ||||||||||
AbbVie, Inc. | 719 | 719,823 | ||||||||
3.60%, 5/14/25 | 1,942 | 1,982,615 | ||||||||
Actavis Funding SCS | 1,469 | 1,493,020 | ||||||||
3.80%, 3/15/25 | 1,305 | 1,343,424 | ||||||||
3.85%, 6/15/24 | 697 | 719,312 |
AB POOLING PORTFOLIOS • | 85 |
AB Global Core Bond Portfolio—Portfolio of Investments
Principal Amount (000) | U.S. $ Value | |||||||||
| ||||||||||
Agilent Technologies, Inc. | U.S.$ | 505 | $ | 552,352 | ||||||
Ahold Finance USA LLC | 3,078 | 3,789,110 | ||||||||
Baxalta, Inc. | 980 | 938,003 | ||||||||
Becton Dickinson and Co. | 791 | 807,552 | ||||||||
3.734%, 12/15/24 | 552 | 570,111 | ||||||||
Celgene Corp. | 965 | 994,707 | ||||||||
Gilead Sciences, Inc. | 1,845 | 1,931,416 | ||||||||
Kraft Heinz Foods Co. | 1,465 | 1,482,057 | ||||||||
3.50%, 7/15/22(a) | 1,245 | 1,282,087 | ||||||||
Perrigo Co. PLC | 275 | 273,392 | ||||||||
Perrigo Finance Unlimited Co. | 262 | 259,617 | ||||||||
Reynolds American, Inc. | 1,955 | 2,122,876 | ||||||||
5.85%, 8/15/45 | 788 | 924,780 | ||||||||
Tyson Foods, Inc. | 493 | 499,619 | ||||||||
|
| |||||||||
22,685,873 | ||||||||||
|
| |||||||||
Energy – 2.6% | ||||||||||
Anadarko Petroleum Corp. | 735 | 738,634 | ||||||||
ConocoPhillips | 796 | 828,093 | ||||||||
Devon Energy Corp. | 1,460 | 959,859 | ||||||||
Energy Transfer Partners LP | 972 | 969,994 | ||||||||
7.50%, 7/01/38 | 1,054 | 940,074 | ||||||||
EnLink Midstream Partners LP | 2,460 | 1,698,332 | ||||||||
Enterprise Products Operating LLC | 990 | 872,595 | ||||||||
Halliburton Co. | 900 | 886,657 | ||||||||
5.00%, 11/15/45 | 900 | 800,019 | ||||||||
Kinder Morgan Energy Partners LP | 183 | 171,149 | ||||||||
3.95%, 9/01/22 | 495 | 447,467 |
86 | • AB POOLING PORTFOLIOS |
AB Global Core Bond Portfolio—Portfolio of Investments
Principal Amount (000) | U.S. $ Value | |||||||||
| ||||||||||
Kinder Morgan, Inc./DE | EUR | 951 | $ | 832,664 | ||||||
5.00%, 2/15/21(a) | U.S.$ | 829 | 768,337 | |||||||
Noble Energy, Inc. | 2,058 | 2,107,742 | ||||||||
ONEOK Partners LP | 700 | 635,312 | ||||||||
Plains All American Pipeline LP/PAA Finance Corp. | 1,727 | 1,327,673 | ||||||||
Reliance Holding USA, Inc. | 554 | 604,903 | ||||||||
Schlumberger Holdings Corp. | 2,065 | 2,040,484 | ||||||||
Williams Partners LP | 943 | 702,387 | ||||||||
4.125%, 11/15/20 | 2,295 | 1,883,399 | ||||||||
4.50%, 11/15/23 | 425 | 326,186 | ||||||||
|
| |||||||||
20,541,960 | ||||||||||
|
| |||||||||
Technology – 1.3% | ||||||||||
Hewlett Packard Enterprise Co. | 1,830 | 1,736,751 | ||||||||
HP, Inc. | 211 | 216,076 | ||||||||
4.375%, 9/15/21 | 181 | 182,610 | ||||||||
4.65%, 12/09/21 | 460 | 469,294 | ||||||||
KLA-Tencor Corp. | 1,582 | 1,555,570 | ||||||||
Motorola Solutions, Inc. | 835 | 719,348 | ||||||||
7.50%, 5/15/25 | 277 | 304,559 | ||||||||
QUALCOMM, Inc. | 2,455 | 2,488,567 | ||||||||
Seagate HDD Cayman | 1,234 | 945,492 | ||||||||
Tencent Holdings Ltd. | 1,483 | 1,522,040 | ||||||||
|
| |||||||||
10,140,307 | ||||||||||
|
| |||||||||
Transportation - Airlines – 0.2% | ||||||||||
Southwest Airlines Co. | 1,115 | 1,151,116 | ||||||||
|
| |||||||||
Transportation - Services – 0.6% | ||||||||||
Asciano Finance Ltd. | 1,675 | 1,690,361 | ||||||||
Penske Truck Leasing Co. LP/PTL Finance Corp. | 2,485 | 2,416,819 |
AB POOLING PORTFOLIOS • | 87 |
AB Global Core Bond Portfolio—Portfolio of Investments
Principal Amount (000) | U.S. $ Value | |||||||||
| ||||||||||
Ryder System, Inc. | U.S.$ | 930 | $ | 958,039 | ||||||
|
| |||||||||
5,065,219 | ||||||||||
|
| |||||||||
105,699,183 | ||||||||||
|
| |||||||||
Financial Institutions – 8.3% | ||||||||||
Banking – 5.2% | ||||||||||
ABN AMRO Bank NV | 573 | 556,478 | ||||||||
Bank of America Corp. | 1,340 | 1,341,311 | ||||||||
4.875%, 4/01/44 | 2,050 | 2,135,686 | ||||||||
Series L | 1,280 | 1,286,345 | ||||||||
Barclays Bank PLC | EUR | 1,003 | 1,283,296 | |||||||
Barclays PLC | U.S.$ | 920 | 845,345 | |||||||
BPCE SA | 540 | 555,557 | ||||||||
Compass Bank | 1,034 | 1,015,660 | ||||||||
5.50%, 4/01/20 | 2,499 | 2,684,401 | ||||||||
Cooperatieve Rabobank UA | 1,486 | 1,479,420 | ||||||||
4.375%, 8/04/25 | 1,682 | 1,690,815 | ||||||||
Credit Suisse Group Funding Guernsey Ltd. | 1,358 | 1,282,635 | ||||||||
Fifth Third Bancorp | 1,132 | 1,133,374 | ||||||||
Goldman Sachs Group, Inc. (The) | 1,943 | 1,967,482 | ||||||||
Series G | 2,855 | 3,249,244 | ||||||||
ING Bank NV | 1,600 | 1,636,624 | ||||||||
Lloyds Banking Group PLC | 3,158 | 3,110,835 | ||||||||
Macquarie Bank Ltd. | 651 | 671,408 | ||||||||
Mellon Capital III | GBP | 850 | �� | 1,177,513 | ||||||
Morgan Stanley | U.S.$ | 1,280 | 1,315,118 | |||||||
Series G | 723 | 800,379 |
88 | • AB POOLING PORTFOLIOS |
AB Global Core Bond Portfolio—Portfolio of Investments
Principal Amount (000) | U.S. $ Value | |||||||||
| ||||||||||
Murray Street Investment Trust I | U.S.$ | 272 | $ | 278,278 | ||||||
Nationwide Building Society | 3,415 | 3,919,368 | ||||||||
Nordea Bank AB | 385 | 343,613 | ||||||||
Rabobank Capital Funding Trust III | 605 | 601,975 | ||||||||
Rabobank Capital Funding Trust IV | GBP | 620 | 865,104 | |||||||
Santander Issuances SAU | U.S.$ | 2,000 | 1,859,948 | |||||||
Santander UK PLC | 925 | 933,447 | ||||||||
UBS Group Funding Jersey Ltd. | 1,262 | 1,257,541 | ||||||||
|
| |||||||||
41,278,200 | ||||||||||
|
| |||||||||
Brokerage – 0.3% | ||||||||||
Nomura Holdings, Inc. | 2,586 | 2,592,843 | ||||||||
|
| |||||||||
Insurance – 2.1% | ||||||||||
Allied World Assurance Co. Holdings Ltd. | 1,820 | 1,864,102 | ||||||||
Berkshire Hathaway, Inc. | EUR | 160 | 161,074 | |||||||
Dai-ichi Life Insurance Co., Ltd. (The) | U.S.$ | 623 | 649,477 | |||||||
Five Corners Funding Trust | 1,060 | 1,085,603 | ||||||||
Hartford Financial Services Group, Inc. (The) | 600 | 664,342 | ||||||||
5.50%, 3/30/20 | 922 | 1,020,048 | ||||||||
Humana, Inc. | 369 | 404,422 | ||||||||
7.20%, 6/15/18 | 610 | 677,689 | ||||||||
Lincoln National Corp. | 791 | 944,887 | ||||||||
Markel Corp. | 1,105 | 1,273,358 | ||||||||
Massachusetts Mutual Life Insurance Co. | 815 | 1,185,335 | ||||||||
MetLife Capital Trust IV | 162 | 184,680 | ||||||||
Muenchener Rueckversicherungs-Gesellschaft AG in Muenchen | EUR | 1,400 | 1,847,363 |
AB POOLING PORTFOLIOS • | 89 |
AB Global Core Bond Portfolio—Portfolio of Investments
Principal Amount (000) | U.S. $ Value | |||||||||
| ||||||||||
Nationwide Mutual Insurance Co. | U.S.$ | 740 | $ | 1,068,971 | ||||||
Prudential Financial, Inc. | 1,660 | 1,640,080 | ||||||||
Swiss Re Solutions Holding Corp. | 1,295 | 1,641,572 | ||||||||
XLIT Ltd. | 530 | 504,156 | ||||||||
|
| |||||||||
16,817,159 | ||||||||||
|
| |||||||||
Other Finance – 0.2% | ||||||||||
SUAM Finance BV | 1,289 | 1,239,051 | ||||||||
|
| |||||||||
REITS – 0.5% | ||||||||||
Healthcare Trust of America Holdings LP | 568 | 573,825 | ||||||||
Welltower, Inc. | 2,902 | 2,849,839 | ||||||||
|
| |||||||||
3,423,664 | ||||||||||
|
| |||||||||
65,350,917 | ||||||||||
|
| |||||||||
Utility – 2.4% | ||||||||||
Electric – 1.2% | ||||||||||
Constellation Energy Group, Inc. | 504 | 549,832 | ||||||||
Entergy Corp. | 1,706 | 1,791,039 | ||||||||
Exelon Generation Co. LLC | 2,463 | 2,499,088 | ||||||||
RWE Finance BV Series E | GBP | 1,455 | 2,323,012 | |||||||
TECO Finance, Inc. | U.S.$ | 745 | 745,688 | |||||||
5.15%, 3/15/20 | 915 | 995,872 | ||||||||
Union Electric Co. | 315 | 355,891 | ||||||||
|
| |||||||||
9,260,422 | ||||||||||
|
| |||||||||
Natural Gas – 1.1% | ||||||||||
Centrica PLC | 1,865 | 1,914,275 | ||||||||
Empresa de Energia de Bogota SA ESP | 1,515 | 1,534,844 | ||||||||
NiSource Finance Corp. | 3,445 | 3,841,620 | ||||||||
Talent Yield Investments Ltd. | 1,170 | 1,234,145 | ||||||||
|
| |||||||||
8,524,884 | ||||||||||
|
|
90 | • AB POOLING PORTFOLIOS |
AB Global Core Bond Portfolio—Portfolio of Investments
Principal Amount (000) | U.S. $ Value | |||||||||
| ||||||||||
Other Utility – 0.1% | ||||||||||
Veolia Environnement SA | EUR | 640 | $ | 1,070,186 | ||||||
|
| |||||||||
18,855,492 | ||||||||||
|
| |||||||||
Total Corporates - Investment Grade | 189,905,592 | |||||||||
|
| |||||||||
COLLATERALIZED MORTGAGE | ||||||||||
GSE Risk Share Floating Rate – 5.0% | ||||||||||
Federal Home Loan Mortgage Corp. Structured | U.S.$ | 2,195 | 2,184,444 | |||||||
Series 2014-DN3, Class M2 | 1,592 | 1,603,183 | ||||||||
Series 2014-HQ1, Class M2 | 2,555 | 2,559,117 | ||||||||
Series 2014-HQ2, Class M1 | 2,478 | 2,482,221 | ||||||||
Series 2014-HQ3, Class M1 | 1,323 | 1,324,987 | ||||||||
Series 2015-DNA1, Class M2 | 1,090 | 1,067,918 | ||||||||
Series 2015-DNA2, Class M2 | 2,699 | 2,675,181 | ||||||||
Series 2015-DNA3, Class M2 | 1,111 | 1,108,087 | ||||||||
Series 2015-HQ1, Class M2 | 1,515 | 1,510,887 | ||||||||
Series 2015-HQ2, Class M1 | 1,194 | 1,191,821 | ||||||||
Series 2015-HQA1, Class M2 | 2,305 | 2,277,250 | ||||||||
Series 2015-HQA2, Class M2 | 1,586 | 1,572,511 | ||||||||
Series 2016-DNA1, Class M2 | 853 | 850,757 | ||||||||
Federal National Mortgage Association | 581 | 582,992 | ||||||||
Series 2014-C01, Class M1 | 1,633 | 1,629,282 |
AB POOLING PORTFOLIOS • | 91 |
AB Global Core Bond Portfolio—Portfolio of Investments
Principal Amount (000) | U.S. $ Value | |||||||||||
| ||||||||||||
Series 2014-C04, Class 1M1 | U.S.$ | 2,370 | $ | 2,378,327 | ||||||||
Series 2014-C04, Class 2M1 | 1,179 | 1,182,183 | ||||||||||
Series 2015-C01, Class 1M1 | 722 | 722,622 | ||||||||||
Series 2015-C01, Class 2M1 | 529 | 529,250 | ||||||||||
Series 2015-C02, Class 2M1 | 2,121 | 2,116,912 | ||||||||||
Series 2015-C03, Class 1M1 | 812 | 811,260 | ||||||||||
Series 2015-C03, Class 2M1 | 3,408 | 3,394,099 | ||||||||||
Series 2016-C01, Class 1M1 | 2,679 | 2,682,659 | ||||||||||
Series 2016-C01, Class 2M1 | 984 | 985,221 | ||||||||||
|
| |||||||||||
39,423,171 | ||||||||||||
|
| |||||||||||
Non-Agency Fixed Rate – 0.1% | ||||||||||||
Citigroup Mortgage Loan Trust, Inc. | 749 | 695,205 | ||||||||||
|
| |||||||||||
Agency Fixed Rate – 0.0% | ||||||||||||
Federal National Mortgage Association | 392 | 327,249 | ||||||||||
|
| |||||||||||
327,249 | ||||||||||||
|
| |||||||||||
Total Collateralized Mortgage Obligations | 40,445,625 | |||||||||||
|
| |||||||||||
COVERED BONDS – 4.4% | ||||||||||||
Abbey National Treasury Services | EUR | 2,015 | 2,343,130 | |||||||||
Aib Mortgage Bank | 665 | 770,091 | ||||||||||
Bank of Nova Scotia (The) | U.S.$ | 2,900 | 2,915,283 | |||||||||
Bank of Scotland PLC | EUR | 3,180 | 4,419,878 | |||||||||
CaixaBank SA | 1,250 | 1,370,493 |
92 | • AB POOLING PORTFOLIOS |
AB Global Core Bond Portfolio—Portfolio of Investments
Principal Amount (000) | U.S. $ Value | |||||||||
| ||||||||||
Credit Suisse AG/Guernsey | EUR | 2,000 | $ | 2,340,891 | ||||||
Danske Bank A/S | 940 | 1,083,360 | ||||||||
DNB Boligkreditt AS | 1,778 | 2,313,937 | ||||||||
National Australia Bank Ltd. | U.S.$ | 3,190 | 3,225,840 | |||||||
Nationwide Building Society | EUR | 1,700 | 2,296,984 | |||||||
Nordea Hypotek AB | SEK | 15,700 | 2,034,568 | |||||||
Santander Consumer Finance SA | EUR | 1,300 | 1,417,280 | |||||||
Skandinaviska Enskilda Banken AB | SEK | 17,000 | 2,055,364 | |||||||
Stadshypotek AB | 15,000 | 2,095,771 | ||||||||
Swedbank Hypotek AB | 17,400 | 2,047,023 | ||||||||
UBS AG/London | EUR | 2,040 | 2,355,313 | |||||||
|
| |||||||||
Total Covered Bonds | 35,085,206 | |||||||||
|
| |||||||||
COMMERCIAL MORTGAGE-BACKED SECURITIES – 4.4% | ||||||||||
Non-Agency Fixed Rate CMBS – 2.8% | ||||||||||
Banc of America Commercial Mortgage | U.S.$ | 4,347 | 4,516,917 | |||||||
BHMS Mortgage Trust | 2,570 | 2,615,293 | ||||||||
Citigroup Commercial Mortgage Trust | 426 | 426,176 |
AB POOLING PORTFOLIOS • | 93 |
AB Global Core Bond Portfolio—Portfolio of Investments
Principal Amount (000) | U.S. $ Value | |||||||||
| ||||||||||
Commercial Mortgage Loan Trust | U.S.$ | 3,418 | $ | 3,606,420 | ||||||
Commercial Mortgage Trust | 5,420 | 5,436,808 | ||||||||
GS Mortgage Securities Trust | 1,339 | 1,319,994 | ||||||||
Series 2013-G1, Class A2 | 1,615 | 1,662,386 | ||||||||
JP Morgan Chase Commercial Mortgage Securities Trust | 911 | 831,815 | ||||||||
ML-CFC Commercial Mortgage Trust | 1,249 | 1,264,703 | ||||||||
|
| |||||||||
21,680,512 | ||||||||||
|
| |||||||||
Non-Agency Floating Rate CMBS – 1.0% | ||||||||||
Commercial Mortgage Trust | 2,026 | 1,976,064 | ||||||||
Series 2014-SAVA, Class A | 932 | 919,202 | ||||||||
JP Morgan Chase Commercial Mortgage Securities Trust | 2,672 | 2,631,553 | ||||||||
Resource Capital Corp., Ltd. | 797 | 776,061 | ||||||||
Starwood Retail Property Trust | 1,721 | 1,702,254 | ||||||||
|
| |||||||||
8,005,134 | ||||||||||
|
| |||||||||
Agency CMBS – 0.6% | ||||||||||
Federal Home Loan Mortgage Corp. | 4,653 | 5,009,467 | ||||||||
|
| |||||||||
Total Commercial Mortgage-Backed Securities | 34,695,113 | |||||||||
|
| |||||||||
94 | • AB POOLING PORTFOLIOS |
AB Global Core Bond Portfolio—Portfolio of Investments
Principal Amount (000) | U.S. $ Value | |||||||||
| ||||||||||
MORTGAGE PASS-THROUGHS – 2.9% | ||||||||||
Agency ARMs – 0.2% | ||||||||||
Federal Home Loan Mortgage Corp. | U.S.$ | 1,100 | $ | 1,158,732 | ||||||
Federal National Mortgage Association | 570 | 600,026 | ||||||||
|
| |||||||||
1,758,758 | ||||||||||
|
| |||||||||
Agency Fixed Rate 30-Year – 2.2% | ||||||||||
Federal Home Loan Mortgage Corp. Gold | 691 | 782,302 | ||||||||
Federal National Mortgage Association | 568 | 642,171 | ||||||||
Series 2004 | 557 | 629,492 | ||||||||
Series 2005 | 426 | 482,120 | ||||||||
Series 2006 | 1 | 1,221 | ||||||||
4.00%, 12/01/44 | 4,097 | 4,459,973 | ||||||||
Government National Mortgage | 9,400 | 9,925,078 | ||||||||
|
| |||||||||
16,922,357 | ||||||||||
|
| |||||||||
Other Agency Fixed Rate Programs – 0.5% | ||||||||||
Canadian Mortgage Pools | CAD | 4,231 | 3,990,225 | |||||||
|
| |||||||||
Total Mortgage Pass-Throughs | 22,671,340 | |||||||||
|
| |||||||||
AGENCIES – 2.9% | ||||||||||
Agency Debentures – 2.6% | ||||||||||
Residual Funding Corp. Principal Strip | U.S.$ | 22,014 | 20,587,185 | |||||||
|
| |||||||||
Agency Subordinated – 0.3% | ||||||||||
Federal National Mortgage Association | 2,180 | 2,058,441 | ||||||||
|
| |||||||||
Total Agencies | 22,645,626 | |||||||||
|
| |||||||||
AB POOLING PORTFOLIOS • | 95 |
AB Global Core Bond Portfolio—Portfolio of Investments
Principal Amount (000) | U.S. $ Value | |||||||||
| ||||||||||
INFLATION-LINKED SECURITIES – 2.2% | ||||||||||
United States – 2.2% | ||||||||||
U.S. Treasury Inflation Index | U.S.$ | 17,024 | $ | 17,209,910 | ||||||
|
| |||||||||
GOVERNMENTS - SOVEREIGN AGENCIES – 2.1% | ||||||||||
Canada – 1.1% | ||||||||||
Canada Housing Trust No 1 | CAD | 11,205 | 9,139,321 | |||||||
|
| |||||||||
Colombia – 0.3% | ||||||||||
Ecopetrol SA | U.S.$ | 737 | 515,900 | |||||||
Oleoducto Central SA | 1,041 | 925,449 | ||||||||
Ecopetrol SA | 730 | 582,175 | ||||||||
|
| |||||||||
2,023,524 | ||||||||||
|
| |||||||||
France – 0.5% | ||||||||||
Dexia Credit Local SA/New York, NY | 1,383 | 1,382,746 | ||||||||
Dexia Credit Local SA/New York, NY | 2,691 | 2,702,025 | ||||||||
|
| |||||||||
4,084,771 | ||||||||||
|
| |||||||||
Morocco – 0.1% | ||||||||||
OCP SA | 654 | 665,445 | ||||||||
|
| |||||||||
United Arab Emirates – 0.1% | ||||||||||
Abu Dhabi National Energy Co. PJSC | 619 | 608,824 | ||||||||
|
| |||||||||
Total Governments - Sovereign Agencies | 16,521,885 | |||||||||
|
| |||||||||
QUASI-SOVEREIGNS – 0.8% | ||||||||||
Quasi-Sovereign Bonds – 0.8% | ||||||||||
Chile – 0.3% | ||||||||||
Empresa de Transporte de Pasajeros | 2,595 | 2,672,606 | ||||||||
|
| |||||||||
Mexico – 0.4% | ||||||||||
Petroleos Mexicanos | 3,970 | 3,533,300 | ||||||||
|
|
96 | • AB POOLING PORTFOLIOS |
AB Global Core Bond Portfolio—Portfolio of Investments
Principal Amount (000) | U.S. $ Value | |||||||||
| ||||||||||
Peru – 0.1% | ||||||||||
Fondo MIVIVIENDA SA | U.S.$ | 613 | $ | 574,688 | ||||||
|
| |||||||||
Total Quasi-Sovereigns | 6,780,594 | |||||||||
|
| |||||||||
SUPRANATIONALS – 0.7% | ||||||||||
European Financial Stability Facility | EUR | 3,085 | 3,320,042 | |||||||
International Bank for Reconstruction & Development | U.S.$ | 2,340 | 2,600,870 | |||||||
|
| |||||||||
Total Supranationals | 5,920,912 | |||||||||
|
| |||||||||
CORPORATES - NON-INVESTMENT GRADE – 0.6% | ||||||||||
Financial Institutions – 0.4% | ||||||||||
Banking – 0.4% | ||||||||||
Societe Generale SA | 1,515 | 1,488,487 | ||||||||
UniCredit Luxembourg Finance SA | 1,386 | 1,417,666 | ||||||||
|
| |||||||||
2,906,153 | ||||||||||
|
| |||||||||
Industrial – 0.2% | ||||||||||
Basic – 0.1% | ||||||||||
Teck Resources Ltd. | 1,960 | 1,274,000 | ||||||||
|
| |||||||||
Energy – 0.1% | ||||||||||
Southwestern Energy Co. | 823 | 460,880 | ||||||||
|
| |||||||||
1,734,880 | ||||||||||
|
| |||||||||
Total Corporates - Non-Investment Grade | 4,641,033 | |||||||||
|
| |||||||||
GOVERNMENTS - SOVEREIGN BONDS – 0.4% | ||||||||||
Indonesia – 0.4% | ||||||||||
Indonesia Government International Bond | 3,326 | 3,202,426 | ||||||||
|
| |||||||||
AB POOLING PORTFOLIOS • | 97 |
AB Global Core Bond Portfolio—Portfolio of Investments
Principal Amount (000) | U.S. $ Value | |||||||||
| ||||||||||
ASSET-BACKED SECURITIES – 0.4% | ||||||||||
Other ABS - Fixed Rate – 0.4% | ||||||||||
SBA Tower Trust | U.S.$ | 1,248 | $ | 1,251,836 | ||||||
Series 2014-2A, Class C | 1,031 | 1,028,371 | ||||||||
TAGUS-Sociedade de Titularizacao de | EUR | 590 | 641,988 | |||||||
|
| |||||||||
2,922,195 | ||||||||||
|
| |||||||||
Home Equity Loans - | ||||||||||
Asset Backed Funding Certificates Trust | U.S.$ | 238 | 227,049 | |||||||
|
| |||||||||
Total Asset-Backed Securities | 3,149,244 | |||||||||
|
| |||||||||
EMERGING MARKETS - TREASURIES – 0.4% | ||||||||||
Brazil – 0.4% | ||||||||||
Brazil Notas do Tesouro Nacional | BRL | 12,725 | 3,071,785 | |||||||
|
| |||||||||
LOCAL GOVERNMENTS - MUNICIPAL BONDS – 0.4% | ||||||||||
United States – 0.4% | ||||||||||
State of California | U.S.$ | 1,985 | 2,953,402 | |||||||
|
| |||||||||
EMERGING MARKETS - CORPORATE BONDS – 0.2% | ||||||||||
Industrial – 0.2% | ||||||||||
Consumer Non-Cyclical – 0.2% | ||||||||||
Raizen Energy Finance Ltd. | 1,885 | 1,929,769 | ||||||||
|
|
98 | • AB POOLING PORTFOLIOS |
AB Global Core Bond Portfolio—Portfolio of Investments
Shares | U.S. $ Value | |||||||||
| ||||||||||
SHORT-TERM INVESTMENTS – 0.6% | ||||||||||
Investment Companies – 0.6% | ||||||||||
AB Fixed Income Shares, Inc. – Government | 5,177,379 | $ | 5,177,379 | |||||||
|
| |||||||||
Total Investments – 100.0% | 792,946,373 | |||||||||
Other assets less liabilities – 0.0% | (326,162 | ) | ||||||||
|
| |||||||||
Net Assets – 100.0% | $ | 792,620,211 | ||||||||
|
|
FUTURES (see Note C)
Type | Number of Contracts | Expiration Month | Original Value | Value at February 29, 2016 | Unrealized Appreciation/ (Depreciation) | |||||||||||||||
Purchased Contracts |
| |||||||||||||||||||
UK Long Gilt Bond Futures | 79 | June 2016 | $ | 13,299,288 | $ | 13,404,758 | $ | 105,470 | ||||||||||||
Sold Contracts | ||||||||||||||||||||
10 Yr Canadian Bond Futures | 64 | June 2016 | 6,712,368 | 6,696,585 | 15,783 | |||||||||||||||
10 Yr Japan Bond (OSE) Futures | 11 | March 2016 | 14,786,863 | 14,844,220 | (57,357 | ) | ||||||||||||||
Euro BUXL 30 Yr Bond Futures | 7 | March 2016 | 1,156,593 | 1,293,019 | (136,426 | ) | ||||||||||||||
Euro-BUND Futures | 90 | March 2016 | 15,684,478 | 16,309,272 | (624,794 | ) | ||||||||||||||
U.S. Long Bond (CBT) Futures | 129 | June 2016 | 21,327,293 | 21,224,531 | 102,762 | |||||||||||||||
U.S. T-Note 10 Yr (CBT) Futures | 188 | June 2016 | 24,517,765 | 24,536,937 | (19,172 | ) | ||||||||||||||
|
| |||||||||||||||||||
$ | (613,734 | ) | ||||||||||||||||||
|
|
FORWARD CURRENCY EXCHANGE CONTRACTS (see Note C)
Counterparty | Contracts to Deliver (000) | In Exchange For (000) | Settlement Date | Unrealized Appreciation/ (Depreciation) | ||||||||||||||||||||
Barclays Bank PLC | USD | 8,796 | EUR | 8,085 | 3/04/16 | $ | 103 | |||||||||||||||||
BNP Paribas SA | USD | 8,216 | EUR | 7,328 | 3/04/16 | (243,745 | ) | |||||||||||||||||
BNP Paribas SA | AUD | 9,262 | USD | 6,664 | 3/18/16 | 57,594 | ||||||||||||||||||
BNP Paribas SA | AUD | 24,602 | USD | 17,396 | 3/18/16 | (150,289 | ) | |||||||||||||||||
BNP Paribas SA | USD | 4,118 | JPY | 462,000 | 3/23/16 | (17,950 | ) | |||||||||||||||||
BNP Paribas SA | USD | 8,068 | NOK | 69,708 | 4/06/16 | (59,603 | ) | |||||||||||||||||
Citibank | GBP | 17,716 | USD | 25,271 | 3/10/16 | 611,905 | ||||||||||||||||||
Citibank | USD | 4,034 | RUB | 306,908 | 4/07/16 | 5,163 | ||||||||||||||||||
Credit Suisse International | EUR | 7,472 | USD | 8,327 | 3/04/16 | 198,496 | ||||||||||||||||||
Credit Suisse International | EUR | 1,205 | USD | 1,307 | 3/04/16 | (4,200 | ) |
AB POOLING PORTFOLIOS • | 99 |
AB Global Core Bond Portfolio—Portfolio of Investments
Counterparty | Contracts to Deliver (000) | In Exchange For (000) | Settlement Date | Unrealized Appreciation/ (Depreciation) | ||||||||||||||||||||
Credit Suisse International | USD | 15,620 | GBP | 10,883 | 3/10/16 | $ | (472,525 | ) | ||||||||||||||||
Deutsche Bank AG | TWD | 266,117 | USD | 8,045 | 3/18/16 | 52,550 | ||||||||||||||||||
Deutsche Bank AG | TWD | 294,616 | USD | 8,795 | 3/18/16 | (52,989 | ) | |||||||||||||||||
Goldman Sachs Bank USA | PLN | 30,299 | USD | 7,341 | 3/11/16 | (242,935 | ) | |||||||||||||||||
Goldman Sachs Bank USA | USD | 3,975 | TRY | 11,788 | 3/31/16 | (33,362 | ) | |||||||||||||||||
Goldman Sachs Bank USA | CAD | 37,397 | USD | 27,311 | 4/08/16 | (330,462 | ) | |||||||||||||||||
Goldman Sachs Bank USA | TWD | 56,282 | USD | 1,703 | 6/21/16 | 20,407 | ||||||||||||||||||
Goldman Sachs Bank USA | BRL | 12,725 | USD | 2,767 | 1/04/17 | (144,566 | ) | |||||||||||||||||
HSBC Bank USA | GBP | 38,753 | USD | 55,510 | 3/10/16 | 1,572,035 | ||||||||||||||||||
HSBC Bank USA | MXN | 321,426 | USD | 17,650 | 4/14/16 | (15,767 | ) | |||||||||||||||||
Morgan Stanley & Co., Inc. | EUR | 4,374 | USD | 4,825 | 3/04/16 | 65,814 | ||||||||||||||||||
Royal Bank of Scotland PLC | AUD | 17,288 | USD | 12,459 | 3/18/16 | 129,194 | ||||||||||||||||||
Royal Bank of Scotland PLC | USD | 7,868 | TWD | 263,268 | 3/18/16 | 38,538 | ||||||||||||||||||
Royal Bank of Scotland PLC | ZAR | 15,830 | USD | 998 | 5/11/16 | 14,308 | ||||||||||||||||||
Standard Chartered Bank | EUR | 132,290 | USD | 143,382 | 3/04/16 | (537,063 | ) | |||||||||||||||||
Standard Chartered Bank | AUD | 9,251 | USD | 6,612 | 3/18/16 | 14,109 | ||||||||||||||||||
Standard Chartered Bank | AUD | 1,546 | USD | 1,092 | 3/18/16 | (10,427 | ) | |||||||||||||||||
Standard Chartered Bank | JPY | 455,520 | USD | 4,044 | 3/23/16 | 1,816 | ||||||||||||||||||
Standard Chartered Bank | JPY | 595,370 | USD | 5,168 | 3/23/16 | (115,838 | ) | |||||||||||||||||
Standard Chartered Bank | SEK | 101,195 | USD | 11,908 | 4/06/16 | 72,684 | ||||||||||||||||||
Standard Chartered Bank | SGD | 12,752 | USD | 9,033 | 4/08/16 | (30,760 | ) | |||||||||||||||||
Standard Chartered Bank | TWD | 450,248 | USD | 13,658 | 6/21/16 | 199,538 | ||||||||||||||||||
State Street Bank & Trust Co. | EUR | 1,593 | USD | 1,727 | 3/04/16 | (5,794 | ) | |||||||||||||||||
State Street Bank & Trust Co. | USD | 593 | EUR | 544 | 3/04/16 | (828 | ) | |||||||||||||||||
State Street Bank & Trust Co. | JPY | 5,145,020 | USD | 44,507 | 3/23/16 | (1,153,040 | ) | |||||||||||||||||
State Street Bank & Trust Co. | DKK | 23,949 | USD | 3,592 | 4/06/16 | 94,742 | ||||||||||||||||||
|
| |||||||||||||||||||||||
$ | (473,147 | ) | ||||||||||||||||||||||
|
|
100 | • AB POOLING PORTFOLIOS |
AB Global Core Bond Portfolio—Portfolio of Investments
(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, 2016, the aggregate market value of these securities amounted to $278,913,988 or 35.2% of net assets. |
(b) | Securities are perpetual and, thus, do not have a predetermined maturity date. The date shown, if applicable, reflects the next call date. |
(c) | Floating Rate Security. Stated interest rate was in effect at February 29, 2016. |
(d) | Variable rate coupon, rate shown as of February 29, 2016. |
(e) | To obtain a copy of the fund’s financial statements, please go to the Securities and Exchange Commission’s website at www.sec.gov, or call AB at (800) 227-4618. |
(f) | Investment in affiliated money market mutual fund. The rate shown represents the 7-day yield as of period end. |
Currency Abbreviations:
AUD | – Australian Dollar |
BRL | – Brazilian Real |
CAD | – Canadian Dollar |
DKK | – Danish Krone |
EUR | – Euro |
GBP | – Great British Pound |
JPY | – Japanese Yen |
MXN | – Mexican Peso |
NOK | – Norwegian Krone |
PLN | – Polish Zloty |
RUB | – Russian Ruble |
SEK | – Swedish Krona |
SGD | – Singapore Dollar |
TRY | – Turkish Lira |
TWD | – New Taiwan Dollar |
USD | – United States Dollar |
ZAR | – South African Rand |
Glossary:
ABS | – Asset-Backed Securities |
ARMs | – Adjustable Rate Mortgages |
CBT | – Chicago Board of Trade |
CMBS | – Commercial Mortgage-Backed Securities |
GSE | – Government-Sponsored Enterprise |
OAT | – Obligations Assimilables du Trésor |
OSE | – Osaka Securities Exchange |
PJSC | – Public Joint Stock Company |
REIT | – Real Estate Investment Trust |
TBA | – To Be Announced |
TIPS | – Treasury Inflation Protected Security |
See notes to financial statements.
AB POOLING PORTFOLIOS • | 101 |
AB Global Core Bond Portfolio—Portfolio of Investments
AB BOND INFLATION PROTECTION PORTFOLIO
PORTFOLIO OF INVESTMENTS
February 29, 2016 (unaudited)
Principal Amount (000) | U.S. $ Value | |||||||||
| ||||||||||
INFLATION-LINKED SECURITIES – 89.4% | ||||||||||
United States – 89.4% | ||||||||||
U.S. Treasury Inflation Index | ||||||||||
0.125%, 4/15/17-7/15/22 (TIPS)(a) | U.S.$ | 251,883 | $ | 253,940,471 | ||||||
0.125%, 1/15/23 (TIPS)(a)(b) | 40,011 | 39,773,825 | ||||||||
0.125%, 7/15/24 (TIPS) | 40,104 | 39,668,156 | ||||||||
0.25%, 1/15/25 (TIPS)(a)(b) | 40,634 | 40,353,383 | ||||||||
0.375%, 7/15/23 (TIPS)(a) | 36,874 | 37,445,189 | ||||||||
0.375%, 7/15/25 (TIPS) | 58,266 | 58,683,554 | ||||||||
0.625%, 7/15/21-1/15/24 (TIPS) | 77,634 | 80,092,880 | ||||||||
2.00%, 1/15/26 (TIPS) | 15,912 | 18,422,780 | ||||||||
|
| |||||||||
Total Inflation-Linked Securities | 568,380,238 | |||||||||
|
| |||||||||
CORPORATES - INVESTMENT GRADE – 19.2% | ||||||||||
Industrial – 12.6% | ||||||||||
Basic – 1.3% | ||||||||||
Barrick Gold Corp. | 96 | 89,621 | ||||||||
Dow Chemical Co. (The) | 637 | 748,796 | ||||||||
Eastman Chemical Co. | 630 | 609,372 | ||||||||
Glencore Funding LLC | 3,225 | 2,821,875 | ||||||||
International Paper Co. | 1,339 | 1,418,589 | ||||||||
LyondellBasell Industries NV | 1,087 | 1,216,478 | ||||||||
Minsur SA | 459 | 386,433 | ||||||||
Sociedad Quimica y Minera de Chile SA | 832 | 732,160 | ||||||||
|
| |||||||||
8,023,324 | ||||||||||
|
| |||||||||
Capital Goods – 0.2% | ||||||||||
Yamana Gold, Inc. | 1,566 | 1,213,478 | ||||||||
|
| |||||||||
Communications - Media – 1.4% | ||||||||||
21st Century Fox America, Inc. | 1,584 | 1,696,333 | ||||||||
CBS Corp. | ||||||||||
3.50%, 1/15/25 | 630 | 610,919 | ||||||||
5.75%, 4/15/20 | 1,625 | 1,811,540 |
102 | • AB POOLING PORTFOLIOS |
AB Bond Inflation Protection Portfolio—Portfolio of Investments
Principal Amount (000) | U.S. $ Value | |||||||||
| ||||||||||
Cox Communications, Inc. | U.S.$ | 348 | $ | 316,306 | ||||||
Discovery Communications LLC | 677 | 609,152 | ||||||||
McGraw Hill Financial, Inc. | 1,281 | 1,345,110 | ||||||||
NBCUniversal Enterprise, Inc. | 906 | 933,180 | ||||||||
Time Warner, Inc. | 1,124 | 1,106,264 | ||||||||
Viacom, Inc. | 635 | 594,381 | ||||||||
|
| |||||||||
9,023,185 | ||||||||||
|
| |||||||||
Communications - Telecommunications – 1.6% | ||||||||||
American Tower Corp. | ||||||||||
2.80%, 6/01/20 | 911 | 905,680 | ||||||||
5.05%, 9/01/20 | 1,355 | 1,453,981 | ||||||||
AT&T, Inc. | 1,715 | 1,684,663 | ||||||||
DIRECTV Holdings LLC/DIRECTV Financing Co., Inc. | ||||||||||
3.80%, 3/15/22 | 469 | 481,871 | ||||||||
4.45%, 4/01/24 | 1,645 | 1,730,369 | ||||||||
Rogers Communications, Inc. | CAD | 150 | 118,128 | |||||||
Telefonica Emisiones SAU | U.S.$ | 835 | 915,336 | |||||||
Verizon Communications, Inc. | ||||||||||
4.272%, 1/15/36 | 2,262 | 2,088,568 | ||||||||
7.35%, 4/01/39 | 780 | 945,561 | ||||||||
|
| |||||||||
10,324,157 | ||||||||||
|
| |||||||||
Consumer Cyclical - Automotive – 0.5% | ||||||||||
Ford Motor Credit Co. LLC | ||||||||||
2.597%, 11/04/19 | 919 | 903,974 | ||||||||
5.00%, 5/15/18 | 337 | 352,553 | ||||||||
5.875%, 8/02/21 | 1,166 | 1,286,193 | ||||||||
General Motors Co. | 775 | 776,550 | ||||||||
|
| |||||||||
3,319,270 | ||||||||||
|
| |||||||||
Consumer Cyclical - Retailers – 0.9% | ||||||||||
CVS Health Corp. | 1,490 | 1,593,665 | ||||||||
Kohl’s Corp. | 1,870 | 1,797,218 | ||||||||
Walgreens Boots Alliance, Inc. | 1,910 | 1,915,092 | ||||||||
|
| |||||||||
5,305,975 | ||||||||||
|
|
AB POOLING PORTFOLIOS • | 103 |
AB Bond Inflation Protection Portfolio—Portfolio of Investments
Principal Amount (000) | U.S. $ Value | |||||||||
| ||||||||||
Consumer Non-Cyclical – 3.3% | ||||||||||
AbbVie, Inc. | U.S.$ | 972 | $ | 992,329 | ||||||
Actavis Funding SCS | ||||||||||
3.80%, 3/15/25 | 1,664 | 1,712,995 | ||||||||
3.85%, 6/15/24 | 517 | 533,550 | ||||||||
Altria Group, Inc. | 1,915 | 1,950,723 | ||||||||
Baxalta, Inc. | 1,510 | 1,497,148 | ||||||||
Bayer US Finance LLC | 611 | 633,927 | ||||||||
Becton Dickinson and Co. | 832 | 859,298 | ||||||||
Biogen, Inc. | 907 | 937,381 | ||||||||
Bunge Ltd. Finance Corp. | 13 | 15,038 | ||||||||
Gilead Sciences, Inc. | 1,415 | 1,481,276 | ||||||||
Grupo Bimbo SAB de CV | 1,270 | 1,245,334 | ||||||||
Kraft Heinz Foods Co. | 750 | 758,732 | ||||||||
3.50%, 7/15/22(c) | 956 | 984,478 | ||||||||
Laboratory Corp. of America Holdings | 575 | 569,134 | ||||||||
Medtronic, Inc. | 1,910 | 2,005,437 | ||||||||
Perrigo Finance Unlimited Co. | 251 | 248,717 | ||||||||
3.90%, 12/15/24 | 650 | 633,883 | ||||||||
Reynolds American, Inc. | 1,323 | 1,425,919 | ||||||||
Thermo Fisher Scientific, Inc. | 696 | 726,635 | ||||||||
Tyson Foods, Inc. | 367 | 371,927 | ||||||||
3.95%, 8/15/24 | 1,207 | 1,273,501 | ||||||||
|
| |||||||||
20,857,362 | ||||||||||
|
| |||||||||
Energy – 2.5% | ||||||||||
Diamond Offshore Drilling, Inc. | 654 | 388,918 | ||||||||
Energy Transfer Partners LP | 1,645 | 1,651,031 | ||||||||
EnLink Midstream Partners LP | 750 | 446,659 | ||||||||
Enterprise Products Operating LLC | 1,643 | 1,537,713 | ||||||||
5.20%, 9/01/20 | 720 | 758,350 |
104 | • AB POOLING PORTFOLIOS |
AB Bond Inflation Protection Portfolio—Portfolio of Investments
Principal Amount (000) | U.S. $ Value | |||||||||
| ||||||||||
Halliburton Co. | U.S.$ | 1,740 | $ | 1,714,203 | ||||||
Kinder Morgan Energy Partners LP | 1,439 | 1,300,817 | ||||||||
4.15%, 3/01/22 | 625 | 560,506 | ||||||||
Marathon Petroleum Corp. | 590 | 590,650 | ||||||||
Noble Energy, Inc. | 996 | 838,063 | ||||||||
8.25%, 3/01/19 | 1,370 | 1,403,113 | ||||||||
Plains All American Pipeline LP/PAA | 1,323 | 1,017,088 | ||||||||
Reliance Holding USA, Inc. | 434 | 473,877 | ||||||||
Schlumberger Holdings Corp. | 1,640 | 1,611,162 | ||||||||
Spectra Energy Capital LLC | 450 | 477,947 | ||||||||
Valero Energy Corp. | 998 | 1,070,580 | ||||||||
|
| |||||||||
15,840,677 | ||||||||||
|
| |||||||||
Other Industrial – 0.1% | ||||||||||
Hutchison Whampoa International 14 Ltd. | 636 | 634,262 | ||||||||
|
| |||||||||
Technology – 0.8% | ||||||||||
KLA-Tencor Corp. | 1,321 | 1,298,930 | ||||||||
Motorola Solutions, Inc. | 1,475 | 1,621,748 | ||||||||
Seagate HDD Cayman | 740 | 566,988 | ||||||||
Tencent Holdings Ltd. | 1,230 | 1,262,380 | ||||||||
Total System Services, Inc. | 530 | 522,929 | ||||||||
|
| |||||||||
5,272,975 | ||||||||||
|
| |||||||||
79,814,665 | ||||||||||
|
| |||||||||
Financial Institutions – 5.4% | ||||||||||
Banking – 3.5% | ||||||||||
Bank of America Corp. | 705 | 780,254 | ||||||||
Series E | EUR | 1,850 | 1,976,543 | |||||||
Barclays Bank PLC | 459 | 587,271 | ||||||||
Barclays PLC | U.S.$ | 475 | 436,455 |
AB POOLING PORTFOLIOS • | 105 |
AB Bond Inflation Protection Portfolio—Portfolio of Investments
Principal Amount (000) | U.S. $ Value | |||||||||
| ||||||||||
BPCE SA | U.S.$ | 397 | $ | 408,438 | ||||||
Citigroup, Inc. | 1,365 | 1,307,939 | ||||||||
Cooperatieve Rabobank UA | 361 | 359,402 | ||||||||
4.375%, 8/04/25 | 977 | 982,120 | ||||||||
Credit Suisse Group Funding Guernsey | 1,870 | 1,766,221 | ||||||||
Goldman Sachs Group, Inc. (The) | 1,550 | 1,514,358 | ||||||||
Mizuho Financial Group Cayman 3 Ltd. | 1,710 | 1,775,761 | ||||||||
Morgan Stanley | 348 | 381,892 | ||||||||
Series G | 1,397 | 1,560,719 | ||||||||
Murray Street Investment Trust I | 184 | 188,247 | ||||||||
PNC Bank NA | 1,930 | 2,025,207 | ||||||||
Rabobank Capital Funding Trust III | 735 | 731,325 | ||||||||
Santander Bank NA | 1,870 | 1,849,174 | ||||||||
Santander Issuances SAU | 1,000 | 929,974 | ||||||||
Santander UK PLC | 1,050 | 1,059,589 | ||||||||
UBS AG/Stamford CT | 929 | 1,035,937 | ||||||||
UBS Group Funding Jersey Ltd. | 970 | 966,573 | ||||||||
|
| |||||||||
22,623,399 | ||||||||||
|
| |||||||||
Insurance – 1.3% | ||||||||||
American International Group, Inc. | 1,165 | 1,329,649 | ||||||||
Hartford Financial Services Group, Inc. (The) | 1,330 | 1,472,624 | ||||||||
6.10%, 10/01/41 | 760 | 891,332 | ||||||||
Lincoln National Corp. | 550 | 657,001 | ||||||||
Nationwide Mutual Insurance Co. | 548 | 791,616 | ||||||||
Prudential Financial, Inc. | 762 | 752,856 |
106 | • AB POOLING PORTFOLIOS |
AB Bond Inflation Protection Portfolio—Portfolio of Investments
Principal Amount (000) | U.S. $ Value | |||||||||
| ||||||||||
Swiss Re Capital I LP | U.S.$ | 1,815 | $ | 1,806,288 | ||||||
XLIT Ltd. | 335 | 318,664 | ||||||||
|
| |||||||||
8,020,030 | ||||||||||
|
| |||||||||
REITS – 0.6% | ||||||||||
Host Hotels & Resorts LP | 23 | 22,422 | ||||||||
Trust F/1401 | 1,555 | 1,514,181 | ||||||||
Welltower, Inc. | 1,945 | 2,097,393 | ||||||||
|
| |||||||||
3,633,996 | ||||||||||
|
| |||||||||
34,277,425 | ||||||||||
|
| |||||||||
Utility – 1.2% | ||||||||||
Electric – 0.9% | ||||||||||
CMS Energy Corp. | 669 | 740,324 | ||||||||
Constellation Energy Group, Inc. | 263 | 286,916 | ||||||||
Entergy Corp. | 1,308 | 1,373,200 | ||||||||
Exelon Corp. | 2,470 | 2,490,721 | ||||||||
Exelon Generation Co. LLC | 763 | 774,180 | ||||||||
|
| |||||||||
5,665,341 | ||||||||||
|
| |||||||||
Natural Gas – 0.3% | ||||||||||
Talent Yield Investments Ltd. | 2,090 | 2,204,584 | ||||||||
|
| |||||||||
7,869,925 | ||||||||||
|
| |||||||||
Total Corporates - Investment Grade | 121,962,015 | |||||||||
|
| |||||||||
COMMERCIAL MORTGAGE-BACKED SECURITIES – 10.4% | ||||||||||
Non-Agency Fixed Rate CMBS – 8.4% | ||||||||||
Banc of America Commercial Mortgage Trust | 3,194 | 3,319,274 | ||||||||
Series 2007-5, Class AM | 618 | 638,889 | ||||||||
Bear Stearns Commercial Mortgage Securities Trust | 1,182 | 1,190,727 |
AB POOLING PORTFOLIOS • | 107 |
AB Bond Inflation Protection Portfolio—Portfolio of Investments
Principal Amount (000) | U.S. $ Value | |||||||||
| ||||||||||
BHMS Mortgage Trust | U.S.$ | 1,950 | $ | 1,984,367 | ||||||
CGRBS Commercial Mortgage Trust | 1,970 | 2,026,604 | ||||||||
Citigroup Commercial Mortgage Trust | 102 | 102,039 | ||||||||
Series 2013-GC11, Class D | 900 | 738,175 | ||||||||
Series 2015-GC27, Class A5 | 1,475 | 1,479,558 | ||||||||
COBALT CMBS Commercial Mortgage Trust | 1,914 | 1,984,304 | ||||||||
Commercial Mortgage Trust | 1,330 | 1,348,649 | ||||||||
Series 2007-GG9, Class A4 | 2,851 | 2,911,246 | ||||||||
Series 2007-GG9, Class AM | 1,282 | 1,302,869 | ||||||||
Series 2013-SFS, Class A1 | 759 | 748,191 | ||||||||
Credit Suisse Commercial Mortgage Trust | 947 | 963,471 | ||||||||
CSAIL Commercial Mortgage Trust | 1,346 | 1,407,727 | ||||||||
DBUBS Mortgage Trust | 763 | 778,466 | ||||||||
Extended Stay America Trust | 1,320 | 1,315,171 | ||||||||
GS Mortgage Securities Corp. II | 1,878 | 1,901,851 | ||||||||
GS Mortgage Securities Trust | 1,138 | 1,169,472 | ||||||||
Series 2013-G1, Class A1 | 1,431 | 1,410,617 | ||||||||
JP Morgan Chase Commercial Mortgage | 471 | 468,678 |
108 | • AB POOLING PORTFOLIOS |
AB Bond Inflation Protection Portfolio—Portfolio of Investments
Principal Amount (000) | U.S. $ Value | |||||||||
| ||||||||||
Series 2006-CB15, Class A4 | U.S.$ | 1,246 | $ | 1,246,336 | ||||||
Series 2006-LDP9, Class AM | 778 | 781,619 | ||||||||
Series 2007-CB19, Class AM | 700 | 716,268 | ||||||||
Series 2007-LD12, Class AM | 598 | 625,821 | ||||||||
Series 2007-LDPX, Class A1A | 3,832 | 3,923,823 | ||||||||
Series 2008-C2, Class A1A | 1,563 | 1,594,137 | ||||||||
Series 2010-C2, Class A1 | 69 | 69,193 | ||||||||
Series 2011-C5, Class D | 552 | 549,314 | ||||||||
JPMBB Commercial Mortgage Securities Trust | 1,273 | 1,338,972 | ||||||||
Series 2015-C32, Class C | 1,137 | 931,001 | ||||||||
LB-UBS Commercial Mortgage Trust | 611 | 613,008 | ||||||||
Series 2007-C1, Class AM | 620 | 634,604 | ||||||||
LSTAR Commercial Mortgage Trust | 1,123 | 1,119,959 | ||||||||
Series 2015-3, Class A2 | 1,505 | 1,479,131 | ||||||||
Merrill Lynch Mortgage Trust | 1,173 | 1,181,543 | ||||||||
ML-CFC Commercial Mortgage Trust | 1,969 | 1,993,405 | ||||||||
UBS-Barclays Commercial Mortgage Trust | 317 | 323,733 | ||||||||
Series 2012-C4, Class A5 | 637 | 640,787 | ||||||||
Wachovia Bank Commercial Mortgage | 636 | 636,542 |
AB POOLING PORTFOLIOS • | 109 |
AB Bond Inflation Protection Portfolio—Portfolio of Investments
Principal Amount (000) | U.S. $ Value | |||||||||
| ||||||||||
WF-RBS Commercial Mortgage Trust | U.S.$ | 680 | $ | 616,452 | ||||||
Series 2013-C14, Class A5 | 1,776 | 1,838,916 | ||||||||
Series 2014-C20, Class A2 | 1,218 | 1,259,987 | ||||||||
|
| |||||||||
53,304,896 | ||||||||||
|
| |||||||||
Non-Agency Floating Rate CMBS – 1.7% | ||||||||||
Carefree Portfolio Trust | 1,065 | 1,057,869 | ||||||||
Commercial Mortgage Trust | 1,490 | 1,453,573 | ||||||||
Series 2014-SAVA, Class A | 691 | 681,397 | ||||||||
H/2 Asset Funding NRE | 1,481 | 1,473,507 | ||||||||
JP Morgan Chase Commercial Mortgage | 1,987 | 1,956,922 | ||||||||
Morgan Stanley Capital I Trust | 553 | 550,167 | ||||||||
Series 2015-XLF2, Class SNMA | 553 | 549,850 | ||||||||
PFP III Ltd. | 141 | 141,013 | ||||||||
Resource Capital Corp., Ltd. | 595 | 579,505 | ||||||||
Starwood Retail Property Trust | 1,299 | 1,285,112 | ||||||||
Wells Fargo Commercial Mortgage Trust | 1,206 | 1,071,610 | ||||||||
|
| |||||||||
10,800,525 | ||||||||||
|
|
110 | • AB POOLING PORTFOLIOS |
AB Bond Inflation Protection Portfolio—Portfolio of Investments
Principal Amount (000) | U.S. $ Value | |||||||||
| ||||||||||
Agency CMBS – 0.3% | ||||||||||
FHLMC Multifamily Structured Pass | U.S.$ | 2,316 | $ | 2,370,774 | ||||||
|
| |||||||||
Total Commercial Mortgage-Backed Securities | 66,476,195 | |||||||||
|
| |||||||||
ASSET-BACKED SECURITIES – 9.7% | ||||||||||
Autos - Fixed Rate – 5.2% | ||||||||||
Ally Auto Receivables Trust | 713 | 715,405 | ||||||||
Ally Master Owner Trust | 1,572 | 1,569,667 | ||||||||
AmeriCredit Automobile Receivables Trust | 570 | 569,568 | ||||||||
Series 2013-4, Class A3 | 284 | 283,441 | ||||||||
ARI Fleet Lease Trust | 330 | 329,915 | ||||||||
Avis Budget Rental Car Funding AESOP LLC | 3,140 | 3,163,991 | ||||||||
Series 2014-1A, Class A | 1,591 | 1,596,405 | ||||||||
Bank of The West Auto Trust | 1,506 | 1,502,205 | ||||||||
California Republic Auto Receivables Trust | 1,585 | 1,580,958 | ||||||||
Series 2015-2, Class A3 | 1,210 | 1,211,342 | ||||||||
Capital Auto Receivables Asset Trust | 400 | 400,281 | ||||||||
CPS Auto Receivables Trust | 577 | 575,596 | ||||||||
Series 2014-B, Class A | 472 | 468,778 |
AB POOLING PORTFOLIOS • | 111 |
AB Bond Inflation Protection Portfolio—Portfolio of Investments
Principal Amount (000) | U.S. $ Value | |||||||||
| ||||||||||
Drive Auto Receivables Trust | U.S.$ | 232 | $ | 231,788 | ||||||
Series 2015-CA, Class A2A | 354 | 353,880 | ||||||||
Series 2015-DA, Class A2A | 834 | 833,494 | ||||||||
Enterprise Fleet Financing LLC | 307 | 305,555 | ||||||||
Series 2015-1, Class A2 | 1,376 | 1,366,866 | ||||||||
Exeter Automobile Receivables Trust | 69 | 69,145 | ||||||||
Series 2014-2A, Class A | 134 | 133,784 | ||||||||
Flagship Credit Auto Trust | 35 | 34,558 | ||||||||
Ford Credit Auto Owner Trust | 645 | 642,691 | ||||||||
Series 2014-2, Class A | 1,373 | 1,386,215 | ||||||||
GM Financial Automobile Leasing Trust | 1,105 | 1,105,786 | ||||||||
Series 2015-2, Class A3 | 1,723 | 1,726,485 | ||||||||
GMF Floorplan Owner Revolving Trust | 730 | 727,919 | ||||||||
Harley-Davidson Motorcycle Trust | 780 | 778,720 | ||||||||
Hertz Vehicle Financing II LP | 900 | 899,550 | ||||||||
Hertz Vehicle Financing LLC | 853 | 822,816 | ||||||||
Hyundai Auto Lease Securitization Trust | 802 | 801,988 | ||||||||
Series 2015-B, Class A3 | 1,190 | 1,192,088 |
112 | • AB POOLING PORTFOLIOS |
AB Bond Inflation Protection Portfolio—Portfolio of Investments
Principal Amount (000) | U.S. $ Value | |||||||||
| ||||||||||
Hyundai Auto Receivables Trust | U.S.$ | 585 | $ | 585,596 | ||||||
Mercedes Benz Auto Lease Trust | 659 | 659,726 | ||||||||
Nissan Auto Lease Trust | 1,287 | 1,287,366 | ||||||||
Santander Drive Auto Receivables Trust | 889 | 887,723 | ||||||||
Series 2015-4,Class A2A | 621 | 620,298 | ||||||||
TCF Auto Receivables Owner Trust | 1,246 | 1,241,024 | ||||||||
Westlake Automobile Receivables Trust | 599 | 598,683 | ||||||||
|
| |||||||||
33,261,296 | ||||||||||
|
| |||||||||
Credit Cards - Fixed Rate – 1.7% | ||||||||||
American Express Credit Account Master Trust | 901 | 903,216 | ||||||||
Barclays Dryrock Issuance Trust | 1,685 | 1,725,794 | ||||||||
Capital One Multi-Asset Execution Trust | 1,487 | 1,496,668 | ||||||||
Discover Card Execution Note Trust | 1,526 | 1,532,141 | ||||||||
Synchrony Credit Card Master Note Trust | 2,269 | 2,296,221 | ||||||||
World Financial Network Credit Card Master Trust | 1,310 | 1,314,740 | ||||||||
Series 2013-A, Class A | 809 | 811,197 | ||||||||
Series 2015-B, Class A | 1,163 | 1,188,183 | ||||||||
|
| |||||||||
11,268,160 | ||||||||||
|
|
AB POOLING PORTFOLIOS • | 113 |
AB Bond Inflation Protection Portfolio—Portfolio of Investments
Principal Amount (000) | U.S. $ Value | |||||||||
| ||||||||||
Autos - Floating Rate – 1.4% | ||||||||||
BMW Floorplan Master Owner Trust | U.S.$ | 2,227 | $ | 2,223,259 | ||||||
Ford Credit Floorplan Master Owner Trust A | 1,429 | 1,425,852 | ||||||||
GE Dealer Floorplan Master Note Trust | 996 | 994,973 | ||||||||
Series 2015-1, Class A | 1,290 | 1,277,264 | ||||||||
Hertz Fleet Lease Funding LP | 1,046 | 1,046,822 | ||||||||
Navistar Financial Dealer Note Master Trust | 1,301 | 1,294,683 | ||||||||
Volkswagen Credit Auto Master Trust | 680 | 669,612 | ||||||||
|
| |||||||||
8,932,465 | ||||||||||
|
| |||||||||
Other ABS - Fixed Rate – 0.7% | ||||||||||
CIT Equipment Collateral | 1,084 | 1,083,689 | ||||||||
CNH Equipment Trust | 1,021 | 1,027,459 | ||||||||
Dell Equipment Finance Trust | 614 | 612,863 | ||||||||
SBA Tower Trust | 1,573 | 1,575,045 | ||||||||
|
| |||||||||
4,299,056 | ||||||||||
|
| |||||||||
Credit Cards - Floating Rate – 0.7% | ||||||||||
Cabela’s Credit Card Master Note Trust | 600 | 598,788 | ||||||||
Discover Card Execution Note Trust | 1,228 | 1,228,024 | ||||||||
First National Master Note Trust | 1,619 | 1,620,574 |
114 | • AB POOLING PORTFOLIOS |
AB Bond Inflation Protection Portfolio—Portfolio of Investments
Principal Amount (000) | U.S. $ Value | |||||||||
| ||||||||||
World Financial Network Credit Card | U.S.$ | 850 | $ | 846,964 | ||||||
|
| |||||||||
4,294,350 | ||||||||||
|
| |||||||||
Total Asset-Backed Securities | 62,055,327 | |||||||||
|
| |||||||||
COLLATERALIZED MORTGAGE OBLIGATIONS – 3.4% | ||||||||||
GSE Risk Share Floating Rate – 2.8% | ||||||||||
Federal Home Loan Mortgage Corp. Structured | 1,940 | 1,859,207 | ||||||||
Series 2014-DN2, Class M1 | 345 | 345,050 | ||||||||
Series 2014-DN3, Class M3 | 1,965 | 1,810,592 | ||||||||
Series 2014-DN4, Class M3 | 250 | 237,621 | ||||||||
Series 2014-HQ3, Class M3 | 1,210 | 1,161,691 | ||||||||
Series 2015-DNA1, Class M3 | 315 | 283,938 | ||||||||
Series 2015-DNA2, Class M2 | 2,100 | 2,081,599 | ||||||||
Series 2015-DNA3, Class M3 | 417 | 367,181 | ||||||||
Series 2015-HQ1, Class M2 | 535 | 533,548 | ||||||||
Series 2015-HQA1, Class M2 | 1,880 | 1,857,367 | ||||||||
Federal National Mortgage Association Connecticut Avenue Securities | 447 | 445,376 | ||||||||
Series 2014-C04, Class 1M2 | 1,111 | 1,064,550 | ||||||||
Series 2014-C04, Class 2M2 | 415 | 401,155 | ||||||||
Series 2015-C01, Class 1M2 | 835 | 796,802 | ||||||||
Series 2015-C01, Class 2M2 | 732 | 718,084 |
AB POOLING PORTFOLIOS • | 115 |
AB Bond Inflation Protection Portfolio—Portfolio of Investments
Principal Amount (000) | U.S. $ Value | |||||||||
| ||||||||||
Series 2015-C02, Class 2M2 | U.S.$ | 895 | $ | 827,973 | ||||||
Series 2015-C03, Class 1M1 | 650 | 648,950 | ||||||||
Series 2015-C03, Class 1M2 | 340 | 315,043 | ||||||||
Series 2015-C03, Class 2M2 | 1,095 | 1,015,672 | ||||||||
Series 2015-C04, Class 1M2 | 417 | 395,805 | ||||||||
Series 2015-C04, Class 2M2 | 637 | 601,240 | ||||||||
|
| |||||||||
17,768,444 | ||||||||||
|
| |||||||||
Non-Agency Floating Rate – 0.6% | ||||||||||
Bellemeade Re Ltd. | 811 | 799,532 | ||||||||
JP Morgan Chase Commercial Mortgage Securities Trust | 1,779 | 1,764,128 | ||||||||
Wells Fargo Credit Risk Transfer Securities Trust | 488 | 488,022 | ||||||||
Series 2015-WF1, Class 2M1 | 585 | 585,186 | ||||||||
|
| |||||||||
3,636,868 | ||||||||||
|
| |||||||||
Total Collateralized Mortgage Obligations | 21,405,312 | |||||||||
|
| |||||||||
CORPORATES - NON-INVESTMENT GRADE – 2.8% | ||||||||||
Financial Institutions – 1.3% | ||||||||||
Banking – 1.2% | ||||||||||
Bank of America Corp. | 480 | 489,600 | ||||||||
Barclays Bank PLC | 255 | 278,320 | ||||||||
7.625%, 11/21/22 | 596 | 602,705 | ||||||||
7.75%, 4/10/23 | 686 | 695,046 | ||||||||
Credit Suisse Group AG | 305 | 295,088 | ||||||||
HBOS Capital Funding LP | EUR | 2,440 | 2,654,352 |
116 | • AB POOLING PORTFOLIOS |
AB Bond Inflation Protection Portfolio—Portfolio of Investments
Principal Amount (000) | U.S. $ Value | |||||||||
| ||||||||||
Intesa Sanpaolo SpA | U.S.$ | 1,365 | $ | 1,254,204 | ||||||
Royal Bank of Scotland Group PLC | 300 | 291,750 | ||||||||
Royal Bank of Scotland PLC (The) | 81 | 85,211 | ||||||||
Societe Generale SA | 230 | 225,975 | ||||||||
8.00%, 9/29/25(c)(d) | 710 | 646,408 | ||||||||
|
| |||||||||
7,518,659 | ||||||||||
|
| |||||||||
Finance – 0.1% | ||||||||||
AerCap Aviation Solutions BV | 453 | 467,722 | ||||||||
International Lease Finance Corp. | 539 | 569,319 | ||||||||
|
| |||||||||
1,037,041 | ||||||||||
|
| |||||||||
8,555,700 | ||||||||||
|
| |||||||||
Industrial – 1.2% | ||||||||||
Basic – 0.2% | ||||||||||
Freeport-McMoran Oil & Gas LLC/FCX Oil & Gas, Inc. | 257 | 189,538 | ||||||||
Novelis, Inc. | 166 | 165,170 | ||||||||
Teck Resources Ltd. | 1,645 | 1,069,250 | ||||||||
|
| |||||||||
1,423,958 | ||||||||||
|
| |||||||||
Communications - Media – 0.0% | ||||||||||
CSC Holdings LLC | 268 | 288,100 | ||||||||
|
| |||||||||
Communications - Telecommunications – 0.3% | ||||||||||
Numericable-SFR SA | EUR | 283 | 307,677 | |||||||
Sprint Capital Corp. | U.S.$ | 2,165 | 1,845,662 | |||||||
|
| |||||||||
2,153,339 | ||||||||||
|
| |||||||||
Consumer Cyclical - Other – 0.2% | ||||||||||
KB Home | 632 | 603,560 | ||||||||
MCE Finance Ltd. | 385 | 358,050 | ||||||||
|
| |||||||||
961,610 | ||||||||||
|
|
AB POOLING PORTFOLIOS • | 117 |
AB Bond Inflation Protection Portfolio—Portfolio of Investments
Principal Amount (000) | U.S. $ Value | |||||||||
| ||||||||||
Consumer Non-Cyclical – 0.1% | ||||||||||
Valeant Pharmaceuticals International, | U.S.$ | 795 | $ | 667,303 | ||||||
|
| |||||||||
Energy – 0.3% | ||||||||||
Cenovus Energy, Inc. | 303 | 264,394 | ||||||||
ONEOK, Inc. | 1,321 | 980,843 | ||||||||
SM Energy Co. | 74 | 29,415 | ||||||||
Transocean, Inc. | 785 | 463,150 | ||||||||
|
| |||||||||
1,737,802 | ||||||||||
|
| |||||||||
Technology – 0.1% | ||||||||||
Advanced Micro Devices, Inc. | 605 | 441,650 | ||||||||
|
| |||||||||
7,673,762 | ||||||||||
|
| |||||||||
Utility – 0.2% | ||||||||||
Electric – 0.2% | ||||||||||
AES Corp./VA | 700 | 729,750 | ||||||||
NRG Energy, Inc. | 532 | 441,560 | ||||||||
|
| |||||||||
1,171,310 | ||||||||||
|
| |||||||||
Non Corporate Sectors – 0.1% | ||||||||||
Agencies - Not Government Guaranteed – 0.1% | ||||||||||
NOVA Chemicals Corp. | 730 | 719,050 | ||||||||
|
| |||||||||
Total Corporates - Non-Investment Grade | 18,119,822 | |||||||||
|
| |||||||||
GOVERNMENTS - SOVEREIGN AGENCIES – 0.6% | ||||||||||
Brazil – 0.2% | ||||||||||
Petrobras Global Finance BV | 1,450 | 1,160,000 | ||||||||
|
| |||||||||
Colombia – 0.1% | ||||||||||
Ecopetrol SA | 547 | 382,900 | ||||||||
|
|
118 | • AB POOLING PORTFOLIOS |
AB Bond Inflation Protection Portfolio—Portfolio of Investments
Principal Amount (000) | U.S. $ Value | |||||||||
| ||||||||||
Israel – 0.2% | ||||||||||
Israel Electric Corp. Ltd. | U.S.$ | 1,380 | $ | 1,410,360 | ||||||
|
| |||||||||
United Kingdom – 0.1% | ||||||||||
Royal Bank of Scotland Group PLC | 735 | 663,264 | ||||||||
|
| |||||||||
Total Governments - Sovereign Agencies | 3,616,524 | |||||||||
|
| |||||||||
QUASI-SOVEREIGNS – 0.4% | ||||||||||
Quasi-Sovereign Bonds – 0.4% | ||||||||||
Chile – 0.3% | ||||||||||
Corp Nacional del Cobre de Chile | 1,350 | 1,336,098 | ||||||||
Empresa de Transporte de Pasajeros | 586 | 603,525 | ||||||||
|
| |||||||||
1,939,623 | ||||||||||
|
| |||||||||
Mexico – 0.1% | ||||||||||
Petroleos Mexicanos | 526 | 522,055 | ||||||||
|
| |||||||||
Total Quasi-Sovereigns | 2,461,678 | |||||||||
|
| |||||||||
EMERGING MARKETS - TREASURIES – 0.4% | ||||||||||
Brazil – 0.4% | ||||||||||
Brazil Notas do Tesouro Nacional | BRL | 10,010 | 2,416,391 | |||||||
|
| |||||||||
Shares | ||||||||||
COMMON STOCKS – 0.2% | ||||||||||
Financials – 0.2% | ||||||||||
Insurance – 0.2% | ||||||||||
Mt Logan Re Ltd. (Preference Shares)(h)(i)(j) | 1,100 | 1,108,802 | ||||||||
|
| |||||||||
Principal Amount (000) | ||||||||||
EMERGING MARKETS -CORPORATE BONDS – 0.1% | ||||||||||
Industrial – 0.1% | ||||||||||
Capital Goods – 0.0% | ||||||||||
Odebrecht Finance Ltd. | U.S.$ | 793 | 344,955 | |||||||
|
|
AB POOLING PORTFOLIOS • | 119 |
AB Bond Inflation Protection Portfolio—Portfolio of Investments
Principal Amount (000) | U.S. $ Value | |||||||||||
| ||||||||||||
Communications - Telecommunications – 0.1% | ||||||||||||
Comcel Trust via Comunicaciones Celulares SA | U.S.$ | 387 | $ | 345,398 | ||||||||
|
| |||||||||||
Consumer Non-Cyclical – 0.0% | ||||||||||||
Virgolino de Oliveira Finance SA | 761 | 20,014 | ||||||||||
11.75%, 2/09/22(g)(k) | 270 | 7,101 | ||||||||||
|
| |||||||||||
27,115 | ||||||||||||
|
| |||||||||||
Total Emerging Markets - Corporate Bonds | 717,468 | |||||||||||
|
| |||||||||||
Shares | ||||||||||||
PREFERRED STOCKS – 0.1% | ||||||||||||
Financial Institutions – 0.1% | ||||||||||||
Insurance – 0.1% | ||||||||||||
Allstate Corp. (The) | 27,700 | 697,763 | ||||||||||
|
| |||||||||||
Principal Amount (000) | ||||||||||||
GOVERNMENTS - | ||||||||||||
Mexico – 0.1% | ||||||||||||
Mexico Government International Bond | U.S.$ | 348 | 387,498 | |||||||||
|
| |||||||||||
Shares | ||||||||||||
SHORT-TERM INVESTMENTS – 5.7% | ||||||||||||
Investment Companies – 4.2% | ||||||||||||
AB Fixed Income Shares, Inc. – Government STIF Portfolio, 0.40%(l)(m) | 26,955,334 | 26,955,334 | ||||||||||
|
|
120 | • AB POOLING PORTFOLIOS |
AB Bond Inflation Protection Portfolio—Portfolio of Investments
Principal Amount (000) | U.S. $ Value | |||||||||||
| ||||||||||||
Repurchase Agreements – 1.5% | ||||||||||||
JP Morgan Term Repo | U.S.$ | 9,416 | $ | 9,416,250 | ||||||||
|
| |||||||||||
Total Short-Term Investments | 36,371,584 | |||||||||||
|
| |||||||||||
Total Investments – 142.5% | 906,176,617 | |||||||||||
Other assets less liabilities – (42.5)% | (270,241,733 | ) | ||||||||||
|
| |||||||||||
Net Assets – 100.0% | $ | 635,934,884 | ||||||||||
|
|
FUTURES (see Note C)
Type | Number of Contracts | Expiration Month | Original Value | Value at February 29, 2016 | Unrealized Appreciation/ (Depreciation) | |||||||||||||||
Purchased Contracts |
| |||||||||||||||||||
Canada 10 Yr Bond Futures | 70 | June 2016 | $ | 7,341,877 | $ | 7,324,390 | $ | (17,487 | ) | |||||||||||
U.S. Ultra Bond (CBT) Futures | 40 | June 2016 | 6,956,920 | 6,926,250 | (30,670 | ) | ||||||||||||||
Sold Contracts | ||||||||||||||||||||
Euro-BOBL Futures | 183 | March 2016 | 26,249,690 | 26,542,887 | (293,197 | ) | ||||||||||||||
U.S. T-Note 2 Yr (CBT) Futures | 165 | June 2016 | 36,103,863 | 36,060,235 | 43,628 | |||||||||||||||
U.S. T-Note 5 Yr (CBT) Futures | 393 | June 2016 | 47,571,137 | 47,546,859 | 24,278 | |||||||||||||||
U.S. T-Note 10 Yr (CBT) Futures | 208 | June 2016 | 27,126,038 | 27,147,250 | (21,212 | ) | ||||||||||||||
|
| |||||||||||||||||||
$ | (294,660 | ) | ||||||||||||||||||
|
|
AB POOLING PORTFOLIOS • | 121 |
AB Bond Inflation Protection Portfolio—Portfolio of Investments
FORWARD CURRENCY EXCHANGE CONTRACTS (see Note C)
Counterparty | Contracts to Deliver (000) | In Exchange For (000) | Settlement Date | Unrealized Appreciation/ (Depreciation) | ||||||||||||||||||||
BNP Paribas SA | USD | 1,342 | JPY | 149,537 | 3/25/16 | $ | (14,860 | ) | ||||||||||||||||
BNP Paribas SA | USD | 4,462 | NOK | 38,553 | 4/06/16 | (32,964 | ) | |||||||||||||||||
Goldman Sachs Bank USA | BRL | 10,511 | USD | 2,286 | 1/04/17 | (119,408 | ) | |||||||||||||||||
HSBC Bank USA | TWD | 172,282 | USD | 5,135 | 3/18/16 | (39,162 | ) | |||||||||||||||||
HSBC Bank USA | USD | 2,266 | MXN | 41,263 | 4/14/16 | 2,024 | ||||||||||||||||||
JPMorgan Chase Bank | JPY | 1,300,000 | USD | 10,902 | 3/25/16 | (635,983 | ) | |||||||||||||||||
Standard Chartered Bank | SGD | 7,031 | USD | 4,980 | 4/08/16 | (16,959 | ) | |||||||||||||||||
State Street Bank & Trust Co. | EUR | 5,180 | USD | 5,614 | 3/04/16 | (21,230 | ) | |||||||||||||||||
State Street Bank & Trust Co. | USD | 4,865 | JPY | 558,856 | 3/25/16 | 95,101 | ||||||||||||||||||
|
| |||||||||||||||||||||||
$ | (783,441 | ) | ||||||||||||||||||||||
|
|
CENTRALLY CLEARED CREDIT DEFAULT SWAPS (see Note C)
Clearing Broker/(Exchange) & Referenced Obligation | Fixed Rate (Pay) Receive | Implied Credit Spread at February 29, 2016 | Notional Amount (000) | Market Value | Unrealized Appreciation/ (Depreciation) | |||||||||||||||
Buy Contracts |
| |||||||||||||||||||
Citigroup Global Markets, Inc./(INTRCONX) | ||||||||||||||||||||
CDX-NAHY Series 21, 5 Year Index, 12/20/18* | (5.00 | )% | 3.63 | % | $ | 14,957 | $ | (683,404 | ) | $ | (87,827 | ) | ||||||||
Morgan Stanley & Co., LLC/(INTRCONX) | ||||||||||||||||||||
CDX-NAHY Series 21, 5 Year Index, 12/20/18* | (5.00 | ) | 3.63 | 5,995 | (273,932 | ) | (138,487 | ) | ||||||||||||
CDX-NAIG Series 22, 5 Year Index, 6/20/19* | (1.00 | ) | 0.95 | 23,810 | (83,763 | ) | 138,696 | |||||||||||||
|
|
|
| |||||||||||||||||
$ | (1,041,099 | ) | $ | (87,618 | ) | |||||||||||||||
|
|
|
|
* | Termination date |
CENTRALLY CLEARED INTEREST RATE SWAPS (see Note C)
Rate Type | ||||||||||||||||
Clearing Broker /(Exchange) | Notional Amount (000) | Termination Date | Payments made by the Fund | Payments received by the Fund | Unrealized Appreciation/ (Depreciation) | |||||||||||
Morgan Stanley & Co., LLC/(CME Group) | CAD | 35,660 | 3/10/17 | 0.973% | 3 Month CDOR | $ | (68,228 | ) | ||||||||
Morgan Stanley & Co., LLC/(CME Group) | AUD | 47,230 | 3/11/17 | 2.140% | 3 Month BBSW | 7,839 | ||||||||||
Morgan Stanley & Co., LLC/(CME Group) | CAD | 33,470 | 6/05/17 | 1.054% | 3 Month CDOR | (92,873 | ) |
122 | • AB POOLING PORTFOLIOS |
AB Bond Inflation Protection Portfolio—Portfolio of Investments
Rate Type | ||||||||||||||||
Clearing Broker /(Exchange) | Notional Amount (000) | Termination Date | Payments made by the Fund | Payments received by the Fund | Unrealized Appreciation/ (Depreciation) | |||||||||||
Morgan Stanley & Co., LLC/(CME Group) | NZD | 65,930 | 6/09/17 | 3.366% | 3 Month BKBM | $ | (567,681 | ) | ||||||||
Morgan Stanley & Co., LLC/(CME Group) | AUD | 42,090 | 6/09/17 | 2.218% | 3 Month BBSW | (53,432 | ) | |||||||||
Morgan Stanley & Co., LLC/(CME Group) | 28,930 | 10/30/17 | 1.915% | 3 Month BBSW | 41,544 | |||||||||||
Morgan Stanley & Co., LLC/(CME Group) | $ | 43,660 | 5/06/19 | 3 Month LIBOR | 1.751% | 1,326,895 | ||||||||||
Morgan Stanley & Co., LLC/(CME Group) | 8,240 | 7/02/19 | 3 Month LIBOR | 1.701% | 213,154 | |||||||||||
Morgan Stanley & Co., LLC/(CME Group) | 14,230 | 10/31/19 | 3 Month LIBOR | 1.747% | 460,532 | |||||||||||
Morgan Stanley & Co., LLC/(CME Group) | 14,575 | 5/18/20 | 3 Month LIBOR | 1.663% | 432,216 | |||||||||||
Morgan Stanley & Co., LLC/(CME Group) | GBP | 12,180 | 6/05/20 | 6 Month LIBOR | 1.651% | 644,704 | ||||||||||
Morgan Stanley & Co., LLC/(CME Group) | $ | 12,070 | 8/11/20 | 3 Month LIBOR | 1.712% | 338,731 | ||||||||||
Morgan Stanley & Co., LLC/(CME Group) | 4,910 | 1/14/24 | 2.980% | 3 Month LIBOR | (596,600 | ) | ||||||||||
Morgan Stanley & Co., LLC/(CME Group) | 4,330 | 2/14/24 | 2.889% | 3 Month LIBOR | (489,751 | ) | ||||||||||
Morgan Stanley & Co., LLC/(CME Group) | 6,120 | 4/28/24 | 2.817% | 3 Month LIBOR | (716,363 | ) | ||||||||||
Morgan Stanley & Co., LLC/(CME Group) | 4,360 | 5/06/24 | 2.736% | 3 Month LIBOR | (480,216 | ) | ||||||||||
Morgan Stanley & Co., LLC/(CME Group) | 3,520 | 5/29/24 | 3 Month LIBOR | 2.628% | 352,880 | |||||||||||
Morgan Stanley & Co., LLC/(CME Group) | 8,860 | 7/02/24 | 2.632% | 3 Month LIBOR | (862,959 | ) | ||||||||||
Morgan Stanley & Co., LLC/(CME Group) | 4,440 | 7/10/24 | 2.674% | 3 Month LIBOR | (446,394 | ) | ||||||||||
Morgan Stanley & Co., LLC/(CME Group) | 3,550 | 7/18/24 | 3 Month LIBOR | 2.668% | 353,998 | |||||||||||
Morgan Stanley & Co., LLC/(CME Group) | 5,140 | 9/24/24 | 3 Month LIBOR | 2.691% | 568,289 | |||||||||||
Morgan Stanley & Co., LLC/(CME Group) | AUD | 7,190 | 3/11/25 | 6 Month BBSW | 2.973% | 225,798 | ||||||||||
Morgan Stanley & Co., LLC/(CME Group) | $ | 4,250 | 4/21/25 | 1.991% | 3 Month LIBOR | (203,206 | ) | |||||||||
Morgan Stanley & Co., LLC/(CME Group) | NZD | 7,685 | 6/09/25 | 3 Month BKBM | 4.068% | 442,727 | ||||||||||
Morgan Stanley & Co., LLC/(CME Group) | AUD | 4,560 | 6/09/25 | 6 Month BBSW | 3.384% | 249,524 | ||||||||||
Morgan Stanley & Co., LLC/(CME Group) | $ | 2,500 | 6/09/25 | 2.488% | 3 Month LIBOR | (224,009 | ) | |||||||||
Morgan Stanley & Co., LLC/(CME Group) | 8,120 | 8/04/25 | 2.293% | 3 Month LIBOR | (560,769 | ) | ||||||||||
Morgan Stanley & Co., LLC/(CME Group) | 3,450 | 11/10/35 | 2.631% | 3 Month LIBOR | (417,163 | ) | ||||||||||
Morgan Stanley & Co., LLC/(CME Group) | GBP | 1,130 | 6/05/45 | 2.396% | 6 Month LIBOR | (348,980 | ) | |||||||||
Morgan Stanley & Co., LLC/(CME Group) | $ | 1,050 | 8/06/45 | 2.692% | 3 Month LIBOR | (151,319 | ) | |||||||||
|
| |||||||||||||||
$ | (621,112 | ) | ||||||||||||||
|
|
AB POOLING PORTFOLIOS • | 123 |
AB Bond Inflation Protection Portfolio—Portfolio of Investments
CREDIT DEFAULT SWAPS (see Note C)
Swap Counterparty & Referenced Obligation | Fixed Rate (Pay) Receive | Implied Credit Spread at 2016 | Notional (000) | Market Value | Upfront Premiums Paid (Received) | Unrealized Appreciation/ (Depreciation) | ||||||||||||||||||
Buy Contracts | ||||||||||||||||||||||||
Citibank, NA | ||||||||||||||||||||||||
Advanced Micro Devices, Inc., | (5.00 | )% | 11.96 | % | $ | 605 | $ | 96,490 | $ | 33,038 | $ | 63,452 | ||||||||||||
Sprint Communications, Inc., | (5.00 | ) | 11.39 | 1,009 | 157,018 | (40,972 | ) | 197,990 | ||||||||||||||||
Sprint Communications, Inc., | (5.00 | ) | 11.39 | 1,156 | 179,894 | (48,673 | ) | 228,567 | ||||||||||||||||
Sale Contracts | ||||||||||||||||||||||||
Bank of America, NA | ||||||||||||||||||||||||
Societe Generale, | 3.00 | 0.62 | EUR | 1,400 | 74,889 | 33,017 | 41,872 | |||||||||||||||||
Credit Suisse International | ||||||||||||||||||||||||
Anadarko Petroleum Corp., | 1.00 | 2.47 | $ | 2,140 | (49,453 | ) | (23,427 | ) | (26,026 | ) | ||||||||||||||
Kohl’s Corp., | 1.00 | 0.87 | 227 | 1,109 | (2,026 | ) | 3,135 | |||||||||||||||||
Kohl’s Corp., | 1.00 | 0.87 | 92 | 449 | (820 | ) | 1,269 | |||||||||||||||||
Kohl’s Corp., | 1.00 | 0.87 | 92 | 451 | (825 | ) | 1,276 | |||||||||||||||||
Kohl’s Corp., | 1.00 | 0.87 | 134 | 657 | (1,077 | ) | 1,734 | |||||||||||||||||
|
|
|
|
|
| |||||||||||||||||||
$ | 461,504 | $ | (51,765 | ) | $ | 513,269 | ||||||||||||||||||
|
|
|
|
|
|
* | Termination date |
INFLATION (CPI) SWAPS (see Note C)
Rate Type | ||||||||||||||||
Swap Counterparty | Notional Amount (000) | Termination Date | Payments made by the | Payments received by | Unrealized Appreciation/ (Depreciation) | |||||||||||
Barclays Bank PLC | $ | 2,520 | 7/15/19 | 1.370% | CPI# | $ | (12,014 | ) | ||||||||
Barclays Bank PLC | 42,130 | 7/15/20 | 1.527% | CPI# | (381,289 | ) |
124 | • AB POOLING PORTFOLIOS |
AB Bond Inflation Protection Portfolio—Portfolio of Investments
Rate Type | ||||||||||||||||
Swap Counterparty | Notional Amount (000) | Termination Date | Payments made by the | Payments received by | Unrealized Appreciation/ (Depreciation) | |||||||||||
Barclays Bank PLC | $ | 14,120 | 1/15/21 | 1.490% | CPI# | $ | (145,686 | ) | ||||||||
JPMorgan Chase Bank, NA | 17,240 | 1/15/20 | 1.795% | CPI# | (349,488 | ) | ||||||||||
|
| |||||||||||||||
$ | (888,477 | ) | ||||||||||||||
|
|
# | Variable interest rate based on the rate of inflation as determined by the Consumer Price Index (CPI). |
INTEREST RATE SWAPS (see Note C)
Rate Type | ||||||||||||||||
Swap Counterparty | Notional Amount (000) | Termination Date | Payments made by the | Payments received by the Fund | Unrealized Appreciation/ (Depreciation) | |||||||||||
Morgan Stanley Capital Services LLC | $ | 5,480 | 2/21/42 | 2.813% | 3 Month LIBOR | $ | (889,484 | ) | ||||||||
Morgan Stanley Capital Services LLC | 3,990 | 3/06/42 | 2.804% | 3 Month LIBOR | (688,231 | ) | ||||||||||
|
| |||||||||||||||
$ | (1,577,715 | ) | ||||||||||||||
|
|
REVERSE REPURCHASE AGREEMENTS (see Note C)
Broker | Interest Rate | Maturity | U.S. $ 2016 | |||||||||
Barclays Capital, Inc. | 0.46 | % | 2/16/18 | $ | 1,776,547 | |||||||
HSBC | 0.40 | % | 2/02/18 | 10,066,338 | ||||||||
HSBC | 0.55 | % | 4/06/16 | 15,117,462 | ||||||||
HSBC | 0.57 | % | 4/12/16 | 38,507,287 | ||||||||
HSBC | 0.57 | % | 4/19/16 | 23,073,658 | ||||||||
HSBC | 0.58 | % | 4/11/16 | 33,591,565 | ||||||||
HSBC | 0.65 | % | 4/27/16 | 16,995,233 | ||||||||
JPMorgan Chase | 0.53 | % | 4/13/16 | 24,947,601 | ||||||||
JPMorgan Chase | 0.53 | % | 4/14/16 | 11,238,546 | ||||||||
JPMorgan Chase | 0.55 | % | 4/05/16 | 51,274,267 | ||||||||
JPMorgan Chase | 0.57 | % | 4/25/16 | 51,172,902 | ||||||||
|
| |||||||||||
$ | 277,761,406 | |||||||||||
|
|
The type of underlying collateral and the remaining maturity of open reverse repurchase agreements in relation to the reverse repurchase agreements on the statements of assets and liabilities is as follows:
Remaining Contracted Maturity of the Agreements
Reverse Repurchase Agreements
Overnight and Continuous | Up to 30 Days | 31-90 Days | Greater than 90 Days | Total | ||||||||||||||||
Inflation-Linked Securities | $ | – 0 | – | $ | – 0 | – | $ | 265,918,521 | $ | 11,842,885 | $ | 277,761,406 |
AB POOLING PORTFOLIOS • | 125 |
AB Bond Inflation Protection Portfolio—Portfolio of Investments
(a) | Position, or a portion thereof, has been segregated to collateralize reverse repurchase agreements. |
(b) | Position, or a portion thereof, has been segregated to collateralize OTC derivatives outstanding. |
(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, 2016, the aggregate market value of these securities amounted to $90,143,484 or 14.2% of net assets. |
(d) | Securities are perpetual and, thus, do not have a predetermined maturity date. The date shown, if applicable, reflects the next call date. |
(e) | Floating Rate Security. Stated interest rate was in effect at February 29, 2016. |
(f) | Variable rate coupon, rate shown as of February 29, 2016. |
(g) | Security is exempt from registration under Rule 144A of the Securities Act of 1933. These securities, which represent 0.09% of net assets as of February 29, 2016, are considered illiquid and restricted. |
Restricted Securities | Acquisition Date | Cost | Market Value | Percentage of Net Assets | ||||||||||||
Virgolino de Oliveira Finance SA | ||||||||||||||||
10.50%, 1/28/18 | 1/24/14 | $ | 420,912 | $ | 20,014 | 0.00 | % | |||||||||
Virgolino de Oliveira Finance SA | ||||||||||||||||
11.75%, 2/09/22 | 1/30/14 | 132,510 | 7,101 | 0.00 | % | |||||||||||
Wells Fargo Credit Risk | ||||||||||||||||
3.286%, 11/25/25 | 9/28/15 | 585,016 | 585,186 | 0.09 | % |
(h) | Effective prepayment date of April 2017. |
(i) | The security is subject to a 12 month lock-up period, after which semi-annual redemptions are permitted. |
(j) | Restricted and illiquid security. |
Restricted Securities | Acquisition Date | Cost | Market Value | Percentage of Net Assets | ||||||||||||
Mt Logan Re Ltd. (Preference Shares) | 12/30/14 | $ | 1,100,000 | $ | 1,108,802 | 0.17 | % |
(k) | Security is in default and is non-income producing. |
(l) | To obtain a copy of the fund’s financial statements, please go to the Securities and Exchange Commission’s website at www.sec.gov, or call AB at (800) 227-4618. |
(m) | Investment in affiliated money market mutual fund. The rate shown represents the 7-day yield as of period end. |
Currency Abbreviations:
AUD | – Australian Dollar |
BRL | – Brazilian Real |
CAD | – Canadian Dollar |
EUR | – Euro |
GBP | – Great British Pound |
JPY | – Japanese Yen |
MXN | – Mexican Peso |
NOK | – Norwegian Krone |
NZD | – New Zealand Dollar |
SGD | – Singapore Dollar |
TWD | – New Taiwan Dollar |
USD | – United States Dollar |
Glossary:
ABS | – Asset-Backed Securities |
BBSW | – Bank Bill Swap Reference Rate (Australia) |
126 | • AB POOLING PORTFOLIOS |
AB Bond Inflation Protection Portfolio—Portfolio of Investments
BKBM | – Bank Bill Benchmark (New Zealand) |
BOBL | – Bundesobligationen |
CBT | – Chicago Board of Trade |
CDOR | – Canadian Dealer Offered Rate |
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 |
CME | – Chicago Mercantile Exchange |
FHLMC | – Federal Home Loan Mortgage Corporation |
GSE | – Government-Sponsored Enterprise |
INTRCONX | – Inter-Continental Exchange |
LIBOR | – London Interbank Offered Rates |
REIT | – Real Estate Investment Trust |
TIPS | – Treasury Inflation Protected Security |
See notes to financial statements.
AB POOLING PORTFOLIOS • | 127 |
AB Bond Inflation Protection Portfolio—Portfolio of Investments
AB HIGH-YIELD PORTFOLIO
PORTFOLIO OF INVESTMENTS
February 29, 2016 (unaudited)
Principal Amount (000) | U.S. $ Value | |||||||||
| ||||||||||
CORPORATES - NON-INVESTMENT GRADE – 68.7% | ||||||||||
Industrial – 56.1% | ||||||||||
Basic – 3.8% | ||||||||||
AK Steel Corp. | U.S.$ | 445 | $ | 269,225 | ||||||
Aleris International, Inc. | 221 | 194,480 | ||||||||
7.875%, 11/01/20 | 193 | 151,505 | ||||||||
ArcelorMittal | 180 | 160,650 | ||||||||
6.125%, 6/01/18-6/01/25 | 1,937 | 1,884,272 | ||||||||
6.50%, 3/01/21 | 249 | 224,100 | ||||||||
8.00%, 10/15/39 | 374 | 294,151 | ||||||||
Cliffs Natural Resources, Inc. | 55 | 11,138 | ||||||||
8.25%, 3/31/20(b) | 323 | 240,635 | ||||||||
Consolidated Energy Finance SA | 890 | 769,850 | ||||||||
Freeport-McMoRan, Inc. | 559 | 482,137 | ||||||||
3.875%, 3/15/23 | 1,442 | 948,115 | ||||||||
5.40%, 11/14/34 | 153 | 89,123 | ||||||||
5.45%, 3/15/43 | 338 | 196,040 | ||||||||
Jefferson Smurfit Corp./US | 630 | 315 | ||||||||
Joseph T. Ryerson & Son, Inc. | 479 | 368,830 | ||||||||
Lundin Mining Corp. | 108 | 88,560 | ||||||||
Magnetation LLC/Mag Finance Corp. | 645 | 19,350 | ||||||||
Momentive Performance Materials, Inc. | 461 | 313,480 | ||||||||
8.875%, 10/15/20(d)(g)(h) | 461 | – 0 | – | |||||||
Novelis, Inc. | 164 | 163,180 | ||||||||
8.75%, 12/15/20 | 509 | 472,098 | ||||||||
Peabody Energy Corp. | 1,476 | 40,590 | ||||||||
10.00%, 3/15/22(b) | 280 | 9,800 | ||||||||
Smurfit-Stone Container Enterprises, Inc. | 650 | 325 | ||||||||
Steel Dynamics, Inc. | 84 | 78,750 | ||||||||
6.125%, 8/15/19 | 645 | 659,512 |
128 | • AB POOLING PORTFOLIOS |
AB High-Yield Portfolio—Portfolio of Investments
Principal Amount (000) | U.S. $ Value | |||||||||
| ||||||||||
Teck Resources Ltd. | U.S.$ | 16 | $ | 13,710 | ||||||
3.85%, 8/15/17 | 242 | 222,640 | ||||||||
4.50%, 1/15/21 | 353 | 229,450 | ||||||||
5.20%, 3/01/42 | 249 | 129,480 | ||||||||
5.40%, 2/01/43 | 216 | 112,320 | ||||||||
6.25%, 7/15/41 | 54 | 28,620 | ||||||||
Thompson Creek Metals Co., Inc. | 474 | 79,395 | ||||||||
9.75%, 12/01/17 | 378 | 297,675 | ||||||||
WR Grace & Co.-Conn | 211 | 219,440 | ||||||||
|
| |||||||||
9,462,941 | ||||||||||
|
| |||||||||
Capital Goods – 3.9% | ||||||||||
Abengoa Finance SAU | 240 | 25,800 | ||||||||
Accudyne Industries Borrower/Accudyne Industries LLC | 328 | 235,340 | ||||||||
American Builders & Contractors Supply Co., Inc. | 133 | 136,990 | ||||||||
Apex Tool Group LLC | 368 | 276,000 | ||||||||
Ardagh Finance Holdings SA | 432 | 402,474 | ||||||||
Ardagh Packaging Finance PLC | EUR | 145 | 163,259 | |||||||
Ardagh Packaging Finance PLC/Ardagh Holdings USA, Inc. | U.S.$ | 570 | 521,550 | |||||||
Berry Plastics Corp. | 299 | 299,000 | ||||||||
6.00%, 10/15/22(b) | 144 | 149,760 | ||||||||
Beverage Packaging Holdings Luxembourg II SA/Beverage Packaging Holdings II Issuer | 171 | 170,359 | ||||||||
Bombardier, Inc. | 536 | 377,880 | ||||||||
6.125%, 1/15/23(b) | 72 | 50,400 | ||||||||
7.50%, 3/15/25(b) | 556 | 390,590 | ||||||||
EnPro Industries, Inc. | 266 | 258,685 | ||||||||
Gardner Denver, Inc. | 441 | 293,265 | ||||||||
GFL Escrow Corp. | 250 | 253,750 |
AB POOLING PORTFOLIOS • | 129 |
AB High-Yield Portfolio—Portfolio of Investments
Principal Amount (000) | U.S. $ Value | |||||||||||
| ||||||||||||
KLX, Inc. | U.S.$ | 238 | $ | 226,695 | ||||||||
Milacron LLC/Mcron Finance Corp. | 308 | 255,640 | ||||||||||
MTW Foodservice Escrow Corp. | 63 | 66,386 | ||||||||||
Pactiv LLC | 597 | 513,420 | ||||||||||
Reynolds Group Issuer, Inc./Reynolds Group Issuer LLC/Reynolds Group Issuer Lu | 569 | 559,043 | ||||||||||
9.00%, 4/15/19 | 750 | 752,850 | ||||||||||
9.875%, 8/15/19 | 400 | 412,000 | ||||||||||
Sealed Air Corp. | 581 | 604,240 | ||||||||||
SPX FLOW, Inc. | 300 | 308,250 | ||||||||||
Standard Industries, Inc./NJ | 322 | 329,245 | ||||||||||
TransDigm, Inc. | 530 | 516,750 | ||||||||||
6.50%, 7/15/24 | 90 | 87,750 | ||||||||||
United Rentals North America, Inc. | 758 | 719,153 | ||||||||||
5.75%, 11/15/24 | 400 | 389,920 | ||||||||||
|
| |||||||||||
9,746,444 | ||||||||||||
|
| |||||||||||
Communications - Media – 8.4% | ||||||||||||
Altice Financing SA | 1,629 | 1,604,565 | ||||||||||
Arqiva Broadcast Finance PLC | GBP | 275 | 407,925 | |||||||||
CCO Holdings LLC/CCO Holdings Capital Corp. | U.S.$ | 445 | 441,662 | |||||||||
5.375%, 5/01/25(b) | 640 | 633,600 | ||||||||||
5.875%, 5/01/27(b) | 334 | 334,000 | ||||||||||
CCOH Safari LLC | 921 | 923,422 | ||||||||||
Cequel Communications Holdings I LLC/Cequel Capital Corp. | 855 | 784,462 | ||||||||||
Clear Channel Worldwide Holdings, Inc. | 525 | 476,437 | ||||||||||
Series B | 35 | 33,950 | ||||||||||
CSC Holdings LLC | 362 | 309,510 | ||||||||||
7.625%, 7/15/18 | 559 | 595,335 |
130 | • AB POOLING PORTFOLIOS |
AB High-Yield Portfolio—Portfolio of Investments
Principal Amount (000) | U.S. $ Value | |||||||||||
| ||||||||||||
DISH DBS Corp. | U.S.$ | 150 | $ | 132,750 | ||||||||
5.875%, 11/15/24 | 1,893 | 1,700,955 | ||||||||||
Hughes Satellite Systems Corp. | 265 | 286,863 | ||||||||||
iHeartCommunications, Inc. | 1,231 | 689,360 | ||||||||||
9.00%, 12/15/19-9/15/22 | 754 | 518,795 | ||||||||||
Intelsat Jackson Holdings SA | 1,484 | 964,600 | ||||||||||
Intelsat Luxembourg SA | 495 | 148,500 | ||||||||||
Mediacom Broadband LLC/Mediacom Broadband Corp. | 350 | 339,500 | ||||||||||
Neptune Finco Corp. | 209 | 221,018 | ||||||||||
10.125%, 1/15/23(b) | 933 | 997,144 | ||||||||||
Nielsen Finance LLC/Nielsen Finance Co. | 562 | 569,025 | ||||||||||
Radio One, Inc. | 400 | 355,000 | ||||||||||
9.25%, 2/15/20(b) | 511 | 371,753 | ||||||||||
RR Donnelley & Sons Co. | 390 | 401,700 | ||||||||||
Sinclair Television Group, Inc. | 755 | 753,112 | ||||||||||
6.125%, 10/01/22 | 121 | 124,630 | ||||||||||
Sirius XM Radio, Inc. | 595 | 624,750 | ||||||||||
Starz LLC/Starz Finance Corp. | 315 | 318,938 | ||||||||||
TEGNA, Inc. | 455 | 466,375 | ||||||||||
5.125%, 7/15/20 | 170 | 177,650 | ||||||||||
5.50%, 9/15/24(b) | 56 | 57,400 | ||||||||||
Time, Inc. | 959 | 807,957 | ||||||||||
Unitymedia Hessen GmbH & Co. KG/Unitymedia NRW GmbH | 273 | 273,852 | ||||||||||
5.50%, 1/15/23(b) | 307 | 321,583 | ||||||||||
Univision Communications, Inc. | 1,075 | 1,052,156 | ||||||||||
UPCB Finance IV Ltd. | 319 | 315,810 | ||||||||||
Videotron Ltd. | 500 | 511,250 |
AB POOLING PORTFOLIOS • | 131 |
AB High-Yield Portfolio—Portfolio of Investments
Principal Amount (000) | U.S. $ Value | |||||||||||
| ||||||||||||
Virgin Media Finance PLC | U.S.$ | 208 | $ | 183,560 | ||||||||
5.75%, 1/15/25(b) | 200 | 199,000 | ||||||||||
6.00%, 10/15/24(b) | 226 | 226,565 | ||||||||||
Wave Holdco LLC/Wave Holdco Corp. | 159 | 150,898 | ||||||||||
Ziggo Bond Finance BV | 262 | 254,140 | ||||||||||
|
| |||||||||||
21,061,457 | ||||||||||||
|
| |||||||||||
Communications - | ||||||||||||
Altice Luxembourg SA | EUR | 520 | 538,812 | |||||||||
7.625%, 2/15/25(b) | U.S.$ | 220 | 201,025 | |||||||||
7.75%, 5/15/22(b) | 332 | 321,210 | ||||||||||
CenturyLink, Inc. | 265 | 257,381 | ||||||||||
Series W | 335 | 327,463 | ||||||||||
Columbus International, Inc. | 829 | 852,834 | ||||||||||
CommScope Technologies Finance LLC | 162 | 160,380 | ||||||||||
Communications Sales & Leasing, Inc./CSL | 388 | 374,905 | ||||||||||
8.25%, 10/15/23 | 656 | 585,480 | ||||||||||
Frontier Communications Corp. | 655 | 580,494 | ||||||||||
7.125%, 3/15/19-1/15/23 | 812 | 753,547 | ||||||||||
7.625%, 4/15/24 | 579 | 506,625 | ||||||||||
7.875%, 1/15/27 | 127 | 98,425 | ||||||||||
9.00%, 8/15/31 | 360 | 293,400 | ||||||||||
10.50%, 9/15/22(b) | 92 | 92,920 | ||||||||||
11.00%, 9/15/25(b) | 596 | 596,745 | ||||||||||
Level 3 Financing, Inc. | 262 | 268,550 | ||||||||||
7.00%, 6/01/20 | 800 | 839,000 | ||||||||||
Numericable-SFR SA | 883 | 874,170 | ||||||||||
6.25%, 5/15/24(b) | 535 | 521,625 | ||||||||||
Sable International Finance Ltd. | 344 | 327,660 | ||||||||||
Sprint Capital Corp. | 95 | 68,875 | ||||||||||
8.75%, 3/15/32 | 1,310 | 1,008,700 |
132 | • AB POOLING PORTFOLIOS |
AB High-Yield Portfolio—Portfolio of Investments
Principal Amount (000) | U.S. $ Value | |||||||||
| ||||||||||
Sprint Communications, Inc. | U.S.$ | 425 | $ | 299,625 | ||||||
9.00%, 11/15/18(b) | 945 | 981,004 | ||||||||
Sprint Corp. | 360 | 256,500 | ||||||||
7.25%, 9/15/21 | 520 | 391,300 | ||||||||
7.625%, 2/15/25 | 1,665 | 1,190,475 | ||||||||
T-Mobile USA, Inc. | 900 | 942,750 | ||||||||
6.375%, 3/01/25 | 1,300 | 1,313,000 | ||||||||
6.50%, 1/15/24-1/15/26 | 1,153 | 1,178,519 | ||||||||
Telecom Italia Capital SA | 420 | 386,400 | ||||||||
7.20%, 7/18/36 | 330 | 306,900 | ||||||||
7.721%, 6/04/38 | 360 | 347,400 | ||||||||
Wind Acquisition Finance SA | 380 | 366,700 | ||||||||
6.50%, 4/30/20(b) | 510 | 516,375 | ||||||||
Windstream Services LLC | 460 | 333,500 | ||||||||
7.50%, 4/01/23 | 340 | 256,873 | ||||||||
Zayo Group LLC/Zayo Capital, Inc. | 345 | 339,825 | ||||||||
6.375%, 5/15/25 | 118 | 112,690 | ||||||||
|
| |||||||||
19,970,062 | ||||||||||
|
| |||||||||
Consumer Cyclical - Automotive – 1.8% | ||||||||||
Affinia Group, Inc. | 579 | 596,370 | ||||||||
Commercial Vehicle Group, Inc. | 536 | 447,560 | ||||||||
Exide Technologies | 1,019 | 774,120 | ||||||||
11.00%, 4/30/20(g)(i) | 1,381 | 1,104,599 | ||||||||
Gates Global LLC/Gates Global Co. | 286 | 212,712 | ||||||||
LKQ Corp. | 284 | 272,640 | ||||||||
Meritor, Inc. | 233 | 259,941 | ||||||||
Titan International, Inc. | 332 | 242,360 | ||||||||
ZF North America Capital, Inc. | 332 | 334,075 | ||||||||
4.75%, 4/29/25(b) | 441 | 421,155 | ||||||||
|
| |||||||||
4,665,532 | ||||||||||
|
|
AB POOLING PORTFOLIOS • | 133 |
AB High-Yield Portfolio—Portfolio of Investments
Principal Amount (000) | U.S. $ Value | |||||||||
| ||||||||||
Consumer Cyclical - Entertainment – 0.5% | ||||||||||
AMC Entertainment, Inc. | U.S.$ | 324 | $ | 334,935 | ||||||
Carlson Travel Holdings, Inc. | 304 | 264,480 | ||||||||
ClubCorp Club Operations, Inc. | 127 | 117,475 | ||||||||
Regal Entertainment Group | 645 | 645,431 | ||||||||
|
| |||||||||
1,362,321 | ||||||||||
|
| |||||||||
Consumer Cyclical - Other – 3.3% | ||||||||||
Beazer Homes USA, Inc. | 350 | 281,750 | ||||||||
Boyd Gaming Corp. | 470 | 495,850 | ||||||||
Caesars Entertainment Operating Co., Inc. | 145 | 110,200 | ||||||||
10.00%, 12/15/18(f) | 825 | 272,250 | ||||||||
Caesars Entertainment Resort Properties | 350 | 342,125 | ||||||||
Caesars Growth Properties Holdings | 380 | 298,300 | ||||||||
CalAtlantic Group, Inc. | 100 | 104,750 | ||||||||
DR Horton, Inc. | 500 | 508,750 | ||||||||
Eldorado Resorts, Inc. | 229 | 228,427 | ||||||||
International Game Technology PLC | 558 | 526,961 | ||||||||
6.50%, 2/15/25(b) | 650 | 578,500 | ||||||||
K. Hovnanian Enterprises, Inc. | 448 | 244,160 | ||||||||
KB Home | 290 | 276,950 | ||||||||
7.50%, 9/15/22 | 129 | 122,228 | ||||||||
MDC Holdings, Inc. | 46 | 44,505 | ||||||||
6.00%, 1/15/43 | 379 | 282,355 | ||||||||
Meritage Homes Corp. | 636 | 623,280 | ||||||||
7.00%, 4/01/22 | 45 | 46,688 |
134 | • AB POOLING PORTFOLIOS |
AB High-Yield Portfolio—Portfolio of Investments
Principal Amount (000) | U.S. $ Value | |||||||||
| ||||||||||
PulteGroup, Inc. | U.S.$ | 555 | $ | 535,575 | ||||||
6.375%, 5/15/33 | 86 | 86,860 | ||||||||
7.875%, 6/15/32 | 31 | 35,185 | ||||||||
Scientific Games International, Inc. | 131 | 127,398 | ||||||||
Shea Homes LP/Shea Homes Funding Corp. | 81 | 79,178 | ||||||||
6.125%, 4/01/25(b) | 624 | 611,520 | ||||||||
Studio City Finance Ltd. | 325 | 317,687 | ||||||||
Taylor Morrison Communities, Inc./Monarch | 215 | 192,425 | ||||||||
5.875%, 4/15/23(b) | 253 | 231,495 | ||||||||
Toll Brothers Finance Corp. | 157 | 160,532 | ||||||||
Wynn Las Vegas LLC/Wynn Las Vegas Capital | 219 | 218,452 | ||||||||
5.50%, 3/01/25(b) | 228 | 217,740 | ||||||||
Wynn Macau Ltd. | 200 | 184,500 | ||||||||
|
| |||||||||
8,386,576 | ||||||||||
|
| |||||||||
Consumer Cyclical - Restaurants – 0.5% | ||||||||||
1011778 BC ULC/New Red Finance, Inc. | 414 | 431,595 | ||||||||
Pizzaexpress Financing 1 PLC | GBP | 103 | 142,864 | |||||||
Pizzaexpress Financing 2 PLC | 107 | 150,002 | ||||||||
Stonegate Pub Co. Financing PLC | 330 | 454,143 | ||||||||
|
| |||||||||
1,178,604 | ||||||||||
|
| |||||||||
Consumer Cyclical - Retailers – 2.5% | ||||||||||
American Tire Distributors, Inc. | U.S.$ | 395 | 339,700 | |||||||
Argos Merger Sub, Inc. | 512 | 523,520 | ||||||||
Brighthouse Group PLC | GBP | 330 | 425,666 | |||||||
Cash America International, Inc. | U.S.$ | 544 | 534,480 | |||||||
Dollar Tree, Inc. | 384 | 408,480 | ||||||||
Group 1 Automotive, Inc. | 410 | 383,350 |
AB POOLING PORTFOLIOS • | 135 |
AB High-Yield Portfolio—Portfolio of Investments
Principal Amount (000) | U.S. $ Value | |||||||||
| ||||||||||
L Brands, Inc. | U.S.$ | 370 | $ | 393,125 | ||||||
8.50%, 6/15/19 | 820 | 960,425 | ||||||||
Levi Strauss & Co. | 269 | 269,027 | ||||||||
Neiman Marcus Group Ltd. LLC | 253 | 152,433 | ||||||||
Party City Holdings, Inc. | 302 | 295,960 | ||||||||
Rite Aid Corp. | 1,276 | 1,362,130 | ||||||||
Sally Holdings LLC/Sally Capital, Inc. | 225 | 234,000 | ||||||||
|
| |||||||||
6,282,296 | ||||||||||
|
| |||||||||
Consumer Non-Cyclical – 11.9% | ||||||||||
Acadia Healthcare Co., Inc. | 270 | 272,700 | ||||||||
6.50%, 3/01/24(b) | 56 | 57,820 | ||||||||
Air Medical Merger Sub Corp. | 570 | 495,900 | ||||||||
Alere, Inc. | 76 | 83,410 | ||||||||
AMAG Pharmaceuticals, Inc. | 162 | 140,940 | ||||||||
Amsurg Corp. | 243 | 250,290 | ||||||||
Aramark Services, Inc. | 67 | 70,183 | ||||||||
BI-LO LLC/BI-LO Finance Corp. | 729 | 473,850 | ||||||||
9.25%, 2/15/19(b) | 330 | 292,050 | ||||||||
Boparan Finance PLC | GBP | 121 | 154,951 | |||||||
5.50%, 7/15/21(b) | 225 | 270,811 | ||||||||
Care UK Health & Social Care PLC | 233 | 274,440 | ||||||||
Cerberus Nightingale 1 SARL | EUR | 520 | 554,595 | |||||||
CHS/Community Health Systems, Inc. | U.S.$ | 1,228 | 1,053,010 | |||||||
Concordia Healthcare Corp. | 60 | 52,200 | ||||||||
9.50%, 10/21/22(b) | 250 | 242,500 | ||||||||
Constellation Brands, Inc. | 522 | 533,745 |
136 | • AB POOLING PORTFOLIOS |
AB High-Yield Portfolio—Portfolio of Investments
Principal Amount (000) | U.S. $ Value | |||||||||
| ||||||||||
DaVita HealthCare Partners, Inc. | U.S.$ | 698 | $ | 696,255 | ||||||
Endo Finance LLC | 225 | 227,250 | ||||||||
Endo Finance LLC/Endo Finco, Inc. | 93 | 96,488 | ||||||||
Endo Ltd./Endo Finance LLC/Endo Finco, Inc. | 1,110 | 1,114,155 | ||||||||
Envision Healthcare Corp. | 553 | 555,765 | ||||||||
First Quality Finance Co., Inc. | 1,045 | 952,256 | ||||||||
Galaxy Bidco Ltd. | GBP | 215 | 288,774 | |||||||
Grifols Worldwide Operations Ltd. | U.S.$ | 270 | 279,112 | |||||||
HCA, Inc. | 1,727 | 1,778,810 | ||||||||
5.375%, 2/01/25 | 467 | 475,756 | ||||||||
5.875%, 2/15/26 | 1,079 | 1,111,370 | ||||||||
6.50%, 2/15/20 | 585 | 648,004 | ||||||||
Hill-Rom Holdings, Inc. | 75 | 77,063 | ||||||||
Horizon Pharma Financing,Inc. | 714 | 628,320 | ||||||||
HRG Group, Inc. | 762 | 794,385 | ||||||||
IASIS Healthcare LLC/IASIS Capital Corp. | 267 | 253,650 | ||||||||
Immucor, Inc. | 300 | 225,000 | ||||||||
Kinetic Concepts, Inc./KCI USA, Inc. | 110 | 113,300 | ||||||||
10.50%, 11/01/18 | 1,015 | 936,337 | ||||||||
Mallinckrodt International Finance SA | 262 | 256,760 | ||||||||
Mallinckrodt International Finance SA/Mallinckrodt CB LLC | 354 | 333,645 | ||||||||
5.625%, 10/15/23(b) | 330 | 324,225 | ||||||||
5.75%, 8/01/22(b) | 339 | 334,762 | ||||||||
MEDNAX, Inc. | 102 | 105,698 | ||||||||
MPH Acquisition Holdings LLC | 185 | 186,388 |
AB POOLING PORTFOLIOS • | 137 |
AB High-Yield Portfolio—Portfolio of Investments
Principal Amount (000) | U.S. $ Value | |||||||||
| ||||||||||
Pinnacle Foods Finance LLC/Pinnacle | U.S.$ | 102 | $ | 107,610 | ||||||
Post Holdings, Inc. | 752 | 797,120 | ||||||||
7.75%, 3/15/24(b) | 267 | 292,365 | ||||||||
8.00%, 7/15/25(b) | 244 | 269,010 | ||||||||
PRA Holdings, Inc. | 540 | 599,400 | ||||||||
R&R Ice Cream PLC | GBP | 358 | 503,265 | |||||||
RSI Home Products, Inc. | U.S.$ | 916 | 934,320 | |||||||
Smithfield Foods, Inc. | 660 | 671,550 | ||||||||
Spectrum Brands, Inc. | 276 | 290,835 | ||||||||
6.125%, 12/15/24 | 122 | 129,015 | ||||||||
Sun Products Corp. (The) | 548 | 482,240 | ||||||||
Synlab Bondco PLC | EUR | 264 | 292,218 | |||||||
Tenet Healthcare Corp. | U.S.$ | 450 | 433,125 | |||||||
6.875%, 11/15/31 | 1,011 | 758,250 | ||||||||
8.00%, 8/01/20 | 1,040 | 1,050,400 | ||||||||
8.125%, 4/01/22 | 446 | 438,472 | ||||||||
Valeant Pharmaceuticals International, Inc. | 697 | 580,252 | ||||||||
5.875%, 5/15/23(b) | 1,189 | 1,003,219 | ||||||||
6.125%, 4/15/25(b) | 1,890 | 1,586,419 | ||||||||
6.75%, 8/15/18(b) | 390 | 376,350 | ||||||||
Vizient, Inc. | 96 | 101,520 | ||||||||
Voyage Care Bondco PLC | GBP | 100 | 135,719 | |||||||
|
| |||||||||
29,899,597 | ||||||||||
|
| |||||||||
Energy – 6.5% | ||||||||||
Antero Resources Corp. | U.S.$ | 892 | 760,430 | |||||||
5.375%, 11/01/21 | 205 | 177,325 | ||||||||
5.625%, 6/01/23(b) | 218 | 186,390 | ||||||||
Berry Petroleum Co. LLC | 241 | 25,908 | ||||||||
BreitBurn Energy Partners LP/BreitBurn Finance Corp. | 447 | 44,700 |
138 | • AB POOLING PORTFOLIOS |
AB High-Yield Portfolio—Portfolio of Investments
Principal Amount (000) | U.S. $ Value | |||||||||
| ||||||||||
California Resources Corp. | U.S.$ | 93 | $ | 12,090 | ||||||
5.50%, 9/15/21 | 66 | 8,910 | ||||||||
6.00%, 11/15/24 | 27 | 3,510 | ||||||||
8.00%, 12/15/22(b) | 491 | 122,750 | ||||||||
Carrizo Oil & Gas, Inc. | 48 | 37,200 | ||||||||
Cenovus Energy, Inc. | 292 | 170,520 | ||||||||
5.70%, 10/15/19 | 120 | 104,711 | ||||||||
Chaparral Energy, Inc. | 393 | 27,510 | ||||||||
CHC Helicopter SA | 793 | 281,479 | ||||||||
9.375%, 6/01/21 | 155 | 7,735 | ||||||||
Chesapeake Energy Corp. | 376 | 170,140 | ||||||||
3.872%, 4/15/19(k) | 337 | 67,400 | ||||||||
4.875%, 4/15/22 | 249 | 52,290 | ||||||||
6.875%, 11/15/20 | 877 | 188,555 | ||||||||
7.25%, 12/15/18 | 53 | 19,080 | ||||||||
8.00%, 12/15/22(b) | 206 | 80,340 | ||||||||
Cobalt International Energy, Inc. | 430 | 194,575 | ||||||||
Concho Resources, Inc. | 550 | 511,500 | ||||||||
Continental Resources, Inc./OK | 187 | 114,646 | ||||||||
5.00%, 9/15/22 | 187 | 141,933 | ||||||||
DCP Midstream Operating LP | 253 | 182,296 | ||||||||
5.60%, 4/01/44 | 285 | 174,155 | ||||||||
Denbury Resources, Inc. | 171 | 49,590 | ||||||||
5.50%, 5/01/22 | 198 | 61,875 | ||||||||
Energy Transfer Equity LP | 406 | 334,950 | ||||||||
Energy XXI Gulf Coast, Inc. | 660 | 19,800 | ||||||||
7.75%, 6/15/19 | 135 | 4,388 | ||||||||
11.00%, 3/15/20(b) | 244 | 25,010 | ||||||||
EP Energy LLC/Everest Acquisition Finance, Inc. | 70 | 18,900 | ||||||||
7.75%, 9/01/22 | 265 | 71,550 | ||||||||
9.375%, 5/01/20 | 1,173 | 343,102 |
AB POOLING PORTFOLIOS • | 139 |
AB High-Yield Portfolio—Portfolio of Investments
Principal Amount (000) | U.S. $ Value | |||||||||
| ||||||||||
Global Partners LP/GLP Finance Corp. | U.S.$ | 950 | $ | 608,000 | ||||||
7.00%, 6/15/23 | 125 | 81,250 | ||||||||
Gulfport Energy Corp. | 156 | 132,210 | ||||||||
Halcon Resources Corp. | 65 | 35,913 | ||||||||
13.00%, 2/15/22(b) | 37 | 5,550 | ||||||||
Hilcorp Energy I LP/Hilcorp Finance Co. | 114 | 77,520 | ||||||||
Hornbeck Offshore Services, Inc. | 543 | 276,930 | ||||||||
Laredo Petroleum, Inc. | 73 | 46,720 | ||||||||
7.375%, 5/01/22 | 130 | 83,525 | ||||||||
Linn Energy LLC/Linn Energy Finance Corp. | 1,098 | 46,665 | ||||||||
Midstates Petroleum Co., Inc./Midstates Petroleum Co. LLC | 365 | 8,213 | ||||||||
Newfield Exploration Co. | 400 | 346,000 | ||||||||
5.625%, 7/01/24 | 239 | 216,892 | ||||||||
Northern Blizzard Resources, Inc. | 726 | 544,500 | ||||||||
Oasis Petroleum, Inc. | 32 | 19,440 | ||||||||
6.875%, 3/15/22-1/15/23 | 530 | 309,683 | ||||||||
Pacific Drilling SA | 441 | 88,200 | ||||||||
Paragon Offshore PLC | 266 | 69,160 | ||||||||
7.25%, 8/15/24(b)(f) | 873 | 231,345 | ||||||||
PHI, Inc. | 879 | 720,780 | ||||||||
Precision Drilling Corp. | 299 | 192,855 | ||||||||
QEP Resources, Inc. | 1,095 | 744,600 | ||||||||
Range Resources Corp. | 675 | 583,875 | ||||||||
5.00%, 3/15/23 | 301 | 251,335 | ||||||||
Sabine Oil & Gas Corp. | 415 | 33,200 | ||||||||
Sabine Pass Liquefaction LLC | 1,000 | 954,375 | ||||||||
5.75%, 5/15/24 | 571 | 525,674 | ||||||||
6.25%, 3/15/22 | 565 | 538,162 |
140 | • AB POOLING PORTFOLIOS |
AB High-Yield Portfolio—Portfolio of Investments
Principal Amount (000) | U.S. $ Value | |||||||||
| ||||||||||
SandRidge Energy, Inc. | U.S.$ | 315 | $ | 17,719 | ||||||
Seven Generations Energy Ltd. | 93 | 79,980 | ||||||||
8.25%, 5/15/20(b) | 141 | 135,007 | ||||||||
SM Energy Co. | 150 | 59,625 | ||||||||
5.625%, 6/01/25 | 342 | 137,655 | ||||||||
6.50%, 1/01/23 | 239 | 95,003 | ||||||||
Southern Star Central Corp. | 380 | 323,000 | ||||||||
Targa Resources Partners LP/Targa Resources Partners Finance Corp. | 1,075 | 817,000 | ||||||||
6.75%, 3/15/24(b) | 160 | 135,600 | ||||||||
Tervita Corp. | 541 | 338,125 | ||||||||
10.875%, 2/15/18(b) | 1,024 | 71,680 | ||||||||
Transocean, Inc. | 855 | 391,162 | ||||||||
Vantage Drilling International | 483 | – 0 | – | |||||||
10.00%, 12/31/20(c) | 26 | 26,000 | ||||||||
W&T Offshore, Inc. | 290 | 33,350 | ||||||||
Weatherford International Ltd./Bermuda | 86 | 50,310 | ||||||||
6.50%, 8/01/36 | 275 | 162,250 | ||||||||
Whiting Petroleum Corp. | 295 | 107,491 | ||||||||
5.00%, 3/15/19 | 95 | 47,025 | ||||||||
5.75%, 3/15/21 | 205 | 95,837 | ||||||||
6.25%, 4/01/23 | 834 | 381,555 | ||||||||
WPX Energy, Inc. | 244 | 131,760 | ||||||||
6.00%, 1/15/22 | 280 | 160,300 | ||||||||
8.25%, 8/01/23 | 74 | 45,880 | ||||||||
|
| |||||||||
16,413,129 | ||||||||||
|
| |||||||||
Other Industrial – 1.0% | ||||||||||
Algeco Scotsman Global Finance PLC | 244 | 186,660 | ||||||||
B456 Systems, Inc. | 270 | 5,400 | ||||||||
Belden, Inc. | EUR | 121 | 126,069 |
AB POOLING PORTFOLIOS • | 141 |
AB High-Yield Portfolio—Portfolio of Investments
Principal Amount (000) | U.S. $ Value | |||||||||
| ||||||||||
General Cable Corp. | U.S.$ | 319 | $ | 118,828 | ||||||
5.75%, 10/01/22 | 387 | 281,542 | ||||||||
Laureate Education, Inc. | 982 | 500,820 | ||||||||
Modular Space Corp. | 309 | 84,975 | ||||||||
New Enterprise Stone & Lime Co., Inc. | 537 | 349,050 | ||||||||
13.00% (7.00% Cash and 6.00% PIK), 3/15/18(i) | 402 | 407,646 | ||||||||
Safway Group Holding LLC/Safway | 422 | 427,275 | ||||||||
|
| |||||||||
2,488,265 | ||||||||||
|
| |||||||||
Services – 0.6% | ||||||||||
ADT Corp. (The) | 240 | 201,000 | ||||||||
4.125%, 6/15/23 | 789 | 664,732 | ||||||||
Geo Debt Finance SCA | EUR | 180 | 177,798 | |||||||
IHS, Inc. | U.S.$ | 237 | 245,295 | |||||||
Mobile Mini, Inc. | 309 | 314,408 | ||||||||
|
| |||||||||
1,603,233 | ||||||||||
|
| |||||||||
Technology – 3.0% | ||||||||||
Alcatel-Lucent USA, Inc. | 398 | 404,965 | ||||||||
Avaya, Inc. | 287 | 176,505 | ||||||||
10.50%, 3/01/21(b) | 980 | 249,900 | ||||||||
Blackboard, Inc. | 155 | 124,775 | ||||||||
BMC Software Finance, Inc. | 715 | 454,025 | ||||||||
Ceridian HCM Holding, Inc. | 250 | 206,250 | ||||||||
Dell, Inc. | 540 | 556,200 | ||||||||
6.50%, 4/15/38 | 557 | 389,900 | ||||||||
Energizer Holdings, Inc. | 361 | 357,390 | ||||||||
Ensemble S Merger Sub, Inc. | 221 | 204,425 |
142 | • AB POOLING PORTFOLIOS |
AB High-Yield Portfolio—Portfolio of Investments
Principal Amount (000) | U.S. $ Value | |||||||||
| ||||||||||
First Data Corp. | U.S.$ | 608 | $ | 617,503 | ||||||
7.00%, 12/01/23(b) | 382 | 382,000 | ||||||||
Goodman Networks, Inc. | 775 | 228,625 | ||||||||
Infor Software Parent LLC/Infor Software | 319 | 224,098 | ||||||||
Infor US, Inc. | 208 | 209,560 | ||||||||
6.50%, 5/15/22(b) | 850 | 737,375 | ||||||||
Micron Technology, Inc. | 624 | 524,160 | ||||||||
Microsemi Corp. | 213 | 225,247 | ||||||||
MSCI, Inc. | 140 | 148,050 | ||||||||
Nokia Oyj | 151 | 154,020 | ||||||||
Open Text Corp. | 130 | 128,050 | ||||||||
Sabre GLBL, Inc. | 37 | 37,555 | ||||||||
5.375%, 4/15/23(b) | 159 | 160,193 | ||||||||
Sanmina Corp. | 666 | 672,660 | ||||||||
|
| |||||||||
7,573,431 | ||||||||||
|
| |||||||||
Transportation - Airlines – 0.1% | ||||||||||
Air Canada | 292 | 300,030 | ||||||||
|
| |||||||||
Transportation - Services – 0.4% | ||||||||||
CEVA Group PLC | 150 | 106,500 | ||||||||
Hertz Corp. (The) | 461 | 447,170 | ||||||||
XPO CNW, Inc. | 372 | 239,940 | ||||||||
7.25%, 1/15/18 | 125 | 126,250 | ||||||||
XPO Logistics, Inc. | 172 | 162,755 | ||||||||
|
| |||||||||
1,082,615 | ||||||||||
|
| |||||||||
141,476,533 | ||||||||||
|
|
AB POOLING PORTFOLIOS • | 143 |
AB High-Yield Portfolio—Portfolio of Investments
Principal Amount (000) | U.S. $ Value | |||||||||
| ||||||||||
Financial Institutions – 9.5% | ||||||||||
Banking – 4.8% | ||||||||||
ABN AMRO Bank NV | EUR | 440 | $ | 478,654 | ||||||
Ally Financial, Inc. | U.S.$ | 1,255 | 1,248,725 | |||||||
8.00%, 12/31/18-11/01/31 | 1,070 | 1,173,375 | ||||||||
Bank of America Corp. | 206 | 199,820 | ||||||||
Bank of Ireland | EUR | 304 | 336,294 | |||||||
Barclays Bank PLC | U.S.$ | 75 | 81,859 | |||||||
7.625%, 11/21/22 | 200 | 202,250 | ||||||||
7.75%, 4/10/23 | 239 | 242,152 | ||||||||
BBVA International Preferred SAU | EUR | 79 | 80,360 | |||||||
Citigroup, Inc. | U.S.$ | 538 | 508,410 | |||||||
Commerzbank AG | 342 | 373,635 | ||||||||
Countrywide Capital III | 600 | 747,824 | ||||||||
Credit Agricole SA | GBP | 450 | 652,952 | |||||||
Credit Suisse Group AG | U.S.$ | 882 | 853,335 | |||||||
Danske Bank A/S | GBP | 330 | 457,014 | |||||||
HBOS Capital Funding LP | EUR | 217 | 236,063 | |||||||
HT1 Funding GmbH | 825 | 888,811 | ||||||||
ING Groep NV | U.S.$ | 219 | 201,480 | |||||||
6.50%, 4/16/25(n) | 234 | 218,497 | ||||||||
LBG Capital No.1 PLC | 273 | 278,323 | ||||||||
Lloyds Banking Group PLC | 152 | 164,920 | ||||||||
RBS Capital Trust C | EUR | 365 | 377,212 | |||||||
Royal Bank of Scotland Group PLC | U.S.$ | 310 | 282,875 | |||||||
Series U | 800 | 778,000 |
144 | • AB POOLING PORTFOLIOS |
AB High-Yield Portfolio—Portfolio of Investments
Principal Amount (000) | U.S. $ Value | |||||||||
| ||||||||||
Societe Generale SA | U.S.$ | 432 | $ | 424,440 | ||||||
8.00%, 9/29/25(b)(n) | 308 | 280,414 | ||||||||
Zions Bancorporation | 145 | 143,550 | ||||||||
5.80%, 6/15/23(n) | 61 | 58,182 | ||||||||
|
| |||||||||
11,969,426 | ||||||||||
|
| |||||||||
Brokerage – 0.2% | ||||||||||
Lehman Brothers Holdings, Inc. | 5,500 | 437,250 | ||||||||
|
| |||||||||
Finance – 3.4% | ||||||||||
AerCap Aviation Solutions BV | 300 | 309,750 | ||||||||
Artsonig Pty Ltd. | 448 | 33,632 | ||||||||
CIT Group, Inc. | 1,716 | 1,776,060 | ||||||||
Creditcorp | 355 | 188,150 | ||||||||
Enova International, Inc. | 720 | 496,800 | ||||||||
International Lease Finance Corp. | 490 | 517,563 | ||||||||
8.25%, 12/15/20 | 635 | 734,219 | ||||||||
8.75%, 3/15/17 | 143 | 150,865 | ||||||||
8.875%, 9/01/17 | 687 | 737,666 | ||||||||
Navient Corp. | 470 | 468,825 | ||||||||
4.875%, 6/17/19 | 965 | 916,750 | ||||||||
5.00%, 10/26/20 | 500 | 441,250 | ||||||||
6.125%, 3/25/24 | 35 | 29,292 | ||||||||
7.25%, 1/25/22 | 37 | 33,670 | ||||||||
8.00%, 3/25/20 | 965 | 952,937 | ||||||||
TMX Finance LLC/TitleMax Finance Corp. | 997 | 817,540 | ||||||||
|
| |||||||||
8,604,969 | ||||||||||
|
| |||||||||
Insurance – 0.6% | ||||||||||
HUB International Ltd. | 406 | 363,370 | ||||||||
Liberty Mutual Group, Inc. | 715 | 782,031 | ||||||||
Wayne Merger Sub LLC | 457 | 411,300 | ||||||||
|
| |||||||||
1,556,701 | ||||||||||
|
|
AB POOLING PORTFOLIOS • | 145 |
AB High-Yield Portfolio—Portfolio of Investments
Principal Amount (000) | U.S. $ Value | |||||||||
| ||||||||||
Other Finance – 0.4% | ||||||||||
CNG Holdings, Inc. | U.S.$ | 325 | $ | 130,000 | ||||||
iPayment, Inc. | 17 | 16,744 | ||||||||
Series AI | 710 | 710,580 | ||||||||
Speedy Group Holdings Corp. | 519 | 197,220 | ||||||||
|
| |||||||||
1,054,544 | ||||||||||
|
| |||||||||
REITS – 0.1% | ||||||||||
FelCor Lodging LP | 294 | 301,350 | ||||||||
|
| |||||||||
23,924,240 | ||||||||||
|
| |||||||||
Utility – 3.1% | ||||||||||
Electric – 3.1% | ||||||||||
AES Corp./VA | 628 | 565,200 | ||||||||
7.375%, 7/01/21 | 625 | 651,562 | ||||||||
Calpine Corp. | 1,040 | 936,000 | ||||||||
7.875%, 1/15/23(b) | 213 | 225,248 | ||||||||
ContourGlobal Power Holdings SA | 760 | 638,400 | ||||||||
DPL, Inc. | 250 | 250,625 | ||||||||
Dynegy, Inc. | 845 | 783,209 | ||||||||
7.375%, 11/01/22 | 615 | 513,525 | ||||||||
7.625%, 11/01/24 | 85 | 70,338 | ||||||||
FirstEnergy Corp. | 482 | 598,887 | ||||||||
GenOn Energy, Inc. | 465 | 387,112 | ||||||||
NRG Energy, Inc. | 135 | 114,075 | ||||||||
7.875%, 5/15/21 | 716 | 675,725 | ||||||||
Series WI | 377 | 312,910 | ||||||||
Talen Energy Supply LLC | 726 | 479,160 | ||||||||
6.50%, 5/01/18 | 170 | 159,800 | ||||||||
Texas Competitive Electric Holdings Co. LLC/TCEH Finance, Inc. | 761 | 222,593 |
146 | • AB POOLING PORTFOLIOS |
AB High-Yield Portfolio—Portfolio of Investments
Principal Amount (000) | U.S. $ Value | |||||||||
| ||||||||||
Viridian Group FundCo II Ltd. | EUR | 314 | $ | 355,248 | ||||||
|
| |||||||||
7,939,617 | ||||||||||
|
| |||||||||
Total Corporates - Non-Investment Grade | 173,340,390 | |||||||||
|
| |||||||||
CORPORATES - INVESTMENT GRADE – 5.1% | ||||||||||
Financial Institutions – 2.7% | ||||||||||
Banking – 1.3% | ||||||||||
BPCE SA | U.S.$ | 682 | 701,648 | |||||||
HSBC Capital Funding LP/Jersey | 244 | 351,736 | ||||||||
JPMorgan Chase & Co. | 473 | 442,406 | ||||||||
Series V | 73 | 68,255 | ||||||||
Nationwide Building Society | GBP | 339 | 464,755 | |||||||
Nordea Bank AB | U.S.$ | 464 | 414,120 | |||||||
Santander UK PLC | 500 | 504,566 | ||||||||
Standard Chartered PLC | 269 | 264,974 | ||||||||
Wells Fargo & Co. | 127 | 126,365 | ||||||||
|
| |||||||||
3,338,825 | ||||||||||
|
| |||||||||
Brokerage – 0.2% | ||||||||||
GFI Group, Inc. | 374 | 398,310 | ||||||||
|
| |||||||||
Insurance – 1.0% | ||||||||||
MetLife, Inc. | 140 | 131,978 | ||||||||
Mitsui Sumitomo Insurance Co., Ltd. | 489 | 561,844 | ||||||||
Nationwide Mutual Insurance Co. | 325 | 469,480 | ||||||||
Progressive Corp. (The) | 500 | 476,000 | ||||||||
Prudential Financial, Inc. | 756 | 746,928 |
AB POOLING PORTFOLIOS • | 147 |
AB High-Yield Portfolio—Portfolio of Investments
Principal Amount (000) | U.S. $ Value | |||||||||
| ||||||||||
XLIT Ltd. | U.S.$ | 109 | $ | 76,300 | ||||||
|
| |||||||||
2,462,530 | ||||||||||
|
| |||||||||
REITS – 0.2% | ||||||||||
EPR Properties | 417 | 492,447 | ||||||||
|
| |||||||||
6,692,112 | ||||||||||
|
| |||||||||
Industrial – 2.2% | ||||||||||
Basic – 0.1% | ||||||||||
Glencore Finance Canada Ltd. | 38 | 26,503 | ||||||||
Glencore Funding LLC | 16 | 14,650 | ||||||||
4.625%, 4/29/24(b) | 83 | 62,864 | ||||||||
|
| |||||||||
104,017 | ||||||||||
|
| |||||||||
Capital Goods – 0.2% | ||||||||||
General Electric Co. | 599 | 607,985 | ||||||||
|
| |||||||||
Communications - Media – 0.4% | ||||||||||
CCO Safari II LLC | 345 | 353,936 | ||||||||
6.484%, 10/23/45(b) | 510 | 537,753 | ||||||||
|
| |||||||||
891,689 | ||||||||||
|
| |||||||||
Communications - | ||||||||||
Embarq Corp. | 272 | 258,400 | ||||||||
Qwest Corp. | 600 | 639,000 | ||||||||
6.875%, 9/15/33 | 142 | 132,337 | ||||||||
|
| |||||||||
1,029,737 | ||||||||||
|
| |||||||||
Consumer Cyclical - Automotive – 0.2% | ||||||||||
General Motors Co. | 66 | 69,040 | ||||||||
Volkswagen Group of America Finance LLC | 400 | 387,493 | ||||||||
|
| |||||||||
456,533 | ||||||||||
|
| |||||||||
Consumer Cyclical - Other – 0.0% | ||||||||||
Seminole Tribe of Florida, Inc. | 94 | 96,820 | ||||||||
|
|
148 | • AB POOLING PORTFOLIOS |
AB High-Yield Portfolio—Portfolio of Investments
Principal Amount (000) | U.S. $ Value | |||||||||
| ||||||||||
Energy – 0.8% | ||||||||||
Cimarex Energy Co. | U.S.$ | 215 | $ | 200,640 | ||||||
Devon Energy Corp. | 78 | 51,280 | ||||||||
5.60%, 7/15/41 | 66 | 45,028 | ||||||||
7.95%, 4/15/32 | 63 | 50,317 | ||||||||
Devon Financing Co. LLC | 41 | 32,858 | ||||||||
Kinder Morgan, Inc./DE | 146 | 121,202 | ||||||||
Series G | 148 | 141,678 | ||||||||
MPLX LP | 890 | 726,014 | ||||||||
Regency Energy Partners LP/Regency Energy Finance Corp. | 19 | 16,065 | ||||||||
5.00%, 10/01/22 | 346 | 287,674 | ||||||||
5.50%, 4/15/23 | 357 | 299,880 | ||||||||
|
| |||||||||
1,972,636 | ||||||||||
|
| |||||||||
Technology – 0.1% | ||||||||||
Hewlett Packard Enterprise Co. | 415 | 353,905 | ||||||||
|
| |||||||||
5,513,322 | ||||||||||
|
| |||||||||
Utility – 0.2% | ||||||||||
Electric – 0.1% | ||||||||||
PPL Capital Funding, Inc. | 375 | 281,438 | ||||||||
|
| |||||||||
Natural Gas – 0.1% | ||||||||||
Empresa de Energia de Bogota SA ESP | 350 | 354,584 | ||||||||
|
| |||||||||
636,022 | ||||||||||
|
| |||||||||
Total Corporates - Investment Grade | 12,841,456 | |||||||||
|
| |||||||||
BANK LOANS – 4.9% | ||||||||||
Industrial – 4.9% | ||||||||||
Basic – 0.6% | ||||||||||
FMG Resources (August 2006) Pty LTD | 585 | 448,514 | ||||||||
Ineos US Finance LLC | 521 | 490,068 |
AB POOLING PORTFOLIOS • | 149 |
AB High-Yield Portfolio—Portfolio of Investments
Principal Amount (000) | U.S. $ Value | |||||||||
| ||||||||||
Magnetation LLC | U.S.$ | 755 | $ | 509,682 | ||||||
|
| |||||||||
1,448,264 | ||||||||||
|
| |||||||||
Consumer Cyclical - Automotive – 0.3% | ||||||||||
CS Intermediate Holdco 2 LLC | 330 | 319,525 | ||||||||
Navistar, Inc. | 419 | 360,996 | ||||||||
|
| |||||||||
680,521 | ||||||||||
|
| |||||||||
Consumer Cyclical - Entertainment – 0.4% |
| |||||||||
ClubCorp Club Operations, Inc. | 516 | 508,731 | ||||||||
NCL Corporation Ltd. (fka Norwegian Cruise Lines) | 69 | 68,924 | ||||||||
Seaworld Parks & Entertainment, Inc. (fka SW Acquisitions Co., Inc.) | 105 | 102,297 | ||||||||
Station Casinos LLC | 339 | 333,827 | ||||||||
|
| |||||||||
1,013,779 | ||||||||||
|
| |||||||||
Consumer Cyclical - Other – 0.5% | ||||||||||
CityCenter Holdings LLC | 883 | 877,420 | ||||||||
La Quinta Intermediate Holdings L.L.C. | 443 | 421,543 | ||||||||
|
| |||||||||
1,298,963 | ||||||||||
|
| |||||||||
Consumer Cyclical - Retailers – 0.8% |
| |||||||||
Dollar Tree, Inc. | 12 | 12,389 | ||||||||
Harbor Freight Tools USA, Inc. | 439 | 438,360 | ||||||||
J.C. Penney Corporation, Inc. | 510 | 503,497 | ||||||||
Manitowoc Company Inc., (The) | 33 | 33,156 | ||||||||
Men’s Wearhouse, Inc. (The) | 141 | 122,077 | ||||||||
Michaels Stores, Inc. | 141 | 140,122 | ||||||||
PetCo Animal Supplies, Inc. | 765 | 749,019 | ||||||||
|
| |||||||||
1,998,620 | ||||||||||
|
|
150 | • AB POOLING PORTFOLIOS |
AB High-Yield Portfolio—Portfolio of Investments
Principal Amount (000) | U.S. $ Value | |||||||||
| ||||||||||
Consumer Non-Cyclical – 0.9% | ||||||||||
Acadia Healthcare Company, Inc. | U.S.$ | 26 | $ | 25,971 | ||||||
4.50%-1.00%, 2/16/23(k) | 115 | 115,169 | ||||||||
Air Medical Group Holdings, Inc. | 235 | 223,709 | ||||||||
Concordia Healthcare Corp. | 651 | 624,960 | ||||||||
DJO Finance LLC | 255 | 245,119 | ||||||||
Grifols Worldwide Operations Limited | 197 | 195,785 | ||||||||
Immucor, Inc. (fka IVD Acquisition Corporation) | 250 | 225,520 | ||||||||
Mallinckrodt International Finance S.A. | 299 | 294,754 | ||||||||
Ortho-Clinical Diagnostics Holdings Luxembourg S.Ã.r.l. | 178 | 151,797 | ||||||||
Vizient, Inc. | 128 | 126,703 | ||||||||
|
| |||||||||
2,229,487 | ||||||||||
|
| |||||||||
Other Industrial – 0.5% | ||||||||||
Gardner Denver, Inc. | 293 | 241,245 | ||||||||
Gates Global LLC | 202 | 177,558 | ||||||||
Sedgwick Claims Management Services, Inc. 3.75%, 3/01/21(k) | 250 | 237,970 | ||||||||
Travelport Finance (Luxembourg) S.Ã.r.l. | 416 | 402,450 | ||||||||
Unifrax Holding Co. | EUR | 241 | 252,364 | |||||||
|
| |||||||||
1,311,587 | ||||||||||
|
| |||||||||
Technology – 0.7% | ||||||||||
Audatex Holdings, LLC (Solera) | U.S.$ | 640 | 624,800 | |||||||
Avago Technologies Cayman Holdings Ltd. | 250 | 246,367 | ||||||||
Avaya, Inc. | 257 | 180,582 | ||||||||
6.50%, 3/31/18(k) | 46 | 30,465 | ||||||||
BMC Software Finance Inc. | 363 | 289,374 | ||||||||
First Data Corporation | 350 | 345,275 | ||||||||
Smart Modular Technologies (Global), Inc. | 288 | 199,935 | ||||||||
|
| |||||||||
1,916,798 | ||||||||||
|
|
AB POOLING PORTFOLIOS • | 151 |
AB High-Yield Portfolio—Portfolio of Investments
Principal Amount (000) | U.S. $ Value | |||||||||
| ||||||||||
Transportation - Airlines – 0.2% | ||||||||||
Delos Finance S.Ã.r.l. | U.S.$ | 570 | $ | 565,252 | ||||||
|
| |||||||||
Total Bank Loans | 12,463,271 | |||||||||
|
| |||||||||
Shares | ||||||||||
COMMON STOCKS – 2.1% | ||||||||||
Consumer Discretionary – 0.9% | ||||||||||
Auto Components – 0.0% | ||||||||||
Exide Corp.(c)(d)(h) | 586,000 | 1 | ||||||||
Exide Technologies(d)(g)(h) | 19,782 | 56,576 | ||||||||
|
| |||||||||
56,577 | ||||||||||
|
| |||||||||
Automobiles – 0.1% | ||||||||||
General Motors Co. | 11,160 | 328,551 | ||||||||
|
| |||||||||
Hotels, Restaurants & Leisure – 0.4% | ||||||||||
eDreams ODIGEO SA(h) | 36,590 | 59,112 | ||||||||
Eldorado Resorts, Inc.(h) | 19,987 | 200,070 | ||||||||
International Game Technology PLC | 18,000 | 266,040 | ||||||||
Las Vegas Sands Corp. | 8,388 | 404,973 | ||||||||
|
| |||||||||
930,195 | ||||||||||
|
| |||||||||
Household Durables – 0.2% | ||||||||||
Hovnanian Enterprises, Inc. – Class A | 35,347 | 53,374 | ||||||||
MDC Holdings, Inc. | 12,258 | 271,024 | ||||||||
Taylor Morrison Home Corp. – Class A(h) | 15,300 | 212,823 | ||||||||
|
| |||||||||
537,221 | ||||||||||
|
| |||||||||
Media – 0.2% | ||||||||||
Clear Channel Outdoor Holdings, Inc. – Class A | 32,000 | 115,520 | ||||||||
DISH Network Corp. – Class A(h) | 2,510 | 118,296 | ||||||||
Townsquare Media, Inc. – Class A(h) | 26,530 | 258,668 | ||||||||
|
| |||||||||
492,484 | ||||||||||
|
| |||||||||
2,345,028 | ||||||||||
|
| |||||||||
Energy – 0.1% | ||||||||||
Energy Equipment & Services – 0.0% | ||||||||||
Vantage Drilling International(c)(h) | 862 | 83,898 | ||||||||
|
| |||||||||
Oil, Gas & Consumable Fuels – 0.1% | ||||||||||
Chesapeake Energy Corp. | 35,097 | 91,603 | ||||||||
EP Energy Corp. – Class A(h) | 38,759 | 66,666 | ||||||||
Triangle Petroleum Corp.(h) | 34,470 | 11,030 | ||||||||
Whiting Petroleum Corp.(h) | 12,578 | 50,438 | ||||||||
|
| |||||||||
219,737 | ||||||||||
|
| |||||||||
303,635 | ||||||||||
|
|
152 | • AB POOLING PORTFOLIOS |
AB High-Yield Portfolio—Portfolio of Investments
Shares | U.S. $ Value | |||||||||
| ||||||||||
Financials – 0.1% | ||||||||||
Diversified Financial Services – 0.1% | ||||||||||
iPayment, Inc.(h) | 44,784 | $ | 282,139 | |||||||
|
| |||||||||
Health Care – 0.2% | ||||||||||
Health Care Providers & Services – 0.2% | ||||||||||
Community Health Systems, Inc.(h) | 8,444 | 127,674 | ||||||||
LifePoint Health, Inc.(h) | 4,559 | 284,299 | ||||||||
|
| |||||||||
411,973 | ||||||||||
|
| |||||||||
Industrials – 0.2% | ||||||||||
Building Products – 0.1% | ||||||||||
Nortek, Inc.(h) | 6,420 | 264,697 | ||||||||
|
| |||||||||
Machinery – 0.1% | ||||||||||
Navistar International Corp.(h) | 24,764 | 208,265 | ||||||||
|
| |||||||||
Trading Companies & Distributors – 0.0% | ||||||||||
Emeco Holdings Ltd.(h) | 1,050,000 | 23,233 | ||||||||
|
| |||||||||
496,195 | ||||||||||
|
| |||||||||
Information Technology – 0.2% | ||||||||||
IT Services – 0.1% | ||||||||||
Travelport Worldwide Ltd. | 18,062 | 234,445 | ||||||||
|
| |||||||||
Technology Hardware, Storage & | ||||||||||
EMC Corp./MA | 11,388 | 297,568 | ||||||||
|
| |||||||||
532,013 | ||||||||||
|
| |||||||||
Materials – 0.3% | ||||||||||
Chemicals – 0.1% | ||||||||||
LyondellBasell Industries NV – Class A | 1,996 | 160,099 | ||||||||
|
| |||||||||
Metals & Mining – 0.2% | ||||||||||
Neenah Enterprises, Inc.(c)(d)(h) | 58,199 | 522,045 | ||||||||
|
| |||||||||
682,144 | ||||||||||
|
| |||||||||
Utilities – 0.1% | ||||||||||
Independent Power and Renewable Electricity Producers – 0.1% | ||||||||||
Dynegy, Inc.(h) | 14,605 | 147,218 | ||||||||
|
| |||||||||
Total Common Stocks | 5,200,345 | |||||||||
|
|
AB POOLING PORTFOLIOS • | 153 |
AB High-Yield Portfolio—Portfolio of Investments
Principal Amount (000) | U.S. $ Value | |||||||||||
| ||||||||||||
EMERGING MARKETS - | ||||||||||||
Industrial – 1.5% | ||||||||||||
Capital Goods – 0.3% | ||||||||||||
CEMEX Espana SA/Luxembourg | U.S.$ | 172 | $ | 180,531 | ||||||||
Cemex SAB de CV | 670 | 586,250 | ||||||||||
|
| |||||||||||
766,781 | ||||||||||||
|
| |||||||||||
Communications - | ||||||||||||
Digicel Ltd. | 525 | 447,562 | ||||||||||
|
| |||||||||||
Consumer Cyclical - Retailers – 0.1% | ||||||||||||
Edcon Ltd. | ||||||||||||
9.50%, 3/01/18(b) | EUR | 381 | 194,843 | |||||||||
9.50%, 3/01/18(b) | U.S.$ | 150 | 70,515 | |||||||||
|
| |||||||||||
265,358 | ||||||||||||
|
| |||||||||||
Consumer Non-Cyclical – 0.8% | ||||||||||||
Arcelik AS | 498 | 459,405 | ||||||||||
Cosan Luxembourg SA | 570 | 465,975 | ||||||||||
Minerva Luxembourg SA | 725 | 685,488 | ||||||||||
Tonon Luxembourg SA | 420 | 41,968 | ||||||||||
USJ Acucar e Alcool SA | 850 | 244,375 | ||||||||||
Virgolino de Oliveira Finance SA | 930 | 24,459 | ||||||||||
|
| |||||||||||
1,921,670 | ||||||||||||
|
| |||||||||||
Transportation - Airlines – 0.1% | ||||||||||||
Guanay Finance Ltd. | 283 | 263,190 | ||||||||||
|
| |||||||||||
Total Emerging Markets - Corporate Bonds | 3,664,561 | |||||||||||
|
| |||||||||||
Shares | ||||||||||||
PREFERRED STOCKS – 1.1% | ||||||||||||
Financial Institutions – 1.0% | ||||||||||||
Banking – 0.7% | ||||||||||||
GMAC Capital Trust I | 10,700 | 259,582 |
154 | • AB POOLING PORTFOLIOS |
AB High-Yield Portfolio—Portfolio of Investments
Shares | U.S. $ Value | |||||||||
| ||||||||||
Goldman Sachs Group, Inc. (The) | 23,525 | $ | 579,891 | |||||||
Morgan Stanley | 20,825 | 562,692 | ||||||||
US Bancorp | 14,000 | 404,740 | ||||||||
Wells Fargo & Co. | 2,300 | 58,627 | ||||||||
|
| |||||||||
1,865,532 | ||||||||||
|
| |||||||||
REITS – 0.3% | ||||||||||
Sovereign Real Estate Investment Trust | 624 | 780,000 | ||||||||
|
| |||||||||
2,645,532 | ||||||||||
|
| |||||||||
Utility – 0.1% | ||||||||||
Electric – 0.1% | ||||||||||
SCE Trust III | 5,525 | 145,915 | ||||||||
|
| |||||||||
Industrial – 0.0% | ||||||||||
Consumer Cyclical - Other – 0.0% | ||||||||||
Hovnanian Enterprises, Inc. | 5,130 | 14,877 | ||||||||
|
| |||||||||
Energy – 0.0% | ||||||||||
Halcon Resources Corp. | 635 | 10,157 | ||||||||
Sanchez Energy Corp. | 10,350 | 85,710 | ||||||||
SandRidge Energy, Inc. | 4,500 | 4,275 | ||||||||
|
| |||||||||
100,142 | ||||||||||
|
| |||||||||
115,019 | ||||||||||
|
| |||||||||
Total Preferred Stocks | 2,906,466 | |||||||||
|
| |||||||||
Principal Amount (000) | ||||||||||
ASSET-BACKED SECURITIES – 0.9% | ||||||||||
Home Equity Loans - Floating Rate – 0.6% | ||||||||||
GSAA Home Equity Trust | U.S.$ | 1,145 | 616,424 |
AB POOLING PORTFOLIOS • | 155 |
AB High-Yield Portfolio—Portfolio of Investments
Principal Amount (000) | U.S. $ Value | |||||||||
| ||||||||||
Lehman XS Trust | U.S.$ | 718 | $ | 912,011 | ||||||
|
| |||||||||
1,528,435 | ||||||||||
|
| |||||||||
Home Equity Loans - Fixed Rate – 0.3% | ||||||||||
CWABS Asset-Backed Certificates Trust | 737 | 731,457 | ||||||||
|
| |||||||||
Total Asset-Backed Securities | 2,259,892 | |||||||||
|
| |||||||||
GOVERNMENTS - TREASURIES – 0.8% | ||||||||||
United States – 0.8% | ||||||||||
U.S. Treasury Bonds | 1,755 | 1,962,309 | ||||||||
|
| |||||||||
LOCAL GOVERNMENTS - MUNICIPAL BONDS – 0.8% | ||||||||||
United States – 0.8% | ||||||||||
Buckeye Tobacco Settlement Financing Authority | 130 | 116,173 | ||||||||
Golden State Tobacco Securitization Corp. | 160 | 141,970 | ||||||||
State of California | 325 | 490,480 | ||||||||
7.95%, 3/01/36 | 700 | 844,137 | ||||||||
Tobacco Settlement Financing Corp./NJ | 165 | 141,004 | ||||||||
Tobacco Settlement Financing Corp./VA | 220 | 175,109 | ||||||||
|
| |||||||||
Total Local Governments - Municipal Bonds | 1,908,873 | |||||||||
|
| |||||||||
COMMERCIAL MORTGAGE-BACKED SECURITIES – 0.7% | ||||||||||
Non-Agency Fixed Rate CMBS – 0.7% | ||||||||||
Bear Stearns Commercial Mortgage Securities Trust | 167 | 168,772 |
156 | • AB POOLING PORTFOLIOS |
AB High-Yield Portfolio—Portfolio of Investments
Principal Amount (000) | U.S. $ Value | |||||||||
| ||||||||||
LB-UBS Commercial Mortgage Trust | U.S.$ | 1,380 | $ | 1,366,537 | ||||||
ML-CFC Commercial Mortgage Trust | 246 | 237,774 | ||||||||
|
| |||||||||
Total Commercial Mortgage-Backed Securities | 1,773,083 | |||||||||
|
| |||||||||
COLLATERALIZED MORTGAGE OBLIGATIONS – 0.7% | ||||||||||
GSE Risk Share Floating Rate – 0.6% | ||||||||||
Federal Home Loan Mortgage Corp. Structured Agency Credit Risk Debt Notes | 380 | 364,175 | ||||||||
Series 2014-DN1, Class M3 | 375 | 351,710 | ||||||||
Series 2014-HQ2, Class M3 | 435 | 379,427 | ||||||||
Federal National Mortgage Association Connecticut Avenue Securities | 333 | 318,256 | ||||||||
Series 2015-C03, Class 1M2 | 85 | 78,761 | ||||||||
Series 2015-C03, Class 2M2 | 30 | 27,827 | ||||||||
|
| |||||||||
1,520,156 | ||||||||||
|
| |||||||||
Non-Agency Fixed Rate – 0.1% | ||||||||||
CSMC Mortgage-Backed Trust | 230 | 197,379 | ||||||||
|
| |||||||||
Total Collateralized Mortgage Obligations | 1,717,535 | |||||||||
|
| |||||||||
GOVERNMENTS - SOVEREIGN AGENCIES – 0.4% | ||||||||||
Brazil – 0.2% | ||||||||||
Petrobras Global Finance BV | 733 | 458,125 | ||||||||
|
| |||||||||
Colombia – 0.0% | ||||||||||
Ecopetrol SA | 159 | 111,300 | ||||||||
|
|
AB POOLING PORTFOLIOS • | 157 |
AB High-Yield Portfolio—Portfolio of Investments
Principal Amount (000) | U.S. $ Value | |||||||||||
| ||||||||||||
Dominican Republic – 0.2% | ||||||||||||
Banco de Reservas de la Republica Dominicana | U.S.$ | 460 | $ | 437,559 | ||||||||
|
| |||||||||||
Total Governments - Sovereign Agencies | 1,006,984 | |||||||||||
|
| |||||||||||
EMERGING MARKETS - | ||||||||||||
Brazil – 0.1% | ||||||||||||
Brazil Notas do Tesouro Nacional | BRL | 600 | 354,503 | |||||||||
|
| |||||||||||
Shares | ||||||||||||
WARRANTS – 0.1% | ||||||||||||
FairPoint Communications, Inc., | 12,643 | 127 | ||||||||||
iPayment Holdings, Inc., | 234,094 | 234,094 | ||||||||||
|
| |||||||||||
Total Warrants | 234,221 | |||||||||||
|
| |||||||||||
Principal Amount (000) | ||||||||||||
EMERGING MARKETS - | ||||||||||||
Venezuela – 0.1% | ||||||||||||
Venezuela Government International Bond | U.S.$ | 430 | 173,075 | |||||||||
|
| |||||||||||
AGENCIES – 0.0% | ||||||||||||
Agency Subordinated – 0.0% | ||||||||||||
CITGO Petroleum Corp. | 116 | 107,300 | ||||||||||
|
| |||||||||||
Contracts | ||||||||||||
OPTIONS PURCHASED - PUTS – 0.0% | ||||||||||||
Options on Funds and Investment Trusts – 0.0% | ||||||||||||
SPDR S&P 500 ETF Trust | 257 | 15,163 | ||||||||||
|
|
158 | • AB POOLING PORTFOLIOS |
AB High-Yield Portfolio—Portfolio of Investments
Contracts | U.S. $ Value | |||||||||||
| ||||||||||||
Options on Equities – 0.0% | ||||||||||||
Boardwalk Real Estate Investment Trust | 34,300 | $ | 264 | |||||||||
|
| |||||||||||
Total Options Purchased - Puts | 15,427 | |||||||||||
|
| |||||||||||
OPTIONS PURCHASED - CALLS – 0.0% | ||||||||||||
Options on Funds and Investment Trusts – 0.0% | ||||||||||||
SPDR S&P Oil & Gas Exploration ETF | 783 | 2,349 | ||||||||||
|
| |||||||||||
Options on Equities – 0.0% | ||||||||||||
Chesapeake Energy Corp. | 432 | 1,945 | ||||||||||
|
| |||||||||||
Total Options Purchased – Calls | 4,294 | |||||||||||
|
| |||||||||||
Shares | ||||||||||||
SHORT-TERM INVESTMENTS – 12.6% | ||||||||||||
Investment Companies – 12.2% | ||||||||||||
AB Fixed Income Shares, Inc. – | 30,705,070 | 30,705,070 | ||||||||||
|
| |||||||||||
Principal Amount (000) | ||||||||||||
U.S. Treasury Bills – 0.4% | ||||||||||||
U.S. Treasury Bill | U.S.$ | 1,000 | 999,917 | |||||||||
|
| |||||||||||
Total Short-Term Investments | 31,704,987 | |||||||||||
|
| |||||||||||
Total Investments – 100.6% | 253,638,972 | |||||||||||
Other assets less liabilities – (0.6)% | (1,403,487 | ) | ||||||||||
|
| |||||||||||
Net Assets – 100.0% | $ | 252,235,485 | ||||||||||
|
|
AB POOLING PORTFOLIOS • | 159 |
AB High-Yield Portfolio—Portfolio of Investments
FUTURES (see Note C)
Type | Number of Contracts | Expiration Month | Original Value | Value at February 29, 2016 | Unrealized Appreciation/ (Depreciation) | |||||||||||||
Purchased Contracts | ||||||||||||||||||
Russell 2000 Mini Futures | 16 | March 2016 | $ | 1,711,322 | $ | 1,650,720 | $ | (60,602 | ) | |||||||||
U.S. T-Note 10 Yr (CBT) Futures | 97 | June 2016 | 12,650,318 | 12,660,016 | 9,698 | |||||||||||||
Sold Contracts | ||||||||||||||||||
S&P 500 E-Mini Index Futures | 13 | March 2016 | 1,253,414 | 1,254,175 | (761 | ) | ||||||||||||
|
| |||||||||||||||||
$ | (51,665 | ) | ||||||||||||||||
|
|
FORWARD CURRENCY EXCHANGE CONTRACTS (see Note C)
Counterparty | Contracts to Deliver (000) | In Exchange For (000) | Settlement Date | Unrealized Appreciation/ (Depreciation) | ||||||||||||||||||||
BNP Paribas SA | AUD | 749 | USD | 529 | 3/18/16 | $ | (4,573 | ) | ||||||||||||||||
Citibank | USD | 636 | RUB | 48,395 | 4/07/16 | 814 | ||||||||||||||||||
Goldman Sachs Bank USA | KRW | 1,530,247 | USD | 1,272 | 4/08/16 | 38,894 | ||||||||||||||||||
HSBC Bank USA | GBP | 3,908 | USD | 5,597 | 3/10/16 | 158,515 | ||||||||||||||||||
HSBC Bank USA | TWD | 42,080 | USD | 1,255 | 3/18/16 | (8,817 | ) | |||||||||||||||||
HSBC Bank USA | USD | 1,273 | MXN | 23,189 | 4/14/16 | 1,138 | ||||||||||||||||||
Royal Bank of Scotland PLC | USD | 772 | PEN | 2,718 | 3/18/16 | (824 | ) | |||||||||||||||||
Standard Chartered Bank | CNY | 8,254 | USD | 1,258 | 4/08/16 | 1,180 | ||||||||||||||||||
State Street Bank & Trust Co. | EUR | 6,306 | USD | 6,840 | 3/04/16 | (19,836 | ) | |||||||||||||||||
State Street Bank & Trust Co. | USD | 1,076 | EUR | 963 | 3/04/16 | (29,133 | ) | |||||||||||||||||
State Street Bank & Trust Co. | USD | 508 | AUD | 707 | 3/18/16 | (4,020 | ) | |||||||||||||||||
State Street Bank & Trust Co. | USD | 621 | JPY | 71,754 | 3/23/16 | 16,081 | ||||||||||||||||||
State Street Bank & Trust Co. | USD | 1,258 | NOK | 10,828 | 4/06/16 | (14,343 | ) | |||||||||||||||||
State Street Bank & Trust Co. | USD | 732 | SEK | 6,198 | 4/06/16 | (7,030 | ) | |||||||||||||||||
State Street Bank & Trust Co. | SGD | 1,787 | USD | 1,266 | 4/08/16 | (4,177 | ) | |||||||||||||||||
|
| |||||||||||||||||||||||
$ | 123,869 | |||||||||||||||||||||||
|
|
CALL OPTIONS WRITTEN (see Note C)
Description | Contracts | Exercise Price | Expiration Month | Premiums Received | U.S. $ Value | |||||||||||||||
Chesapeake Energy Corp.(s) | 432 | $ | 8.00 | April 2016 | $ | 7,174 | $ | (1,512 | ) |
PUT OPTIONS WRITTEN (see Note C)
Description | Contracts | Exercise Price | Expiration Month | Premiums Received | U.S. $ Value | |||||||||||||||
SPDR S&P 500 ETF Trust(s) | 257 | $ | 170.00 | March 2016 | $ | 14,894 | $ | (3,598 | ) |
160 | • AB POOLING PORTFOLIOS |
AB High-Yield Portfolio—Portfolio of Investments
CENTRALLY CLEARED CREDIT DEFAULT SWAPS (see Note C)
Clearing Broker/(Exchange) & Referenced Obligation | Fixed Rate (Pay) Receive | Implied Credit Spread at February 29, 2016 | Notional | Market Value | Unrealized Appreciation/ (Depreciation) | |||||||||||||||
Buy Contracts |
| |||||||||||||||||||
Morgan Stanley & Co., LLC/(INTRCONX) |
| |||||||||||||||||||
CDX-NAHY Series 25, | (5.00 | )% | 5.22 | % | $ | 13,530 | $ | (16,691 | ) | $ | 371,866 | |||||||||
CDX-NAHY Series 25, | (5.00 | ) | 5.22 | 10,210 | (12,596 | ) | (64,303 | ) | ||||||||||||
CDX-NAIG Series 23, | (1.00 | ) | 1.08 | 12,410 | 10,959 | 152,111 | ||||||||||||||
iTraxx-XOVER Series 21, | (5.00 | ) | 2.74 | EUR | – 0 | –^^ | (11 | ) | (37 | ) | ||||||||||
Sale Contracts | ||||||||||||||||||||
Morgan Stanley & Co., LLC/(INTRCONX) |
| |||||||||||||||||||
CDX-NAHY Series 25, | 5.00 | 5.22 | $ | 2,837 | 3,500 | 31,537 | ||||||||||||||
CDX-NAHY Series 25, | 5.00 | 5.22 | 3,860 | 4,763 | 4,388 | |||||||||||||||
CDX-NAHY Series 25, | 5.00 | 5.22 | 180 | 222 | (1,621 | ) | ||||||||||||||
CDX-NAHY Series 25, | 5.00 | 5.22 | 223 | 275 | (1,954 | ) | ||||||||||||||
CDX-NAHY Series 25, | 5.00 | 5.22 | 287 | 354 | (2,307 | ) | ||||||||||||||
CDX-NAHY Series 25, | 5.00 | 5.22 | 1,030 | 1,270 | (4,596 | ) | ||||||||||||||
CDX-NAHY Series 25, | 5.00 | 5.22 | 15,450 | 19,060 | (509,048 | ) | ||||||||||||||
CDX-NAIG Series 20, | 1.00 | 0.71 | 5,980 | 51,256 | 24,164 | |||||||||||||||
|
|
|
| |||||||||||||||||
$ | 62,361 | $ | 200 | |||||||||||||||||
|
|
|
|
* | Termination date |
CENTRALLY CLEARED INTEREST RATE SWAPS (see Note C)
Rate Type | ||||||||||||||||||||
Clearing Broker /(Exchange) | Notional Amount (000) | Termination Date | Payments made by the Fund | Payments received by the Fund | Unrealized Appreciation/ (Depreciation) | |||||||||||||||
Morgan Stanley & Co., LLC/(CME) | $ | 10,730 | 9/02/25 | 2.248 | % | 3 Month LIBOR | $ | (792,604 | ) | |||||||||||
Morgan Stanley & Co., LLC/(CME) | 2,500 | 1/15/26 | 1.978 | % | 3 Month LIBOR | (99,490 | ) | |||||||||||||
Morgan Stanley & Co., LLC/(CME) | 1,820 | 2/16/26 | 1.625 | % | 3 Month LIBOR | (8,907 | ) | |||||||||||||
|
| |||||||||||||||||||
$ | (901,001 | ) | ||||||||||||||||||
|
|
AB POOLING PORTFOLIOS • | 161 |
AB High-Yield Portfolio—Portfolio of Investments
CREDIT DEFAULT SWAPS (see Note C)
Swap Counterparty & Referenced Obligation | Fixed Rate (Pay) Receive | Implied Credit Spread at February 29, 2016 | Notional Amount (000) | Market Value | Upfront Premiums Paid (Received) | Unrealized Appreciation/ (Depreciation) | ||||||||||||||||||
Buy Contracts |
| |||||||||||||||||||||||
Bank of America, NA |
| |||||||||||||||||||||||
CDX-NAHY Series 20, 5 Year Index, 6/20/18* | (5.00 | )% | 3.20 | % | $ | 1,546 | $ | (76,214 | ) | $ | (21,132 | ) | $ | (55,082 | ) | |||||||||
Barclays Bank PLC |
| |||||||||||||||||||||||
Beazer Homes USA, Inc., 9.125%, 6/15/18, 3/20/17* | (5.00 | ) | 2.45 | 1,085 | (39,790 | ) | (33,073 | ) | (6,717 | ) | ||||||||||||||
K. Hovnanian Enterprises, Inc., 8.625%, 1/15/17, 3/20/17* | (5.00 | ) | 10.40 | 1,018 | 44,921 | (22,178 | ) | 67,099 | ||||||||||||||||
Tenet Healthcare Corp., 6.875%, 11/15/31, 6/20/17* | (5.00 | ) | 1.42 | 1,132 | (61,891 | ) | (49,393 | ) | (12,498 | ) | ||||||||||||||
Citibank, NA |
| |||||||||||||||||||||||
Bombardier, Inc., 7.450%, 5/01/34, 3/20/17* | (5.00 | ) | 5.66 | 568 | (1,846 | ) | (21,413 | ) | 19,567 | |||||||||||||||
Bombardier, Inc., 7.450%, 5/01/34, 3/20/17* | (5.00 | ) | 5.66 | 572 | (1,859 | ) | (20,884 | ) | 19,025 | |||||||||||||||
United States Steel Corp., 6.650%, 6/01/37, 3/20/17* | (5.00 | ) | 8.35 | 1,052 | 24,982 | (29,858 | ) | 54,840 | ||||||||||||||||
Credit Suisse International |
| |||||||||||||||||||||||
Western Union Co., 3.650%, 8/22/18, 3/20/17* | (1.00 | ) | 0.22 | 570 | (5,862 | ) | (766 | ) | (5,096 | ) | ||||||||||||||
Western Union Co., 3.650%, 8/22/18, 9/20/17* | (1.00 | ) | 0.31 | 550 | (6,635 | ) | (3,799 | ) | (2,836 | ) | ||||||||||||||
Deutsche Bank AG |
| |||||||||||||||||||||||
iHeartCommunications, Inc., 6.875%, 6/15/18, 6/20/18* | (5.00 | ) | 59.25 | 56 | 38,158 | 3,612 | 34,546 | |||||||||||||||||
Goldman Sachs Bank USA |
| |||||||||||||||||||||||
Community Health Systems, Inc., 8.000%, 11/15/19, 3/20/17* | (5.00 | ) | 1.58 | 1,130 | (51,971 | ) | (38,351 | ) | (13,620 | ) | ||||||||||||||
Dell, Inc., 7.100%, 4/15/28, 3/20/17* | (1.00 | ) | 1.35 | 1,027 | 1,772 | 8,597 | (6,825 | ) | ||||||||||||||||
First Data Corp., 12.625%, 1/15/21, 3/20/17* | (5.00 | ) | 0.86 | 1,058 | (56,828 | ) | (27,915 | ) | (28,913 | ) | ||||||||||||||
Newmont Mining Corp., 5.875%, 4/01/35, 3/20/17* | (1.00 | ) | 0.23 | 1,140 | (11,592 | ) | (2,241 | ) | (9,351 | ) |
162 | • AB POOLING PORTFOLIOS |
AB High-Yield Portfolio—Portfolio of Investments
Swap Counterparty & Referenced Obligation | Fixed Rate (Pay) Receive | Implied Credit Spread at February 29, 2016 | Notional Amount (000) | Market Value | Upfront Premiums Paid (Received) | Unrealized Appreciation/ (Depreciation) | ||||||||||||||||||
Nine West Holdings, Inc., 6.875%, 3/15/19, 3/20/17* | (5.00 | )% | 32.05 | % | �� | $ | 1,050 | $ | 245,769 | $ | (32,090 | ) | $ | 277,859 | ||||||||||
Goldman Sachs International |
| |||||||||||||||||||||||
British Telecommunications PLC, 5.750% 12/07/28, 6/20/20* | (1.00 | ) | 0.75 | EUR | 3,330 | (44,582 | ) | (76,310 | ) | 31,728 | ||||||||||||||
iHeartCommunications, Inc., 6.875%, 6/15/18, 12/20/16* | (5.00 | ) | 38.00 | $ | 388 | 101,744 | 110,981 | (9,237 | ) | |||||||||||||||
Morgan Stanley Capital Services LLC |
| |||||||||||||||||||||||
CDX-NAIG Series 20, 5 Year Index, 6/20/18* | (1.00 | ) | 0.71 | 6,840 | (58,627 | ) | (43,934 | ) | (14,693 | ) | ||||||||||||||
iHeartCommunications, Inc., 6.875%, 6/15/18, 6/20/18* | (5.00 | ) | 59.25 | 64 | 42,932 | 4,064 | 38,868 | |||||||||||||||||
Sale Contracts | ||||||||||||||||||||||||
Barclays Bank PLC |
| |||||||||||||||||||||||
Beazer Homes USA, Inc., 9.125%, 6/15/18, 3/20/19* | 5.00 | 7.45 | 739 | (41,835 | ) | 23,887 | (65,722 | ) | ||||||||||||||||
CCO Holdings, LLC, 7.250%, 10/30/17, 6/20/19* | 5.00 | 0.94 | 582 | 81,724 | 43,242 | 38,482 | ||||||||||||||||||
iHeartCommunications, Inc., 6.875%, 6/15/18, 12/20/20* | 5.00 | 59.95 | 240 | (193,054 | ) | (182,535 | ) | (10,519 | ) | |||||||||||||||
K. Hovnanian Enterprises, Inc., 8.625%, 1/15/17, 12/20/18* | 5.00 | 19.53 | 739 | (227,028 | ) | 10,388 | (237,416 | ) | ||||||||||||||||
K. Hovnanian Enterprises, Inc., 8.625%, 1/15/17, 9/20/20* | 5.00 | 19.08 | 177 | (68,091 | ) | (45,995 | ) | (22,096 | ) | |||||||||||||||
K. Hovnanian Enterprises, Inc., 8.625%, 1/15/17, 9/20/20* | 5.00 | 19.08 | 443 | (170,420 | ) | (114,932 | ) | (55,488 | ) | |||||||||||||||
MGM Resorts International, 7.625%, 1/15/17, 6/20/17* | 5.00 | 0.72 | 470 | 30,368 | (6,839 | ) | 37,207 | |||||||||||||||||
MGM Resorts International, 7.625%, 1/15/17, 6/20/18* | 5.00 | 1.26 | 689 | 64,601 | 20,499 | 44,102 |
AB POOLING PORTFOLIOS • | 163 |
AB High-Yield Portfolio—Portfolio of Investments
Swap Counterparty & Referenced Obligation | Fixed Rate (Pay) Receive | Implied Credit Spread at February 29, 2016 | Notional Amount (000) | Market Value | Upfront Premiums Paid (Received) | Unrealized Appreciation/ (Depreciation) | ||||||||||||||||||
Tenet Healthcare Corp., 6.875%, 11/15/31, 6/20/19* | 5.00 | % | 4.16 | % | $ | 760 | $ | 23,739 | $ | 42,887 | $ | (19,148 | ) | |||||||||||
Citibank, NA | ||||||||||||||||||||||||
Advanced Micro Devices, Inc., 7.750%, 8/01/20, 9/20/20* | 5.00 | 12.74 | 270 | (61,419 | ) | (59,986 | ) | (1,433 | ) | |||||||||||||||
Bombardier, Inc., 7.450%, 5/01/34, 3/20/19* | 5.00 | 10.20 | 380 | (45,588 | ) | 23,562 | (69,150 | ) | ||||||||||||||||
Bombardier, Inc., 7.450%, 5/01/34, 3/20/19* | 5.00 | 10.20 | 380 | (45,587 | ) | 24,060 | (69,647 | ) | ||||||||||||||||
United States Steel Corp., 6.650%, 6/01/37, 3/20/19* | 5.00 | 17.09 | 760 | (202,842 | ) | 15,447 | (218,289 | ) | ||||||||||||||||
Credit Suisse International |
| |||||||||||||||||||||||
Dell, Inc., 7.100%, 4/15/28, 12/20/18* | 1.00 | 2.80 | 380 | (18,740 | ) | (28,325 | ) | 9,585 | ||||||||||||||||
Western Union Co., 3.650%, 8/22/18, 3/20/19* | 1.00 | 0.71 | 380 | 4,072 | (7,983 | ) | 12,055 | |||||||||||||||||
Western Union Co., 3.650%, 8/22/18, 9/20/19* | 1.00 | 0.87 | 360 | 1,752 | (3,565 | ) | 5,317 | |||||||||||||||||
Goldman Sachs Bank USA |
| |||||||||||||||||||||||
Community Health Systems, Inc., 8.000%, 11/15/19, 3/20/19* | 5.00 | 5.06 | 760 | 6,355 | 38,726 | (32,371 | ) | |||||||||||||||||
ConvaTec Healthcare E S.A., 10.875%, 12/15/18, 6/20/17* | 5.00 | 0.54 | EUR 590 | 43,435 | (35,542 | ) | 78,977 | |||||||||||||||||
Dell, Inc., 7.100%, 4/15/28, 3/20/19* | 1.00 | 3.10 | 760 | (44,603 | ) | (52,256 | ) | 7,653 | ||||||||||||||||
First Data Corp., 12.625%, 1/15/21, 3/20/19* | 5.00 | 2.30 | 760 | 67,816 | 11,488 | 56,328 | ||||||||||||||||||
iHeartCommunications, Inc., 6.875%, 6/15/18, 12/20/20* | 5.00 | 59.95 | $ | 250 | (201,125 | ) | (201,250 | ) | 125 | |||||||||||||||
Newmont Mining Corp., 5.875%, 4/01/35, 3/20/19* | 1.00 | 0.73 | 760 | 7,759 | (17,603 | ) | 25,362 | |||||||||||||||||
Nine West Holdings, Inc., 6.875%, 3/15/19, 3/20/19* | 5.00 | 49.62 | 760 | (525,290 | ) | 15,438 | (540,728 | ) |
164 | • AB POOLING PORTFOLIOS |
AB High-Yield Portfolio—Portfolio of Investments
Swap Counterparty & Referenced Obligation | Fixed Rate (Pay) Receive | Implied Credit Spread at February 29, 2016 | Notional Amount (000) | Market Value | Upfront Premiums Paid (Received) | Unrealized Appreciation/ (Depreciation) | ||||||||||||||||||
Goldman Sachs International |
| |||||||||||||||||||||||
K. Hovnanian Enterprises, Inc., 8.625%, 1/15/17, 9/20/20* | 5.00 | % | 19.08 | % | $ | 160 | $ | (61,551 | ) | $ | (39,110 | ) | $ | (22,441 | ) | |||||||||
Morgan Stanley Capital Services LLC |
| |||||||||||||||||||||||
AK Steel Corp., 7.625%, 5/15/20, 3/20/16* | 5.00 | 12.34 | 550 | 3,173 | 92 | 3,081 | ||||||||||||||||||
United States Steel Corp., 6.650%, 6/01/37, 9/20/19* | 5.00 | 17.15 | 141 | (41,509 | ) | 5,371 | (46,880 | ) | ||||||||||||||||
United States Steel Corp., 6.650%, 6/01/37, 9/20/19* | 5.00 | 17.15 | 212 | (62,499 | ) | 8,550 | (71,049 | ) | ||||||||||||||||
|
|
|
|
|
| |||||||||||||||||||
$ | (1,593,806 | ) | $ | (808,367 | ) | $ | (785,439 | ) | ||||||||||||||||
|
|
|
|
|
|
* | Termination date |
TOTAL RETURN SWAPS (see Note C)
Counterparty & Referenced Obligation | # of Shares or Units | Rate Paid/ Received | Notional Amount (000) | Maturity Date | Unrealized Appreciation/ (Depreciation) | |||||||||||||||
Receive Total Return on Reference Obligation |
| |||||||||||||||||||
Goldman Sachs International |
| |||||||||||||||||||
iBoxx $ Liquid High Yield Total Return Index | 8,321 | LIBOR | $ | 1,814 | 3/21/16 | $ | 21,601 | |||||||||||||
iBoxx $ Liquid High Yield Total Return Index | 1,182 | LIBOR | 260 | 3/21/16 | 739 | |||||||||||||||
JPMorgan Chase Bank, NA |
| |||||||||||||||||||
iBoxx $ Liquid High Yield Total Return Index | 9,229 | LIBOR | 2,012 | 3/21/16 | 23,974 | |||||||||||||||
iBoxx $ Liquid High Yield Total Return Index | 9,228 | LIBOR | 2,014 | 3/21/16 | 21,661 | |||||||||||||||
Morgan Stanley Capital Services LLC |
| |||||||||||||||||||
iBoxx $ Liquid High Yield Total Return Index | 11,850 | LIBOR | 2,530 | 3/21/16 | 85,672 | |||||||||||||||
iBoxx $ Liquid High Yield Total Return Index | 3,391 | LIBOR | 730 | 3/21/16 | 18,178 | |||||||||||||||
iBoxx $ Liquid High Yield Total Return Index | 4,359 | LIBOR | 946 | 3/21/16 | 15,728 | |||||||||||||||
iBoxx $ Liquid High Yield Total Return Index | 684 | LIBOR | 151 | 3/21/16 | (116 | ) | ||||||||||||||
iBoxx $ Liquid High Yield Total Return Index | 805 | LIBOR | 178 | 3/21/16 | (379 | ) | ||||||||||||||
Pay Total Return on Reference Obligation |
| |||||||||||||||||||
Citibank, NA | ||||||||||||||||||||
iBoxx $ Liquid High Yield Total Return Index | 27,664 | LIBOR | 5,920 | 3/21/16 | (189,142 | ) | ||||||||||||||
|
| |||||||||||||||||||
$ | (2,084 | ) | ||||||||||||||||||
|
|
AB POOLING PORTFOLIOS • | 165 |
AB High-Yield Portfolio—Portfolio of Investments
REVERSE REPURCHASE AGREEMENTS (see Note C)
Broker | Interest Rate | Maturity | U.S. $ 2016 | |||||||||
Credit Suisse Securities (USA) LLC† | 0.00 | % | — | $ | 992,525 |
† | The reverse repurchase agreement matures on demand. Interest rate resets daily and the rate shown is the rate in effect on February 29, 2016 |
The type of underlying collateral and the remaining maturity of open reverse repurchase agreements in relation to the reverse repurchase agreements on the statements of assets and liabilities is as follows:
Remaining Contracted Maturity of the Agreements
Reverse Repurchase Agreements
Overnight and Continuous | Up to 30 Days | 31-90 Days | Greater than 90 Days | Total | ||||||||||||||||
Corporates - Non-Investment Grade | $ | 992,525 | $ | – 0 | – | $ | – 0 | – | $ | – 0 | – | $ | 992,525 |
^^ | Notional amount less than 500. |
(a) | Variable rate coupon, rate shown as of February 29, 2016. |
(b) | 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, 2016, the aggregate market value of these securities amounted to $82,620,936 or 32.8% of net assets. |
(c) | Illiquid security. |
(d) | Fair valued by the Adviser. |
(e) | Security is exempt from registration under Rule 144A of the Securities Act of 1933. These securities, which represent 0.02% of net assets as of February 29, 2016, are considered illiquid and restricted. |
Restricted Securities | Acquisition Date | Cost | Market Value | Percentage of Net Assets | ||||||||||||
Magnetation LLC/Mag Finance Corp. 11.00%, 5/15/18 | 5/15/13-2/19/15 | $ | 507,900 | $ | 19,350 | 0.01 | % | |||||||||
Virgolino de Oliveira Finance SA 10.50%, 1/28/18 | 2/13/13 | 951,445 | 24,459 | 0.01 | % |
(f) | Security is in default and is non-income producing. |
(g) | Restricted and illiquid security. |
Restricted Securities | Acquisition Date | Cost | Market Value | Percentage of Net Assets | ||||||||||||
Exide Technologies Series AI 11.00%, 4/30/20 | 4/30/15 | $ | 1,285,795 | $ | 1,104,599 | 0.44 | % | |||||||||
Exide Technologies | 4/30/15 | 37,522 | 56,576 | 0.02 | % | |||||||||||
Momentive Performance Materials, Inc. | 10/24/14 | – 0 | – | – 0 | – | 0.00 | % |
(h) | Non-income producing security. |
(i) | Pay-In-Kind Payments (PIK). The issuer may pay cash interest and/or interest in additional debt securities. Rates shown are the rates in effect at February 29, 2016. |
166 | • AB POOLING PORTFOLIOS |
AB High-Yield Portfolio—Portfolio of Investments
(j) | Convertible security. |
(k) | Floating Rate Security. Stated interest rate was in effect at February 29, 2016. |
(l) | Position, or a portion thereof, has been segregated to collateralize reverse repurchase agreements. |
(m) | Coupon rate adjusts periodically based upon a predetermined schedule. Stated interest rate in effect at February 29, 2016. |
(n) | Securities are perpetual and, thus, do not have a predetermined maturity date. The date shown, if applicable, reflects the next call date. |
(o) | Defaulted matured security. |
(p) | Defaulted. |
(q) | This position or a portion of this position represents an unsettled loan purchase. The coupon rate will be determined at the time of settlement and will be based upon the London-Interbank Offered Rate (“LIBOR”) plus a premium which was determined at the time of purchase. |
(r) | Position, or a portion thereof, has been segregated to collateralize OTC derivatives outstanding. |
(s) | One contract relates to 100 shares. |
(t) | One contract relates to 1 share. |
(u) | To obtain a copy of the fund’s financial statements, please go to the Securities and Exchange Commission’s website at www.sec.gov, or call AB at (800) 227-4618. |
(v) | Investment in affiliated money market mutual fund. The rate shown represents the 7-day yield as of period end. |
Currency Abbreviations:
AUD – Australian Dollar
BRL – Brazilian Real
CAD – Canadian Dollar
CNY – Chinese Yuan Renminbi
EUR – Euro
GBP – Great British Pound
JPY – Japanese Yen
KRW – South Korean Won
MXN – Mexican Peso
NOK – Norwegian Krone
PEN – Peruvian Nuevo Sol
RUB – Russian Ruble
SEK – Swedish Krona
SGD – Singapore Dollar
TWD – New Taiwan Dollar
USD – United States Dollar
Glossary:
CBT – Chicago Board of Trade
CDX-NAHY – North American High Yield Credit Default Swap Index
CDX-NAIG – North American Investment Grade Credit Default Swap Index
CMBS – Commercial Mortgage-Backed Securities
CME – Chicago Mercantile Exchange
ETF – Exchange Traded Fund
GSE – Government-Sponsored Enterprise
INTRCONX – Inter-Continental Exchange
LIBOR – London Interbank Offered Rates
REIT – Real Estate Investment Trust
SPDR – Standard & Poor’s Depository Receipt
See notes to financial statements.
AB POOLING PORTFOLIOS • | 167 |
AB High-Yield Portfolio—Portfolio of Investments
AB SMALL-MID CAP VALUE PORTFOLIO
PORTFOLIO OF INVESTMENTS
February 29, 2016 (unaudited)
Company | Shares | U.S. $ Value | ||||||
| ||||||||
COMMON STOCKS – 96.4% | ||||||||
Financials – 26.5% | ||||||||
Banks – 8.9% | ||||||||
Associated Banc-Corp. | 100,660 | $ | 1,731,352 | |||||
Comerica, Inc. | 79,300 | 2,678,754 | ||||||
First Niagara Financial Group, Inc. | 213,058 | 1,968,656 | ||||||
Fulton Financial Corp. | 181,410 | 2,287,580 | ||||||
Huntington Bancshares, Inc./OH | 371,940 | 3,254,475 | ||||||
Synovus Financial Corp. | 72,880 | 1,937,879 | ||||||
Texas Capital Bancshares, Inc.(a) | 39,430 | 1,274,772 | ||||||
Webster Financial Corp. | 67,682 | 2,274,792 | ||||||
Zions Bancorporation | 122,640 | 2,614,685 | ||||||
|
| |||||||
20,022,945 | ||||||||
|
| |||||||
Capital Markets – 1.1% | ||||||||
E*TRADE Financial Corp.(a) | 109,950 | 2,579,427 | ||||||
|
| |||||||
Consumer Finance – 0.6% | ||||||||
SLM Corp.(a) | 246,750 | 1,441,020 | ||||||
|
| |||||||
Insurance – 9.1% | ||||||||
American Financial Group, Inc./OH | 42,200 | 2,830,776 | ||||||
Aspen Insurance Holdings Ltd. | 70,800 | 3,164,052 | ||||||
CNO Financial Group, Inc. | 113,919 | 1,985,608 | ||||||
First American Financial Corp. | 89,220 | 3,303,817 | ||||||
Hanover Insurance Group, Inc. (The) | 35,920 | 2,979,564 | ||||||
Reinsurance Group of America, Inc. – Class A | 32,020 | 2,885,002 | ||||||
Validus Holdings Ltd. | 77,660 | 3,487,710 | ||||||
|
| |||||||
20,636,529 | ||||||||
|
| |||||||
Real Estate Investment Trusts (REITs) – 5.7% | ||||||||
DDR Corp. | 131,690 | 2,203,173 | ||||||
Gramercy Property Trust | 469,698 | 3,546,220 | ||||||
LTC Properties, Inc. | 64,470 | 2,865,047 | ||||||
Mid-America Apartment Communities, Inc. | 28,300 | 2,545,302 | ||||||
RLJ Lodging Trust | 87,000 | 1,824,390 | ||||||
|
| |||||||
12,984,132 | ||||||||
|
| |||||||
Thrifts & Mortgage Finance – 1.1% | ||||||||
Essent Group Ltd.(a) | 126,150 | 2,428,388 | ||||||
|
| |||||||
60,092,441 | ||||||||
|
| |||||||
Consumer Discretionary – 20.1% | ||||||||
Auto Components – 3.2% | ||||||||
Dana Holding Corp. | 191,790 | 2,385,868 | ||||||
Lear Corp. | 27,850 | 2,822,598 | ||||||
Tenneco, Inc.(a) | 45,620 | 2,076,622 | ||||||
|
| |||||||
7,285,088 | ||||||||
|
|
168 | • AB POOLING PORTFOLIOS |
AB Small-Mid Cap Value Portfolio—Portfolio of Investments
Company | Shares | U.S. $ Value | ||||||
| ||||||||
Hotels, Restaurants & Leisure – 1.4% | ||||||||
Bloomin’ Brands, Inc. | 188,330 | $ | 3,256,226 | |||||
|
| |||||||
Household Durables – 3.5% | ||||||||
Helen of Troy Ltd.(a) | 24,980 | 2,382,093 | ||||||
Meritage Homes Corp.(a) | 70,200 | 2,279,394 | ||||||
PulteGroup, Inc. | 189,240 | 3,253,035 | ||||||
|
| |||||||
7,914,522 | ||||||||
|
| |||||||
Internet & Catalog Retail – 1.0% | ||||||||
Shutterfly, Inc.(a) | 49,030 | 2,178,893 | ||||||
|
| |||||||
Media – 2.0% | ||||||||
Cable One, Inc. | 5,197 | 2,227,278 | ||||||
Scholastic Corp. | 62,310 | 2,182,720 | ||||||
|
| |||||||
4,409,998 | ||||||||
|
| |||||||
Multiline Retail – 1.4% | ||||||||
Big Lots, Inc. | 77,480 | 3,134,066 | ||||||
|
| |||||||
Specialty Retail – 6.5% | ||||||||
Caleres, Inc. | 82,203 | 2,329,633 | ||||||
Children’s Place, Inc. (The) | 48,790 | 3,324,550 | ||||||
GameStop Corp. – Class A(b) | 46,690 | 1,438,986 | ||||||
Michaels Cos., Inc. (The)(a) | 131,930 | 3,073,969 | ||||||
Murphy USA, Inc.(a) | 40,090 | 2,553,332 | ||||||
Office Depot, Inc.(a) | 388,320 | 1,972,666 | ||||||
|
| |||||||
14,693,136 | ||||||||
|
| |||||||
Textiles, Apparel & Luxury Goods – 1.1% | ||||||||
Crocs, Inc.(a) | 262,360 | 2,568,504 | ||||||
|
| |||||||
45,440,433 | ||||||||
|
| |||||||
Information Technology – 17.4% | ||||||||
Communications Equipment – 2.5% | ||||||||
Finisar Corp.(a) | 222,910 | 3,250,028 | ||||||
Polycom, Inc.(a) | 236,315 | 2,460,039 | ||||||
|
| |||||||
5,710,067 | ||||||||
|
| |||||||
Electronic Equipment, Instruments & Components – 6.4% | ||||||||
Avnet, Inc. | 70,750 | 2,911,363 | ||||||
CDW Corp./DE | 74,280 | 2,940,002 | ||||||
Celestica, Inc. (Toronto)(a) | 128,020 | 1,314,765 | ||||||
Keysight Technologies, Inc.(a) | 106,870 | 2,788,238 | ||||||
TTM Technologies, Inc.(a) | 260,798 | 1,710,835 | ||||||
Vishay Intertechnology, Inc. | 248,150 | 2,938,096 | ||||||
|
| |||||||
14,603,299 | ||||||||
|
|
AB POOLING PORTFOLIOS • | 169 |
AB Small-Mid Cap Value Portfolio—Portfolio of Investments
Company | Shares | U.S. $ Value | ||||||
| ||||||||
IT Services – 3.3% | ||||||||
Amdocs Ltd. | 51,380 | $ | 2,916,329 | |||||
Booz Allen Hamilton Holding Corp. | 104,200 | 2,875,920 | ||||||
Genpact Ltd.(a) | 60,730 | 1,605,094 | ||||||
|
| |||||||
7,397,343 | ||||||||
|
| |||||||
Semiconductors & Semiconductor Equipment – 2.3% | ||||||||
Advanced Micro Devices, Inc.(a)(b) | 331,400 | 709,196 | ||||||
Cypress Semiconductor Corp.(a)(b) | 347,350 | 2,771,853 | ||||||
Lam Research Corp. | 24,480 | 1,794,384 | ||||||
|
| |||||||
5,275,433 | ||||||||
|
| |||||||
Software – 1.3% | ||||||||
Verint Systems, Inc.(a) | 82,960 | 2,947,569 | ||||||
|
| |||||||
Technology Hardware, Storage & Peripherals – 1.6% | ||||||||
NCR Corp.(a) | 151,110 | 3,529,929 | ||||||
|
| |||||||
39,463,640 | ||||||||
|
| |||||||
Industrials – 13.8% | ||||||||
Aerospace & Defense – 0.7% | ||||||||
Spirit AeroSystems Holdings, Inc. – Class A(a) | 36,450 | 1,676,700 | ||||||
|
| |||||||
Commercial Services & Supplies – 0.8% | ||||||||
ABM Industries, Inc. | 58,680 | 1,842,552 | ||||||
|
| |||||||
Construction & Engineering – 5.3% | ||||||||
AECOM(a) | 120,504 | 3,309,040 | ||||||
EMCOR Group, Inc. | 69,220 | 3,175,121 | ||||||
Granite Construction, Inc. | 74,760 | 3,098,802 | ||||||
Quanta Services, Inc.(a) | 113,420 | 2,301,292 | ||||||
|
| |||||||
11,884,255 | ||||||||
|
| |||||||
Electrical Equipment – 1.1% | ||||||||
Regal Beloit Corp. | 46,290 | 2,526,508 | ||||||
|
| |||||||
Machinery – 2.5% | ||||||||
ITT Corp. | 89,670 | 3,161,764 | ||||||
Oshkosh Corp. | 71,850 | 2,478,825 | ||||||
|
| |||||||
5,640,589 | ||||||||
|
| |||||||
Road & Rail – 1.2% | ||||||||
Ryder System, Inc. | 46,010 | 2,609,687 | ||||||
|
| |||||||
Trading Companies & Distributors – 2.2% | ||||||||
MRC Global, Inc.(a) | 246,670 | 2,947,707 | ||||||
WESCO International, Inc.(a)(b) | 45,460 | 2,002,513 | ||||||
|
| |||||||
4,950,220 | ||||||||
|
| |||||||
31,130,511 | ||||||||
|
|
170 | • AB POOLING PORTFOLIOS |
AB Small-Mid Cap Value Portfolio—Portfolio of Investments
Company | Shares | U.S. $ Value | ||||||
| ||||||||
Materials – 5.9% | ||||||||
Chemicals – 3.1% | ||||||||
A. Schulman, Inc. | 77,602 | $ | 1,915,993 | |||||
Huntsman Corp. | 189,700 | 2,060,142 | ||||||
Westlake Chemical Corp. | 67,320 | 2,902,839 | ||||||
|
| |||||||
6,878,974 | ||||||||
|
| |||||||
Containers & Packaging – 2.0% | ||||||||
Avery Dennison Corp. | 34,490 | 2,245,989 | ||||||
Graphic Packaging Holding Co. | 187,960 | 2,317,547 | ||||||
|
| |||||||
4,563,536 | ||||||||
|
| |||||||
Metals & Mining – 0.8% | ||||||||
Steel Dynamics, Inc. | 103,670 | 1,885,757 | ||||||
|
| |||||||
13,328,267 | ||||||||
|
| |||||||
Utilities – 4.4% | ||||||||
Electric Utilities – 2.9% | ||||||||
PNM Resources, Inc. | 105,050 | 3,353,196 | ||||||
Westar Energy, Inc. | 75,281 | 3,271,712 | ||||||
|
| |||||||
6,624,908 | ||||||||
|
| |||||||
Gas Utilities – 1.5% | ||||||||
Southwest Gas Corp. | 56,520 | 3,447,720 | ||||||
|
| |||||||
10,072,628 | ||||||||
|
| |||||||
Health Care – 3.6% | ||||||||
Health Care Providers & Services – 3.6% | ||||||||
LifePoint Health, Inc.(a) | 48,058 | 2,996,897 | ||||||
Molina Healthcare, Inc.(a) | 45,520 | 2,824,061 | ||||||
WellCare Health Plans, Inc.(a) | 26,360 | 2,368,973 | ||||||
|
| |||||||
8,189,931 | ||||||||
|
| |||||||
Energy – 3.2% | ||||||||
Energy Equipment & Services – 1.2% | ||||||||
RPC, Inc.(b) | 192,540 | 2,612,768 | ||||||
|
| |||||||
Oil, Gas & Consumable Fuels – 2.0% | ||||||||
HollyFrontier Corp. | 70,250 | 2,375,855 | ||||||
QEP Resources, Inc. | 221,550 | 2,162,328 | ||||||
|
| |||||||
4,538,183 | ||||||||
|
| |||||||
7,150,951 | ||||||||
|
| |||||||
Consumer Staples – 1.5% | ||||||||
Food Products – 1.5% | ||||||||
Ingredion, Inc. | 32,840 | 3,324,065 | ||||||
|
| |||||||
Total Common Stocks | 218,192,867 | |||||||
|
| |||||||
AB POOLING PORTFOLIOS • | 171 |
AB Small-Mid Cap Value Portfolio—Portfolio of Investments
Company | Shares | U.S. $ Value | ||||||
| ||||||||
SHORT-TERM INVESTMENTS – 3.2% | ||||||||
Investment Companies – 3.2% | ||||||||
AB Fixed Income Shares, Inc. – Government STIF Portfolio, 0.40%(c)(d) | 7,230,961 | $ | 7,230,961 | |||||
|
| |||||||
Total Investments Before Security Lending Collateral for Securities Loaned – 99.6% | 225,423,828 | |||||||
|
| |||||||
INVESTMENTS OF CASH COLLATERAL FOR SECURITIES LOANED – 4.4% | ||||||||
Investment Companies – 4.4% | ||||||||
AB Exchange Reserves – Class I, 0.41%(c)(d) | 9,874,133 | 9,874,133 | ||||||
|
| |||||||
Total Investments – 104.0% | 235,297,961 | |||||||
Other assets less liabilities – (4.0)% | (9,032,532 | ) | ||||||
|
| |||||||
Net Assets – 100.0% | $ | 226,265,429 | ||||||
|
|
(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. |
(d) | To obtain a copy of the fund’s financial statements, please go to the Securities and Exchange Commission’s website at www.sec.gov, or call AB at (800) 227-4618. |
See notes to financial statements.
172 | • AB POOLING PORTFOLIOS |
AB Small-Mid Cap Value Portfolio—Portfolio of Investments
AB SMALL-MID CAP GROWTH PORTFOLIO
PORTFOLIO OF INVESTMENTS
February 29, 2016 (unaudited)
Company | Shares | U.S. $ Value | ||||||
| ||||||||
COMMON STOCKS – 97.6% | ||||||||
Information Technology – 23.3% | ||||||||
Communications Equipment – 3.1% | ||||||||
Ciena Corp.(a) | 129,050 | $ | 2,645,525 | |||||
CommScope Holding Co., Inc.(a) | 64,410 | 1,622,488 | ||||||
Harris Corp. | 18,350 | 1,431,667 | ||||||
Palo Alto Networks, Inc.(a) | 6,190 | 896,250 | ||||||
|
| |||||||
6,595,930 | ||||||||
|
| |||||||
Electronic Equipment, Instruments & Components – 0.7% | ||||||||
VeriFone Systems, Inc.(a) | 64,034 | 1,529,772 | ||||||
|
| |||||||
Internet Software & Services – 2.6% | ||||||||
CoStar Group, Inc.(a) | 23,118 | 4,093,273 | ||||||
Pandora Media, Inc.(a)(b) | 139,083 | 1,421,428 | ||||||
|
| |||||||
5,514,701 | ||||||||
|
| |||||||
IT Services – 1.9% | ||||||||
Vantiv, Inc. – Class A(a) | 79,174 | 4,120,215 | ||||||
|
| |||||||
Semiconductors & Semiconductor Equipment – 4.0% | ||||||||
Cavium, Inc.(a) | 25,006 | 1,487,607 | ||||||
Mellanox Technologies Ltd.(a) | 32,677 | 1,660,318 | ||||||
Microsemi Corp.(a) | 73,460 | 2,543,920 | ||||||
ON Semiconductor Corp.(a) | 321,089 | 2,693,937 | ||||||
|
| |||||||
8,385,782 | ||||||||
|
| |||||||
Software – 11.0% | ||||||||
Aspen Technology, Inc.(a) | 65,239 | 2,150,930 | ||||||
Atlassian Corp. PLC – Class A(a) | 66,988 | 1,592,305 | ||||||
Cadence Design Systems, Inc.(a) | 170,755 | 3,679,770 | ||||||
Fortinet, Inc.(a) | 49,230 | 1,398,132 | ||||||
Guidewire Software, Inc.(a) | 50,138 | 2,468,294 | ||||||
HubSpot, Inc.(a) | 68,100 | 2,837,046 | ||||||
Qlik Technologies, Inc.(a) | 62,780 | 1,457,751 | ||||||
ServiceNow, Inc.(a) | 5,488 | 301,785 | ||||||
Tableau Software, Inc. – Class A(a) | 24,752 | 1,129,929 | ||||||
Take-Two Interactive Software, Inc.(a) | 86,412 | 3,109,968 | ||||||
Ultimate Software Group, Inc. (The)(a) | 18,258 | 3,135,994 | ||||||
|
| |||||||
23,261,904 | ||||||||
|
| |||||||
49,408,304 | ||||||||
|
| |||||||
Consumer Discretionary – 23.1% | ||||||||
Diversified Consumer Services – 3.4% | ||||||||
Bright Horizons Family Solutions, Inc.(a) | 57,165 | 3,622,546 | ||||||
Grand Canyon Education, Inc.(a) | 90,576 | 3,530,653 | ||||||
|
| |||||||
7,153,199 | ||||||||
|
|
AB POOLING PORTFOLIOS • | 173 |
AB Small-Mid Cap Growth Portfolio—Portfolio of Investments
Company | Shares | U.S. $ Value | ||||||
| ||||||||
Hotels, Restaurants & Leisure – 7.3% | ||||||||
Buffalo Wild Wings, Inc.(a) | 14,491 | $ | 2,298,997 | |||||
Dave & Buster’s Entertainment, Inc.(a) | 79,165 | 2,921,980 | ||||||
Habit Restaurants, Inc. (The) – Class A(a)(b) | 75,791 | 1,574,937 | ||||||
Norwegian Cruise Line Holdings Ltd.(a) | 64,137 | 3,151,051 | ||||||
Texas Roadhouse, Inc. – Class A | 49,110 | 2,048,378 | ||||||
Wyndham Worldwide Corp. | 49,123 | 3,578,119 | ||||||
|
| |||||||
15,573,462 | ||||||||
|
| |||||||
Household Durables – 1.9% | ||||||||
Tempur Sealy International, Inc.(a) | 68,247 | 3,935,804 | ||||||
|
| |||||||
Internet & Catalog Retail – 0.9% | ||||||||
Expedia, Inc. | 18,723 | 1,949,252 | ||||||
|
| |||||||
Media – 1.6% | ||||||||
AMC Networks, Inc. – Class A(a) | 53,390 | 3,499,181 | ||||||
|
| |||||||
Specialty Retail – 8.0% | ||||||||
Five Below, Inc.(a)(b) | 99,396 | 3,811,837 | ||||||
Lithia Motors, Inc. – Class A | 37,144 | 3,443,992 | ||||||
Select Comfort Corp.(a) | 117,420 | 2,101,818 | ||||||
Tractor Supply Co. | 41,688 | 3,525,554 | ||||||
Ulta Salon Cosmetics & Fragrance, Inc.(a) | 24,482 | 4,044,181 | ||||||
|
| |||||||
16,927,382 | ||||||||
|
| |||||||
49,038,280 | ||||||||
|
| |||||||
Industrials – 19.6% | ||||||||
Aerospace & Defense – 3.2% | ||||||||
Hexcel Corp. | 93,577 | 3,867,537 | ||||||
TransDigm Group, Inc.(a) | 13,544 | 2,892,728 | ||||||
|
| |||||||
6,760,265 | ||||||||
|
| |||||||
Air Freight & Logistics – 1.2% | ||||||||
Expeditors International of Washington, Inc. | 57,647 | 2,639,080 | ||||||
|
| |||||||
Building Products – 1.4% | ||||||||
Lennox International, Inc. | 23,660 | 3,057,109 | ||||||
|
| |||||||
Electrical Equipment – 1.2% | ||||||||
AMETEK, Inc. | 53,058 | 2,462,422 | ||||||
|
| |||||||
Industrial Conglomerates – 1.7% | ||||||||
Carlisle Cos., Inc. | 38,827 | 3,500,642 | ||||||
|
| |||||||
Machinery – 4.4% | ||||||||
IDEX Corp. | 53,771 | 4,041,428 | ||||||
Lincoln Electric Holdings, Inc. | 51,101 | 2,788,582 | ||||||
Middleby Corp. (The)(a) | 26,320 | 2,437,232 | ||||||
|
| |||||||
9,267,242 | ||||||||
|
|
174 | • AB POOLING PORTFOLIOS |
AB Small-Mid Cap Growth Portfolio—Portfolio of Investments
Company | Shares | U.S. $ Value | ||||||
| ||||||||
Marine – 1.6% | ||||||||
Kirby Corp.(a) | 59,835 | $ | 3,387,259 | |||||
|
| |||||||
Professional Services – 1.3% | ||||||||
Robert Half International, Inc. | 68,306 | 2,690,573 | ||||||
|
| |||||||
Road & Rail – 1.4% | ||||||||
Genesee & Wyoming, Inc. – Class A(a) | 54,124 | 3,069,913 | ||||||
|
| |||||||
Trading Companies & Distributors – 2.2% | ||||||||
United Rentals, Inc.(a) | 23,378 | 1,205,603 | ||||||
Watsco, Inc. | 27,390 | 3,493,595 | ||||||
|
| |||||||
4,699,198 | ||||||||
|
| |||||||
41,533,703 | ||||||||
|
| |||||||
Health Care – 17.5% | ||||||||
Biotechnology – 1.6% | ||||||||
Alder Biopharmaceuticals, Inc.(a) | 36,075 | 685,064 | ||||||
Anacor Pharmaceuticals, Inc.(a) | 12,040 | 767,911 | ||||||
DBV Technologies SA (Sponsored ADR)(a) | 16,503 | 415,051 | ||||||
Sage Therapeutics, Inc.(a) | 24,805 | 729,267 | ||||||
TESARO, Inc.(a)(b) | 22,622 | 915,286 | ||||||
|
| |||||||
3,512,579 | ||||||||
|
| |||||||
Health Care Equipment & Supplies – 7.0% | ||||||||
Align Technology, Inc.(a) | 60,635 | 4,003,729 | ||||||
DexCom, Inc.(a) | 50,914 | 3,312,465 | ||||||
Nevro Corp.(a)(b) | 50,312 | 2,897,971 | ||||||
Penumbra, Inc.(a)(b) | 17,106 | 797,482 | ||||||
Sirona Dental Systems, Inc.(a) | 34,786 | 3,821,242 | ||||||
|
| |||||||
14,832,889 | ||||||||
|
| |||||||
Health Care Providers & Services – 5.6% | ||||||||
Acadia Healthcare Co., Inc.(a) | 60,461 | 3,350,144 | ||||||
Amsurg Corp.(a) | 42,530 | 2,894,167 | ||||||
Diplomat Pharmacy, Inc.(a)(b) | 83,621 | 2,978,580 | ||||||
Premier, Inc. – Class A(a) | 83,906 | 2,728,623 | ||||||
|
| |||||||
11,951,514 | ||||||||
|
| |||||||
Life Sciences Tools & Services – 1.5% | ||||||||
ICON PLC(a) | 43,978 | 3,129,474 | ||||||
|
| |||||||
Pharmaceuticals – 1.8% | ||||||||
Akorn, Inc.(a) | 84,145 | 2,237,415 | ||||||
GW Pharmaceuticals PLC (ADR)(a)(b) | 11,606 | 477,007 | ||||||
Medicines Co. (The)(a) | 33,211 | 1,068,066 | ||||||
|
| |||||||
3,782,488 | ||||||||
|
| |||||||
37,208,944 | ||||||||
|
|
AB POOLING PORTFOLIOS • | 175 |
AB Small-Mid Cap Growth Portfolio—Portfolio of Investments
Company | Shares | U.S. $ Value | ||||||
| ||||||||
Financials – 8.3% | ||||||||
Banks – 5.0% | ||||||||
First Republic Bank/CA | 48,785 | $ | 3,002,229 | |||||
IBERIABANK Corp. | 23,504 | 1,120,671 | ||||||
Signature Bank/New York NY(a) | 28,551 | 3,698,782 | ||||||
SVB Financial Group(a) | 32,196 | 2,860,614 | ||||||
|
| |||||||
10,682,296 | ||||||||
|
| |||||||
Capital Markets – 3.3% | ||||||||
Affiliated Managers Group, Inc.(a) | 19,135 | 2,653,833 | ||||||
Lazard Ltd. – Class A | 81,172 | 2,855,631 | ||||||
Stifel Financial Corp.(a) | 49,269 | 1,426,831 | ||||||
|
| |||||||
6,936,295 | ||||||||
|
| |||||||
17,618,591 | ||||||||
|
| |||||||
Materials – 2.7% | ||||||||
Chemicals – 1.4% | ||||||||
PolyOne Corp. | 112,371 | 3,023,904 | ||||||
|
| |||||||
Construction Materials – 1.3% | ||||||||
Martin Marietta Materials, Inc. | 18,565 | 2,647,740 | ||||||
|
| |||||||
5,671,644 | ||||||||
|
| |||||||
Energy – 2.3% | ||||||||
Energy Equipment & Services – 1.0% | ||||||||
Oceaneering International, Inc. | 57,610 | 1,591,188 | ||||||
Superior Energy Services, Inc. | 43,700 | 449,236 | ||||||
|
| |||||||
2,040,424 | ||||||||
|
| |||||||
Oil, Gas & Consumable Fuels – 1.3% | ||||||||
Concho Resources, Inc.(a) | 21,844 | 1,971,203 | ||||||
Laredo Petroleum, Inc.(a)(b) | 85,390 | 436,343 | ||||||
Oasis Petroleum, Inc.(a) | 68,390 | 368,622 | ||||||
|
| |||||||
2,776,168 | ||||||||
|
| |||||||
4,816,592 | ||||||||
|
| |||||||
Consumer Staples – 0.8% | ||||||||
Food Products – 0.8% | ||||||||
Blue Buffalo Pet Products, Inc.(a)(b) | 100,106 | 1,831,940 | ||||||
|
| |||||||
Total Common Stocks | 207,127,998 | |||||||
|
| |||||||
SHORT-TERM INVESTMENTS – 2.4% | ||||||||
Investment Companies – 2.4% | ||||||||
AB Fixed Income Shares, Inc. – Government STIF Portfolio, 0.40%(c)(d) | 5,064,950 | 5,064,950 | ||||||
|
| |||||||
Total Investments Before Security Lending Collateral for Securities Loaned – 100.0% | 212,192,948 | |||||||
|
|
176 | • AB POOLING PORTFOLIOS |
AB Small-Mid Cap Growth Portfolio—Portfolio of Investments
Company | Shares | U.S. $ Value | ||||||
| ||||||||
INVESTMENTS OF CASH COLLATERAL FOR SECURITIES LOANED – 5.7% | ||||||||
Investment Companies – 5.7% | ||||||||
AB Exchange Reserves – Class I, 0.41%(c)(d) | 12,124,562 | $ | 12,124,562 | |||||
|
| |||||||
Total Investments – 105.7% | 224,317,510 | |||||||
Other assets less liabilities – (5.7)% | (12,133,825 | ) | ||||||
|
| |||||||
Net Assets – 100.0% | $ | 212,183,685 | ||||||
|
|
(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. |
(d) | To obtain a copy of the fund’s financial statements, please go to the Securities and Exchange Commission’s website at www.sec.gov, or call AB at (800) 227-4618. |
Glossary:
ADR | – American Depositary Receipt |
See notes to financial statements.
AB POOLING PORTFOLIOS • | 177 |
AB Small-Mid Cap Growth Portfolio—Portfolio of Investments
AB MULTI-ASSET REAL RETURN PORTFOLIO
CONSOLIDATED PORTFOLIO OF INVESTMENTS
February 29, 2016 (unaudited)
Company | Shares | U.S. $ Value | ||||||
| ||||||||
COMMON STOCKS – 61.1% | ||||||||
Energy – 25.4% | ||||||||
Integrated Oil & Gas – 17.7% | ||||||||
BP PLC | 1,579,954 | $ | 7,667,824 | |||||
Chevron Corp. | 128,440 | 10,717,033 | ||||||
China Petroleum & Chemical Corp. – Class H | 1,514,000 | 858,939 | ||||||
Eni SpA | 8,206 | 114,763 | ||||||
Exxon Mobil Corp. | 295,927 | 23,718,549 | ||||||
Galp Energia SGPS SA | 77,210 | 846,810 | ||||||
LUKOIL PJSC (Sponsored ADR)(a) | 49,010 | 1,739,033 | ||||||
Petroleo Brasileiro SA (Preference Shares)(b) | 132,700 | 169,859 | ||||||
Petroleo Brasileiro SA (Sponsored ADR)(b) | 187,858 | 475,281 | ||||||
Royal Dutch Shell PLC (Euronext Amsterdam) – Class A | 371,723 | 8,480,497 | ||||||
Royal Dutch Shell PLC – Class A | 400,300 | 9,118,925 | ||||||
Royal Dutch Shell PLC – Class B | 114,000 | 2,588,434 | ||||||
Statoil ASA(a) | 7,380 | 107,432 | ||||||
TOTAL SA | 263,478 | 11,809,204 | ||||||
|
| |||||||
78,412,583 | ||||||||
|
| |||||||
Oil & Gas Equipment & Services – 0.8% | ||||||||
Aker Solutions ASA(c) | 205,030 | 608,196 | ||||||
Deep Sea Supply PLC(b) | 863,126 | 70,944 | ||||||
Helix Energy Solutions Group, Inc.(b) | 74,740 | 291,486 | ||||||
Petrofac Ltd.(a) | 80,830 | 1,011,503 | ||||||
RPC, Inc.(a) | 30,960 | 420,127 | ||||||
Schlumberger Ltd. | 12,520 | 897,935 | ||||||
|
| |||||||
3,300,191 | ||||||||
|
| |||||||
Oil & Gas Exploration & Production – 6.3% | ||||||||
Anadarko Petroleum Corp. | 80,326 | 3,048,372 | ||||||
California Resources Corp. | 6,606 | 3,713 | ||||||
Canadian Natural Resources Ltd. | 140,756 | 2,942,040 | ||||||
CNOOC Ltd. | 2,416,800 | 2,514,394 | ||||||
ConocoPhillips | 99,542 | 3,367,505 | ||||||
Det Norske Oljeselskap ASA(a)(b) | 159,264 | 1,114,336 | ||||||
EOG Resources, Inc. | 69,127 | 4,475,282 | ||||||
Hess Corp. | 59,914 | 2,612,250 | ||||||
Inpex Corp. | 96,900 | 698,589 | ||||||
Murphy Oil Corp.(a) | 58,640 | 1,007,435 | ||||||
Occidental Petroleum Corp. | 70,560 | 4,855,939 | ||||||
Pioneer Natural Resources Co. | 6,871 | 828,162 | ||||||
Woodside Petroleum Ltd. | 32,254 | 579,592 | ||||||
|
| |||||||
28,047,609 | ||||||||
|
| |||||||
Oil & Gas Refining & Marketing – 0.6% | ||||||||
Cosan SA Industria e Comercio | 73,600 | 490,294 | ||||||
JX Holdings, Inc. | 336,300 | 1,306,305 |
178 | • AB POOLING PORTFOLIOS |
AB Multi-Asset Real Return Portfolio—Consolidated Portfolio of Investments
Company | Shares | U.S. $ Value | ||||||
| ||||||||
Tupras Turkiye Petrol Rafinerileri AS(b) | 34,020 | $ | 869,253 | |||||
|
| |||||||
2,665,852 | ||||||||
|
| |||||||
112,426,235 | ||||||||
|
| |||||||
Equity: Other – 9.1% | ||||||||
Diversified/Specialty – 6.9% | ||||||||
Activia Properties, Inc. | 52 | 279,313 | ||||||
Alexandria Real Estate Equities, Inc. | 4,405 | 348,700 | ||||||
Armada Hoffler Properties, Inc. | 30,140 | 320,388 | ||||||
Ayala Land, Inc. | 653,782 | 450,748 | ||||||
Azrieli Group Ltd. | 2,183 | 79,190 | ||||||
Beni Stabili SpA SIIQ | 63,521 | 40,671 | ||||||
British Land Co. PLC (The) | 59,836 | 545,989 | ||||||
Bumi Serpong Damai Tbk PT | 460,000 | 57,878 | ||||||
Buzzi Unicem SpA | 21,690 | 330,000 | ||||||
CA Immobilien Anlagen AG(b) | 36,215 | 614,787 | ||||||
Canadian Real Estate Investment Trust | 4,350 | 133,554 | ||||||
CapitaLand Ltd.(a) | 152,200 | 322,336 | ||||||
CBRE Group, Inc. – Class A(b) | 14,570 | 370,224 | ||||||
Central Pattana PCL | 80,400 | 104,928 | ||||||
Cheung Kong Property Holdings Ltd. | 270,500 | 1,379,448 | ||||||
Ciputra Development Tbk PT | 1,326,159 | 126,821 | ||||||
Cofinimmo SA | 1,199 | 131,487 | ||||||
Country Garden Holdings Co., Ltd. | 430,000 | 156,420 | ||||||
Dalian Wanda Commercial Properties Co., Ltd. – Class H(a)(c) | 40,300 | 165,539 | ||||||
Digital Realty Trust, Inc. | 8,213 | 649,402 | ||||||
East Japan Railway Co. | 3,600 | 315,250 | ||||||
Emira Property Fund Ltd. | 136,860 | 129,311 | ||||||
Evergrande Real Estate Group Ltd.(a) | 317,750 | 208,998 | ||||||
Fastighets AB Balder – Class B(b) | 5,428 | 125,221 | ||||||
Fibra Uno Administracion SA de CV | 138,956 | 290,022 | ||||||
Fonciere Des Regions | 7,614 | 624,074 | ||||||
Forest City Realty Trust, Inc. – Class A(b) | 15,793 | 294,539 | ||||||
Fortress Income Fund Ltd. – Class A | 50,972 | 48,331 | ||||||
Fortress Income Fund Ltd. – Class B | 50,972 | 105,912 | ||||||
Fukuoka REIT Corp.(a) | 95 | 163,508 | ||||||
Gecina SA | 2,218 | 274,356 | ||||||
Globe Trade Centre SA(b) | 19,961 | 33,665 | ||||||
Goldin Properties Holdings Ltd.(a)(b) | 76,000 | 34,377 | ||||||
GPT Group (The) | 276,554 | 968,475 | ||||||
Gramercy Property Trust | 127,061 | 959,311 | ||||||
Great Portland Estates PLC | 20,226 | 195,670 | ||||||
Growthpoint Properties Ltd. | 149,427 | 227,394 | ||||||
H&R Real Estate Investment Trust | 16,678 | 231,495 | ||||||
Hemfosa Fastigheter AB | 48,096 | 532,015 | ||||||
Henderson Land Development Co., Ltd. | 59,920 | 323,528 | ||||||
Hufvudstaden AB – Class A | 6,529 | 95,092 | ||||||
Hulic Co., Ltd. | 21,450 | 190,211 |
AB POOLING PORTFOLIOS • | 179 |
AB Multi-Asset Real Return Portfolio—Consolidated Portfolio of Investments
Company | Shares | U.S. $ Value | ||||||
| ||||||||
Hung Poo Real Estate Development Corp. | 21,000 | $ | 14,002 | |||||
IMMOFINANZ AG(b) | 386,220 | 785,533 | ||||||
IOI Properties Group Bhd | 115,400 | 56,228 | ||||||
Kaisa Group Holdings Ltd.(a)(b)(d)(e) | 1,057,000 | 105,998 | ||||||
Kennedy Wilson Europe Real Estate PLC | 38,829 | 606,329 | ||||||
Kiwi Property Group Ltd. | 75,692 | 68,037 | ||||||
KLCCP Stapled Group | 27,000 | 44,947 | ||||||
Land Securities Group PLC | 46,392 | 648,251 | ||||||
Leopalace21 Corp.(b) | 30,900 | 179,285 | ||||||
Lippo Karawaci Tbk PT | 1,133,100 | 86,823 | ||||||
Longfor Properties Co., Ltd. | 86,950 | 106,723 | ||||||
Mah Sing Group Bhd | 93,275 | 29,062 | ||||||
Mapletree Greater China Commercial Trust(c) | 111,900 | 72,383 | ||||||
Merlin Properties Socimi SA | 109,714 | 1,145,422 | ||||||
Mitsubishi Estate Co., Ltd. | 114,000 | 2,117,704 | ||||||
Mitsui Fudosan Co., Ltd. | 100,000 | 2,323,735 | ||||||
New World China Land Ltd. | 156,000 | 149,376 | ||||||
New World Development Co., Ltd. | 535,759 | 449,690 | ||||||
Nomura Real Estate Master Fund, Inc. | 211 | 293,077 | ||||||
Oberoi Realty Ltd. | 5,124 | 17,265 | ||||||
Orix JREIT, Inc.(a) | 137 | 208,261 | ||||||
Pakuwon Jati Tbk PT | 1,388,500 | 47,491 | ||||||
Premier Investment Corp. | 262 | 329,483 | ||||||
Pruksa Real Estate PCL | 40,100 | 29,262 | ||||||
Quality Houses PCL | 258,383 | 16,679 | ||||||
Redefine Properties Ltd. | 240,022 | 155,091 | ||||||
Resilient REIT Ltd. | 17,014 | 131,816 | ||||||
SA Corporate Real Estate Fund Nominees Pty Ltd. | 463,578 | 133,430 | ||||||
SM Prime Holdings, Inc. | 463,250 | 201,489 | ||||||
SP Setia Bhd Group | 53,650 | 38,276 | ||||||
Sponda Oyj | 14,079 | 57,236 | ||||||
Sumitomo Realty & Development Co., Ltd. | 58,000 | 1,594,905 | ||||||
Summarecon Agung Tbk PT | 646,400 | 76,952 | ||||||
Sun Hung Kai Properties Ltd. | 164,663 | 1,841,674 | ||||||
Sunac China Holdings Ltd. | 104,400 | 67,374 | ||||||
Suntec Real Estate Investment Trust | 144,400 | 171,384 | ||||||
Supalai PCL | 36,300 | 17,931 | ||||||
Swiss Prime Site AG (REG)(b) | 3,730 | 311,120 | ||||||
TLG Immobilien AG | 9,490 | 182,298 | ||||||
United Urban Investment Corp. | 375 | 589,592 | ||||||
UOL Group Ltd.(a) | 190,348 | 766,017 | ||||||
VEREIT, Inc. | 55,129 | 442,135 | ||||||
Wallenstam AB – Class B | 11,798 | 90,795 | ||||||
WHA Corp. PCL(b) | 198,630 | 16,055 | ||||||
Wharf Holdings Ltd. (The) | 80,000 | 399,754 | ||||||
WP Carey, Inc.(a) | 5,346 | 303,065 | ||||||
|
| |||||||
30,498,013 | ||||||||
|
|
180 | • AB POOLING PORTFOLIOS |
AB Multi-Asset Real Return Portfolio—Consolidated Portfolio of Investments
Company | Shares | U.S. $ Value | ||||||
| ||||||||
Health Care – 1.5% | ||||||||
Assura PLC | 232,940 | $ | 162,271 | |||||
Chartwell Retirement Residences | 10,348 | 99,121 | ||||||
HCP, Inc. | 27,879 | 824,661 | ||||||
LTC Properties, Inc. | 14,510 | 644,824 | ||||||
Omega Healthcare Investors, Inc. | 9,989 | 320,247 | ||||||
Ventas, Inc. | 47,273 | 2,631,688 | ||||||
Welltower, Inc. | 35,474 | 2,262,532 | ||||||
|
| |||||||
6,945,344 | ||||||||
|
| |||||||
Triple Net – 0.7% | ||||||||
National Retail Properties, Inc. | 25,528 | 1,122,722 | ||||||
Realty Income Corp.(a) | 31,486 | 1,843,190 | ||||||
|
| |||||||
2,965,912 | ||||||||
|
| |||||||
40,409,269 | ||||||||
|
| |||||||
Materials – 7.3% | ||||||||
Commodity Chemicals – 0.4% | ||||||||
LyondellBasell Industries NV – Class A | 12,470 | 1,000,219 | ||||||
Westlake Chemical Corp. | 13,980 | 602,817 | ||||||
|
| |||||||
1,603,036 | ||||||||
|
| |||||||
Diversified Chemicals – 0.2% | ||||||||
Arkema SA | 13,446 | 820,919 | ||||||
|
| |||||||
Diversified Metals & Mining – 2.7% | ||||||||
Antofagasta PLC(a) | 159,830 | 1,091,094 | ||||||
Aurubis AG | 12,960 | 584,776 | ||||||
Boliden AB | 60,790 | 910,460 | ||||||
First Quantum Minerals Ltd.(a) | 209,000 | 761,545 | ||||||
Glencore PLC(b) | 1,533,650 | 2,815,390 | ||||||
Korea Zinc Co., Ltd. | 2,320 | 839,393 | ||||||
Lundin Mining Corp.(b) | 179,720 | 499,444 | ||||||
Rio Tinto PLC | 153,330 | 4,033,015 | ||||||
South32 Ltd.(b) | 339,000 | 301,647 | ||||||
|
| |||||||
11,836,764 | ||||||||
|
| |||||||
Fertilizers & Agricultural Chemicals – 1.5% | ||||||||
Agrium, Inc. (Toronto) | 4,392 | 378,205 | ||||||
CF Industries Holdings, Inc. | 39,391 | 1,436,196 | ||||||
Monsanto Co. | 26,542 | 2,388,514 | ||||||
Potash Corp. of Saskatchewan, Inc. | 27,203 | 461,024 | ||||||
Syngenta AG (REG) | 2,926 | 1,171,804 | ||||||
UPL Ltd. | 144,850 | 810,369 | ||||||
|
| |||||||
6,646,112 | ||||||||
|
| |||||||
Forest Products – 0.0% | ||||||||
West Fraser Timber Co., Ltd. | 2,212 | 68,387 | ||||||
|
|
AB POOLING PORTFOLIOS • | 181 |
AB Multi-Asset Real Return Portfolio—Consolidated Portfolio of Investments
Company | Shares | U.S. $ Value | ||||||
| ||||||||
Gold – 1.3% | ||||||||
Agnico Eagle Mines Ltd. | 29,559 | $ | 1,040,136 | |||||
Barrick Gold Corp. (New York) | 33,980 | 471,982 | ||||||
Barrick Gold Corp. (Toronto) | 41,607 | 578,131 | ||||||
Franco-Nevada Corp. | 5,236 | 312,496 | ||||||
Goldcorp, Inc. | 100,922 | 1,450,054 | ||||||
Newcrest Mining Ltd.(b) | 24,673 | 309,751 | ||||||
Newmont Mining Corp. | 18,089 | 467,239 | ||||||
Randgold Resources Ltd. | 11,265 | 1,023,305 | ||||||
Real Gold Mining Ltd.(b)(d)(e) | 686,500 | – 0 | –^ | |||||
|
| |||||||
5,653,094 | ||||||||
|
| |||||||
Paper Packaging – 0.2% | ||||||||
International Paper Co. | 12,949 | 462,279 | ||||||
Smurfit Kappa Group PLC | 26,230 | 605,798 | ||||||
|
| |||||||
1,068,077 | ||||||||
|
| |||||||
Paper Products – 0.2% | ||||||||
Mondi PLC | 35,059 | 625,498 | ||||||
Oji Holdings Corp. | 25,000 | 94,465 | ||||||
Stora Enso Oyj – Class R | 17,353 | 142,873 | ||||||
UPM-Kymmene Oyj | 16,977 | 287,178 | ||||||
|
| |||||||
1,150,014 | ||||||||
|
| |||||||
Precious Metals & Minerals – 0.2% | ||||||||
Fresnillo PLC | 7,251 | 100,532 | ||||||
Industrias Penoles SAB de CV | 4,653 | 54,538 | ||||||
Silver Wheaton Corp. | 51,703 | 815,478 | ||||||
|
| |||||||
970,548 | ||||||||
|
| |||||||
Specialty Chemicals – 0.1% | ||||||||
Johnson Matthey PLC | 11,755 | 415,080 | ||||||
|
| |||||||
Steel – 0.5% | ||||||||
Novolipetsk Steel AO (GDR)(c) | 84,710 | 826,395 | ||||||
Severstal PAO (GDR)(c) | 50,960 | 414,943 | ||||||
Vale SA (Sponsored ADR) (Local Preference Shares)(a) | 208,670 | 448,641 | ||||||
voestalpine AG | 15,410 | 444,865 | ||||||
|
| |||||||
2,134,844 | ||||||||
|
| |||||||
32,366,875 | ||||||||
|
| |||||||
Retail – 6.4% | ||||||||
Regional Mall – 2.6% | ||||||||
BR Malls Participacoes SA | 24,910 | 83,497 | ||||||
CapitaLand Mall Trust | 154,600 | 240,597 | ||||||
General Growth Properties, Inc. | 40,468 | 1,113,679 | ||||||
Macerich Co. (The) | 9,507 | 751,814 | ||||||
Multiplan Empreendimentos Imobiliarios SA | 4,450 | 52,096 | ||||||
Pennsylvania Real Estate Investment Trust(a) | 21,130 | 404,851 |
182 | • AB POOLING PORTFOLIOS |
AB Multi-Asset Real Return Portfolio—Consolidated Portfolio of Investments
Company | Shares | U.S. $ Value | ||||||
| ||||||||
Simon Property Group, Inc. | 37,075 | $ | 7,034,240 | |||||
Westfield Corp. | 225,138 | 1,601,190 | ||||||
|
| |||||||
11,281,964 | ||||||||
|
| |||||||
Shopping Center/Other Retail – 3.8% | ||||||||
Aeon Mall Co., Ltd. | 26,500 | 375,620 | ||||||
Brixmor Property Group, Inc. | 27,290 | 639,405 | ||||||
Capital & Counties Properties PLC | 42,108 | 188,361 | ||||||
Capitaland Malaysia Mall Trust | 65,200 | 22,793 | ||||||
Citycon Oyj(b) | 23,005 | 53,334 | ||||||
DDR Corp. | 42,183 | 705,722 | ||||||
Federal Realty Investment Trust | 4,139 | 612,820 | ||||||
Fibra Shop Portafolios Inmobiliarios SAPI de CV | 363,614 | 349,976 | ||||||
Hammerson PLC | 45,564 | 346,460 | ||||||
Hyprop Investments Ltd. | 14,270 | 93,305 | ||||||
IGB Real Estate Investment Trust | 98,600 | 35,641 | ||||||
Intu Properties PLC(a) | 54,706 | 227,258 | ||||||
Japan Retail Fund Investment Corp.(a) | 145 | 330,531 | ||||||
Kimco Realty Corp. | 24,878 | 665,487 | ||||||
Kite Realty Group Trust | 27,470 | 739,492 | ||||||
Klepierre | 28,898 | 1,203,234 | ||||||
Link REIT | 287,878 | 1,624,214 | ||||||
Mercialys SA | 26,040 | 572,519 | ||||||
Ramco-Gershenson Properties Trust | 39,474 | 663,163 | ||||||
Regency Centers Corp. | 20,603 | 1,454,160 | ||||||
Retail Opportunity Investments Corp. | 39,674 | 729,208 | ||||||
RioCan Real Estate Investment Trust (Toronto) | 19,239 | 364,588 | ||||||
Scentre Group | 538,395 | 1,673,966 | ||||||
Shaftesbury PLC | 16,275 | 193,840 | ||||||
Smart Real Estate Investment Trust | 6,659 | 158,379 | ||||||
Unibail-Rodamco SE | 5,748 | 1,430,115 | ||||||
Vastned Retail NV | 12,298 | 525,602 | ||||||
Vicinity Centres | 442,572 | 979,836 | ||||||
|
| |||||||
16,959,029 | ||||||||
|
| |||||||
28,240,993 | ||||||||
|
| |||||||
Residential – 6.2% | ||||||||
Multi-Family – 4.7% | ||||||||
Advance Residence Investment Corp. | 77 | 185,559 | ||||||
Apartment Investment & Management Co. – Class A | 9,446 | 345,818 | ||||||
AvalonBay Communities, Inc. | 19,667 | 3,375,644 | ||||||
BUWOG AG(b) | 3,540 | 73,008 | ||||||
Camden Property Trust | 5,223 | 390,367 | ||||||
Canadian Apartment Properties REIT | 6,609 | 140,044 | ||||||
China Overseas Land & Investment Ltd. | 750,650 | 2,237,665 |
AB POOLING PORTFOLIOS • | 183 |
AB Multi-Asset Real Return Portfolio—Consolidated Portfolio of Investments
Company | Shares | U.S. $ Value | ||||||
| ||||||||
China Resources Land Ltd. | 642,966 | $ | 1,531,760 | |||||
China Vanke Co., Ltd. – Class H | 213,075 | 482,030 | ||||||
CIFI Holdings Group Co., Ltd. | 1,412,000 | 286,757 | ||||||
Comforia Residential REIT, Inc. | 133 | 268,666 | ||||||
Corp. GEO SAB de CV Series B(a)(b) | 1,085 | 393 | ||||||
Cyrela Brazil Realty SA Empreendimentos e Participacoes | 16,120 | 32,918 | ||||||
Desarrolladora Homex SAB de CV(a)(b) | 130 | 28 | ||||||
Deutsche Wohnen AG | 20,221 | 533,819 | ||||||
Emlak Konut Gayrimenkul Yatirim Ortakligi AS | 442,984 | 384,304 | ||||||
Equity LifeStyle Properties, Inc. | 3,250 | 228,020 | ||||||
Equity Residential | 30,043 | 2,237,904 | ||||||
Essex Property Trust, Inc. | 6,960 | 1,456,589 | ||||||
Greentown China Holdings Ltd.(b) | 237,500 | 190,092 | ||||||
Independence Realty Trust, Inc.(a) | 46,620 | 299,767 | ||||||
Kenedix Residential Investment Corp.(a) | 102 | 269,177 | ||||||
Land & Houses PCL | 209,900 | 48,846 | ||||||
LEG Immobilien AG(b) | 3,456 | 282,470 | ||||||
Mid-America Apartment Communities, Inc. | 13,847 | 1,245,399 | ||||||
Mirvac Group | 164,820 | 214,553 | ||||||
MRV Engenharia e Participacoes SA | 16,500 | 43,556 | ||||||
Shenzhen Investment Ltd. | 172,000 | 62,355 | ||||||
Shimao Property Holdings Ltd. | 73,500 | 95,177 | ||||||
Sino-Ocean Land Holdings Ltd. | 214,350 | 93,647 | ||||||
Stockland | 135,871 | 403,232 | ||||||
Sun Communities, Inc. | 12,481 | 842,842 | ||||||
UDR, Inc. | 15,721 | 539,702 | ||||||
UNITE Group PLC (The) | 33,830 | 286,669 | ||||||
Urbi Desarrollos Urbanos SAB de CV(b)(d)(e) | 52,560 | – 0 | – | |||||
Vonovia SE | 36,784 | 1,142,469 | ||||||
Wing Tai Holdings Ltd. | 590,300 | 654,661 | ||||||
|
| |||||||
20,905,907 | ||||||||
|
| |||||||
Self Storage – 1.5% | ||||||||
Big Yellow Group PLC | 40,940 | 416,442 | ||||||
CubeSmart | 35,437 | 1,059,566 | ||||||
Extra Space Storage, Inc. | 12,578 | 1,033,283 | ||||||
National Storage Affiliates Trust | 30,451 | 550,858 | ||||||
Public Storage | 10,912 | 2,722,435 | ||||||
Safestore Holdings PLC | 63,110 | 286,915 | ||||||
Sovran Self Storage, Inc. | 6,000 | 638,640 | ||||||
|
| |||||||
6,708,139 | ||||||||
|
| |||||||
27,614,046 | ||||||||
|
| |||||||
Office – 2.9% | ||||||||
Office – 2.9% | ||||||||
Allied Properties Real Estate Investment Trust | 23,688 | 552,545 | ||||||
alstria office REIT-AG(a)(b) | 67,645 | 855,089 | ||||||
Ascendas India Trust | 41,100 | 25,724 |
184 | • AB POOLING PORTFOLIOS |
AB Multi-Asset Real Return Portfolio—Consolidated Portfolio of Investments
Company | Shares | U.S. $ Value | ||||||
| ||||||||
Befimmo SA | 995 | $ | 55,545 | |||||
Boston Properties, Inc. | 22,160 | 2,529,343 | ||||||
Castellum AB | 9,657 | 145,811 | ||||||
Cominar Real Estate Investment Trust | 10,160 | 114,741 | ||||||
Derwent London PLC | 5,814 | 244,259 | ||||||
Dream Office Real Estate Investment Trust | 34,097 | 497,972 | ||||||
Entra ASA(c) | 3,699 | 32,085 | ||||||
Fabege AB | 7,830 | 121,107 | ||||||
Green REIT PLC | 39,444 | 57,072 | ||||||
Highwoods Properties, Inc. | 15,510 | 675,461 | ||||||
Hongkong Land Holdings Ltd. | 194,300 | 1,140,179 | ||||||
ICADE | 7,290 | 507,591 | ||||||
Inmobiliaria Colonial SA(b) | 123,319 | 80,068 | ||||||
Investa Office Fund | 140,620 | 397,268 | ||||||
Japan Prime Realty Investment Corp. | 79 | 324,471 | ||||||
Japan Real Estate Investment Corp. | 72 | 434,540 | ||||||
Kenedix Office Investment Corp. – Class A | 112 | 650,343 | ||||||
Kilroy Realty Corp. | 5,600 | 303,912 | ||||||
Liberty Property Trust | 9,073 | 262,028 | ||||||
Mori Hills REIT Investment Corp. | 246 | 370,478 | ||||||
Nippon Building Fund, Inc. | 80 | 474,475 | ||||||
Norwegian Property ASA(b) | 15,072 | 14,808 | ||||||
PSP Swiss Property AG (REG)(b) | 2,375 | 202,223 | ||||||
SL Green Realty Corp. | 6,019 | 530,755 | ||||||
Vornado Realty Trust | 10,351 | 893,912 | ||||||
Workspace Group PLC | 29,090 | 292,234 | ||||||
|
| |||||||
12,786,039 | ||||||||
|
| |||||||
Industrials – 1.9% | ||||||||
Industrial Warehouse Distribution – 1.5% | ||||||||
Ascendas Real Estate Investment Trust | 116,600 | 200,614 | ||||||
Daiwa House REIT Investment Corp. | 63 | 254,041 | ||||||
DCT Industrial Trust, Inc. | 20,970 | 758,904 | ||||||
Duke Realty Corp. | 66,991 | 1,385,374 | ||||||
Global Logistic Properties Ltd. | 184,200 | 231,596 | ||||||
GLP J-Reit(a) | 308 | 328,134 | ||||||
Granite Real Estate Investment Trust | 22,489 | 637,788 | ||||||
Macquarie Mexico Real Estate Management SA de CV(b) | 251,715 | 317,802 | ||||||
PLA Administradora Industrial S de RL de CV(b) | 93,630 | 155,964 | ||||||
Prologis, Inc. | 44,692 | 1,718,854 | ||||||
Segro PLC | 43,263 | 249,224 | ||||||
Warehouses De Pauw CVA | 4,829 | 408,544 | ||||||
|
| |||||||
6,646,839 | ||||||||
|
|
AB POOLING PORTFOLIOS • | 185 |
AB Multi-Asset Real Return Portfolio—Consolidated Portfolio of Investments
Company | Shares | U.S. $ Value | ||||||
| ||||||||
Mixed Office Industrial – 0.4% | ||||||||
BR Properties SA | 11,320 | $ | 22,327 | |||||
Goodman Group | 283,691 | 1,308,926 | ||||||
Kungsleden AB | 67,783 | 453,894 | ||||||
|
| |||||||
1,785,147 | ||||||||
|
| |||||||
8,431,986 | ||||||||
|
| |||||||
Lodging – 0.8% | ||||||||
Lodging – 0.8% | ||||||||
Ashford Hospitality Trust, Inc. | 67,798 | 374,923 | ||||||
Chesapeake Lodging Trust | 28,320 | 719,611 | ||||||
Host Hotels & Resorts, Inc. | 46,807 | 716,615 | ||||||
Pebblebrook Hotel Trust | 16,730 | 454,387 | ||||||
RLJ Lodging Trust | 21,992 | 461,172 | ||||||
Summit Hotel Properties, Inc. | 66,840 | 722,541 | ||||||
Wyndham Worldwide Corp. | 4,360 | 317,582 | ||||||
|
| |||||||
3,766,831 | ||||||||
|
| |||||||
Food Beverage & Tobacco – 0.6% | ||||||||
Agricultural Products – 0.5% | ||||||||
Archer-Daniels-Midland Co. | 45,835 | 1,602,391 | ||||||
Bunge Ltd. | 4,784 | 237,861 | ||||||
Wilmar International Ltd.(a) | 62,000 | 137,060 | ||||||
|
| |||||||
1,977,312 | ||||||||
|
| |||||||
Packaged Foods & Meats – 0.1% | ||||||||
Tyson Foods, Inc. – Class A | 7,930 | 513,468 | ||||||
|
| |||||||
2,490,780 | ||||||||
|
| |||||||
Real Estate – 0.3% | ||||||||
Developers – 0.0% | ||||||||
Daelim Industrial Co., Ltd. | 3,130 | 203,357 | ||||||
|
| |||||||
Diversified Real Estate Activities – 0.3% | ||||||||
MMC Norilsk Nickel PJSC (ADR) | 110,330 | 1,330,630 | ||||||
|
| |||||||
1,533,987 | ||||||||
|
| |||||||
Mortgage – 0.2% | ||||||||
Mortgage – 0.2% | ||||||||
Blackstone Mortgage Trust, Inc. – Class A | 12,360 | 305,786 | ||||||
Concentradora Hipotecaria SAPI de CV | 216,470 | 295,393 | ||||||
First American Financial Corp. | 8,650 | 320,309 | ||||||
|
| |||||||
921,488 | ||||||||
|
| |||||||
Financial:Other – 0.0% | ||||||||
Financial:Other – 0.0% | ||||||||
DLF Ltd. | 25,226 | 32,624 | ||||||
|
| |||||||
Total Common Stocks | 271,021,153 | |||||||
|
| |||||||
186 | • AB POOLING PORTFOLIOS |
AB Multi-Asset Real Return Portfolio—Consolidated Portfolio of Investments
Company | Shares | U.S. $ Value | ||||||
| ||||||||
INVESTMENT COMPANIES – 5.2% | ||||||||
Funds and Investment Trusts – 5.2% | ||||||||
iShares US Real Estate ETF(a) | 18,015 | $ | 1,287,532 | |||||
SPDR S&P Dividend ETF(a) | 176,000 | 13,097,920 | ||||||
Vanguard Dividend Appreciation ETF(a) | 111,190 | 8,543,840 | ||||||
|
| |||||||
Total Investment Companies | 22,929,292 | |||||||
|
| |||||||
Principal Amount (000) | ||||||||
INFLATION-LINKED SECURITIES – 1.4% | ||||||||
United States – 1.4% | ||||||||
U.S. Treasury Inflation Index | $ | 5,812 | 6,015,371 | |||||
|
| |||||||
Shares | ||||||||
WARRANTS – 0.0% | ||||||||
Equity: Other – 0.0% | ||||||||
Health Care – 0.0% | ||||||||
Emaar Properties PJSC, Merrill Lynch Intl & Co., | 109,109 | 173,797 | ||||||
|
| |||||||
SHORT-TERM INVESTMENTS – 31.6% | ||||||||
Investment Companies – 6.3% | ||||||||
AB Fixed Income Shares, Inc. – Government STIF Portfolio, 0.40%(f)(g) | 27,721,043 | 27,721,043 | ||||||
|
| |||||||
Principal Amount (000) | ||||||||
U.S. Treasury Bills – 25.3% | ||||||||
U.S. Treasury Bill | $ | 112,013 | 111,958,860 | |||||
|
| |||||||
Total Short-Term Investments | 139,679,903 | |||||||
|
| |||||||
Total Investments Before Security Lending Collateral for Securities Loaned – 99.2% | 439,819,516 | |||||||
|
|
AB POOLING PORTFOLIOS • | 187 |
AB Multi-Asset Real Return Portfolio—Consolidated Portfolio of Investments
Company | Shares | U.S. $ Value | ||||||
| ||||||||
INVESTMENTS OF CASH COLLATERAL FOR SECURITIES LOANED – 2.7% | ||||||||
Investment Companies – 2.7% | ||||||||
AB Exchange Reserves – Class I, 0.41%(f)(g) | 12,199,865 | $ | 12,199,865 | |||||
|
| |||||||
Total Investments – 102.0% | 452,019,381 | |||||||
Other assets less liabilities – (2.0)% | (8,672,673 | ) | ||||||
|
| |||||||
Net Assets – 100.0% | $ | 443,346,708 | ||||||
|
|
FUTURES (see Note C)
Type | Number of Contracts | Expiration Month | Original Value | Value at February 29, 2016 | Unrealized Appreciation/ (Depreciation) | |||||||||||||||
Purchased Contracts |
| |||||||||||||||||||
Corn Futures | 62 | May 2016 | $ | 1,144,859 | $ | 1,106,700 | $ | (38,159 | ) | |||||||||||
Gasoline RBOB Futures | 122 | May 2016 | 6,529,532 | 6,951,731 | 422,199 | |||||||||||||||
Gasoline RBOB Futures | 42 | June 2016 | 2,285,212 | 2,383,517 | 98,305 | |||||||||||||||
Gold 100 OZ Futures | 160 | April 2016 | 18,825,750 | 19,750,400 | 924,650 | |||||||||||||||
KC HRW Wheat Futures | 13 | May 2016 | 297,466 | 297,375 | (91 | ) | ||||||||||||||
Live Cattle Futures | 12 | June 2016 | 593,618 | 605,640 | 12,022 | |||||||||||||||
LME Nickel Futures | 18 | March 2016 | 920,964 | 917,568 | (3,396 | ) | ||||||||||||||
LME PRI Aluminum Futures | 26 | March 2016 | 962,069 | 1,021,962 | 59,893 | |||||||||||||||
LME Zinc Futures | 45 | March 2016 | 1,796,913 | 1,983,094 | 186,181 | |||||||||||||||
Palladium Futures | 8 | June 2016 | 399,541 | 396,520 | (3,021 | ) | ||||||||||||||
Platinum Futures | 5 | April 2016 | 211,333 | 233,575 | 22,242 | |||||||||||||||
Silver Futures | 9 | May 2016 | 695,670 | 671,310 | (24,360 | ) | ||||||||||||||
Soybean Futures | 28 | May 2016 | 1,232,929 | 1,205,400 | (27,529 | ) | ||||||||||||||
Sugar 11 (World) Futures | 18 | April 2016 | 256,734 | 289,498 | 32,764 | |||||||||||||||
Sold Contracts | ||||||||||||||||||||
Cattle Feeder Futures | 8 | April 2016 | 620,830 | 636,300 | (15,470 | ) | ||||||||||||||
LME Nickel Futures | 18 | March 2016 | 934,466 | 917,568 | 16,898 | |||||||||||||||
LME PRI Aluminum Futures | 63 | March 2016 | 2,316,408 | 2,476,294 | (159,886 | ) | ||||||||||||||
LME Zinc Futures | 12 | March 2016 | 455,068 | 528,825 | (73,757 | ) | ||||||||||||||
|
| |||||||||||||||||||
$ | 1,429,485 | |||||||||||||||||||
|
|
188 | • AB POOLING PORTFOLIOS |
AB Multi-Asset Real Return Portfolio—Consolidated Portfolio of Investments
FORWARD CURRENCY EXCHANGE CONTRACTS (see Note C)
Counterparty | Contracts to Deliver (000) | In Exchange For (000) | Settlement Date | Unrealized Appreciation/ (Depreciation) | ||||||||||||||||||||
Bank of America, NA | USD | 8,770 | NOK | 76,038 | 3/18/16 | $ | (33,995 | ) | ||||||||||||||||
Bank of America, NA | USD | 2,012 | RUB | 157,087 | 6/17/16 | 9,655 | ||||||||||||||||||
Barclays Bank PLC | CNY | 78,890 | USD | 12,087 | 3/18/16 | 49,334 | ||||||||||||||||||
Barclays Bank PLC | USD | 1,149 | INR | 78,331 | 3/18/16 | (4,468 | ) | |||||||||||||||||
Barclays Bank PLC | USD | 2,516 | KRW | 3,020,812 | 3/18/16 | (79,307 | ) | |||||||||||||||||
Barclays Bank PLC | USD | 5,000 | MYR | 20,768 | 3/18/16 | (47,767 | ) | |||||||||||||||||
Barclays Bank PLC | GBP | 4,699 | USD | 6,549 | 6/17/16 | 5,835 | ||||||||||||||||||
BNP Paribas SA | CAD | 24,500 | USD | 18,153 | 3/18/16 | 44,755 | ||||||||||||||||||
BNP Paribas SA | EUR | 6,142 | USD | 6,682 | 3/18/16 | (2,456 | ) | |||||||||||||||||
BNP Paribas SA | NOK | 36,609 | USD | 4,276 | 3/18/16 | 70,257 | ||||||||||||||||||
BNP Paribas SA | USD | 2,164 | AUD | 3,041 | 3/18/16 | 5,136 | ||||||||||||||||||
BNP Paribas SA | USD | 3,185 | EUR | 2,903 | 3/18/16 | (25,398 | ) | |||||||||||||||||
BNP Paribas SA | USD | 1,984 | JPY | 230,526 | 3/18/16 | 61,703 | ||||||||||||||||||
Citibank | RUB | 280,424 | USD | 3,566 | 3/18/16 | (143,061 | ) | |||||||||||||||||
Citibank | USD | 2,454 | GBP | 1,680 | 3/18/16 | (115,138 | ) | |||||||||||||||||
Citibank | USD | 15,506 | RUB | 1,205,039 | 3/18/16 | 431,878 | ||||||||||||||||||
Citibank | USD | 3,413 | ZAR | 50,519 | 3/18/16 | (238,831 | ) | |||||||||||||||||
Deutsche Bank AG | GBP | 1,364 | USD | 2,056 | 3/18/16 | 157,379 | ||||||||||||||||||
Deutsche Bank AG | SEK | 16,720 | USD | 1,963 | 3/18/16 | 9,490 | ||||||||||||||||||
Deutsche Bank AG | USD | 1,384 | EUR | 1,242 | 3/18/16 | (32,429 | ) | |||||||||||||||||
Goldman Sachs Bank USA | BRL | 6,192 | USD | 1,556 | 3/02/16 | 13,930 | ||||||||||||||||||
Goldman Sachs Bank USA | USD | 1,509 | BRL | 6,192 | 3/02/16 | 32,792 | ||||||||||||||||||
Goldman Sachs Bank USA | INR | 83,602 | USD | 1,232 | 3/18/16 | 11,092 | ||||||||||||||||||
Goldman Sachs Bank USA | JPY | 310,414 | USD | 2,647 | 3/18/16 | (107,559 | ) | |||||||||||||||||
Goldman Sachs Bank USA | RUB | 516,754 | USD | 7,275 | 3/18/16 | 440,389 | ||||||||||||||||||
Goldman Sachs Bank USA | USD | 445 | MYR | 1,893 | 3/18/16 | 6,777 | ||||||||||||||||||
HSBC Bank USA | USD | 2,159 | AUD | 3,011 | 3/18/16 | (11,593 | ) | |||||||||||||||||
HSBC Bank USA | USD | 6,210 | CAD | 8,582 | 3/18/16 | 132,593 | ||||||||||||||||||
HSBC Bank USA | USD | 985 | SGD | 1,405 | 3/18/16 | 14,508 | ||||||||||||||||||
JPMorgan Chase Bank | EUR | 2,439 | USD | 2,585 | 3/18/16 | (69,930 | ) | |||||||||||||||||
JPMorgan Chase Bank | USD | 5,558 | JPY | 653,792 | 3/18/16 | 242,961 | ||||||||||||||||||
Morgan Stanley & Co., Inc. | BRL | 5,647 | USD | 1,430 | 3/02/16 | 24,061 | ||||||||||||||||||
Morgan Stanley & Co., Inc. | USD | 1,419 | BRL | 5,647 | 3/02/16 | (12,704 | ) | |||||||||||||||||
Morgan Stanley & Co., Inc. | USD | 6,853 | HKD | 53,103 | 3/18/16 | (24,840 | ) | |||||||||||||||||
Morgan Stanley & Co., Inc. | EUR | 1,372 | USD | 1,518 | 6/17/16 | 20,363 | ||||||||||||||||||
Nomura Global Financial Products, Inc. | KRW | 8,017,179 | USD | 6,589 | 3/18/16 | 122,960 | ||||||||||||||||||
Nomura Global Financial Products, Inc. | MYR | 55,118 | USD | 12,449 | 3/18/16 | (692,873 | ) | |||||||||||||||||
Nomura Global Financial Products, Inc. | USD | 4,132 | MYR | 17,468 | 3/18/16 | 32,445 | ||||||||||||||||||
Royal Bank of Scotland PLC | AUD | 10,398 | USD | 7,521 | 3/18/16 | 104,865 | ||||||||||||||||||
Royal Bank of Scotland PLC | GBP | 919 | USD | 1,389 | 3/18/16 | 110,233 | ||||||||||||||||||
Royal Bank of Scotland PLC | JPY | 370,467 | USD | 3,258 | 3/18/16 | (28,867 | ) | |||||||||||||||||
Royal Bank of Scotland PLC | TWD | 195,750 | USD | 5,781 | 3/18/16 | (97,914 | ) | |||||||||||||||||
Royal Bank of Scotland PLC | USD | 4,638 | CNY | 30,644 | 3/18/16 | 37,334 | ||||||||||||||||||
Royal Bank of Scotland PLC | USD | 3,701 | CNY | 24,243 | 3/18/16 | (2,118 | ) | |||||||||||||||||
Royal Bank of Scotland PLC | USD | 5,568 | JPY | 682,767 | 3/18/16 | 489,908 | ||||||||||||||||||
Royal Bank of Scotland PLC | USD | 2,133 | TWD | 71,141 | 3/18/16 | 4,094 | ||||||||||||||||||
Royal Bank of Scotland PLC | CAD | 2,108 | USD | 1,539 | 6/17/16 | (19,236 | ) | |||||||||||||||||
Royal Bank of Scotland PLC | GBP | 1,707 | USD | 2,441 | 6/17/16 | 63,930 | ||||||||||||||||||
Standard Chartered Bank | USD | 1,444 | IDR | 20,453,303 | 3/18/16 | 82,660 |
AB POOLING PORTFOLIOS • | 189 |
AB Multi-Asset Real Return Portfolio—Consolidated Portfolio of Investments
Counterparty | Contracts to Deliver (000) | In Exchange For (000) | Settlement Date | Unrealized Appreciation/ (Depreciation) | ||||||||||||||||||||
State Street Bank & Trust Co. | EUR | 6,575 | USD | 7,130 | 3/18/16 | $ | (26,263 | ) | ||||||||||||||||
State Street Bank & Trust Co. | HKD | 20,455 | USD | 2,624 | 3/18/16 | (6,164 | ) | |||||||||||||||||
State Street Bank & Trust Co. | HKD | 17,665 | USD | 2,280 | 3/18/16 | 8,414 | ||||||||||||||||||
State Street Bank & Trust Co. | JPY | 434,857 | USD | 3,674 | 3/18/16 | (184,893 | ) | |||||||||||||||||
State Street Bank & Trust Co. | NZD | 186 | USD | 123 | 3/18/16 | 480 | ||||||||||||||||||
State Street Bank & Trust Co. | USD | 3,023 | CHF | 3,013 | 3/18/16 | (3,047 | ) | |||||||||||||||||
State Street Bank & Trust Co. | USD | 6,279 | EUR | 5,786 | 3/18/16 | 17,867 | ||||||||||||||||||
State Street Bank & Trust Co. | USD | 3,590 | EUR | 3,287 | 3/18/16 | (12,778 | ) | |||||||||||||||||
State Street Bank & Trust Co. | USD | 3,765 | JPY | 434,857 | 3/18/16 | 93,431 | ||||||||||||||||||
State Street Bank & Trust Co. | USD | 1,637 | SEK | 13,788 | 3/18/16 | (25,993 | ) | |||||||||||||||||
State Street Bank & Trust Co. | USD | 136 | BRL | 545 | 5/03/16 | (2,112 | ) | |||||||||||||||||
State Street Bank & Trust Co. | USD | 4,184 | JPY | 471,318 | 6/17/16 | 10,206 | ||||||||||||||||||
UBS AG | CHF | 1,079 | USD | 1,080 | 3/18/16 | (1,693 | ) | |||||||||||||||||
UBS AG | EUR | 16,942 | USD | 18,532 | 3/18/16 | 93,115 | ||||||||||||||||||
|
| |||||||||||||||||||||||
$ | 1,003,403 | |||||||||||||||||||||||
|
|
PUT OPTIONS WRITTEN (see Note C)
Description | Contracts | Exercise Price | Expiration Month | Premiums Received | U.S. $ Value | |||||||||||||||
United States Oil Fund (i) | 5,681,400 | $ | 6.50 | March 2016 | $ | 572,685 | $ | (81,449 | ) |
INFLATION (CPI) SWAPS (see Note C)
Rate Type | ||||||||||||||||||||
Swap Counterparty | Notional Amount (000) | Termination Date | Payments by the | Payments received by the Fund | Unrealized Appreciation/ (Depreciation) | |||||||||||||||
Citibank, NA | $ | 12,400 | 2/24/25 | 1.770 | % | CPI | # | $ | 25,802 | |||||||||||
Citibank, NA | 14,780 | 2/11/26 | 1.805 | % | CPI | # | 102,039 | |||||||||||||
Deutsche Bank AG | 102,000 | 7/30/25 | 2.278 | % | CPI | # | (2,040,278 | ) | ||||||||||||
JPMorgan Chase Bank, NA | 116,340 | 3/30/25 | 2.170 | % | CPI | # | (1,930,361 | ) | ||||||||||||
JPMorgan Chase Bank, NA | 81,117 | 4/01/25 | 2.170 | % | CPI | # | (1,345,311 | ) | ||||||||||||
|
| |||||||||||||||||||
$ | (5,188,109 | ) | ||||||||||||||||||
|
|
# | Variable interest rate based on the rate of inflation as determined by the Consumer Price Index (CPI). |
TOTAL RETURN SWAPS (see Note C)
Counterparty & Referenced Obligation | # of Shares or Units | Rate Paid/ Received | Notional Amount (000) | Maturity Date | Unrealized Appreciation/ (Depreciation) | |||||||||||||||
Receive Total Return on Reference Obligation |
| |||||||||||||||||||
JPMorgan Chase Bank, NA |
| |||||||||||||||||||
Bloomberg Commodity Index 2 Months Forwards | 817,520 | 0.11 | % | $ | 135,059 | 3/15/16 | $ | 2,333,111 | ||||||||||||
Pay Total Return on Reference Obligation |
| |||||||||||||||||||
Goldman Sachs International |
| |||||||||||||||||||
BBG WTI Crude Oil Index | 90,267 | 0.06 | % | 5,385 | 5/16/16 | (484,905 | ) | |||||||||||||
|
| |||||||||||||||||||
$ | 1,848,206 | |||||||||||||||||||
|
|
190 | • AB POOLING PORTFOLIOS |
AB Multi-Asset Real Return Portfolio—Consolidated Portfolio of Investments
^ | Less than $0.50. |
(a) | Represents entire or partial securities out on loan. See Note D for securities lending information. |
(b) | Non-income producing security. |
(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, 2016, the aggregate market value of these securities amounted to $2,119,541 or 0.5% of net assets. |
(d) | Fair valued by the Adviser. |
(e) | Illiquid security. |
(f) | Investment in affiliated money market mutual fund. The rate shown represents the 7-day yield as of period end. |
(g) | To obtain a copy of the fund’s financial statements, please go to the Securities and Exchange Commission’s website at www.sec.gov, or call AB at (800) 227-4618. |
(h) | Position, or a portion thereof, has been segregated to collateralize OTC derivatives outstanding. |
(i) | One contract relates to 1 share. |
Currency Abbreviations:
AUD | – Australian Dollar |
BRL | – Brazilian Real |
CAD | – Canadian Dollar |
CHF | – Swiss Franc |
CNY | – Chinese Yuan Renminbi |
EUR | – Euro |
GBP | – Great British Pound |
HKD | – Hong Kong Dollar |
IDR | – Indonesian Rupiah |
INR | – Indian Rupee |
JPY | – Japanese Yen |
KRW | – South Korean Won |
MYR | – Malaysian Ringgit |
NOK | – Norwegian Krone |
NZD | – New Zealand Dollar |
RUB | – Russian Ruble |
SEK | – Swedish Krona |
SGD | – Singapore Dollar |
TWD | – New Taiwan Dollar |
USD | – United States Dollar |
ZAR | – South African Rand |
Glossary:
ADR | – American Depositary Receipt |
ETF | – Exchange Traded Fund |
GDR | – Global Depositary Receipt |
KC | HRW – Kansas City Hard Red Winter |
LME | – London Metal Exchange |
PJSC | – Public Joint Stock Company |
REG | – Registered Shares |
REIT | – Real Estate Investment Trust |
SPDR | – Standard & Poor’s Depository Receipt |
TIPS | – Treasury Inflation Protected Security |
WTI | – West Texas Intermediate |
See notes to financial statements.
AB POOLING PORTFOLIOS • | 191 |
AB Multi-Asset Real Return Portfolio—Consolidated Portfolio of Investments
AB VOLATILITY MANAGEMENT
PORTFOLIO OF INVESTMENTS
February 29, 2016 (unaudited)
Company | Shares | U.S. $ Value | ||||||
| ||||||||
COMMON STOCKS – 66.6% | ||||||||
Financials – 10.5% | ||||||||
Banks – 5.1% | ||||||||
Aozora Bank Ltd.(a) | 29,000 | $ | 94,483 | |||||
Australia & New Zealand Banking Group Ltd. | 76,328 | 1,217,682 | ||||||
Banco Bilbao Vizcaya Argentaria SA | 169,189 | 1,069,575 | ||||||
Banco Comercial Portugues SA(a)(b) | 1,009,163 | 37,518 | ||||||
Banco de Sabadell SA | 134,107 | 212,379 | ||||||
Banco Espirito Santo SA (REG)(b)(c)(d) | 54,936 | – 0 | –^ | |||||
Banco Popolare SC(b) | 9,614 | 78,491 | ||||||
Banco Popular Espanol SA | 45,119 | 107,650 | ||||||
Banco Santander SA | 383,719 | 1,552,140 | ||||||
Bank Hapoalim BM | 27,220 | 132,969 | ||||||
Bank Leumi Le-Israel BM(b) | 35,870 | 119,665 | ||||||
Bank of America Corp. | 235,202 | 2,944,729 | ||||||
Bank of East Asia Ltd. (The)(a) | 31,200 | 98,759 | ||||||
Bank of Ireland(b) | 727,800 | 206,385 | ||||||
Bank of Kyoto Ltd. (The) | 9,000 | 56,310 | ||||||
Bank of Queensland Ltd. | 9,550 | 71,734 | ||||||
Bank of Yokohama Ltd. (The) | 29,000 | 131,491 | ||||||
Bankia SA | 119,352 | 101,218 | ||||||
Bankinter SA | 17,836 | 117,546 | ||||||
Barclays PLC | 445,372 | 1,058,077 | ||||||
BB&T Corp. | 17,500 | 562,800 | ||||||
Bendigo & Adelaide Bank Ltd.(a) | 11,979 | 72,961 | ||||||
BNP Paribas SA | 28,178 | 1,314,139 | ||||||
BOC Hong Kong Holdings Ltd. | 98,000 | 254,624 | ||||||
CaixaBank SA | 69,627 | 198,666 | ||||||
Chiba Bank Ltd. (The) | 18,000 | 84,413 | ||||||
Chugoku Bank Ltd. (The) | 4,000 | 42,219 | ||||||
Citigroup, Inc. | 67,599 | 2,626,221 | ||||||
Citizens Financial Group, Inc. | 12,033 | 231,395 | ||||||
Comerica, Inc. | 3,950 | 133,431 | ||||||
Commerzbank AG(b) | 28,317 | 228,803 | ||||||
Commonwealth Bank of Australia | 45,091 | 2,249,457 | ||||||
Credit Agricole SA | 28,018 | 292,816 | ||||||
Danske Bank A/S | 18,782 | 512,605 | ||||||
DBS Group Holdings Ltd.(a) | 47,000 | 452,682 | ||||||
DNB ASA | 25,942 | 299,037 | ||||||
Erste Group Bank AG(b) | 7,416 | 190,895 | ||||||
Fifth Third Bancorp | 18,050 | 275,443 | ||||||
Fukuoka Financial Group, Inc. | 20,000 | 63,380 | ||||||
Gunma Bank Ltd. (The) | 9,000 | 39,546 | ||||||
Hachijuni Bank Ltd. (The) | 10,000 | 45,866 | ||||||
Hang Seng Bank Ltd. | 20,300 | 342,409 | ||||||
Hiroshima Bank Ltd. (The) | 13,000 | 48,445 | ||||||
Hokuhoku Financial Group, Inc. | 32,000 | 47,629 |
192 | • AB POOLING PORTFOLIOS |
AB Volatility Management—Portfolio of Investments
Company | Shares | U.S. $ Value | ||||||
| ||||||||
HSBC Holdings PLC | 519,260 | $ | 3,302,149 | |||||
Huntington Bancshares, Inc./OH | 18,000 | 157,500 | ||||||
ING Groep NV | 102,638 | 1,223,582 | ||||||
Intesa Sanpaolo SpA | 335,769 | 848,109 | ||||||
Intesa Sanpaolo SpA – RSP | 23,208 | 54,603 | ||||||
Iyo Bank Ltd. (The) | 6,000 | 41,506 | ||||||
Japan Post Bank Co., Ltd.(b) | 10,650 | 116,001 | ||||||
Joyo Bank Ltd. (The) | 16,000 | 55,419 | ||||||
JPMorgan Chase & Co. | 83,050 | 4,675,715 | ||||||
KBC Groep NV | 6,723 | 356,022 | ||||||
KeyCorp | 18,850 | 198,867 | ||||||
Kyushu Financial Group, Inc.(b) | 8,641 | 50,221 | ||||||
Lloyds Banking Group PLC | 1,514,473 | 1,519,810 | ||||||
M&T Bank Corp. | 3,650 | 374,307 | ||||||
Mitsubishi UFJ Financial Group, Inc. | 338,400 | 1,460,299 | ||||||
Mizrahi Tefahot Bank Ltd. | 3,655 | 40,351 | ||||||
Mizuho Financial Group, Inc. | 625,100 | 922,171 | ||||||
National Australia Bank Ltd. | 69,786 | 1,200,336 | ||||||
Natixis SA | 24,606 | 131,676 | ||||||
Nordea Bank AB(a) | 80,351 | 799,186 | ||||||
Oversea-Chinese Banking Corp., Ltd. | 80,000 | 459,064 | ||||||
People’s United Financial, Inc.(a) | 6,950 | 101,539 | ||||||
PNC Financial Services Group, Inc. (The) | 11,500 | 935,065 | ||||||
Raiffeisen Bank International AG(a)(b) | 3,111 | 41,214 | ||||||
Regions Financial Corp. | 29,700 | 223,344 | ||||||
Resona Holdings, Inc. | 58,600 | 205,516 | ||||||
Royal Bank of Scotland Group PLC(b) | 92,167 | 285,626 | ||||||
Seven Bank Ltd.(a) | 15,807 | 67,638 | ||||||
Shinsei Bank Ltd. | 47,000 | 55,812 | ||||||
Shizuoka Bank Ltd. (The)(a) | 14,000 | 102,334 | ||||||
Skandinaviska Enskilda Banken AB – Class A | 40,323 | 393,975 | ||||||
Societe Generale SA | 19,293 | 677,589 | ||||||
Standard Chartered PLC | 86,919 | 517,103 | ||||||
Sumitomo Mitsui Financial Group, Inc. | 33,800 | 948,434 | ||||||
Sumitomo Mitsui Trust Holdings, Inc. | 88,000 | 256,408 | ||||||
SunTrust Banks, Inc. | 11,550 | 383,229 | ||||||
Suruga Bank Ltd. | 5,152 | 82,527 | ||||||
Svenska Handelsbanken AB – Class A | 39,750 | 508,318 | ||||||
Swedbank AB – Class A | 24,040 | 485,603 | ||||||
UniCredit SpA | 126,420 | 469,599 | ||||||
Unione di Banche Italiane SpA | 23,248 | 89,234 | ||||||
United Overseas Bank Ltd.(a) | 34,000 | 413,884 | ||||||
US Bancorp | 37,150 | 1,431,018 | ||||||
Wells Fargo & Co. | 104,950 | 4,924,254 | ||||||
Westpac Banking Corp. | 88,190 | 1,803,727 | ||||||
Yamaguchi Financial Group, Inc. | 5,000 | 47,071 | ||||||
Zions Bancorporation | 4,500 | 95,940 | ||||||
|
| |||||||
53,551,578 | ||||||||
|
|
AB POOLING PORTFOLIOS • | 193 |
AB Volatility Management—Portfolio of Investments
Company | Shares | U.S. $ Value | ||||||
| ||||||||
Capital Markets – 1.1% | ||||||||
3i Group PLC | 25,205 | $ | 152,634 | |||||
Aberdeen Asset Management PLC | 24,311 | 81,090 | ||||||
Affiliated Managers Group, Inc.(b) | 1,287 | 178,494 | ||||||
Ameriprise Financial, Inc. | 4,000 | 335,800 | ||||||
Bank of New York Mellon Corp. (The) | 24,800 | 877,672 | ||||||
BlackRock, Inc. – Class A | 2,890 | 901,564 | ||||||
Charles Schwab Corp. (The) | 26,900 | 673,845 | ||||||
Credit Suisse Group AG (REG)(b) | 46,881 | 627,464 | ||||||
Daiwa Securities Group, Inc. | 44,000 | 259,723 | ||||||
Deutsche Bank AG (REG) | 36,691 | 630,809 | ||||||
E*TRADE Financial Corp.(b) | 6,450 | 151,317 | ||||||
Franklin Resources, Inc. | 8,650 | 310,103 | ||||||
Goldman Sachs Group, Inc. (The) | 9,100 | 1,360,723 | ||||||
Hargreaves Lansdown PLC | 6,940 | 118,975 | ||||||
ICAP PLC | 14,678 | 88,370 | ||||||
Invesco Ltd. | 9,550 | 255,367 | ||||||
Investec PLC | 14,543 | 95,232 | ||||||
Julius Baer Group Ltd.(b) | 5,941 | 237,044 | ||||||
Legg Mason, Inc. | 2,400 | 68,544 | ||||||
Macquarie Group Ltd. | 7,969 | 364,063 | ||||||
Mediobanca SpA | 14,934 | 100,919 | ||||||
Morgan Stanley | 34,150 | 843,505 | ||||||
Nomura Holdings, Inc. | 96,300 | 406,941 | ||||||
Northern Trust Corp. | 4,950 | 293,931 | ||||||
Partners Group Holding AG | 427 | 154,557 | ||||||
Platinum Asset Management Ltd.(a) | 6,174 | 26,091 | ||||||
SBI Holdings, Inc./Japan | 5,663 | 51,646 | ||||||
Schroders PLC | 3,300 | 119,386 | ||||||
State Street Corp. | 9,150 | 501,237 | ||||||
T Rowe Price Group, Inc. | 5,750 | 397,383 | ||||||
UBS Group AG | 97,147 | 1,484,113 | ||||||
|
| |||||||
12,148,542 | ||||||||
|
| |||||||
Consumer Finance – 0.3% | ||||||||
Acom Co., Ltd.(a)(b) | 10,590 | 47,182 | ||||||
AEON Financial Service Co., Ltd.(a) | 2,800 | 62,566 | ||||||
American Express Co. | 19,100 | 1,061,578 | ||||||
Capital One Financial Corp. | 12,185 | 800,920 | ||||||
Credit Saison Co., Ltd. | 4,000 | 67,727 | ||||||
Discover Financial Services | 9,750 | 452,595 | ||||||
Navient Corp. | 8,400 | 90,972 | ||||||
Provident Financial PLC | 3,902 | 175,585 | ||||||
Synchrony Financial(b) | 18,706 | 504,127 | ||||||
|
| |||||||
3,263,252 | ||||||||
|
| |||||||
Diversified Financial Services – 1.1% | ||||||||
ASX Ltd. | 5,139 | 153,791 | ||||||
Berkshire Hathaway, Inc. – Class B(b) | 42,135 | 5,653,253 |
194 | • AB POOLING PORTFOLIOS |
AB Volatility Management—Portfolio of Investments
Company | Shares | U.S. $ Value | ||||||
| ||||||||
Challenger Ltd./Australia | 15,123 | $ | 80,895 | |||||
CME Group, Inc./IL – Class A | 7,550 | 690,372 | ||||||
Deutsche Boerse AG | 5,124 | 421,290 | ||||||
Eurazeo SA | 1,125 | 65,895 | ||||||
EXOR SpA | 2,615 | 86,196 | ||||||
First Pacific Co., Ltd./Hong Kong | 57,900 | 39,606 | ||||||
Groupe Bruxelles Lambert SA | 2,142 | 163,422 | ||||||
Hong Kong Exchanges and Clearing Ltd. | 30,200 | 655,759 | ||||||
Industrivarden AB – Class C | 4,334 | 66,693 | ||||||
Intercontinental Exchange, Inc. | 2,545 | 606,881 | ||||||
Investment AB Kinnevik – Class B | 6,249 | 155,048 | ||||||
Investor AB – Class B | 12,091 | 400,539 | ||||||
Japan Exchange Group, Inc. | 14,600 | 226,147 | ||||||
Leucadia National Corp. | 7,550 | 109,098 | ||||||
London Stock Exchange Group PLC | 8,307 | 307,763 | ||||||
McGraw Hill Financial, Inc. | 6,100 | 547,414 | ||||||
Mitsubishi UFJ Lease & Finance Co., Ltd. | 13,070 | 56,375 | ||||||
Moody’s Corp. | 3,950 | 350,760 | ||||||
Nasdaq, Inc. | 2,650 | 167,719 | ||||||
ORIX Corp. | 35,150 | 460,145 | ||||||
Pargesa Holding SA | 820 | 48,228 | ||||||
Singapore Exchange Ltd. | 21,000 | 108,412 | ||||||
Wendel SA | 763 | 72,565 | ||||||
|
| |||||||
11,694,266 | ||||||||
|
| |||||||
Insurance – 2.5% | ||||||||
Admiral Group PLC | 5,560 | 133,512 | ||||||
Aegon NV | 47,281 | 236,731 | ||||||
Aflac, Inc. | 9,650 | 574,368 | ||||||
Ageas | 5,346 | 197,245 | ||||||
AIA Group Ltd. | 319,500 | 1,624,986 | ||||||
Allianz SE (REG) | 12,157 | 1,803,211 | ||||||
Allstate Corp. (The) | 9,000 | 571,140 | ||||||
American International Group, Inc. | 29,040 | 1,457,808 | ||||||
AMP Ltd. | 77,523 | 293,430 | ||||||
Aon PLC | 6,300 | 600,327 | ||||||
Assicurazioni Generali SpA | 30,996 | 429,639 | ||||||
Assurant, Inc. | 1,500 | 106,650 | ||||||
Aviva PLC | 107,394 | 651,624 | ||||||
AXA SA | 51,975 | 1,142,749 | ||||||
Baloise Holding AG (REG) | 1,331 | 167,425 | ||||||
Chubb Ltd. | 10,369 | 1,197,931 | ||||||
Cincinnati Financial Corp. | 3,250 | 205,205 | ||||||
CNP Assurances | 4,557 | 67,391 | ||||||
Dai-ichi Life Insurance Co., Ltd. (The) | 28,657 | 346,869 | ||||||
Direct Line Insurance Group PLC | 35,774 | 192,662 | ||||||
Gjensidige Forsikring ASA | 5,309 | 83,363 | ||||||
Hannover Rueck SE (REG) | 1,601 | 164,310 |
AB POOLING PORTFOLIOS • | 195 |
AB Volatility Management—Portfolio of Investments
Company | Shares | U.S. $ Value | ||||||
| ||||||||
Hartford Financial Services Group, Inc. (The) | 9,250 | $ | 389,610 | |||||
Insurance Australia Group Ltd. | 64,540 | 237,362 | ||||||
Japan Post Holdings Co., Ltd.(b) | 12,000 | 152,822 | ||||||
Legal & General Group PLC | 157,078 | 494,061 | ||||||
Lincoln National Corp. | 5,600 | 204,568 | ||||||
Loews Corp. | 6,350 | 230,822 | ||||||
Mapfre SA | 26,863 | 52,301 | ||||||
Marsh & McLennan Cos., Inc. | 11,900 | 678,895 | ||||||
Medibank Pvt Ltd. | 70,276 | 126,148 | ||||||
MetLife, Inc. | 25,050 | 990,978 | ||||||
MS&AD Insurance Group Holdings, Inc. | 13,500 | 367,279 | ||||||
Muenchener Rueckversicherungs-Gesellschaft AG in Muenchen (REG) | 4,429 | 869,394 | ||||||
NN Group NV | 6,341 | 195,323 | ||||||
Old Mutual PLC | 129,447 | 304,677 | ||||||
Principal Financial Group, Inc. | 6,100 | 230,641 | ||||||
Progressive Corp. (The) | 13,100 | 418,152 | ||||||
Prudential Financial, Inc. | 10,100 | 667,509 | ||||||
Prudential PLC | 68,311 | 1,189,580 | ||||||
QBE Insurance Group Ltd. | 36,309 | 272,848 | ||||||
RSA Insurance Group PLC | 26,271 | 158,596 | ||||||
Sampo Oyj – Class A | 11,867 | 533,815 | ||||||
SCOR SE | 4,077 | 142,592 | ||||||
Sompo Japan Nipponkoa Holdings, Inc. | 9,000 | 258,917 | ||||||
Sony Financial Holdings, Inc.(a) | 4,619 | 64,395 | ||||||
St James’s Place PLC | 13,973 | 165,992 | ||||||
Standard Life PLC | 51,619 | 238,268 | ||||||
Suncorp Group Ltd. | 34,153 | 272,180 | ||||||
Swiss Life Holding AG(b) | 852 | 207,475 | ||||||
Swiss Re AG | 9,349 | 828,657 | ||||||
T&D Holdings, Inc. | 15,400 | 151,922 | ||||||
Tokio Marine Holdings, Inc. | 18,111 | 631,385 | ||||||
Torchmark Corp. | 2,575 | 131,892 | ||||||
Travelers Cos., Inc. (The) | 7,000 | 752,640 | ||||||
Tryg A/S | 3,176 | 57,956 | ||||||
UnipolSai SpA | 29,523 | 60,617 | ||||||
Unum Group | 5,450 | 155,489 | ||||||
Willis Towers Watson PLC | 3,126 | 354,238 | ||||||
XL Group PLC | 6,700 | 230,346 | ||||||
Zurich Insurance Group AG(b) | 4,002 | 847,667 | ||||||
|
| |||||||
26,566,585 | ||||||||
|
| |||||||
Real Estate Investment Trusts (REITs) – 0.3% | ||||||||
American Tower Corp. | 9,520 | 877,744 | ||||||
CBRE Group, Inc. – Class A(b) | 6,490 | 164,911 | ||||||
Crown Castle International Corp. | 7,530 | 651,345 |
196 | • AB POOLING PORTFOLIOS |
AB Volatility Management—Portfolio of Investments
Company | Shares | U.S. $ Value | ||||||
| ||||||||
Duke Realty Corp. | 7,358 | $ | 152,164 | |||||
Equinix, Inc. | 1,374 | 417,270 | ||||||
Iron Mountain, Inc. | 4,280 | 125,746 | ||||||
Weyerhaeuser Co. | 17,710 | 460,106 | ||||||
|
| |||||||
2,849,286 | ||||||||
|
| |||||||
Real Estate Management & | ||||||||
City Developments Ltd. | 10,000 | 50,604 | ||||||
Daito Trust Construction Co., Ltd. | 1,900 | 257,334 | ||||||
Daiwa House Industry Co., Ltd. | 16,000 | 437,866 | ||||||
Global Logistic Properties Ltd. | 82,100 | 103,225 | ||||||
LendLease Group | 14,543 | 134,811 | ||||||
Swire Pacific Ltd. – Class A | 15,500 | 151,388 | ||||||
Tokyu Fudosan Holdings Corp. | 12,909 | 81,613 | ||||||
Wheelock & Co., Ltd. | 24,000 | 94,873 | ||||||
|
| |||||||
1,311,714 | ||||||||
|
| |||||||
111,385,223 | ||||||||
|
| |||||||
Information Technology – 8.9% | ||||||||
Communications Equipment – 0.7% | ||||||||
Cisco Systems, Inc. | 114,190 | 2,989,494 | ||||||
F5 Networks, Inc.(b) | 1,590 | 152,910 | ||||||
Harris Corp. | 2,740 | 213,775 | ||||||
Juniper Networks, Inc. | 7,880 | 194,636 | ||||||
Motorola Solutions, Inc. | 3,640 | 267,504 | ||||||
Nokia Oyj | 145,682 | 882,418 | ||||||
QUALCOMM, Inc. | 35,260 | 1,790,855 | ||||||
Telefonaktiebolaget LM Ericsson – Class B | 80,431 | 738,701 | ||||||
|
| |||||||
7,230,293 | ||||||||
|
| |||||||
Electronic Equipment, Instruments & Components – 0.5% | ||||||||
Alps Electric Co., Ltd. | 4,806 | 78,869 | ||||||
Amphenol Corp. – Class A | 6,920 | 367,244 | ||||||
Citizen Holdings Co., Ltd. | 7,000 | 38,439 | ||||||
Corning, Inc. | 27,530 | 503,799 | ||||||
FLIR Systems, Inc. | 3,060 | 94,738 | ||||||
Hamamatsu Photonics KK | 3,800 | 93,267 | ||||||
Hexagon AB – Class B | 6,890 | 233,925 | ||||||
Hirose Electric Co., Ltd. | 800 | 90,250 | ||||||
Hitachi High-Technologies Corp. | 1,900 | 50,476 | ||||||
Hitachi Ltd. | 128,000 | 541,460 | ||||||
Ingenico Group SA | 1,465 | 147,974 | ||||||
Keyence Corp.(a) | 1,300 | 671,895 | ||||||
Kyocera Corp. | 8,600 | 378,651 | ||||||
Murata Manufacturing Co., Ltd. | 5,400 | 647,992 | ||||||
Nippon Electric Glass Co., Ltd. | 10,000 | 47,560 | ||||||
Omron Corp. | 5,200 | 137,337 | ||||||
Shimadzu Corp. | 7,000 | 109,002 |
AB POOLING PORTFOLIOS • | 197 |
AB Volatility Management—Portfolio of Investments
Company | Shares | U.S. $ Value | ||||||
| ||||||||
TDK Corp. | 3,300 | $ | 172,026 | |||||
TE Connectivity Ltd. | 9,050 | 515,126 | ||||||
Yaskawa Electric Corp.(a) | 6,000 | 71,959 | ||||||
Yokogawa Electric Corp.(a) | 6,100 | 58,867 | ||||||
|
| |||||||
5,050,856 | ||||||||
|
| |||||||
Internet Software & Services – 1.6% | ||||||||
Akamai Technologies, Inc.(b) | 4,010 | 216,420 | ||||||
Alphabet, Inc. – Class A(b) | 6,569 | 4,711,418 | ||||||
Alphabet, Inc. – Class C(b) | 6,673 | 4,656,219 | ||||||
eBay, Inc.(b) | 25,130 | 598,094 | ||||||
Facebook, Inc. – Class A(b) | 50,772 | 5,428,542 | ||||||
Kakaku.com, Inc.(a) | 3,827 | 67,271 | ||||||
Mixi, Inc.(a) | 1,108 | 37,143 | ||||||
United Internet AG | 3,255 | 158,506 | ||||||
VeriSign, Inc.(a)(b) | 2,190 | 185,033 | ||||||
Yahoo Japan Corp.(a) | 37,793 | 148,908 | ||||||
Yahoo!, Inc.(b) | 19,450 | 618,316 | ||||||
|
| |||||||
16,825,870 | ||||||||
|
| |||||||
IT Services – 1.5% | ||||||||
Accenture PLC – Class A | 14,070 | 1,410,658 | ||||||
Alliance Data Systems Corp.(b) | 1,410 | 296,283 | ||||||
Amadeus IT Holding SA – Class A | 11,649 | 467,598 | ||||||
Atos SE | 2,353 | 171,390 | ||||||
Automatic Data Processing, Inc. | 10,500 | 889,245 | ||||||
Cap Gemini SA | 4,342 | 360,744 | ||||||
Cognizant Technology Solutions Corp. – Class A(b) | 13,670 | 778,917 | ||||||
Computershare Ltd. | 12,550 | 81,275 | ||||||
CSRA, Inc. | 3,880 | 100,686 | ||||||
Fidelity National Information Services, Inc. | 6,290 | 366,393 | ||||||
Fiserv, Inc.(b) | 5,300 | 506,839 | ||||||
Fujitsu Ltd. | 49,000 | 179,268 | ||||||
International Business Machines Corp. | 20,269 | 2,655,847 | ||||||
Itochu Techno-Solutions Corp. | 1,300 | 25,992 | ||||||
MasterCard, Inc. – Class A | 22,450 | 1,951,354 | ||||||
Nomura Research Institute Ltd. | 3,300 | 112,621 | ||||||
NTT Data Corp. | 3,351 | 167,700 | ||||||
Obic Co., Ltd. | 1,720 | 85,463 | ||||||
Otsuka Corp. | 1,400 | 69,149 | ||||||
Paychex, Inc. | 7,170 | 368,466 | ||||||
PayPal Holdings, Inc.(b) | 24,830 | 947,016 | ||||||
Teradata Corp.(b) | 3,120 | 77,844 | ||||||
Total System Services, Inc. | 3,730 | 162,554 | ||||||
Visa, Inc. – Class A | 43,880 | 3,176,473 | ||||||
Western Union Co. (The) – Class W | 11,420 | 208,529 | ||||||
Worldpay Group PLC(b)(e) | 29,214 | 116,651 | ||||||
Xerox Corp. | 21,360 | 205,270 | ||||||
|
| |||||||
15,940,225 | ||||||||
|
|
198 | • AB POOLING PORTFOLIOS |
AB Volatility Management—Portfolio of Investments
Company | Shares | U.S. $ Value | ||||||
| ||||||||
Semiconductors & Semiconductor | ||||||||
Analog Devices, Inc. | 7,050 | $ | 373,579 | |||||
Applied Materials, Inc. | 26,900 | 507,603 | ||||||
ARM Holdings PLC | 37,253 | 511,914 | ||||||
ASM Pacific Technology Ltd.(a) | 6,400 | 51,155 | ||||||
ASML Holding NV | 9,203 | 838,373 | ||||||
Broadcom Ltd. | 8,871 | 1,188,448 | ||||||
Infineon Technologies AG | 29,929 | 363,261 | ||||||
Intel Corp. | 106,800 | 3,160,212 | ||||||
KLA-Tencor Corp. | 3,550 | 240,477 | ||||||
Lam Research Corp. | 3,538 | 259,335 | ||||||
Linear Technology Corp. | 5,300 | 231,186 | ||||||
Microchip Technology, Inc.(a) | 4,750 | 211,328 | ||||||
Micron Technology, Inc.(b) | 24,150 | 256,715 | ||||||
NVIDIA Corp. | 11,500 | 360,640 | ||||||
NXP Semiconductors NV(b) | 3,175 | 226,187 | ||||||
Qorvo, Inc.(b) | 3,355 | 151,243 | ||||||
Rohm Co., Ltd. | 2,600 | 110,948 | ||||||
Skyworks Solutions, Inc. | 4,295 | 285,403 | ||||||
STMicroelectronics NV | 16,270 | 93,115 | ||||||
Texas Instruments, Inc. | 23,050 | 1,222,111 | ||||||
Tokyo Electron Ltd. | 4,600 | 277,276 | ||||||
Xilinx, Inc. | 5,800 | 273,876 | ||||||
|
| |||||||
11,194,385 | ||||||||
|
| |||||||
Software – 1.9% | ||||||||
Activision Blizzard, Inc. | 11,230 | 355,654 | ||||||
Adobe Systems, Inc.(b) | 11,220 | 955,383 | ||||||
Autodesk, Inc.(b) | 5,030 | 260,252 | ||||||
CA, Inc. | 6,970 | 204,151 | ||||||
Check Point Software Technologies | 3,602 | 299,218 | ||||||
Citrix Systems, Inc.(b) | 3,620 | 255,753 | ||||||
Dassault Systemes | 3,426 | 259,513 | ||||||
Electronic Arts, Inc.(b) | 7,000 | 449,680 | ||||||
Gemalto NV | 2,160 | 136,887 | ||||||
GungHo Online Entertainment, Inc.(a) | 11,232 | 26,778 | ||||||
Intuit, Inc. | 6,260 | 604,966 | ||||||
Konami Holdings Corp. | 2,500 | 60,669 | ||||||
Microsoft Corp. | 179,670 | 9,141,610 | ||||||
Mobileye NV(a)(b) | 2,157 | 70,016 | ||||||
Nexon Co., Ltd. | 3,483 | 52,318 | ||||||
NICE-Systems Ltd. | 1,556 | 93,321 | ||||||
Nintendo Co., Ltd. | 2,900 | 405,925 | ||||||
Oracle Corp. | 72,980 | 2,684,204 | ||||||
Oracle Corp. Japan | 1,000 | 48,909 | ||||||
Red Hat, Inc.(b) | 4,070 | 265,975 |
AB POOLING PORTFOLIOS • | 199 |
AB Volatility Management—Portfolio of Investments
Company | Shares | U.S. $ Value | ||||||
| ||||||||
Sage Group PLC (The) | 28,333 | $ | 233,794 | |||||
salesforce.com, Inc.(b) | 13,890 | 941,048 | ||||||
SAP SE | 26,144 | 1,971,344 | ||||||
Symantec Corp. | 15,320 | 295,829 | ||||||
Trend Micro, Inc./Japan | 2,800 | 101,897 | ||||||
|
| |||||||
20,175,094 | ||||||||
|
| |||||||
Technology Hardware, Storage & | ||||||||
Apple, Inc. | 126,827 | 12,262,903 | ||||||
Brother Industries Ltd. | 6,300 | 68,812 | ||||||
Canon, Inc. | 28,300 | 797,623 | ||||||
EMC Corp./MA | 43,190 | 1,128,555 | ||||||
FUJIFILM Holdings Corp.(a) | 12,300 | 461,006 | ||||||
Hewlett Packard Enterprise Co. | 50,530 | 670,533 | ||||||
HP, Inc. | 50,530 | 540,166 | ||||||
Konica Minolta, Inc. | 12,000 | 100,612 | ||||||
NEC Corp. | 69,000 | 174,738 | ||||||
NetApp, Inc. | 6,650 | 165,186 | ||||||
Ricoh Co., Ltd. | 19,000 | 187,637 | ||||||
SanDisk Corp. | 4,570 | 330,228 | ||||||
Seagate Technology PLC(a) | 6,700 | 210,112 | ||||||
Seiko Epson Corp.(a) | 7,400 | 118,977 | ||||||
Western Digital Corp. | 5,130 | 223,309 | ||||||
|
| |||||||
17,440,397 | ||||||||
|
| |||||||
93,857,120 | ||||||||
|
| |||||||
Health Care – 8.6% | ||||||||
Biotechnology – 1.4% | ||||||||
AbbVie, Inc. | 37,207 | 2,031,874 | ||||||
Actelion Ltd. (REG)(b) | 2,759 | 382,175 | ||||||
Alexion Pharmaceuticals, Inc.(b) | 5,090 | 716,672 | ||||||
Amgen, Inc. | 17,100 | 2,432,988 | ||||||
Baxalta, Inc. | 12,150 | 468,018 | ||||||
Biogen, Inc.(b) | 5,050 | 1,310,071 | ||||||
Celgene Corp.(b) | 17,750 | 1,789,733 | ||||||
CSL Ltd. | 12,340 | 902,364 | ||||||
Genmab A/S(b) | 1,423 | 173,965 | ||||||
Gilead Sciences, Inc. | 33,000 | 2,879,250 | ||||||
Grifols SA | 7,918 | 172,612 | ||||||
Regeneron Pharmaceuticals, Inc.(b) | 1,800 | 691,236 | ||||||
Vertex Pharmaceuticals, Inc.(b) | 5,505 | 470,622 | ||||||
|
| |||||||
14,421,580 | ||||||||
|
| |||||||
Health Care Equipment & Supplies – 1.1% | ||||||||
Abbott Laboratories | 33,400 | 1,293,916 | ||||||
Baxter International, Inc. | 12,250 | 483,997 | ||||||
Becton Dickinson and Co. | 4,778 | 704,516 |
200 | • AB POOLING PORTFOLIOS |
AB Volatility Management—Portfolio of Investments
Company | Shares | U.S. $ Value | ||||||
| ||||||||
Boston Scientific Corp.(b) | 30,200 | $ | 512,796 | |||||
Cochlear Ltd. | 1,515 | 110,588 | ||||||
Coloplast A/S – Class B | 2,950 | 222,919 | ||||||
CR Bard, Inc. | 1,700 | 327,046 | ||||||
DENTSPLY International, Inc. | 5,505 | 335,585 | ||||||
Edwards Lifesciences Corp.(b) | 4,800 | 417,600 | ||||||
Essilor International SA | 5,456 | 648,083 | ||||||
Getinge AB – Class B | 5,313 | 117,625 | ||||||
Hoya Corp. | 11,100 | 401,118 | ||||||
Intuitive Surgical, Inc.(b) | 830 | 467,340 | ||||||
Medtronic PLC | 31,731 | 2,455,662 | ||||||
Olympus Corp.(a) | 7,300 | 266,169 | ||||||
Smith & Nephew PLC | 23,727 | 385,039 | ||||||
Sonova Holding AG (REG) | 1,461 | 174,959 | ||||||
St Jude Medical, Inc. | 6,300 | 338,247 | ||||||
Stryker Corp. | 7,150 | 714,142 | ||||||
Sysmex Corp.(a) | 3,900 | 240,552 | ||||||
Terumo Corp.(a) | 8,100 | 276,729 | ||||||
Varian Medical Systems, Inc.(b) | 2,200 | 172,084 | ||||||
William Demant Holding A/S(b) | 679 | 58,981 | ||||||
Zimmer Biomet Holdings, Inc. | 3,800 | 367,878 | ||||||
|
| |||||||
11,493,571 | ||||||||
|
| |||||||
Health Care Providers & Services – 1.2% | ||||||||
Aetna, Inc. | 7,859 | 853,723 | ||||||
Alfresa Holdings Corp. | 4,700 | 85,028 | ||||||
AmerisourceBergen Corp. – Class A | 4,600 | 398,452 | ||||||
Anthem, Inc. | 5,850 | 764,536 | ||||||
Cardinal Health, Inc. | 7,350 | 600,495 | ||||||
Cigna Corp. | 5,800 | 809,738 | ||||||
DaVita HealthCare Partners, Inc.(b) | 3,800 | 250,686 | ||||||
Express Scripts Holding Co.(b) | 15,183 | 1,068,580 | ||||||
Fresenius Medical Care AG & Co. KGaA | 5,803 | 487,224 | ||||||
Fresenius SE & Co. KGaA | 10,174 | 668,243 | ||||||
HCA Holdings, Inc.(b) | 7,218 | 499,558 | ||||||
Healthscope Ltd. | 46,057 | 81,340 | ||||||
Henry Schein, Inc.(b) | 1,870 | 309,391 | ||||||
Humana, Inc. | 3,400 | 601,698 | ||||||
Laboratory Corp. of America Holdings(b) | 2,250 | 247,140 | ||||||
McKesson Corp. | 5,200 | 809,224 | ||||||
Mediclinic International PLC | 10,709 | 131,916 | ||||||
Medipal Holdings Corp. | 3,600 | 55,171 | ||||||
Miraca Holdings, Inc. | 1,500 | 64,627 | ||||||
Patterson Cos., Inc. | 1,900 | 82,536 | ||||||
Quest Diagnostics, Inc. | 3,250 | 216,223 | ||||||
Ramsay Health Care Ltd. | 3,763 | 177,440 | ||||||
Ryman Healthcare Ltd. | 9,906 | 52,289 |
AB POOLING PORTFOLIOS • | 201 |
AB Volatility Management—Portfolio of Investments
Company | Shares | U.S. $ Value | ||||||
| ||||||||
Sonic Healthcare Ltd. | 10,107 | $ | 132,781 | |||||
Suzuken Co., Ltd./Aichi Japan | 2,100 | 68,243 | ||||||
Tenet Healthcare Corp.(b) | 2,200 | 54,604 | ||||||
UnitedHealth Group, Inc. | 21,400 | 2,548,740 | ||||||
Universal Health Services, Inc. – Class B | 2,100 | 231,777 | ||||||
|
| |||||||
12,351,403 | ||||||||
|
| |||||||
Health Care Technology – 0.0% | ||||||||
Cerner Corp.(b) | 6,900 | 352,314 | ||||||
M3, Inc. | 5,154 | 122,686 | ||||||
|
| |||||||
475,000 | ||||||||
|
| |||||||
Life Sciences Tools & Services – 0.2% | ||||||||
Agilent Technologies, Inc. | 7,400 | 276,390 | ||||||
Illumina, Inc.(b) | 3,262 | 490,083 | ||||||
Lonza Group AG (REG)(b) | 1,405 | 212,745 | ||||||
PerkinElmer, Inc. | 2,500 | 118,150 | ||||||
QIAGEN NV(b) | 5,864 | 124,313 | ||||||
Thermo Fisher Scientific, Inc. | 8,950 | 1,156,250 | ||||||
Waters Corp.(b) | 1,850 | 222,574 | ||||||
|
| |||||||
2,600,505 | ||||||||
|
| |||||||
Pharmaceuticals – 4.7% | ||||||||
Allergan PLC(b) | 8,900 | 2,581,979 | ||||||
Astellas Pharma, Inc. | 56,000 | 805,721 | ||||||
AstraZeneca PLC | 33,606 | 1,910,725 | ||||||
Bayer AG | 21,951 | 2,275,616 | ||||||
Bristol-Myers Squibb Co. | 37,500 | 2,322,375 | ||||||
Chugai Pharmaceutical Co., Ltd. | 6,000 | 177,727 | ||||||
Daiichi Sankyo Co., Ltd. | 17,000 | 354,936 | ||||||
Eisai Co., Ltd. | 6,700 | 412,969 | ||||||
Eli Lilly & Co. | 21,900 | 1,576,800 | ||||||
Endo International PLC(b) | 4,626 | 193,413 | ||||||
Galenica AG | 104 | 155,868 | ||||||
GlaxoSmithKline PLC | 129,166 | 2,503,244 | ||||||
Hisamitsu Pharmaceutical Co., Inc. | 1,500 | 65,491 | ||||||
Johnson & Johnson | 62,200 | 6,544,062 | ||||||
Kyowa Hakko Kirin Co., Ltd. | 6,000 | 89,306 | ||||||
Mallinckrodt PLC(b) | 2,605 | 169,403 | ||||||
Merck & Co., Inc. | 63,250 | 3,175,783 | ||||||
Merck KGaA | 3,477 | 294,700 | ||||||
Mitsubishi Tanabe Pharma Corp. | 6,000 | 107,748 | ||||||
Mylan NV(b) | 9,200 | 414,644 | ||||||
Novartis AG (REG) | 60,401 | 4,302,268 | ||||||
Novo Nordisk A/S – Class B | 52,013 | 2,677,870 | ||||||
Ono Pharmaceutical Co., Ltd. | 2,200 | 407,351 | ||||||
Orion Oyj – Class B | 2,784 | 94,062 | ||||||
Otsuka Holdings Co., Ltd. | 10,366 | 366,380 | ||||||
Perrigo Co. PLC | 3,339 | 421,549 |
202 | • AB POOLING PORTFOLIOS |
AB Volatility Management—Portfolio of Investments
Company | Shares | U.S. $ Value | ||||||
| ||||||||
Pfizer, Inc. | 138,507 | $ | 4,109,503 | |||||
Roche Holding AG | 18,650 | 4,782,144 | ||||||
Sanofi | 31,350 | 2,484,119 | ||||||
Santen Pharmaceutical Co., Ltd. | 9,900 | 152,005 | ||||||
Shionogi & Co., Ltd. | 8,000 | 343,025 | ||||||
Shire PLC | 15,774 | 822,923 | ||||||
Sumitomo Dainippon Pharma Co., Ltd.(a) | 4,200 | 47,636 | ||||||
Taisho Pharmaceutical Holdings Co., Ltd.(a) | 838 | 66,123 | ||||||
Takeda Pharmaceutical Co., Ltd. | 21,000 | 999,641 | ||||||
Taro Pharmaceutical Industries Ltd.(b) | 199 | 28,833 | ||||||
Teva Pharmaceutical Industries Ltd. | 22,979 | 1,289,321 | ||||||
UCB SA | 3,356 | 248,347 | ||||||
Zoetis, Inc. | 10,264 | 421,440 | ||||||
|
| |||||||
50,197,050 | ||||||||
|
| |||||||
91,539,109 | ||||||||
|
| |||||||
Consumer Discretionary – 8.4% | ||||||||
Auto Components – 0.5% | ||||||||
Aisin Seiki Co., Ltd.(a) | 5,100 | 204,084 | ||||||
BorgWarner, Inc. | 5,000 | 163,400 | ||||||
Bridgestone Corp. | 17,300 | 605,701 | ||||||
Cie Generale des Etablissements Michelin – Class B | 4,977 | 448,955 | ||||||
Continental AG | 2,920 | 581,189 | ||||||
Delphi Automotive PLC | 6,371 | 424,818 | ||||||
Denso Corp. | 12,900 | 478,263 | ||||||
GKN PLC | 45,488 | 172,927 | ||||||
Goodyear Tire & Rubber Co. (The) | 6,050 | 182,226 | ||||||
Johnson Controls, Inc. | 14,600 | 532,316 | ||||||
Koito Manufacturing Co., Ltd. | 3,000 | 132,151 | ||||||
NGK Spark Plug Co., Ltd. | 5,000 | 93,326 | ||||||
NHK Spring Co., Ltd. | 4,000 | 36,511 | ||||||
NOK Corp. | 2,600 | 41,906 | ||||||
Nokian Renkaat Oyj | 3,138 | 102,858 | ||||||
Stanley Electric Co., Ltd.(a) | 3,800 | 84,330 | ||||||
Sumitomo Electric Industries Ltd. | 20,000 | 239,834 | ||||||
Sumitomo Rubber Industries Ltd. | 4,500 | 64,314 | ||||||
Toyoda Gosei Co., Ltd. | 1,700 | 32,493 | ||||||
Toyota Industries Corp. | 4,400 | 185,021 | ||||||
Valeo SA | 2,114 | 292,266 | ||||||
Yokohama Rubber Co., Ltd. (The) | 2,500 | 39,862 | ||||||
|
| |||||||
5,138,751 | ||||||||
|
| |||||||
Automobiles – 1.3% | ||||||||
Bayerische Motoren Werke AG | 8,788 | 713,920 | ||||||
Bayerische Motoren Werke AG (Preference Shares) | 1,500 | 101,149 | ||||||
Daihatsu Motor Co., Ltd.(a) | 5,000 | 69,429 |
AB POOLING PORTFOLIOS • | 203 |
AB Volatility Management—Portfolio of Investments
Company | Shares | U.S. $ Value | ||||||
| ||||||||
Daimler AG (REG) | 25,557 | $ | 1,738,826 | |||||
Ferrari NV(b) | 2,392 | 92,610 | ||||||
Fiat Chrysler Automobiles NV | 23,926 | 163,642 | ||||||
Ford Motor Co. | 87,500 | 1,094,625 | ||||||
Fuji Heavy Industries Ltd. | 16,000 | 523,469 | ||||||
General Motors Co. | 32,365 | 952,825 | ||||||
Harley-Davidson, Inc.(a) | 4,600 | 198,582 | ||||||
Honda Motor Co., Ltd. | 43,300 | 1,113,627 | ||||||
Isuzu Motors Ltd. | 15,500 | 155,072 | ||||||
Mazda Motor Corp. | 14,400 | 200,401 | ||||||
Mitsubishi Motors Corp. | 16,300 | 116,113 | ||||||
Nissan Motor Co., Ltd. | 66,000 | 598,598 | ||||||
Peugeot SA(b) | 11,791 | 176,907 | ||||||
Porsche Automobil Holding SE (Preference Shares) | 4,120 | 186,333 | ||||||
Renault SA | 5,100 | 465,039 | ||||||
Suzuki Motor Corp. | 9,700 | 242,728 | ||||||
Toyota Motor Corp. | 72,600 | 3,785,188 | ||||||
Volkswagen AG | 942 | 130,924 | ||||||
Volkswagen AG (Preference Shares) | 4,927 | 572,946 | ||||||
Yamaha Motor Co., Ltd. | 7,000 | 104,192 | ||||||
|
| |||||||
13,497,145 | ||||||||
|
| |||||||
Distributors – 0.0% | ||||||||
Genuine Parts Co. | 3,440 | 310,116 | ||||||
Jardine Cycle & Carriage Ltd. | 3,000 | 82,239 | ||||||
|
| |||||||
392,355 | ||||||||
|
| |||||||
Diversified Consumer Services – 0.0% | ||||||||
Benesse Holdings, Inc.(a) | 1,800 | 54,758 | ||||||
H&R Block, Inc. | 5,250 | 172,620 | ||||||
|
| |||||||
227,378 | ||||||||
|
| |||||||
Hotels, Restaurants & Leisure – 1.1% | ||||||||
Accor SA | 5,581 | 236,558 | ||||||
Aristocrat Leisure Ltd. | 13,621 | 96,880 | ||||||
Carnival Corp. | 10,350 | 496,386 | ||||||
Carnival PLC | 4,885 | 241,325 | ||||||
Chipotle Mexican Grill, Inc. – Class A(b) | 750 | 381,870 | ||||||
Compass Group PLC | 43,739 | 766,850 | ||||||
Crown Resorts Ltd. | 9,668 | 79,873 | ||||||
Darden Restaurants, Inc. | 3,450 | 220,386 | ||||||
Flight Centre Travel Group Ltd.(a) | 1,468 | 43,189 | ||||||
Galaxy Entertainment Group Ltd. | 61,700 | 206,573 | ||||||
Genting Singapore PLC | 160,000 | 85,828 | ||||||
InterContinental Hotels Group PLC | 6,337 | 238,027 | ||||||
Marriott International, Inc./MD – Class A(a) | 4,450 | 303,268 | ||||||
McDonald’s Corp. | 21,150 | 2,478,568 | ||||||
McDonald’s Holdings Co. Japan Ltd.(a) | 1,800 | 41,923 | ||||||
Melco Crown Entertainment Ltd. (ADR)(a) | 2,525 | 39,870 |
204 | • AB POOLING PORTFOLIOS |
AB Volatility Management—Portfolio of Investments
Company | Shares | U.S. $ Value | ||||||
| ||||||||
Merlin Entertainments PLC(e) | 18,076 | $ | 114,750 | |||||
MGM China Holdings Ltd. | 23,500 | 26,859 | ||||||
Oriental Land Co., Ltd./Japan | 5,300 | 362,787 | ||||||
Paddy Power Betfair PLC | 2,177 | 331,200 | ||||||
Royal Caribbean Cruises Ltd. | 3,824 | 284,391 | ||||||
Sands China Ltd. | 63,300 | 224,886 | ||||||
Shangri-La Asia Ltd. | 32,000 | 30,200 | ||||||
SJM Holdings Ltd. | 51,500 | 31,329 | ||||||
Sodexo SA | 2,503 | 253,882 | ||||||
Starbucks Corp. | 33,300 | 1,938,393 | ||||||
Starwood Hotels & Resorts Worldwide, Inc. | 3,800 | 262,618 | ||||||
Tabcorp Holdings Ltd. | 21,691 | 66,267 | ||||||
Tatts Group Ltd. | 37,618 | 104,100 | ||||||
TUI AG | 13,236 | 196,172 | ||||||
Whitbread PLC | 4,880 | 264,872 | ||||||
William Hill PLC | 23,023 | 130,940 | ||||||
Wyndham Worldwide Corp. | 2,600 | 189,384 | ||||||
Wynn Macau Ltd.(a) | 39,800 | 45,608 | ||||||
Wynn Resorts Ltd.(a) | 1,850 | 152,588 | ||||||
Yum! Brands, Inc. | 9,700 | 702,959 | ||||||
|
| |||||||
11,671,559 | ||||||||
|
| |||||||
Household Durables – 0.4% | ||||||||
Auto Trader Group PLC(e) | 19,929 | 100,204 | ||||||
Barratt Developments PLC | 26,388 | 215,577 | ||||||
Casio Computer Co., Ltd.(a) | 5,400 | 99,463 | ||||||
DR Horton, Inc. | 7,250 | 193,720 | ||||||
Electrolux AB – Class B | 6,386 | 149,685 | ||||||
Garmin Ltd.(a) | 2,580 | 104,516 | ||||||
Harman International Industries, Inc. | 1,600 | 122,688 | ||||||
Husqvarna AB – Class B | 10,962 | 69,454 | ||||||
Iida Group Holdings Co., Ltd. | 3,916 | 71,676 | ||||||
Leggett & Platt, Inc. | 3,000 | 133,980 | ||||||
Lennar Corp. – Class A | 3,850 | 161,469 | ||||||
Mohawk Industries, Inc.(b) | 1,500 | 269,595 | ||||||
Newell Rubbermaid, Inc.(a) | 6,000 | 228,060 | ||||||
Nikon Corp.(a) | 9,000 | 136,965 | ||||||
Panasonic Corp. | 58,600 | 493,198 | ||||||
Persimmon PLC(b) | 8,256 | 249,508 | ||||||
PulteGroup, Inc. | 7,150 | 122,908 | ||||||
Rinnai Corp. | 1,000 | 86,002 | ||||||
Sekisui Chemical Co., Ltd. | 11,000 | 121,833 | ||||||
Sekisui House Ltd. | 16,000 | 260,398 | ||||||
Sony Corp. | 33,500 | 703,986 | ||||||
Taylor Wimpey PLC | 84,856 | 218,623 | ||||||
Techtronic Industries Co., Ltd. | 35,200 | 134,027 | ||||||
Whirlpool Corp. | 1,750 | 271,810 | ||||||
|
| |||||||
4,719,345 | ||||||||
|
|
AB POOLING PORTFOLIOS • | 205 |
AB Volatility Management—Portfolio of Investments
Company | Shares | U.S. $ Value | ||||||
| ||||||||
Internet & Catalog Retail – 0.8% | ||||||||
Amazon.com, Inc.(b) | 8,670 | $ | 4,790,349 | |||||
Expedia, Inc. | 2,240 | 233,206 | ||||||
Netflix, Inc.(b) | 9,620 | 898,604 | ||||||
Priceline Group, Inc. (The)(b) | 1,210 | 1,530,904 | ||||||
Rakuten, Inc. | 24,674 | 234,732 | ||||||
TripAdvisor, Inc.(b) | 2,550 | 159,630 | ||||||
Zalando SE(b)(e) | 2,293 | 71,471 | ||||||
|
| |||||||
7,918,896 | ||||||||
|
| |||||||
Leisure Products – 0.1% | ||||||||
Bandai Namco Holdings, Inc. | 4,700 | 93,666 | ||||||
Hasbro, Inc. | 2,550 | 193,468 | ||||||
Mattel, Inc.(a) | 7,550 | 245,526 | ||||||
Sankyo Co., Ltd. | 1,300 | 47,731 | ||||||
Sega Sammy Holdings, Inc. | 4,900 | 51,817 | ||||||
Shimano, Inc. | 2,100 | 328,398 | ||||||
Yamaha Corp.(a) | 4,500 | 125,444 | ||||||
|
| |||||||
1,086,050 | ||||||||
|
| |||||||
Media – 1.7% | ||||||||
Altice NV – Class A(b) | 9,789 | 140,418 | ||||||
Altice NV – Class B(b) | 2,900 | 42,420 | ||||||
Axel Springer SE | 1,185 | 59,886 | ||||||
Cablevision Systems Corp. – Class A | 4,900 | 159,397 | ||||||
CBS Corp. – Class B | 9,900 | 478,962 | ||||||
Comcast Corp. – Class A | 55,293 | 3,192,065 | ||||||
Dentsu, Inc. | 5,800 | 269,581 | ||||||
Discovery Communications, Inc. – Class A(a)(b) | 3,350 | 83,750 | ||||||
Discovery Communications, Inc. – Class C(b) | 5,700 | 140,505 | ||||||
Eutelsat Communications SA | 4,529 | 137,161 | ||||||
Hakuhodo DY Holdings, Inc. | 6,190 | 69,942 | ||||||
Interpublic Group of Cos., Inc. (The) | 9,150 | 195,719 | ||||||
ITV PLC | 100,673 | 346,714 | ||||||
JCDecaux SA | 1,952 | 76,565 | ||||||
Kabel Deutschland Holding AG | 588 | 72,762 | ||||||
Lagardere SCA | 3,133 | 90,342 | ||||||
News Corp. – Class A | 8,475 | 91,700 | ||||||
News Corp. – Class B(a) | 2,352 | 26,836 | ||||||
Numericable-SFR SA | 2,909 | 106,140 | ||||||
Omnicom Group, Inc. | 5,450 | 424,064 | ||||||
Pearson PLC | 21,742 | 258,256 | ||||||
ProSiebenSat.1 Media SE | 5,808 | 296,864 | ||||||
Publicis Groupe SA | 5,079 | 314,756 | ||||||
REA Group Ltd.(a) | 1,399 | 51,690 | ||||||
RELX NV | 26,408 | 433,798 | ||||||
RELX PLC | 29,647 | 510,115 |
206 | • AB POOLING PORTFOLIOS |
AB Volatility Management—Portfolio of Investments
Company | Shares | U.S. $ Value | ||||||
| ||||||||
RTL Group SA (Germany) | 989 | $ | 82,760 | |||||
RTL Group SA (London)(b) | 39 | 3,261 | ||||||
Schibsted ASA | 2,007 | 55,091 | ||||||
Schibsted ASA – Class B(b) | 2,365 | 62,163 | ||||||
Scripps Networks Interactive, Inc. – Class A | 2,100 | 124,404 | ||||||
SES SA | 8,710 | 228,387 | ||||||
Singapore Press Holdings Ltd.(a) | 42,000 | 111,064 | ||||||
Sky PLC | 27,524 | 397,508 | ||||||
TEGNA, Inc. | 5,050 | 124,432 | ||||||
Telenet Group Holding NV(b) | 1,473 | 77,267 | ||||||
Time Warner Cable, Inc. – Class A | 6,400 | 1,221,504 | ||||||
Time Warner, Inc. | 18,300 | 1,211,460 | ||||||
Toho Co., Ltd./Tokyo | 3,000 | 73,413 | ||||||
Twenty-First Century Fox, Inc. – Class A | 27,364 | 739,375 | ||||||
Twenty-First Century Fox, Inc. – Class B | 9,607 | 260,926 | ||||||
Viacom, Inc. – Class B | 7,800 | 287,430 | ||||||
Vivendi SA | 30,859 | 640,116 | ||||||
Walt Disney Co. (The) | 34,888 | 3,332,502 | ||||||
Wolters Kluwer NV | 8,014 | 301,950 | ||||||
WPP PLC | 34,383 | 724,189 | ||||||
|
| |||||||
18,129,610 | ||||||||
|
| |||||||
Multiline Retail – 0.4% | ||||||||
Dollar General Corp. | 6,630 | 492,278 | ||||||
Dollar Tree, Inc.(b) | 5,217 | 418,664 | ||||||
Don Quijote Holdings Co., Ltd. | 3,200 | 106,964 | ||||||
Harvey Norman Holdings Ltd. | 13,121 | 44,633 | ||||||
Isetan Mitsukoshi Holdings Ltd. | 9,400 | 109,275 | ||||||
J Front Retailing Co., Ltd. | 6,000 | 70,004 | ||||||
Kohl’s Corp. | 4,360 | 203,481 | ||||||
Macy’s, Inc. | 7,360 | 318,026 | ||||||
Marks & Spencer Group PLC | 43,158 | 253,807 | ||||||
Marui Group Co., Ltd.(a) | 5,900 | 80,869 | ||||||
Next PLC | 3,864 | 362,037 | ||||||
Nordstrom, Inc.(a) | 3,070 | 157,552 | ||||||
Ryohin Keikaku Co., Ltd. | 637 | 129,762 | ||||||
Takashimaya Co., Ltd. | 7,392 | 59,148 | ||||||
Target Corp. | 14,120 | 1,107,714 | ||||||
|
| |||||||
3,914,214 | ||||||||
|
| |||||||
Specialty Retail – 1.3% | ||||||||
ABC-Mart, Inc. | 800 | 45,983 | ||||||
Advance Auto Parts, Inc. | 1,658 | 246,113 | ||||||
AutoNation, Inc.(b) | 1,730 | 89,043 | ||||||
AutoZone, Inc.(b) | 710 | 549,945 | ||||||
Bed Bath & Beyond, Inc.(b) | 3,800 | 182,210 | ||||||
Best Buy Co., Inc. | 6,840 | 221,548 | ||||||
CarMax, Inc.(a)(b) | 4,670 | 216,034 |
AB POOLING PORTFOLIOS • | 207 |
AB Volatility Management—Portfolio of Investments
Company | Shares | U.S. $ Value | ||||||
| ||||||||
Dixons Carphone PLC | 25,354 | $ | 152,944 | |||||
Dufry AG (REG)(b) | 1,073 | 111,955 | ||||||
Fast Retailing Co., Ltd. | 1,500 | 416,169 | ||||||
GameStop Corp. – Class A(a) | 2,360 | 72,735 | ||||||
Gap, Inc. (The)(a) | 5,290 | 146,268 | ||||||
Hennes & Mauritz AB – Class B | 25,195 | 816,480 | ||||||
Hikari Tsushin, Inc. | 500 | 35,308 | ||||||
Home Depot, Inc. (The) | 28,840 | 3,579,621 | ||||||
Industria de Diseno Textil SA | 28,956 | 893,436 | ||||||
Kingfisher PLC | 61,099 | 282,235 | ||||||
L Brands, Inc. | 5,750 | 487,542 | ||||||
Lowe’s Cos., Inc. | 20,740 | 1,400,572 | ||||||
Nitori Holdings Co., Ltd. | 2,000 | 153,611 | ||||||
O’Reilly Automotive, Inc.(b) | 2,230 | 580,514 | ||||||
Ross Stores, Inc. | 9,220 | 506,916 | ||||||
Sanrio Co., Ltd.(a) | 1,300 | 25,453 | ||||||
Shimamura Co., Ltd.(a) | 600 | 66,377 | ||||||
Signet Jewelers Ltd. | 1,856 | 201,190 | ||||||
Sports Direct International PLC(b) | 7,149 | 40,029 | ||||||
Staples, Inc. | 14,440 | 136,458 | ||||||
Tiffany & Co. | 2,470 | 160,501 | ||||||
TJX Cos., Inc. (The) | 15,120 | 1,120,392 | ||||||
Tractor Supply Co. | 3,023 | 255,655 | ||||||
Urban Outfitters, Inc.(b) | 2,130 | 56,424 | ||||||
USS Co., Ltd.(a) | 5,820 | 91,603 | ||||||
Yamada Denki Co., Ltd. | 17,950 | 88,160 | ||||||
|
| |||||||
13,429,424 | ||||||||
|
| |||||||
Textiles, Apparel & Luxury Goods – 0.8% | ||||||||
adidas AG | 5,554 | 591,938 | ||||||
Asics Corp. | 4,000 | 72,783 | ||||||
Burberry Group PLC | 11,776 | 215,014 | ||||||
Christian Dior SE | 1,473 | 259,032 | ||||||
Cie Financiere Richemont SA | 13,914 | 883,548 | ||||||
Coach, Inc. | 6,200 | 241,428 | ||||||
Hanesbrands, Inc. | 8,995 | 256,268 | ||||||
Hermes International(a) | 703 | 239,881 | ||||||
HUGO BOSS AG | 1,780 | 101,242 | ||||||
Kering | 2,010 | 349,725 | ||||||
Li & Fung Ltd. | 156,000 | 88,437 | ||||||
Luxottica Group SpA | 4,513 | 257,623 | ||||||
LVMH Moet Hennessy Louis Vuitton SE | 7,440 | 1,236,062 | ||||||
Michael Kors Holdings Ltd.(b) | 4,310 | 244,161 | ||||||
NIKE, Inc. – Class B | 30,400 | 1,872,336 | ||||||
Pandora A/S | 2,922 | 368,867 | ||||||
PVH Corp. | 1,861 | 147,298 | ||||||
Ralph Lauren Corp. | 1,350 | 122,526 | ||||||
Swatch Group AG (The)(a) | 832 | 288,107 |
208 | • AB POOLING PORTFOLIOS |
AB Volatility Management—Portfolio of Investments
Company | Shares | U.S. $ Value | ||||||
| ||||||||
Swatch Group AG (The) (REG) | 1,318 | $ | 91,537 | |||||
Under Armour, Inc. – Class A(a)(b) | 4,075 | 341,037 | ||||||
VF Corp. | 7,600 | 494,836 | ||||||
Yue Yuen Industrial Holdings Ltd. | 19,500 | 69,074 | ||||||
|
| |||||||
8,832,760 | ||||||||
|
| |||||||
88,957,487 | ||||||||
|
| |||||||
Industrials – 7.5% | ||||||||
Aerospace & Defense – 1.2% | ||||||||
Airbus Group SE | 15,736 | 1,015,550 | ||||||
BAE Systems PLC | 83,502 | 591,975 | ||||||
Boeing Co. (The) | 14,400 | 1,701,792 | ||||||
Cobham PLC | 29,193 | 104,371 | ||||||
Finmeccanica SpA(b) | 10,743 | 110,557 | ||||||
General Dynamics Corp. | 6,800 | 926,636 | ||||||
Honeywell International, Inc. | 17,550 | 1,778,692 | ||||||
L-3 Communications Holdings, Inc. | 1,800 | 211,158 | ||||||
Lockheed Martin Corp. | 6,000 | 1,294,740 | ||||||
Meggitt PLC | 20,309 | 117,488 | ||||||
Northrop Grumman Corp. | 4,200 | 807,324 | ||||||
Raytheon Co. | 6,850 | 848,372 | ||||||
Rockwell Collins, Inc. | 2,950 | 258,332 | ||||||
Rolls-Royce Holdings PLC(b) | 48,806 | 458,142 | ||||||
Safran SA | 7,766 | 481,168 | ||||||
Singapore Technologies Engineering Ltd. | 41,000 | 87,139 | ||||||
Textron, Inc. | 6,200 | 211,730 | ||||||
Thales SA | 2,819 | 223,836 | ||||||
United Technologies Corp. | 18,650 | 1,801,963 | ||||||
Zodiac Aerospace | 5,366 | 89,375 | ||||||
|
| |||||||
13,120,340 | ||||||||
|
| |||||||
Air Freight & Logistics – 0.4% | ||||||||
Bollore SA | 21,942 | 84,580 | ||||||
CH Robinson Worldwide, Inc. | 3,150 | 219,964 | ||||||
Deutsche Post AG (REG) | 25,833 | 612,453 | ||||||
Expeditors International of Washington, Inc. | 4,250 | 194,565 | ||||||
FedEx Corp. | 5,950 | 814,436 | ||||||
Kuehne & Nagel International AG (REG) | 1,432 | 185,736 | ||||||
Royal Mail PLC | 23,890 | 150,480 | ||||||
TNT Express NV | 13,124 | 112,236 | ||||||
United Parcel Service, Inc. – Class B | 15,700 | 1,515,835 | ||||||
Yamato Holdings Co., Ltd.(a) | 9,000 | 182,536 | ||||||
|
| |||||||
4,072,821 | ||||||||
|
| |||||||
Airlines – 0.3% | ||||||||
American Airlines Group, Inc. | 14,108 | 578,428 | ||||||
ANA Holdings, Inc. | 30,000 | 84,852 | ||||||
Cathay Pacific Airways Ltd. | 31,000 | 49,306 |
AB POOLING PORTFOLIOS • | 209 |
AB Volatility Management—Portfolio of Investments
Company | Shares | U.S. $ Value | ||||||
| ||||||||
Delta Air Lines, Inc. | 17,883 | $ | 862,676 | |||||
Deutsche Lufthansa AG (REG)(b) | 6,120 | 91,139 | ||||||
easyJet PLC | 4,213 | 88,008 | ||||||
International Consolidated Airlines Group SA | 21,132 | 160,689 | ||||||
Japan Airlines Co., Ltd. | 3,278 | 117,292 | ||||||
Qantas Airways Ltd.(b) | 13,640 | 37,467 | ||||||
Ryanair Holdings PLC (Sponsored ADR) | 799 | 66,453 | ||||||
Singapore Airlines Ltd. | 14,000 | 115,798 | ||||||
Southwest Airlines Co. | 14,750 | 618,762 | ||||||
United Continental Holdings, Inc.(b) | 8,475 | 485,278 | ||||||
|
| |||||||
3,356,148 | ||||||||
|
| |||||||
Building Products – 0.2% | ||||||||
Allegion PLC | 2,100 | 132,300 | ||||||
Asahi Glass Co., Ltd.(a) | 25,000 | 121,011 | ||||||
Assa Abloy AB – Class B | 26,607 | 510,104 | ||||||
Cie de Saint-Gobain | 12,942 | 499,992 | ||||||
Daikin Industries Ltd. | 6,300 | 422,323 | ||||||
Geberit AG (REG) | 1,018 | 366,481 | ||||||
LIXIL Group Corp. | 7,100 | 145,809 | ||||||
Masco Corp. | 7,700 | 217,140 | ||||||
TOTO Ltd. | 4,500 | 129,467 | ||||||
|
| |||||||
2,544,627 | ||||||||
|
| |||||||
Commercial Services & Supplies – 0.3% | ||||||||
ADT Corp. (The) | 3,750 | 151,388 | ||||||
Aggreko PLC | 6,798 | 83,200 | ||||||
Babcock International Group PLC | 6,668 | 84,369 | ||||||
Brambles Ltd. | 41,051 | 364,848 | ||||||
Cintas Corp. | 2,050 | 172,179 | ||||||
Dai Nippon Printing Co., Ltd. | 14,000 | 120,403 | ||||||
Edenred | 5,573 | 97,570 | ||||||
G4S PLC | 39,842 | 114,708 | ||||||
ISS A/S | 3,951 | 137,550 | ||||||
Park24 Co., Ltd. | 2,500 | 65,480 | ||||||
Pitney Bowes, Inc. | 4,450 | 80,634 | ||||||
Republic Services, Inc. – Class A | 5,400 | 246,780 | ||||||
Secom Co., Ltd. | 5,600 | 399,288 | ||||||
Securitas AB – Class B | 8,312 | 124,251 | ||||||
Societe BIC SA | 790 | 109,571 | ||||||
Sohgo Security Services Co., Ltd. | 1,700 | 88,177 | ||||||
Stericycle, Inc.(b) | 1,950 | 222,163 | ||||||
Toppan Printing Co., Ltd. | 14,000 | 118,225 | �� | |||||
Tyco International PLC | 9,400 | 330,692 | ||||||
Waste Management, Inc. | 9,400 | 524,990 | ||||||
|
| |||||||
3,636,466 | ||||||||
|
|
210 | • AB POOLING PORTFOLIOS |
AB Volatility Management—Portfolio of Investments
Company | Shares | U.S. $ Value | ||||||
| ||||||||
Construction & Engineering – 0.3% | ||||||||
ACS Actividades de Construccion y Servicios SA | 5,023 | $ | 129,848 | |||||
Boskalis Westminster | 2,414 | 87,820 | ||||||
Bouygues SA | 5,365 | 209,454 | ||||||
CIMIC Group Ltd. | 2,696 | 60,543 | ||||||
Ferrovial SA | 12,078 | 232,693 | ||||||
Fluor Corp. | 3,200 | 147,328 | ||||||
Jacobs Engineering Group, Inc.(b) | 2,750 | 106,288 | ||||||
JGC Corp.(a) | 5,864 | 92,280 | ||||||
Kajima Corp. | 22,000 | 126,371 | ||||||
Obayashi Corp. | 17,000 | 154,905 | ||||||
Quanta Services, Inc.(b) | 3,600 | 73,044 | ||||||
Shimizu Corp. | 15,000 | 114,013 | ||||||
Skanska AB – Class B | 10,087 | 214,411 | ||||||
Taisei Corp. | 27,000 | 163,652 | ||||||
Vinci SA | 12,701 | 877,274 | ||||||
|
| |||||||
2,789,924 | ||||||||
|
| |||||||
Electrical Equipment – 0.6% | ||||||||
ABB Ltd. (REG)(b) | 58,497 | 1,043,237 | ||||||
AMETEK, Inc. | 5,439 | 252,424 | ||||||
Eaton Corp. PLC | 10,509 | 595,965 | ||||||
Emerson Electric Co. | 14,700 | 717,801 | ||||||
First Solar, Inc.(b) | 1,650 | 118,585 | ||||||
Fuji Electric Co., Ltd. | 14,000 | 47,958 | ||||||
Legrand SA | 7,051 | 350,514 | ||||||
Mabuchi Motor Co., Ltd. | 1,400 | 61,393 | ||||||
Mitsubishi Electric Corp. | 51,000 | 516,317 | ||||||
Nidec Corp.(a) | 5,900 | 395,185 | ||||||
OSRAM Licht AG | 2,362 | 110,349 | ||||||
Prysmian SpA | 5,189 | 105,325 | ||||||
Rockwell Automation, Inc. | 3,050 | 317,474 | ||||||
Schneider Electric SE (Paris) | 14,854 | 885,380 | ||||||
Vestas Wind Systems A/S | 5,948 | 401,097 | ||||||
|
| |||||||
5,919,004 | ||||||||
|
| |||||||
Industrial Conglomerates – 1.4% | ||||||||
3M Co. | 14,050 | 2,204,024 | ||||||
CK Hutchison Holdings Ltd. | 71,304 | 861,075 | ||||||
Danaher Corp. | 13,350 | 1,191,755 | ||||||
General Electric Co. | 212,279 | 6,185,810 | ||||||
Jardine Matheson Holdings Ltd. | 6,500 | 378,430 | ||||||
Keihan Electric Railway Co., Ltd. | 13,000 | 90,023 | ||||||
Keppel Corp., Ltd.(a) | 38,000 | 139,687 | ||||||
Koninklijke Philips NV | 25,284 | 641,955 | ||||||
NWS Holdings Ltd. | 40,000 | 56,623 | ||||||
Roper Technologies, Inc. | 2,300 | 386,239 | ||||||
Seibu Holdings, Inc. | 3,175 | 62,462 |
AB POOLING PORTFOLIOS • | 211 |
AB Volatility Management—Portfolio of Investments
Company | Shares | U.S. $ Value | ||||||
| ||||||||
Sembcorp Industries Ltd.(a) | 26,000 | $ | 49,435 | |||||
Siemens AG (REG) | 21,044 | 1,945,406 | ||||||
Smiths Group PLC | 10,470 | 144,981 | ||||||
Toshiba Corp.(a)(b) | 106,000 | 163,973 | ||||||
|
| |||||||
14,501,878 | ||||||||
|
| |||||||
Industrial Warehouse Distribution – 0.2% | ||||||||
Ascendas Real Estate Investment Trust | 97,350 | 167,494 | ||||||
Daiwa House REIT Investment Corp.(a) | 7 | 28,227 | ||||||
DCT Industrial Trust, Inc. | 1,890 | 68,399 | ||||||
EastGroup Properties, Inc. | 713 | 38,666 | ||||||
First Industrial Realty Trust, Inc. | 2,300 | 49,496 | ||||||
GLP J-Reit(a) | 47 | 50,072 | ||||||
Hansteen Holdings PLC(a) | 15,363 | 23,008 | ||||||
Industrial & Infrastructure Fund Investment Corp. | 7 | 32,879 | ||||||
Japan Logistics Fund, Inc. | 18 | 39,054 | ||||||
Mapletree Industrial Trust | 26,462 | 29,067 | ||||||
Mapletree Logistics Trust | 31,155 | 21,592 | ||||||
Nippon Prologis REIT, Inc. | 71 | 150,630 | ||||||
Prologis, Inc. | 22,875 | 879,772 | ||||||
Pure Industrial Real Estate Trust | 4,000 | 13,452 | ||||||
Rexford Industrial Realty, Inc. | 1,150 | 19,377 | ||||||
Segro PLC | 35,572 | 204,919 | ||||||
STAG Industrial, Inc. | 1,435 | 25,199 | ||||||
Terreno Realty Corp. | 900 | 19,926 | ||||||
Tritax Big Box REIT PLC | 15,777 | 28,767 | ||||||
Warehouses De Pauw CVA | 311 | 26,311 | ||||||
|
| |||||||
1,916,307 | ||||||||
|
| |||||||
Machinery – 1.1% | ||||||||
Alfa Laval AB | 7,811 | 122,414 | ||||||
Alstom SA(b) | 5,736 | 125,308 | ||||||
Amada Holdings Co., Ltd. | 9,000 | 83,437 | ||||||
ANDRITZ AG | 2,075 | 98,938 | ||||||
Atlas Copco AB – Class A | 17,826 | 401,721 | ||||||
Atlas Copco AB – Class B | 10,359 | 217,664 | ||||||
Caterpillar, Inc. | 13,550 | 917,335 | ||||||
CNH Industrial NV | 25,062 | 166,381 | ||||||
Cummins, Inc. | 3,750 | 365,887 | ||||||
Deere & Co.(a) | 6,950 | 557,251 | ||||||
Dover Corp. | 3,500 | 212,730 | ||||||
FANUC Corp. | 5,200 | 763,569 | ||||||
Flowserve Corp. | 3,000 | 126,060 | ||||||
GEA Group AG | 4,855 | 213,631 | ||||||
Hino Motors Ltd. | 7,000 | 70,655 | ||||||
Hitachi Construction Machinery Co., Ltd.(a) | 2,900 | 40,293 | ||||||
Hoshizaki Electric Co., Ltd. | 1,100 | 85,131 | ||||||
IHI Corp. | 36,000 | 64,098 | ||||||
Illinois Tool Works, Inc. | 7,400 | 697,450 |
212 | • AB POOLING PORTFOLIOS |
AB Volatility Management—Portfolio of Investments
Company | Shares | U.S. $ Value | ||||||
| ||||||||
IMI PLC | 7,238 | $ | 85,224 | |||||
Ingersoll-Rand PLC | 5,900 | 327,804 | ||||||
JTEKT Corp. | 5,500 | 75,087 | ||||||
Kawasaki Heavy Industries Ltd. | 37,000 | 100,229 | ||||||
Komatsu Ltd.(a) | 24,500 | 374,478 | ||||||
Kone Oyj – Class B | 8,943 | 395,944 | ||||||
Kubota Corp. | 30,000 | 384,038 | ||||||
Kurita Water Industries Ltd. | 2,900 | 63,189 | ||||||
Makita Corp. | 3,200 | 187,963 | ||||||
MAN SE | 936 | 96,016 | ||||||
Metso Oyj | 2,994 | 66,118 | ||||||
Minebea Co., Ltd.(a) | 8,000 | 58,739 | ||||||
Mitsubishi Heavy Industries Ltd. | 80,000 | 284,631 | ||||||
Nabtesco Corp. | 3,000 | 57,332 | ||||||
NGK Insulators Ltd. | 7,000 | 124,511 | ||||||
NSK Ltd. | 12,000 | 109,503 | ||||||
PACCAR, Inc. | 7,950 | 409,425 | ||||||
Parker-Hannifin Corp. | 3,100 | 313,720 | ||||||
Pentair PLC | 3,984 | 190,077 | ||||||
Sandvik AB | 28,303 | 257,265 | ||||||
Schindler Holding AG | 1,175 | 196,267 | ||||||
Schindler Holding AG (REG) | 565 | 95,971 | ||||||
Sembcorp Marine Ltd.(a) | 22,000 | 23,866 | ||||||
SKF AB – Class B | 10,511 | 173,192 | ||||||
SMC Corp./Japan(a) | 1,500 | 346,866 | ||||||
Snap-on, Inc. | 1,350 | 195,305 | ||||||
Stanley Black & Decker, Inc. | 3,450 | 324,335 | ||||||
Sulzer AG (REG)(a) | 637 | 60,023 | ||||||
Sumitomo Heavy Industries Ltd. | 14,000 | 57,741 | ||||||
THK Co., Ltd. | 3,200 | 54,470 | ||||||
Volvo AB – Class B | 40,835 | 409,042 | ||||||
Wartsila Oyj Abp | 3,927 | 157,879 | ||||||
Weir Group PLC (The) | 5,659 | 74,855 | ||||||
Xylem, Inc./NY | 4,050 | 151,511 | ||||||
Yangzijiang Shipbuilding Holdings Ltd. | 44,600 | 28,684 | ||||||
Zardoya Otis SA | 4,618 | 49,174 | ||||||
|
| |||||||
11,690,427 | ||||||||
|
| |||||||
Marine – 0.0% | ||||||||
AP Moeller – Maersk A/S – Class A | 105 | 134,484 | ||||||
AP Moeller – Maersk A/S – Class B | 184 | 241,813 | ||||||
Mitsui OSK Lines Ltd.(a) | 30,000 | 56,051 | ||||||
Nippon Yusen KK(a) | 42,000 | 77,403 | ||||||
|
| |||||||
509,751 | ||||||||
|
| |||||||
Mixed Office Industrial – 0.0% | ||||||||
Goodman Group | 84,408 | 389,452 | ||||||
Intervest Offices & Warehouses NV(b) | 250 | 6,428 | ||||||
Kungsleden AB | 3,874 | 25,941 | ||||||
|
| |||||||
421,821 | ||||||||
|
|
AB POOLING PORTFOLIOS • | 213 |
AB Volatility Management—Portfolio of Investments
Company | Shares | U.S. $ Value | ||||||
| ||||||||
Professional Services – 0.3% | ||||||||
Adecco SA (REG)(b) | 4,400 | $ | 254,837 | |||||
Bureau Veritas SA | 7,055 | 140,544 | ||||||
Capita PLC | 17,756 | 246,215 | ||||||
Dun & Bradstreet Corp. (The) | 850 | 81,422 | ||||||
Equifax, Inc. | 2,700 | 283,176 | ||||||
Experian PLC | 25,828 | 422,702 | ||||||
Intertek Group PLC | 4,284 | 173,146 | ||||||
Nielsen Holdings PLC | 8,238 | 414,701 | ||||||
Randstad Holding NV | 3,402 | 175,418 | ||||||
Recruit Holdings Co., Ltd. | 3,821 | 113,494 | ||||||
Robert Half International, Inc. | 3,000 | 118,170 | ||||||
SEEK Ltd. | 8,583 | 94,742 | ||||||
SGS SA (REG) | 146 | 293,710 | ||||||
Verisk Analytics, Inc. – Class A(b) | 3,490 | 254,212 | ||||||
|
| |||||||
3,066,489 | ||||||||
|
| |||||||
Road & Rail – 0.6% | ||||||||
Asciano Ltd. | 25,946 | 163,942 | ||||||
Aurizon Holdings Ltd. | 55,491 | 160,734 | ||||||
Central Japan Railway Co. | 3,828 | 684,893 | ||||||
ComfortDelGro Corp., Ltd. | 57,000 | 121,904 | ||||||
CSX Corp. | 22,050 | 532,287 | ||||||
DSV A/S | 5,110 | 208,963 | ||||||
Hankyu Hanshin Holdings, Inc. | 30,000 | 192,018 | ||||||
JB Hunt Transport Services, Inc. | 2,082 | 158,836 | ||||||
Kansas City Southern | 2,500 | 204,275 | ||||||
Keikyu Corp. | 12,000 | 106,372 | ||||||
Keio Corp.(a) | 15,000 | 137,762 | ||||||
Keisei Electric Railway Co., Ltd. | 7,000 | 96,198 | ||||||
Kintetsu Group Holdings Co., Ltd. | 48,000 | 205,766 | ||||||
MTR Corp., Ltd. | 38,500 | 177,484 | ||||||
Nagoya Railroad Co., Ltd. | 23,000 | 110,045 | ||||||
Nippon Express Co., Ltd. | 22,000 | 97,471 | ||||||
Norfolk Southern Corp. | 6,750 | 493,897 | ||||||
Odakyu Electric Railway Co., Ltd. | 16,000 | 184,188 | ||||||
Ryder System, Inc. | 1,200 | 68,064 | ||||||
Tobu Railway Co., Ltd. | 27,000 | 140,565 | ||||||
Tokyu Corp. | 29,000 | 242,642 | ||||||
Union Pacific Corp. | 19,450 | 1,533,827 | ||||||
West Japan Railway Co. | 4,372 | 255,773 | ||||||
|
| |||||||
6,277,906 | ||||||||
|
| |||||||
Trading Companies & Distributors – 0.4% | ||||||||
AerCap Holdings NV(b) | 2,358 | 84,251 | ||||||
Ashtead Group PLC | 13,317 | 170,023 | ||||||
Brenntag AG | 4,102 | 197,992 | ||||||
Bunzl PLC | 8,855 | 236,989 |
214 | • AB POOLING PORTFOLIOS |
AB Volatility Management—Portfolio of Investments
Company | Shares | U.S. $ Value | ||||||
| ||||||||
Fastenal Co.(a) | 6,450 | $ | 292,120 | |||||
ITOCHU Corp. | 42,000 | 495,146 | ||||||
Marubeni Corp. | 43,000 | 215,438 | ||||||
Mitsubishi Corp. | 35,900 | 574,527 | ||||||
Mitsui & Co., Ltd. | 45,300 | 522,214 | ||||||
Noble Group Ltd.(a) | 125,000 | 30,617 | ||||||
Rexel SA | 8,134 | 99,580 | ||||||
Sumitomo Corp. | 29,900 | 294,348 | ||||||
Toyota Tsusho Corp. | 5,700 | 115,029 | ||||||
Travis Perkins PLC | 6,701 | 166,079 | ||||||
United Rentals, Inc.(b) | 2,150 | 110,876 | ||||||
Wolseley PLC | 6,918 | 354,771 | ||||||
WW Grainger, Inc.(a) | 1,350 | 292,815 | ||||||
|
| |||||||
4,252,815 | ||||||||
|
| |||||||
Transportation Infrastructure – 0.2% | ||||||||
Abertis Infraestructuras SA | 13,771 | 206,368 | ||||||
Aena SA(b)(e) | 1,796 | 203,386 | ||||||
Aeroports de Paris | 789 | 92,565 | ||||||
Atlantia SpA | 10,961 | 270,603 | ||||||
Auckland International Airport Ltd. | 23,920 | 95,927 | ||||||
Fraport AG Frankfurt Airport Services Worldwide | 1,106 | 63,838 | ||||||
Groupe Eurotunnel SE (REG) | 12,410 | 124,539 | ||||||
Hutchison Port Holdings Trust – Class U | 143,000 | 67,195 | ||||||
Japan Airport Terminal Co., Ltd.(a) | 1,200 | 42,173 | ||||||
Kamigumi Co., Ltd.(a) | 6,000 | 56,197 | ||||||
Mitsubishi Logistics Corp. | 3,000 | 38,755 | ||||||
Sydney Airport | 28,887 | 132,690 | ||||||
Transurban Group | 53,757 | 434,613 | ||||||
|
| |||||||
1,828,849 | ||||||||
|
| |||||||
79,905,573 | ||||||||
|
| |||||||
Consumer Staples – 7.4% | ||||||||
Beverages – 1.6% | ||||||||
Anheuser-Busch InBev SA/NV | 21,346 | 2,388,119 | ||||||
Asahi Group Holdings Ltd. | 10,300 | 302,687 | ||||||
Brown-Forman Corp. – Class B | 2,400 | 236,328 | ||||||
Carlsberg A/S – Class B | 2,893 | 249,479 | ||||||
Coca-Cola Amatil Ltd. | 14,486 | 87,729 | ||||||
Coca-Cola Co. (The) | 87,900 | 3,791,127 | ||||||
Coca-Cola Enterprises, Inc. | 4,700 | 227,997 | ||||||
Coca-Cola HBC AG(b) | 5,318 | 101,114 | ||||||
Constellation Brands, Inc. – Class A | 3,850 | 544,506 | ||||||
Diageo PLC | 66,747 | 1,715,422 | ||||||
Dr Pepper Snapple Group, Inc. | 4,250 | 389,003 | ||||||
Heineken Holding NV | 2,676 | 193,809 | ||||||
Heineken NV | 6,116 | 490,828 | ||||||
Kirin Holdings Co., Ltd. | 22,000 | 289,803 |
AB POOLING PORTFOLIOS • | 215 |
AB Volatility Management—Portfolio of Investments
Company | Shares | U.S. $ Value | ||||||
| ||||||||
Molson Coors Brewing Co. – Class B | 3,550 | $ | 302,709 | |||||
Monster Beverage Corp.(b) | 3,460 | 434,230 | ||||||
PepsiCo, Inc. | 33,050 | 3,232,951 | ||||||
Pernod Ricard SA | 5,634 | 599,311 | ||||||
Remy Cointreau SA | 644 | 44,446 | ||||||
SABMiller PLC (London) | 25,789 | 1,492,526 | ||||||
Suntory Beverage & Food Ltd.(a) | 3,691 | 156,383 | ||||||
Treasury Wine Estates Ltd. | 19,471 | 133,661 | ||||||
|
| |||||||
17,404,168 | ||||||||
|
| |||||||
Food & Staples Retailing – 1.4% | ||||||||
Aeon Co., Ltd.(a) | 17,400 | 228,178 | ||||||
Carrefour SA | 14,663 | 387,858 | ||||||
Casino Guichard Perrachon SA(a) | 1,502 | 67,623 | ||||||
Colruyt SA | 1,860 | 99,712 | ||||||
Costco Wholesale Corp. | 9,850 | 1,477,795 | ||||||
CVS Health Corp. | 25,000 | 2,429,250 | ||||||
Delhaize Group | 2,776 | 280,725 | ||||||
Distribuidora Internacional de Alimentacion SA(a)(b) | 15,661 | 78,493 | ||||||
FamilyMart Co., Ltd. | 1,600 | 76,833 | ||||||
ICA Gruppen AB | 2,048 | 60,916 | ||||||
J Sainsbury PLC(a) | 35,651 | 125,482 | ||||||
Jeronimo Martins SGPS SA | 6,682 | 94,314 | ||||||
Koninklijke Ahold NV | 22,148 | 484,983 | ||||||
Kroger Co. (The) | 21,800 | 870,038 | ||||||
Lawson, Inc.(a) | 1,800 | 138,788 | ||||||
METRO AG | 4,732 | 115,800 | ||||||
Seven & i Holdings Co., Ltd. | 20,000 | 797,423 | ||||||
Sysco Corp. | 12,350 | 545,005 | ||||||
Tesco PLC(b) | 214,101 | 534,399 | ||||||
Wal-Mart Stores, Inc. | 35,450 | 2,351,753 | ||||||
Walgreens Boots Alliance, Inc. | 19,650 | 1,551,171 | ||||||
Wesfarmers Ltd. | 29,797 | 829,241 | ||||||
Whole Foods Market, Inc. | 7,950 | 248,914 | ||||||
Wm Morrison Supermarkets PLC(a) | 56,814 | 156,443 | ||||||
Woolworths Ltd.(a) | 33,602 | 547,569 | ||||||
|
| |||||||
14,578,706 | ||||||||
|
| |||||||
Food Products – 1.6% | ||||||||
Ajinomoto Co., Inc. | 15,000 | 367,570 | ||||||
Archer-Daniels-Midland Co. | 13,600 | 475,456 | ||||||
Aryzta AG(a)(b) | 2,316 | 110,077 | ||||||
Associated British Foods PLC | 9,457 | 445,486 | ||||||
Barry Callebaut AG (REG)(b) | 59 | 61,845 | ||||||
Calbee, Inc. | 1,933 | 78,241 | ||||||
Campbell Soup Co. | 4,000 | 247,000 | ||||||
Chocoladefabriken Lindt & Spruengli AG(a) | 26 | 148,504 | ||||||
Chocoladefabriken Lindt & Spruengli AG (REG) | 3 | 206,184 |
216 | • AB POOLING PORTFOLIOS |
AB Volatility Management—Portfolio of Investments
Company | Shares | U.S. $ Value | ||||||
| ||||||||
ConAgra Foods, Inc. | 9,700 | $ | 407,982 | |||||
Danone SA | 15,647 | 1,088,217 | ||||||
General Mills, Inc. | 13,400 | 788,590 | ||||||
Golden Agri-Resources Ltd. | 187,000 | 49,207 | ||||||
Hershey Co. (The) | 3,250 | 295,392 | ||||||
Hormel Foods Corp. | 6,000 | 255,060 | ||||||
JM Smucker Co. (The) | 2,750 | 350,817 | ||||||
Kellogg Co. | 5,700 | 421,914 | ||||||
Kerry Group PLC – Class A | 4,202 | 366,500 | ||||||
Keurig Green Mountain, Inc. | 2,694 | 247,686 | ||||||
Kikkoman Corp. | 4,000 | 131,620 | ||||||
Kraft Heinz Co. (The) | 13,300 | 1,024,366 | ||||||
McCormick & Co., Inc./MD | 2,650 | 247,139 | ||||||
Mead Johnson Nutrition Co. – Class A | 4,600 | 339,296 | ||||||
MEIJI Holdings Co., Ltd. | 3,300 | 264,747 | ||||||
Mondelez International, Inc. – Class A | 36,150 | 1,465,159 | ||||||
Nestle SA (REG) | 84,635 | 5,918,606 | ||||||
NH Foods Ltd.(a) | 5,000 | 105,202 | ||||||
Nisshin Seifun Group, Inc.(a) | 5,500 | 89,880 | ||||||
Nissin Foods Holdings Co., Ltd.(a) | 1,800 | 82,616 | ||||||
Orkla ASA | 21,684 | 178,875 | ||||||
Tate & Lyle PLC | 12,363 | 100,457 | ||||||
Toyo Suisan Kaisha Ltd. | 3,000 | 107,482 | ||||||
Tyson Foods, Inc. – Class A | 6,750 | 437,062 | ||||||
WH Group Ltd.(b)(e) | 146,200 | 85,076 | ||||||
Wilmar International Ltd.(a) | 50,000 | 110,532 | ||||||
Yakult Honsha Co., Ltd. | 2,400 | 114,566 | ||||||
Yamazaki Baking Co., Ltd. | 3,000 | 56,806 | ||||||
|
| |||||||
17,271,215 | ||||||||
|
| |||||||
Household Products – 1.0% | ||||||||
Church & Dwight Co., Inc. | 2,984 | 270,828 | ||||||
Clorox Co. (The) | 2,950 | 372,939 | ||||||
Colgate-Palmolive Co. | 20,200 | 1,325,928 | ||||||
Henkel AG & Co. KGaA | 2,765 | 244,095 | ||||||
Henkel AG & Co. KGaA (Preference Shares) | 4,728 | 475,118 | ||||||
Kimberly-Clark Corp. | 8,200 | 1,068,460 | ||||||
Procter & Gamble Co. (The) | 60,900 | 4,889,661 | ||||||
Reckitt Benckiser Group PLC | 16,985 | 1,547,159 | ||||||
Svenska Cellulosa AB SCA – Class B | 15,764 | 469,978 | ||||||
Unicharm Corp. | 9,900 | 215,232 | ||||||
|
| |||||||
10,879,398 | ||||||||
|
| |||||||
Personal Products – 0.6% | ||||||||
Beiersdorf AG | 2,676 | 231,939 | ||||||
Estee Lauder Cos., Inc. (The) – Class A | 5,050 | 461,217 | ||||||
Kao Corp. | 13,400 | 676,061 | ||||||
Kose Corp.(a) | 809 | 69,552 |
AB POOLING PORTFOLIOS • | 217 |
AB Volatility Management—Portfolio of Investments
Company | Shares | U.S. $ Value | ||||||
| ||||||||
L’Oreal SA | 6,686 | $ | 1,125,321 | |||||
Shiseido Co., Ltd. | 9,600 | 208,723 | ||||||
Unilever NV | 43,334 | 1,868,901 | ||||||
Unilever PLC | 34,142 | 1,458,633 | ||||||
|
| |||||||
6,100,347 | ||||||||
|
| |||||||
Tobacco – 1.2% | ||||||||
Altria Group, Inc. | 44,050 | 2,712,159 | ||||||
British American Tobacco PLC | 49,485 | 2,692,193 | ||||||
Imperial Brands PLC | 25,460 | 1,314,139 | ||||||
Japan Tobacco, Inc. | 29,199 | 1,161,096 | ||||||
Philip Morris International, Inc. | 34,800 | 3,167,844 | ||||||
Reynolds American, Inc. | 18,538 | 934,871 | ||||||
Swedish Match AB | 5,216 | 167,893 | ||||||
|
| |||||||
12,150,195 | ||||||||
|
| |||||||
78,384,029 | ||||||||
|
| |||||||
Energy – 3.7% | ||||||||
Energy Equipment & Services – 0.4% | ||||||||
Baker Hughes, Inc. | 9,750 | 417,982 | ||||||
Cameron International Corp.(b) | 4,250 | 278,630 | ||||||
Diamond Offshore Drilling, Inc.(a) | 1,350 | 27,014 | ||||||
Ensco PLC – Class A(a) | 5,250 | 45,517 | ||||||
FMC Technologies, Inc.(b) | 5,100 | 125,103 | ||||||
Halliburton Co. | 19,150 | 618,162 | ||||||
Helmerich & Payne, Inc.(a) | 2,350 | 124,479 | ||||||
National Oilwell Varco, Inc.(a) | 8,600 | 251,722 | ||||||
Petrofac Ltd. | 6,887 | 86,184 | ||||||
Saipem SpA(a)(b) | 7,029 | 2,889 | ||||||
Schlumberger Ltd. | 28,450 | 2,040,434 | ||||||
Technip SA | 2,791 | 138,277 | ||||||
Tenaris SA(a) | 12,535 | 136,026 | ||||||
Transocean Ltd.(a) | 7,665 | 66,302 | ||||||
Transocean Ltd. (Zurich)(a) | 9,584 | 82,722 | ||||||
|
| |||||||
4,441,443 | ||||||||
|
| |||||||
Oil, Gas & Consumable Fuels – 3.3% | ||||||||
Anadarko Petroleum Corp. | 11,450 | 434,527 | ||||||
Apache Corp. | 8,500 | 325,380 | ||||||
BP PLC | 485,288 | 2,355,197 | ||||||
Cabot Oil & Gas Corp. | 9,250 | 186,202 | ||||||
California Resources Corp. | 1,606 | 902 | ||||||
Caltex Australia Ltd. | 7,183 | 186,570 | ||||||
Chesapeake Energy Corp.(a) | 11,550 | 30,146 | ||||||
Chevron Corp. | 42,250 | 3,525,340 | ||||||
Cimarex Energy Co. | 2,133 | 179,236 | ||||||
Columbia Pipeline Group, Inc. | 7,100 | 128,865 | ||||||
Concho Resources, Inc.(b) | 2,947 | 265,937 | ||||||
ConocoPhillips | 27,700 | 937,091 |
218 | • AB POOLING PORTFOLIOS |
AB Volatility Management—Portfolio of Investments
Company | Shares | U.S. $ Value | ||||||
| ||||||||
CONSOL Energy, Inc.(a) | 5,050 | $ | 43,581 | |||||
Delek Group Ltd. | 125 | 20,036 | ||||||
Devon Energy Corp. | 8,650 | 170,232 | ||||||
Eni SpA | 67,672 | 946,408 | ||||||
EOG Resources, Inc. | 12,350 | 799,539 | ||||||
EQT Corp. | 3,400 | 189,516 | ||||||
Exxon Mobil Corp. | 93,703 | 7,510,295 | ||||||
Galp Energia SGPS SA | 10,235 | 112,254 | ||||||
Hess Corp. | 5,400 | 235,440 | ||||||
Idemitsu Kosan Co., Ltd.(a) | 2,300 | 34,816 | ||||||
Inpex Corp. | 25,231 | 181,900 | ||||||
JX Holdings, Inc. | 59,000 | 229,176 | ||||||
Kinder Morgan, Inc./DE | 40,313 | 729,262 | ||||||
Koninklijke Vopak NV | 1,867 | 84,981 | ||||||
Lundin Petroleum AB(a)(b) | 5,907 | 91,801 | ||||||
Marathon Oil Corp. | 15,200 | 124,792 | ||||||
Marathon Petroleum Corp. | 12,000 | 411,000 | ||||||
Murphy Oil Corp.(a) | 3,600 | 61,848 | ||||||
Neste Oyj | 3,403 | 106,534 | ||||||
Newfield Exploration Co.(b) | 3,600 | 98,028 | ||||||
Noble Energy, Inc. | 9,550 | 281,725 | ||||||
Occidental Petroleum Corp. | 17,150 | 1,180,263 | ||||||
Oil Search Ltd. | 36,377 | 172,047 | ||||||
OMV AG | 3,910 | 102,604 | ||||||
ONEOK, Inc. | 4,700 | 112,800 | ||||||
Origin Energy Ltd. | 45,936 | 144,315 | ||||||
Phillips 66 | 10,800 | 857,412 | ||||||
Pioneer Natural Resources Co. | 3,350 | 403,775 | ||||||
Range Resources Corp.(a) | 3,800 | 90,174 | ||||||
Repsol SA | 27,879 | 286,872 | ||||||
Royal Dutch Shell PLC – Class A | 104,002 | 2,369,191 | ||||||
Royal Dutch Shell PLC – Class B | 105,374 | 2,392,571 | ||||||
Santos Ltd. | 58,939 | 137,784 | ||||||
Showa Shell Sekiyu KK | 5,000 | 39,092 | ||||||
Southwestern Energy Co.(a)(b) | 8,550 | 49,419 | ||||||
Spectra Energy Corp. | 15,050 | 439,460 | ||||||
Statoil ASA | 29,626 | 431,273 | ||||||
Tesoro Corp. | 2,800 | 225,904 | ||||||
TonenGeneral Sekiyu KK | 7,000 | 53,128 | ||||||
TOTAL SA | 57,680 | 2,585,244 | ||||||
Valero Energy Corp. | 11,150 | 669,892 | ||||||
Williams Cos., Inc. (The) | 15,250 | 243,847 | ||||||
Woodside Petroleum Ltd. | 19,796 | 355,727 | ||||||
|
| |||||||
34,361,351 | ||||||||
|
| |||||||
38,802,794 | ||||||||
|
|
AB POOLING PORTFOLIOS • | 219 |
AB Volatility Management—Portfolio of Investments
Company | Shares | U.S. $ Value | ||||||
| ||||||||
Materials – 2.8% | ||||||||
Chemicals – 1.7% | ||||||||
Air Liquide SA | 9,132 | $ | 950,679 | |||||
Air Products & Chemicals, Inc. | 4,350 | 576,245 | ||||||
Air Water, Inc. | 4,000 | 56,636 | ||||||
Airgas, Inc. | 1,550 | 219,356 | ||||||
Akzo Nobel NV | 6,601 | 387,583 | ||||||
Arkema SA | 1,794 | 109,529 | ||||||
Asahi Kasei Corp. | 33,000 | 186,744 | ||||||
BASF SE | 24,433 | 1,584,186 | ||||||
CF Industries Holdings, Inc. | 5,200 | 189,592 | ||||||
Chr Hansen Holding A/S | 2,625 | 161,993 | ||||||
Croda International PLC | 3,605 | 148,305 | ||||||
Daicel Corp. | 8,000 | 102,079 | ||||||
Dow Chemical Co. (The) | 26,000 | 1,263,860 | ||||||
Eastman Chemical Co. | 3,300 | 211,695 | ||||||
Ecolab, Inc. | 6,000 | 615,300 | ||||||
EI du Pont de Nemours & Co. | 20,300 | 1,235,661 | ||||||
EMS-Chemie Holding AG (REG) | 218 | 101,088 | ||||||
Evonik Industries AG | 3,711 | 111,485 | ||||||
FMC Corp. | 3,000 | 112,920 | ||||||
FUCHS PETROLUB SE (Preference Shares) | 1,884 | 76,997 | ||||||
Givaudan SA (REG) | 246 | 459,361 | ||||||
Hitachi Chemical Co., Ltd.(a) | 2,800 | 45,567 | ||||||
Incitec Pivot Ltd. | 43,665 | 90,373 | ||||||
International Flavors & Fragrances, Inc. | 1,850 | 191,087 | ||||||
Israel Chemicals Ltd. | 13,528 | 52,030 | ||||||
Johnson Matthey PLC | 5,137 | 181,392 | ||||||
JSR Corp. | 5,100 | 71,493 | ||||||
K&S AG (REG) | 5,092 | 106,439 | ||||||
Kaneka Corp. | 7,000 | 52,422 | ||||||
Kansai Paint Co., Ltd. | 6,000 | 82,338 | ||||||
Koninklijke DSM NV | 4,827 | 237,454 | ||||||
Kuraray Co., Ltd. | 9,500 | 103,878 | ||||||
LANXESS AG | 2,430 | 100,580 | ||||||
Linde AG | 4,955 | 686,006 | ||||||
LyondellBasell Industries NV – Class A | 8,340 | 668,951 | ||||||
Mitsubishi Chemical Holdings Corp. | 35,500 | 179,124 | ||||||
Mitsubishi Gas Chemical Co., Inc. | 10,000 | 46,666 | ||||||
Mitsui Chemicals, Inc. | 21,000 | 68,615 | ||||||
Monsanto Co. | 9,850 | 886,401 | ||||||
Mosaic Co. (The) | 7,500 | 199,875 | ||||||
Nippon Paint Holdings Co., Ltd.(a) | 4,000 | 80,068 | ||||||
Nitto Denko Corp. | 4,400 | 233,065 | ||||||
Novozymes A/S – Class B(a) | 6,194 | 265,540 | ||||||
OCI NV(b) | 2,238 | 40,615 | ||||||
Orica Ltd.(a) | 9,846 | 99,869 |
220 | • AB POOLING PORTFOLIOS |
AB Volatility Management—Portfolio of Investments
Company | Shares | U.S. $ Value | ||||||
| ||||||||
PPG Industries, Inc. | 6,100 | $ | 588,833 | |||||
Praxair, Inc. | 6,450 | 656,545 | ||||||
Sherwin-Williams Co. (The) | 1,800 | 486,900 | ||||||
Shin-Etsu Chemical Co., Ltd. | 10,900 | 547,306 | ||||||
Sika AG | 58 | 220,250 | ||||||
Solvay SA | 1,610 | 148,701 | ||||||
Sumitomo Chemical Co., Ltd.(a) | 39,000 | 170,776 | ||||||
Symrise AG | 3,266 | 208,257 | ||||||
Syngenta AG (REG) | 2,473 | 990,387 | ||||||
Taiyo Nippon Sanso Corp.(a) | 4,000 | 36,376 | ||||||
Teijin Ltd. | 24,000 | 77,318 | ||||||
Toray Industries, Inc. | 39,000 | 311,594 | ||||||
Umicore SA | 2,533 | 114,277 | ||||||
Yara International ASA | 4,806 | 186,241 | ||||||
|
| |||||||
18,374,903 | ||||||||
|
| |||||||
Construction Materials – 0.2% | ||||||||
Boral Ltd. | 19,487 | 80,981 | ||||||
CRH PLC | 21,850 | 560,464 | ||||||
Fletcher Building Ltd. | 17,504 | 82,235 | ||||||
HeidelbergCement AG | 3,740 | 273,592 | ||||||
Imerys SA | 985 | 59,596 | ||||||
James Hardie Industries PLC | 11,774 | 149,677 | ||||||
LafargeHolcim Ltd. (REG)(b) | 11,266 | 443,262 | ||||||
Martin Marietta Materials, Inc. | 1,498 | 213,645 | ||||||
Taiheiyo Cement Corp. | 31,000 | 65,879 | ||||||
Vulcan Materials Co. | 3,000 | 295,590 | ||||||
|
| |||||||
2,224,921 | ||||||||
|
| |||||||
Containers & Packaging – 0.1% | ||||||||
Amcor Ltd./Australia | 31,314 | 312,236 | ||||||
Avery Dennison Corp. | 2,050 | 133,496 | ||||||
Ball Corp. | 3,050 | 202,001 | ||||||
International Paper Co. | 9,350 | 333,795 | ||||||
Owens-Illinois, Inc.(b) | 3,550 | 53,108 | ||||||
Rexam PLC | 18,752 | 158,779 | ||||||
Sealed Air Corp. | 4,600 | 210,358 | ||||||
Toyo Seikan Group Holdings Ltd.(a) | 4,300 | 73,084 | ||||||
WestRock Co. | 5,810 | 196,204 | ||||||
|
| |||||||
1,673,061 | ||||||||
|
| |||||||
Metals & Mining – 0.7% | ||||||||
Alcoa, Inc.(a) | 29,400 | 262,542 | ||||||
Alumina Ltd.(a) | 63,695 | 60,977 | ||||||
Anglo American PLC(a) | 37,012 | 245,589 | ||||||
Antofagasta PLC(a) | 10,468 | 71,461 | ||||||
ArcelorMittal (Euronext Amsterdam)(a) | 25,503 | 98,939 | ||||||
BHP Billiton Ltd. | 85,338 | 962,226 | ||||||
BHP Billiton PLC | 55,874 | 562,009 | ||||||
Boliden AB | 7,260 | 108,734 |
AB POOLING PORTFOLIOS • | 221 |
AB Volatility Management—Portfolio of Investments
Company | Shares | U.S. $ Value | ||||||
| ||||||||
Fortescue Metals Group Ltd.(a) | 39,187 | $ | 56,873 | |||||
Freeport-McMoRan, Inc.(a) | 25,450 | 194,184 | ||||||
Fresnillo PLC | 5,868 | 81,358 | ||||||
Glencore PLC(b) | 324,787 | 596,226 | ||||||
Hitachi Metals Ltd. | 6,000 | 63,839 | ||||||
Iluka Resources Ltd. | 9,957 | 47,635 | ||||||
JFE Holdings, Inc. | 13,100 | 156,775 | ||||||
Kobe Steel Ltd. | 82,000 | 63,076 | ||||||
Maruichi Steel Tube Ltd. | 1,300 | 35,359 | ||||||
Mitsubishi Materials Corp. | 29,000 | 81,635 | ||||||
Newcrest Mining Ltd.(b) | 20,390 | 255,981 | ||||||
Newmont Mining Corp. | 11,850 | 306,085 | ||||||
Nippon Steel & Sumitomo Metal Corp. | 20,200 | 348,597 | ||||||
Norsk Hydro ASA | 34,867 | 138,437 | ||||||
Nucor Corp. | 7,150 | 281,281 | ||||||
Randgold Resources Ltd. | 2,470 | 224,373 | ||||||
Rio Tinto Ltd. | 11,260 | 323,069 | ||||||
Rio Tinto PLC | 33,275 | 875,227 | ||||||
South32 Ltd.(b) | 140,846 | 125,327 | ||||||
Sumitomo Metal Mining Co., Ltd. | 13,000 | 139,711 | ||||||
ThyssenKrupp AG | 9,786 | 165,330 | ||||||
voestalpine AG | 3,131 | 90,388 | ||||||
|
| |||||||
7,023,243 | ||||||||
|
| |||||||
Paper & Forest Products – 0.1% | ||||||||
Mondi PLC | 9,769 | 174,292 | ||||||
Oji Holdings Corp. | 21,000 | 79,350 | ||||||
Stora Enso Oyj – Class R | 14,610 | 120,289 | ||||||
UPM-Kymmene Oyj | 14,324 | 242,300 | ||||||
|
| |||||||
616,231 | ||||||||
|
| |||||||
29,912,359 | ||||||||
|
| |||||||
Telecommunication Services – 2.5% | ||||||||
Diversified Telecommunication Services – 1.9% | ||||||||
AT&T, Inc. | 138,192 | 5,106,194 | ||||||
Bezeq The Israeli Telecommunication Corp., Ltd. | 51,093 | 114,544 | ||||||
BT Group PLC | 221,959 | 1,494,707 | ||||||
CenturyLink, Inc. | 12,600 | 385,434 | ||||||
Deutsche Telekom AG (REG) | 85,597 | 1,431,781 | ||||||
Elisa Oyj | 3,776 | 134,549 | ||||||
Frontier Communications Corp.(a) | 26,240 | 141,958 | ||||||
HKT Trust & HKT Ltd. – Class SS | 68,200 | 94,522 | ||||||
Iliad SA | 714 | 174,906 | ||||||
Inmarsat PLC | 11,926 | 161,719 | ||||||
Koninklijke KPN NV | 83,880 | 309,102 | ||||||
Level 3 Communications, Inc.(b) | 6,389 | 310,186 | ||||||
Nippon Telegraph & Telephone Corp. | 19,900 | 842,712 |
222 | • AB POOLING PORTFOLIOS |
AB Volatility Management—Portfolio of Investments
Company | Shares | U.S. $ Value | ||||||
| ||||||||
Orange SA | 52,735 | $ | 913,393 | |||||
PCCW Ltd. | 110,000 | 69,574 | ||||||
Proximus SADP | 4,038 | 127,065 | ||||||
Singapore Telecommunications Ltd. | 211,000 | 553,114 | ||||||
Spark New Zealand Ltd. | 46,441 | 104,863 | ||||||
Swisscom AG (REG) | 689 | 335,728 | ||||||
TDC A/S | 20,937 | 88,832 | ||||||
Telecom Italia SpA (ordinary shares)(b) | 304,597 | 295,976 | ||||||
Telecom Italia SpA (savings shares) | 155,918 | 120,268 | ||||||
Telefonica Deutschland Holding AG | 15,739 | 76,058 | ||||||
Telefonica SA | 119,628 | 1,192,831 | ||||||
Telenor ASA | 20,084 | 299,832 | ||||||
TeliaSonera AB | 68,102 | 312,720 | ||||||
Telstra Corp., Ltd. | 113,543 | 424,435 | ||||||
TPG Telecom Ltd. | 7,390 | 55,222 | ||||||
Verizon Communications, Inc. | 91,270 | 4,630,127 | ||||||
Vocus Communications Ltd.(a) | 12,047 | 70,352 | ||||||
|
| |||||||
20,372,704 | ||||||||
|
| |||||||
Wireless Telecommunication Services – 0.6% | ||||||||
KDDI Corp.(a) | 46,429 | 1,186,167 | ||||||
Millicom International Cellular SA | 1,670 | 79,991 | ||||||
NTT DOCOMO, Inc. | 37,959 | 883,560 | ||||||
SoftBank Group Corp. | 25,500 | 1,253,090 | ||||||
StarHub Ltd. | 16,000 | 38,788 | ||||||
Tele2 AB – Class B | 8,468 | 69,930 | ||||||
Vodafone Group PLC | 703,743 | 2,134,381 | ||||||
|
| |||||||
5,645,907 | ||||||||
|
| |||||||
26,018,611 | ||||||||
|
| |||||||
Utilities – 2.3% | ||||||||
Electric Utilities – 1.2% | ||||||||
American Electric Power Co., Inc. | 10,950 | 676,162 | ||||||
AusNet Services | 44,949 | 46,899 | ||||||
Cheung Kong Infrastructure Holdings Ltd. | 16,000 | 163,379 | ||||||
Chubu Electric Power Co., Inc. | 17,100 | 225,421 | ||||||
Chugoku Electric Power Co., Inc. (The) | 7,900 | 105,594 | ||||||
CLP Holdings Ltd. | 50,000 | 435,552 | ||||||
Contact Energy Ltd. | 19,541 | 57,603 | ||||||
Duke Energy Corp. | 15,408 | 1,144,506 | ||||||
Edison International | 7,250 | 494,160 | ||||||
EDP – Energias de Portugal SA | 60,094 | 186,110 | ||||||
Electricite de France SA | 6,419 | 67,627 | ||||||
Endesa SA | 8,422 | 151,799 | ||||||
Enel SpA | 186,472 | 745,224 | ||||||
Entergy Corp. | 4,050 | 292,451 | ||||||
Eversource Energy | 7,100 | 385,530 | ||||||
Exelon Corp. | 19,332 | 608,765 |
AB POOLING PORTFOLIOS • | 223 |
AB Volatility Management—Portfolio of Investments
Company | Shares | U.S. $ Value | ||||||
| ||||||||
FirstEnergy Corp. | 9,450 | $ | 316,292 | |||||
Fortum Oyj | 11,791 | 156,231 | ||||||
HK Electric Investments & HK Electric Investments Ltd.(a)(e) | 70,300 | 58,658 | ||||||
Hokuriku Electric Power Co. | 4,500 | 67,080 | ||||||
Iberdrola SA | 142,978 | 921,094 | ||||||
Kansai Electric Power Co., Inc. (The)(b) | 18,700 | 205,465 | ||||||
Kyushu Electric Power Co., Inc.(a)(b) | 11,300 | 113,627 | ||||||
Mighty River Power Ltd. | 18,520 | 32,184 | ||||||
NextEra Energy, Inc. | 10,300 | 1,162,046 | ||||||
Pepco Holdings, Inc. | 5,650 | 147,917 | ||||||
Pinnacle West Capital Corp. | 2,500 | 172,075 | ||||||
Power Assets Holdings Ltd. | 36,500 | 345,455 | ||||||
PPL Corp. | 15,050 | 526,600 | ||||||
Red Electrica Corp. SA | 2,873 | 227,205 | ||||||
Shikoku Electric Power Co., Inc.(a) | 4,700 | 67,477 | ||||||
Southern Co. (The) | 20,350 | 980,463 | ||||||
SSE PLC | 26,502 | 507,615 | ||||||
Terna Rete Elettrica Nazionale SpA | 39,087 | 203,379 | ||||||
Tohoku Electric Power Co., Inc. | 12,000 | 153,381 | ||||||
Tokyo Electric Power Co., Inc.(b) | 38,300 | 194,005 | ||||||
Xcel Energy, Inc. | 11,300 | 446,802 | ||||||
|
| |||||||
12,791,833 | ||||||||
|
| |||||||
Gas Utilities – 0.2% | ||||||||
AGL Resources, Inc. | 2,700 | 174,555 | ||||||
APA Group | 28,866 | 178,950 | ||||||
Enagas SA | 5,716 | 160,448 | ||||||
Gas Natural SDG SA | 9,297 | 161,900 | ||||||
Hong Kong & China Gas Co., Ltd. | 183,898 | 323,192 | ||||||
Osaka Gas Co., Ltd. | 49,000 | 186,743 | ||||||
Snam SpA | 54,890 | 295,803 | ||||||
Toho Gas Co., Ltd.(a) | 10,000 | 69,707 | ||||||
Tokyo Gas Co., Ltd. | 60,000 | 276,944 | ||||||
|
| |||||||
1,828,242 | ||||||||
|
| |||||||
Independent Power and Renewable Electricity Producers – 0.1% | ||||||||
AES Corp./VA | 15,300 | 149,940 | ||||||
Electric Power Development Co., Ltd. | 3,900 | 120,400 | ||||||
Enel Green Power SpA | 44,329 | 85,871 | ||||||
Meridian Energy Ltd. | 33,214 | 54,130 | ||||||
NRG Energy, Inc. | 7,350 | 79,233 | ||||||
|
| |||||||
489,574 | ||||||||
|
| |||||||
Multi-Utilities – 0.8% | ||||||||
AGL Energy Ltd. | 17,909 | 233,745 | ||||||
Ameren Corp. | 5,450 | 255,878 | ||||||
CenterPoint Energy, Inc. | 9,650 | 179,780 | ||||||
Centrica PLC | 134,120 | 385,677 |
224 | • AB POOLING PORTFOLIOS |
AB Volatility Management—Portfolio of Investments
Company | Shares | U.S. $ Value | ||||||
| ||||||||
CMS Energy Corp. | 6,150 | $ | 243,294 | |||||
Consolidated Edison, Inc. | 6,550 | 458,565 | ||||||
Dominion Resources, Inc./VA | 13,300 | 929,936 | ||||||
DTE Energy Co. | 4,050 | 340,686 | ||||||
DUET Group | 61,615 | 99,724 | ||||||
E.ON SE | 53,230 | 480,947 | ||||||
Engie SA | 38,869 | 601,552 | ||||||
National Grid PLC | 99,421 | 1,327,846 | ||||||
NiSource, Inc. | 7,100 | 152,508 | ||||||
PG&E Corp. | 10,950 | 621,193 | ||||||
Public Service Enterprise Group, Inc. | 11,300 | 482,058 | ||||||
RWE AG | 12,991 | 147,209 | ||||||
SCANA Corp. | 3,150 | 204,813 | ||||||
Sempra Energy | 5,300 | 511,503 | ||||||
Suez Environnement Co. | 7,861 | 135,790 | ||||||
TECO Energy, Inc. | 5,200 | 142,844 | ||||||
United Utilities Group PLC | 18,101 | 232,102 | ||||||
Veolia Environnement SA | 11,967 | 270,246 | ||||||
WEC Energy Group, Inc. | 7,095 | 399,803 | ||||||
|
| |||||||
8,837,699 | ||||||||
|
| |||||||
Water Utilities – 0.0% | ||||||||
Severn Trent PLC | 6,343 | 187,612 | ||||||
|
| |||||||
24,134,960 | ||||||||
|
| |||||||
Equity: Other – 1.5% | ||||||||
Diversified/Specialty – 1.1% | ||||||||
Activia Properties, Inc. | 11 | 59,085 | ||||||
Aedifica SA | 277 | 18,053 | ||||||
Affine SA | 100 | 1,600 | ||||||
Alexander’s, Inc. | 55 | 21,166 | ||||||
Alexandria Real Estate Equities, Inc. | 1,560 | 123,490 | ||||||
American Assets Trust, Inc. | 800 | 29,672 | ||||||
American Homes 4 Rent – Class A | 3,165 | 44,310 | ||||||
ANF Immobilier | 122 | 2,648 | ||||||
Artis Real Estate Investment Trust | 2,850 | 26,120 | ||||||
Azrieli Group Ltd. | 1,718 | 62,322 | ||||||
Beni Stabili SpA SIIQ | 22,757 | 14,571 | ||||||
British Land Co. PLC (The) | 47,651 | 434,804 | ||||||
CA Immobilien Anlagen AG(b) | 1,553 | 26,364 | ||||||
Canadian Real Estate Investment Trust | 1,550 | 47,588 | ||||||
CapitaLand Ltd. | 122,450 | 259,330 | ||||||
Champion REIT | 50,400 | 24,360 | ||||||
Cheung Kong Property Holdings Ltd. | 131,854 | 672,406 | ||||||
Cofinimmo SA | 420 | 46,059 | ||||||
Colony Starwood Homes | 1,050 | 23,058 | ||||||
Conwert Immobilien Invest SE(b) | 1,444 | 20,179 | ||||||
Daejan Holdings PLC | 105 | 7,892 | ||||||
Dexus Property Group | 46,307 | 248,147 |
AB POOLING PORTFOLIOS • | 225 |
AB Volatility Management—Portfolio of Investments
Company | Shares | U.S. $ Value | ||||||
| ||||||||
DIC Asset AG | 700 | $ | 5,862 | |||||
Digital Realty Trust, Inc. | 2,910 | 230,094 | ||||||
Dios Fastigheter AB | 989 | 6,706 | ||||||
DuPont Fabros Technology, Inc. | 1,390 | 49,554 | ||||||
East Japan Railway Co. | 8,900 | 779,369 | ||||||
F&C Commercial Property Trust Ltd. | 11,233 | 20,340 | ||||||
Fastighets AB Balder – Class B(b) | 1,950 | 44,985 | ||||||
Fonciere Des Regions | 1,584 | 129,831 | ||||||
Forest City Realty Trust, Inc. – Class A(b) | 5,010 | 93,437 | ||||||
Fukuoka REIT Corp.(a) | 14 | 24,096 | ||||||
Gaming and Leisure Properties, Inc.(a) | 1,850 | 48,452 | ||||||
Gecina SA | 1,803 | 223,022 | ||||||
GPT Group (The) | 85,263 | 298,585 | ||||||
Gramercy Property Trust | 8,912 | 67,286 | ||||||
Granite Real Estate Investment Trust (Toronto) | 1,000 | 28,271 | ||||||
Great Portland Estates PLC | 7,331 | 70,921 | ||||||
Grivalia Properties REIC AE | 806 | 6,655 | ||||||
H&R Real Estate Investment Trust | 5,906 | 81,977 | ||||||
Hamborner REIT AG | 1,250 | 12,737 | ||||||
Hang Lung Properties Ltd. | 105,900 | 185,271 | ||||||
Helical Bar PLC | 2,050 | 10,821 | ||||||
Hemfosa Fastigheter AB | 1,668 | 18,451 | ||||||
Henderson Land Development Co., Ltd. | 51,902 | 280,236 | ||||||
Hispania Activos Inmobiliarios SA(b) | 1,450 | 18,129 | ||||||
Hufvudstaden AB – Class A | 2,380 | 34,664 | ||||||
Hulic Co., Ltd. | 15,448 | 136,988 | ||||||
Hysan Development Co., Ltd. | 29,250 | 116,168 | ||||||
Investors Real Estate Trust | 2,667 | 16,375 | ||||||
Invincible Investment Corp. | 50 | 32,878 | ||||||
Kerry Properties Ltd. | 30,550 | 71,654 | ||||||
Kiwi Property Group Ltd. | 27,031 | 24,297 | ||||||
Klovern AB – Class B | 8,000 | 8,165 | ||||||
Land Securities Group PLC | 37,754 | 527,550 | ||||||
Lar Espana Real Estate Socimi SA(a) | 1,100 | 9,645 | ||||||
Lexington Realty Trust | 5,030 | 38,932 | ||||||
LondonMetric Property PLC | 12,458 | 27,171 | ||||||
Mapletree Commercial Trust | 27,950 | 28,022 | ||||||
Merlin Properties Socimi SA(b) | 6,871 | 71,734 | ||||||
Mitsubishi Estate Co., Ltd. | 59,440 | 1,104,178 | ||||||
Mitsui Fudosan Co., Ltd. | 45,040 | 1,046,611 | ||||||
Mobimo Holding AG(b) | 126 | 27,813 | ||||||
Mori Trust Sogo Reit, Inc. | 22 | 39,339 | ||||||
New World Development Co., Ltd. | 258,200 | 216,720 | ||||||
Nomura Real Estate Holdings, Inc. | 5,830 | 104,352 | ||||||
Nomura Real Estate Master Fund, Inc. | 171 | 237,517 | ||||||
NSI NV | 2,912 | 12,245 | ||||||
Orix JREIT, Inc.(a) | 50 | 76,008 |
226 | • AB POOLING PORTFOLIOS |
AB Volatility Management—Portfolio of Investments
Company | Shares | U.S. $ Value | ||||||
| ||||||||
Premier Investment Corp. | 27 | $ | 33,954 | |||||
QTS Realty Trust, Inc. – Class A | 800 | 35,616 | ||||||
Redefine International PLC/Isle of Man | 21,050 | 12,449 | ||||||
Schroder Real Estate Investment Trust Ltd. | 11,069 | 8,782 | ||||||
Select Income REIT | 1,405 | 28,971 | ||||||
Silver Bay Realty Trust Corp. | 700 | 9,625 | ||||||
Sino Land Co., Ltd. | 144,810 | 201,684 | ||||||
Spirit Realty Capital, Inc. | 8,976 | 95,953 | ||||||
Sponda Oyj | 5,158 | 20,969 | ||||||
St. Modwen Properties PLC | 3,723 | 16,934 | ||||||
STORE Capital Corp. | 1,710 | 41,297 | ||||||
Sumitomo Realty & Development Co., Ltd. | 18,990 | 522,194 | ||||||
Sun Hung Kai Properties Ltd. | 82,150 | 918,807 | ||||||
Suntec Real Estate Investment Trust | 114,500 | 135,897 | ||||||
Swire Properties Ltd. | 54,350 | 140,003 | ||||||
Swiss Prime Site AG(b) | 3,107 | 259,156 | ||||||
TLG Immobilien AG | 1,176 | 22,590 | ||||||
Tokyu REIT, Inc. | 20 | 28,852 | ||||||
Top REIT, Inc. | 4 | 15,442 | ||||||
United Urban Investment Corp. | 130 | 204,391 | ||||||
UOL Group Ltd. | 22,350 | 89,943 | ||||||
VEREIT, Inc. | 19,300 | 154,786 | ||||||
Wallenstam AB – Class B(a) | 4,200 | 32,322 | ||||||
Washington Real Estate Investment Trust | 1,434 | 37,098 | ||||||
Wharf Holdings Ltd. (The) | 64,650 | 323,051 | ||||||
Wihlborgs Fastigheter AB | 1,420 | 27,974 | ||||||
Winthrop Realty Trust(b) | 650 | 8,554 | ||||||
WP Carey, Inc.(a) | 1,859 | 105,387 | ||||||
|
| |||||||
12,490,019 | ||||||||
|
| |||||||
Health Care – 0.3% | ||||||||
Assura PLC | 34,850 | 24,277 | ||||||
Care Capital Properties, Inc. | 1,766 | 46,817 | ||||||
Chartwell Retirement Residences | 3,650 | 34,962 | ||||||
Extendicare, Inc.(a) | 1,850 | 12,402 | ||||||
HCP, Inc. | 20,250 | 598,995 | ||||||
Healthcare Realty Trust, Inc. | 2,110 | 61,211 | ||||||
Healthcare Trust of America, Inc. – Class A | 2,675 | 74,392 | ||||||
LTC Properties, Inc. | 750 | 33,330 | ||||||
Medical Properties Trust, Inc. | 5,050 | 58,428 | ||||||
National Health Investors, Inc. | 734 | 46,176 | ||||||
New Senior Investment Group, Inc. | 1,750 | 16,958 | ||||||
Omega Healthcare Investors, Inc. | 3,518 | 112,787 | ||||||
Physicians Realty Trust | 2,317 | 39,806 | ||||||
Primary Health Properties PLC | 9,030 | 13,260 | ||||||
Sabra Health Care REIT, Inc. | 1,350 | 26,885 | ||||||
Senior Housing Properties Trust | 5,030 | 78,518 |
AB POOLING PORTFOLIOS • | 227 |
AB Volatility Management—Portfolio of Investments
Company | Shares | U.S. $ Value | ||||||
| ||||||||
Target Healthcare REIT Ltd. | 3,650 | $ | 5,724 | |||||
Universal Health Realty Income Trust | 279 | 14,463 | ||||||
Ventas, Inc. | 14,547 | 809,832 | ||||||
Welltower, Inc. | 15,370 | 980,299 | ||||||
|
| |||||||
3,089,522 | ||||||||
|
| |||||||
Triple Net – 0.1% | ||||||||
Agree Realty Corp. | 378 | 14,005 | ||||||
EPR Properties | 1,257 | 78,223 | ||||||
Getty Realty Corp. | 506 | 9,204 | ||||||
National Retail Properties, Inc. | 2,885 | 126,883 | ||||||
Realty Income Corp.(a) | 10,910 | 638,671 | ||||||
|
| |||||||
866,986 | ||||||||
|
| |||||||
16,446,527 | ||||||||
|
| |||||||
Retail – 1.1% | ||||||||
Regional Mall – 0.5% | ||||||||
CapitaLand Mall Trust | 120,550 | 187,606 | ||||||
CBL & Associates Properties, Inc. | 3,590 | 41,393 | ||||||
General Growth Properties, Inc. | 23,870 | 656,902 | ||||||
Macerich Co. (The) | 6,390 | 505,322 | ||||||
Pennsylvania Real Estate Investment Trust(a) | 1,410 | 27,016 | ||||||
Rouse Properties, Inc.(a) | 750 | 13,680 | ||||||
Simon Property Group, Inc. | 13,603 | 2,580,897 | ||||||
Taubman Centers, Inc. | 1,300 | 92,066 | ||||||
Westfield Corp. | 93,079 | 661,981 | ||||||
WP Glimcher, Inc. | 3,908 | 33,765 | ||||||
|
| |||||||
4,800,628 | ||||||||
|
| |||||||
Shopping Center/Other Retail – 0.6% | ||||||||
Acadia Realty Trust | 1,440 | 47,592 | ||||||
Aeon Mall Co., Ltd. | 5,432 | 76,995 | ||||||
AEON REIT Investment Corp. | 22 | 24,971 | ||||||
Brixmor Property Group, Inc. | 3,727 | 87,324 | ||||||
BWP Trust | 10,408 | 24,012 | ||||||
Capital & Counties Properties PLC | 15,491 | 69,296 | ||||||
Cedar Realty Trust, Inc. | 1,750 | 11,953 | ||||||
Charter Hall Retail REIT | 7,030 | 21,573 | ||||||
Citycon Oyj(b) | 8,330 | 19,312 | ||||||
Crombie Real Estate Investment Trust | 1,650 | 16,305 | ||||||
DDR Corp. | 6,470 | 108,243 | ||||||
Deutsche EuroShop AG | 965 | 40,676 | ||||||
Equity One, Inc. | 1,956 | 53,614 | ||||||
Eurocommercial Properties NV | 948 | 39,669 | ||||||
Federal Realty Investment Trust | 3,106 | 459,874 | ||||||
First Capital Realty, Inc. | 1,930 | 27,959 | ||||||
Fortune Real Estate Investment Trust | 28,050 | 29,499 | ||||||
Frontier Real Estate Investment Corp. | 11 | 50,303 |
228 | • AB POOLING PORTFOLIOS |
AB Volatility Management—Portfolio of Investments
Company | Shares | U.S. $ Value | ||||||
| ||||||||
Hammerson PLC | 37,477 | $ | 284,968 | |||||
Immobiliare Grande Distribuzione SIIQ SpA | 6,484 | 5,171 | ||||||
Inland Real Estate Corp. | 1,800 | 19,080 | ||||||
Intu Properties PLC(a) | 44,264 | 183,880 | ||||||
Japan Retail Fund Investment Corp.(a) | 117 | 266,704 | ||||||
Kimco Realty Corp. | 17,956 | 480,323 | ||||||
Kite Realty Group Trust | 1,712 | 46,087 | ||||||
Klepierre | 10,206 | 424,950 | ||||||
Link REIT | 107,300 | 605,389 | ||||||
Mercialys SA | 840 | 18,468 | ||||||
Ramco-Gershenson Properties Trust | 1,629 | 27,367 | ||||||
Regency Centers Corp. | 2,012 | 142,007 | ||||||
Retail Opportunity Investments Corp. | 2,085 | 38,322 | ||||||
Retail Properties of America, Inc. – Class A | 5,050 | 74,185 | ||||||
RioCan Real Estate Investment Trust (Toronto) | 6,762 | 128,143 | ||||||
Saul Centers, Inc. | 297 | 14,547 | ||||||
Scentre Group | 249,136 | 774,608 | ||||||
Shaftesbury PLC | 5,933 | 70,664 | ||||||
Shopping Centres Australasia Property Group | 15,400 | 24,884 | ||||||
Smart Real Estate Investment Trust | 2,400 | 57,082 | ||||||
Tanger Factory Outlet Centers, Inc. | 2,040 | 65,443 | ||||||
U & I Group PLC | 2,663 | 7,506 | ||||||
Unibail-Rodamco SE | 4,753 | 1,182,557 | ||||||
Urban Edge Properties | 1,860 | 45,235 | ||||||
Urstadt Biddle Properties, Inc. – Class A | 550 | 10,874 | ||||||
Vastned Retail NV | 360 | 15,386 | ||||||
Vicinity Centres | 159,464 | 353,046 | ||||||
Weingarten Realty Investors | 2,378 | 83,777 | ||||||
Wereldhave Belgium NV | 50 | 5,567 | ||||||
Wereldhave NV | 820 | 41,562 | ||||||
|
| |||||||
6,706,952 | ||||||||
|
| |||||||
11,507,580 | ||||||||
|
| |||||||
Residential – 0.8% | ||||||||
Multi-Family – 0.6% | ||||||||
ADLER Real Estate AG(b) | 500 | 5,752 | ||||||
ADO Properties SA(b)(e) | 478 | 14,321 | ||||||
Advance Residence Investment Corp. | 28 | 67,476 | ||||||
Apartment Investment & Management Co. – Class A | 6,820 | 249,680 | ||||||
AvalonBay Communities, Inc. | 5,981 | 1,026,579 | ||||||
Berkeley Group Holdings PLC | 3,448 | 155,274 | ||||||
Boardwalk Real Estate Investment Trust | 850 | 31,098 | ||||||
BUWOG AG(b) | 1,308 | 26,976 | ||||||
Camden Property Trust | 1,850 | 138,269 |
AB POOLING PORTFOLIOS • | 229 |
AB Volatility Management—Portfolio of Investments
Company | Shares | U.S. $ Value | ||||||
| ||||||||
Canadian Apartment Properties REIT | 2,700 | $ | 57,213 | |||||
Daiwa House Residential Investment Corp.(a) | 14 | 29,160 | ||||||
Deutsche Wohnen AG | 16,152 | 426,400 | ||||||
Equity LifeStyle Properties, Inc. | 1,649 | 115,694 | ||||||
Equity Residential | 15,850 | 1,180,666 | ||||||
Essex Property Trust, Inc. | 2,898 | 606,493 | ||||||
Grainger PLC | 8,765 | 26,340 | ||||||
Grand City Properties SA | 1,950 | 40,489 | ||||||
Killam Apartment Real Estate Investment Trust | 1,150 | 9,307 | ||||||
LEG Immobilien AG(a)(b) | 1,350 | 110,340 | ||||||
Mid-America Apartment Communities, Inc. | 1,612 | 144,983 | ||||||
Mirvac Group | 173,758 | 226,188 | ||||||
Nippon Accommodations Fund, Inc. | 10 | 36,643 | ||||||
Northview Apartment Real Estate Investment Trust | 950 | 12,393 | ||||||
Post Properties, Inc. | 1,150 | 64,090 | ||||||
Stockland | 112,217 | 333,032 | ||||||
Sun Communities, Inc. | 1,186 | 80,091 | ||||||
TAG Immobilien AG(a) | 2,520 | 29,766 | ||||||
UDR, Inc. | 5,580 | 191,561 | ||||||
UNITE Group PLC (The) | 4,723 | 40,022 | ||||||
Vonovia SE | 22,337 | 693,762 | ||||||
|
| |||||||
6,170,058 | ||||||||
|
| |||||||
Self Storage – 0.2% | ||||||||
Big Yellow Group PLC | 3,054 | 31,065 | ||||||
CubeSmart | 3,678 | 109,972 | ||||||
Extra Space Storage, Inc. | 5,310 | 436,217 | ||||||
Public Storage | 6,405 | 1,597,983 | ||||||
Safestore Holdings PLC | 4,400 | 20,004 | ||||||
Sovran Self Storage, Inc. | 798 | 84,939 | ||||||
|
| |||||||
2,280,180 | ||||||||
|
| |||||||
Student Housing – 0.0% | ||||||||
American Campus Communities, Inc. | 2,770 | 121,243 | ||||||
Education Realty Trust, Inc. | 1,343 | 53,250 | ||||||
|
| |||||||
174,493 | ||||||||
|
| |||||||
8,624,731 | ||||||||
|
| |||||||
Office – 0.5% | ||||||||
Office – 0.5% | ||||||||
Allied Properties Real Estate Investment Trust | 1,637 | 38,185 | ||||||
Allreal Holding AG(b) | 230 | 30,659 | ||||||
alstria office REIT-AG(b) | 2,220 | 28,063 | ||||||
Befimmo SA | 370 | 20,655 | ||||||
Boston Properties, Inc. | 6,750 | 770,445 |
230 | • AB POOLING PORTFOLIOS |
AB Volatility Management—Portfolio of Investments
Company | Shares | U.S. $ Value | ||||||
| ||||||||
Brandywine Realty Trust | 3,691 | $ | 45,436 | |||||
CapitaLand Commercial Trust Ltd. | 96,050 | 97,649 | ||||||
Castellum AB | 3,510 | 52,998 | ||||||
Columbia Property Trust, Inc. | 2,650 | 53,716 | ||||||
Cominar Real Estate Investment Trust | 3,605 | 40,713 | ||||||
Corporate Office Properties Trust | 2,000 | 46,800 | ||||||
Cousins Properties, Inc. | 4,489 | 38,875 | ||||||
Cromwell Property Group | 31,126 | 22,516 | ||||||
Daiwa Office Investment Corp. | 6 | 38,507 | ||||||
Derwent London PLC | 2,170 | 91,167 | ||||||
Douglas Emmett, Inc. | 2,880 | 77,299 | ||||||
Dream Global Real Estate Investment Trust | 2,000 | 12,018 | ||||||
Dream Office Real Estate Investment Trust | 2,300 | 33,591 | ||||||
Empire State Realty Trust, Inc. – Class A | 1,979 | 31,031 | ||||||
Entra ASA(e) | 1,318 | 11,432 | ||||||
Equity Commonwealth(b) | 2,674 | 71,209 | ||||||
Fabege AB | 2,840 | 43,926 | ||||||
First Potomac Realty Trust | 1,200 | 10,152 | ||||||
Franklin Street Properties Corp. | 1,870 | 17,784 | ||||||
Government Properties Income Trust(a) | 1,508 | 22,379 | ||||||
Green REIT PLC | 14,100 | 20,402 | ||||||
Hibernia REIT PLC | 14,550 | 19,785 | ||||||
Highwoods Properties, Inc. | 2,030 | 88,406 | ||||||
Hongkong Land Holdings Ltd. | 39,750 | 233,258 | ||||||
Hudson Pacific Properties, Inc. | 1,550 | 39,525 | ||||||
ICADE | 1,635 | 113,842 | ||||||
Inmobiliaria Colonial SA(b) | 44,559 | 28,931 | ||||||
Investa Office Fund | 12,060 | 34,071 | ||||||
Japan Excellent, Inc. | 24 | 33,007 | ||||||
Japan Prime Realty Investment Corp. | 40 | 164,289 | ||||||
Japan Real Estate Investment Corp. | 62 | 374,186 | ||||||
Kenedix Office Investment Corp. – Class A | 8 | 46,453 | ||||||
Keppel REIT | 39,800 | 26,586 | ||||||
Kilroy Realty Corp. | 1,954 | 106,044 | ||||||
Liberty Property Trust | 3,130 | 90,394 | ||||||
Mack-Cali Realty Corp. | 1,877 | 37,352 | ||||||
Mori Hills REIT Investment Corp. | 31 | 46,686 | ||||||
New York REIT, Inc. | 3,450 | 33,120 | ||||||
Nippon Building Fund, Inc. | 67 | 397,373 | ||||||
Norwegian Property ASA(b) | 5,267 | 5,175 | ||||||
NTT Urban Development Corp.(a) | 5,375 | 52,428 | ||||||
Paramount Group, Inc. | 3,071 | 46,434 | ||||||
Parkway Properties, Inc./Md | 1,700 | 22,763 | ||||||
Piedmont Office Realty Trust, Inc. – Class A | 3,100 | 56,947 | ||||||
PS Business Parks, Inc. | 440 | 40,396 | ||||||
PSP Swiss Property AG (REG)(b) | 830 | 70,672 |
AB POOLING PORTFOLIOS • | 231 |
AB Volatility Management—Portfolio of Investments
Company | Shares | U.S. $ Value | ||||||
| ||||||||
SL Green Realty Corp. | 4,400 | $ | 387,992 | |||||
Technopolis Oyj | 2,027 | 7,921 | ||||||
Tier REIT, Inc.(a) | 1,000 | 13,000 | ||||||
Tokyo Tatemono Co., Ltd. | 9,100 | 105,038 | ||||||
Vornado Realty Trust | 7,610 | 657,199 | ||||||
Workspace Group PLC | 2,497 | 25,085 | ||||||
|
| |||||||
5,171,965 | ||||||||
|
| |||||||
Lodging – 0.1% | ||||||||
Lodging – 0.1% | ||||||||
Apple Hospitality REIT, Inc.(a) | 3,550 | 67,485 | ||||||
Ashford Hospitality Trust, Inc. | 1,910 | 10,562 | ||||||
CDL Hospitality Trusts | 13,588 | 12,371 | ||||||
Chatham Lodging Trust | 750 | 15,045 | ||||||
Chesapeake Lodging Trust | 1,234 | 31,356 | ||||||
DiamondRock Hospitality Co. | 4,270 | 38,003 | ||||||
FelCor Lodging Trust, Inc. | 3,040 | 22,496 | ||||||
Hersha Hospitality Trust | 835 | 16,809 | ||||||
Hospitality Properties Trust | 3,210 | 77,939 | ||||||
Host Hotels & Resorts, Inc. | 32,890 | 503,546 | ||||||
InnVest Real Estate Investment Trust | 2,051 | 7,549 | ||||||
Japan Hotel REIT Investment Corp. | 71 | 61,969 | ||||||
LaSalle Hotel Properties | 2,400 | 58,440 | ||||||
Pandox AB(b) | 1,126 | 18,422 | ||||||
Pebblebrook Hotel Trust | 1,500 | 40,740 | ||||||
RLJ Lodging Trust | 2,650 | 55,570 | ||||||
Ryman Hospitality Properties, Inc. | 1,060 | 50,742 | ||||||
Summit Hotel Properties, Inc. | 1,750 | 18,918 | ||||||
Sunstone Hotel Investors, Inc. | 4,453 | 57,444 | ||||||
Xenia Hotels & Resorts, Inc. | 2,350 | 36,002 | ||||||
|
| |||||||
1,201,408 | ||||||||
|
| |||||||
Total Common Stocks | 705,849,476 | |||||||
|
| |||||||
INVESTMENT COMPANIES – 0.0% | ||||||||
Funds and Investment Trusts – 0.0% | ||||||||
F&C UK Real Estate Investment Ltd. | 4,960 | 6,595 | ||||||
MedicX Fund Ltd. | 7,675 | 9,000 | ||||||
Picton Property Income Ltd. | 11,492 | 10,741 | ||||||
Standard Life Investment Property Income Trust Ltd. | 8,112 | 9,371 | ||||||
UK Commercial Property Trust Ltd.(a) | 13,003 | 14,189 | ||||||
|
| |||||||
Total Investment Companies | 49,896 | |||||||
|
| |||||||
232 | • AB POOLING PORTFOLIOS |
AB Volatility Management—Portfolio of Investments
Company | Shares | U.S. $ Value | ||||||
| ||||||||
RIGHTS – 0.0% | ||||||||
Financials – 0.0% | ||||||||
Banks – 0.0% | ||||||||
Banco Popular Espanol SA, | 45,119 | $ | 1,031 | |||||
|
| |||||||
Utilities – 0.0% | ||||||||
Independent Power and Renewable Electricity Producers – 0.0% | ||||||||
Enel Green Power SpA, | 44,329 | 2 | ||||||
|
| |||||||
Total Rights | 1,033 | |||||||
|
| |||||||
SHORT-TERM INVESTMENTS – 29.9% | ||||||||
Investment Companies – 25.0% | ||||||||
AB Fixed Income Shares, Inc. – Government STIF Portfolio, 0.40%(f)(g) | 264,729,182 | 264,729,182 | ||||||
|
| |||||||
Principal Amount (000) | ||||||||
U.S. TREASURY BILLS – 4.9% | ||||||||
U.S. Treasury Bill | $ | 29,000 | 28,981,863 | |||||
Zero Coupon, 3/24/16-3/31/16 | 22,500 | 22,497,169 | ||||||
|
| |||||||
Total U.S. Treasury Bills | 51,479,032 | |||||||
|
| |||||||
Total Short-Term Investments | 316,208,214 | |||||||
|
| |||||||
Total Investments Before Security Lending Collateral for Securities Loaned – 96.5% | 1,022,108,619 | |||||||
|
|
AB POOLING PORTFOLIOS • | 233 |
AB Volatility Management—Portfolio of Investments
Company | Shares | U.S. $ Value | ||||||
| ||||||||
INVESTMENTS OF CASH COLLATERAL FOR SECURITIES LOANED – 1.5% | ||||||||
Investment Companies – 1.5% | ||||||||
AB Exchange Reserves – Class I, 0.41%(f)(g) | 15,986,391 | $ | 15,986,391 | |||||
|
| |||||||
Total Investments – 98.0% | 1,038,095,010 | |||||||
Other assets less liabilities – 2.0% | 21,216,571 | |||||||
|
| |||||||
Net Assets – 100.0% | $ | 1,059,311,581 | ||||||
|
|
FUTURES (see Note C)
Type | Number of Contracts | Expiration Month | Original Value | Value at February 29, 2016 | Unrealized Appreciation/ (Depreciation) | |||||||||||||||
Purchased Contracts |
| |||||||||||||||||||
DAX Index Futures | 4 | March 2016 | $ | 969,374 | $ | 1,029,542 | $ | 60,168 | ||||||||||||
Mini MSCI EAFE Futures | 2 | March 2016 | 156,802 | 154,500 | (2,302 | ) | ||||||||||||||
Mini MSCI Emerging Market Futures | 486 | March 2016 | 17,953,595 | 18,033,030 | 79,435 | |||||||||||||||
S&P 500 E Mini Futures | 255 | March 2016 | 24,181,877 | 24,601,125 | 419,248 | |||||||||||||||
TOPIX Index Futures | 388 | March 2016 | 53,613,572 | 44,321,227 | (9,292,345 | ) | ||||||||||||||
U.S. T-Note 5 Yr (CBT) Futures | 60 | June 2016 | 7,262,893 | 7,259,062 | (3,831 | ) | ||||||||||||||
U.S. T-Note 10 Yr (CBT) Futures | 321 | June 2016 | 41,877,718 | 41,895,516 | 17,798 | |||||||||||||||
U.S. Ultra Bond (CBT) Futures | 82 | June 2016 | 14,261,723 | 14,198,812 | (62,911 | ) | ||||||||||||||
Sold Contracts |
| |||||||||||||||||||
EURO STOXX 50 Index Futures | 1,114 | March 2016 | 33,128,323 | 35,556,131 | (2,427,808 | ) | ||||||||||||||
FTSE 100 Index Futures | 678 | March 2016 | 55,625,766 | 57,172,525 | (1,546,759 | ) | ||||||||||||||
Hang Seng Index Futures | 91 | March 2016 | 11,347,783 | 11,147,955 | 199,828 | |||||||||||||||
S&P Mid 400 E Mini Futures | 19 | March 2016 | 2,655,444 | 2,532,130 | 123,314 | |||||||||||||||
SPI 200 Futures | 260 | March 2016 | 22,877,914 | 22,612,310 | 265,604 | |||||||||||||||
|
| |||||||||||||||||||
$ | (12,170,561 | ) | ||||||||||||||||||
|
|
234 | • AB POOLING PORTFOLIOS |
AB Volatility Management—Portfolio of Investments
FORWARD CURRENCY EXCHANGE CONTRACTS (see Note C)
Counterparty | Contracts to Deliver (000) | In Exchange For (000) | Settlement Date | Unrealized Appreciation/ (Depreciation) | ||||||||||||||||||||
Bank of America, NA | GBP | 1,760 | USD | 2,682 | 3/18/16 | $ | 232,532 | |||||||||||||||||
Barclays Bank PLC | CHF | 2,223 | USD | 2,235 | 3/18/16 | 6,552 | ||||||||||||||||||
Barclays Bank PLC | USD | 914 | CHF | 933 | 3/18/16 | 21,319 | ||||||||||||||||||
BNP Paribas SA | EUR | 35,158 | USD | 38,250 | 3/18/16 | (14,061 | ) | |||||||||||||||||
BNP Paribas SA | JPY | 3,025,558 | USD | 25,893 | 3/18/16 | (952,433 | ) | |||||||||||||||||
BNP Paribas SA | USD | 29,208 | AUD | 40,578 | 3/18/16 | (266,634 | ) | |||||||||||||||||
BNP Paribas SA | USD | 19,733 | CAD | 26,633 | 3/18/16 | (48,651 | ) | |||||||||||||||||
BNP Paribas SA | USD | 7,091 | GBP | 4,901 | 3/18/16 | (268,799 | ) | |||||||||||||||||
Brown Brothers Harriman & Co. | USD | 1,235 | CHF | 1,213 | 6/17/16 | (13,723 | ) | |||||||||||||||||
Citibank | CAD | 27,344 | USD | 19,867 | 3/18/16 | (343,146 | ) | |||||||||||||||||
Citibank | USD | 4,148 | GBP | 2,980 | 3/18/16 | 397 | ||||||||||||||||||
Citibank | USD | 3,643 | GBP | 2,548 | 3/18/16 | (96,630 | ) | |||||||||||||||||
Citibank | CAD | 9,361 | USD | 6,817 | 6/17/16 | (103,702 | ) | |||||||||||||||||
Citibank | CHF | 1,213 | USD | 1,249 | 6/17/16 | 27,511 | ||||||||||||||||||
Credit Suisse International | AUD | 14,267 | USD | 9,962 | 3/18/16 | (213,771 | ) | |||||||||||||||||
Credit Suisse International | CHF | 933 | USD | 920 | 3/18/16 | (15,340 | ) | |||||||||||||||||
Credit Suisse International | EUR | 1,004 | USD | 1,085 | 3/18/16 | (7,917 | ) | |||||||||||||||||
Credit Suisse International | JPY | 3,233,314 | USD | 26,713 | 3/18/16 | (1,975,920 | ) | |||||||||||||||||
Credit Suisse International | USD | 30,530 | EUR | 28,144 | 3/18/16 | 99,889 | ||||||||||||||||||
Deutsche Bank AG | GBP | 24,611 | USD | 37,096 | 3/18/16 | 2,839,635 | ||||||||||||||||||
Deutsche Bank AG | USD | 966 | SEK | 8,227 | 3/18/16 | (4,670 | ) | |||||||||||||||||
HSBC Bank USA | AUD | 15,428 | USD | 10,808 | 3/18/16 | (196,385 | ) | |||||||||||||||||
HSBC Bank USA | USD | 4,038 | CAD | 5,856 | 3/18/16 | 290,498 | ||||||||||||||||||
JPMorgan Chase Bank | AUD | 3,721 | USD | 2,628 | 3/18/16 | (26,043 | ) | |||||||||||||||||
JPMorgan Chase Bank | EUR | 5,806 | USD | 6,553 | 6/17/16 | 215,054 | ||||||||||||||||||
Morgan Stanley & Co., Inc. | AUD | 7,900 | USD | 5,387 | 3/18/16 | (247,112 | ) | |||||||||||||||||
Morgan Stanley & Co., Inc. | GBP | 2,410 | USD | 3,424 | 3/18/16 | 69,971 | ||||||||||||||||||
Morgan Stanley & Co., Inc. | USD | 4,553 | AUD | 6,423 | 3/18/16 | 28,062 | ||||||||||||||||||
Morgan Stanley & Co., Inc. | USD | 1,993 | JPY | 224,540 | 6/17/16 | 5,209 | ||||||||||||||||||
Royal Bank of Canada | USD | 27,518 | JPY | 3,237,867 | 3/18/16 | 1,211,744 | ||||||||||||||||||
Royal Bank of Scotland PLC | EUR | 5,928 | USD | 6,460 | 3/18/16 | 8,712 | ||||||||||||||||||
Royal Bank of Scotland PLC | USD | 71,919 | JPY | 8,841,302 | 3/18/16 | 6,530,151 | ||||||||||||||||||
Royal Bank of Scotland PLC | USD | 6,731 | CAD | 9,361 | 6/17/16 | 189,110 | ||||||||||||||||||
Societe Generale | AUD | 36,934 | USD | 25,802 | 3/18/16 | (540,597 | ) | |||||||||||||||||
Societe Generale | USD | 2,034 | GBP | 1,425 | 3/18/16 | (50,550 | ) | |||||||||||||||||
State Street Bank & Trust Co. | CAD | 5,145 | USD | 3,665 | 3/18/16 | (137,372 | ) | |||||||||||||||||
State Street Bank & Trust Co. | CHF | 72 | USD | 71 | 3/18/16 | (1,178 | ) | |||||||||||||||||
State Street Bank & Trust Co. | SEK | 8,227 | USD | 969 | 3/18/16 | 7,882 | ||||||||||||||||||
State Street Bank & Trust Co. | USD | 2,302 | CHF | 2,295 | 3/18/16 | (2,321 | ) | |||||||||||||||||
State Street Bank & Trust Co. | EUR | 1,422 | USD | 1,571 | 6/17/16 | 19,171 | ||||||||||||||||||
UBS AG | EUR | 1,151 | USD | 1,262 | 3/18/16 | 9,512 | ||||||||||||||||||
|
| |||||||||||||||||||||||
$ | 6,285,956 | |||||||||||||||||||||||
|
|
AB POOLING PORTFOLIOS • | 235 |
AB Volatility Management—Portfolio of Investments
TOTAL RETURN SWAPS (see Note C)
Counterparty & Referenced Obligation | # of Shares or Units | Rate Paid/ Received | Notional Amount (000) | Maturity Date | Unrealized Appreciation/ (Depreciation) | |||||||||||||
Receive Total Return on Reference Obligation |
| |||||||||||||||||
Bank of America, NA | ||||||||||||||||||
Russell 2000 Total Return Index | $ | 5,334 | LIBOR Minus 0.76% | $ | 25,712 | 1/17/17 | $ | 714,345 | ||||||||||
Citibank, NA | ||||||||||||||||||
S&P Midcap 400 Index | 23,310 | LIBOR Minus 0.23% | 43,379 | 2/15/17 | 1,287,307 | |||||||||||||
Goldman Sachs International | ||||||||||||||||||
MSCI Emerging Markets Index | 190,657 | LIBOR Minus 0.25% | 58,175 | 10/17/16 | 2,609,732 | |||||||||||||
Russell 2000 Total Return Index | 559 | LIBOR Minus 0.49% | 2,695 | 4/15/16 | 73,994 | |||||||||||||
Russell 2000 Total Return Index | 192 | LIBOR Minus 0.57% | 926 | 4/15/16 | 25,497 | |||||||||||||
Russell 2000 Total Return Index | 1,210 | LIBOR Minus 0.65% | 6,540 | 9/15/16 | (544,539 | ) | ||||||||||||
S&P Midcap 400 Index | 5,333 | LIBOR Minus 0.05% | 10,661 | 9/15/16 | (451,854 | ) | ||||||||||||
|
| |||||||||||||||||
$ | 3,714,482 | |||||||||||||||||
|
|
^ | Less than $0.50. |
(a) | Represents entire or partial securities out on loan. See Note D for securities lending information. |
(b) | Non-income producing security. |
(c) | Fair valued by the Adviser. |
(d) | Illiquid security. |
(e) | Security is exempt from registration under Rule 144A of the Securities Act of 1933. These securities are considered liquid and may be resold in transactions exempt from registration, normally to qualified institutional buyers. At February 29, 2016, the aggregate market value of these securities amounted to $775,949 or 0.1% of net assets. |
(f) | Investment in affiliated money market mutual fund. The rate shown represents the 7-day yield as of period end. |
(g) | To obtain a copy of the fund’s financial statements, please go to the Securities and Exchange Commission’s website at www.sec.gov, or call AB at (800) 227-4618. |
(h) | Position, or a portion thereof, has been segregated to collateralize margin requirements for open futures contracts. |
Currency Abbreviations:
AUD – Australian Dollar
CAD – Canadian Dollar
CHF – Swiss Franc
EUR – Euro
GBP – Great British Pound
JPY – Japanese Yen
SEK – Swedish Krona
USD – United States Dollar
236 | • AB POOLING PORTFOLIOS |
AB Volatility Management—Portfolio of Investments
Glossary:
ADR – American Depositary Receipt
CBT – Chicago Board of Trade
DAX – Deutscher Aktien Index (German Stock Index)
EAFE – Europe, Australia, and Far East
FTSE – Financial Times Stock Exchange
LIBOR – London Interbank Offered Rates
MSCI – Morgan Stanley Capital International
REG – Registered Shares
REIT – Real Estate Investment Trust
SPI – Share Price Index
TOPIX – Tokyo Price Index
See notes to financial statements.
AB POOLING PORTFOLIOS • | 237 |
AB Volatility Management—Portfolio of Investments
STATEMENT OF ASSETS & LIABILITIES
February 29, 2016 (unaudited)
AB U.S. Value | AB U.S. Large Cap Growth | AB International Value | ||||||||||
Assets | ||||||||||||
Investments in securities, at value | ||||||||||||
Unaffiliated issuers (cost $277,721,104, $230,777,038 and $270,402,624, respectively)(a) | $ | 305,127,598 | $ | 293,168,482 | $ | 246,780,853 | ||||||
Affiliated issuers (cost $9,522,034, $14,122,340 and $1,266,127,—including investment of cash collateral for securities loaned of $3,846,918, $4,407,349 and $1,072,400, respectively) | 9,522,034 | 14,122,340 | 1,266,127 | |||||||||
Cash collateral due from broker | – 0 | – | – 0 | – | 33,903 | |||||||
Foreign currencies, at value (cost $0, $0 and $5,303,931, respectively) | – 0 | – | – 0 | – | 5,288,311 | |||||||
Receivable for investment securities sold | 2,315,476 | 3,669,310 | – 0 | – | ||||||||
Dividends and interest receivable | 997,142 | 207,755 | 1,309,366 | |||||||||
Unrealized appreciation of forward currency exchange contracts | – 0 | – | – 0 | – | 843,116 | |||||||
Receivable for variation margin on exchange-traded derivatives | – 0 | – | – 0 | – | 585 | |||||||
|
|
|
|
|
| |||||||
Total assets | 317,962,250 | 311,167,887 | 255,522,261 | |||||||||
|
|
|
|
|
| |||||||
Liabilities | ||||||||||||
Due to custodian | – 0 | – | – 0 | – | 537 | |||||||
Payable for collateral received on securities loaned | 3,846,918 | 4,407,349 | 1,072,400 | |||||||||
Payable for investment securities purchased | 6,179,405 | – 0 | – | – 0 | – | |||||||
Payable for shares of beneficial interest redeemed | 613,751 | – 0 | – | – 0 | – | |||||||
Unrealized depreciation of forward currency exchange contracts | – 0 | – | – 0 | – | 1,344,546 | |||||||
Administrative fee payable | 35 | 35 | 2,534 | |||||||||
Accrued expenses | 70,269 | 64,314 | 150,098 | |||||||||
|
|
|
|
|
| |||||||
Total liabilities | 10,710,378 | 4,471,698 | 2,570,115 | |||||||||
|
|
|
|
|
| |||||||
Net Assets | $ | 307,251,872 | $ | 306,696,189 | $ | 252,952,146 | ||||||
|
|
|
|
|
|
See notes to financial statements.
238 | • AB POOLING PORTFOLIOS |
Statement of Assets & Liabilities
AB U.S. Value | AB U.S. Large Cap Growth | AB International Value | ||||||||||
Composition of Net Assets | ||||||||||||
Paid-in capital | $ | 579,145,843 | $ | 208,798,192 | $ | 725,498,431 | ||||||
Undistributed net investment income | 1,154,374 | 309,579 | 1,673,440 | |||||||||
Accumulated net realized gain (loss) on investment and foreign currency transactions | (300,454,839 | ) | 35,196,974 | (449,976,445 | ) | |||||||
Net unrealized appreciation/ (depreciation) on investments and foreign currency denominated assets and liabilities | 27,406,494 | 62,391,444 | (24,243,280 | ) | ||||||||
|
|
|
|
|
| |||||||
Net Assets | $ | 307,251,872 | $ | 306,696,189 | $ | 252,952,146 | ||||||
|
|
|
|
|
| |||||||
Shares of beneficial interest outstanding—unlimited shares authorized, without par value | 25,908,062 | 33,108,107 | 40,968,563 | |||||||||
|
|
|
|
|
| |||||||
Net Asset Value | $ | 11.86 | $ | 9.26 | $ | 6.17 | ||||||
|
|
|
|
|
|
(a) | Includes securities on loan with a value of $3,776,623, $4,347,091 and $1,094,836, respectively (see Note D). |
See notes to financial statements.
AB POOLING PORTFOLIOS • | 239 |
Statement of Assets & Liabilities
AB International Growth | AB Short Duration Bond | AB Global Core Bond | ||||||||||
Assets | ||||||||||||
Investments in securities, at value | ||||||||||||
Unaffiliated issuers (cost $257,292,232, $773,825,122 and $794,888,367, respectively)(a) | $ | 246,663,950 | $ | 771,758,317 | $ | 787,768,994 | ||||||
Affiliated issuers (cost $9,584,297, $41,909,621 and $5,177,379,—including investment of cash collateral for securities loaned of $6,467,227, $0 and $0, respectively) | 9,584,297 | 41,909,621 | 5,177,379 | |||||||||
Cash | – 0 | – | 2,340,343 | 154,129 | ||||||||
Cash collateral due from broker | – 0 | – | 975,646 | 1,626,820 | ||||||||
Foreign currencies, at value (cost $379,097, $44,530,894 and $390,194, respectively) | 380,099 | 47,714,070 | 386,400 | |||||||||
Unrealized appreciation of forward currency exchange contracts | 3,621,576 | – 0 | – | 3,148,996 | ||||||||
Dividends and interest receivable | 631,546 | 1,731,454 | 7,281,915 | |||||||||
Receivable for investment securities sold | 110,674 | 28,650,145 | 9,412,281 | |||||||||
Receivable for variation margin on exchange-traded derivatives | – 0 | – | 30,985 | – 0 | – | |||||||
|
|
|
|
|
| |||||||
Total assets | 260,992,142 | 895,110,581 | 814,956,914 | |||||||||
|
|
|
|
|
|
See notes to financial statements.
240 | • AB POOLING PORTFOLIOS |
Statement of Assets & Liabilities
AB International Growth | AB Short Duration Bond | AB Global Core Bond | ||||||||||
Liabilities | ||||||||||||
Payable for collateral received on securities loaned | $ | 6,467,227 | $ | – 0 | – | $ | – 0 | – | ||||
Unrealized depreciation of forward currency exchange contracts | 1,042,531 | 2,732,979 | 3,622,143 | |||||||||
Payable for investment securities purchased and foreign currency transactions | – 0 | – | 54,250,293 | 18,114,655 | ||||||||
Payable for variation margin on exchange-traded derivatives | – 0 | – | – 0 | – | 59,185 | |||||||
Payable for shares of beneficial interest redeemed | – 0 | – | 22,207 | 462,527 | ||||||||
Accrued expenses | 94,079 | 66,252 | 78,193 | |||||||||
|
|
|
|
|
| |||||||
Total liabilities | 7,603,837 | 57,071,731 | 22,336,703 | |||||||||
|
|
|
|
|
| |||||||
Net Assets | $ | 253,388,305 | $ | 838,038,850 | $ | 792,620,211 | ||||||
|
|
|
|
|
| |||||||
Composition of Net Assets | ||||||||||||
Paid-in capital | $ | 601,455,136 | $ | 911,064,955 | $ | 801,727,274 | ||||||
Undistributed net investment income | 787,728 | 81,541 | (2,139,468 | ) | ||||||||
Accumulated net realized gain (loss) on investment and foreign currency transactions | (340,766,384 | ) | (71,330,462 | ) | 1,360,378 | |||||||
Net unrealized depreciation on investments and foreign currency denominated assets and liabilities | (8,088,175 | ) | (1,777,184 | ) | (8,327,973 | ) | ||||||
|
|
|
|
|
| |||||||
Net Assets | $ | 253,388,305 | $ | 838,038,850 | $ | 792,620,211 | ||||||
|
|
|
|
|
| |||||||
Shares of beneficial interest outstanding—unlimited shares authorized, without par value | 33,430,435 | 88,968,591 | 79,681,618 | |||||||||
|
|
|
|
|
| |||||||
Net Asset Value | $ | 7.58 | $ | 9.42 | $ | 9.95 | ||||||
|
|
|
|
|
|
(a) | Includes securities on loan with a value of $6,063,912, $0 and $0, respectively, (see Note D). |
See notes to financial statements.
AB POOLING PORTFOLIOS • | 241 |
Statement of Assets & Liabilities
AB Bond Inflation Protection | AB High-Yield | AB Small-Mid Cap Value | ||||||||||
Assets | ||||||||||||
Investments in securities, at value | ||||||||||||
Unaffiliated issuers (cost $887,317,394, $256,515,366 and $205,732,924, respectively)(a) | $ | 879,221,283 | $ | 222,933,902 | $ | 218,192,867 | ||||||
Affiliated issuers (cost $26,955,334, $30,705,070 and $17,105,094, respectively) | 26,955,334 | 30,705,070 | 17,105,094 | |||||||||
Cash | – 0 | – | 94,531 | – 0 | – | |||||||
Cash collateral due from broker | 2,785,755 | 865,074 | – 0 | – | ||||||||
Foreign currencies, at value (cost $6,268,290, $635,192 and $0, respectively) | 6,731,455 | 618,878 | – 0 | – | ||||||||
Dividends and interest receivable | 2,609,933 | 4,367,601 | 227,052 | |||||||||
Receivable for investment securities sold | 1,431,981 | 1,082,127 | 2,672,510 | |||||||||
Unrealized appreciation on credit default swaps | 539,295 | 861,806 | – 0 | – | ||||||||
Unrealized appreciation of forward currency exchange contracts | 97,125 | 216,622 | – 0 | – | ||||||||
Upfront premium paid on credit default swaps | 66,055 | 410,891 | – 0 | – | ||||||||
Receivable for variation margin on exchange-traded derivatives | – 0 | – | 7,929 | – 0 | – | |||||||
Unrealized appreciation on total return swaps | – 0 | – | 187,553 | – 0 | – | |||||||
|
|
|
|
|
| |||||||
Total assets | 920,438,216 | 262,351,984 | 238,197,523 | |||||||||
|
|
|
|
|
|
See notes to financial statements.
242 | • AB POOLING PORTFOLIOS |
Statement of Assets & Liabilities
AB Bond Inflation Protection | AB High-Yield | AB Small-Mid Cap Value | ||||||||||
Liabilities | ||||||||||||
Due to custodian | $ | 1,752,596 | $ | – 0 | – | $ | – 0 | – | ||||
Payable reverse repurchase agreements | 277,763,068 | 992,525 | – 0 | – | ||||||||
Unrealized depreciation on interest rate swaps | 1,577,715 | – 0 | – | – 0 | – | |||||||
Payable for shares of beneficial interest redeemed | 928,748 | 1,272,390 | 16,885 | |||||||||
Unrealized depreciation on inflation swaps | 888,477 | – 0 | – | – 0 | – | |||||||
Unrealized depreciation of forward currency exchange contracts | 880,566 | 92,753 | – 0 | – | ||||||||
Payable for investment securities purchased | 270,419 | 4,540,396 | 1,988,986 | |||||||||
Payable for variation margin on exchange-traded derivatives | 211,012 | 49,003 | – 0 | – | ||||||||
Upfront premium received on credit default swaps | 117,820 | 1,219,258 | – 0 | – | ||||||||
Unrealized depreciation on credit default swaps | 26,026 | 1,647,245 | – 0 | – | ||||||||
Unrealized depreciation on total return swaps | – 0 | – | 189,637 | – 0 | – | |||||||
Options written, at value (premiums received $0, $22,068 and $0, respectively) | – 0 | – | 5,110 | – 0 | – | |||||||
Payable for collateral received on securities loaned | – 0 | – | – 0 | – | 9,874,133 | |||||||
Accrued expenses | 86,885 | 108,182 | 52,090 | |||||||||
|
|
|
|
|
| |||||||
Total liabilities | 284,503,332 | 10,116,499 | 11,932,094 | |||||||||
|
|
|
|
|
| |||||||
Net Assets | $ | 635,934,884 | $ | 252,235,485 | $ | 226,265,429 | ||||||
|
|
|
|
|
|
See notes to financial statements.
AB POOLING PORTFOLIOS • | 243 |
Statement of Assets & Liabilities
AB Bond Inflation Protection | AB High-Yield | AB Small-Mid Cap Value | ||||||||||
Composition of Net Assets | ||||||||||||
Paid-in capital | $ | 658,673,882 | $ | 305,347,777 | $ | 215,795,013 | ||||||
Distributions in excess of net investment income | (75,692 | ) | 4,132,914 | 491,990 | ||||||||
Accumulated net realized loss on investment and foreign currency transactions | (11,274,795 | ) | (22,042,190 | ) | (2,481,517 | ) | ||||||
Net unrealized appreciation/ (depreciation) on investments and foreign currency denominated assets and liabilities | (11,388,511 | ) | (35,203,016 | ) | 12,459,943 | |||||||
|
|
|
|
|
| |||||||
Net Assets | $ | 635,934,884 | $ | 252,235,485 | $ | 226,265,429 | ||||||
|
|
|
|
|
| |||||||
Shares of beneficial interest outstanding—unlimited shares authorized, without par value | 67,051,685 | 28,278,650 | 24,813,785 | |||||||||
|
|
|
|
|
| |||||||
Net Asset Value | $ | 9.48 | $ | 8.92 | $ | 9.12 | ||||||
|
|
|
|
|
|
(a) | Includes securities on loan with a value of $0, $0 and $9,006,545, respectively (see Note D). |
See notes to financial statements.
244 | • AB POOLING PORTFOLIOS |
Statement of Assets & Liabilities
AB Small-Mid Cap Growth | AB Multi-Asset Real Return* | AB Volatility Management | ||||||||||
Assets | ||||||||||||
Investments in securities, at value | ||||||||||||
Unaffiliated issuers (cost $180,611,541, $447,106,649 and $650,255,661, respectively)(a) | $ | 207,127,998 | $ | 412,098,473 | $ | 757,379,437 | ||||||
Affiliated issuers (cost $17,189,512, $39,920,908 and $280,715,573,—including investment of cash collateral for securities loaned of $12,124,562, $12,199,865 and $15,986,391, respectively) | 17,189,512 | 39,920,908 | 280,715,573 | |||||||||
Cash | – 0 | – | – 0 | – | 247,343 | |||||||
Cash collateral due from broker | – 0 | – | 2,066,206 | 14,294,553 | ||||||||
Foreign currencies, at value (cost $0, $2,458,941 and $7,892,370, respectively) | – 0 | – | 2,453,655 | 7,799,671 | ||||||||
Receivable for investment securities sold | 1,210,786 | 2,315,248 | 21,287,296 | |||||||||
Dividends and interest receivable | 73,262 | 1,428,882 | 2,370,744 | |||||||||
Unrealized appreciation of forward currency exchange contracts | – 0 | – | 3,056,830 | 11,812,911 | ||||||||
Unrealized appreciation on total return swaps | – 0 | – | 2,333,111 | 4,710,875 | ||||||||
Receivable for variation margin on exchange-traded derivatives | – 0 | – | 435,070 | – 0 | – | |||||||
Unrealized appreciation on inflation swaps | – 0 | – | 127,841 | – 0 | – | |||||||
Receivable for shares of beneficial interest sold | – 0 | – | 29,126 | 14,629 | ||||||||
Collateral due from Securities Lending Agent | – 0 | – | 4,362 | – 0 | – | |||||||
Other asset (see Note E) | – 0 | – | 308 | – 0 | – | |||||||
|
|
|
|
|
| |||||||
Total assets | 225,601,558 | 466,270,020 | 1,100,633,032 | |||||||||
|
|
|
|
|
|
See notes to financial statements.
AB POOLING PORTFOLIOS • | 245 |
Statement of Assets & Liabilities
AB Small-Mid Cap Growth | AB Multi-Asset Real Return* | AB Volatility Management | ||||||||||
Liabilities | ||||||||||||
Payable for collateral received on securities loaned | $ | 12,124,562 | $ | 12,204,227 | $ | 15,964,009 | ||||||
Payable for investment securities purchased and foreign currency transactions | 1,228,467 | 2,220,364 | 1,157,719 | |||||||||
Payable for variation margin on exchange-traded derivatives | – 0 | – | – 0 | – | 14,910,708 | |||||||
Payable for shares of beneficial interest redeemed | 7,211 | – 0 | – | 14,660 | ||||||||
Options written, at value (premiums received $0, $572,685 and $0, respectively) | – 0 | – | 81,449 | – 0 | – | |||||||
Collateral due to Securities Lending Agent | – 0 | – | – 0 | – | 22,382 | |||||||
Unrealized depreciation on inflation swaps | – 0 | – | 5,315,950 | – 0 | – | |||||||
Unrealized depreciation of forward currency exchange contracts | – 0 | – | 2,053,427 | 5,526,955 | ||||||||
Unrealized depreciation on total return swaps | – 0 | – | 484,905 | 996,393 | ||||||||
Payable for newly entered total return swaps | – 0 | – | 383,149 | – 0 | – | |||||||
Transfer Agent fee payable | – 0 | – | 3,019 | – 0 | – | |||||||
Payable for terminated total return swaps | – 0 | – | 42 | – 0 | – | |||||||
Cash collateral due to broker | – 0 | – | – 0 | – | 2,450,000 | |||||||
Administrative fee payable | – 0 | – | – 0 | – | 4,369 | |||||||
Accrued expenses and other liabilities | 57,633 | 176,780 | 274,256 | |||||||||
|
|
|
|
|
| |||||||
Total liabilities | 13,417,873 | 22,923,312 | 41,321,451 | |||||||||
|
|
|
|
|
| |||||||
Net Assets | $ | 212,183,685 | $ | 443,346,708 | $ | 1,059,311,581 | ||||||
|
|
|
|
|
|
See notes to financial statements.
246 | • AB POOLING PORTFOLIOS |
Statement of Assets & Liabilities
AB Small-Mid Cap Growth | AB Multi-Asset Real Return* | AB Volatility Management | ||||||||||
Composition of Net Assets | ||||||||||||
Paid-in capital | $ | 182,654,870 | $ | 966,603,423 | $ | 981,553,124 | ||||||
Undistributed net investment income | 469,729 | 367,548 | 10,198,863 | |||||||||
Accumulated net realized gain (loss) on investment and foreign currency transactions | 2,542,629 | (488,190,413 | ) | (37,353,979 | ) | |||||||
Net unrealized appreciation/ (depreciation) on investments and foreign currency denominated assets and liabilities | 26,516,457 | (35,433,850 | ) | 104,913,573 | ||||||||
|
|
|
|
|
| |||||||
Net Assets | $ | 212,183,685 | $ | 443,346,708 | $ | 1,059,311,581 | ||||||
|
|
|
|
|
| |||||||
Shares of beneficial interest outstanding—unlimited shares authorized, without par value | 26,029,280 | 82,633,098 | 106,367,282 | |||||||||
|
|
|
|
|
| |||||||
Net Asset Value | $ | 8.15 | $ | 5.37 | $ | 9.96 | ||||||
|
|
|
|
|
|
* | Consolidated (see Note A). |
(a) | Includes securities on loan with a value of $11,850,113, $11,865,980 and $15,338,733, respectively (see Note D). |
See notes to financial statements.
AB POOLING PORTFOLIOS • | 247 |
Statement of Assets & Liabilities
STATEMENT OF OPERATIONS
Six Months Ended February 29, 2016 (unaudited)
AB U.S. Value | AB U.S. Large Cap Growth | AB International Value | ||||||||||
Investment Income | ||||||||||||
Dividends | ||||||||||||
Unaffiliated issuers (net of foreign taxes withheld of $4,322, $0 and $293,405, respectively) | $ | 4,345,273 | $ | 1,625,978 | $ | 2,798,555 | ||||||
Affiliated issuers | 8,237 | 13,703 | 6,804 | |||||||||
Securities lending income | 47,504 | 16,037 | 84,707 | |||||||||
|
|
|
|
|
| |||||||
Total income | 4,401,014 | 1,655,718 | 2,890,066 | |||||||||
|
|
|
|
|
| |||||||
Expenses | ||||||||||||
Custodian | 53,180 | 53,931 | 96,100 | |||||||||
Audit and tax | 21,181 | 21,181 | 28,155 | |||||||||
Legal | 17,365 | 17,365 | 17,365 | |||||||||
Administrative | 16,447 | 16,447 | 18,498 | |||||||||
Trustees’ fees | 10,910 | 10,910 | 10,509 | |||||||||
Printing | 917 | 917 | 494 | |||||||||
Registration fees | 249 | 377 | 249 | |||||||||
Miscellaneous | 7,010 | 5,577 | 30,763 | |||||||||
|
|
|
|
|
| |||||||
Total expenses | 127,259 | 126,705 | 202,133 | |||||||||
|
|
|
|
|
| |||||||
Net investment income | 4,273,755 | 1,529,013 | 2,687,933 | |||||||||
|
|
|
|
|
| |||||||
Realized and Unrealized Gain (Loss) on Investment and Foreign Currency Transactions | ||||||||||||
Net realized gain (loss) on: | ||||||||||||
Investment transactions | 5,409,790 | 46,159,432 | (19,503,667 | ) | ||||||||
Futures | – 0 | – | – 0 | – | (48,428 | ) | ||||||
Foreign currency transactions | – 0 | – | – 0 | – | (666,327 | ) | ||||||
Net change in unrealized appreciation/depreciation of: | ||||||||||||
Investments | (19,851,157 | ) | (40,789,627 | ) | 2,420,081 | |||||||
Futures | – 0 | – | – 0 | – | 110,351 | |||||||
Foreign currency denominated assets and liabilities | – 0 | – | – 0 | – | (962,944 | ) | ||||||
|
|
|
|
|
| |||||||
Net gain (loss) on investment and foreign currency transactions | (14,441,367 | ) | 5,369,805 | (18,650,934 | ) | |||||||
|
|
|
|
|
| |||||||
Net Increase (Decrease) in Net Assets from Operations | $ | (10,167,612 | ) | $ | 6,898,818 | $ | (15,963,001 | ) | ||||
|
|
|
|
|
|
See notes to financial statements.
248 | • AB POOLING PORTFOLIOS |
Statement of Operations
AB International Growth | AB Short Duration Bond | AB Global Core Bond | ||||||||||
Investment Income | ||||||||||||
Dividends | ||||||||||||
Unaffiliated issuers (net of foreign taxes withheld of $75,553, $0 and $0, respectively) | $ | 1,480,292 | $ | – 0 | – | $ | – 0 | – | ||||
Affiliated issuers | 12,042 | 15,209 | 18,175 | |||||||||
Interest (net of foreign taxes withheld of $0, $0 and $603, respectively) | – 0 | –�� | 5,191,623 | 11,225,353 | ||||||||
Securities lending income | 84,455 | – 0 | – | – 0 | – | |||||||
|
|
|
|
|
| |||||||
Total income | 1,576,789 | 5,206,832 | 11,243,528 | |||||||||
|
|
|
|
|
| |||||||
Expenses | ||||||||||||
Custodian | 79,504 | 88,513 | 126,595 | |||||||||
Audit and tax | 28,919 | 24,282 | 27,780 | |||||||||
Legal | 17,365 | 17,371 | 17,371 | |||||||||
Administrative | 15,136 | 19,827 | 16,599 | |||||||||
Trustees’ fees | 9,810 | 9,810 | 9,810 | |||||||||
Printing | 917 | 2,353 | 2,989 | |||||||||
Registration fees | 249 | 249 | 577 | |||||||||
Miscellaneous | 18,809 | 8,151 | 8,963 | |||||||||
|
|
|
|
|
| |||||||
Total expenses | 170,709 | 170,556 | 210,684 | |||||||||
|
|
|
|
|
| |||||||
Net investment income | 1,406,080 | 5,036,276 | 11,032,844 | |||||||||
|
|
|
|
|
| |||||||
Realized and Unrealized Gain (Loss) on Investment and Foreign Currency Transactions | ||||||||||||
Net realized gain (loss) on: | ||||||||||||
Investment transactions | 3,041,760 | (a) | (189,806 | ) | 5,750,671 | |||||||
Futures | – 0 | – | 243,169 | (3,346,019 | ) | |||||||
Options written | – 0 | – | – 0 | – | 230,277 | |||||||
Swaps | – 0 | – | 62,630 | – 0 | – | |||||||
Foreign currency transactions | (859,702 | ) | (295,706 | ) | 4,933,616 | |||||||
Net change in unrealized appreciation/depreciation of: | ||||||||||||
Investments | (22,932,524 | )(b) | (275,168 | ) | 8,302,871 | |||||||
Futures | – 0 | – | (584,709 | ) | (1,119,796 | ) | ||||||
Swaps | – 0 | – | (21,696 | ) | – 0 | – | ||||||
Foreign currency denominated assets and liabilities | 4,355,897 | 457,142 | (816,970 | ) | ||||||||
|
|
|
|
|
| |||||||
Net gain (loss) on investment and foreign currency transactions | (16,394,569 | ) | (604,144 | ) | 13,934,650 | |||||||
|
|
|
|
|
| |||||||
Net Increase (Decrease) in Net Assets from Operations | $ | (14,988,489 | ) | $ | 4,432,132 | $ | 24,967,494 | |||||
|
|
|
|
|
|
(a) | Net of foreign capital gains taxes of $2,582. |
(b) | Net of increase in accrued foreign capital gains taxes of $25,008. |
See notes to financial statements.
AB POOLING PORTFOLIOS • | 249 |
Statement of Operations
AB Bond Inflation Protection | AB High-Yield | AB Small-Mid Cap Value | ||||||||||
Investment Income | ||||||||||||
Interest | $ | 831,209 | $ | 9,393,102 | $ | – 0 | – | |||||
Dividends | ||||||||||||
Unaffiliated issuers | 97,983 | 302,868 | 1,928,145 | |||||||||
Affiliated issuers | 14,355 | 21,820 | 16,715 | |||||||||
Securities lending income | – 0 | – | – 0 | – | 51,365 | |||||||
Other income | 1,087 | 8,184 | – 0 | – | ||||||||
|
|
|
|
|
| |||||||
Total income | 944,634 | 9,725,974 | 1,996,225 | |||||||||
|
|
|
|
|
| |||||||
Expenses | ||||||||||||
Custodian | 96,084 | 113,370 | 44,495 | |||||||||
Audit and tax | 36,284 | 64,845 | 23,136 | |||||||||
Administrative | 16,592 | 19,854 | 16,209 | |||||||||
Legal | 17,371 | 17,371 | 17,371 | |||||||||
Trustees’ fees | 9,810 | 9,810 | 9,810 | |||||||||
Printing | 2,608 | 2,495 | 3,180 | |||||||||
Registration fees | 578 | 578 | 249 | |||||||||
Miscellaneous | 24,178 | 6,654 | 3,167 | |||||||||
|
|
|
|
|
| |||||||
Total expenses before interest expense | 203,505 | 234,977 | 117,617 | |||||||||
Interest expense | 550,046 | 2,662 | – 0 | – | ||||||||
|
|
|
|
|
| |||||||
Total expenses | 753,551 | 237,639 | 117,617 | |||||||||
|
|
|
|
|
| |||||||
Net investment income | 191,083 | 9,488,335 | 1,878,608 | |||||||||
|
|
|
|
|
| |||||||
Realized and Unrealized Gain (Loss) on Investment and Foreign Currency Transactions | ||||||||||||
Net realized gain (loss) on: | ||||||||||||
Investment transactions | (3,176,660 | ) | (7,109,715 | ) | 1,435,307 | |||||||
Futures | (1,878,935 | ) | 311,203 | – 0 | – | |||||||
Options written | 46,316 | 307,513 | – 0 | – | ||||||||
Swaptions written | – 0 | – | 94,969 | – 0 | – | |||||||
Swaps | (861,555 | ) | (576,266 | ) | – 0 | – | ||||||
Foreign currency transactions | 1,652,536 | (907,888 | ) | – 0 | – | |||||||
Net change in unrealized appreciation/depreciation of: | ||||||||||||
Investments | 10,508,461 | (18,216,322 | ) | (18,728,919 | ) | |||||||
Futures | (228,660 | ) | 24,608 | – 0 | – | |||||||
Options written | – 0 | – | (160,320 | ) | – 0 | – | ||||||
Swaptions written | – 0 | – | (7,539 | ) | – 0 | – | ||||||
Swaps | (667,427 | ) | (1,635,974 | ) | – 0 | – | ||||||
Foreign currency denominated assets and liabilities | (478,374 | ) | 98,743 | – 0 | – | |||||||
|
|
|
|
|
| |||||||
Net gain (loss) on investment and foreign currency transactions | 4,915,702 | (27,776,988 | ) | (17,293,612 | ) | |||||||
|
|
|
|
|
| |||||||
Net Increase (Decrease) in Net Assets from Operations | $ | 5,106,785 | $ | (18,288,653 | ) | $ | (15,415,004 | ) | ||||
|
|
|
|
|
|
See notes to financial statements.
250 | • AB POOLING PORTFOLIOS |
Statement of Operations
AB Small-Mid Cap Growth | AB Multi-Asset Real Return* | AB Volatility Management | ||||||||||
Investment Income | ||||||||||||
Dividends | ||||||||||||
Unaffiliated issuers (net of foreign taxes withheld of $0, $364,200 and $254,097, respectively) | $ | 555,316 | $ | 8,476,365 | $ | 8,772,242 | ||||||
Affiliated issuers | 16,511 | 74,093 | 352,481 | |||||||||
Interest | – 0 | – | (1,688,311 | )** | 11,020 | |||||||
Securities lending income | 26,766 | 203,217 | 127,831 | |||||||||
|
|
|
|
|
| |||||||
Total income | 598,593 | 7,065,364 | 9,263,574 | |||||||||
|
|
|
|
|
| |||||||
Expenses | ||||||||||||
Custodian | 63,741 | 158,603 | 171,606 | |||||||||
Audit and tax | 21,181 | 46,834 | 44,530 | |||||||||
Administrative | 16,209 | 16,602 | 21,063 | |||||||||
Legal | 17,371 | 17,425 | 17,022 | |||||||||
Trustees’ fees | 9,865 | 9,810 | 10,509 | |||||||||
Printing | 3,180 | 3,525 | 2,926 | |||||||||
Transfer agency | – 0 | – | 5,975 | – 0 | – | |||||||
Registration fees | 577 | 249 | 269 | |||||||||
Miscellaneous | 3,131 | 60,391 | 82,366 | |||||||||
|
|
|
|
|
| |||||||
Total expenses | 135,255 | 319,414 | 350,291 | |||||||||
|
|
|
|
|
| |||||||
Net investment income | 463,338 | 6,745,950 | 8,913,283 | |||||||||
|
|
|
|
|
|
See notes to financial statements.
AB POOLING PORTFOLIOS • | 251 |
Statement of Operations
AB Small-Mid Cap Growth | AB Multi-Asset Real Return* | AB Volatility Management | ||||||||||
Realized and Unrealized Gain (Loss) on Investment and Foreign Currency Transactions | ||||||||||||
Net realized gain (loss) on: | ||||||||||||
Investment transactions | $ | 5,771,182 | $ | (86,951,607 | )(a) | $ | 6,015,456 | |||||
Futures | – 0 | – | (40,313,458 | ) | (29,347,387 | ) | ||||||
Options written | – 0 | – | (2,129,588 | ) | (177,162 | ) | ||||||
Swaps | – 0 | – | (40,391,444 | ) | (20,640,071 | ) | ||||||
Foreign currency transactions | – 0 | – | (3,275,164 | ) | 2,103,346 | |||||||
Net change in unrealized appreciation/depreciation of: | ||||||||||||
Investments | (37,956,506 | ) | 52,481,794 | (b) | (46,845,581 | ) | ||||||
Futures | – 0 | – | 20,617,726 | 393,551 | ||||||||
Options written | – 0 | – | (1,252,829 | ) | – 0 | – | ||||||
Swaps | – 0 | – | (5,788,413 | ) | 9,825,604 | |||||||
Foreign currency denominated assets and liabilities | – 0 | – | 28,747 | 4,255,828 | ||||||||
|
|
|
|
|
| |||||||
Net loss on investment and foreign currency transactions | (32,185,324 | ) | (106,974,236 | ) | (74,416,416 | ) | ||||||
|
|
|
|
|
| |||||||
Contributions from Affiliates (see Note B) | – 0 | – | 308 | – 0 | – | |||||||
|
|
|
|
|
| |||||||
Net Decrease in Net Assets from Operations | $ | (31,721,986 | ) | $ | (100,227,978 | ) | $ | (65,503,133 | ) | |||
|
|
|
|
|
|
* | Consolidated (see Note A). |
** | The negative interest income reflects interest income adjusted for fluctuation in the inflation index related to TIPS and amortization of premiums. |
(a) | Net of foreign capital gains taxes of $302. |
(b) | Net of increase in accrued foreign capital gains taxes of $364. |
See notes to financial statements.
252 | • AB POOLING PORTFOLIOS |
Statement of Operations
STATEMENT OF CHANGES IN NET ASSETS
AB U.S. Value | ||||||||
Six Months Ended February 29, 2016 (unaudited) | Year Ended August 31, 2015 | |||||||
Increase (Decrease) in Net Assets from Operations | ||||||||
Net investment income | $ | 4,273,755 | $ | 10,423,306 | ||||
Net realized gain on investment transactions | 5,409,790 | 64,316,719 | ||||||
Net change in unrealized appreciation/depreciation of investments | (19,851,157 | ) | (93,484,850 | ) | ||||
|
|
|
| |||||
Net decrease in net assets from operations | (10,167,612 | ) | (18,744,825 | ) | ||||
Dividends to Shareholders from | ||||||||
Net investment income | (5,546,217 | ) | (10,546,202 | ) | ||||
Transactions in Shares of Beneficial Interest | ||||||||
Net decrease | (126,507,384 | ) | (59,954,975 | ) | ||||
|
|
|
| |||||
Total decrease | (142,221,213 | ) | (89,246,002 | ) | ||||
Net Assets | ||||||||
Beginning of period | 449,473,085 | 538,719,087 | ||||||
|
|
|
| |||||
End of period (including undistributed net investment income of $1,154,374 and $2,426,836, respectively) | $ | 307,251,872 | $ | 449,473,085 | ||||
|
|
|
|
See notes to financial statements.
AB POOLING PORTFOLIOS • | 253 |
Statement of Changes in Net Assets
AB U.S. Large Cap Growth | ||||||||
Six Months Ended February 29, 2016 (unaudited) | Year Ended August 31, 2015 | |||||||
Increase (Decrease) in Net Assets from Operations | ||||||||
Net investment income | $ | 1,529,013 | $ | 4,272,576 | ||||
Net realized gain on investment transactions | 46,159,432 | 95,323,469 | ||||||
Net change in unrealized appreciation/depreciation of investments | (40,789,627 | ) | (42,723,450 | ) | ||||
|
|
|
| |||||
Net increase in net assets from operations | 6,898,818 | 56,872,595 | ||||||
Dividends and Distributions to Shareholders from | ||||||||
Net investment income | (2,018,368 | ) | (4,419,633 | ) | ||||
Net realized gain on investment transactions | (87,350,839 | ) | (164,984,584 | ) | ||||
Transactions in Shares of Beneficial Interest | ||||||||
Net increase (decrease) | (64,418,592 | ) | 28,602,127 | |||||
|
|
|
| |||||
Total decrease | (146,888,981 | ) | (83,929,495 | ) | ||||
Net Assets | ||||||||
Beginning of period | 453,585,170 | 537,514,665 | ||||||
|
|
|
| |||||
End of period (including undistributed net investment income of $309,579 and $798,934, respectively) | $ | 306,696,189 | $ | 453,585,170 | ||||
|
|
|
|
See notes to financial statements.
254 | • AB POOLING PORTFOLIOS |
Statement of Changes in Net Assets
AB International Value | ||||||||
Six Months Ended February 29, 2016 (unaudited) | Year Ended August 31, 2015 | |||||||
Increase (Decrease) in Net Assets from Operations | ||||||||
Net investment income | $ | 2,687,933 | $ | 11,010,164 | ||||
Net realized gain (loss) on investment transactions and foreign currency transactions | (20,218,422 | ) | 28,419,103 | |||||
Net change in unrealized appreciation/depreciation of investments and foreign currency denominated assets and liabilities | 1,567,488 | (74,564,639 | ) | |||||
|
|
|
| |||||
Net decrease in net assets from operations | (15,963,001 | ) | (35,135,372 | ) | ||||
Dividends to Shareholders from | ||||||||
Net investment income | (15,426,120 | ) | (31,500,480 | ) | ||||
Transactions in Shares of Beneficial Interest | ||||||||
Net decrease | (88,048,009 | ) | (10,898,240 | ) | ||||
|
|
|
| |||||
Total decrease | (119,437,130 | ) | (77,534,092 | ) | ||||
Net Assets | ||||||||
Beginning of period | 372,389,276 | 449,923,368 | ||||||
|
|
|
| |||||
End of period (including undistributed net investment income of $1,673,440 and $14,411,627, respectively) | $ | 252,952,146 | $ | 372,389,276 | ||||
|
|
|
|
See notes to financial statements.
AB POOLING PORTFOLIOS • | 255 |
Statement of Changes in Net Assets
AB International Growth | ||||||||
Six Months Ended February 29, 2016 (unaudited) | Year Ended August 31, 2015 | |||||||
Increase (Decrease) in Net Assets from Operations | ||||||||
Net investment income | $ | 1,406,080 | $ | 7,243,119 | ||||
Net realized gain on investment transactions and foreign currency transactions | 2,182,058 | 311,614 | ||||||
Net change in unrealized appreciation/depreciation of investments and foreign currency denominated assets and liabilities | (18,576,627 | ) | (53,827,273 | ) | ||||
|
|
|
| |||||
Net decrease in net assets from operations | (14,988,489 | ) | (46,272,540 | ) | ||||
Dividends to Shareholders from | ||||||||
Net investment income | (5,100,976 | ) | (6,877,393 | ) | ||||
Transactions in Shares of Beneficial Interest | ||||||||
Net decrease | (101,772,404 | ) | (19,038,027 | ) | ||||
|
|
|
| |||||
Total decrease | (121,861,869 | ) | (72,187,960 | ) | ||||
Net Assets | ||||||||
Beginning of period | 375,250,174 | 447,438,134 | ||||||
|
|
|
| |||||
End of period (including undistributed net investment income of $787,728 and $4,482,624, respectively) | $ | 253,388,305 | $ | 375,250,174 | ||||
|
|
|
|
See notes to financial statements.
256 | • AB POOLING PORTFOLIOS |
Statement of Changes in Net Assets
AB Short Duration Bond | ||||||||
Six Months Ended February 29, 2016 (unaudited) | Year Ended August 31, 2015 | |||||||
Increase (Decrease) in Net Assets from Operations | ||||||||
Net investment income | $ | 5,036,276 | $ | 8,482,411 | ||||
Net realized gain (loss) on investment transactions and foreign currency transactions | (179,713 | ) | 252,215 | |||||
Net change in unrealized appreciation/depreciation of investments and foreign currency denominated assets and liabilities | (424,431 | ) | (638,886 | ) | ||||
|
|
|
| |||||
Net increase in net assets from operations | 4,432,132 | 8,095,740 | ||||||
Dividends and Distributions to Shareholders from | ||||||||
Net investment income | (5,377,259 | ) | (9,366,087 | ) | ||||
Transactions in Shares of Beneficial Interest | ||||||||
Net decrease | (59,421,460 | ) | (62,286,298 | ) | ||||
|
|
|
| |||||
Total decrease | (60,366,587 | ) | (63,556,645 | ) | ||||
Net Assets | ||||||||
Beginning of period | 898,405,437 | 961,962,082 | ||||||
|
|
|
| |||||
End of period (including undistributed net investment income of $81,541 and $422,524, respectively) | $ | 838,038,850 | $ | 898,405,437 | ||||
|
|
|
|
See notes to financial statements.
AB POOLING PORTFOLIOS • | 257 |
Statement of Changes in Net Assets
AB Global Core Bond | ||||||||
Six Months Ended February 29, 2016 (unaudited) | Year Ended August 31, 2015 | |||||||
Increase (Decrease) in Net Assets from Operations | ||||||||
Net investment income | $ | 11,032,844 | $ | 25,345,727 | ||||
Net realized gain on investment transactions and foreign currency transactions | 7,568,545 | 40,807,503 | ||||||
Net change in unrealized appreciation/depreciation of investments and foreign currency denominated assets and liabilities | 6,366,105 | (44,771,880 | ) | |||||
|
|
|
| |||||
Net increase in net assets from operations | 24,967,494 | 21,381,350 | ||||||
Dividends and Distributions to Shareholders from | ||||||||
Net investment income | (32,925,992 | ) | (49,923,999 | ) | ||||
Net realized gain on investment transactions | – 0 | – | (17,075,288 | ) | ||||
Transactions in Shares of Beneficial Interest | ||||||||
Net decrease | (130,416,654 | ) | (55,051,244 | ) | ||||
|
|
|
| |||||
Total decrease | (138,375,152 | ) | (100,669,181 | ) | ||||
Net Assets | ||||||||
Beginning of period | 930,995,363 | 1,031,664,544 | ||||||
|
|
|
| |||||
End of period (including distributions in excess of net investment income of ($2,139,468) and undistributed net investment income of $19,753,680, respectively) | $ | 792,620,211 | $ | 930,995,363 | ||||
|
|
|
|
See notes to financial statements.
258 | • AB POOLING PORTFOLIOS |
Statement of Changes in Net Assets
AB Bond Inflation Protection | ||||||||
Six Months Ended February 29, 2016 (unaudited) | Year Ended August 31, 2015 | |||||||
Increase (Decrease) in Net Assets from Operations | ||||||||
Net investment income | $ | 191,083 | $ | 9,328,243 | ||||
Net realized gain (loss) on investment transactions and foreign currency transactions | (4,218,298 | ) | 2,526,143 | |||||
Net change in unrealized appreciation/depreciation of investments and foreign currency denominated assets and liabilities | 9,134,000 | (32,330,401 | ) | |||||
|
|
|
| |||||
Net increase (decrease) in net assets from operations | 5,106,785 | (20,476,015 | ) | |||||
Dividends and Distributions to Shareholders from | ||||||||
Net investment income | (16,335,075 | ) | (25,002,844 | ) | ||||
Transactions in Shares of Beneficial Interest | ||||||||
Net decrease | (69,855,094 | ) | (13,881,235 | ) | ||||
|
|
|
| |||||
Total decrease | (81,083,384 | ) | (59,360,094 | ) | ||||
Net Assets | ||||||||
Beginning of period | 717,018,268 | 776,378,362 | ||||||
|
|
|
| |||||
End of period (including distributions in excess of net investment income of ($75,692) and undistributed net investment income of $16,068,300, respectively) | $ | 635,934,884 | $ | 717,018,268 | ||||
|
|
|
|
See notes to financial statements.
AB POOLING PORTFOLIOS • | 259 |
Statement of Changes in Net Assets
AB High-Yield | ||||||||
Six Months Ended February 29, 2016 (unaudited) | Year Ended August 31, 2015 | |||||||
Increase (Decrease) in Net Assets from Operations | ||||||||
Net investment income | $ | 9,488,335 | $ | 22,450,149 | ||||
Net realized gain (loss) on investment transactions and foreign currency transactions | (7,880,184 | ) | 3,015,460 | |||||
Net change in unrealized appreciation/depreciation of investments and foreign currency denominated assets and liabilities | (19,896,804 | ) | (33,458,218 | ) | ||||
|
|
|
| |||||
Net decrease in net assets from operations | (18,288,653 | ) | (7,992,609 | ) | ||||
Dividends to Shareholders from | ||||||||
Net investment income | (10,334,061 | ) | (24,694,123 | ) | ||||
Transactions in Shares of Beneficial Interest | ||||||||
Net decrease | (41,981,050 | ) | (9,408,030 | ) | ||||
|
|
|
| |||||
Total decrease | (70,603,764 | ) | (42,094,762 | ) | ||||
Net Assets | ||||||||
Beginning of period | 322,839,249 | 364,934,011 | ||||||
|
|
|
| |||||
End of period (including undistributed net investment income of $4,132,914 and $4,978,640, respectively) | $ | 252,235,485 | $ | 322,839,249 | ||||
|
|
|
|
See notes to financial statements.
260 | • AB POOLING PORTFOLIOS |
Statement of Changes in Net Assets
AB Small-Mid Cap Value | ||||||||
Six Months Ended February 29, 2016 (unaudited) | Year Ended August 31, 2015 | |||||||
Increase (Decrease) in Net Assets from Operations | ||||||||
Net investment income | $ | 1,878,608 | $ | 3,793,061 | ||||
Net realized gain on investment transactions | 1,435,307 | 31,868,252 | ||||||
Net change in unrealized appreciation/depreciation of investments | (18,728,919 | ) | (38,624,613 | ) | ||||
|
|
|
| |||||
Net decrease in net assets from operations | (15,415,004 | ) | (2,963,300 | ) | ||||
Dividends and Distributions to Shareholders from | ||||||||
Net investment income | (2,294,681 | ) | (4,014,970 | ) | ||||
Net realized gain on investment transactions | (30,013,388 | ) | (59,227,347 | ) | ||||
Transactions in Shares of Beneficial Interest | ||||||||
Net increase (decrease) | (7,735,270 | ) | 24,794,977 | |||||
|
|
|
| |||||
Total decrease | (55,458,343 | ) | (41,410,640 | ) | ||||
Net Assets | ||||||||
Beginning of period | 281,723,772 | 323,134,412 | ||||||
|
|
|
| |||||
End of period (including undistributed net investment income of $491,990 and $908,063, respectively) | $ | 226,265,429 | $ | 281,723,772 | ||||
|
|
|
|
See notes to financial statements.
AB POOLING PORTFOLIOS • | 261 |
Statement of Changes in Net Assets
AB Small-Mid Cap Growth | ||||||||
Six Months Ended February 29, 2016 (unaudited) | Year Ended August 31, 2015 | |||||||
Increase (Decrease) in Net Assets from Operations | ||||||||
Net investment income | $ | 463,338 | $ | 23,206 | ||||
Net realized gain on investment transactions | 5,771,182 | 40,108,039 | ||||||
Net change in unrealized appreciation/depreciation of investments | (37,956,506 | ) | (26,241,212 | ) | ||||
|
|
|
| |||||
Net increase (decrease) in net assets from operations | (31,721,986 | ) | 13,890,033 | |||||
Dividends and Distributions to Shareholders from | ||||||||
Net investment income | (186,379 | ) | (1,742,103 | ) | ||||
Net realized gain on investment transactions | (34,385,309 | ) | (49,602,665 | ) | ||||
Transactions in Shares of Beneficial Interest | ||||||||
Net decrease | (1,395,777 | ) | (4,871,959 | ) | ||||
|
|
|
| |||||
Total decrease | (67,689,451 | ) | (42,326,694 | ) | ||||
Net Assets | ||||||||
Beginning of period | 279,873,136 | 322,199,830 | ||||||
|
|
|
| |||||
End of period (including undistributed net investment income of $469,729 and $192,770, respectively) | $ | 212,183,685 | $ | 279,873,136 | ||||
|
|
|
|
See notes to financial statements.
262 | • AB POOLING PORTFOLIOS |
Statement of Changes in Net Assets
AB Multi-Asset Real Return* | ||||||||
Six Months Ended February 29, 2016 (unaudited) | Year Ended August 31, 2015 | |||||||
Increase (Decrease) in Net Assets from Operations | ||||||||
Net investment income | $ | 6,745,950 | $ | 18,865,955 | ||||
Net realized loss on investment transactions and foreign currency transactions | (173,061,261 | ) | (153,651,203 | ) | ||||
Net change in unrealized appreciation/depreciation of investments and foreign currency denominated assets and liabilities | 66,087,025 | (135,438,305 | ) | |||||
Contributions from Affiliates | 308 | 394 | ||||||
|
|
|
| |||||
Net decrease in net assets from operations | (100,227,978 | ) | (270,223,159 | ) | ||||
Dividends to Shareholders from | ||||||||
Net investment income | (24,008,166 | ) | (28,954,469 | ) | ||||
Transactions in Shares of Beneficial Interest | ||||||||
Net increase (decrease) | (265,243,780 | ) | 331,826,656 | |||||
|
|
|
| |||||
Total increase (decrease) | (389,479,924 | ) | 32,649,028 | |||||
Net Assets | ||||||||
Beginning of period | 832,826,632 | 800,177,604 | ||||||
|
|
|
| |||||
End of period (including undistributed net investment income of $367,548 and $17,629,764, respectively) | $ | 443,346,708 | $ | 832,826,632 | ||||
|
|
|
|
* | Consolidated (see Note A). |
See notes to financial statements.
AB POOLING PORTFOLIOS • | 263 |
Statement of Changes in Net Assets
AB Volatility Management | ||||||||
Six Months Ended February 29, 2016 (unaudited) | Year Ended August 31, 2015 | |||||||
Increase (Decrease) in Net Assets from Operations | ||||||||
Net investment income | $ | 8,913,283 | $ | 28,757,977 | ||||
Net realized gain (loss) on investment transactions and foreign currency transactions | (42,045,818 | ) | 63,672,000 | |||||
Net change in unrealized appreciation/depreciation of investments and foreign currency denominated assets and liabilities | (32,370,598 | ) | (132,331,118 | ) | ||||
|
|
|
| |||||
Net decrease in net assets from operations | (65,503,133 | ) | (39,901,141 | ) | ||||
Dividends and Distributions to Shareholders from | ||||||||
Net investment income | (27,908,683 | ) | (42,440,599 | ) | ||||
Net realized gain on investment transactions | (34,208,680 | ) | (64,224,989 | ) | ||||
Transactions in Shares of Beneficial Interest | ||||||||
Net decrease | (91,051,980 | ) | (69,727,247 | ) | ||||
|
|
|
| |||||
Total decrease | (218,672,476 | ) | (216,293,976 | ) | ||||
Net Assets | ||||||||
Beginning of period | 1,277,984,057 | 1,494,278,033 | ||||||
|
|
|
| |||||
End of period (including undistributed net investment income of $10,198,863 and $29,194,263, respectively) | $ | 1,059,311,581 | $ | 1,277,984,057 | ||||
|
|
|
|
See notes to financial statements.
264 | • AB POOLING PORTFOLIOS |
Statement of Changes in Net Assets
STATEMENT OF CASH FLOWS
For the Six Months Ended February 29, 2016 (unaudited)
AB Bond Inflation Protection* | ||||||||
Cash flows from operating activities | ||||||||
Net increase in net assets from operations | $ | 5,106,785 | ||||||
Reconciliation of Net Increase in Net Assets from Operations to Net Increase in Cash from Operating Activities: | ||||||||
Increase in interest and dividends receivable | $ | (131,324 | ) | |||||
Decrease in receivable for investments sold | 65,146,174 | |||||||
Net accretion of bond discount and amortization of bond premium | 1,123,394 | |||||||
Inflation index adjustment | 4,840,266 | |||||||
Decrease in payable for investments purchased | (16,049,694 | ) | ||||||
Decrease in accrued expenses | (36,588 | ) | ||||||
Increase in cash collateral due from broker | (479,849 | ) | ||||||
Purchases of long-term investments | (147,252,802 | ) | ||||||
Purchases of short-term investments | (243,841,680 | ) | ||||||
Proceeds from disposition of long-term investments | 190,389,204 | |||||||
Proceeds from disposition of short-term investments | 210,982,349 | |||||||
Payments from options written, net | 45,534 | |||||||
Payments on swaps, net | (888,656 | ) | ||||||
Payments for exchange-traded derivatives settlements | (1,451,074 | ) | ||||||
Net realized loss on investment transactions | 4,218,298 | |||||||
Net change in unrealized appreciation/depreciation of investments and foreign currency denominated assets and liabilities | (9,134,000 | ) | ||||||
|
| |||||||
Total adjustments | 57,479,552 | |||||||
|
| |||||||
Net increase in cash from operating activities | $ | 62,586,337 | ||||||
|
| |||||||
Financing Activities: | ||||||||
Redemptions of beneficial interest stock, net | (86,826,484 | ) | ||||||
Increase in due to custodian | 741,788 | |||||||
Cash dividends paid (net of dividend reinvestments)** | – 0 | – | ||||||
Increase in reverse repurchase agreements | 28,118,152 | |||||||
|
| |||||||
Net decrease in cash from financing activities | (57,966,544 | ) | ||||||
Effect of exchange rate on cash | 2,111,662 | |||||||
|
| |||||||
Net increase in cash | 6,731,455 | |||||||
Net change in cash | ||||||||
Cash at beginning of period | – 0 | – | ||||||
|
| |||||||
Cash at end of period | $ | 6,731,455 | ||||||
|
| |||||||
** Reinvestment of dividends | $ | 16,335,075 | ||||||
Supplemental disclosure of cash flow information: | ||||||||
Interest expense paid during the period | $ | 448,295 |
* | In accordance with U.S. GAAP, the Portfolio has included a Statement of Cash Flows as a result of its significant investments in reverse repurchase agreements throughout the period. |
See notes to financial statements.
AB POOLING PORTFOLIOS • | 265 |
Statement of Cash Flows
NOTES TO FINANCIAL STATEMENTS
February 29, 2016 (unaudited)
NOTE A
Significant Accounting Policies
The AB 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 12 separate series: AB U.S. Value Portfolio, AB U.S. Large Cap Growth Portfolio, AB International Value Portfolio, AB International Growth Portfolio, AB Short Duration Bond Portfolio, AB Global Core Bond Portfolio, AB Bond Inflation Protection Portfolio, AB High-Yield Portfolio, AB Small-Mid Cap Value Portfolio, AB Small-Mid Cap Growth Portfolio, AB Multi-Asset Real Return Portfolio and AB Volatility Management Portfolio (collectively, the “Portfolios”). As part of AB 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 AB 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, 2016, net assets of the AB Multi-Asset Real Return Portfolio amounted to $443,346,708, of which $87,260,982, or 20%, represented the Portfolio’s ownership of all issued shares and voting rights of the Subsidiary. This report presents the consolidated financial statements and consolidated portfolio of investments of AB 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 the reporting period. Actual results could differ from those estimates. The Trust is an investment company under U.S. GAAP and follows the accounting and reporting guidance applicable to investment companies. The following is a summary of significant accounting policies followed by the Portfolios.
266 | • AB POOLING PORTFOLIOS |
Notes to Financial Statements
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 (the “Board”).
In general, the market values of securities which are readily available and deemed reliable are determined as follows: securities listed on a national securities exchange (other than securities listed on the NASDAQ Stock Market, Inc. (“NASDAQ”)) or on a foreign securities exchange are valued at the last sale price at the close of the exchange or foreign securities exchange. If there has been no sale on such day, the securities are valued at the last traded price from the previous day. Securities listed on more than one exchange are valued by reference to the principal exchange on which the securities are traded; securities listed only on NASDAQ are valued in accordance with the NASDAQ Official Closing Price; listed or over the counter (“OTC”) market put or call options are valued at the mid level between the current bid and ask prices. If either a current bid or current ask price is unavailable, the Adviser will have discretion to determine the best valuation (e.g. last trade price in the case of listed options); open futures are valued using the closing settlement price or, in the absence of such a price, the most recent quoted bid price. If there are no quotations available for the day of valuation, the last available closing settlement price is used; U.S. Government securities and any other debt instruments having 60 days or less remaining until maturity are generally valued at market by an independent pricing vendor, if a market price is available. If a market price is not available, the securities are valued at amortized cost. This methodology is commonly used for short term securities that have an original maturity of 60 days or less, as well as short term securities that had an original term to maturity that exceeded 60 days. In instances when amortized cost is utilized, the Valuation Committee (the “Committee”) must reasonably conclude that the utilization of amortized cost is approximately the same as the fair value of the security. Such factors the Committee will consider include, but are not limited to, an impairment of the creditworthiness of the issuer or material changes in interest rates. Fixed-income securities, including mortgage-backed and asset-backed securities, may be valued on the basis of prices provided by a pricing service or at a price obtained from one or more of the major broker-dealers. In cases where broker-dealer quotes are obtained, the Adviser may establish procedures whereby changes in market yields or spreads are used to adjust, on a daily basis, a recently obtained quoted price on a security. Swaps and other derivatives are valued daily, primarily using independent pricing services, independent pricing models using market inputs, as well as third party broker-dealers or counterparties. Investment companies are valued at their net asset value each day.
AB POOLING PORTFOLIOS • | 267 |
Notes to Financial Statements
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 may use fair value pricing for securities primarily traded in non-U.S. markets because most foreign markets close well before the Portfolios value their securities at 4:00 p.m., Eastern Time. The earlier close of these foreign markets gives rise to the possibility that significant events, including broad market moves, may have occurred in the interim and may materially affect the value of those securities. To account for this, the Portfolios may frequently value many of its foreign equity securities using fair value prices based on third party vendor modeling tools to the extent available.
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. U.S. GAAP establishes a framework for measuring fair value, and a three-level hierarchy for fair value measurements based upon the transparency of inputs to the valuation of an asset or liability (including those valued based on their market values as described in Note A.1 above). Inputs may be observable or unobservable and refer broadly to the assumptions that market participants would use in pricing the asset or liability. Observable inputs reflect the assumptions market participants would use in pricing the asset or liability based on market data obtained from sources independent of the Portfolios. Unobservable inputs reflect the Portfolios’ own assumptions about the assumptions that market participants would use in pricing the asset or liability based on the best information available in the circumstances. Each investment is assigned a level based upon the observability of the inputs which are significant to the overall valuation. The three-tier hierarchy of inputs is summarized below.
• | Level 1—quoted prices in active markets for identical 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) |
The fair value of debt instruments, such as bonds, and over-the-counter derivatives is generally based on market price quotations, recently executed market transactions (where observable) or industry recognized modeling techniques and are generally classified as Level 2. Pricing vendor inputs to Level 2 valuations may include quoted prices for similar investments in active markets, interest rate curves, coupon rates, currency rates, yield curves, option adjusted spreads, default rates, credit spreads and other unique security features in order to estimate the relevant cash flows which are then discounted to calculate fair
268 | • AB POOLING PORTFOLIOS |
Notes to Financial Statements
values. If these inputs are unobservable and significant to the fair value, these investments will be classified as Level 3. In addition, non-agency rated investments are classified as Level 3.
Where readily available market prices or relevant bid prices are not available for certain equity investments, such investments may be valued based on similar publicly traded investments, movements in relevant indices since last available prices or based upon underlying company fundamentals and comparable company data (such as multiples to earnings or other multiples to equity). Where an investment is valued using an observable input, such as another publicly traded security, the investment will be classified as Level 2. If management determines that an adjustment is appropriate based on restrictions on resale, illiquidity or uncertainty, and such adjustment is a significant component of the valuation, the investment will be classified as Level 3. An investment will also be classified as Level 3 where management uses company fundamentals and other significant inputs to determine the valuation.
Options are valued using market-based inputs to models, broker or dealer quotations, or alternative pricing sources with reasonable levels of price transparency, where such inputs and models are available. Alternatively the values may be obtained through unobservable management determined inputs and/or management’s proprietary models. Where models are used, the selection of a particular model to value an option depends upon the contractual terms of, and specific risks inherent in, the option as well as the availability of pricing information in the market. Valuation models require a variety of inputs, including contractual terms, market prices, measures of volatility and correlations of such inputs. Exchange traded options generally will be classified as Level 2. For options that do not trade on exchange but trade in liquid markets, inputs can generally be verified and model selection does not involve significant management judgment. Options are classified within Level 2 on the fair value hierarchy when all of the significant inputs can be corroborated to market evidence. Otherwise such instruments are classified as Level 3.
Valuations of mortgage-backed or other asset-backed securities, by pricing vendors, are based on both proprietary and industry recognized models and discounted cash flow techniques. Significant inputs to the valuation of these instruments are value of the collateral, the rates and timing of delinquencies, the rates and timing of prepayments, and default and loss expectations, which are driven in part by housing prices for residential mortgages. Significant inputs are determined based on relative value analyses, which incorporate comparisons to instruments with similar collateral and risk profiles, including relevant indices. Mortgage and asset-backed securities for which management has collected current observable data through pricing services are generally categorized within Level 2. Those investments for which current observable data has not been provided are classified as Level 3.
AB POOLING PORTFOLIOS • | 269 |
Notes to Financial Statements
Bank loan prices are provided by third party pricing services and consist of a composite of the quotes received by the vendor into a consensus price. Bank loans are classified as Level 3, as significant input used in the fair value measurement of these instruments is the market quotes that are received by the vendor and these inputs are not observable.
Other fixed income investments, including non-U.S. government and corporate debt, are generally valued using quoted market prices, if available, which are typically impacted by current interest rates, maturity dates and any perceived credit risk of the issuer. Additionally, in the absence of quoted market prices, these inputs are used by pricing vendors to derive a valuation based upon industry or proprietary models which incorporate issuer specific data with relevant yield/spread comparisons with more widely quoted bonds with similar key characteristics. Those investments for which there are observable inputs are classified as Level 2. Where the inputs are not observable, the investments are classified as Level 3.
The following table summarizes the valuation of the Portfolios’ investments by the above fair value hierarchy levels as of February 29, 2016:
AB U.S. Value Portfolio | ||||||||||||||||
Investments in Securities: | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Assets: | ||||||||||||||||
Common Stocks(a) | $ | 305,127,598 | $ | – 0 | – | $ | – 0 | – | $ | 305,127,598 | ||||||
Short-Term Investments | 5,675,116 | – 0 | – | – 0 | – | 5,675,116 | ||||||||||
Investments of Cash Collateral for Securities Loaned in Affiliated Money Market Fund | 3,846,918 | – 0 | – | – 0 | – | 3,846,918 | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Investments in Securities | 314,649,632 | – 0 | – | – 0 | – | 314,649,632 | ||||||||||
Other Financial Instruments(b) | – 0 | – | – 0 | – | – 0 | – | – 0 | – | ||||||||
|
|
|
|
|
|
|
| |||||||||
Total(c) | $ | 314,649,632 | $ | – 0 | – | $ | – 0 | – | $ | 314,649,632 | ||||||
|
|
|
|
|
|
|
| |||||||||
AB U.S. Large Cap Growth Portfolio | ||||||||||||||||
Investments in Securities: | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Assets: | ||||||||||||||||
Common Stocks(a) | $ | 293,168,482 | $ | – 0 | – | – 0 | – | $ | 293,168,482 | |||||||
Short-Term Investments | 9,714,991 | – 0 | – | – 0 | – | 9,714,991 | ||||||||||
Investments of Cash Collateral for Securities Loaned in Affiliated Money Market Fund | 4,407,349 | – 0 | – | – 0 | – | 4,407,349 | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Investments in Securities | 307,290,822 | – 0 | – | – 0 | – | 307,290,822 |
270 | • AB POOLING PORTFOLIOS |
Notes to Financial Statements
Investments in Securities: | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Other Financial Instruments(b) | $ | – 0 | – | $ | – 0 | – | $ | – 0 | – | $ | – 0 | – | ||||
|
|
|
|
|
|
|
| |||||||||
Total(c) | $ | 307,290,822 | $ | – 0 | – | $ | – 0 | – | $ | 307,290,822 | ||||||
|
|
|
|
|
|
|
| |||||||||
AB International Value Portfolio | ||||||||||||||||
Investments in Securities: | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Assets: | ||||||||||||||||
Common Stocks: | ||||||||||||||||
Financials | $ | 10,153,429 | $ | 54,271,394 | $ | – 0 | – | $ | 64,424,823 | |||||||
Consumer Discretionary | 7,389,474 | 27,784,808 | – 0 | – | 35,174,282 | |||||||||||
Industrials | 1,932,137 | 24,783,945 | – 0 | – | 26,716,082 | |||||||||||
Information Technology | – 0 | – | 24,297,231 | – 0 | – | 24,297,231 | ||||||||||
Telecommunication Services | 2,827,585 | 20,272,070 | – 0 | – | 23,099,655 | |||||||||||
Energy | 2,065,778 | 15,830,490 | – 0 | – | 17,896,268 | |||||||||||
Consumer Staples | 3,665,716 | 13,717,225 | – 0 | – | 17,382,941 | |||||||||||
Materials | 2,738,279 | 12,418,732 | – 0 | – | 15,157,011 | |||||||||||
Utilities | 2,067,561 | 10,663,004 | – 0 | – | 12,730,565 | |||||||||||
Health Care | – 0 | – | 9,901,995 | – 0 | – | 9,901,995 | ||||||||||
Short-Term Investments | 193,727 | – 0 | – | – 0 | – | 193,727 | ||||||||||
Investments of Cash Collateral for Securities Loaned in Affiliated Money Market Fund | 1,072,400 | – 0 | – | – 0 | – | 1,072,400 | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Investments in Securities | 34,106,086 | 213,940,894 | (d) | – 0 | – | 248,046,980 | ||||||||||
Other Financial Instruments(b) | ||||||||||||||||
Assets: | ||||||||||||||||
Forward Currency Exchange Contracts | – 0 | – | 843,116 | – 0 | – | 843,116 | ||||||||||
Liabilities: | ||||||||||||||||
Futures | – 0 | – | (27,594 | ) | – 0 | – | (27,594 | )(e) | ||||||||
Forward Currency Exchange Contracts | – 0 | – | (1,344,546 | ) | – 0 | – | (1,344,546 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Total(c) | $ | 34,106,086 | $ | 213,411,870 | $ | – 0 | – | $ | 247,517,956 | |||||||
|
|
|
|
|
|
|
|
AB POOLING PORTFOLIOS • | 271 |
Notes to Financial Statements
AB International Growth Portfolio | ||||||||||||||||
Investments in Securities: | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Assets: | ||||||||||||||||
Common Stocks: | ||||||||||||||||
Financials | $ | – 0 | – | $ | 55,291,320 | $ | – 0 | – | $ | 55,291,320 | ||||||
Information Technology | 14,773,890 | 30,934,316 | – 0 | – | 45,708,206 | |||||||||||
Consumer Discretionary | 10,675,622 | 30,131,928 | – 0 | – | 40,807,550 | |||||||||||
Industrials | – 0 | – | 40,202,823 | – 0 | – | 40,202,823 | ||||||||||
Health Care | – 0 | – | 33,039,276 | – 0 | – | 33,039,276 | ||||||||||
Consumer Staples | 949,390 | 18,257,633 | – 0 | – | 19,207,023 | |||||||||||
Materials | – 0 | – | 9,091,362 | – 0 | – | 9,091,362 | ||||||||||
Energy | – 0 | – | 1,198,649 | – 0 | – | 1,198,649 | ||||||||||
Utilities | 1,127,940 | – 0 | – | – 0 | – | 1,127,940 | ||||||||||
Telecommunication Services | – 0 | – | 989,801 | – 0 | – | 989,801 | ||||||||||
Short-Term Investments | 3,117,070 | – 0 | – | – 0 | – | 3,117,070 | ||||||||||
Investments of Cash Collateral for Securities Loaned in Affiliated Money Market Fund | 6,467,227 | – 0 | – | – 0 | – | 6,467,227 | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Investments in Securities | 37,111,139 | 219,137,108 | (d) | – 0 | – | 256,248,247 | ||||||||||
Other Financial Instruments(b) | ||||||||||||||||
Assets: | ||||||||||||||||
Forward Currency Exchange Contracts | – 0 | – | 3,621,576 | – 0 | – | 3,621,576 | ||||||||||
Liabilities: | ||||||||||||||||
Forward Currency Exchange Contracts | – 0 | – | (1,042,531 | ) | – 0 | – | (1,042,531 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Total(f),(g) | $ | 37,111,139 | $ | 221,716,153 | $ | – 0 | – | $ | 258,827,292 | |||||||
|
|
|
|
|
|
|
| |||||||||
AB Short Duration Bond Portfolio | ||||||||||||||||
Investments in Securities: | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Assets: | ||||||||||||||||
Governments – Treasuries | $ | – 0 | – | $ | 292,485,637 | $ | – 0 | – | $ | 292,485,637 | ||||||
Asset-Backed Securities | – 0 | – | 135,959,616 | 14,922,795 | (h) | 150,882,411 |
272 | • AB POOLING PORTFOLIOS |
Notes to Financial Statements
Investments in Securities: | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Corporates – Investment Grade | $ | – 0 | – | $ | 150,861,342 | $ | – 0 | – | $ | 150,861,342 | ||||||
Commercial Mortgage-Backed Securities | – 0 | – | 88,439,126 | 1,455,905 | 89,895,031 | |||||||||||
Collateralized Mortgage Obligations | – 0 | – | 38,925,734 | 12,982,471 | 51,908,205 | |||||||||||
Mortgage Pass-Throughs | – 0 | – | 13,682,294 | – 0 | – | 13,682,294 | ||||||||||
Agencies | – 0 | – | 9,407,546 | – 0 | – | 9,407,546 | ||||||||||
Inflation-Linked Securities | – 0 | – | 9,305,884 | – 0 | – | 9,305,884 | ||||||||||
Covered Bonds | – 0 | – | 3,329,967 | – 0 | – | 3,329,967 | ||||||||||
Short-Term Investments | 41,909,621 | – 0 | – | – 0 | – | 41,909,621 | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Investments in Securities | 41,909,621 | 742,397,146 | 29,361,171 | 813,667,938 | ||||||||||||
Other Financial Instruments(b): | ||||||||||||||||
Assets: | ||||||||||||||||
Futures | 2,100 | – 0 | – | – 0 | – | 2,100 | (e) | |||||||||
Centrally Cleared Interest Rate Swaps | – 0 | – | 244,921 | – 0 | – | 244,921 | (e) | |||||||||
Liabilities: | ||||||||||||||||
Futures | (406,822 | ) | – 0 | – | – 0 | – | (406,822 | )(e) | ||||||||
Forward Currency Exchange Contracts | – 0 | – | (2,732,979 | ) | – 0 | – | (2,732,979 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Total(c) | $ | 41,504,899 | $ | 739,909,088 | $ | 29,361,171 | $ | 810,775,158 | ||||||||
|
|
|
|
|
|
|
| |||||||||
AB Global Core Bond Portfolio | ||||||||||||||||
Investments in Securities: | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Assets: | ||||||||||||||||
Governments – Treasuries | $ | – 0 | – | $ | 376,939,532 | $ | – 0 | – | $ | 376,939,532 | ||||||
Corporates – Investment Grade | – 0 | – | 189,905,592 | – 0 | – | 189,905,592 | ||||||||||
Collateralized Mortgage Obligations | – 0 | – | 327,249 | 40,118,376 | 40,445,625 | |||||||||||
Covered Bonds | – 0 | – | 35,085,206 | – 0 | – | 35,085,206 |
AB POOLING PORTFOLIOS • | 273 |
Notes to Financial Statements
Investments in Securities: | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Commercial Mortgage-Backed Securities | $ | – 0 | – | $ | 30,256,878 | $ | 4,438,235 | $ | 34,695,113 | |||||||
Mortgage Pass-Throughs | – 0 | – | 22,671,340 | – 0 | – | 22,671,340 | ||||||||||
Agencies | – 0 | – | 22,645,626 | – 0 | – | 22,645,626 | ||||||||||
Inflation-Linked Securities | – 0 | – | 17,209,910 | – 0 | – | 17,209,910 | ||||||||||
Governments – Sovereign Agencies | – 0 | – | 16,521,885 | – 0 | – | 16,521,885 | ||||||||||
Quasi-Sovereigns | – 0 | – | 6,780,594 | – 0 | – | 6,780,594 | ||||||||||
Supranationals | – 0 | – | 5,920,912 | – 0 | – | 5,920,912 | ||||||||||
Corporates – Non-Investment Grade | – 0 | – | 4,641,033 | – 0 | – | 4,641,033 | ||||||||||
Governments – Sovereign Bonds | – 0 | – | 3,202,426 | – 0 | – | 3,202,426 | ||||||||||
Asset-Backed Securities | – 0 | – | – 0 | – | 3,149,244 | 3,149,244 | ||||||||||
Emerging Markets – Treasuries | – 0 | – | 3,071,785 | – 0 | – | 3,071,785 | ||||||||||
Local Governments – Municipal Bonds | – 0 | – | 2,953,402 | – 0 | – | 2,953,402 | ||||||||||
Emerging Markets – Corporate Bonds | – 0 | – | 1,929,769 | – 0 | – | 1,929,769 | ||||||||||
Short-Term Investments | 5,177,379 | – 0 | – | – 0 | – | 5,177,379 | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Investments in Securities | 5,177,379 | 740,063,139 | 47,705,855 | 792,946,373 | ||||||||||||
Other Financial Instruments(b): | ||||||||||||||||
Assets: | ||||||||||||||||
Futures | 224,015 | – 0 | – | – 0 | – | 224,015 | (e) | |||||||||
Forward Currency Exchange Contracts | – 0 | – | 3,148,996 | – 0 | – | 3,148,996 | ||||||||||
Liabilities: | ||||||||||||||||
Futures | (837,749 | ) | – 0 | – | – 0 | – | (837,749 | )(e) | ||||||||
Forward Currency Exchange Contracts | – 0 | – | (3,622,143 | ) | – 0 | – | (3,622,143 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Total(c) | $ | 4,563,645 | $ | 739,589,992 | $ | 47,705,855 | $ | 791,859,492 | ||||||||
|
|
|
|
|
|
|
|
274 | • AB POOLING PORTFOLIOS |
Notes to Financial Statements
AB Bond Inflation Protection Portfolio | ||||||||||||||||||||
Investments in Securities: | Level 1 | Level 2 | Level 3 | Total | ||||||||||||||||
Assets: | ||||||||||||||||||||
Inflation-Linked Securities | $ | – 0 | – | $ | 568,380,238 | $ | – 0 | – | $ | 568,380,238 | ||||||||||
Corporates – Investment Grade | – 0 | – | 121,962,015 | – 0 | – | 121,962,015 | ||||||||||||||
Commercial Mortgage-Backed Securities | – 0 | – | 50,313,956 | 16,162,239 | 66,476,195 | |||||||||||||||
Asset-Backed Securities | – 0 | – | 57,756,271 | 4,299,056 | 62,055,327 | |||||||||||||||
Collateralized Mortgage Obligations | – 0 | – | 1,764,128 | 19,641,184 | 21,405,312 | |||||||||||||||
Corporates – Non-Investment Grade | – 0 | – | 18,119,822 | – 0 | – | 18,119,822 | ||||||||||||||
Governments – Sovereign Agencies | – 0 | – | 3,616,524 | – 0 | – | 3,616,524 | ||||||||||||||
Quasi-Sovereigns | – 0 | – | 2,461,678 | – 0 | – | 2,461,678 | ||||||||||||||
Emerging Markets – Treasuries | – 0 | – | 2,416,391 | – 0 | – | 2,416,391 | ||||||||||||||
Common Stocks | – 0 | – | – 0 | – | 1,108,802 | 1,108,802 | ||||||||||||||
Emerging Markets – Corporate Bonds | – 0 | – | 717,468 | – 0 | – | 717,468 | ||||||||||||||
Preferred Stocks | 697,763 | – 0 | – | – 0 | – | 697,763 | ||||||||||||||
Governments – Sovereign Bonds | – 0 | – | 387,498 | – 0 | – | 387,498 | ||||||||||||||
Short-Term Investments: | ||||||||||||||||||||
Investment Companies | 26,955,334 | – 0 | – | – 0 | – | 26,955,334 | ||||||||||||||
Repurchase Agreements | 9,416,250 | – 0 | – | – 0 | – | 9,416,250 | ||||||||||||||
|
|
|
|
|
|
|
| |||||||||||||
Total Investments in Securities | 37,069,347 | 827,895,989 | 41,211,281 | 906,176,617 | ||||||||||||||||
Other Financial Instruments(b): | ||||||||||||||||||||
Assets: | ||||||||||||||||||||
Futures | 67,906 | – 0 | – | – 0 | – | 67,906 | (e) | |||||||||||||
Forward Currency Exchange Contracts | – 0 | – | 97,125 | – 0 | – | 97,125 | ||||||||||||||
Centrally Cleared Credit Default Swaps | – 0 | – | 138,696 | – 0 | – | 138,696 | (e) |
AB POOLING PORTFOLIOS • | 275 |
Notes to Financial Statements
Investments in Securities: | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Centrally Cleared Interest Rate Swaps | $ | – 0 | – | $ | 5,658,831 | $ | – 0 | – | $ | 5,658,831 | (e) | |||||
Credit Default Swaps | – 0 | – | 539,295 | – 0 | – | 539,295 | ||||||||||
Liabilities: | ||||||||||||||||
Futures | (362,566 | ) | – 0 | – | – 0 | – | (362,566 | )(e) | ||||||||
Forward Currency Exchange Contracts | – 0 | – | (880,566 | ) | – 0 | – | (880,566 | ) | ||||||||
Centrally Cleared Credit Default Swaps | – 0 | – | (226,314 | ) | – 0 | – | (226,314 | )(e) | ||||||||
Centrally Cleared Interest Rate Swaps | – 0 | – | (6,279,943 | ) | – 0 | – | (6,279,943 | )(e) | ||||||||
Credit Default Swaps | – 0 | – | (26,026 | ) | – 0 | – | (26,026 | ) | ||||||||
Inflation (CPI) Swaps | – 0 | – | (888,477 | ) | – 0 | – | (888,477 | ) | ||||||||
Interest Rate Swaps | – 0 | – | (1,577,715 | ) | – 0 | – | (1,577,715 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Total(c) | $ | 36,774,687 | $ | 824,450,895 | $ | 41,211,281 | $ | 902,436,863 | ||||||||
|
|
|
|
|
|
|
| |||||||||
AB High-Yield Portfolio | ||||||||||||||||
Investments in Securities: | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Assets: | ||||||||||||||||
Corporates – Non-Investment Grade | $ | – 0 | – | $ | 170,336,264 | $ | 3,004,126 | (h) | $ | 173,340,390 | ||||||
Corporates – Investment Grade | – 0 | – | 12,841,456 | – 0 | – | 12,841,456 | ||||||||||
Bank Loans | – 0 | – | – 0 | – | 12,463,271 | 12,463,271 | ||||||||||
Common Stocks | 4,196,574 | 59,112 | 944,659 | 5,200,345 | ||||||||||||
Emerging Markets – Corporate Bonds | – 0 | – | 3,664,561 | – 0 | – | 3,664,561 | ||||||||||
Preferred Stocks | 2,026,324 | 880,142 | – 0 | – | 2,906,466 |
276 | • AB POOLING PORTFOLIOS |
Notes to Financial Statements
Investments in Securities: | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Asset-Backed Securities | $ | – 0 | – | $ | – 0 | – | $ | 2,259,892 | $ | 2,259,892 | ||||||
Governments – Treasuries | – 0 | – | 1,962,309 | – 0 | – | 1,962,309 | ||||||||||
Local Governments – Municipal Bonds | – 0 | – | 1,908,873 | – 0 | – | 1,908,873 | ||||||||||
Commercial Mortgage-Backed Securities | – 0 | – | – 0 | – | 1,773,083 | 1,773,083 | ||||||||||
Collateralized Mortgage Obligations | – 0 | – | – 0 | – | 1,717,535 | 1,717,535 | ||||||||||
Governments – Sovereign Agencies | – 0 | – | 1,006,984 | – 0 | – | 1,006,984 | ||||||||||
Emerging Markets – Treasuries | – 0 | – | 354,503 | – 0 | – | 354,503 | ||||||||||
Warrants | 127 | – 0 | – | 234,094 | 234,221 | |||||||||||
Emerging Markets – Sovereigns | – 0 | – | 173,075 | – 0 | – | 173,075 | ||||||||||
Agencies | – 0 | – | 107,300 | – 0 | – | 107,300 | ||||||||||
Options Purchased – Puts | – 0 | – | 15,427 | – 0 | – | 15,427 | ||||||||||
Options Purchased – Calls | – 0 | – | 4,294 | – 0 | – | 4,294 | ||||||||||
Short-Term Investments: | ||||||||||||||||
Investment Companies | 30,705,070 | – 0 | – | – 0 | – | 30,705,070 | ||||||||||
U.S. Treasury Bills | – 0 | – | 999,917 | – 0 | – | 999,917 | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Investments in Securities | 36,928,095 | 194,314,217 | 22,396,660 | 253,638,972 | ||||||||||||
Other Financial Instruments(b): | ||||||||||||||||
Assets: | ||||||||||||||||
Futures | 9,698 | – 0 | – | – 0 | – | 9,698 | (e) | |||||||||
Forward Currency Exchange Contracts | – 0 | – | 216,622 | – 0 | – | 216,622 | ||||||||||
Centrally Cleared Credit Default Swaps | – 0 | – | 584,066 | – 0 | – | 584,066 | (e) |
AB POOLING PORTFOLIOS • | 277 |
Notes to Financial Statements
Investments in Securities: | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Credit Default Swaps | $ | – 0 | – | $ | 861,806 | $ | – 0 | – | $ | 861,806 | ||||||
Total Return Swaps | – 0 | – | 187,553 | – 0 | – | 187,553 | ||||||||||
Liabilities: | ||||||||||||||||
Futures | (61,363 | ) | – 0 | – | – 0 | – | (61,363 | )(e) | ||||||||
Forward Currency Exchange Contracts | – 0 | – | (92,753 | ) | – 0 | – | (92,753 | ) | ||||||||
Call Options Written | – 0 | – | (1,512 | ) | – 0 | – | (1,512 | ) | ||||||||
Put Options Written | – 0 | – | (3,598 | ) | – 0 | – | (3,598 | ) | ||||||||
Centrally Cleared Credit Default Swaps | – 0 | – | (583,866 | ) | – 0 | – | (583,866 | )(e) | ||||||||
Centrally Cleared Interest Rate Swaps | – 0 | – | (901,001 | ) | – 0 | – | (901,001 | )(e) | ||||||||
Credit Default Swaps | – 0 | – | (1,647,245 | ) | – 0 | – | (1,647,245 | ) | ||||||||
Total Return Swaps | – 0 | – | (189,637 | ) | – 0 | – | (189,637 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Total(i) | $ | 36,876,430 | $ | 192,744,652 | $ | 22,396,660 | $ | 252,017,742 | ||||||||
|
|
|
|
|
|
|
| |||||||||
AB Small-Mid Cap Value Portfolio | ||||||||||||||||
Investments in Securities: | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Assets: | ||||||||||||||||
Common Stocks(a) | $ | 218,192,867 | $ | – 0 | – | $ | – 0 | – | $ | 218,192,867 | ||||||
Short-Term Investments | 7,230,961 | – 0 | – | – 0 | – | 7,230,961 | ||||||||||
Investments of Cash Collateral for Securities Loaned in Affiliated Money Market Fund | 9,874,133 | – 0 | – | – 0 | – | 9,874,133 | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Investments in Securities | 235,297,961 | – 0 | – | – 0 | – | 235,297,961 | ||||||||||
Other Financial Instruments(b) | – 0 | – | – 0 | – | – 0 | – | – 0 | – | ||||||||
|
|
|
|
|
|
|
| |||||||||
Total(c) | $ | 235,297,961 | $ | – 0 | – | $ | – 0 | – | $ | 235,297,961 | ||||||
|
|
|
|
|
|
|
|
278 | • AB POOLING PORTFOLIOS |
Notes to Financial Statements
AB Small-Mid Cap Growth Portfolio | ||||||||||||||||
Investments in Securities: | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Assets: | ||||||||||||||||
Common Stocks(a) | $ | 207,127,998 | $ | – 0 | – | $ | – 0 | – | $ | 207,127,998 | ||||||
Short-Term Investments | 5,064,950 | – 0 | – | – 0 | – | 5,064,950 | ||||||||||
Investments of Cash Collateral for Securities Loaned in Affiliated Money Market Fund | 12,124,562 | – 0 | – | – 0 | – | 12,124,562 | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Investments in Securities | 224,317,510 | – 0 | – | – 0 | – | 224,317,510 | ||||||||||
Other Financial Instruments(b) | – 0 | – | – 0 | – | – 0 | – | – 0 | – | ||||||||
|
|
|
|
|
|
|
| |||||||||
Total(c) | $ | 224,317,510 | $ | – 0 | – | $ | – 0 | – | $ | 224,317,510 | ||||||
|
|
|
|
|
|
|
| |||||||||
AB Multi-Asset Real Return Portfolio(j) | ||||||||||||||||
Investments in Securities: | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Assets: | ||||||||||||||||
Common Stocks: | ||||||||||||||||
Energy | $ | 61,991,067 | $ | 50,435,168 | $ | – 0 | – | $ | 112,426,235 | |||||||
Equity: Other | 14,337,314 | 25,965,957 | 105,998 | 40,409,269 | ||||||||||||
Materials | 13,697,325 | 18,669,550 | – 0 | –(k) | 32,366,875 | |||||||||||
Retail | 16,581,011 | 11,659,982 | – 0 | – | 28,240,993 | |||||||||||
Residential | 17,183,773 | 10,430,273 | – 0 | –(h) | 27,614,046 | |||||||||||
Office | 7,256,290 | 5,529,749 | – 0 | – | 12,786,039 | |||||||||||
Industrials | 4,997,013 | 3,434,973 | – 0 | – | 8,431,986 | |||||||||||
Lodging | 3,766,831 | – 0 | – | – 0 | – | 3,766,831 | ||||||||||
Food Beverage & Tobacco | 2,353,720 | 137,060 | – 0 | – | 2,490,780 | |||||||||||
Real Estate | 884,721 | 649,266 | – 0 | – | 1,533,987 | |||||||||||
Mortgage | 921,488 | – 0 | – | – 0 | – | 921,488 | ||||||||||
Financial:Other | – 0 | – | 32,624 | – 0 | – | 32,624 | ||||||||||
Investment Companies | 22,929,292 | – 0 | – | – 0 | – | 22,929,292 | ||||||||||
Inflation-Linked Securities | – 0 | – | 6,015,371 | – 0 | – | 6,015,371 | ||||||||||
Warrants | – 0 | – | 173,797 | – 0 | – | 173,797 | ||||||||||
Short-Term Investments: | ||||||||||||||||
Investment Companies | 27,721,043 | – 0 | – | – 0 | – | 27,721,043 | ||||||||||
Treasury Bills | – 0 | – | 111,958,860 | – 0 | – | 111,958,860 |
AB POOLING PORTFOLIOS • | 279 |
Notes to Financial Statements
Investments in Securities: | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Investments of Cash Collateral for Securities Loaned in Affiliated Money Market Fund | $ | 12,199,865 | $ | – 0 | – | $ | – 0 | – | $ | 12,199,865 | ||||||
|
|
|
|
|
|
|
| |||||||||
Total Investments in Securities | 206,820,753 | 245,092,630 | 105,998 | 452,019,381 | ||||||||||||
Other Financial Instruments(b): | ||||||||||||||||
Assets: | ||||||||||||||||
Futures | 1,775,154 | – 0 | – | – 0 | – | 1,775,154 | (e) | |||||||||
Forward Currency Exchange Contracts | – 0 | – | 3,056,830 | – 0 | – | 3,056,830 | ||||||||||
Inflation (CPI) Swaps | – 0 | – | 127,841 | – 0 | – | 127,841 | ||||||||||
Total Return Swaps | – 0 | – | 2,333,111 | – 0 | – | 2,333,111 | ||||||||||
Liabilities: | ||||||||||||||||
Futures | (345,669 | ) | – 0 | – | – 0 | – | (345,669 | )(e) | ||||||||
Forward Currency Exchange Contracts | – 0 | – | (2,053,427 | ) | – 0 | – | (2,053,427 | ) | ||||||||
Put Options Written | – 0 | – | (81,449 | ) | – 0 | – | (81,449 | ) | ||||||||
Inflation (CPI) Swaps | – 0 | – | (5,315,950 | ) | – 0 | – | (5,315,950 | ) | ||||||||
Total Return Swaps | – 0 | – | (484,905 | ) | – 0 | – | (484,905 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Total(i) | $ | 208,250,238 | $ | 242,674,681 | $ | 105,998 | $ | 451,030,917 | ||||||||
|
|
|
|
|
|
|
| |||||||||
AB Volatility Management Portfolio | ||||||||||||||||
Investments in Securities: | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Assets: |
| |||||||||||||||
Common Stocks: | ||||||||||||||||
Financials | $ | 51,458,466 | $ | 59,926,757 | $ | – 0 | –(k) | $ 111,385,223 | ||||||||
Information Technology | 78,869,571 | 14,987,549 | – 0 | – | 93,857,120 | |||||||||||
Health Care | 56,303,919 | 35,235,190 | – 0 | – | 91,539,109 | |||||||||||
Consumer Discretionary | 50,288,769 | 38,668,718 | – 0 | – | 88,957,487 | |||||||||||
Industrials | 40,834,878 | 39,070,695 | – 0 | – | 79,905,573 | |||||||||||
Consumer Staples | 42,914,688 | 35,469,341 | – 0 | – | 78,384,029 | |||||||||||
Energy | 24,937,175 | 13,865,619 | – 0 | – | 38,802,794 | |||||||||||
Materials | 10,785,510 | 19,126,849 | – 0 | – | 29,912,359 |
280 | • AB POOLING PORTFOLIOS |
Notes to Financial Statements
Investments in Securities: | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Telecommunication Services | $ | 10,668,421 | $ | 15,350,190 | $ | – 0 | – | $ | 26,018,611 | |||||||
Utilities | 12,680,358 | 11,454,602 | – 0 | – | 24,134,960 | |||||||||||
Equity: Other | 5,546,069 | 10,900,458 | – 0 | – | 16,446,527 | |||||||||||
Retail | 6,009,450 | 5,498,130 | – 0 | – | 11,507,580 | |||||||||||
Residential | 6,326,042 | 2,298,689 | – 0 | – | 8,624,731 | |||||||||||
Office | 3,012,887 | 2,159,078 | – 0 | – | 5,171,965 | |||||||||||
Lodging | 1,108,646 | 92,762 | – 0 | – | 1,201,408 | |||||||||||
Investment Companies | 18,371 | 31,525 | – 0 | – | 49,896 | |||||||||||
Rights | 1,031 | – 0 | – | 2 | 1,033 | |||||||||||
Short-Term Investments: | ||||||||||||||||
Investment Companies | 264,729,182 | – 0 | – | – 0 | – | 264,729,182 | ||||||||||
U.S. Treasury Bills | 51,479,032 | – 0 | – | 51,479,032 | ||||||||||||
Investments of Cash Collateral for Securities Loaned in Affiliated Money Market Fund | 15,986,391 | – 0 | – | – 0 | – | 15,986,391 | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Investments in Securities | 682,479,824 | 355,615,184 | 2 | 1,038,095,010 | ||||||||||||
Other Financial Instruments(b): | ||||||||||||||||
Assets: | ||||||||||||||||
Futures | 639,795 | 525,600 | – 0 | – | 1,165,395 | (e) | ||||||||||
Forward Currency Exchange Contracts | – 0 | – | 11,812,911 | – 0 | – | 11,812,911 | ||||||||||
Total Return Swaps | – 0 | – | 4,710,875 | – 0 | – | 4,710,875 | ||||||||||
Liabilities: | ||||||||||||||||
Futures | (69,044 | ) | (13,266,912 | ) | – 0 | – | (13,335,956 | )(e) | ||||||||
Forward Currency Exchange Contracts | – 0 | – | (5,526,955 | ) | – 0 | – | (5,526,955 | ) | ||||||||
Total Return Swaps | �� | – 0 | – | (996,393 | ) | – 0 | – | (996,393 | ) | |||||||
|
|
|
|
|
|
|
| |||||||||
Total(i) | $ | 683,050,575 | $ | 352,874,310 | $ | 2 | $ | 1,035,924,887 | ||||||||
|
|
|
|
|
|
|
|
(a) | See Portfolio of Investments for sector classifications. |
(b) | Other financial instruments are derivative instruments, such as futures, forwards and swaps, which are valued at the unrealized appreciation/depreciation on the instrument. Other financial instruments may also include options written which are valued at market value. |
(c) | There were no transfers between any levels during the reporting period. |
(d) | A significant portion of the Portfolio’s foreign equity investments are categorized as Level 2 investments since they are valued using fair value prices based on third party vendor modeling tools to the extent available, see Note A.1. |
AB POOLING PORTFOLIOS • | 281 |
Notes to Financial Statements
(e) | Only variation margin receivable/payable at period end is reported within the statement of assets and liabilities. This amount reflects cumulative appreciation/(depreciation) of exchange-traded derivatives as reported in the portfolio of investments. |
(f) | An amount of $5,792,524 was transferred from Level 1 to Level 2 due to the above mentioned foreign equity fair valuation using third party vendor modeling tools during the reporting period. |
(g) | There were no transfers from Level 2 to Level 1 during the reporting period. |
(h) | The Portfolio held securities with zero market value at period end. |
(i) | There were de minimis transfers under 1% of net assets between Level 1 and Level 2 during the reporting period. |
(j) | Consolidated (see Note A). |
(k) | Less than $0.50. |
The Portfolios recognize all transfers between levels of the fair value hierarchy assuming the financial instruments were transferred at the beginning of the reporting period.
The following is a reconciliation of investments in which significant unobservable inputs (Level 3) were used in determining fair value.
AB Short Duration | Asset- Backed Securities(a) | Commercial Mortgage-Backed Securities | Collateralized Mortgage Obligations | |||||||||
Balance as of 8/31/15 | $ | 16,368,735 | $ | 1,524,633 | $ | 14,275,300 | ||||||
Accrued discounts/(premiums) | 410 | (1,828 | ) | 3,200 | ||||||||
Realized gain (loss) | 460 | (2,095 | ) | 11,470 | ||||||||
Change in unrealized appreciation/depreciation | 21,078 | (37,141 | ) | (38,862 | ) | |||||||
Purchases/Payups | 2,834,000 | – 0 | – | 2,511,913 | ||||||||
Sales/Paydowns | (4,301,888 | ) | (27,664 | ) | (3,780,550 | ) | ||||||
Settlements | – 0 | – | – 0 | – | – 0 | – | ||||||
Transfers in to Level 3 | – 0 | – | – 0 | – | – 0 | – | ||||||
Transfers out of Level 3 | – 0 | – | – 0 | – | – 0 | – | ||||||
|
|
|
|
|
| |||||||
Balance as of 2/29/16 | $ | 14,922,795 | $ | 1,455,905 | $ | 12,982,471 | ||||||
|
|
|
|
|
| |||||||
Net change in unrealized appreciation/depreciation from investments held as of 2/29/16(b) | $ | 20,791 | $ | (37,141 | ) | $ | (38,862 | ) | ||||
|
|
|
|
|
|
282 | • AB POOLING PORTFOLIOS |
Notes to Financial Statements
Total | ||||||||||||
Balance as of 8/31/15 | $ | 32,168,668 | ||||||||||
Accrued discounts/(premiums) | 1,782 | |||||||||||
Realized gain (loss) | 9,835 | |||||||||||
Change in unrealized appreciation/depreciation | (54,925 | ) | ||||||||||
Purchases/Payups | 5,345,913 | |||||||||||
Sales/Paydowns | (8,110,102 | ) | ||||||||||
Settlements | – 0 | – | ||||||||||
Transfers in to Level 3 | – 0 | – | ||||||||||
Transfers out of Level 3 | – 0 | – | ||||||||||
|
| |||||||||||
Balance as of 2/29/16 | $ | 29,361,171 | ||||||||||
|
| |||||||||||
Net change in unrealized appreciation/depreciation from investments held as of 2/29/16(b) | $ | (55,212 | ) | |||||||||
|
| |||||||||||
AB Global Core Bond | Collateralized Mortgage Obligations | Commercial Mortgage-Backed Securities | Asset-Backed Securities | |||||||||
Balance as of 8/31/15 | $ | 36,919,073 | $ | 3,931,061 | $ | 3,365,165 | ||||||
Accrued discounts/(premiums) | (2,637 | ) | (6,803 | ) | (2,411 | ) | ||||||
Realized gain (loss) | (10,078 | ) | (30,238 | ) | (6,112 | ) | ||||||
Change in unrealized appreciation/depreciation | (198,848 | ) | (137,980 | ) | (19,427 | ) | ||||||
Purchases/Payups | 10,335,236 | 912,725 | – 0 | – | ||||||||
Sales/Paydowns | (6,924,370 | ) | (230,530 | ) | (187,971 | ) | ||||||
Transfers in to Level 3 | – 0 | – | – 0 | – | – 0 | – | ||||||
Transfers out of Level 3 | – 0 | – | – 0 | – | – 0 | – | ||||||
|
|
|
|
|
| |||||||
Balance as of 2/29/16 | $ | 40,118,376 | $ | 4,438,235 | $ | 3,149,244 | ||||||
|
|
|
|
|
| |||||||
Net change in unrealized appreciation/depreciation from investments held as of 2/29/16(b) | $ | (198,848 | ) | $ | (137,980 | ) | $ | (19,427 | ) | |||
|
|
|
|
|
|
AB POOLING PORTFOLIOS • | 283 |
Notes to Financial Statements
Total | ||||||||||||
Balance as of 8/31/15 | $ | 44,215,299 | ||||||||||
Accrued discounts/(premiums) | (11,851 | ) | ||||||||||
Realized gain (loss) | (46,428 | ) | ||||||||||
Change in unrealized appreciation/depreciation | (356,255 | ) | ||||||||||
Purchases/Payups | 11,247,961 | |||||||||||
Sales/Paydowns | (7,342,871 | ) | ||||||||||
Transfers in to Level 3 | – 0 | – | ||||||||||
Transfers out of Level 3 | – 0 | – | ||||||||||
|
| |||||||||||
Balance as of 2/29/16 | $ | 47,705,855 | ||||||||||
|
| |||||||||||
Net change in unrealized appreciation/depreciation from investments held as of 2/29/16(b) | $ | (356,255 | ) | |||||||||
|
| |||||||||||
AB Bond Inflation | Commercial Mortgage-Backed Securities | Asset-Backed Securities | Collateralized Mortgage Obligations | |||||||||
Balance as of 8/31/15 | $ | 14,375,830 | $ | 5,163,427 | $ | 16,470,297 | ||||||
Accrued discounts/(premiums) | (16,853 | ) | 41 | (7,524 | ) | |||||||
Realized gain (loss) | (4,263 | ) | (259 | ) | 2,422 | |||||||
Change in unrealized appreciation/depreciation | (685,161 | ) | 17,843 | (633,922 | ) | |||||||
Purchases/Payups | 3,182,338 | 2,186,973 | 5,131,618 | |||||||||
Sales/Paydowns | (689,652 | ) | (3,068,969 | ) | (1,321,707 | ) | ||||||
Transfers in to Level 3 | – 0 | – | – 0 | – | – 0 | – | ||||||
Transfers out of Level 3 | – 0 | – | – 0 | – | – 0 | – | ||||||
|
|
|
|
|
| |||||||
Balance as of 2/29/16 | $ | 16,162,239 | $ | 4,299,056 | $ | 19,641,184 | ||||||
|
|
|
|
|
| |||||||
Net change in unrealized appreciation/depreciation from investments held as of 2/29/16(b) | $ | (685,161 | ) | $ | 9,829 | $ | (633,922 | ) | ||||
|
|
|
|
|
|
284 | • AB POOLING PORTFOLIOS |
Notes to Financial Statements
Common Stocks | Total | |||||||||||
Balance as of 8/31/15 | $ | 1,139,080 | $ | 37,148,634 | ||||||||
Accrued discounts/(premiums) | – 0 | – | (24,336 | ) | ||||||||
Realized gain (loss) | – 0 | – | (2,100 | ) | ||||||||
Change in unrealized appreciation/depreciation | (30,278 | ) | (1,331,518 | ) | ||||||||
Purchases/Payups | – 0 | – | 10,500,929 | |||||||||
Sales/Paydowns | – 0 | – | (5,080,328 | ) | ||||||||
Transfers in to Level 3 | – 0 | – | – 0 | – | ||||||||
Transfers out of Level 3 | – 0 | – | – 0 | – | ||||||||
|
|
|
| |||||||||
Balance as of 2/29/16 | $ | 1,108,802 | $ | 41,211,281 | ||||||||
|
|
|
| |||||||||
Net change in unrealized appreciation/depreciation from investments held as of 2/29/16(b) | $ | (30,278 | ) | $ | (1,339,532 | ) | ||||||
|
|
|
| |||||||||
AB High-Yield | Corporates - Non-Investment Grade(a) | Bank Loans | Common Stocks | |||||||||
Balance as of 8/31/15 | $ | 3,400,139 | $ | 14,141,504 | $ | 270,252 | ||||||
Accrued discounts/(premiums) | 10,309 | 16,773 | – 0 | – | ||||||||
Realized gain (loss) | (318,234 | ) | (172,183 | ) | (244,731 | ) | ||||||
Change in unrealized appreciation/depreciation | (23,734 | ) | (510,113 | ) | (29,454 | ) | ||||||
Purchases | 120,167 | 4,403,219 | 483,000 | |||||||||
Sales | (184,521 | ) | (5,415,929 | ) | – 0 | – | ||||||
Transfers in to Level 3 | – 0 | – | – 0 | – | 465,592 | |||||||
Transfers out of Level 3 | – 0 | – | – 0 | – | – 0 | – | ||||||
|
|
|
|
|
| |||||||
Balance as of 2/29/16 | $ | 3,004,126 | $ | 12,463,271 | $ | 944,659 | ||||||
|
|
|
|
|
| |||||||
Net change in unrealized appreciation/depreciation from investments held as of 2/29/16(b) | $ | (329,018 | ) | $ | (665,357 | ) | $ | (273,809 | ) | |||
|
|
|
|
|
|
AB POOLING PORTFOLIOS • | 285 |
Notes to Financial Statements
Asset-Backed Securities | Commercial Mortgage- Backed Securities | Collateralized Mortgage Obligations | ||||||||||
Balance as of 8/31/15 | $ | 2,403,731 | $ | 4,488,395 | $ | 5,008,319 | ||||||
Accrued discounts/(premiums) | 18,823 | 1,855 | 6,641 | |||||||||
Realized gain (loss) | 34,089 | 133,649 | 136,541 | |||||||||
Change in unrealized appreciation/depreciation | (72,094 | ) | (216,399 | ) | (303,060 | ) | ||||||
Purchases/Payups | – 0 | – | – 0 | – | – 0 | – | ||||||
Sales/Paydowns | (124,657 | ) | (2,634,417 | ) | (3,130,906 | ) | ||||||
Transfers in to Level 3 | – 0 | – | – 0 | – | – 0 | – | ||||||
Transfers out of Level 3 | – 0 | – | – 0 | – | – 0 | – | ||||||
|
|
|
|
|
| |||||||
Balance as of 2/29/16 | $ | 2,259,892 | $ | 1,773,083 | $ | 1,717,535 | ||||||
|
|
|
|
|
| |||||||
Net change in unrealized appreciation/depreciation from investments held as of 2/29/16(b) | $ | (72,094 | ) | $ | (68,448 | ) | $ | (94,371 | ) | |||
|
|
|
|
|
| |||||||
Warrants | Total | |||||||||||
Balance as of 8/31/15 | $ | 187,275 | $ | 29,899,615 | ||||||||
Accrued discounts/(premiums) | – 0 | – | 54,401 | |||||||||
Realized gain (loss) | – 0 | – | (430,869 | ) | ||||||||
Change in unrealized appreciation/depreciation | 46,819 | (1,108,035 | ) | |||||||||
Purchases/Payups | – 0 | – | 5,006,386 | |||||||||
Sales/Paydowns | – 0 | – | (11,490,430 | ) | ||||||||
Transfers in to Level 3 | – 0 | – | 465,592 | |||||||||
Transfers out of Level 3 | – 0 | – | – 0 | – | ||||||||
|
|
|
| |||||||||
Balance as of 2/29/16 | $ | 234,094 | $ | 22,396,660 | (c) | |||||||
|
|
|
| |||||||||
Net change in unrealized appreciation/depreciation from investments held as of 2/29/16(b) | $ | 46,819 | $ | (1,456,278 | ) | |||||||
|
|
|
|
286 | • AB POOLING PORTFOLIOS |
Notes to Financial Statements
AB Multi-Asset Real | Common Stocks - Equity: Other | Common Stocks - Materials | Common Stocks - Residential(a) | |||||||||
Balance as of 8/31/15 | $ | 185,499 | $ | – 0 | –(e) | $ | 31 | |||||
Accrued discounts/(premiums) | – 0 | – | – 0 | – | – 0 | – | ||||||
Realized gain (loss) | – 0 | – | – 0 | – | – 0 | – | ||||||
Change in unrealized appreciation/depreciation | (79,501 | ) | – 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 | – | (31 | ) | ||||||
|
|
|
|
|
| |||||||
Balance as of 2/29/16 | $ | 105,998 | $ | – 0 | –(e) | $ | – 0 | – | ||||
|
|
|
|
|
| |||||||
Net change in unrealized appreciation/depreciation from investments held as of 2/29/16(b) | $ | (79,501 | ) | $ | – 0 | – | $ | – 0 | – | |||
|
|
|
|
|
| |||||||
Total | ||||||||||||
Balance as of 8/31/15 | $ | 185,530 | ||||||||||
Accrued discounts/(premiums) | – 0 | – | ||||||||||
Realized gain (loss) | – 0 | – | ||||||||||
Change in unrealized appreciation/depreciation | (79,501 | ) | ||||||||||
Purchases | – 0 | – | ||||||||||
Sales | – 0 | – | ||||||||||
Transfers in to Level 3 | – 0 | – | ||||||||||
Transfers out of Level 3 | (31 | ) | ||||||||||
|
| |||||||||||
Balance as of 2/29/16 | $ | 105,998 | (c) | |||||||||
|
| |||||||||||
Net change in unrealized appreciation/depreciation from investments held as of 2/29/16(b) | $ | (79,501 | ) | |||||||||
|
|
AB POOLING PORTFOLIOS • | 287 |
Notes to Financial Statements
AB Volatility | Common Stocks | Rights | Total | |||||||||
Balance as of 8/31/15 | $ | – 0 | –(e) | $ | – 0 | – | $ | – 0 | –(e) | |||
Accrued discounts/(premiums) | – 0 | – | – 0 | – | – 0 | – | ||||||
Realized gain (loss) | – 0 | – | – 0 | – | – 0 | – | ||||||
Change in unrealized appreciation/depreciation | – 0 | –(e) | 2 | 2 | ||||||||
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 2/29/16 | $ | – 0 | –(e) | $ | 2 | $ | 2 | |||||
|
|
|
|
|
| |||||||
Net change in unrealized appreciation/depreciation from investments held as of 2/29/16(b) | $ | – 0 | –(e) | $ | 2 | $ | 2 | |||||
|
|
|
|
|
|
(a) | The Portfolio held securities with zero market value at period end. |
(b) | The unrealized appreciation/depreciation is included in net change in unrealized appreciation/depreciation on investments and other financial instruments in the accompanying statement of operations. |
(c) | There were de minimis transfers under 1% of net assets during the reporting period. |
(d) | Consolidated (see Note A). |
(e) | Less than $0.50. |
The following presents information about significant unobservable inputs related to the Portfolio’s Level 3 investments at February 29, 2016. Securities priced (i) at net asset value, (ii) by third party vendors, or (iii) using prior transaction prices, which approximate fair value, are excluded from the following table.
AB Short Duration Bond Portfolio |
| |||||||||||||
Quantitative Information about Level 3 Fair Value Measurements | ||||||||||||||
Fair Value at 2/29/16 | Valuation Technique | Unobservable Input | Range/ Weighted Average | |||||||||||
Asset-Backed Securities | $ – 0 | – | | Qualitative Assessment | | $ 0.00/N/A |
288 | • AB POOLING PORTFOLIOS |
Notes to Financial Statements
AB High-Yield Portfolio |
| |||||||||||
Quantitative Information about Level 3 Fair Value Measurements
|
| |||||||||||
Fair Value at 2/29/16 | Valuation Technique | Unobservable Input | Range/ Weighted Average | |||||||||
Corporates – Non-Investment Grade | $ 774,120 | Discounted Cashflow | Clean Debt Value Convertible |
| 51.50%-76.0%/63.8% 22.2%-2.2%/12.2% |
| ||||||
Bank Loans | 509,682 | Market Approach | EBITDA* EBITDA Scrap |
| $28mil-$70mil 6X $154mil |
| ||||||
Common Stocks | 56,576 | Option Pricing Model | Enterprise Value Exercise Years to EV Risk Free |
| $519.2mil-$603.2Mil/NA $730.4mil-$830.5mil/NA 2.5yr-4.5yr/NA 22.6%-26.5%/NA 1.09%-1.55%/NA |
| ||||||
522,045 | Market Approach | EBITDA Projection* EBITDA |
| $49.1MM/NA 4.7X-6.7X/4.7X |
|
* | Earnings before Interest, Taxes, Depreciation and Amortization. |
The Adviser established the Committee to oversee the pricing and valuation of all securities held in the Portfolios. The Committee operates under pricing and valuation policies and procedures established by the Adviser and approved by the Board, including pricing policies which set forth the mechanisms and processes to be employed on a daily basis to implement these policies and procedures. In particular, the pricing policies describe how to determine market quotations for securities and other instruments. The Committee’s responsibilities include: 1) fair value and liquidity determinations (and oversight of any third parties to whom any responsibility for fair value and liquidity determinations is delegated), and 2) regular monitoring of the Adviser’s pricing and valuation policies and procedures and modification or enhancement of these policies and procedures (or recommendation of the modification of these policies and procedures) as the Committee believes appropriate.
The Committee is also responsible for monitoring the implementation of the pricing policies by the Adviser’s Pricing Group (the “Pricing Group”) and a third party which performs certain pricing functions in accordance with the pricing policies.
AB POOLING PORTFOLIOS • | 289 |
Notes to Financial Statements
The Pricing Group is responsible for the oversight of the third party on a day-to-day basis. The Committee and the Pricing Group perform a series of activities to provide reasonable assurance of the accuracy of prices including: 1) periodic vendor due diligence meetings, review of methodologies, new developments and processes at vendors, 2) daily comparison of security valuation versus prior day for all securities that exceeded established thresholds, and 3) daily review of unpriced, stale, and variance reports with exceptions reviewed by senior management and the Committee.
In addition, several processes outside of the pricing process are used to monitor valuation issues including: 1) performance and performance attribution reports are monitored for anomalous impacts based upon benchmark performance, and 2) portfolio managers review all portfolios for performance and analytics (which are generated using the Adviser’s prices).
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 foreign currency denominated assets and liabilities.
4. Taxes
It is each Portfolio’s 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.
290 | • AB POOLING PORTFOLIOS |
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 Portfolio as a deductible amount for Federal income tax purposes. Note that the loss from the Subsidiary’s 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
Expenses of the Trust are charged proportionately to each Portfolio or based on other appropriate methods.
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
AB POOLING PORTFOLIOS • | 291 |
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 operating expenses on an annual basis (the “Expense Cap”) to .15% of average daily net assets for the Volatility Management Portfolio. The Expense Cap may not be terminated before December 31, 2015 and then may be extended by the Adviser for additional one-year terms. For the six months ended February 29, 2016, 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 AB Multi-Asset Real Return Portfolio $308 and $394 for trading losses incurred due to a trade entry error for the six months ended February 29, 2016 and year ended August 31, 2015, 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.
Effective January 1st, 2015, the Portfolios may reimburse the Adviser for certain legal and accounting services provided to the Portfolios by the Adviser. For the six months ended February 29, 2016, such fees amounted to:
Portfolio | Administrative Fees | |||
AB U.S. Value | $ | 16,447 | ||
AB U.S. Large Cap Growth | 16,447 | |||
AB International Value | 18,498 | |||
AB International Growth | 15,136 | |||
AB Short Duration Bond | 19,827 | |||
AB Global Core Bond | 16,599 | |||
AB Bond Inflation Protection | 16,592 | |||
AB High-Yield | 19,854 | |||
AB Small-Mid Cap Value | 16,209 | |||
AB Small-Mid Cap Growth | 16,209 | |||
AB Multi-Asset Real Return | 16,602 | |||
AB Volatility Management | 21,063 |
292 | • AB POOLING PORTFOLIOS |
Notes to Financial Statements
AllianceBernstein Investor Services, Inc. (“ABIS”), a wholly-owned subsidiary of the Adviser, acts as the Portfolios’ registrar, transfer agent and dividend-disbursing agent. ABIS did not receive any fees for such services.
The Portfolios may invest in the AB 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 currently available for direct purchase by members of the public. The Government STIF Portfolio currently pays no investment management fees but does bear its own expenses. A summary of the Portfolios’ transactions in shares of the Government STIF Portfolio for the six months ended February 29, 2016 is as follows:
Portfolio | Market Value August 31, 2015 (000) | Purchases at Cost (000) | Sales Proceeds (000) | Market Value February 29, 2016 (000) | Dividend Income (000) | |||||||||||||||
AB U.S. Value | $ | 9,313 | $ | 72,870 | $ | 76,508 | $ | 5,675 | $ | 5 | ||||||||||
AB U.S. Large Cap Growth | 32,430 | 66,752 | 89,467 | 9,715 | 9 | |||||||||||||||
AB International Value | – 0 | – | 70,067 | 69,873 | 194 | 2 | ||||||||||||||
AB International Growth | – 0 | – | 89,024 | 85,907 | 3,117 | 2 | ||||||||||||||
AB Short Duration Bond | 3,756 | 171,900 | 133,746 | 41,910 | 15 | |||||||||||||||
AB Global Core Bond | 4,459 | 227,831 | 227,113 | 5,177 | 18 | |||||||||||||||
AB Bond Inflation Protection | 3,467 | 216,593 | 193,105 | 26,955 | 14 | |||||||||||||||
AB High-Yield | 5,978 | 103,943 | 79,216 | 30,705 | 22 | |||||||||||||||
AB Small-Mid Cap Value | 6,867 | 28,529 | 28,165 | 7,231 | 7 | |||||||||||||||
AB Small-Mid Cap Growth | 6,308 | 28,255 | 29,498 | 5,065 | 5 | |||||||||||||||
AB Multi-Asset Real Return | 103,525 | 300,549 | 376,353 | 27,721 | 49 | |||||||||||||||
AB Volatility Management | 258,901 | 386,876 | 381,048 | 264,729 | 323 |
AB POOLING PORTFOLIOS • | 293 |
Notes to Financial Statements
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, 2016 were as follows:
Portfolio | Total Commissions | Sanford C. Bernstein & Co. LLC | Sanford C. Bernstein Limited | |||||||||
AB U.S. Value | $ | 204,741 | $ | – 0 | – | $ | – 0 | – | ||||
AB U.S. Large Cap Growth | 103,912 | 27 | – 0 | – | ||||||||
AB International Value | 235,820 | – 0 | – | – 0 | – | |||||||
AB International Growth | 175,348 | – 0 | – | – 0 | – | |||||||
AB Short Duration Bond | 12,322 | – 0 | – | – 0 | – | |||||||
AB Global Core Bond | 4,873 | – 0 | – | – 0 | – | |||||||
AB Bond Inflation Protection | 6,904 | – 0 | – | – 0 | – | |||||||
AB High-Yield | 33,314 | – 0 | – | – 0 | – | |||||||
AB Small-Mid Cap Value | 151,157 | – 0 | – | – 0 | – | |||||||
AB Small-Mid Cap Growth | 111,716 | – 0 | – | – 0 | – | |||||||
AB Multi-Asset Real Return | 374,640 | – 0 | – | – 0 | – | |||||||
AB Volatility Management | 193,323 | – 0 | – | – 0 | – |
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, 2016, were as follows:
Portfolio | Purchases | Sales | ||||||
AB U.S. Value | $ | 112,209,418 | $ | 233,973,042 | ||||
AB U.S. Large Cap Growth | 96,231,448 | 234,015,961 | ||||||
AB International Value | 82,055,653 | 185,080,427 | ||||||
AB International Growth | 59,754,102 | 162,629,364 | ||||||
AB Short Duration Bond | 61,423,988 | 196,888,437 | ||||||
AB Global Core Bond | 204,808,357 | 265,007,187 | ||||||
AB Bond Inflation Protection | 29,990,824 | 42,870,787 | ||||||
AB High-Yield | 50,873,504 | 117,061,103 | ||||||
AB Small-Mid Cap Value | 59,794,452 | 96,972,700 | ||||||
AB Small-Mid Cap Growth | 74,561,496 | 109,523,213 | ||||||
AB Multi-Asset Real Return | 175,920,483 | 347,406,035 | ||||||
AB Volatility Management | 70,534,592 | 297,768,081 |
Purchases and sales of U.S. government securities for the six months ended February 29, 2016, were as follows:
Portfolio | Purchases | Sales | ||||||
AB U.S. Value | $ | – 0 | – | $ | – 0 | – | ||
AB U.S. Large Cap Growth | – 0 | – | – 0 | – | ||||
AB International Value | – 0 | – | – 0 | – | ||||
AB International Growth | – 0 | – | – 0 | – | ||||
AB Short Duration Bond | 54,246,973 | 63,820,202 | ||||||
AB Global Core Bond | 269,689,078 | 330,008,806 |
294 | • AB POOLING PORTFOLIOS |
Notes to Financial Statements
Portfolio | Purchases | Sales | ||||||
AB Bond Inflation Protection | $ | 117,261,978 | $ | 136,512,796 | ||||
AB High-Yield | – 0 | – | – 0 | – | ||||
AB Small-Mid Cap Value | – 0 | – | – 0 | – | ||||
AB Small-Mid Cap Growth | – 0 | – | – 0 | – | ||||
AB Multi-Asset Real Return | – 0 | – | 212,014,501 | |||||
AB Volatility Management | – 0 | – | – 0 | – |
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, written options and swap transactions) are as follows:
Gross Unrealized | Net Unrealized Appreciation/ (Depreciation) | |||||||||||
Portfolio | Appreciation | (Depreciation) | ||||||||||
AB U.S. Value | $ | 41,209,232 | $ | (13,802,738 | ) | $ | 27,406,494 | |||||
AB U.S. Large Cap Growth | 67,450,735 | (5,059,291 | ) | 62,391,444 | ||||||||
AB International Value | 12,238,415 | (35,860,186 | ) | (23,621,771 | ) | |||||||
AB International Growth | 26,875,429 | (37,503,711 | ) | (10,628,282 | ) | |||||||
AB Short Duration Bond | 1,670,083 | (3,736,888 | ) | (2,066,805 | ) | |||||||
AB Global Core Bond | 23,709,297 | (30,828,670 | ) | (7,119,373 | ) | |||||||
AB Bond Inflation Protection | 8,318,911 | (16,415,022 | ) | (8,096,111 | ) | |||||||
AB High-Yield | 5,553,245 | (39,134,709 | ) | (33,581,464 | ) | |||||||
AB Small-Mid Cap Value | 32,459,979 | (20,000,036 | ) | 12,459,943 | ||||||||
AB Small-Mid Cap Growth | 38,561,452 | (12,044,995 | ) | 26,516,457 | ||||||||
AB Multi-Asset Real Return | 16,448,345 | (51,456,521 | ) | (35,008,176 | ) | |||||||
AB Volatility Management | 169,948,269 | (62,824,493 | ) | 107,123,776 |
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 |
Certain Portfolios may buy or sell futures 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 and movements in the price of the assets, reference rates or indices which they are designed to track. Among other things, the Portfolio may purchase or sell futures for foreign currencies or options thereon for non-hedging purposes as a means of making direct investment in foreign currencies, as described below under “Currency Transactions”.
AB POOLING PORTFOLIOS • | 295 |
Notes to Financial Statements
At the time the Portfolio enters into futures, the Portfolio deposits and maintains as collateral an initial margin with the broker, as required by the exchange on which the transaction is effected. Such amount is shown as cash collateral due from broker on the statement of assets and liabilities. Pursuant to the contract, the Portfolio agrees to receive from or pay to the broker an amount of cash equal to the daily fluctuation in the value of the contract. Such receipts or payments are known as variation margin and are recorded by the Portfolio as unrealized gains or losses. Risks may arise from the potential inability of a counterparty to meet the terms of the contract. The credit/counterparty risk for exchange-traded futures is generally less than privately negotiated futures, since the clearinghouse, which is the issuer or counterparty to each exchange-traded future, has robust risk mitigation standards, including the requirement to provide initial and variation margin. When the contract is closed, the Portfolio records a realized gain or loss equal to the difference between the value of the contract at the time it was opened and the time it was closed.
Use of long futures subjects the Portfolio to risk of loss in excess of the amounts shown on the statement of assets and liabilities, up to the notional value of the futures. Use of short futures subjects the Portfolio to unlimited risk of loss. Under some circumstances, futures exchanges may establish daily limits on the amount that the price of futures can vary from the previous day’s settlement price, which could effectively prevent liquidation of unfavorable positions.
During the six months ended February 29, 2016, AB Short Duration Bond Portfolio, AB Bond Inflation Protection Portfolio, AB Global Core Bond Portfolio, AB Multi-Asset Real Return Portfolio and AB Volatility Management Portfolio held futures for hedging and non-hedging purposes; the AB High Yield Portfolio held futures for hedging purposes; the AB International Value Portfolio held futures for 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
296 | • AB POOLING PORTFOLIOS |
Notes to Financial Statements
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.
During the six months ended February 29, 2016, the AB International Value Portfolio, AB Global Core Bond Portfolio, AB Bond Inflation Protection Portfolio, AB High-Yield Portfolio, AB Multi-Asset Real Return Portfolio and AB Volatility Management Portfolio held forward currency exchange contracts for hedging and non-hedging purposes; the AB Short Duration Bond Portfolio and AB International Growth 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.
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
AB POOLING PORTFOLIOS • | 297 |
Notes to Financial Statements
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.
At February 29, 2016, the AB High-Yield Portfolio had maximum payments for written put options amounted to $4,369,000. In certain circumstances maximum payout amounts may be partially offset by recovery values of the respective referenced assets and upfront premium received upon entering into the contract.
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, 2016, the AB High-Yield Portfolio held purchased options, written options and written swaptions for hedging purposes; the AB Global Core Bond Portfolio, AB Multi-Asset Real Return Portfolio and AB Volatility Management Portfolio held purchased options and written options for hedging and non-hedging purposes; the AB Bond Inflation Protection Portfolio held written options for hedging and non-hedging purposes.
For the six months ended February 29, 2016, the Portfolios had the following transactions in written options:
AB Global Core Bond Portfolio | Number of Contracts | Premiums Received | ||||||
Options written outstanding as of 08/31/15 | – 0 | – | $ | – 0 | – | |||
Options written | 31,877,125 | 233,333 | ||||||
Options expired | (31,877,125 | ) | (233,333 | ) | ||||
Options bought back | – 0 | – | – 0 | – | ||||
Options exercised | – 0 | – | – 0 | – | ||||
|
|
|
| |||||
Options written outstanding as of 02/29/16 | – 0 | – | $ | – 0 | – | |||
|
|
|
| |||||
AB High-Yield Portfolio | Number of Contracts | Premiums Received | ||||||
Options written outstanding as of 08/31/15 | 4,949 | $ | 455,785 | |||||
Options written | 3,600 | 185,576 | ||||||
Options assigned | (146 | ) | (39,139 | ) | ||||
Options expired | (4,453 | ) | (433,824 | ) | ||||
Options bought back | (3,261 | ) | (146,330 | ) | ||||
Options exercised | – 0 | – | – 0 | – | ||||
|
|
|
| |||||
Options written outstanding as of 02/29/16 | 689 | $ | 22,068 | |||||
|
|
|
|
298 | • AB POOLING PORTFOLIOS |
Notes to Financial Statements
Notional Amount | Premiums Received | |||||||
Swaptions written outstanding as of 08/31/15 | 13,930,000 | $ | 47,331 | |||||
Swaptions written | 40,740,000 | 48,345 | ||||||
Swaptions expired | (47,600,000 | ) | (82,950 | ) | ||||
Swaptions bought back | (7,070,000 | ) | (12,726 | ) | ||||
Swaptions exercised | – 0 | – | – 0 | – | ||||
|
|
|
| |||||
Swaptions written outstanding as of 02/29/16 | – 0 | – | $ | – 0 | – | |||
|
|
|
| |||||
AB Multi-Asset Real Return Portfolio* | Number of Contracts | Premiums Received | ||||||
Options written outstanding as of 08/31/15 | 10,054,776 | $ | 3,317,932 | |||||
Options written | 27,281,400 | 2,916,285 | ||||||
Options expired | (10,054,776 | ) | (3,317,932 | ) | ||||
Options bought back | (21,600,000 | ) | (2,343,600 | ) | ||||
Options exercised | – 0 | – | – 0 | – | ||||
|
|
|
| |||||
Options written outstanding as of 02/29/16 | 5,681,400 | $ | 572,685 | |||||
|
|
|
|
* | Consolidated (see Note A). |
AB Volatility Management Portfolio | Number of Contracts | Premiums Received | ||||||
Options written outstanding as of 08/31/15 | – 0 | – | $ | – 0 | – | |||
Options written | 184,700 | 3,793,738 | ||||||
Options expired | – 0 | – | – 0 | – | ||||
Options bought back | (184,700 | ) | (3,793,738 | ) | ||||
Options exercised | – 0 | – | – 0 | – | ||||
|
|
|
| |||||
Options written outstanding as of 02/29/16 | – 0 | – | $ | – 0 | – | |||
|
|
|
|
• | Swaps |
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 swaps to provide value and recourse to the Portfolio or its counterparties in the event of default, bankruptcy or insolvency by one of the parties to the swap.
Risks may arise as a result of the failure of the counterparty to the swap to comply with the terms of the swap. The loss incurred by the failure of a
AB POOLING PORTFOLIOS • | 299 |
Notes to Financial Statements
counterparty is generally limited to the net interim payment to be received by the Portfolio, and/or the termination value at the end of the contract. Therefore, the Portfolio considers the creditworthiness of each counterparty to a swap in evaluating potential counterparty risk. This risk is mitigated by having a netting arrangement between the Portfolio and the counterparty and by the posting of collateral by the counterparty to the Portfolio to cover the Portfolio’s exposure to the counterparty. Additionally, risks may arise from unanticipated movements in interest rates or in the value of the underlying securities. The Portfolio accrues for the interim payments on swaps on a daily basis, with the net amount recorded within unrealized appreciation/depreciation of swaps on the statement of assets and liabilities, where applicable. Once the interim payments are settled in cash, the net amount is recorded as realized gain/(loss) on swaps on the statement of operations, in addition to any realized gain/(loss) recorded upon the termination of swap. Upfront premiums paid or received are recognized as cost or proceeds on the statement of assets and liabilities and are amortized on a straight line basis over the life of the contract. Amortized upfront premiums are included in net realized gain/(loss) from swaps on the statement of operations. Fluctuations in the value of swaps are recorded as a component of net change in unrealized appreciation/depreciation of swaps on the statement of operations.
Certain standardized swaps, including certain interest rate swaps and credit default swaps, are (or soon will be) subject to mandatory central clearing. Cleared swaps are transacted through futures commission merchants (“FCMs”) that are members of central clearinghouses, with the clearinghouse serving as central counterparty, similar to transactions in futures contracts. Centralized clearing will be required for additional categories of swaps on a phased-in basis based on requirements published by the Securities and Exchange Commission and Commodity Futures Trading Commission.
At the time the Portfolio enters into a centrally cleared swap, the Portfolio deposits and maintains as collateral an initial margin with the broker, as required by the clearinghouse on which the transaction is effected. Such amount is shown as cash collateral due from broker on the statement of assets and liabilities. Pursuant to the contract, the Portfolio agrees to receive from or pay to the broker an amount of cash equal to the daily fluctuation in the value of the contract. Such receipts or payments are known as variation margin and are recorded by the Portfolio as unrealized gains or losses. Risks may arise from the potential inability of a counterparty to meet the terms of the contract. The credit/counterparty risk for centrally cleared swaps is generally less than non-centrally cleared swaps, since the clearinghouse, which is the issuer or counterparty to each centrally cleared swap, has robust risk mitigation standards, including the requirement to provide initial and variation margin. When the contract is
300 | • AB POOLING PORTFOLIOS |
Notes to Financial Statements
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.
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 swaps. 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, 2016, the AB Short Duration Bond Portfolio held interest rate swaps for non-hedging purposes; the AB Bond Inflation Protection Portfolio and AB Multi-Asset Real Return Portfolio held interest rate swaps for hedging and non-hedging purposes; the AB High-Yield Portfolio held interest rate swaps for hedging purposes.
Inflation (CPI) Swaps:
Inflation swap agreements are contracts in which one party agrees to pay the cumulative percentage increase in a price index (the Consumer Price Index with respect to CPI swaps) over the term of the swap (with some lag on the inflation index), and the other pays a compounded fixed rate. Inflation swaps may be used to protect the net asset value, or NAV, of a Portfolio against an unexpected change in the rate of inflation measured by an inflation index since the value of these agreements is expected to increase if unexpected inflation increases.
During the six months ended February 29, 2016, the AB Bond Inflation Protection Portfolio and AB Multi-Asset Real Return Portfolio held inflation (CPI) swaps for hedging and non-hedging purposes.
AB POOLING PORTFOLIOS • | 301 |
Notes to Financial Statements
Currency Swaps:
The Portfolio may invest in currency swaps for hedging purposes to protect against adverse changes in exchange rates between the U.S. dollar and other currencies or for non-hedging purposes as a means of making direct investments in foreign currencies, as described below under “Currency Transactions”. Currency swaps involve the individually negotiated exchange by a Portfolio with another party of a series of payments in specified currencies. Actual principal amounts of currencies may be exchanged by the counterparties at the initiation, and again upon the termination, of the transaction. Therefore, the entire principal value of a currency swap is subject to the risk that the swap counterparty will default on its contractual delivery obligations.
During the six months ended February 29, 2016, the AB Short Duration Bond Portfolio held currency swaps 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, the Portfolio receives/(pays) fixed payments from/(to) the respective counterparty, calculated at the agreed upon rate applied to the notional amount. If the Portfolio is a buyer/(seller) of protection and a credit event occurs, as defined under the terms of the swap, the Portfolio will either (i) receive from the seller/(pay to the buyer) of protection an amount equal to the notional amount of the swap (the “Maximum Payout Amount”) and deliver/(take delivery of) the referenced obligation or (ii) receive/(pay) a net settlement amount in the form of cash or securities equal to the notional amount of the swap less the recovery value of the referenced obligation.
In certain circumstances Maximum Payout Amounts may be partially offset by recovery values of the respective referenced obligations, upfront premium received upon entering into the agreement, or net amounts received from settlement of buy protection credit default swaps entered into by the Portfolio for the same reference obligation with the same counterparty. As of February 29, 2016, the High-Yield Portfolio had Buy Contracts outstanding with respect to the same referenced obligation and counterparty as certain Sale Contracts which may partially offset the Maximum Payout Amount in the amount of $23,867,000.
Credit default swaps may involve greater risks than if a Portfolio had invested in the referenced obligation directly. Credit default swaps are
302 | • AB POOLING PORTFOLIOS |
Notes to Financial Statements
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.
Implied credit spreads over U.S. Treasuries of comparable maturity over U.S. Treasuries of comparable maturity utilized in determining the market value of credit default swaps on issuers as of period end are disclosed in the portfolio of investments. The implied spreads serve as an indicator of the current status of the payment/ performance risk and typically reflect the likelihood of default by the issuer of the referenced obligation. The implied credit spread of a particular reference obligation also reflects the cost of buying/selling protection and may reflect upfront payments required to be made to enter into the agreement. Widening credit spreads typically represent a deterioration of the referenced obligation’s credit soundness and greater likelihood of default or other credit event occurring as defined under the terms of the agreement. A credit spread identified as “Defaulted” indicates a credit event has occurred for the referenced obligation.
During the six months ended February 29, 2016, the AB Bond Inflation Protection Portfolio and AB High-Yield Portfolio held credit default swaps for hedging and non-hedging purposes.
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, 2016, the AB Multi-Asset Real Return Portfolio and AB Volatility Management Portfolio held total return swaps for hedging and non-hedging purposes; the AB High Yield Portfolio held total return swaps for non-hedging purposes.
The Portfolios typically enter into International Swaps and Derivatives Association, Inc. Master Agreements (“ISDA Master Agreement”) or similar master agreements (collectively, “Master Agreements”) with its derivative contract counterparties in order to, among other things, reduce its credit risk to counterparties.
AB POOLING PORTFOLIOS • | 303 |
Notes to Financial Statements
ISDA Master Agreements include provisions for general obligations, representations, collateral and events of default or termination. Under an ISDA Master Agreement, the Portfolios typically may offset with the counterparty certain derivative financial instrument’s payables and/or receivables with collateral held and/or posted and create one single net payment (close-out netting) in the event of default or termination.
Various Master Agreements govern the terms of certain transactions with counterparties, including transactions such as derivative transactions, repurchase and reverse repurchase agreements. These Master Agreements typically attempt to reduce the counterparty risk associated with such transactions by specifying credit protection mechanisms and providing standardization that improves legal certainty. Cross-termination provisions under Master Agreements typically provide that a default in connection with one transaction between the Portfolio and a counterparty gives the non-defaulting party the right to terminate any other transactions in place with the defaulting party to create one single net payment due to/due from the defaulting party. In the event of a default by a Master Agreements counterparty, the return of collateral with market value in excess of the Portfolios’ net liability, held by the defaulting party, may be delayed or denied.
The Portfolio Master Agreements may contain provisions for early termination of OTC derivative transactions in the event the net assets of the Portfolio decline below specific levels (“net asset contingent features”). If these levels are triggered, the Portfolio counterparty has the right to terminate such transaction and require the Portfolio to pay or receive a settlement amount in connection with the terminated transaction. For additional details, please refer to netting arrangements by counterparty tables below.
At February 29, 2016, the Portfolios had entered into the following derivatives:
AB International Value Portfolio | ||||||||||||
Asset Derivatives | Liability Derivatives | |||||||||||
Derivative Type | Statement of Assets and Liabilities Location | Fair Value | Statement of Assets and Liabilities Location | Fair Value | ||||||||
Equity contracts | Receivable/Payable for variation margin on exchange-traded derivatives | $ | 27,594 | * | ||||||||
Foreign exchange contracts | Unrealized appreciation on forward currency exchange contracts | $ | 843,116 |
| Unrealized depreciation on forward currency exchange contracts |
| 1,344,546 |
| ||||
|
|
|
| |||||||||
Total | $ | 843,116 | $ | 1,372,140 | ||||||||
|
|
|
|
* | Only variation margin receivable/payable at period end is reported within the statement of assets and liabilities. This amount reflects cumulative appreciation/(depreciation) of exchange-traded derivatives as reported in the portfolio of investments. |
304 | • AB POOLING PORTFOLIOS |
Notes to Financial Statements
The effect of derivative instruments on the statement of operations for the six months ended February 29, 2016:
Derivative Type | Location of | Realized Gain or (Loss) on Derivatives | Change in Unrealized Appreciation or (Depreciation) | |||||||
Equity contracts | Net realized gain (loss) on futures; Net change in unrealized appreciation/depreciation of futures | $ | (48,428 | ) | $ | 110,351 | ||||
Foreign exchange contracts | Net realized gain (loss) on foreign currency transactions; Net change in unrealized appreciation/depreciation of foreign currency denominated assets and liabilities | (240,526 | ) | (1,005,931 | ) | |||||
|
|
|
| |||||||
Total | $ | (288,954 | ) | $ | (895,580 | ) | ||||
|
|
|
|
AB International Growth 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 on forward currency exchange contracts | $ | 3,621,576 |
| Unrealized depreciation on forward currency exchange contracts | $ | 1,042,531 |
| ||||
|
|
|
| |||||||||
Total | $ | 3,621,576 | $ | 1,042,531 | ||||||||
|
|
|
|
The effect of derivative instruments on the statement of operations for the six months ended February 29, 2016:
Derivative Type | Location of Gain or (Loss) | 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 | $ | (669,768 | ) | $ | 4,331,309 |
| |||
|
|
|
| |||||||
Total | $ | (669,768 | ) | $ | 4,331,309 | |||||
|
|
|
|
AB POOLING PORTFOLIOS • | 305 |
Notes to Financial Statements
AB Short Duration Bond Portfolio | ||||||||||||
Asset Derivatives | Liability Derivatives | |||||||||||
Derivative Type | Statement of | Fair Value | Statement of | Fair Value | ||||||||
Interest rate contracts | Receivable/Payable for variation margin on exchange-traded derivatives | $ | 247,021 | * | Receivable/Payable for variation margin on exchange-traded derivatives | $ | 406,822 | * | ||||
Foreign exchange contracts | Unrealized depreciation on forward currency exchange contracts | | 2,732,979 | | ||||||||
|
|
|
| |||||||||
Total | $ | 247,021 | $ | 3,139,801 | ||||||||
|
|
|
|
* | Only variation margin receivable/payable at period end is reported within the statement of assets and liabilities. This amount reflects cumulative appreciation/(depreciation) of exchange-traded derivatives as reported in the portfolio of investments. |
The effect of derivative instruments on the statement of operations for the six months ended February 29, 2016:
Derivative Type | Location of | Realized Gain or (Loss) on Derivatives | Change in Unrealized Appreciation or (Depreciation) | |||||||
Interest rate contracts | Net realized gain (loss) on futures; Net change in unrealized appreciation/depreciation of futures | $ | 243,169 | $ | (584,709 | ) | ||||
Foreign exchange contracts | Net realized gain (loss) on foreign currency transactions; Net change in unrealized appreciation/depreciation of foreign currency denominated assets and liabilities | – 0 | – | (2,732,979 | ) | |||||
Interest rate contracts | Net realized gain (loss) on swaps; Net change in unrealized appreciation/depreciation of swaps | 62,630 | (21,696 | ) | ||||||
|
|
|
| |||||||
Total | $ | 305,799 | $ | (3,339,384 | ) | |||||
|
|
|
|
306 | • AB POOLING PORTFOLIOS |
Notes to Financial Statements
AB Global Core Bond Portfolio | ||||||||||||
Asset Derivatives | Liability Derivatives | |||||||||||
Derivative Type | Statement of Assets and Liabilities Location | Fair Value | Statement of Assets and Liabilities Location | Fair Value | ||||||||
Interest rate contracts | Receivable/Payable for variation margin on exchange-traded derivatives | $ | 224,015 | * | Receivable/Payable for variation margin on exchange-traded derivatives | $ | 837,749 | * | ||||
Foreign exchange contracts | Unrealized appreciation on forward currency exchange contracts | | 3,148,996 | | Unrealized depreciation on forward currency exchange contracts | | 3,622,143 | | ||||
|
|
|
| |||||||||
Total | $ | 3,373,011 | $ | 4,459,892 | ||||||||
|
|
|
|
* | Only variation margin receivable/payable at period end is reported within the statement of assets and liabilities. This amount reflects cumulative appreciation/(depreciation) of exchange-traded derivatives as reported in the portfolio of investments. |
The effect of derivative instruments on the statement of operations for the six months ended February 29, 2016:
Derivative Type | Location of | Realized Gain or (Loss) on Derivatives | Change in Unrealized Appreciation or (Depreciation) | |||||||
Interest rate contracts | Net realized gain (loss) on futures; Net change in unrealized appreciation/depreciation of futures | $ | (3,346,019 | ) | $ | (1,119,796 | ) | |||
Foreign exchange contracts | Net realized gain (loss) on foreign currency transactions; Net change in unrealized appreciation/depreciation of foreign currency denominated assets and liabilities | (148,359 | ) | (812,506 | ) | |||||
Foreign exchange contracts | Net realized gain (loss) on investment transactions; Net change in unrealized appreciation/depreciation of investments | (38,080 | ) | – 0 | – |
AB POOLING PORTFOLIOS • | 307 |
Notes to Financial Statements
Derivative Type | Location of | Realized Gain or (Loss) on Derivatives | Change in Unrealized Appreciation or (Depreciation) | |||||||
Foreign exchange contracts | Net realized gain (loss) on options written; Net change in unrealized appreciation/depreciation of options written | $ | 230,277 | $ | – 0 | – | ||||
|
|
|
| |||||||
Total | $ | (3,302,181 | ) | $ | (1,932,302 | ) | ||||
|
|
|
|
AB Bond Inflation Protection Portfolio | ||||||||||||
Asset Derivatives | Liability Derivatives | |||||||||||
Derivative Type | Statement of Assets and Liabilities Location | Fair Value | Statement of Assets and Liabilities Location | Fair Value | ||||||||
Interest rate contracts | Receivable/Payable for variation margin on exchange-traded derivatives | $ | 5,726,737 | * | Receivable/Payable for variation margin on exchange-traded derivatives | $ | 6,642,509 | * | ||||
Credit contracts | Receivable/Payable for variation margin on exchange-traded derivatives | 138,696 | * | Receivable/Payable for variation margin on exchange-traded derivatives | 226,314 | * | ||||||
Foreign exchange contracts | Unrealized appreciation on forward currency exchange contracts |
| 97,125 |
| Unrealized depreciation on forward currency exchange contracts |
| 880,566 |
| ||||
Interest rate contracts | Unrealized depreciation on interest rate swaps |
| 1,577,715 |
| ||||||||
Interest rate contracts | Unrealized depreciation on inflation swaps |
| 888,477 |
| ||||||||
Credit contracts | Unrealized appreciation on credit default swaps | 539,295 | Unrealized depreciation on credit default swaps | 26,026 | ||||||||
|
|
|
| |||||||||
Total | $ | 6,501,853 | $ | 10,241,607 | ||||||||
|
|
|
|
* | Only variation margin receivable/payable at period end is reported within the statement of assets and liabilities. This amount reflects cumulative appreciation/(depreciation) of exchange-traded derivatives as reported in the portfolio of investments. |
308 | • AB POOLING PORTFOLIOS |
Notes to Financial Statements
The effect of derivative instruments on the statement of operations for the six months ended February 29, 2016:
Derivative Type | Location of | Realized Gain or (Loss) on Derivatives | Change in Unrealized Appreciation or (Depreciation) | |||||||
Interest rate contracts | Net realized gain (loss) on futures; Net change in unrealized appreciation/depreciation of futures | $ | (1,878,935 | ) | $ | (228,660 | ) | |||
Foreign exchange contracts | Net realized gain (loss) on foreign currency transactions; Net change in unrealized appreciation/depreciation of foreign currency denominated assets and liabilities |
| 534,157 |
|
| (937,500 | ) | |||
Foreign exchange contracts | Net realized gain (loss) on options written; Net change in unrealized appreciation/depreciation of options written |
| 46,316 |
|
| – 0 | – | |||
Interest rate contracts | Net realized gain (loss) on swaps; Net change in unrealized appreciation/depreciation of swaps | (350,189 | ) | (1,593,695 | ) | |||||
Credit contracts | Net realized gain (loss) on swaps; Net change in unrealized appreciation/depreciation of swaps | (511,366 | ) | 926,268 | ||||||
|
|
|
| |||||||
Total | $ | (2,160,017 | ) | $ | (1,833,587 | ) | ||||
|
|
|
|
AB High-Yield Portfolio | ||||||||||||
Asset Derivatives | Liability Derivatives | |||||||||||
Derivative Type | Statement of Assets and Liabilities Location | Fair Value | Statement of Assets and Liabilities Location | Fair Value | ||||||||
Interest rate contracts | Receivable/Payable for variation margin on exchange-traded derivatives | $ | 9,698 | * | Receivable/Payable for variation margin on exchange-traded derivatives | $ | 901,001 | * |
AB POOLING PORTFOLIOS • | 309 |
Notes to Financial Statements
AB High-Yield Portfolio | ||||||||||||
Asset Derivatives | Liability Derivatives | |||||||||||
Derivative Type | Statement of Assets and Liabilities Location | Fair Value | Statement of Assets and Liabilities Location | Fair Value | ||||||||
Credit contracts | Receivable/Payable for variation margin on exchange-traded derivatives | $ | 584,066 | * | Receivable/Payable for variation margin on exchange-traded derivatives | $ | 583,866 | * | ||||
Equity contracts | Receivable/Payable for variation margin on exchange-traded derivatives | 61,363 | * | |||||||||
Foreign exchange contracts | Unrealized appreciation on forward currency exchange contracts |
| 216,622 |
| Unrealized depreciation on forward currency exchange contracts |
| 92,753 |
| ||||
Equity contracts | Investments in securities, at value | 19,721 | ||||||||||
Equity contracts | Options written, at value | 5,110 | ||||||||||
Credit contracts | Unrealized appreciation on credit default swaps | 861,806 | Unrealized depreciation on credit default swaps | 1,647,245 | ||||||||
Equity contracts | Unrealized appreciation on total return swaps | 187,553 | Unrealized depreciation on total return swaps | 189,637 | ||||||||
|
|
|
| |||||||||
Total | $ | 1,879,466 | $ | 3,480,975 | ||||||||
|
|
|
|
* | Only variation margin receivable/payable at period end is reported within the statement of assets and liabilities. This amount reflects cumulative appreciation/(depreciation) of exchange-traded derivatives as reported in the portfolio of investments. |
The effect of derivative instruments on the statement of operations for the six months ended February 29, 2016:
Derivative Type | Location of Gain or (Loss) on Derivatives | Realized Gain or (Loss) on Derivatives | Change in Unrealized Appreciation or (Depreciation) | |||||||
Interest rate contracts | Net realized gain (loss) on futures; Net change in unrealized appreciation/depreciation of futures | $ | 263,839 | $ | 9,698 |
310 | • AB POOLING PORTFOLIOS |
Notes to Financial Statements
Derivative Type | Location of Gain or (Loss) on Derivatives | Realized Gain or (Loss) on Derivatives | Change in Unrealized Appreciation or (Depreciation) | |||||||
Equity contracts | Net realized gain (loss) on futures; Net change in unrealized appreciation/depreciation of futures | $ | 47,364 | $ | 14,910 | |||||
Foreign exchange contracts | Net realized gain (loss) on foreign currency transactions; Net change in unrealized appreciation/depreciation of foreign currency denominated assets and liabilities | 52,762 | 132,727 | |||||||
Credit contracts | Net realized gain (loss) on investment transactions; Net change in unrealized appreciation/depreciation of investments | (243,750 | ) | 24,147 | ||||||
Equity contracts | Net realized gain (loss) on investment transactions; Net change in unrealized appreciation/depreciation of investments | (152,618 | ) | (272,517 | ) | |||||
Credit contracts | Net realized gain (loss) on swaptions written; Net change in unrealized appreciation/depreciation of swaptions written | 94,969 | (7,539 | ) | ||||||
Equity contracts | Net realized gain (loss) on options written; Net change in unrealized appreciation/depreciation of options written | 307,513 | (160,320 | ) | ||||||
Interest rate contracts | Net realized gain (loss) on swaps; Net change in unrealized appreciation/depreciation of swaps | (63,937 | ) | (915,331 | ) |
AB POOLING PORTFOLIOS • | 311 |
Notes to Financial Statements
Derivative Type | Location of Gain or (Loss) on Derivatives | Realized Gain or (Loss) on Derivatives | Change in Unrealized Appreciation or (Depreciation) | |||||||
Credit contracts | Net realized gain (loss) on swaps; Net change in unrealized appreciation/depreciation of swaps | $ | 386,765 | $ | (1,220,125 | ) | ||||
Equity contracts | Net realized gain (loss) on swaps; Net change in unrealized appreciation/depreciation of swaps | (899,094 | ) | 499,482 | ||||||
|
|
|
| |||||||
Total | $ | (206,187 | ) | $ | (1,894,868 | ) | ||||
|
|
|
|
Multi-Asset Real Return Portfolio** | ||||||||||||
Asset Derivatives | Liability Derivatives | |||||||||||
Derivative Type | Statement of Assets and Liabilities Location | Fair Value | Statement of Assets and Liabilities Location | Fair Value | ||||||||
Commodity contracts | Receivable/Payable for variation margin on exchange-traded derivatives | $ | 1,775,154 | * | Receivable/Payable for variation margin on exchange-traded derivatives | $ | 345,669 | * | ||||
Foreign exchange contracts | Unrealized appreciation on forward currency exchange contracts |
| 3,056,830 |
| Unrealized depreciation on forward currency exchange contracts |
| 2,053,427 |
| ||||
Equity contracts | Options written, at value | 81,449 | ||||||||||
Interest rate contracts | Unrealized appreciation on inflation swaps |
| 127,841 |
| Unrealized depreciation on inflation swaps |
| 5,315,950 |
| ||||
Equity contracts | Unrealized appreciation on total return swaps | 2,333,111 | Unrealized depreciation on total return swaps | 484,905 | ||||||||
|
|
|
| |||||||||
Total | $ | 7,292,936 | $ | 8,281,400 | ||||||||
|
|
|
|
* | Only variation margin receivable/payable at period end is reported within the consolidated statement of assets and liabilities. This amount reflects cumulative appreciation/(depreciation) of exchange-traded derivatives as reported in the consolidated portfolio of investments. |
** | Consolidated (see Note A). |
312 | • AB POOLING PORTFOLIOS |
Notes to Financial Statements
The effect of derivative instruments on the consolidated statement of operations for the six months ended February 29, 2016:
Derivative Type | Location of | 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 | $ | (2,450,366 | ) | $ | 10,085 | | |||
Commodity contracts | Net realized gain (loss) on futures; Net change in unrealized appreciation/depreciation of futures | (40,313,458 | ) | 20,617,726 | ||||||
Equity contracts | Net realized gain (loss) on options written; Net change in unrealized appreciation/depreciation of options written | (2,129,588 | ) | (1,252,829 | ) | |||||
Interest rate contracts | Net realized gain (loss) on swaps; Net change in unrealized appreciation/depreciation of swaps | (4,067,609 | ) | (6,103,360 | ) | |||||
Equity contracts | Net realized gain (loss) on swaps; Net change in unrealized appreciation/depreciation of swaps | (36,323,835 | ) | 314,947 | ||||||
|
|
|
| |||||||
Total | $ | (85,284,856 | ) | $ | 13,586,569 | |||||
|
|
|
|
AB Volatility Management Portfolio | ||||||||||||
Asset Derivatives | Liability Derivatives | |||||||||||
Derivative Type | Statement of Assets and Liabilities Location | Fair Value | Statement of Assets and Liabilities Location | Fair Value | ||||||||
Interest rate contracts | Receivable/Payable for variation margin on exchange-traded derivatives | $ | 17,798 | * | Receivable/Payable for variation margin on exchange-traded derivatives | $ | 66,742 | * | ||||
Equity contracts | Receivable/Payable for variation margin on exchange-traded derivatives | | 1,147,597 | * | Receivable/Payable for variation margin on exchange-traded derivatives | | 13,269,214 | * |
AB POOLING PORTFOLIOS • | 313 |
Notes to Financial Statements
AB Volatility Management 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 on forward currency exchange contracts | $ | 11,812,911 | | Unrealized depreciation on forward currency exchange contracts | $ | 5,526,955 | | ||||
Equity contracts | Unrealized appreciation on total return swaps | 4,710,875 | Unrealized depreciation on total return swaps | 996,393 | ||||||||
|
|
|
| |||||||||
Total | $ | 17,689,181 | $ | 19,859,304 | ||||||||
|
|
|
|
* | Only variation margin receivable/payable at period end is reported within the statement of assets and liabilities. This amount reflects cumulative appreciation/(depreciation) of exchange-traded derivatives as reported in the portfolio of investments. |
The effect of derivative instruments on the statement of operations for the six months ended February 29, 2016:
Derivative Type | Location of | Realized Gain or (Loss) on Derivatives | Change in Unrealized Appreciation or (Depreciation) | |||||||
Interest rate contracts | Net realized gain (loss) on futures; Net change in unrealized appreciation/depreciation of futures | $ | (303,911 | ) | $ | (48,944 | ) | |||
Equity contracts | Net realized gain (loss) on futures; Net change in unrealized appreciation/depreciation of futures | (29,043,476 | ) | 442,495 | ||||||
Foreign exchange contracts | Net realized gain (loss) on foreign currency transactions; Net change in unrealized appreciation/depreciation of foreign currency denominated assets and liabilities | 1,956,683 | 4,204,848 |
314 | • AB POOLING PORTFOLIOS |
Notes to Financial Statements
Derivative Type | Location of | Realized Gain or (Loss) on Derivatives | Change in Unrealized Appreciation or (Depreciation) | |||||||
Equity contracts | Net realized gain (loss) on investment transactions; Net change in unrealized appreciation/depreciation of investments | $ | (701,903 | ) | $ | – 0 | – | |||
Equity contracts | Net realized gain (loss) on options written; Net change in unrealized appreciation/depreciation of options written | (177,162 | ) | – 0 | – | |||||
Equity contracts | Net realized gain (loss) on swaps; Net change in unrealized appreciation/depreciation of swaps | (20,640,071 | ) | 9,825,604 | ||||||
|
|
|
| |||||||
Total | $ | (48,909,840 | ) | $ | 14,424,003 | |||||
|
|
|
|
The following tables represent the average monthly volume of the Portfolio’s derivative transactions during the six months ended February 29, 2016:
AB International Value Portfolio | ||||
Futures: | ||||
Average original value of buy contracts | $ | 1,049,729 | ||
Forward Currency Exchange Contracts: | ||||
Average principal amount of sale contracts | $ | 62,203,017 | ||
Average principal amount of sale contracts | $ | 74,554,490 | ||
AB International Growth Portfolio | ||||
Forward Currency Exchange Contracts: | ||||
Average principal amount of buy contracts | $ | 54,466,487 | ||
Average principal amount of sale contracts | $ | 93,136,090 | ||
Short Duration Bond Portfolio | ||||
Futures: | ||||
Average original value of buy contracts | $ | 313,152,139 | ||
Average original value of sale contracts | $ | 50,313,164 | ||
Forward Currency Exchange Contracts: | ||||
Average principal amount of sale contracts | $ | 45,016,588 | ||
Centrally Cleared Interest Rate Swaps: | ||||
Average notional amount | $ | 7,397,659 |
AB POOLING PORTFOLIOS • | 315 |
Notes to Financial Statements
AB Global Core Bond Portfolio | ||||
Futures: | ||||
Average original value of buy contracts | $ | 13,601,155 | (a) | |
Average original value of sale contracts | $ | 77,844,747 | ||
Forward Currency Exchange Contracts: | ||||
Average principal amount of buy contracts | $ | 74,826,286 | ||
Average principal amount of sale contracts | $ | 474,184,027 | ||
Purchased Options: | ||||
Average monthly cost | $ | 180,559 | (b) | |
(a) Positions were open for less than one month during the period. | ||||
(b) Positions were open for four months during the period. | ||||
AB Bond Inflation Protection Portfolio | ||||
Futures: | ||||
Average original value of buy contracts | $ | 15,065,679 | ||
Average original value of sale contracts | $ | 109,898,630 | ||
Forward Currency Exchange Contracts: | ||||
Average principal amount of buy contracts | $ | 14,840,673 | ||
Average principal amount of sale contracts | $ | 63,566,551 | ||
Interest Rate Swaps: | ||||
Average notional amount | $ | 9,470,000 | ||
Inflation Swaps: | ||||
Average notional amount | $ | 137,531,429 | ||
Centrally Cleared Interest Rate Swaps: | ||||
Average notional amount | $ | 362,364,931 | ||
Credit Default Swaps: | ||||
Average notional amount of buy contracts | $ | 2,770,000 | ||
Average notional amount of sale contracts | $ | 4,183,346 | ||
Centrally Cleared Credit Default Swaps: | ||||
Average notional amount of buy contracts | $ | 44,762,000 | ||
AB High-Yield Portfolio | ||||
Futures: | ||||
Average original value of buy contracts | $ | 8,239,196 | ||
Average original value of sale contracts | $ | 2,241,711 | (a) | |
Forward Currency Exchange Contracts: | ||||
Average principal amount of buy contracts | $ | 5,601,675 | ||
Average principal amount of sale contracts | $ | 22,530,142 | ||
Purchased Options: | ||||
Average monthly cost | $ | 303,380 | ||
Centrally Cleared Interest Rate Swaps: | ||||
Average notional amount | $ | 15,304,286 | ||
Credit Default Swaps: | ||||
Average notional amount of buy contracts | $ | 28,311,740 | ||
Average notional amount of sale contracts | $ | 14,346,086 |
316 | • AB POOLING PORTFOLIOS |
Notes to Financial Statements
Centrally Cleared Credit Default Swaps: | ||||
Average notional amount of buy contracts | $ | 38,989,209 | ||
Average notional amount of sale contracts | $ | 20,820,791 | ||
Total Return Swaps: | ||||
Average notional amount | $ | 24,665,714 | ||
(a) Positions were open for four months during the period. | ||||
AB Multi-Asset Real Return Portfolio* | ||||
Futures: | ||||
Average original value of buy contracts | $ | 104,199,627 | ||
Average original value of sale contracts | $ | 11,886,543 | ||
Forward Currency Exchange Contracts: | ||||
Average principal amount of buy contracts | $ | 101,411,531 | ||
Average principal amount of sale contracts | $ | 169,580,942 | ||
Inflation Swaps: | ||||
Average notional amount | $ | 484,267,714 | ||
Total Return Swaps: | ||||
Average notional amount | $ | 242,390,998 | ||
* Consolidated (see Note A). | ||||
AB Volatility Management Portfolio | ||||
Futures: | ||||
Average original value of buy contracts | $ | 141,082,689 | ||
Average original value of sale contracts | $ | 141,464,939 | ||
Forward Currency Exchange Contracts: | ||||
Average principal amount of buy contracts | $ | 162,176,575 | ||
Average principal amount of sale contracts | $ | 160,224,041 | ||
Total Return Swaps: | ||||
Average notional amount | $ | 193,897,319 |
For financial reporting purposes, the Portfolios do not offset derivative assets and derivative liabilities that are subject to netting arrangements in the statement of assets and liabilities.
AB POOLING PORTFOLIOS • | 317 |
Notes to Financial Statements
All derivatives held at period end were subject to netting arrangements. The following tables present the Portfolios’ derivative assets and liabilities by counterparty net of amounts available for offset under Master Agreements (“MA”) and net of the related collateral received/ pledged by the Portfolios as of February 29, 2016:
AB International Value Portfolio | ||||||||||||||||||||
Counterparty | Derivative Assets Subject to a MA | Derivative Available for Offset | Cash Collateral Received | Security Collateral Received | Net Amount of Derivatives Assets | |||||||||||||||
Exchange-Traded Derivatives: |
| |||||||||||||||||||
Goldman Sachs & Co.** | $ | 585 | $ | – 0 | – | $ | – 0 | – | $ | – 0 | – | $ | 585 | |||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Total | $ | 585 | $ | – 0 | – | $ | – 0 | – | $ | – 0 | – | $ | 585 | |||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
OTC Derivatives: | ||||||||||||||||||||
BNP Paribas SA | $ | 69,709 | $ | – 0 | – | $ | – 0 | – | $ | – 0 | – | $ | 69,709 | |||||||
Citibank | 251,090 | (28,075 | ) | – 0 | – | – 0 | – | 223,015 | ||||||||||||
Credit Suisse International | 9,973 | (9,973 | ) | – 0 | – | – 0 | – | – 0 | – | |||||||||||
HSBC Bank USA | 103,654 | (103,654 | ) | – 0 | – | – 0 | – | – 0 | – | |||||||||||
Morgan Stanley & Co., Inc. | 39,802 | – 0 | – | – 0 | – | – 0 | – | 39,802 | ||||||||||||
Royal Bank of Scotland PLC | 286,482 | (123,341 | ) | – 0 | – | – 0 | – | 163,141 | ||||||||||||
State Street Bank & Trust Co. | 42,562 | (42,562 | ) | – 0 | – | – 0 | – | – 0 | – | |||||||||||
UBS AG | 39,844 | (39,844 | ) | – 0 | – | – 0 | – | – 0 | – | |||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Total | $ | 843,116 | $ | (347,449 | ) | $ | – 0 | – | $ | – 0 | – | $ | 495,667 | ^ | ||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Counterparty | Derivative Liabilities Subject to a MA | Derivative Available for Offset | Cash Collateral Pledged | Security Collateral Pledged | Net Amount of Derivatives Liabilities | |||||||||||||||
OTC Derivatives: |
| |||||||||||||||||||
Bank of America, NA | $ | 51,930 | $ | – 0 | – | $ | – 0 | – | $ | – 0 | – | $ | 51,930 | |||||||
Barclays Bank PLC | 14,839 | – 0 | – | – 0 | – | – 0 | – | 14,839 | ||||||||||||
Citibank | 28,075 | (28,075 | ) | – 0 | – | – 0 | – | – 0 | – | |||||||||||
Credit Suisse International | 427,992 | (9,973 | ) | – 0 | – | – 0 | – | 418,019 | ||||||||||||
Deutsche Bank AG | 92,698 | – 0 | – | – 0 | – | – 0 | – | 92,698 | ||||||||||||
HSBC Bank USA | 154,193 | (103,654 | ) | – 0 | – | – 0 | – | 50,539 | ||||||||||||
Royal Bank of Scotland PLC | 123,341 | (123,341 | ) | – 0 | – | – 0 | – | – 0 | – | |||||||||||
Standard Chartered Bank | 48,465 | – 0 | – | – 0 | – | – 0 | – | 48,465 | ||||||||||||
State Street Bank & Trust Co. | 214,697 | (42,562 | ) | – 0 | – | – 0 | – | 172,135 | ||||||||||||
UBS AG | 188,316 | (39,844 | ) | – 0 | – | – 0 | – | 148,472 | ||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Total | $ | 1,344,546 | $ | (347,449 | ) | $ | – 0 | – | $ | – 0 | – | $ | 997,097 | ^ | ||||||
|
|
|
|
|
|
|
|
|
|
** | Cash has been posted for initial margin requirements for exchange traded derivatives outstanding at February 29, 2016. |
^ | Net amount represents the net receivable/payable that would be due from/to the counterparty in the event of default or termination. The net amount from OTC financial derivative instruments can only be netted across transactions governed under the same master agreement with the same counterparty. |
318 | • AB POOLING PORTFOLIOS |
Notes to Financial Statements
AB International Growth Portfolio | ||||||||||||||||||||
Counterparty | Derivative Assets Subject to a MA | Derivative Available for Offset | Cash Collateral Received | Security Collateral Received | Net Amount of Derivatives Assets | |||||||||||||||
OTC Derivatives: |
| |||||||||||||||||||
Citibank | $ | 77,227 | $ | (77,227 | ) | $ | – 0 | – | $ | – 0 | – | $ | – 0 | – | ||||||
Deutsche Bank AG | 1,397,260 | (42,062 | ) | – 0 | – | – 0 | – | 1,355,198 | ||||||||||||
JPMorgan Chase Bank | 354,686 | – 0 | – | – 0 | – | – 0 | – | 354,686 | ||||||||||||
Nomura Global Financial Products, Inc. | 134,267 | – 0 | – | – 0 | – | – 0 | – | 134,267 | ||||||||||||
Societe Generale | 149,413 | (51,744 | ) | – 0 | – | – 0 | – | 97,669 | ||||||||||||
State Street Bank & Trust Co. | 1,508,328 | – 0 | – | – 0 | – | – 0 | – | 1,508,328 | ||||||||||||
UBS AG | 395 | (395 | ) | – 0 | – | – 0 | – | – 0 | – | |||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Total | $ | 3,621,576 | $ | (171,428 | ) | $ | – 0 | – | $ | – 0 | – | $ | 3,450,148 | ^ | ||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Counterparty | Derivative Liabilities Subject to a MA | Derivative Available for Offset | Cash Collateral Pledged | Security Collateral Pledged | Net Amount of Derivatives Liabilities | |||||||||||||||
OTC Derivatives: |
| |||||||||||||||||||
BNP Paribas SA | $ | 173,059 | $ | – 0 | – | $ | – 0 | – | $ | – 0 | – | $ | 173,059 | |||||||
Barclays Bank PLC | 30,804 | – 0 | – | – 0 | – | – 0 | – | 30,804 | ||||||||||||
Citibank | 144,169 | (77,227 | ) | – 0 | – | – 0 | – | 66,942 | ||||||||||||
Deutsche Bank AG | 42,062 | (42,062 | ) | – 0 | – | – 0 | – | – 0 | – | |||||||||||
HSBC Bank USA | 490,280 | – 0 | – | – 0 | – | – 0 | – | 490,280 | ||||||||||||
Royal Bank of Scotland PLC | 42,128 | – 0 | – | – 0 | – | – 0 | – | 42,128 | ||||||||||||
Societe Generale | 51,744 | (51,744 | ) | – 0 | – | – 0 | – | – 0 | – | |||||||||||
UBS AG | 68,285 | (395 | ) | – 0 | – | – 0 | – | 67,890 | ||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Total | $ | 1,042,531 | $ | (171,428 | ) | $ | – 0 | – | $ | – 0 | – | $ | 871,103 | ^ | ||||||
|
|
|
|
|
|
|
|
|
|
^ | Net amount represents the net receivable/payable that would be due from/to the counterparty in the event of default or termination. The net amount from OTC financial derivative instruments can only be netted across transactions governed under the same master agreement with the same counterparty. |
AB Short Duration Bond Portfolio | ||||||||||||||||||||
Counterparty | Derivative Assets Subject to a MA | Derivative Available for Offset | Cash Collateral Received* | Security Collateral Received | Net Amount of | |||||||||||||||
Exchange-Traded Derivatives: |
| |||||||||||||||||||
Morgan Stanley & Co., Inc.** | $ | 30,985 | $ | – 0 | – | $ | (30,985 | ) | $ | – 0 | – | $ | – 0 | – | ||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Total | $ | 30,985 | $ | – 0 | – | $ | (30,985 | ) | $ | – 0 | – | $ | – 0 | – | ||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
AB POOLING PORTFOLIOS • | 319 |
Notes to Financial Statements
Counterparty | Derivative Liabilities Subject to a MA | Derivative Available for Offset | Cash Collateral Pledged | Security Collateral Pledged | Net Amount of | |||||||||||||||
OTC Derivatives: |
| |||||||||||||||||||
Royal Bank of Scotland PLC | $ | 2,732,979 | $ | – 0 | – | $ | – 0 | – | $ | – 0 | – | $ | 2,732,979 | |||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Total | $ | 2,732,979 | $ | – 0 | – | $ | – 0 | – | $ | – 0 | – | $ | 2,732,979 | ^ | ||||||
|
|
|
|
|
|
|
|
|
|
* | The actual collateral received/pledged may be more than the amount reported due to overcollateralization. |
** | Cash has been posted for initial margin requirements for exchange traded derivatives outstanding at February 29, 2016. |
^ | Net amount represents the net receivable/payable that would be due from/to the counterparty in the event of default or termination. The net amount from OTC financial derivative instruments can only be netted across transactions governed under the same master agreement with the same counterparty. |
AB Global Core Bond Portfolio | ||||||||||||||||||||
Counterparty | Derivative to a MA | Derivative Available for Offset | Cash Collateral Received | Security Collateral Received | Net Amount of | |||||||||||||||
OTC Derivatives: |
| |||||||||||||||||||
Barclays Bank PLC | $ | 103 | $ | – 0 | – | $ | – 0 | – | $ | – 0 | – | $ | 103 | |||||||
BNP Paribas SA | 57,594 | (57,594 | ) | – 0 | – | – 0 | – | – 0 | – | |||||||||||
Citibank | 617,068 | – 0 | – | – 0 | – | – 0 | – | 617,068 | ||||||||||||
Credit Suisse International | 198,496 | (198,496 | ) | – 0 | – | – 0 | – | – 0 | – | |||||||||||
Deutsche Bank AG | 52,550 | (52,550 | ) | – 0 | – | – 0 | – | – 0 | – | |||||||||||
Goldman Sachs Bank USA | 20,407 | (20,407 | ) | – 0 | – | – 0 | – | – 0 | – | |||||||||||
HSBC Bank USA | 1,572,035 | (15,767 | ) | – 0 | – | – 0 | – | 1,556,268 | ||||||||||||
Morgan Stanley & Co., Inc. | 65,814 | – 0 | – | – 0 | – | – 0 | – | 65,814 | ||||||||||||
Royal Bank of Scotland PLC | 182,040 | – 0 | – | – 0 | – | – 0 | – | 182,040 | ||||||||||||
Standard Chartered Bank | 288,147 | (288,147 | ) | – 0 | – | – 0 | – | – 0 | – | |||||||||||
State Street Bank & Trust Co. | 94,742 | (94,742 | ) | – 0 | – | – 0 | – | – 0 | – | |||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Total | $ | 3,148,996 | $ | (727,703 | ) | $ | – 0 | – | $ | – 0 | – | $ | 2,421,293 | ^ | ||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
320 | • AB POOLING PORTFOLIOS |
Notes to Financial Statements
Counterparty | Derivative Liabilities Subject to a MA | Derivative Available for Offset | Cash Collateral Pledged* | Security Collateral Pledged | Net Amount of | |||||||||||||||
Exchange-Traded Derivatives: |
| |||||||||||||||||||
Morgan Stanley & Co., Inc.** | $ | 59,185 | $ | – 0 | – | $ | (59,185 | ) | $ | – 0 | – | $ | – 0 | – | ||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Total | $ | 59,185 | $ | – 0 | – | $ | (59,185 | ) | $ | – 0 | – | $ | – 0 | – | ||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
OTC Derivatives: |
| |||||||||||||||||||
BNP Paribas SA | $ | 471,587 | $ | (57,594 | ) | $ | – 0 | – | $ | – 0 | – | $ | 413,993 | |||||||
Credit Suisse International | 476,725 | (198,496 | ) | – 0 | – | – 0 | – | 278,229 | ||||||||||||
Deutsche Bank AG | 52,989 | (52,550 | ) | – 0 | – | – 0 | – | 439 | ||||||||||||
Goldman Sachs Bank USA | 751,325 | (20,407 | ) | – 0 | – | – 0 | – | 730,917 | ||||||||||||
HSBC Bank USA | 15,767 | (15,767 | ) | – 0 | – | – 0 | – | – 0 | – | |||||||||||
Standard Chartered Bank | 694,088 | (288,147 | ) | – 0 | – | – 0 | – | 405,941 | ||||||||||||
State Street Bank & Trust Co. | 1,159,662 | (94,742 | ) | – 0 | – | – 0 | – | 1,064,920 | ||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Total | $ | 3,622,143 | $ | (727,703 | ) | $ | – 0 | – | $ | – 0 | – | $ | 2,894,440 | ^ | ||||||
|
|
|
|
|
|
|
|
|
|
* | The actual collateral received/pledged may be more than the amount reported due to overcollateralization. |
** | Cash has been posted for initial margin requirements for exchange traded derivatives outstanding at February 29, 2016. |
^ | Net amount represents the net receivable/payable that would be due from/to the counterparty in the event of default or termination. The net amount from OTC financial derivative instruments can only be netted across transactions governed under the same master agreement with the same counterparty. |
AB Bond Inflation Protection Portfolio | ||||||||||||||||||||
Counterparty | Derivative to a MA | Derivative Available for Offset | Cash Collateral Received | Security Collateral Received | Net Amount of | |||||||||||||||
OTC Derivatives: |
| |||||||||||||||||||
Bank of America, NA | $ | 74,889 | $ | – 0 | – | $ | – 0 | – | $ | – 0 | – | $ | 74,889 | |||||||
Citibank, NA | 433,402 | – 0 | – | – 0 | – | – 0 | – | 433,402 | ||||||||||||
Credit Suisse International | 2,666 | (2,666 | ) | – 0 | – | – 0 | – | – 0 | – | |||||||||||
HSBC Bank USA | 2,024 | (2,024 | ) | – 0 | – | – 0 | – | – 0 | – | |||||||||||
State Street Bank & Trust Co. | 95,101 | (21,230 | ) | – 0 | – | – 0 | – | 73,871 | ||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Total | $ | 608,082 | $ | (25,920 | ) | $ | – 0 | – | $ | – 0 | – | $ | 582,162 | ^ | ||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
AB POOLING PORTFOLIOS • | 321 |
Notes to Financial Statements
Counterparty | Derivative Liabilities Subject to a MA | Derivative Available for Offset | Cash Collateral Pledged* | Security Collateral Pledged | Net Amount of | |||||||||||||||
Exchange-Traded Derivatives: |
| |||||||||||||||||||
Citigroup Global Markets, Inc.** | $ | 33,176 | $ | – 0 | – | $ | (33,176 | ) | $ | – 0 | – | $ | – 0 | – | ||||||
Goldman Sachs & Co.** | 211,012 | – 0 | – | (211,012 | ) | – 0 | – | – 0 | – | |||||||||||
Morgan Stanley & Co., LLC** | 83,016 | – 0 | – | (83,016 | ) | – 0 | – | – 0 | – | |||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Total | $ | 327,204 | $ | – 0 | – | $ | (327,204 | ) | $ | – 0 | – | $ | – 0 | – | ||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
OTC Derivatives: |
| |||||||||||||||||||
BNP Paribas SA | $ | 47,824 | $ | – 0 | – | $ | – 0 | – | $ | – 0 | – | $ | 47,824 | |||||||
Barclays Bank PLC | 538,989 | – 0 | – | – 0 | – | – 0 | – | 538,989 | ||||||||||||
Credit Suisse International | 49,453 | (2,666 | ) | – 0 | – | – 0 | – | 46,787 | ||||||||||||
Goldman Sachs Bank USA | 119,408 | – 0 | – | – 0 | – | – 0 | – | 119,408 | ||||||||||||
HSBC Bank USA | 39,162 | (2,024 | ) | – 0 | – | – 0 | – | 37,138 | ||||||||||||
JPMorgan Chase Bank | 985,471 | – 0 | – | – 0 | – | – 0 | – | 985,471 | ||||||||||||
Morgan Stanley Capital Services LLC | 1,577,715 | – 0 | – | – 0 | – | – 0 | – | 1,577,715 | ||||||||||||
Standard Chartered Bank | 16,959 | – 0 | – | – 0 | – | – 0 | – | 16,959 | ||||||||||||
State Street Bank & Trust Co. | 21,230 | (21,230 | ) | – 0 | – | – 0 | – | – 0 | – | |||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Total | $ | 3,396,211 | $ | (25,920 | ) | $ | – 0 | – | $ | – 0 | – | $ | 3,370,291 | ^ | ||||||
|
|
|
|
|
|
|
|
|
|
* | The actual collateral received/pledged may be more than the amount reported due to overcollateralization. |
** | Cash has been posted for initial margin requirements for exchange traded derivatives outstanding at February 29, 2016. |
^ | Net amount represents the net receivable/payable that would be due from/to the counterparty in the event of default or termination. The net amount from OTC financial derivative instruments can only be netted across transactions governed under the same master agreement with the same counterparty. |
322 | • AB POOLING PORTFOLIOS |
Notes to Financial Statements
AB High-Yield Portfolio | ||||||||||||||||||||
Counterparty | Derivative Subject to a MA | Derivative Available for Offset | Cash Collateral Received | Security Collateral Received | Net Amount of | |||||||||||||||
Exchange-Traded Derivatives: |
| |||||||||||||||||||
Deutsche Bank AG | $ | 264 | $ | – 0 | – | $ | – 0 | – | $ | – 0 | – | $ | 264 | |||||||
Goldman Sachs & Co.** | 9,873 | – 0 | – | – 0 | – | – 0 | – | 9,873 | ||||||||||||
Morgan Stanley & Co., Inc. | 17,512 | (17,512 | ) | – 0 | – | – 0 | – | – 0 | – | |||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Total | $ | 27,649 | $ | (17,512 | ) | $ | – 0 | – | $ | – 0 | – | $ | 10,137 | |||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
OTC Derivatives: |
| |||||||||||||||||||
Barclays Bank PLC | $ | 245,353 | $ | (245,353 | ) | $ | – 0 | – | $ | – 0 | – | $ | – 0 | – | ||||||
Citibank/Citibank, NA | 25,796 | (25,796 | ) | – 0 | – | – 0 | – | – 0 | – | |||||||||||
Credit Suisse International | 5,824 | (5,824 | ) | – 0 | – | – 0 | – | – 0 | – | |||||||||||
Deutsche Bank AG | 38,158 | – 0 | – | – 0 | – | – 0 | – | 38,158 | ||||||||||||
Goldman Sachs Bank USA/Goldman Sachs International | 535,884 | (535,884 | ) | – 0 | – | – 0 | – | – 0 | – | |||||||||||
HSBC Bank USA | 159,653 | (8,817 | ) | – 0 | – | – 0 | – | 150,836 | ||||||||||||
JPMorgan Chase Bank, NA | 45,635 | – 0 | – | – 0 | – | – 0 | – | 45,635 | ||||||||||||
Morgan Stanley Capital Services LLC | 165,683 | (163,130 | ) | – 0 | – | – 0 | – | 2,553 | ||||||||||||
Standard Chartered Bank | 1,180 | – 0 | – | – 0 | – | – 0 | – | 1,180 | ||||||||||||
State Street Bank & Trust Co. | 16,081 | (16,081 | ) | – 0 | – | – 0 | – | – 0 | – | |||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Total | $ | 1,239,247 | $ | (1,000,885 | ) | $ | – 0 | – | $ | – 0 | – | $ | 238,362 | ^ | ||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
AB POOLING PORTFOLIOS • | 323 |
Notes to Financial Statements
Counterparty | Derivative Liabilities Subject to a MA | Derivative Available for Offset | Cash Collateral Pledged* | Security Collateral Pledged | Net Amount of Derivatives Liabilities | |||||||||||||||
Exchange-Traded Derivatives: |
| |||||||||||||||||||
Morgan Stanley & Co., Inc.** | $ | 54,113 | $ | (17,512 | ) | $ | (36,601 | ) | $ | – 0 | – | $ | – 0 | – | ||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Total | $ | 54,113 | $ | (17,512 | ) | $ | (36,601 | ) | $ | – 0 | – | $ | – 0 | – | ||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
OTC Derivatives: | ||||||||||||||||||||
BNP Paribas SA | $ | 4,573 | $ | – 0 | – | $ | – 0 | – | $ | – 0 | – | $ | 4,573 | |||||||
Bank of America, NA | 76,214 | – 0 | – | – 0 | – | – 0 | – | 76,214 | ||||||||||||
Barclays Bank PLC | 802,109 | (245,353 | ) | – 0 | – | – 0 | – | 556,756 | ||||||||||||
Citibank/Citibank, NA | 548,283 | (25,796 | ) | – 0 | – | – 0 | – | 522,487 | ||||||||||||
Credit Suisse International | 31,237 | (5,824 | ) | – 0 | – | – 0 | – | 25,413 | ||||||||||||
Goldman Sachs Bank USA/Goldman Sachs International | 997,542 | (535,884 | ) | – 0 | – | – 0 | – | 461,658 | ||||||||||||
HSBC Bank USA | 8,817 | (8,817 | ) | – 0 | – | – 0 | – | – 0 | – | |||||||||||
Morgan Stanley Capital Services LLC | 163,130 | (163,130 | ) | – 0 | – | – 0 | – | – 0 | – | |||||||||||
Royal Bank of Scotland PLC | 824 | – 0 | – | – 0 | – | – 0 | – | 824 | ||||||||||||
State Street Bank & Trust Co. | 78,539 | (16,081 | ) | – 0 | – | – 0 | – | 62,458 | ||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Total | $ | 2,711,268 | $ | (1,000,885 | ) | $ | – 0 | – | $ | – 0 | – | $ | 1,710,383 | ^ | ||||||
|
|
|
|
|
|
|
|
|
|
* | The actual collateral received/pledged may be more than the amount reported due to overcollateralization. |
** | Cash has been posted for initial margin requirements for exchange traded derivatives outstanding at February 29, 2016. |
^ | Net amount represents the net receivable/payable that would be due from/to the counterparty in the event of default or termination. The net amount from OTC financial derivative instruments can only be netted across transactions governed under the same master agreement with the same counterparty. |
324 | • AB POOLING PORTFOLIOS |
Notes to Financial Statements
AB Multi-Asset Real Return Portfolio | ||||||||||||||||||||
Counterparty | Derivative Assets Subject to a MA | Derivative Available for Offset | Cash Collateral Received | Security Collateral Received | Net Amount of Derivatives Assets | |||||||||||||||
OTC Derivatives: |
| |||||||||||||||||||
BNP Paribas SA | $ | 181,851 | $ | (27,854 | ) | $ | – 0 | – | $ | – 0 | – | $ | 153,997 | |||||||
Bank of America, NA | 9,655 | (9,655 | ) | – 0 | – | – 0 | – | – 0 | – | |||||||||||
Barclays Bank PLC | 55,169 | (55,169 | ) | – 0 | – | – 0 | – | – 0 | – | |||||||||||
Citibank | 559,719 | (431,878 | ) | – 0 | – | – 0 | – | 127,841 | ||||||||||||
Deutsche Bank AG | 166,869 | (166,869 | ) | – 0 | – | – 0 | – | – 0 | – | |||||||||||
Goldman Sachs Bank USA | 504,980 | (107,559 | ) | – 0 | – | – 0 | – | 397,421 | ||||||||||||
HSBC Bank USA | 147,101 | (11,593 | ) | – 0 | – | – 0 | – | 135,508 | ||||||||||||
JPMorgan Chase Bank | 242,961 | (69,930 | ) | – 0 | – | – 0 | – | 173,031 | ||||||||||||
Morgan Stanley & Co., Inc. | 44,424 | (37,544 | ) | – 0 | – | – 0 | – | 6,880 | ||||||||||||
Nomura Global Financial Products, Inc. | 155,405 | (155,405 | ) | – 0 | – | – 0 | – | – 0 | – | |||||||||||
Royal Bank of Scotland PLC | 810,364 | (148,135 | ) | – 0 | – | – 0 | – | 662,229 | ||||||||||||
Standard Chartered Bank | 82,660 | – 0 | – | – 0 | – | – 0 | – | 82,660 | ||||||||||||
State Street Bank & Trust Co. | 19,100 | (19,100 | ) | – 0 | – | – 0 | – | – 0 | – | |||||||||||
UBS AG | 93,115 | (1,693 | ) | – 0 | – | – 0 | – | 91,422 | ||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Total | $ | 3,073,373 | $ | (1,242,384 | ) | $ | – 0 | – | $ | – 0 | – | $ | 1,830,989 | ^ | ||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Counterparty | Derivative Liabilities Subject to a MA | Derivative Available for Offset | Cash Collateral Pledged | Security Collateral Pledged | Net Amount of Derivatives Liabilities | |||||||||||||||
OTC Derivatives: |
| |||||||||||||||||||
BNP Paribas SA | $ | 27,854 | $ | (27,854 | ) | $ | – 0 | – | $ | – 0 | – | $ | – 0 | – | ||||||
Bank of America, NA | 33,995 | (9,655 | ) | – 0 | – | – 0 | – | 24,340 | ||||||||||||
Barclays Bank PLC | 131,542 | (55,169 | ) | – 0 | – | – 0 | – | 76,373 | ||||||||||||
Citibank | 497,030 | (431,878 | ) | – 0 | – | – 0 | – | 65,152 | ||||||||||||
Deutsche Bank AG | 2,072,707 | (166,869 | ) | – 0 | – | – 0 | – | 1,905,838 | ||||||||||||
Goldman Sachs Bank USA | 107,559 | (107,559 | ) | – 0 | – | – 0 | – | – 0 | – | |||||||||||
HSBC Bank USA | 11,593 | (11,593 | ) | – 0 | – | – 0 | – | – 0 | – | |||||||||||
JPMorgan Chase Bank | 3,345,602 | (69,930 | ) | – 0 | – | – 0 | – | 3,275,672 | ||||||||||||
Morgan Stanley & Co., Inc. | 37,544 | (37,544 | ) | – 0 | – | – 0 | – | – 0 | – | |||||||||||
Nomura Global Financial Products, Inc. | 692,873 | (155,405 | ) | – 0 | – | – 0 | – | 537,468 | ||||||||||||
Royal Bank of Scotland PLC | 148,135 | (148,135 | ) | – 0 | – | – 0 | – | – 0 | – | |||||||||||
State Street Bank & Trust Co. | 56,939 | (19,100 | ) | – 0 | – | – 0 | – | 37,839 | ||||||||||||
UBS AG | 1,693 | (1,693 | ) | – 0 | – | – 0 | – | – 0 | – | |||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Total | $ | 7,165,066 | $ | (1,242,384 | ) | $ | – 0 | – | $ | – 0 | – | $ | 5,922,682 | ^ | ||||||
|
|
|
|
|
|
|
|
|
|
AB POOLING PORTFOLIOS • | 325 |
Notes to Financial Statements
^ | Net amount represents the net receivable/payable that would be due from/to the counterparty in the event of default or termination. The net amount from OTC financial derivative instruments can only be netted across transactions governed under the same master agreement with the same counterparty. |
AllianceBernstein Cayman Inflation Pooling Subsidiary, Ltd. | ||||||||||||||||||||
Counterparty | Derivative to a MA | Derivative Available | Cash Collateral Received* | Security Collateral | Net Amount of Derivatives Assets | |||||||||||||||
Exchange-Traded Derivatives: |
| |||||||||||||||||||
Morgan Stanley & Co., Inc.** | $ | 435,070 | $ | – 0 | – | $ | (435,070 | ) | $ | – 0 | – | $ | – 0 | – | ||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Total | $ | 435,070 | $ | – 0 | – | $ | (435,070 | ) | $ | – 0 | – | $ | – 0 | – | ||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
OTC Derivatives: |
| |||||||||||||||||||
JPMorgan Chase Bank, NA | $ | 2,333,111 | $ | – 0 | – | $ | – 0 | – | $ | – 0 | – | $ | 2,333,111 | |||||||
State Street Bank & Trust Co. | 111,298 | (111,298 | ) | – 0 | – | – 0 | – | – 0 | – | |||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Total | $ | 2,444,409 | $ | (111,298 | ) | $ | – 0 | – | $ | – 0 | – | $ | 2,333,111 | ^ | ||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Counterparty | Derivative to a MA | Derivative Available for Offset | Cash Collateral Pledged | Security Collateral Pledged | Net Amount of | |||||||||||||||
Exchange-Traded Derivatives: |
| |||||||||||||||||||
Goldman Sachs & Co. | $ | 81,449 | $ | – 0 | – | $ | – 0 | – | $ | – 0 | – | $ | 81,449 | |||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Total | $ | 81,449 | $ | – 0 | – | $ | – 0 | – | $ | – 0 | – | $ | 81,449 | |||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
OTC Derivatives: |
| |||||||||||||||||||
Goldman Sachs International | $ | 484,905 | $ | – 0 | – | $ | – 0 | – | $ | – 0 | – | $ | 484,905 | |||||||
State Street Bank & Trust Co. | 204,311 | (111,298 | ) | – 0 | – | – 0 | – | 93,013 | ||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Total | $ | 689,216 | $ | (111,298 | ) | $ | – 0 | – | $ | – 0 | – | $ | 577,918 | ^ | ||||||
|
|
|
|
|
|
|
|
|
|
* | The actual collateral received/pledged may be more than the amount reported due to overcollateralization. |
** | Cash has been posted for initial margin requirements for exchange traded derivatives outstanding at February 29, 2016. |
^ | Net amount represents the net receivable/payable that would be due from/to the counterparty in the event of default or termination. The net amount from OTC financial derivative instruments can only be netted across transactions governed under the same master agreement with the same counterparty. |
326 | • AB POOLING PORTFOLIOS |
Notes to Financial Statements
AB Volatility Management Portfolio | ||||||||||||||||||||
Counterparty | Derivative to a MA | Derivative for Offset | Cash Collateral Received | Security Collateral Received | Net Amount of | |||||||||||||||
OTC Derivatives: |
| |||||||||||||||||||
Bank of America, NA | $ | 946,877 | $ | – 0 | – | $ | – 0 | – | $ | – 0 | – | $ | 946,877 | |||||||
Barclays Bank PLC | 27,871 | – 0 | – | – 0 | – | – 0 | – | 27,871 | ||||||||||||
Citibank/Citibank, NA | 1,315,215 | (543,478 | ) | – 0 | – | – 0 | – | 771,737 | ||||||||||||
Credit Suisse International | 99,889 | (99,889 | ) | – 0 | – | – 0 | – | – 0 | – | |||||||||||
Deutsche Bank AG | 2,839,635 | (4,670 | ) | – 0 | – | – 0 | – | 2,834,965 | ||||||||||||
Goldman Sachs International | 2,709,223 | (996,393 | ) | – 0 | – | – 0 | – | 1,712,830 | ||||||||||||
HSBC Bank USA | 290,498 | (196,385 | ) | – 0 | – | – 0 | – | 94,113 | ||||||||||||
JPMorgan Chase Bank | 215,054 | (26,043 | ) | – 0 | – | – 0 | – | 189,011 | ||||||||||||
Morgan Stanley & Co., Inc. | 103,242 | (103,242 | ) | – 0 | – | – 0 | – | – 0 | – | |||||||||||
Royal Bank of Canada | 1,211,744 | – 0 | – | – 0 | – | – 0 | – | 1,211,744 | ||||||||||||
Royal Bank of Scotland PLC | 6,727,973 | – 0 | – | – 0 | – | – 0 | – | 6,727,973 | ||||||||||||
State Street Bank & Trust Co. | 27,053 | (27,053 | ) | – 0 | – | – 0 | – | – 0 | – | |||||||||||
UBS AG | 9,512 | – 0 | – | – 0 | – | – 0 | – | 9,512 | ||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Total | $ | 16,523,786 | $ | (1,997,153 | ) | $ | – 0 | – | $ | – 0 | – | $ | 14,526,633 | ^ | ||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
AB POOLING PORTFOLIOS • | 327 |
Notes to Financial Statements
Counterparty | Derivative to a MA | Derivative for Offset | Cash Collateral Pledged | Security Collateral Pledged* | Net Amount of | |||||||||||||||
Exchange-Traded Derivatives: |
| |||||||||||||||||||
Goldman Sachs & Co. | $ | 14,910,708 | $ | $ | – 0 | – | $ | (14,910,708 | ) | $ | – 0 | – | ||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Total | $ | 14,910,708 | $ | $ | – 0 | – | $ | (14,910,708 | ) | $ | – 0 | – | ||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
OTC Derivatives: |
| |||||||||||||||||||
BNP Paribas SA | $ | 1,550,578 | $ | – 0 | – | $ | – 0 | – | $ | – 0 | – | $ | 1,550,578 | |||||||
Brown Brothers Harriman & Co. | 13,723 | – 0 | – | – 0 | – | – 0 | – | 13,723 | ||||||||||||
Citibank/Citibank, NA | 543,478 | (543,478 | ) | – 0 | – | – 0 | – | – 0 | – | |||||||||||
Credit Suisse International | 2,212,948 | (99,889 | ) | – 0 | – | – 0 | – | 2,113,059 | ||||||||||||
Deutsche Bank AG | 4,670 | (4,670 | ) | – 0 | – | – 0 | – | – 0 | – | |||||||||||
Goldman Sachs International | 996,393 | (996,393 | ) | – 0 | – | – 0 | – | – 0 | – | |||||||||||
HSBC Bank USA | 196,385 | (196,385 | ) | – 0 | – | – 0 | – | – 0 | – | |||||||||||
JPMorgan Chase Bank | 26,043 | (26,043 | ) | – 0 | – | – 0 | – | – 0 | – | |||||||||||
Morgan Stanley & Co., Inc. | 247,112 | (103,242 | ) | – 0 | – | – 0 | – | 143,870 | ||||||||||||
Societe Generale | 591,147 | – 0 | – | – 0 | – | – 0 | – | 591,147 | ||||||||||||
State Street Bank & Trust Co. | 140,871 | (27,053 | ) | – 0 | – | – 0 | – | 113,818 | ||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Total | $ | 6,523,348 | $ | (1,997,153 | ) | $ | – 0 | – | $ | – 0 | – | $ | 4,526,195 | ^ | ||||||
|
|
|
|
|
|
|
|
|
|
* | The actual collateral received/pledged may be more than the amount reported due to overcollateralization. |
^ | Net amount represents the net receivable/payable that would be due from/to the counterparty in the event of default or termination. The net amount from OTC financial derivative instruments can only be netted across transactions governed under the same master agreement with the same counterparty. |
328 | • AB 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 Portfolios may seek investment opportunities by taking long or short positions in currencies through the use of currency-related derivatives, including forward currency exchange contracts, futures and options on futures, swaps, and other options. The Portfolios may enter into transactions for investment opportunities when it anticipates that a foreign currency will appreciate or depreciate in value but securities denominated in that currency are not held by the Portfolios and do not present attractive investment opportunities. Such transactions may also be used when the Adviser believes that it may be more efficient than a direct investment in a foreign currency-denominated security. The Portfolios may also conduct currency exchange contracts on a spot basis (i.e., for cash at the spot rate prevailing in the currency exchange market for buying or selling currencies).
3. TBA and Dollar Rolls
The Portfolio may invest in TBA mortgage-backed securities. A TBA, or “To Be Announced”, trade represents a contract for the purchase or sale of mortgage-backed securities to be delivered at a future agree-upon date; however, the specific mortgage pool numbers or the number of pools that will be delivered to fulfill the trade obligation or terms of the contract are unknown at the time of the trade. Mortgage pools (including fixed-rate or variable-rate mortgages) guaranteed by the Government National Mortgage Association, or GNMA, the Federal National Mortgage Association, or FNMA, or the Federal Home Loan Mortgage Corporation, or FHLMC, are subsequently allocated to the TBA transactions.
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. For the six months ended February 29, 2016, the AB Global Core Bond Portfolio earned drop income of $406,906, which is included in interest income in the accompanying statement of operations.
4. Reverse Repurchase Agreements
The Portfolios may enter into reverse repurchase transactions (“RVP”) in accordance with the terms of a Master Repurchase Agreement (“MRA”), under which the Portfolio sells securities and agrees to repurchase them at a mutually agreed upon date and price. At the time the Portfolio enters into a reverse repurchase
AB POOLING PORTFOLIOS • | 329 |
Notes to Financial Statements
agreement, it will establish a segregated account with the custodian containing liquid assets having a value comparable to the repurchase price. Under the MRA and other Master Agreements, the Portfolio is permitted to offset payables and/or receivables with collateral held and/or posted to the counterparty and create one single net payment due to or from the Portfolio in the event of a default. In the event of a default by a MRA counterparty, the Portfolio may be considered an unsecured creditor with respect to any excess collateral (collateral with a market value in excess of the repurchase price) held by and/or posted to the counterparty, and as such the return of such excess collateral may be delayed or denied. For the six months ended February 29, 2016, the average amount of reverse repurchase agreements outstanding for AB Bond Inflation Protection Portfolio and AB High-Yield Portfolio were $201,707,499 and $2,507,758, respectively, and the daily weighted average interest rate were 0.56% and (0.59)%, respectively. At February 29, 2016, the AB Bond Inflation Protection Portfolio and AB High-Yield Portfolio had reverse repurchase agreements outstanding in the amount of $277,763,068 and $992,525, respectively, as reported on the statements of assets and liabilities. During the year, the High-Yield Portfolio received net interest payments from counterparties.
The following table presents the Portfolio’s RVP liabilities by counterparty net of the related collateral pledged by the Portfolios as of February 29, 2016:
AB Bond Inflation Protection Portfolio | ||||||||||||
Counterparty | RVP Asset Subject to a MRA | Securities Collateral Received†* | Net Amount of RVP Assets | |||||||||
Barclays Capital, Inc. | $ | 1,778,509 | $ | (1,778,509 | ) | $ | – 0 | – | ||||
HSBC | 137,351,543 | (137,351,543 | ) | – 0 | – | |||||||
JPMorgan Chase | 138,633,316 | (138,633,316 | ) | – 0 | – | |||||||
|
|
|
|
|
| |||||||
Total | $ | 277,763,068 | $ | (277,763,068 | ) | $ | – 0 | – | ||||
|
|
|
|
|
|
† | Including accrued interest. |
* | The actual collateral pledged may be more than the amount reported due to overcollateralization. |
AB High-Yield Portfolio | ||||||||||||
Counterparty | RVP Asset Subject to a MRA | Securities Collateral Received† | Net Amount of RVP Assets | |||||||||
Credit Suisse Securities (USA) LLC | $ | 992,525 | $ | (863,229 | ) | $ | 129,296 | |||||
|
|
|
|
|
| |||||||
Total | $ | 992,525 | $ | (863,229 | ) | $ | 129,296 | |||||
|
|
|
|
|
|
† | Including accrued interest. |
330 | • AB POOLING PORTFOLIOS |
Notes to Financial Statements
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 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 may receive a commitment fee based on the amount of the commitment. Under these arrangements, the Portfolio may receive a fixed rate commitment fee and, if 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.
During the six months ended February 29, 2016, the High-Yield Portfolio had no commitments outstanding and had no commitment fees or additional funding fees during the period.
NOTE D
Securities Lending
Certain Portfolio’s may enter into securities lending transactions. Under the Portfolio’s securities lending program, all loans of securities 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 payments are made 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
AB POOLING PORTFOLIOS • | 331 |
Notes to Financial Statements
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 on 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 currently invests the cash collateral received in AB Exchange Reserves, an eligible money market vehicle, in accordance with the investment restrictions of the Portfolio, and as approved by the Board. 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, 2016, the value of securities on loan and cash collateral received which has been invested into AB Exchange Reserves are as follows:
Portfolio | Market Value of Securities on Loan | Market Value of Cash Collateral | ||||||
AB U.S. Value | $ | 3,776,623 | $ | 3,846,918 | ||||
AB U.S. Large Cap Growth | 4,347,091 | 4,407,349 | ||||||
AB International Value | 1,094,836 | 1,072,400 | ||||||
AB International Growth | 6,063,912 | 6,467,227 | ||||||
AB Small-Mid Cap Value | 9,006,545 | 9,874,133 | ||||||
AB Small-Mid Cap Growth | 11,850,113 | 12,124,562 | ||||||
AB Multi-Asset Real Return | 11,865,980 | 12,199,865 | ||||||
AB Volatility Management | 15,338,733 | 15,986,391 |
The cash collateral will be adjusted on the next business day to maintain the required collateral amount. The securities lending income earned for the six months ended February 29, 2016 from the borrowers and AB Exchange Reserves are as follows:
Portfolio | Borrowers | AB Exchange Reserves | ||||||
AB U.S. Value | $ | 47,504 | $ | 3,519 | ||||
AB U.S. Large Cap Growth | 16,037 | 4,793 | ||||||
AB International Value | 84,707 | 4,888 | ||||||
AB International Growth | 84,455 | 9,816 | ||||||
AB Small-Mid Cap Value | 51,365 | 9,216 | ||||||
AB Small-Mid Cap Growth | 26,766 | 11,833 | ||||||
AB Multi-Asset Real Return | 203,217 | 24,807 | ||||||
AB Volatility Management | 127,831 | 29,682 |
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
332 | • AB POOLING PORTFOLIOS |
Notes to Financial Statements
the loaned securities. A summary of the Portfolios’ transactions in shares of AllianceBernstein Exchange Reserves for the six months ended February 29, 2016 are as follows:
Portfolio | Market Value August 31, 2015 (000) | Purchases at Cost (000) | Sales Proceeds (000) | Market Value February 29, 2016 (000) | ||||||||||||
AB U.S. Value | $ | 6,081 | $ | 22,571 | $ | 24,805 | $ | 3,847 | ||||||||
AB U.S. Large Cap Growth | 2,930 | 18,148 | 16,671 | 4,407 | ||||||||||||
AB International Value | 211 | 63,929 | 63,068 | 1,072 | ||||||||||||
AB International Growth | 6,050 | 56,629 | 56,212 | 6,467 | ||||||||||||
AB Short Duration Bond | – 0 | – | – 0 | – | – 0 | – | – 0 | – | ||||||||
AB Global Core Bond | – 0 | – | – 0 | – | – 0 | – | – 0 | – | ||||||||
AB Bond Inflation Protection | – 0 | – | – 0 | – | – 0 | – | – 0 | – | ||||||||
AB High-Yield | – 0 | – | – 0 | – | – 0 | – | – 0 | – | ||||||||
AB Small-Mid Cap Value | 6,422 | 50,945 | 47,493 | 9,874 | ||||||||||||
AB Small-Mid Cap Growth | 7,862 | 83,060 | 78,797 | 12,125 | ||||||||||||
AB Multi-Asset Real Return | 26,857 | 237,506 | 252,163 | 12,200 | ||||||||||||
AB Volatility Management | 124,646 | 280,236 | 388,896 | 15,986 |
NOTE E
Shares of Beneficial Interest
Transactions in shares of beneficial interest for each class were as follows:
Shares | Amount | |||||||||||||||||||
Six Months Ended February 29, 2016 (unaudited) | Year Ended 2015 | Six Months Ended February 29, 2016 (unaudited) | Year Ended August 31, 2015 | |||||||||||||||||
|
| |||||||||||||||||||
AB U.S. Value | ||||||||||||||||||||
Shares sold | 45,579 | 899,902 | $ | 565,398 | $ | 11,886,481 | ||||||||||||||
| ||||||||||||||||||||
Shares issued in reinvestment of dividends | 439,954 | 787,294 | 5,546,217 | 10,546,202 | ||||||||||||||||
| ||||||||||||||||||||
Shares redeemed | (10,168,735 | ) | (6,107,627 | ) | (132,618,999 | ) | (82,387,658 | ) | ||||||||||||
| ||||||||||||||||||||
Net decrease | (9,683,202 | ) | (4,420,431 | ) | $ | (126,507,384 | ) | $ | (59,954,975 | ) | ||||||||||
|
AB POOLING PORTFOLIOS • | 333 |
Notes to Financial Statements
Shares | Amount | |||||||||||||||||||
Six Months Ended February 29, 2016 (unaudited) | Year Ended 2015 | Six Months Ended February 29, 2016 (unaudited) | Year Ended August 31, 2015 | |||||||||||||||||
|
| |||||||||||||||||||
AB U.S. Large Cap Growth | ||||||||||||||||||||
Shares sold | 19,876 | 569,773 | $ | 219,903 | $ | 7,184,060 | ||||||||||||||
| ||||||||||||||||||||
Shares issued in reinvestment of dividends and distributions | 8,829,405 | 14,104,875 | 89,369,208 | 169,404,217 | ||||||||||||||||
| ||||||||||||||||||||
Shares redeemed | (11,776,055 | ) | (10,679,388 | ) | (154,007,703 | ) | (147,986,150 | ) | ||||||||||||
| ||||||||||||||||||||
Net increase (decrease) | (2,926,774 | ) | 3,995,260 | $ | (64,418,592 | ) | $ | 28,602,127 | ||||||||||||
| ||||||||||||||||||||
AB International Value | ||||||||||||||||||||
Shares sold | 185,142 | 1,595,825 | $ | 1,270,371 | $ | 12,087,012 | ||||||||||||||
| ||||||||||||||||||||
Shares issued in reinvestment of dividends | 2,265,216 | 4,256,822 | 15,426,120 | 31,500,480 | ||||||||||||||||
| ||||||||||||||||||||
Shares redeemed | (14,334,301 | ) | (7,057,663 | ) | (104,744,500 | ) | (54,485,732 | ) | ||||||||||||
| ||||||||||||||||||||
Net decrease | (11,883,943 | ) | (1,205,016 | ) | $ | (88,048,009 | ) | $ | (10,898,240 | ) | ||||||||||
| ||||||||||||||||||||
AB International Growth | ||||||||||||||||||||
Shares sold | 361,396 | 1,759,886 | $ | 2,770,031 | $ | 15,676,225 | ||||||||||||||
| ||||||||||||||||||||
Shares issued in reinvestment of dividends | 597,304 | 786,887 | 5,100,976 | 6,877,392 | ||||||||||||||||
| ||||||||||||||||||||
Shares redeemed | (12,594,784 | ) | (4,603,483 | ) | (109,643,411 | ) | (41,591,644 | ) | ||||||||||||
| ||||||||||||||||||||
Net decrease | (11,636,084 | ) | (2,056,710 | ) | $ | (101,772,404 | ) | $ | (19,038,027 | ) | ||||||||||
| ||||||||||||||||||||
Short Duration Bond | ||||||||||||||||||||
Shares sold | 737,447 | 3,241,057 | $ | 6,939,955 | $ | 30,610,385 | ||||||||||||||
| ||||||||||||||||||||
Shares issued in reinvestment of dividends and distributions | 571,273 | 992,400 | 5,377,259 | 9,366,087 | ||||||||||||||||
| ||||||||||||||||||||
Shares redeemed | (7,621,797 | ) | (10,835,547 | ) | (71,738,674 | ) | (102,262,770 | ) | ||||||||||||
| ||||||||||||||||||||
Net decrease | (6,313,077 | ) | (6,602,090 | ) | $ | (59,421,460 | ) | $ | (62,286,298 | ) | ||||||||||
| ||||||||||||||||||||
AB Global Core Bond | ||||||||||||||||||||
Shares sold | 335,146 | 2,922,261 | $ | 3,333,426 | $ | 29,955,764 | ||||||||||||||
| ||||||||||||||||||||
Shares issued in reinvestment of dividends and distributions | 3,352,923 | 6,610,824 | 32,925,992 | 66,999,287 | ||||||||||||||||
| ||||||||||||||||||||
Shares redeemed | (16,695,100 | ) | (14,877,837 | ) | (166,676,072 | ) | (152,006,295 | ) | ||||||||||||
| ||||||||||||||||||||
Net decrease | (13,007,031 | ) | (5,344,752 | ) | $ | (130,416,654 | ) | $ | (55,051,244 | ) | ||||||||||
|
334 | • AB POOLING PORTFOLIOS |
Notes to Financial Statements
Shares | Amount | |||||||||||||||||||
Six Months Ended February 29, 2016 (unaudited) | Year Ended 2015 | Six Months Ended February 29, 2016 (unaudited) | Year Ended August 31, 2015 | |||||||||||||||||
|
| |||||||||||||||||||
AB Bond Inflation Protection | ||||||||||||||||||||
Shares sold | 787,870 | 3,523,285 | $ | 7,477,579 | $ | 34,639,427 | ||||||||||||||
| ||||||||||||||||||||
Shares issued in reinvestment of dividends and distributions | 1,743,338 | 2,585,609 | 16,335,075 | 25,002,844 | ||||||||||||||||
| ||||||||||||||||||||
Shares redeemed | (9,823,973 | ) | (7,526,367 | ) | (93,667,748 | ) | (73,523,506 | ) | ||||||||||||
| ||||||||||||||||||||
Net decrease | (7,292,765 | ) | (1,417,473 | ) | $ | (69,855,094 | ) | $ | (13,881,235 | ) | ||||||||||
| ||||||||||||||||||||
AB High-Yield | ||||||||||||||||||||
Shares sold | 214,966 | 611,033 | $ | 1,985,707 | $ | 6,358,714 | ||||||||||||||
| ||||||||||||||||||||
Shares issued in reinvestment of dividends | 1,105,415 | 2,387,311 | 10,334,060 | 24,694,123 | ||||||||||||||||
| ||||||||||||||||||||
Shares redeemed | (5,591,545 | ) | (3,925,769 | ) | (54,300,817 | ) | (40,460,867 | ) | ||||||||||||
| ||||||||||||||||||||
Net decrease | (4,271,164 | ) | (927,425 | ) | $ | (41,981,050 | ) | $ | (9,408,030 | ) | ||||||||||
| ||||||||||||||||||||
AB Small-Mid Cap Value | ||||||||||||||||||||
Shares sold | 77,338 | 309,496 | $ | 756,705 | $ | 3,728,621 | ||||||||||||||
| ||||||||||||||||||||
Shares issued in reinvestment of dividends and distributions | 3,296,353 | 5,565,605 | 32,308,069 | 63,242,317 | ||||||||||||||||
| ||||||||||||||||||||
Shares redeemed | (3,552,416 | ) | (3,504,600 | ) | (40,800,044 | ) | (42,175,961 | ) | ||||||||||||
| ||||||||||||||||||||
Net increase (decrease) | (178,725 | ) | 2,370,501 | $ | (7,735,270 | ) | $ | 24,794,977 | ||||||||||||
| ||||||||||||||||||||
AB Small-Mid Cap Growth | ||||||||||||||||||||
Shares sold | 196,450 | 252,091 | $ | 1,707,284 | $ | 2,782,968 | ||||||||||||||
| ||||||||||||||||||||
Shares issued in reinvestment of dividends and distributions | 3,682,989 | 4,851,374 | 34,571,688 | 51,344,768 | ||||||||||||||||
| ||||||||||||||||||||
Shares redeemed | (3,439,253 | ) | (5,164,035 | ) | (37,674,749 | ) | (58,999,695 | ) | ||||||||||||
| ||||||||||||||||||||
Net increase (decrease) | 440,186 | (60,570 | ) | $ | (1,395,777 | ) | $ | (4,871,959 | ) | |||||||||||
|
|
|
|
|
|
|
|
|
|
AB POOLING PORTFOLIOS • | 335 |
Notes to Financial Statements
Shares | Amount | |||||||||||||||||||
Six Months Ended February 29, 2016 (unaudited) | Year Ended 2015 | Six Months Ended February 29, 2016 (unaudited) | Year Ended August 31, 2015 | |||||||||||||||||
|
| |||||||||||||||||||
AB Multi-Asset Real Return* | ||||||||||||||||||||
Shares sold | 5,659,882 | 54,774,185 | $ | 33,420,341 | $ | 423,029,389 | ||||||||||||||
| ||||||||||||||||||||
Shares issued in reinvestment of dividends | 4,197,232 | 3,939,384 | 24,008,166 | 28,954,469 | ||||||||||||||||
| ||||||||||||||||||||
Shares redeemed | (60,127,000 | ) | (15,265,478 | ) | (322,672,287 | ) | (120,157,202 | ) | ||||||||||||
| ||||||||||||||||||||
Net increase (decrease) | (50,269,886 | ) | 43,448,091 | $ | (265,243,780 | ) | $ | 331,826,656 | ||||||||||||
|
* | Consolidated (see Note A). |
AB Volatility Management | ||||||||||||||||||||
Shares sold | 1,795,224 | 2,677,728 | $ | 19,159,052 | $ | 31,694,373 | ||||||||||||||
| ||||||||||||||||||||
Shares issued in reinvestment of dividends and distributions | 5,719,831 | 9,227,127 | 62,117,362 | 106,665,587 | ||||||||||||||||
| ||||||||||||||||||||
Shares redeemed | (15,065,583 | ) | (17,200,171 | ) | (172,328,394 | ) | (208,087,207 | ) | ||||||||||||
| ||||||||||||||||||||
Net decrease | (7,550,528 | ) | (5,295,316 | ) | $ | (91,051,980 | ) | $ | (69,727,247 | ) | ||||||||||
|
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 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.
Duration Risk—Duration is the measure that relates the expected price volatility of a fixed-income security to changes in interest rates. The duration of a fixed-income security may be shorter than or equal to full maturity of a fixed-income security. Fixed-income securities with longer durations have more risk and will decrease in price as interest rates rise. For example, a fixed-income security with a duration of three years will decrease in value by approximately 3% if interest rates increase by 1%.
336 | • AB POOLING PORTFOLIOS |
Notes to Financial Statements
Inflation Risk—This is the risk that the value of assets or income from investments will be less in the future as inflation decreases the value of money. As inflation increases, the value of each Portfolios’ assets can decline as can the value of the Portfolios’ distributions.
Foreign (Non-U.S.) Risk—Investments in securities of non-U.S. issuers may involve more risk than those of U.S. issuers. These securities may fluctuate more widely in price and may be less liquid due to adverse market, economic, political, regulatory or other factors.
Currency Risk—Fluctuations in currency exchange rates may negatively affect the value of the Portfolios’ investments or reduce its returns.
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.
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 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.
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 time or price. Derivatives and securities involving substantial market risk and credit risk tend to involve greater liquidity risk.
Capitalization Risk—Investments in small- and mid-capitalization companies may be more volatile than investments in large-capitalization companies. Investments in small-capitalization companies may have additional risks because these companies have limited product lines, markets or financial resources.
AB POOLING PORTFOLIOS • | 337 |
Notes to Financial Statements
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.
Real Estate Risk—The Portfolio’s investments in the real estate market have many of the same risks as direct ownership of real estate, including the risk that the value of real estate could decline due to a variety of factors that affect the real estate market generally. Investments in REITs may have additional risks. REITs are dependent on the capability of their managers, may have limited diversification, and could be significantly affected by changes in taxes.
Subsidiary Risk— By investing in the Subsidiary, the Portfolio is indirectly exposed to the risks associated with the Subsidiary’s investments, including its investments in commodities. There is no guarantee that the investment objective of the Subsidiary will be achieved.
Indemnification Risk—In the ordinary course of business, the Portfolios enter into contracts that contain a variety of indemnifications. The Portfolios’ maximum exposure under these arrangements is unknown. However, the Portfolios have not had prior claims or losses pursuant to these indemnification provisions and expect the risk of loss thereunder to be remote. Therefore, the Portfolios have not accrued any liability in connection with these indemnification provisions.
NOTE G
Distributions to Shareholders
The tax character of distributions to be paid for the year ending August 31, 2016 will be determined at the end of the current fiscal year. The tax character of distributions paid during the fiscal years ended August 31, 2015 and August 31, 2014 were as follows:
AB U.S. Value | 2015 | 2014 | ||||||
Distributions paid from: | ||||||||
Ordinary income | $ | 10,546,202 | $ | 27,508,781 | ||||
|
|
|
| |||||
Total distributions paid | $ | 10,546,202 | $ | 27,508,781 | ||||
|
|
|
| |||||
AB U.S. Large Cap Growth | 2015 | 2014 | ||||||
Distributions paid from: | ||||||||
Ordinary income | $ | 14,782,301 | $ | 23,015,023 | ||||
Long-term capital gains | 154,621,916 | 102,525,998 | ||||||
|
|
|
| |||||
Total distributions paid | $ | 169,404,217 | $ | 125,541,021 | ||||
|
|
|
|
338 | • AB POOLING PORTFOLIOS |
Notes to Financial Statements
AB International Value | 2015 | 2014 | ||||||
Distributions paid from: | ||||||||
Ordinary income | $ | 31,500,480 | $ | 56,058,549 | ||||
|
|
|
| |||||
Total distributions paid | $ | 31,500,480 | $ | 56,058,549 | ||||
|
|
|
| |||||
AB International Growth | 2015 | 2014 | ||||||
Distributions paid from: | ||||||||
Ordinary income | $ | 6,877,393 | $ | 17,047,166 | ||||
|
|
|
| |||||
Total distributions paid | $ | 6,877,393 | $ | 17,047,166 | ||||
|
|
|
| |||||
Short Duration Bond | 2015 | 2014 | ||||||
Distributions paid from: | ||||||||
Ordinary income | $ | 9,366,087 | $ | 11,673,217 | ||||
Return of capital | – 0 | – | 44,216 | |||||
|
|
|
| |||||
Total distributions paid | $ | 9,366,087 | $ | 11,717,433 | ||||
|
|
|
| |||||
AB Global Core Bond | 2015 | 2014 | ||||||
Distributions paid from: | ||||||||
Ordinary income | $ | 55,828,805 | $ | 35,379,162 | ||||
Long-term capital gains | 11,170,482 | 1,832,618 | ||||||
|
|
|
| |||||
Total distributions paid | $ | 66,999,287 | $ | 37,211,780 | ||||
|
|
|
| |||||
AB Bond Inflation Protection | 2015 | 2014 | ||||||
Distributions paid from: | ||||||||
Ordinary income | $ | 25,002,844 | $ | 12,850,585 | ||||
Long-term capital gains | – 0 | – | 21,065,131 | |||||
|
|
|
| |||||
Total distributions paid | $ | 25,002,844 | $ | 33,915,716 | ||||
|
|
|
| |||||
AB High-Yield | 2015 | 2014 | ||||||
Distributions paid from: | ||||||||
Ordinary income | $ | 24,694,123 | $ | 25,509,174 | ||||
|
|
|
| |||||
Total distributions paid | $ | 24,694,123 | $ | 25,509,174 | ||||
|
|
|
| |||||
AB Small-Mid Cap Value | 2015 | 2014 | ||||||
Distributions paid from: | ||||||||
Ordinary income | $ | 11,292,081 | $ | 10,895,600 | ||||
Long-term capital gains | 51,950,236 | 33,611,794 | ||||||
|
|
|
| |||||
Total distributions paid | $ | 63,242,317 | $ | 44,507,394 | ||||
|
|
|
| |||||
AB Small-Mid Cap Growth | 2015 | 2014 | ||||||
Distributions paid from: | ||||||||
Ordinary income | $ | 2,513,207 | $ | 1,668,154 | ||||
Long-term capital gains | 48,831,561 | 60,077,034 | ||||||
|
|
|
| |||||
Total distributions paid | $ | 51,344,768 | $ | 61,745,188 | ||||
|
|
|
| |||||
AB POOLING PORTFOLIOS • | 339 |
Notes to Financial Statements
AB Multi-Asset Real Return | 2015 | 2014 | ||||||
Distributions paid from: | ||||||||
Ordinary income | $ | 28,954,469 | $ | 22,422,067 | ||||
|
|
|
| |||||
Total distributions paid | $ | 28,954,469 | $ | 22,422,067 | ||||
|
|
|
| |||||
AB Volatility Management | 2015 | 2014 | ||||||
Distributions paid from: | ||||||||
Ordinary income | $ | 69,377,411 | $ | 110,905,951 | ||||
Long-term capital gains | 37,288,177 | 49,282,572 | ||||||
|
|
|
| |||||
Total distributions paid | $ | 106,665,588 | $ | 160,188,523 | ||||
|
|
|
|
As of August 31, 2015, the components of accumulated earnings/(deficit) on a tax basis were as follows:
Portfolio | Undistributed Ordinary Income | Undistributed Long-Term Gains | Accumulated Capital and Gains | Unrealized Appreciation/ | Total Accumulated Earnings/ (Deficit)(c) | |||||||||||||||
AB U.S. Value | $ | 2,426,834 | $ | – 0 | – | $ | (304,888,572 | ) | �� | $ | 46,281,594 | $ | (256,180,144 | ) | ||||||
AB U.S. Large Cap Growth | 6,180,124 | 71,338,903 | – 0 | – | 102,849,359 | 180,368,386 | ||||||||||||||
AB International Value | 15,412,104 | – 0 | – | (428,884,112 | ) | (27,685,156 | ) | (441,157,164 | ) | |||||||||||
AB International Growth | 3,235,297 | – 0 | – | (341,955,002 | ) | 10,742,339 | (327,977,366 | ) | ||||||||||||
Short Duration Bond | 521,735 | – 0 | – | (70,905,940 | ) | (1,696,771 | ) | (72,080,976 | ) | |||||||||||
AB Global Core Bond | 23,844,568 | – 0 | – | (8,069,949 | ) | (16,923,180 | ) | (1,148,561 | ) | |||||||||||
AB Bond Inflation Protection | 16,323,558 | – 0 | – | (5,726,304 | ) | (21,974,710 | ) | (11,377,456 | ) | |||||||||||
AB High-Yield | 5,739,370 | – 0 | – | (14,148,980 | ) | (15,763,913 | ) | (24,173,523 | ) | |||||||||||
AB Small-Mid Cap Value | 1,007,473 | 27,468,395 | – 0 | – | 29,717,622 | 58,193,490 | ||||||||||||||
AB Small-Mid Cap Growth | 544,418 | 33,482,473 | – 0 | – | 61,795,591 | 95,822,482 | ||||||||||||||
AB Multi-Asset Real Return | 21,129,639 | – 0 | – | (290,382,766 | ) | (288,507,806 | ) | (557,760,933 | ) | |||||||||||
AB Volatility Management | 35,186,722 | 26,870,152 | – 0 | – | 143,322,078 | 205,378,952 |
(a) | As of August 31, 2015 certain Portfolios had capital loss carryforwards for federal income tax purposes. During the fiscal year ended August 31, 2015 AB U.S. Value Portfolio, AB International Value Portfolio, AB International Growth Portfolio and AB High Yield Portfolio utilized capital loss carryforwards of $66,186,422, $23,677,098, $5,938,664 and $2,129,413, respectively, to offset current year net realized gains. Additionally, AB Short Duration Bond Portfolio had $3,562,331 of capital loss carryforwards expire during the fiscal year. At August 31, 2015 AB Short Duration Bond Portfolio, AB Global Core Bond Portfolio, AB Bond Inflation Protection Portfolio, AB High-Yield Portfolio and AB Multi-Asset Real Return Portfolio deferred straddle losses of $610,095, $7,338,294, $6,484, $7,112 and $163,901, respectively. At August 31, 2015 AB U.S. Value Portfolio, AB International |
340 | • AB POOLING PORTFOLIOS |
Notes to Financial Statements
Growth Portfolio, AB Global Core Bond Portfolio and AB High-Yield Portfolio had post-October short-term capital loss deferrals of $1,088,105, $4,426,793, $731,655 and $1,651,360, respectively. These losses are deemed to arise on September 1, 2015. |
(b) | The differences between book-basis and tax-basis unrealized appreciation/(depreciation) are attributable primarily to the tax deferral of losses on wash sales, the tax treatment of swaps and passive foreign investment companies (PFICs), the realization for tax purposes of gains/losses on certain derivative instruments, the tax treatment of partnership investments and Treasury inflation-protected securities, return of capital distributions received from underlying securities, the tax treatment of a restructured investment, and the tax treatment of earnings from a wholly-owned subsidiary. |
(c) | The differences between book-basis and tax-basis components of accumulated earnings/(deficit) are attributable primarily to the tax treatment of defaulted securities and the tax treatment of earnings from a wholly-owned subsidiary. |
For tax purposes, net capital losses may be carried over to offset future capital gains, if any. Funds are permitted to carry forward capital losses incurred in taxable years beginning after December 22, 2010 for an indefinite period. These post-December 22, 2010 capital losses must be utilized prior to the earlier capital losses, which are subject to expiration. Post-December 22, 2010 capital loss carryforwards will retain their character as either short-term or long-term capital losses rather than being considered short-term as under previous regulation.
As of August 31, 2015, the following Portfolios had net capital loss carryforwards which will expire as follows:
Portfolio | Short-Term Amount | Long-Term Amount | Expiration | |||||||||
AB U.S. Value | $ | 303,800,467 | n/a | 2018 | ||||||||
AB International Value | 51,400,581 | n/a | 2017 | |||||||||
AB International Value | 325,801,637 | n/a | 2018 | |||||||||
AB International Value | 25,033,617 | 26,648,277 | No expiration | |||||||||
AB International Growth | 34,597,465 | n/a | 2017 | |||||||||
AB International Growth | 302,930,744 | n/a | 2018 | |||||||||
AB Short Duration Bond | 1,756,801 | n/a | 2016 | |||||||||
AB Short Duration Bond | 19,308,695 | n/a | 2017 | |||||||||
AB Short Duration Bond | 11,669,892 | n/a | 2018 | |||||||||
AB Short Duration Bond | 8,417,896 | n/a | 2019 | |||||||||
AB Short Duration Bond | 3,740,656 | 25,401,905 | No expiration | |||||||||
AB Bond Inflation Protection | 5,719,820 | n/a | No expiration | |||||||||
AB High Yield | 12,490,508 | n/a | 2018 | |||||||||
AB Multi-Asset Real Return | 232,200,875 | n/a | 2018 | |||||||||
AB Multi-Asset Real Return | 37,320,905 | 20,697,085 | No expiration |
NOTE H
New Accounting Pronouncement
In May 2015, the Financial Accounting Standards Board issued an Accounting Standards Update, ASU 2015-07 (the “ASU”) which removes the requirement to categorize within the fair value hierarchy all investments for which fair value is measured using the net asset value per share practical expedient. The ASU also removes the requirement to make certain disclosures for investments that are
AB POOLING PORTFOLIOS • | 341 |
Notes to Financial Statements
eligible to be measured at fair value using the net asset value per share practical expedient but do not utilize that practical expedient. The ASU is effective for annual periods beginning after December 15, 2015 and interim periods within those annual periods. At this time, management is evaluating the implications of these changes on the financial statements.
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.
342 | • AB POOLING PORTFOLIOS |
Notes to Financial Statements
FINANCIAL HIGHLIGHTS
Selected Data For A Share Of Beneficial Interest Outstanding Throughout Each Period
AB U.S. Value | ||||||||||||||||||||||||
Six Months (unaudited) | Year Ended August 31, | |||||||||||||||||||||||
2015 | 2014 | 2013 | 2012 | 2011 | ||||||||||||||||||||
|
| |||||||||||||||||||||||
Net asset value, beginning of | $ 12.63 | $ 13.46 | $ 10.96 | $ 8.73 | $ 7.97 | $ 7.18 | ||||||||||||||||||
|
| |||||||||||||||||||||||
Income From Investment Operations | ||||||||||||||||||||||||
Net investment income(a) | .15 | .28 | .32 | .24 | .23 | .18 | ||||||||||||||||||
Net realized and unrealized gain (loss) on investment transactions | (.73 | ) | (.83 | ) | 2.50 | 2.23 | .76 | .77 | ||||||||||||||||
|
| |||||||||||||||||||||||
Net increase (decrease) in net asset value from operations | (.58 | ) | (.55 | ) | 2.82 | 2.47 | .99 | .95 | ||||||||||||||||
|
| |||||||||||||||||||||||
Less: Dividends | ||||||||||||||||||||||||
Dividends from net investment income | (.19 | ) | (.28 | ) | (.32 | ) | (.24 | ) | (.23 | ) | (.16 | ) | ||||||||||||
|
| |||||||||||||||||||||||
Net asset value, end of period | $ 11.86 | $ 12.63 | $ 13.46 | $ 10.96 | $ 8.73 | $ 7.97 | ||||||||||||||||||
|
| |||||||||||||||||||||||
Total Return | ||||||||||||||||||||||||
Total investment return based on net asset value(b) | (4.72 | )% | (4.21 | )%* | 26.10 | %* | 28.67 | %* | 12.75 | %* | 13.21 | % | ||||||||||||
Ratios/Supplemental Data | ||||||||||||||||||||||||
Net assets, end of period | $307 | $449 | $539 | $1,113 | $1,173 | $1,943 | ||||||||||||||||||
Ratio to average net assets of: | ||||||||||||||||||||||||
Expenses | .07 | %^ | .05 | % | .03 | % | .02 | % | .02 | % | .01 | %+ | ||||||||||||
Net investment income | 2.34 | %^ | 2.06 | % | 2.65 | % | 2.44 | % | 2.75 | % | 2.14 | %+ | ||||||||||||
Portfolio turnover rate | 30 | % | 52 | % | 43 | % | 53 | % | 40 | % | 65 | % |
See footnote summary on page 355.
AB POOLING PORTFOLIOS • | 343 |
Financial Highlights
Selected Data For A Share Of Beneficial Interest Outstanding Throughout Each Period
AB U.S. Large Cap Growth | ||||||||||||||||||||||||
Six Months Ended February 29, 2016 (unaudited) | Year Ended August 31, | |||||||||||||||||||||||
2015 | 2014 | 2013 | 2012 | 2011 | ||||||||||||||||||||
|
| |||||||||||||||||||||||
Net asset value, beginning of | $ 12.59 | $ 16.78 | $ 14.53 | $ 12.30 | $ 10.66 | $ 8.94 | ||||||||||||||||||
|
| |||||||||||||||||||||||
Income From Investment Operations | ||||||||||||||||||||||||
Net investment income(a) | .05 | .11 | .12 | .12 | .12 | .12 | ||||||||||||||||||
Net realized and unrealized gain | .16 | 1.46 | 3.91 | 2.20 | 1.67 | 1.70 | ||||||||||||||||||
|
| |||||||||||||||||||||||
Net increase | .21 | 1.57 | 4.03 | 2.32 | 1.79 | 1.82 | ||||||||||||||||||
|
| |||||||||||||||||||||||
Less: Dividends and Distributions | ||||||||||||||||||||||||
Dividends from net investment income | (.07 | ) | (.13 | ) | (.14 | ) | (.09 | ) | (.15 | ) | (.10 | ) | ||||||||||||
Distributions from net realized gain on investment transactions | (3.47 | ) | (5.63 | ) | (1.64 | ) | – 0 | – | – 0 | – | – 0 | – | ||||||||||||
|
| |||||||||||||||||||||||
Total dividends and distributions | (3.54 | ) | (5.76 | ) | (1.78 | ) | (.09 | ) | (.15 | ) | (.10 | ) | ||||||||||||
|
| |||||||||||||||||||||||
Net asset value, end of period | $ 9.26 | $ 12.59 | $ 16.78 | $ 14.53 | $ 12.30 | $ 10.66 | ||||||||||||||||||
|
| |||||||||||||||||||||||
Total Return | ||||||||||||||||||||||||
Total investment return based on net asset value(b) | (.68 | )% | 11.22 | %* | 29.19 | % | 18.92 | % | 16.99 | %* | 20.35 | %* | ||||||||||||
Ratios/Supplemental Data | ||||||||||||||||||||||||
Net assets, end of period | $307 | $454 | $538 | $1,123 | $1,173 | $1,953 | ||||||||||||||||||
Ratio to average net assets of: | ||||||||||||||||||||||||
Expenses | .07 | %^ | .05 | % | .03 | % | .02 | % | .02 | % | .02 | %+ | ||||||||||||
Net investment income | .83 | %^ | .84 | % | .79 | % | .87 | % | 1.10 | % | 1.09 | %+ | ||||||||||||
Portfolio turnover rate | 27 | % | 56 | % | 59 | % | 57 | % | 85 | % | 91 | % |
See footnote summary on page 355.
344 | • AB POOLING PORTFOLIOS |
Financial Highlights
Selected Data For A Share Of Beneficial Interest Outstanding Throughout Each Period
AB International Value | ||||||||||||||||||||||||
Six Months (unaudited) | Year Ended August 31, | |||||||||||||||||||||||
2015 | 2014 | 2013 | 2012 | 2011 | ||||||||||||||||||||
|
| |||||||||||||||||||||||
Net asset value, beginning of | $ 7.05 | $ 8.32 | $ 7.46 | $ 6.39 | $ 6.98 | $ 6.93 | ||||||||||||||||||
|
| |||||||||||||||||||||||
Income From Investment Operations | ||||||||||||||||||||||||
Net investment income(a) | .06 | .20 | .31 | .23 | .23 | .24 | ||||||||||||||||||
Net realized and unrealized gain (loss) on investment and foreign currency transactions | (.54 | ) | (.89 | ) | 1.01 | .98 | (.70 | ) | .13 | |||||||||||||||
|
| |||||||||||||||||||||||
Net increase (decrease) in net asset value from operations | (.48 | ) | (.69 | ) | 1.32 | 1.21 | (.47 | ) | .37 | |||||||||||||||
|
| |||||||||||||||||||||||
Less: Dividends | ||||||||||||||||||||||||
Dividends from net investment income | (.40 | ) | (.58 | ) | (.46 | ) | (.14 | ) | (.12 | ) | (.32 | ) | ||||||||||||
|
| |||||||||||||||||||||||
Net asset value, end of period | $ 6.17 | $ 7.05 | $ 8.32 | $ 7.46 | $ 6.39 | $ 6.98 | ||||||||||||||||||
|
| |||||||||||||||||||||||
Total Return | ||||||||||||||||||||||||
Total investment return based on net asset value(b) | (7.36 | )% | (8.59 | )% | 18.14 | % | 19.15 | % | (6.69 | )% | 4.82 | % | ||||||||||||
Ratios/Supplemental Data | ||||||||||||||||||||||||
Net assets, end of period | $253 | $372 | $450 | $947 | $986 | $984 | ||||||||||||||||||
Ratio to average net assets of: | ||||||||||||||||||||||||
Expenses(c) | .13 | %^ | .08 | % | .05 | % | .05 | % | .04 | % | .04 | %+ | ||||||||||||
Net investment income | 1.78 | %^ | 2.60 | % | 3.84 | % | 3.16 | % | 3.56 | % | 3.00 | %+ | ||||||||||||
Portfolio turnover rate | 27 | % | 69 | % | 65 | % | 58 | % | 61 | % | 58 | % |
See footnote summary on page 355.
AB POOLING PORTFOLIOS • | 345 |
Financial Highlights
Selected Data For A Share Of Beneficial Interest Outstanding Throughout Each Period
AB International Growth | ||||||||||||||||||||||||
Six Months (unaudited) | Year Ended August 31, | |||||||||||||||||||||||
2015 | 2014 | 2013 | 2012 | 2011 | ||||||||||||||||||||
|
| |||||||||||||||||||||||
Net asset value, beginning of | $ 8.33 | $ 9.50 | $ 8.27 | $ 7.54 | $ 8.27 | $ 8.18 | ||||||||||||||||||
|
| |||||||||||||||||||||||
Income From Investment Operations | ||||||||||||||||||||||||
Net investment income(a) | .04 | .15 | .19 | .20 | .18 | .19 | ||||||||||||||||||
Net realized and unrealized gain (loss) on investment and foreign currency transactions | (.63 | ) | (1.18 | ) | 1.19 | .59 | (.78 | ) | .26 | |||||||||||||||
|
| |||||||||||||||||||||||
Net increase (decrease) in net asset value from operations | (.59 | ) | (1.03 | ) | 1.38 | .79 | (.60 | ) | .45 | |||||||||||||||
|
| |||||||||||||||||||||||
Less: Dividends | ||||||||||||||||||||||||
Dividends from net investment income | (.16 | ) | (.14 | ) | (.15 | ) | (.06 | ) | (.13 | ) | (.36 | ) | ||||||||||||
|
| |||||||||||||||||||||||
Net asset value, end of period | $ 7.58 | $ 8.33 | $ 9.50 | $ 8.27 | $ 7.54 | $ 8.27 | ||||||||||||||||||
|
| |||||||||||||||||||||||
Total Return | ||||||||||||||||||||||||
Total investment return based on net asset value(b) | (7.34 | )% | (10.86 | )% | 16.89 | % | 10.53 | % | (7.19 | )% | 5.15 | % | ||||||||||||
Ratios/Supplemental Data | ||||||||||||||||||||||||
Net assets, end of period | $253 | $375 | $447 | $941 | $999 | $1,022 | ||||||||||||||||||
Ratio to average net assets of: | ||||||||||||||||||||||||
Expenses | .11 | %^ | .09 | % | .05 | % | .04 | % | .04 | % | .04 | %+ | ||||||||||||
Net investment income | .92 | %^ | 1.72 | % | 2.13 | % | 2.40 | % | 2.36 | % | 2.15 | %+ | ||||||||||||
Portfolio turnover rate | 19 | % | 52 | % | 61 | % | 55 | % | 93 | % | 73 | % |
See footnote summary on page 355.
346 | • AB 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, | |||||||||||||||||||||||
2015 | 2014 | 2013 | 2012 | 2011 | ||||||||||||||||||||
|
| |||||||||||||||||||||||
Net asset value, beginning of | $ 9.43 | $ 9.44 | $ 9.42 | $ 9.56 | $ 9.59 | $ 9.56 | ||||||||||||||||||
|
| |||||||||||||||||||||||
Income From Investment Operations | ||||||||||||||||||||||||
Net investment income(a) | .05 | .09 | .10 | .09 | .12 | .17 | ||||||||||||||||||
Net realized and unrealized gain (loss) on investment transactions | .00 | (d) | (.01 | ) | .04 | † | (.08 | ) | – 0 | – | .05 | |||||||||||||
|
| |||||||||||||||||||||||
Net increase | .05 | .08 | .14 | .01 | .12 | .22 | ||||||||||||||||||
|
| |||||||||||||||||||||||
Less: Dividends and Distributions | ||||||||||||||||||||||||
Dividends from net investment income | (.06 | ) | (.09 | ) | (.12 | ) | (.15 | ) | (.15 | ) | (.19 | ) | ||||||||||||
Tax return of capital | – 0 | – | – 0 | – | (.00 | )(d) | – 0 | – | – 0 | – | – 0 | – | ||||||||||||
|
| |||||||||||||||||||||||
Total dividends and distributions | (.06 | ) | (.09 | ) | (.12 | ) | (.15 | ) | (.15 | ) | (.19 | ) | ||||||||||||
|
| |||||||||||||||||||||||
Net asset value, end of period | $ 9.42 | $ 9.43 | $ 9.44 | $ 9.42 | $ 9.56 | $ 9.59 | ||||||||||||||||||
|
| |||||||||||||||||||||||
Total Return | ||||||||||||||||||||||||
Total investment return based on net asset value(b) | .51 | % | .90 | % | 1.45 | % | .14 | %* | 1.24 | % | 2.36 | % | ||||||||||||
Ratios/Supplemental Data | ||||||||||||||||||||||||
Net assets, end of period | $838 | $898 | $962 | $936 | $933 | $1,286 | ||||||||||||||||||
Ratio to average net assets of: | ||||||||||||||||||||||||
Expenses(c) | .04 | %^ | .04 | % | .03 | % | .03 | % | .03 | % | .05 | %+ | ||||||||||||
Net investment income | 1.16 | %^ | .90 | % | 1.06 | % | .94 | % | 1.26 | % | 1.75 | %+ | ||||||||||||
Portfolio turnover rate | 14 | % | 71 | % | 47 | % | 114 | % | 129 | % | 88 | % |
See footnote summary on page 355.
AB POOLING PORTFOLIOS • | 347 |
Financial Highlights
Selected Data For A Share Of Beneficial Interest Outstanding Throughout Each Period
AB Global Core Bond | ||||||||||||||||||||||||
Six Months (unaudited) | Year Ended August 31, | |||||||||||||||||||||||
2015 | 2014 | 2013 | 2012 | 2011 | ||||||||||||||||||||
|
| |||||||||||||||||||||||
Net asset value, beginning of | $ 10.04 | $ 10.52 | $ 10.18 | $ 11.00 | $ 10.88 | $ 10.78 | ||||||||||||||||||
|
| |||||||||||||||||||||||
Income From Investment Operations | ||||||||||||||||||||||||
Net investment income(a) | .13 | .26 | .29 | .29 | .33 | .41 | ||||||||||||||||||
Net realized and unrealized gain (loss) on investment and foreign currency transactions | .18 | (.04 | ) | .41 | (.38 | ) | .40 | .15 | ||||||||||||||||
|
| |||||||||||||||||||||||
Net increase (decrease) in net asset value from operations | .31 | .22 | .70 | (.09 | ) | .73 | .56 | |||||||||||||||||
|
| |||||||||||||||||||||||
Less: Dividends and Distributions | ||||||||||||||||||||||||
Dividends from net | (.40 | ) | (.52 | ) | (.34 | ) | (.37 | ) | (.34 | ) | (.43 | ) | ||||||||||||
Distributions from net realized gain on investment transactions | – 0 | – | (.18 | ) | (.02 | ) | (.36 | ) | (.27 | ) | (.03 | ) | ||||||||||||
|
| |||||||||||||||||||||||
Total dividends and distributions | (.40 | ) | (.70 | ) | (.36 | ) | (.73 | ) | (.61 | ) | (.46 | ) | ||||||||||||
|
| |||||||||||||||||||||||
Net asset value, end of period | $ 9.95 | $ 10.04 | $ 10.52 | $ 10.18 | $ 11.00 | $ 10.88 | ||||||||||||||||||
|
| |||||||||||||||||||||||
Total Return | ||||||||||||||||||||||||
Total investment return based on net asset value(b) | 3.13 | % | 2.15 | % | 7.05 | % | (.94 | )%* | 6.98 | %†† | 5.38 | % | ||||||||||||
Ratios/Supplemental Data | ||||||||||||||||||||||||
Net assets, end of period | $793 | $931 | $1,032 | $1,041 | $1,124 | $1,307 | ||||||||||||||||||
Ratio to average net assets of: | ||||||||||||||||||||||||
Expenses(c) | .05 | %^ | .04 | % | .03 | % | .03 | % | .03 | % | .03 | %+ | ||||||||||||
Net investment income | 2.60 | %^ | 2.56 | % | 2.86 | % | 2.77 | % | 2.99 | % | 3.87 | %+ | ||||||||||||
Portfolio turnover rate | 58 | % | 150 | % | 169 | % | 116 | % | 163 | % | 114 | % |
See footnote summary on page 355.
348 | • AB POOLING PORTFOLIOS |
Financial Highlights
Selected Data For A Share Of Beneficial Interest Outstanding Throughout Each Period
AB Bond Inflation Protection | ||||||||||||||||||||||||
Six Months (unaudited) | Year Ended August 31, | |||||||||||||||||||||||
2015 | 2014 | 2013 | 2012 | 2011 | ||||||||||||||||||||
|
| |||||||||||||||||||||||
Net asset value, beginning of | $ 9.64 | $ 10.25 | $ 10.15 | $ 11.22 | $ 11.46 | $ 10.70 | ||||||||||||||||||
|
| |||||||||||||||||||||||
Income From Investment Operations | ||||||||||||||||||||||||
Net investment income(a) | .00 | (d) | .12 | .33 | .32 | .38 | .68 | |||||||||||||||||
Net realized and unrealized gain (loss) on investment and foreign currency transactions | .08 | (.40 | ) | .22 | (.69 | ) | .32 | .40 | ||||||||||||||||
|
| |||||||||||||||||||||||
Net increase (decrease) in net asset value from operations | .08 | (.28 | ) | .55 | (.37 | ) | .70 | 1.08 | ||||||||||||||||
|
| |||||||||||||||||||||||
Less: Dividends and Distributions | ||||||||||||||||||||||||
Dividends from net investment income | (.24 | ) | (.33 | ) | (.14 | ) | (.52 | ) | (.72 | ) | (.32 | ) | ||||||||||||
Distributions from net realized gain on investment transactions | – 0 | – | – 0 | – | (.31 | ) | (.18 | ) | (.22 | ) | – 0 | – | ||||||||||||
|
| |||||||||||||||||||||||
Total dividends and distributions | (.24 | ) | (.33 | ) | (.45 | ) | (.70 | ) | (.94 | ) | (.32 | ) | ||||||||||||
|
| |||||||||||||||||||||||
Net asset value, end of period | $ 9.48 | $ 9.64 | $ 10.25 | $ 10.15 | $ 11.22 | $ 11.46 | ||||||||||||||||||
|
| |||||||||||||||||||||||
Total Return | ||||||||||||||||||||||||
Total investment return based on net asset value(b) | .85 | % | (2.73 | )% | 5.63 | % | (3.70 | )% | 6.59 | % | 10.28 | % | ||||||||||||
Ratios/Supplemental Data | ||||||||||||||||||||||||
Net assets, end of period | $635,935 | $717,018 | $776,378 | $753,515 | $792,721 | $712,731 | ||||||||||||||||||
Ratio to average net assets of: | ||||||||||||||||||||||||
Expenses(c) | .23 | %^ | .13 | % | .08 | % | .13 | % | .11 | % | .12 | %+ | ||||||||||||
Net investment income | .06 | %^ | 1.24 | % | 3.22 | % | 3.00 | % | 3.44 | % | 6.21 | %+ | ||||||||||||
Portfolio turnover rate | 17 | % | 56 | % | 72 | % | 49 | % | 52 | % | 39 | % |
See footnote summary on page 355.
AB POOLING PORTFOLIOS • | 349 |
Financial Highlights
Selected Data For A Share Of Beneficial Interest Outstanding Throughout Each Period
AB High-Yield | ||||||||||||||||||||||||
Six Months Ended February 29, 2016 (unaudited) | Year Ended August 31, | |||||||||||||||||||||||
2015 | 2014 | 2013 | 2012 | 2011 | ||||||||||||||||||||
|
| |||||||||||||||||||||||
Net asset value, beginning of | $ 9.92 | $ 10.90 | $ 10.38 | $ 10.31 | $ 9.71 | $ 9.85 | ||||||||||||||||||
|
| |||||||||||||||||||||||
Income From Investment Operations | ||||||||||||||||||||||||
Net investment income(a) | .32 | .67 | .72 | .75 | .76 | .87 | ||||||||||||||||||
Net realized and unrealized gain (loss) on investment and foreign currency transactions | (.97 | ) | (.91 | ) | .53 | .18 | .53 | (.08 | ) | |||||||||||||||
Contributions from Affiliates | – 0 | – | – 0 | – | – 0 | – | .00 | – 0 | – | .00 | (d) | |||||||||||||
|
| |||||||||||||||||||||||
Net increase (decrease) in net asset value from operations | (.65 | ) | (.24 | ) | 1.25 | .93 | 1.29 | .79 | ||||||||||||||||
|
| |||||||||||||||||||||||
Less: Dividends | ||||||||||||||||||||||||
Dividends from net investment income | (.35 | ) | (.74 | ) | (.73 | ) | (.86 | ) | (.69 | ) | (.93 | ) | ||||||||||||
|
| |||||||||||||||||||||||
Net asset value, end of period | $ 8.92 | $ 9.92 | $ 10.90 | $ 10.38 | $ 10.31 | $ 9.71 | ||||||||||||||||||
|
| |||||||||||||||||||||||
Total Return | ||||||||||||||||||||||||
Total investment return based on net asset value(b) | (6.61 | )% | (2.27 | )%* | 12.44 | % | 9.24 | % | 13.95 | % | 8.07 | % | ||||||||||||
Ratios/Supplemental Data | ||||||||||||||||||||||||
Net assets, end of period | $252,235 | $322,839 | $364,934 | $366,553 | $397,208 | $482,423 | ||||||||||||||||||
Ratio to average net assets of: | ||||||||||||||||||||||||
Expenses(c) | .17 | %^ | .13 | % | .11 | % | .09 | % | .07 | % | .07 | %+ | ||||||||||||
Net investment income. | 6.88 | %^ | 6.45 | % | 6.68 | % | 7.15 | % | 7.87 | % | 8.53 | %+ | ||||||||||||
Portfolio turnover rate | 19 | % | 51 | % | 54 | % | 63 | % | 57 | % | 55 | % |
See | footnote summary on page 355. |
350 | • AB POOLING PORTFOLIOS |
Financial Highlights
Selected Data For A Share Of Beneficial Interest Outstanding Throughout Each Period
AB Small-Mid Cap Value | ||||||||||||||||||||||||
Six Months (unaudited) | Year Ended August 31, | |||||||||||||||||||||||
2015 | 2014 | 2013 | 2012 | 2011 | ||||||||||||||||||||
|
| |||||||||||||||||||||||
Net asset value, beginning of | $ 11.27 | $ 14.28 | $ 13.09 | $ 11.72 | $ 10.38 | $ 9.08 | ||||||||||||||||||
|
| |||||||||||||||||||||||
Income From Investment Operations | ||||||||||||||||||||||||
Net investment income(a) | .08 | .15 | .22 | .18 | .16 | .15 | ||||||||||||||||||
Net realized and unrealized gain (loss) on investment transactions | (.74 | ) | (.35 | ) | 2.89 | 2.94 | 1.30 | 1.30 | ||||||||||||||||
|
| |||||||||||||||||||||||
Net increase (decrease) in net asset value from operations | (.66 | ) | (.20 | ) | 3.11 | 3.12 | 1.46 | 1.45 | ||||||||||||||||
|
| |||||||||||||||||||||||
Less: Dividends and Distributions | ||||||||||||||||||||||||
Dividends from net investment income | (.10 | ) | (.17 | ) | (.20 | ) | (.26 | ) | (.12 | ) | (.15 | ) | ||||||||||||
Distributions from net realized gain on investment transactions | (1.39 | ) | (2.64 | ) | (1.72 | ) | (1.49 | ) | – 0 | – | – 0 | – | ||||||||||||
|
| |||||||||||||||||||||||
Total dividends and distributions | (1.49 | ) | (2.81 | ) | (1.92 | ) | (1.75 | ) | (.12 | ) | (.15 | ) | ||||||||||||
|
| |||||||||||||||||||||||
Net asset value, end of period | $ 9.12 | $ 11.27 | $ 14.28 | $ 13.09 | $ 11.72 | $ 10.38 | ||||||||||||||||||
|
| |||||||||||||||||||||||
Total Return | ||||||||||||||||||||||||
Total investment return based on net asset | (6.73 | )%* | (1.38 | )% | 25.46 | %* | 29.94 | % | 14.21 | % | 15.84 | % | ||||||||||||
Ratios/Supplemental Data | ||||||||||||||||||||||||
Net assets, end of period | $226,265 | $281,724 | $323,134 | $311,954 | $328,749 | $497,049 | ||||||||||||||||||
Ratio to average net assets of: | ||||||||||||||||||||||||
Expenses | .10 | %^ | .08 | % | .06 | % | .06 | % | .05 | % | .04 | %+ | ||||||||||||
Net investment income | 1.52 | %^ | 1.23 | % | 1.62 | % | 1.48 | % | 1.47 | % | 1.36 | %+ | ||||||||||||
Portfolio turnover rate | 24 | % | 40 | % | 50 | % | 49 | % | 52 | % | 65 | % |
See footnote summary on page 355.
AB POOLING PORTFOLIOS • | 351 |
Financial Highlights
Selected Data For A Share Of Beneficial Interest Outstanding Throughout Each Period
AB Small-Mid Cap Growth | ||||||||||||||||||||||||
Six Months (unaudited) | Year Ended August 31, | |||||||||||||||||||||||
2015 | 2014 | 2013 | 2012 | 2011 | ||||||||||||||||||||
|
| |||||||||||||||||||||||
Net asset value, beginning of | $ 10.94 | $ 12.56 | $ 13.16 | $ 13.23 | $ 16.09 | $ 11.77 | ||||||||||||||||||
|
| |||||||||||||||||||||||
Income From Investment Operations | ||||||||||||||||||||||||
Net investment income(a) | .02 | .00 | (d) | .06 | .09 | .08 | .07 | |||||||||||||||||
Net realized and unrealized gain (loss) on investment transactions | (1.26 | ) | .42 | 2.03 | 2.62 | 2.15 | 4.32 | |||||||||||||||||
|
| |||||||||||||||||||||||
Net increase (decrease) in net asset value from operations | (1.24 | ) | .42 | 2.09 | 2.71 | 2.23 | 4.39 | |||||||||||||||||
|
| |||||||||||||||||||||||
Less: Dividends and Distributions | ||||||||||||||||||||||||
Dividends from net investment income | (.01 | ) | (.07 | ) | (.07 | ) | (.09 | ) | (.09 | ) | (.07 | ) | ||||||||||||
Distributions from net realized gain on investment transactions | (1.54 | ) | (1.97 | ) | (2.62 | ) | (2.69 | ) | (5.00 | ) | – 0 | – | ||||||||||||
|
| |||||||||||||||||||||||
Total dividends and distributions | (1.55 | ) | (2.04 | ) | (2.69 | ) | (2.78 | ) | (5.09 | ) | (.07 | ) | ||||||||||||
|
| |||||||||||||||||||||||
Net asset value, end of period | $ 8.15 | $ 10.94 | $ 12.56 | $ 13.16 | $ 13.23 | $ 16.09 | ||||||||||||||||||
|
| |||||||||||||||||||||||
Total Return | ||||||||||||||||||||||||
Total investment return based on net asset value(b) | (13.20 | )%* | 3.92 | % | 17.04 | %* | 25.85 | %* | 17.77 | %* | 37.31 | %* | ||||||||||||
Ratios/Supplemental Data | ||||||||||||||||||||||||
Net assets, end of period | $212,184 | $279,873 | $322,200 | $316,708 | $328,634 | $504,936 | ||||||||||||||||||
Ratio to average net assets of: | ||||||||||||||||||||||||
Expenses | .11 | %^ | .09 | % | .07 | % | .06 | % | .06 | % | .04 | %+ | ||||||||||||
Net investment income | .38 | %^ | .01 | % | .51 | % | .70 | % | .55 | % | .43 | %+ | ||||||||||||
Portfolio turnover rate | 31 | % | 55 | % | 65 | % | 72 | % | 68 | % | 75 | % |
See footnote summary on page 355.
352 | • AB POOLING PORTFOLIOS |
Financial Highlights
Selected Data For A Share Of Beneficial Interest Outstanding Throughout Each Period
AB Multi-Asset Real Return** | ||||||||||||||||||||||||
Six Months (unaudited) | Year Ended August 31, | |||||||||||||||||||||||
2015 | 2014 | 2013 | 2012 | 2011 | ||||||||||||||||||||
|
| |||||||||||||||||||||||
Net asset value, beginning of | $ 6.27 | $ 8.95 | $ 8.25 | $ 8.67 | $ 9.13 | $ 8.57 | ||||||||||||||||||
|
| |||||||||||||||||||||||
Income From Investment Operations | ||||||||||||||||||||||||
Net investment income(a) | .06 | .16 | .19 | .17 | .18 | .24 | ||||||||||||||||||
Net realized and unrealized gain (loss) on investment and foreign currency transactions | (.77 | ) | (2.58 | ) | .75 | (.31 | ) | (.25 | ) | 1.06 | ||||||||||||||
Contributions from Affiliates | .00 | (d) | .00 | (d) | .00 | (d) | .00 | (d) | – 0 | – | – 0 | – | ||||||||||||
|
| |||||||||||||||||||||||
Net increase (decrease) in net asset value from operations | (.71 | ) | (2.42 | ) | .94 | (.14 | ) | (.07 | ) | 1.30 | ||||||||||||||
|
| |||||||||||||||||||||||
Less: Dividends | ||||||||||||||||||||||||
Dividends from net investment income | (.19 | ) | (.26 | ) | (.24 | ) | (.28 | ) | (.39 | ) | (.74 | ) | ||||||||||||
|
| |||||||||||||||||||||||
Net asset value, end of period | $ 5.37 | $ 6.27 | $ 8.95 | $ 8.25 | $ 8.67 | $ 9.13 | ||||||||||||||||||
|
| |||||||||||||||||||||||
Total Return | ||||||||||||||||||||||||
Total investment return based on net asset value(b) | (11.47 | )% | (27.40 | )% | 11.48 | % | (1.69 | )% | (.45 | )%* | 15.42 | % | ||||||||||||
Ratios/Supplemental Data | ||||||||||||||||||||||||
Net assets, end of period | $443,347 | $832,851 | $800,178 | $724,226 | $547,929 | $937,281 | ||||||||||||||||||
Ratio to average net assets of: | ||||||||||||||||||||||||
Expenses | .09 | %^ | .07 | % | .07 | % | .06 | % | .06 | % | .05 | %+ | ||||||||||||
Net investment income | 1.91 | %^ | 2.13 | % | 2.17 | % | 1.89 | % | 2.11 | % | 2.52 | %+ | ||||||||||||
Portfolio turnover rate | 29 | % | 45 | % | 76 | % | 126 | % | 110 | % | 156 | % |
See footnote summary on page 355.
AB POOLING PORTFOLIOS • | 353 |
Financial Highlights
Selected Data For A Share Of Beneficial Interest Outstanding Throughout Each Period
AB Volatility Management | ||||||||||||||||||||||||
Six Months (unaudited) | Year Ended August 31, | |||||||||||||||||||||||
2015 | 2014 | 2013 | 2012 | 2011 | ||||||||||||||||||||
|
| |||||||||||||||||||||||
Net asset value, beginning of period | $ 11.22 | $ 12.53 | $ 11.38 | $ 10.24 | $ 10.27 | $ 9.31 | ||||||||||||||||||
|
| |||||||||||||||||||||||
Income From Investment Operations | ||||||||||||||||||||||||
Net investment income(a) | .08 | .24 | .24 | .15 | .07 | .09 | (e) | |||||||||||||||||
Net realized and unrealized gain (loss) on investment and foreign currency transactions | (.72 | ) | (.63 | ) | 2.10 | 1.11 | .24 | 1.36 | ||||||||||||||||
|
| |||||||||||||||||||||||
Net increase (decrease) in net asset value from operations | (.64 | ) | (.39 | ) | 2.34 | 1.26 | .31 | 1.45 | ||||||||||||||||
|
| |||||||||||||||||||||||
Less: Dividends and Distributions | ||||||||||||||||||||||||
Dividends from net investment income | (.28 | ) | (.37 | ) | (.37 | ) | (.12 | ) | (.06 | ) | (.08 | ) | ||||||||||||
Distributions from net realized gain on investment transactions | (.34 | ) | (.55 | ) | (.82 | ) | – 0 | – | (.28 | ) | (.41 | ) | ||||||||||||
|
| |||||||||||||||||||||||
Total dividends and distributions | (.62 | ) | (.92 | ) | (1.19 | ) | (.12 | ) | (.34 | ) | (.49 | ) | ||||||||||||
|
| |||||||||||||||||||||||
Net asset value, end of period | $ 9.96 | $ 11.22 | $ 12.53 | $ 11.38 | $ 10.24 | $ 10.27 | ||||||||||||||||||
|
| |||||||||||||||||||||||
Total Return | ||||||||||||||||||||||||
Total investment return based on net asset value(b) | (6.22 | )% | (3.35 | )% | 21.69 | % | 12.40 | % | 3.10 | % | 15.61 | % | ||||||||||||
Ratios/Supplemental Data | ||||||||||||||||||||||||
Net assets, end of period | $1,059 | $1,278 | $1,494 | $1,590 | $1,688 | $284 | ||||||||||||||||||
Ratio to average net assets of: | ||||||||||||||||||||||||
Expenses, net of waivers/reimbursements | .06 | %^ | .05 | % | .05 | % | .05 | % | .04 | % | .15 | %+ | ||||||||||||
Expenses, before waivers/reimbursements | .06 | %^ | .05 | % | .05 | % | .05 | % | .04 | % | .16 | %+ | ||||||||||||
Net investment income | 1.53 | %^ | 2.01 | % | 2.04 | % | 1.40 | % | .68 | % | .88 | %+(b) | ||||||||||||
Portfolio turnover rate | 8 | % | 13 | % | 41 | % | 80 | % | 130 | % | 81 | % |
See footnote summary on page 355.
354 | • AB POOLING PORTFOLIOS |
Financial Highlights
(a) | Based on average shares outstanding. |
(b) | Total investment return is calculated assuming an initial investment made at the net asset value at the beginning of the period, reinvestment of all dividends and distributions at net asset value during the period, and redemption on the last day of the period. Total return does not reflect the deduction of taxes that a shareholder would pay on fund distributions or the redemption of fund shares. Total investment return calculated for a period of less than one year is not annualized. |
(c) | The expense ratios presented below exclude interest expense where applicable: |
Six Months Ended February 29, 2016 (unaudited) | Year Ended August 31, | |||||||||||||||||||||||
2015 | 2014 | 2013 | 2012 | 2011 | ||||||||||||||||||||
AB International Value Portfolio | ||||||||||||||||||||||||
Expenses | N/A | N/A | .05 | % | N/A | N/A | N/A | |||||||||||||||||
AB Short Duration Bond Portfolio | ||||||||||||||||||||||||
Expenses | N/A | N/A | .03 | % | N/A | N/A | N/A | |||||||||||||||||
AB Global Core Bond Portfolio | ||||||||||||||||||||||||
Expenses | N/A | N/A | .03 | % | N/A | N/A | N/A | |||||||||||||||||
AB Bond Inflation Protection Portfolio | ||||||||||||||||||||||||
Expenses | .06 | %^ | .05 | % | .04 | % | .04 | % | .04 | % | .04 | %+ | ||||||||||||
AB High-Yield Portfolio | ||||||||||||||||||||||||
Expenses | .17 | %^ | N/A | N/A | .09 | % | N/A | N/A |
(d) | Amount is less than $0.005. |
(e) | 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 AB U.S. Value Portfolio for the six months ended February 29, 2016 and for the years ended August 31, 2015, August 31, 2014, August 31, 2013 and August 31, 2012 by 0.03%, 0.34%, 0.04%, 0.08% and 0.01%, respectively, AB U.S. Large Cap Growth Portfolio for the six months ended February 29, 2016 and for the years ended August 31, 2015, August 31, 2012 and August 31, 2011 by 0.17%, 0.01%, 0.02%, and 0.01%, respectively, AB Short Duration Bond Portfolio for the six months ended February 29, 2016 and for the year ended August 31, 2013 by 0.01% and 0.02%, respectively, AB Global Core Bond for the year ended August 31, 2013 by 0.01%, AB Small-Mid Cap Value Portfolio for the six months ended February 29, 2016 and for the year ended August 31, 2014 by 0.01% and 0.04%%, respectively, AB Small-Mid Cap Growth Portfolio for the six months ended February 29, 2016 and for the years ended August 31, 2014, August 31, 2013, August 31, 2012 and August 31, 2011 by 0.02%, 0.08%, 0.14%, 0.01% and 0.01%, respectively, AB High Yield Portfolio for the year ended August 31, 2015 by 0.09% and AB Multi-Asset Real Return Portfolio for the year ended August 31, 2012 by 0.01%. |
** | Consolidated (see Note A). |
† | Due to timing of sales and repurchase of capital shares, the net realized and unrealized gain (loss) per share is not in accord with the Portfolio change in net realized and unrealized gain (loss) on investment transactions for the period. |
†† | Includes the Adviser’s reimbursement in respect of the Lehman Bankruptcy Claim which contributed to the Portfolio’s performance by 0.09% for the year-ended August 31, 2012. |
^ | Annualized. |
+ | The ratio includes expenses attributable to costs of proxy solicitation. |
See notes to financial statements.
AB POOLING PORTFOLIOS • | 355 |
Financial Highlights
TRUSTEES
Marshall C. Turner, Jr.(1) , Chairman John H. Dobkin(1) Michael J. Downey(1) William H. Foulk, Jr.(1) D. James Guzy(1) | Nancy P. Jacklin(1) Robert M. Keith, President and Chief Executive Officer Garry L. Moody(1) Earl D. Weiner(1) | |
OFFICERS(2) | ||
Philip L. Kirstein, Senior Vice President and Independent Compliance Officer Tawhid Ali, Vice President Bruce K. Aronow, Vice President Takeo Aso, Vice President Michael S. Canter, Vice President Frank V. Caruso, Vice President Vinod Chathlani, Vice President Sergey Davalchenko, Vice President Paul J. DeNoon, Vice President Scott A. DiMaggio, Vice President Gershon M. Distenfeld, Vice President Vincent C. DuPont, Vice President John H. Fogarty, Vice President Cem Inal, 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 Joseph G. Paul, Vice President Douglas J. Peebles, Vice President Laurent Saltiel, Vice President Ashish C. Shah, Vice President Matthew S. Sheridan, Vice President Kevin F. Simms, Vice President Shri Singhvi, Vice President Wen-Tse Tseng, Vice President Greg J. Wilensky, Vice President Vadim Zlotnikov, Vice President Emilie D. Wrapp, Secretary Joseph J. Mantineo, Treasurer and Chief Financial Officer Phyllis J. Clarke, Controller Vincent S. Noto, Chief Compliance Officer | |
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 |
356 | • AB POOLING PORTFOLIOS |
Trustees
(1) | Member of the Audit Committee, the Governance and Nominating Committee and the Independent Directors Committee. |
(2) | The management of, and investment decisions for, the AB Multi-Asset Real Return Portfolio are made by the Real Asset Strategy Team. Mr. Vinod Chatlani, Mr. Daniel Loewy and Mr. Vadim Zlotnikov are the senior most members of the Investment Management Team. |
The management of, and investment decisions for, the AB U.S. Value Portfolio are made by the U.S. Value Senior Investment Management Team. Mr. Joseph G. Paul and Mr. Cem Inal are the senior most members of the Investment Management Team. |
The management of, and investment decisions for, the AB 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. Shri Singhvi are the senior most members of the Investment Management Team. |
The management of, and investment decisions for, the AB International Value Portfolio are made by the International Value Senior Investment Management Team. Mr. Kevin Simms, Mr. Takeo Aso and Mr. Avi Lavi are the senior most members of the Investment Management Team. Effective June 30, 2016, Mr. Tawhid Ali will replace Mr. Simms. |
The management of, and investment decisions for, the AB 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 AB 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 AB International Growth Portfolio are made by the International Growth Team. Mr. Sergey Davalchenko and Mr. Laurent Saltiel are the senior most members of the team. |
The management of, and investment decisions for, the AB Short Duration Bond Portfolio are made by the U.S. Multi Sector Fixed Income Team. Mr. Michael S. Canter, Mr. Paul J. DeNoon, Mr. Shawn E. Keegan, 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 AB Global Core Bond Portfolio are made by the U.S. Global Fixed Income Investment Team. Mr. Paul J. DeNoon, Mr. Scott A. DiMaggio, 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 AB 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. Shawn E. Keegan and Mr. Greg J. Wilensky are primarily responsible for the day-to-day management of the AB Bond Inflation Protection Portfolio. |
The day-to-day management of, and investment decisions for, the AB Volatility Management Portfolio are made by the Adviser’s Dynamic Asset Allocation Team. Mr. Daniel J. Loewy and Mr. Vadim Zlotnikov are primarily responsible for the day-to-day management of the Portfolio. |
AB POOLING PORTFOLIOS • | 357 |
Trustees
Information Regarding the Review and Approval of the Advisory Agreement in Respect of Each Portfolio
The disinterested trustees (the “trustees”) of The AB 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 3-5, 2015:
• | AB Short Duration Bond Portfolio |
• | AB Global Core Bond Portfolio |
• | AB Bond Inflation Protection Portfolio |
• | AB 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 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 registered investment companies sponsored by, and certain other institutional clients of, the Adviser that seek a blend of asset classes (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 AB 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 are certain registered investment companies sponsored by the Adviser and an unaffiliated institutional investor. On November 17, 2015, the Adviser announced that such unaffiliated institutional investor would transition to another manager on July 1, 2016.
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
358 | • AB 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 AB 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 each Portfolio will reimburse the Adviser for the cost to it of providing certain clerical, accounting, administrative and other services to such Portfolio by employees of the Adviser or its affiliates. Requests for these reimbursements are made on a quarterly basis and subject to approval by the trustees. Reimbursements, to the extent requested and paid in respect of a Portfolio, result in some compensation from such Portfolio to the Adviser. The trustees noted that the methodology used to determine the reimbursement amounts had been reviewed by an independent consultant retained by the Trust’s Senior Officer. The quality of administrative and other services, including the Adviser’s role in coordinating the activities of each Portfolio’s other service providers, also was 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.
AB POOLING PORTFOLIOS • | 359 |
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 2013 and 2014 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 noted the assumptions and methods of allocation used by the Adviser in preparing fund-specific profitability data and understood 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. They also noted that the Adviser bears certain costs in providing services to the Portfolios. 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 that provide transfer agency, distribution and brokerage services to the Portfolios, and that the profitability methodology attributed to the Portfolios revenues and expenses relating to the Pooling Investors. The trustees recognized that it is difficult to make comparisons of the profitability of the Advisory Agreement with the profitability of advisory contracts for unaffiliated funds 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 noted that the Adviser’s relationship with AB High-Yield Portfolio was not profitable to it in 2013. The trustees concluded that they were satisfied that the Adviser’s level of profitability from its relationship with AB High-Yield Portfolio in 2014 and the other Portfolios in 2013 and 2014 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 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. 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.
360 | • AB 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 2015 meeting, the trustees reviewed information prepared by Broadridge showing the performance of each Portfolio as compared with that of a group of similar funds selected by Broadridge (the “Performance Group”) and as compared with that of a broader array of funds selected by Broadridge (the “Performance Universe”), and information prepared by the Adviser showing performance of each Portfolio as compared with one or more indices, in each case for the 1-, 3-, 5- and 10-year periods ended July 31, 2015 and (in the case of comparisons with the indices) the period since inception (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.
AB Short 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, and in the 5th quintile of the Performance Group and the Performance Universe for the 3-, 5- and 10-year periods. The Portfolio outperformed the Bank of America Merrill Lynch 1-3 Year U.S. Treasury Index in the 1-, 3- and 5-year periods but lagged it in the 10-year period and the period since inception. Based on their review and their discussion with the Adviser of the reasons for the Portfolio’s performance, the trustees retained confidence in the Adviser’s ability to manage the Portfolio’s assets.
AB Global Core Bond Portfolio
The trustees noted that the Portfolio was in the 1st quintile of the Performance Group and the Performance Universe for the 1-year period, in the 3rd quintile of the Performance Group and 2nd quintile of the Performance Universe for the 3-year period, in the 3rd quintile of the Performance Group and the Performance Universe for the 5-year period, and in the 2nd quintile of the Performance Group and 3rd quintile of the Performance Universe for the 10-year period. The Portfolio outperformed the Barclays Global Aggregate Bond Index (USD hedged) in all periods except the 1- and 3-year periods and the Barclays U.S. Aggregate Bond Index in all periods. The trustees noted the Adviser’s changes to the investment policies and restrictions of the Portfolio, and the related changes to the Portfolio’s name (from AllianceBernstein Intermediate Duration Bond Portfolio) and its benchmark (to the Barclays Global Aggregate Bond Index, hedged to U.S. dollars), effective December 2011. Based on their review, the trustees concluded that the Portfolio’s performance was satisfactory.
AB POOLING PORTFOLIOS • | 361 |
AB Bond Inflation Protection 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, in the 1st quintile of the Performance Group and the Performance Universe for the 3-year period, and in the 2nd quintile of the Performance Group and the Performance Universe for the 5- and 10-year periods. It outperformed the Barclays 1-10 Year Treasury Inflation Protected Securities (TIPS) Index in all periods except the 1-year period. The trustees noted that in 2010 they had approved modifications to the Portfolio’s investment guidelines and a name change (from AllianceBernstein Inflation Protected Securities Portfolio). Based on their review, the trustees concluded that the Portfolio’s performance was satisfactory.
AB High-Yield 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-year period, in the 2nd quintile of the Performance Group and the Performance Universe for the 3-year period, in the 2nd quintile of the Performance Group and 3rd quintile of the Performance Universe for the 5-year period, and in the 1st quintile of the Performance Group and 2nd quintile of the Performance Universe for the 10-year period. The Portfolio outperformed the Barclays U.S. High Yield 2% Issuer Capped 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 performance was acceptable.
Advisory Fees and Other Expenses
The trustees considered the advisory fee rate paid by each Portfolio to the Adviser (zero) and information prepared by Broadridge concerning advisory fee rates paid by other funds in the same Broadridge 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.
362 | • AB POOLING PORTFOLIOS |
The trustees also considered the Adviser’s fee schedule for non-fund clients pursuing a similar investment style. For this purpose, the trustees reviewed the relevant advisory 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 arrangements. 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 to the Portfolios relative to institutional clients. 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 Broadridge: an Expense Group and an Expense Universe. Broadridge described an Expense Group as a representative sample of funds similar to a Portfolio and an Expense Universe as a broader group than the Expense 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 each Portfolio’s Broadridge 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, except for AB High Yield Portfolio, each Portfolio’s total non-advisory expense ratio was lower than the Expense Group and the Expense Universe medians. AB High Yield Portfolio’s total non-advisory expense ratio was higher than the Expense Group and Expense Universe medians. After discussing with the Adviser the reasons for AB High Yield Portfolio’s non-advisory expense ratio, the trustees concluded that such Portfolio’s non-advisory expense ratio was acceptable and the non-advisory expense ratios for the other Portfolios were satisfactory.
AB POOLING PORTFOLIOS • | 363 |
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.
364 | • AB 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 AB Pooling Portfolios (the “Trust” or the “Pooling Portfolios”) with respect to the following Portfolios:2
Short Duration Bond Portfolio
Global Core Bond Portfolio3
Bond Inflation Protected Securities Portfolio
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 this 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 22, 2015 and discussed with the Board of Trustees on November 3-5, 2015. |
2 | Future references to the Portfolios do not include “AB.” |
3 | Effective December 31, 2011, Intermediate Duration Bond Portfolio changed its name to Global Core Bond Portfolio, eliminated its policy of limiting its investments in debt securities denominated in currencies other than the U.S. dollars 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. |
AB POOLING PORTFOLIOS • | 365 |
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 Section 36(b) requires: to face liability under Section 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. The Portfolios’ Investment Advisory Agreement was amended to provide for reimbursements to the Adviser; to date, other than Volatility Management Portfolio, the Trustees have not authorized reimbursements under these provisions.
The Adviser is compensated by institutional clients of the Adviser (the “Institutional Clients”) that invest in the Pooling Portfolios. These clients include the AB Blended Style Series, Inc.—AB Retirement Strategies (“Retirement Strategies”),5,6 certain series of The AB Portfolios—AB Wealth Strategies (“Wealth Strategies”),7 and the
4 | Jones v. Harris at 1427. |
5 | Includes AB 2000 Retirement Strategy, AB 2005 Retirement Strategy, AB 2010 Retirement Strategy, AB 2015 Retirement Strategy, AB 2020 Retirement Strategy, AB 2025 Retirement Strategy, AB 2030 Retirement Strategy, AB 2035 Retirement Strategy, AB 2040 Retirement Strategy, AB 2045 Retirement Strategy, AB 2050 Retirement Strategy and AB 2055 Retirement Strategy . Future references to the Retirement Strategies do not include “AB.” |
6 | At the July 24, 2015 meeting, the Board approved the liquidation of the Retirement Strategies. The Retirement Strategies expect to make their liquidating distributions on or about November 20, 2015. |
7 | Includes AB Balanced Wealth Strategy and AB Wealth Preservation Strategy. AB 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 “AB.” |
366 | • AB POOLING PORTFOLIOS |
Rhode Island Higher Education Savings Trust (referred to herein as “CollegeBoundfund”).8 Collectively, these shareholders 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.
AB Blended Style Series, Inc.—AB Retirement Strategies6
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 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 | % |
The AB Portfolios—Balanced Wealth Strategy, Conservative Wealth Strategy, and Wealth Appreciation Strategy
The Adviser charges Balanced Wealth Strategy, Conservative Wealth Strategy, and Wealth Appreciation 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 | |||||
Wealth Appreciation Strategy | First $2.5 billion Next $2.5 billion Excess of $5 billion |
| 0.65 0.55 0.50 | % % % | ||
8 | The Overlay Portfolios of the Sanford C. Bernstein Fund, Inc. are only invested in the Multi-Asset Real Return Portfolio, and not in any of the fixed income Pooling Portfolios. |
AB POOLING PORTFOLIOS • | 367 |
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.9 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 June 30, 2015:
Portfolios | Total Expense Ratio10 | |||
Age-Based Education Strategies11 | ||||
Age-Based Aggressive Growth 2014-2016 | 0.94 | % | ||
Age-Based Aggressive Growth 2011-2013 | 0.94 | % | ||
Age-Based Aggressive Growth 2008-2010 | 0.90 | % | ||
Age-Based Aggressive Growth 2005-2007 | 0.86 | % | ||
Age-Based Aggressive Growth 2002-2004 | 0.82 | % |
9 | On November 17, 2015, the Adviser announced that management of the CollegeBoundfund would transition to another manager on July 1, 2016. |
10 | 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. |
11 | For all Education Strategies held by Rhode Island resident accounts, which account for 6.58% of all accounts and 4.90% in terms of net assets as of September 30, 2015, the total expense ratio, which includes the blended underlying expense ratio related to the Pooling Portfolios, is capped at 0.20%. |
368 | • AB POOLING PORTFOLIOS |
Portfolios | Total Expense Ratio10 | |||
Growth 2002-2004 | 0.82 | % | ||
Age-Based Aggressive Growth 1999-2001 | 0.78 | % | ||
Age-Based Aggressive Growth 1996-1998 | 0.74 | % | ||
Age-Based Aggressive Growth 1993-1995 | 0.74 | % | ||
Age-Based Aggressive Growth 1990-1992 | 0.74 | % | ||
Age-Based Aggressive Growth 1987-1989 | 0.74 | % | ||
Age-Based Aggressive Growth 1984-1986 | 0.74 | % | ||
Age-Based Aggressive Growth Pre-1984 | 0.74 | % | ||
Age-Based Moderate Growth 2014-2016 | 0.92 | % | ||
Age-Based Moderate Growth 2011-2013 | 0.88 | % | ||
Age-Based Moderate Growth 2008-2010 | 0.84 | % | ||
Age-Based Moderate Growth 2005-2007 | 0.80 | % | ||
Age-Based Moderate Growth 2002-2004 | 0.78 | % | ||
Age-Based Moderate Growth 1999-2001 | 0.76 | % | ||
Age-Based Moderate Growth 1996-1998 | 0.72 | % | ||
Age-Based Moderate Growth 1993-1995 | 0.72 | % | ||
Age-Based Moderate Growth 1990-1992 | 0.72 | % | ||
Age-Based Moderate Growth 1987-1989 | 0.72 | % | ||
Age-Based Moderate Growth 1984-1986 | 0.72 | % | ||
Age-Based Moderate Growth Pre-1984 | 0.72 | % | ||
Age-Based Conservative Growth 2014-2016 | 0.82 | % | ||
Age-Based Conservative Growth 2011-2013 | 0.82 | % | ||
Age-Based Conservative Growth 2008-2010 | 0.79 | % | ||
Age-Based Conservative Growth 2005-2007 | 0.78 | % | ||
Age-Based Conservative Growth 2002-2004 | 0.76 | % | ||
Age-Based Conservative Growth 1999-2001 | 0.72 | % | ||
Age-Based Conservative Growth 1996-1998 | 0.72 | % | ||
Age-Based Conservative Growth Pre-1996 | 0.72 | % | ||
Fixed Based Education Strategies | ||||
Appreciation | 0.94 | % | ||
Balanced | 0.80 | % | ||
Conservative | 0.72 | % |
The Portfolios’ net assets as of September 30, 2015 are set forth below:
Portfolio | 9/30/2015 Net Assets ($MM) | |||
Short Duration Bond Portfolio | $ | 891.4 | ||
Global Core Bond Portfolio | $ | 914.6 | ||
Bond Inflation Protected Securities Portfolio | $ | 706.0 | ||
High-Yield Portfolio | $ | 306.3 |
AB POOLING PORTFOLIOS • | 369 |
Set forth below are the most recent semi-annual total expense ratios of the Portfolios.12 The Portfolios’ fiscal year end is August 31.
Portfolio | 02/28/15 Total Expense Ratio (%)13 | |||
Short Duration Bond Portfolio | 0.03 | % | ||
Global Core Bond Portfolio | 0.04 | % | ||
Bond Inflation Protected Securities Portfolio | 0.07 | % | ||
High-Yield Portfolio | 0.12 | % |
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 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.
12 | Semi-annual total expense ratios are unaudited. |
13 | Annualized. |
370 | • AB POOLING PORTFOLIOS |
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.14 In addition to the AB Institutional fee schedule, set forth below are what would have been the effective advisory fees of the Portfolios had the AB Institutional fee schedule been applicable to the Portfolios based on September 30, 2015 net assets, although it should be noted that the Portfolios are not charged an advisory fee by the Adviser.15
Portfolio | Portfolio Net Assets ($MIL) | AB Institutional Fee Schedule | Effective AB Inst. Advisory | |||||
Short Duration Bond Portfolio16 | $891.4 | 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 | 0.129% | |||||
Global Core Bond Portfolio | $914.6 | Global Fixed Income/Global Long Duration 45 bp on the first $30 million 23 bp on the balance Minimum Account Size: $25m | 0.237% | |||||
Bond Inflation Protection Portfolio | $706.0 | TIPS Plus 50 bp on the first $30 million 20 bp on the balance Minimum Account Size: $25m | 0.213% | |||||
High-Yield Portfolio | $306.3 | U.S. High Yield 55 bp on the first $50 million 35 bp on the balance Minimum Account Size: $50m | 0.381% |
The Adviser manages the AB Mutual Funds (“ABMF”), which are open-end investment companies, and AB 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
14 | 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. |
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. |
16 | Compared to the low duration institutional mandates, the Portfolio has a wider opportunity set and risk budget compared to that of the institutional mandates. |
AB POOLING PORTFOLIOS • | 371 |
January 2004 as a result of the AoD between the NYAG and the Adviser, contemplates eight categories with almost all of the AB 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’ September 30, 2015 net assets:
Portfolio | ABMF/AVPS Category | Fee Schedule | Effective ABMF/AVPS 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% | |||
Global Core 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% | |||
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 | 0.450% | |||
High-Yield Portfolio17 | 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 the Short Duration Plus Portfolio of the Sanford C. Bernstein Fund, Inc. (“SCB Fund”), which has a somewhat similar investment style as Short Duration Bond Portfolio. The advisory fee schedule of SCB Fund—Short Duration Bond Portfolio and what would have been the effective advisory fee of the Portfolio had the SCB Fund fee schedule been applicable to the Portfolio based on September 30, 2015 net assets are set forth below:
Portfolio | SCB Fund Portfolio | Fee Schedule | SCB Fund Effective Fee | |||||
Short Duration Bond Portfolio | Short Duration Plus Portfolio | 0.45% on 1st $750 million 0.40% thereafter | 0.442% |
The Adviser also manages and sponsors retail mutual funds, which are organized in jurisdictions outside the United States, generally Luxembourg, Japan, Taiwan, and South Korea, and sold to non-United States resident investors. The Adviser
17 | The Adviser also manages AB Limited Duration High Income Portfolio, an open end mutual fund, whose advisory fee schedule does not follow the NYAG related category advisory fee schedule. AB Limited Duration High Income Portfolio’s advisory fee schedule is as follows: 0.60% on the first $2.5 billion, 0.55% on the next $2.5 billion and 0.50% on the balance. |
372 | • AB POOLING PORTFOLIOS |
charges the following fees for the Luxembourg funds that have a somewhat similar investment style as Global Core Bond Portfolio and High Yield Portfolio:
Portfolio | Luxembourg Fund | Fee18 | ||
Global Core Bond Portfolio | Global Bond Class A Class I (Institutional) | 1.10% 0.55% | ||
High-Yield Portfolio | High Yield Open Fund Class A2 Class I2 (Institutional) | 1.20% 0.65% |
The AB 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 schedules of the ITM mutual funds that have a somewhat similar investment style as Global Core Bond Portfolio and High Yield Portfolio are set forth below:
Portfolio | ITM Mutual Fund | Fee | ||
Global Core Bond Portfolio | Global Bond Fund | 0.54% | ||
Global Bond Fund 1 | ||||
Global Bond Fund 3 | 0.45% | |||
High-Yield Portfolio | High Yield Portfolio Open Fund | 1.00% |
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’ September 30, 2015 net assets.19
Portfolio | Sub-advised Fund | Sub-advised Fund Fee Schedule | Sub-Advised Management | |||||
Global Core Bond Portfolio | Client #1 | AB Sub-Advisory Fee Schedule: 0.12% of average daily net assets | 0.120% |
18 | Class A/A2 shares of the Luxembourg funds are charged an “all-in” fee, which covers investment advisory and distribution-related services, unlike Class I/I2 shares, whose fee is only for investment advisory services. |
19 | 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. |
AB POOLING PORTFOLIOS • | 373 |
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.
While it appears that the sub-advisory relationship is paying a lower fee than the Global Core Bond Portfolio, 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 Portfolio and the sub-advisory relationship. There could also be various business reasons why an investment adviser would be willing to provide a sub-advised relationship investment related service at 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 23, 2015. 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. (UBS), was the only other fund family that was determined by the Adviser, the Senior Officer and Broadridge Financial Solutions, Inc. (“Broadridge”) to have an expense structure comparable to the Pooling Portfolios.20
20 | On June 5, 2015, Broadridge acquired the Fiduciary Services and Competitive Intelligence unit, i.e., the group responsible for providing the Portfolios’ 15(c) reports, from Thomson Reuters’ Lipper division. The group that maintains Lipper’s expense and performance databases and investment classifications/objectives remains a part of Thomson Reuters’ Lipper division. Accordingly, the Portfolios’ investment classifications/objectives continue to be determined by Lipper. |
374 | • AB POOLING PORTFOLIOS |
Since there are not many funds of other fund families that have an expense structure similar to that of the Portfolios, Broadridge provided additional information for expense and performance comparison. Broadridge compared the total expense ratios of the Portfolios to that of funds of a similar investment classification/objective with institutional class shares; however, Broadridge excluded management, transfer agent and distribution fees from the total expense ratios of the Portfolios’ peers.21 Broadridge’s analysis included the Portfolios’ rankings relative to their respective EG and Broadridge Expense Universe (“EU”). It should be noted that there are limitations on expense category data because different funds categorize expenses differently.
Broadridge describes an EG as a representative sample of comparable funds. Broadridge’s standard methodology for screening funds to be included in an EG entails the consideration of several fund criteria, including fund type, Lipper 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.22 An EU is a much broader group, consisting of all institutional classes of funds of the same classification/objective as the subject Portfolio. The result of Broadridge’s analysis is set forth below:
Portfolio | Total Expense Ratio (%) | Broadridge EG Median (%)23 | Broadridge EG Rank | Broadridge EU Median (%) | Broadridge EU Rank | |||||||||||
Short Duration Bond Portfolio | 0.031 | 0.058 | 3/15 | 0.050 | 13/48 | |||||||||||
Global Core Bond Portfolio | 0.034 | 0.067 | 1/12 | 0.099 | 1/26 | |||||||||||
Bond Inflation Protection Portfolio | 0.041 | 0.053 | 6/17 | 0.055 | 9/30 | |||||||||||
High-Yield Portfolio | 0.111 | 0.104 | 8/13 | 0.096 | 23/38 |
Based on this analysis, except for High-Yield Portfolio, which has a total expense ratio that is higher than both the EG and EU medians, the Portfolios’ total expense ratio is lower than their Portfolios’ respective EG and EU medians.
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 | Except for asset (size) comparability, Broadridge 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. |
23 | With respect to the Portfolios’ peers, their total expense ratios are net of management, transfer agent and distribution fees. |
AB POOLING PORTFOLIOS • | 375 |
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’s profitability from providing investment advisory services to the Pooling Portfolios increased, during the calendar year 2014, relative to 2013.
V. | POSSIBLE ECONOMIES OF SCALE |
The Adviser has indicated that economies of scale are being shared with shareholders through pricing to scale, breakpoints, fee reductions/waivers and enhancement to services.
In May 2012, an independent consultant, retained by the Senior Officer, provided the Board of Trustees information on the Adviser’s firm-wide average costs from 2005 through 2011 and the potential economies of scale. The independent consultant noted that from 2005 through 2007 the Adviser experienced significant growth in assets under management (“AUM”). During this period, operating expenses increased, in part to keep up with growth, and in part reflecting market returns. However, from 2008 through the first quarter of 2009, AUM rapidly and significantly decreased due to declines in market value and client withdrawals. When AUM rapidly decreased, some operating expenses categories, including base compensation and office space, adjusted more slowly during this period, resulting in an increase in average costs. Since 2009, AUM has experienced less significant changes. The independent consultant noted that changes in operating expenses reflect changes in business composition and business practices in response to changes in financial markets. Finally, the independent consultant concluded that the increase in average cost and the decline in net operating margin across the Adviser since late 2008 are inconsistent with the view that there are currently reductions in average costs due to economies of scale that can be shared with the AllianceBernstein Mutual Funds managed by the Adviser through lower fees.
376 | • AB POOLING PORTFOLIOS |
Previously, in February 2008, the independent consultant 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 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 $463 billion as of September 30, 2015, 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, 5 and 10 year gross performance returns and rankings of the Portfolios relative to their Broadridge Performance Group (“PG”) and Broadridge Performance Universe (“PU”)27 for the period ended July 31, 2015.28
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 since 2008. |
25 | 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 1429. |
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. |
27 | A Portfolio’s PG/PU may not necessarily be identical to a Portfolio’s EG/EU as the criteria for including or excluding a fund in a PG/PU is somewhat different from that of an EG/EU. |
28 | The gross performance returns of the Portfolios were provided by Broadridge. The performance returns of the Portfolios’ peers are also adjusted for expenses (gross up). |
AB POOLING PORTFOLIOS • | 377 |
Portfolio Return (%) | PG Median (%) | PU Median (%) | PG Rank | PU Rank | ||||||||||||
Short Duration Bond Portfolio | ||||||||||||||||
1 year | 1.14 | 1.38 | 1.34 | 12/15 | 34/47 | |||||||||||
3 year | 0.94 | 1.70 | 1.90 | 11/11 | 34/35 | |||||||||||
5 year | 1.35 | 2.24 | 2.42 | 11/11 | 29/30 | |||||||||||
10 year | 2.40 | 3.47 | 3.52 | 6/6 | 17/19 | |||||||||||
Global Core Bond Portfolio29 | ||||||||||||||||
1 year | 3.69 | -2.48 | -2.50 | 2/12 | 2/26 | |||||||||||
3 year | 2.95 | 1.95 | 2.35 | 5/12 | 8/22 | |||||||||||
5 year | 4.51 | 3.50 | 3.91 | 5/11 | 9/20 | |||||||||||
10 year | 5.49 | 5.33 | 5.45 | 2/6 | 5/11 | |||||||||||
Bond Inflation Protection Portfolio30 | ||||||||||||||||
1 year | -1.77 | -1.87 | -1.86 | 7/17 | 12/29 | |||||||||||
3 year | 0.14 | -1.02 | -1.02 | 2/14 | 4/24 | |||||||||||
5 year | 3.54 | 3.29 | 3.30 | 3/12 | 5/21 | |||||||||||
10 year | 4.56 | 4.29 | 4.36 | 2/7 | 3/11 | |||||||||||
High-Yield Portfolio | ||||||||||||||||
1 year | 0.77 | 2.26 | 1.76 | 11/13 | 25/38 | |||||||||||
3 year | 7.41 | 6.76 | 6.44 | 3/9 | 6/26 | |||||||||||
5 year | 8.54 | 8.19 | 8.46 | 3/8 | 8/19 | |||||||||||
10 year | 8.29 | 7.37 | 7.71 | 1/5 | 3/10 |
29 | The Portfolio’s investment strategy changed on or about December 31, 2011. The Portfolio eliminated its policy of limiting its investments in debt securities denominated in currencies other than the U.S. dollars 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. Also at this time, the Portfolio’s Lipper classification changed from Intermediate Investment Grade Debt Fund to Global Income Fund and the Portfolio’s benchmark changed from the Barclays U.S. Aggregate Bond Index to the Barclays Global Aggregate Bond Index (Hedged). |
30 | The Portfolio’s non-fundamental investment objective and investment policies changed on or about April 12, 2010. The Portfolio’s investment policy of investment 80% of its net assets in inflation-protected securities was changed to a policy of investment at least 80% of its net assets in fixed-income securities. After the change, the Portfolio was permitted to utilize reverse repurchase agreements for leverage, invest in derivatives, invest up to 15% of its total assets in below investment grade securities, and invest in any fixed-income securities of any maturity or duration. |
378 | • AB POOLING PORTFOLIOS |
Set forth below are the 1, 3, 5 and 10 year and since inception net performance returns of the Portfolios (in bold) versus their benchmarks.31 Portfolio and benchmark volatility and reward-to-variability ratio (“Sharpe Ratio”) information are also shown.32
Periods Ending July 31, 2015 Annualized Performance (%) | ||||||||||||||||||||||||||||||||
Since Inception (%) | Annualized | Risk Period (Year) | ||||||||||||||||||||||||||||||
1 Year (%) | 3 Year (%) | 5 Year (%) | 10 Year (%) | Volatility (%) | Sharpe Ratio (%) | |||||||||||||||||||||||||||
Short Duration Bond Portfolio | 1.11 | 0.91 | 1.31 | 2.34 | 2.33 | 1.49 | 0.66 | 10 | ||||||||||||||||||||||||
Bank of America/Merrill Lynch 1-3 Yr Treasury Index | 1.01 | 0.59 | 0.78 | 2.55 | 2.51 | 1.31 | 1.00 | 10 | ||||||||||||||||||||||||
Inception Date: May 20, 2005 | ||||||||||||||||||||||||||||||||
Global Core Bond Portfolio29 | 3.66 | 2.92 | 4.47 | 5.44 | 5.40 | 3.04 | 0.95 | 3 | ||||||||||||||||||||||||
Barclays Global Aggregate Bond Index (Hedged) | 3.75 | 3.14 | 3.74 | 4.44 | 4.43 | 2.62 | 1.16 | 3 | ||||||||||||||||||||||||
Barclays U.S. Aggregate Bond Index | 2.82 | 1.60 | 3.27 | 4.61 | 4.54 | N/A | N/A | N/A | ||||||||||||||||||||||||
Inception Date: May 20, 2005 | ||||||||||||||||||||||||||||||||
Bond Inflation Protection Portfolio30 | -1.83 | 0.04 | 3.43 | 4.48 | 4.31 | 5.20 | 0.62 | 10 | ||||||||||||||||||||||||
Barclays 1-10 Yr. TIPS Index | -1.80 | -0.92 | 2.25 | 3.85 | 3.69 | 5.04 | 0.50 | 10 | ||||||||||||||||||||||||
Inception Date: May 20, 2005 | ||||||||||||||||||||||||||||||||
High-Yield Portfolio | 0.67 | 7.32 | 8.46 | 8.21 | 8.48 | 10.41 | 0.68 | 10 | ||||||||||||||||||||||||
Barclays U.S. High Yield 2% Issuer Cap Index | 0.37 | 5.94 | 7.71 | 7.67 | 8.05 | 10.24 | 0.63 | 10 | ||||||||||||||||||||||||
Inception Date: May 20, 2005 |
31 | The Adviser provided Portfolio and benchmark performance return information for periods through July 31, 2015. |
32 | 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 viewed as better performing than a fund with a lower Sharpe Ratio. |
AB POOLING PORTFOLIOS • | 379 |
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 25, 2015
380 | • AB 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 AB 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 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, 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
1 | The information in the fee summary was completed on April 23, 2015 and discussed with the Board of Trustees on May 5-7, 2015. |
2 | Future references to the Portfolios do not include “AB.” The other Portfolios of the Trust that are not discussed in this evaluation are the fixed-income Pooling Portfolios: Short Duration Bond Portfolio, Global Core Bond (formerly Intermediate Duration Bond Portfolio), Bond Inflation Protected Securities Portfolio (formerly Inflation Protected Securities Portfolio) and High Yield Portfolio. |
3 | Effective December 31, 2010, the Portfolio changed its name from Global Real Estate Investment Portfolio and eliminated its policy of investing at least 80% of its net assets in real estate related investments. Also at this time, the Portfolio’s management team changed. |
AB POOLING PORTFOLIOS • | 381 |
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 Section 36(b) requires: to face liability under Section 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. The Portfolios’ Investment Advisory Agreement was amended to provide for reimbursements to the Adviser for providing certain clerical, legal, administrative, and other services; to date, other than Volatility Management Portfolio, the Trustees have not authorized reimbursements under these provisions, although the adviser proposed at the March 11, 2015 meeting that the trustees authorize such reimbursements going forward and presented information on the expense ratio impact of providing such authorization. During the most recently completed fiscal year, Volatility Management Portfolio reimbursed the Adviser in the amount of $47,037 (0.003% of the Portfolio average daily net assets) for providing such services.
4 | Jones v. Harris at 1427. |
382 | • AB POOLING PORTFOLIOS |
The Adviser is compensated by the institutional clients that invest in the Portfolios, which include AB Retirement Strategies (“Retirement Strategies”),5 AB Wealth Strategies (“Wealth Strategies”),6 Sanford C. Bernstein Fund, Inc.,—Overlay Portfolios (“SCB Overlay Portfolios”)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 Adviser’s Institutional Clients that invest in the Pooling Portfolios.
AB Blended Style Series, Inc.—AB 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% | 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 0.10% 0.15% |
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 | % |
5 | Includes AB 2000 Retirement Strategy, AB 2005 Retirement Strategy, AB 2010 Retirement Strategy, AB 2015 Retirement Strategy, AB 2020 Retirement Strategy, AB 2025 Retirement Strategy, AB 2030 Retirement Strategy, AB 2035 Retirement Strategy, AB 2040 Retirement Strategy, AB 2045 Retirement Strategy, AB 2050 Retirement Strategy and AB 2055 Retirement Strategy. Future references to the Retirement Strategies do not include “AB.” |
6 | Includes AB Balanced Wealth Strategy, AB Wealth Appreciation Strategy, AB Conservative Wealth Strategy. Future references to the Wealth Strategies do not include “AB.” |
7 | Includes SCB Overlay A Portfolio, SCB Tax-Aware Overlay A Portfolio, SCB Overlay B Portfolio, SCB Tax-Aware Overlay B Portfolio, SCB Tax-Aware Overlay C Portfolio and SCB Tax-Aware Overlay N Portfolio. |
AB POOLING PORTFOLIOS • | 383 |
AB Portfolios—AB Wealth Strategies
The Adviser charges the Wealth Strategies an advisory fee based on a percentage of each fund’s average daily net assets:8
Fund | Advisory Fee Based on % of Average Daily Net Assets | |||||
Tax-Managed Wealth Appreciation Strategy Wealth Appreciation Strategy | First $2.5 billion Next $2.5 billion Excess of $5 billion |
| 0.65 0.55 0.50 | % % % | ||
Tax-Managed Balanced Wealth Strategy | First $2.5 billion | 0.55 | % | |||
Tax-Managed Conservative | Next $2.5 billion | 0.45 | % | |||
Balanced Wealth Strategy | Excess of $5 billion | 0.40 | % | |||
Conservative Wealth Strategy |
Sanford C. Bernstein Fund, Inc.—SCB Overlay Portfolios
The SCB Overlay Portfolios invest in Multi-Asset Real Return Pooling Portfolio. The Adviser charges the SCB Overlay an advisory fee based on a percentage of each fund’s average daily net assets:9
SCB Overlay Portfolios | Annual Percentage of Net Assets | |
Overlay A Portfolio | 0.90% | |
Tax-Aware Overlay A Portfolio | 0.90% | |
Overlay B Portfolio | 0.65% | |
Tax-Aware Overlay B Portfolio | 0.65% | |
Tax-Aware Overlay C Portfolio | 0.65% | |
Tax-Aware Overlay N Portfolio | 0.65% |
Rhode Island Higher Education Savings Trust—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
8 | At the Board meetings on May 6-8, 2014, the Adviser proposed modifications to the Wealth Strategies to provide for the inclusion of AB Multi-Manager Alternative Strategies Fund as one of the underlying portfolios for each Wealth Strategy. At the time of the presentation, it was estimated that the loss of assets to the Pooling Portfolios in the aggregate would be $350-$400 million, with the largest transfers expected to come from U.S. Value Portfolio, U.S. Large Cap Growth Portfolio, International Value Portfolio and International Growth Portfolio. As of March 31, 2015, the market value of aggregate investment of the Wealth Strategies in the AB Multi-Manager Alternative Strategies Fund was $373.9 million. The difference in the Pooling Portfolios’ net assets between March 31, 2015 and March 31, 2014, including the fixed income Pooling Portfolios that are not discussed in this evaluation, was $545.0 million in the aggregate. |
9 | The Board of Directors of the SCB Fund approved the renewal of the investment advisory agreement of the SCB Overlay Portfolios on October 23, 2014. |
384 | • AB POOLING PORTFOLIOS |
accounts.10 The 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 December 31, 2014.11
Portfolios | Total Expense Ratio12 | |||
Age-Based Education Strategies | ||||
Age-Based Aggressive Growth 2014-2016 | 0.94 | % | ||
Age-Based Aggressive Growth 2011-2013 | 0.94 | % | ||
Age-Based Aggressive Growth 2008-2010 | 0.90 | % | ||
Age-Based Aggressive Growth 2005-2007 | 0.86 | % | ||
Age-Based Aggressive Growth 2002-2004 | 0.82 | % | ||
Age-Based Aggressive Growth 1999-2001 | 0.78 | % | ||
Age-Based Aggressive Growth 1996-1998 | 0.74 | % | ||
Age-Based Aggressive Growth 1993-1995 | 0.74 | % | ||
Age-Based Aggressive Growth 1990-1992 | 0.74 | % | ||
Age-Based Aggressive Growth 1987-1989 | 0.74 | % | ||
Age-Based Aggressive Growth 1984-1986 | 0.74 | % | ||
Age-Based Aggressive Growth Pre-1984 | 0.74 | % | ||
Age-Based Moderate Growth 2014-201613 | 0.92 | % | ||
Age-Based Moderate Growth 2011-2013 | 0.88 | % | ||
Age-Based Moderate Growth 2008-2010 | 0.84 | % | ||
Age-Based Moderate Growth 2005-2007 | 0.80 | % | ||
Age-Based Moderate Growth 2002-2004 | 0.78 | % | ||
Age-Based Moderate Growth 1999-2001 | 0.76 | % | ||
Age-Based Moderate Growth 1996-1998 | 0.72 | % | ||
Age-Based Moderate Growth 1993-1995 | 0.72 | % | ||
Age-Based Moderate Growth 1990-1992 | 0.72 | % | ||
Age-Based Moderate Growth 1987-1989 | 0.72 | % |
10 | On March 24, 2014 the CBF replaced U.S. Value Portfolio and U.S. Large Cap Portfolio with AB Growth and Income Fund, Inc., as well as International Value Portfolio and International Growth Portfolio with a separate account, managed by the Adviser, called AB International Factor. |
11 | For all Education Strategies that invest in the Pooling Portfolios held by Rhode Island resident accounts, which account for 5.47% of all accounts and 4.12% in terms of net assets as of March 31, 2015, the total expense ratio, which includes the blended underlying expense ratio related to the Pooling Portfolios, is capped at 0.20%. |
12 | The total expense ratios do not include an annual distribution fee of up to1.00% payable to ABI, 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. |
13 | The Education Strategy commenced operations on February 4, 2014. |
AB POOLING PORTFOLIOS • | 385 |
Portfolios | Total Expense Ratio12 | |||
Age-Based Moderate Growth 1984-1986 | 0.72 | % | ||
Age-Based Moderate Growth Pre-1984 | 0.72 | % | ||
Age-Based Conservative Growth 2014-201614 | 0.82 | % | ||
Age-Based Conservative Growth 2011-2013 | 0.82 | % | ||
Age-Based Conservative Growth 2008-2010 | 0.79 | % | ||
Age-Based Conservative Growth 2005-2007 | 0.78 | % | ||
Age-Based Conservative Growth 2002-2004 | 0.76 | % | ||
Age-Based Conservative Growth 1999-2001 | 0.72 | % | ||
Age-Based Conservative Growth 1996-1998 | 0.72 | % | ||
Age-Based Conservative Growth Pre-1996 | 0.72 | % | ||
Fixed Based Education Strategies | ||||
Appreciation | 0.94 | % | ||
Balanced | 0.80 | % | ||
Conservative | 0.72 | % |
The Portfolios’ net assets as of March 31, 2015 are as follows:
Portfolio | Net Assets 3/31/15 ($MM) | |||
U.S. Value Portfolio | $ | 505.7 | ||
U.S. Large Cap Growth Portfolio | $ | 506.7 | ||
Multi-Asset Real Return Portfolio | $ | 916.9 | ||
International Value Portfolio | $ | 425.1 | ||
International Growth Portfolio | $ | 425.9 | ||
Small-Mid Cap Value Portfolio | $ | 317.2 | ||
Small-Mid Cap Growth Portfolio | $ | 317.0 | ||
Volatility Management Portfolio | $ | 1,438.2 |
Set forth below are the most recently completed fiscal year total expense ratios of the Pooling Portfolios that do not have an Expense Limitation Undertaking:
Portfolio | Fiscal Year End | Total Expense Ratio | ||||
U.S. Value Portfolio | August 31 | 0.03 | % | |||
U.S. Large Cap Growth Portfolio | August 31 | 0.03 | % | |||
Multi-Asset Real Return Portfolio15,16 | August 31 | 0.07 | % | |||
International Value Portfolio | August 31 | 0.05 | % | |||
International Growth Portfolio | August 31 | 0.05 | % | |||
Small-Mid Cap Value Portfolio | August 31 | 0.06 | % | |||
Small-Mid Cap Growth Portfolio | August 31 | 0.07 | % |
14 | The Education Strategy commenced operations on April 21, 2014. |
15 | The Portfolio has exposure to exchange traded funds (“ETF”). Like any other mutual fund, ETFs bear fund expenses. Accordingly, if a Portfolio were to hold a long position in an ETF, the ETF’s expenses would detract from the Portfolio’s total return |
16 | The Portfolio’s current fiscal year exposure to ETFs is 0.32% of the Fund’s average net assets. The Portfolio’s underlying expense ratio related to the ETF holdings is 0.0015%. |
386 | • AB POOLING PORTFOLIOS |
With respect to Volatility Management Portfolio, the Adviser agreed to reimburse the Portfolio for that portion of the Portfolio’s total operating expenses to the degree necessary to limit the Portfolio’s expense ratio to the amount set forth below for the Portfolio’s current fiscal year. The terms of the expense limitation undertaking permit modification or termination by the Adviser upon 60 days’ notice prior to the Portfolios’ prospectus update. During the Portfolio’s most completed fiscal year, the Portfolio was operating below its expense cap. Accordingly, the expense limitation undertaking was of no effect during the period. Also set forth below is the Portfolio’s gross expense ratio:
Fund | Expense Cap Pursuant to Expense Limitation Undertaking | Gross Expense Ratio | Fiscal Year End | |||||
Volatility Management Portfolio17 | 0.15% | 0.05 | % | 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. 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 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 the Portfolios are more costly than those for institutional accounts due to the greater complexities and time required for investment companies. While there are differences in the services provided to investment companies and institutional accounts, it is contemplated that the Adviser will recover some of the costs related to providing these administrative services by the reimbursements it receives from Volatility Management Portfolio and the Institutional Clients. 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. In recent years,
17 | The Portfolio’s current fiscal year exposure to ETFs is 16.85% of the Fund’s average net assets. The Portfolio’s underlying expense ratio related to the ETF holdings is 0.0254%. |
AB POOLING PORTFOLIOS • | 387 |
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 as the Portfolio.18 In addition to the AB Institutional fee schedule, set forth below are what would have been the effective advisory fees of the Portfolios had the AB Institutional fee schedules been applicable to the Portfolios based on March 31, 2015 net assets, although the Portfolios are not charged an advisory fee by the Adviser.19
Portfolio | Portfolio Net Assets ($MIL) | AB Institutional Fee Schedule | Effective Fee (%) | |||||
U.S. Value Portfolio | $505.7 | U.S. Diversified Value 0.65% on 1st $25 million 0.50% on next $25 million 0.40% on next $50 million 0.30% on next $100 million 0.25% on the balance Minimum Account Size: $25 m | 0.307% | |||||
U.S. Large Cap Growth Portfolio | $506.7 | U.S. Large Cap Growth 0.80% on 1st $25 million 0.50% on next $25 million 0.40% on next $50 million 0.30% on next $100 million 0.25% on the balance Minimum Account Size: $25 m | 0.314% | |||||
Multi-Asset Real Return Portfolio | $916.9 | Real Asset Strategy 0.75% on 1st $150 million 0.60% on next $150 million 0.50% on the balance Minimum Account Size: $150 m | 0.557% |
18 | 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. |
19 | The Adviser has indicated that with respect to institutional accounts with assets greater than $300 million, it will negotiate a fee schedule. Discounts that are negotiated vary based upon each client relationship. |
388 | • AB POOLING PORTFOLIOS |
Portfolio | Portfolio Net Assets ($MIL) | AB Institutional Fee Schedule | Effective Fee (%) | |||||
International Value Portfolio | $425.1 | International Value 0.80% on 1st $25 million 0.60% on next $25 million 0.50% on next $50 million 0.40% on next the balance Minimum Account Size: $25 m | 0.447% | |||||
International Growth Portfolio | $425.9 | International Growth Trends 0.85% on 1st $25 million 0. % on next $25 million 0.55% on next $50 million 0.45% on the balance Minimum Account Size: $25 m | 0.497% | |||||
Small-Mid Cap Value Portfolio | $317.2 | Small & Mid Cap Value 0.95% on 1st $25 million 0.75% on next $25 million 0.65% on next $50 million 0.55% on the balance Minimum Account Size: $25 m | 0.613% | |||||
Small-Mid Cap Growth Portfolio | $317.0 | U.S. SMID Cap Growth 0.95% on 1st $25 million 0.75% on next $25 million 0.65% on next $50 million 0.55% on the balance Minimum Account Size: $25 m | 0.613% | |||||
Volatility Management Portfolio | $1,438.2 | Volatility Management20 0.60% on 1st $50 million 0.50% on next $100 million 0.45% on the balance Minimum Account Size: None | 0.459% |
The Adviser manages the AB Mutual Funds (“ABMF”), which are open-end investment companies, and AB 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 the AoD between the NYAG and the Adviser, contemplates eight categories with almost all of the AB funds in each category having the same advisory fee schedule. In addition to the fee schedules of the ABMF and AVPS funds whose investment styles are similar to those of the Portfolios, set forth below are what would have been the effective advisory fees
20 | For stand-alone investment (Collective Investment Trust) only. |
AB POOLING PORTFOLIOS • | 389 |
of the Portfolios had the fee schedules of the ABMF/AVPS funds been applicable to the Portfolios based on the Portfolios’ March 31, 2015 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 | AB Bond Fund, Inc.–Real Asset Strategy | 0.75% (flat fee) | 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 | Discovery 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 | Discovery Growth Fund | 0.75% on first $500 million 0.65% on next $500 million 0.55% on the balance | 0.750% |
390 | • AB POOLING PORTFOLIOS |
The Adviser manages the International Portfolio of the Sanford C. Bernstein Fund, Inc. (“SCB Fund”), which has a blend investment strategy of International Value Portfolio and International Growth Portfolio. The advisory fee schedule of SCB Fund—International Portfolio is set forth in the table below.
Portfolio21 | SCB Fund Portfolio | Fee Schedule | SCB Fund Effective Fee (%) | |||||
International Value Portfolio/ International Growth Portfolio | International Portfolio | 0.925% on 1st $1 billion 0.850% on next $3 billion 0.800% on next $2 billion 0.750% on next $2 billion 0.650% thereafter
The Adviser is waving 5 basis points in advisory fees effective through October 31, 2015. | 0.875%22 |
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 funds that has a somewhat similar investment style as U.S. Large Cap Portfolio and Multi-Asset Real Return Portfolio.
Portfolio | Luxembourg Fund | Fee23 | ||
U.S. Large Cap Growth Portfolio | American Growth Portfolio Class A Class I | 1.50% 0.70% | ||
Multi-Asset Real Return Portfolio | Real Asset Portfolio Class A Class I | 1.55% 0.75% |
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
21 | The investment guidelines of the Portfolios are more restrictive than the SCB Fund portfolio. The Portfolios invest primarily in either value or growth equity securities, in contrast to the SCB Fund portfolio, which invests in both value and growth equity securities. |
22 | The SCB Fund effective fee of 0.875% includes the five basis points advisory fee waiver. |
23 | Class A shares of the Luxembourg funds are charged an “all-in” fee, which includes investment advisory services and distribution related services, unlike Class I shares, whose fee is for investment advisory services only. |
AB POOLING PORTFOLIOS • | 391 |
of the sub-advised funds and the effective management fees of the sub-advisory relationships based on the Portfolios’ March 31, 2015 net assets.24
Portfolio | Sub-advised Fund | Sub-advised Fund Fee Schedule | Sub-advised Fund Eff. Mgmt. Fee (%) | |||||
U.S. Value Portfolio | Client #125,26 | AB Sub-Advisory Fee Schedule: 0.49% on the first $100 million 0.30% on the next $100 million 0.25% on the balance | 0.301% | |||||
U.S. Large Cap Growth Portfolio | Client #2 | AB Sub-Advisory Fee Schedule: 0.35% on the first $50 million 0.30% on the next $1000 million 0.25% on the balance | 0.270% | |||||
International Value Portfolio | Client #325,26 | AB Sub-Advisory Fee Schedule: 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 | 0.600% | |||||
Small/Mid Cap Value Portfolio | Client #4 | AB Sub-Advisory Fee Schedule: 0.50% on the first $250 million 0.40 % on the balance | 0.489% | |||||
Client #5 | AB Sub-Advisory Fee Schedule: 0.61% on the first $150 million 0.50% on the balance | 0.552% | ||||||
Client #6 | AB Sub-Advisory Fee Schedule: 0.95% on the first $10 million 0.75% on the next $40 million 0.65% on the next $50 million 0.55% on the balance | 0.604% | ||||||
Volatility Management Portfolio | Client #7 | AB Sub-Advisory Fee Schedule: 0.18% on the first $500 million 0.15% on the next $1 billion 0.13% on the balance | 0.160% |
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
24 | 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. |
25 | The client is an affiliate of the Adviser. |
26 | Assets are aggregated with other client portfolios for purposes of calculating the advisory fee. |
392 | • AB POOLING PORTFOLIOS |
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.
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. The Senior Officer Fee Evaluation for the SCB Overlay Portfolios was reviewed by the SCB Fund Board of Directors.27 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.
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; however, Lipper excluded management, transfer agent and distribution fees from the
27 | The Senior Officer Fee Evaluation was dated July 24, 2014 for the Retirement Strategies and the Wealth Strategies. The Senior Officer Fee Evaluation for the SCB Overlays Portfolios was dated October 7, 2014. |
AB POOLING PORTFOLIOS • | 393 |
total expense ratios of the Portfolios’ peers.28, 29 Lipper’s analysis included the Portfolios’ rankings relative to their respective Lipper Expense Group (“EG”) and Lipper Expense Universe (“EU”).30, 31
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, expense components, operating structure, and expense attributes. An EG will typically consist of seven to twenty funds.
The original EGs of International Value Portfolio and Volatility Management Portfolio had an insufficient number of peers. Consequently, Lipper expanded the Portfolio’s EG to include peers that have a similar but not the same Lipper investment classification/objective. However, because Lipper had expanded the Portfolio’s EG to include peers that have a similar but not the same Lipper investment classification/objective, under Lipper’s standard guidelines, the Portfolio’s EU was also expanded to include the universes of those peers that have a similar but not the same investment classification/objective and load type as the Portfolio. The result of Lipper’s analysis is set forth in the table below.32,33
Portfolio | Expense Ratio (%) | Lipper EG | Lipper EG Rank | Lipper EU Median (%) | Lipper Rank | |||||||||||
U.S. Value Portfolio | 0.027 | 0.047 | 3/15 | 0.068 | 8/50 | |||||||||||
U.S. Large Cap Growth Portfolio | 0.028 | 0.043 | 3/17 | 0.056 | 26/125 | |||||||||||
Multi-Asset Real Return Portfolio | 0.069 | 0.085 | 7/17 | 0.113 | 20/58 | |||||||||||
International Value Portfolio34 | 0.052 | 0.100 | 3/15 | 0.114 | 5/30 |
28 | 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. |
29 | 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 arm’s-length. Jones v. Harris at 1429. |
30 | A ranking of “1” would mean that the Portfolio had the lowest total expense ratio in the Lipper peer group. |
31 | There are limitations in expense category data because different funds categorize expenses differently. |
32 | The total expense ratios shown below were estimated by Lipper using rounded Form-NSAR data. Accordingly, there may be slight differences in the total expense ratios estimated by Lipper and that of the Adviser. |
33 | 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. |
34 | The Portfolio’s EG includes the Portfolio, nine other International Multi-Cap Value (“IMLV”) funds and five International Large-Cap Value (“ILCV”) funds. The Portfolio’s EU includes the Portfolio, EG and all other IMLV and ILCV funds, excluding outliers. |
394 | • AB POOLING PORTFOLIOS |
Portfolio | Expense Ratio (%) | Lipper EG | Lipper EG Rank | Lipper EU Median (%) | Lipper Rank | |||||||||||
International Growth Portfolio | 0.047 | 0.096 | 1/18 | 0.103 | 19/88 | |||||||||||
Small-Mid Cap Value Portfolio | 0.064 | 0.086 | 6/16 | 0.060 | 18/30 | |||||||||||
Small-Mid Cap Growth Portfolio | 0.074 | 0.067 | 12/20 | 0.064 | 51/88 | |||||||||||
Volatility Management Portfolio35 | 0.046 | 0.128 | 1/9 | 0.246 | 2/18 |
Based on this analysis, except for Small-Mid Cap Growth Portfolio, whose total expense ratio is higher than its EG and EU medians, and Small-Mid Cap Growth Value Portfolio, whose total expense ratio is lower than the EG median but higher than the EU median, 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 Adviser’s profitability from providing investment advisory services to each of the Pooling Portfolios decreased with the exception Small-Mid Cap Value Portfolio, Small-Mid Cap Growth Portfolio, and Volatility Management Portfolio during calendar year 2014, relative to 2013.
Multi-Asset Real Return, International Value Portfolio, and Small-Mid Cap Growth Portfolio effected brokerage transactions and paid 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 with the Portfolios is comparable to the profitability of SCB’s dealings with other similar third party clients. In the ordinary course of
35 | The Portfolio’s EG includes the Portfolio, four other Flexible Portfolio (“FX”) funds and four Alternative Global Macro (“AGM”) funds. The Portfolio’s EU includes the Portfolio, EG and all other FX and AGM funds, excluding outliers. |
AB POOLING PORTFOLIOS • | 395 |
business, SCB receives and pays liquidity rebates from electronic communications networks (“ECNs”) derived from trading for its clients. These credits and charges are not being passed on to any SCB client.
V. | POSSIBLE ECONOMIES OF SCALE |
The Adviser has indicated that economies of scale are being shared with shareholders through pricing to scale, breakpoints, fee reductions/waivers and enhancement to services.
In May 2012, an independent consultant, retained by the Senior Officer, provided the Board of Trustees information on the Adviser’s firm-wide average costs from 2005 through 2011 and the potential economies of scale. The independent consultant noted that from 2005 through 2007 the Adviser experienced significant growth in assets under management (“AUM”). During this period, operating expenses increased, in part to keep up with growth, and in part reflecting market returns. However, from 2008 through the first quarter of 2009, AUM rapidly and significantly decreased due to declines in market value and client withdrawals. When AUM rapidly decreased, some operating expenses categories, including base compensation and office space, adjusted more slowly during this period, resulting in an increase in average costs. Since 2009, AUM has experienced less significant changes. The independent consultant noted that changes in operating expenses reflect changes in business composition and business practices in response to changes in financial markets. Finally, the independent consultant concluded that the increase in average cost and the decline in net operating margin across the Adviser since late 2008 are inconsistent with the view that there are currently reductions in average costs due to economies of scale that can be shared with the AB Mutual Funds managed by the Adviser through lower fees.
Previously, in February 2008, the independent consultant provided the Board of Trustees an update of the Deli36 study on advisory fees and various fund characteristics.37 The independent consultant first reiterated the results of his previous two dimensional comparison analysis (fund size and family size) with the Board of Trustees.38 The independent consultant then discussed the results of the
36 | 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. |
37 | 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 1429. |
38 | 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. |
396 | • AB POOLING PORTFOLIOS |
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 AB 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 $486 billion as of March 31, 2015, 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, 1 and 3 year) gross performance returns and rankings of the Portfolios39 relative to their Lipper Performance Group (“PG”) and Lipper Performance Universe (“PU”)40 for the periods ended February 28, 2015.41, 42
Portfolio (%) | PG Median (%) | PU Median (%) | PG Rank | PU Rank | ||||||||||||
U.S. Value Portfolio | ||||||||||||||||
1 year | 13.07 | 12.33 | 11.70 | 6/15 | 19/50 | |||||||||||
3 year | 18.49 | 18.49 | 18.39 | 8/15 | 21/47 | |||||||||||
5 year | 14.61 | 16.38 | 15.76 | 12/14 | 30/41 | |||||||||||
U.S. Large Cap Growth Portfolio | ||||||||||||||||
1 year | 19.96 | 13.88 | 13.78 | 1/17 | 6/123 | |||||||||||
3 year | 20.64 | 19.74 | 18.65 | 6/17 | 15/113 | |||||||||||
5 year | 17.09 | 17.84 | 17.41 | 11/16 | 56/93 | |||||||||||
Multi-Asset Real Return Portfolio43 | ||||||||||||||||
1 year | -10.96 | 7.49 | 5.57 | 16/17 | 55/56 | |||||||||||
3 year | -2.99 | 10.47 | 9.56 | 15/15 | 44/45 | |||||||||||
5 year | 2.77 | 10.16 | 10.09 | 12/12 | 27/27 |
39 | The performance returns of the Portfolios shown were provided by Lipper. |
40 | A Portfolio’s PG/PU may not be identical to its respective EG/EU as the criteria for including/excluding a fund in a PG/PU is somewhat different from that of an EG/EU. |
41 | The performance returns of the Portfolios’ peers are also adjusted for expenses (gross up). |
42 | The Lipper investment classification/objective dictates the PG/PU throughout the life of each Portfolio even if a Portfolio had a different investment classification/objective at a different point in time. |
43 | The Portfolio’s Lipper classification changed in 2011 from Global Real Estates to Global Flexible Funds as a result of changes to the Portfolio’s strategy. Subsequently, Lipper Classification changed in 2014 to Flexible Portfolios as a result of Lipper’s elimination of their Global Flexible Funds category in September 2014. See footnote 42 for information regarding Lipper classification changes. |
AB POOLING PORTFOLIOS • | 397 |
Portfolio (%) | PG Median (%) | PU Median (%) | PG Rank | PU Rank | ||||||||||||
International Value Portfolio | ||||||||||||||||
1 year | 1.81 | -1.73 | -1.76 | 1/10 | 2/30 | |||||||||||
3 year | 7.41 | 9.20 | 9.14 | 9/10 | 22/25 | |||||||||||
5 year | 5.17 | 7.86 | 7.86 | 8/9 | 20/21 | |||||||||||
International Growth Portfolio | ||||||||||||||||
1 year | 2.50 | 1.79 | 1.46 | 6/18 | 33/87 | |||||||||||
3 year | 5.37 | 10.51 | 9.55 | 15/15 | 72/76 | |||||||||||
5 year | 3.53 | 10.12 | 9.48 | 12/12 | 69/70 | |||||||||||
Small-Mid Cap Value Portfolio | ||||||||||||||||
1 year | 11.09 | 11.63 | 13.15 | 11/15 | 22/29 | |||||||||||
3 year | 19.10 | 18.95 | 18.94 | 7/14 | 11/26 | |||||||||||
5 year | 16.29 | 16.94 | 17.08 | 7/10 | 13/21 | |||||||||||
Small-Mid Cap Growth Portfolio | ||||||||||||||||
1 year | 3.32 | 10.07 | 10.05 | 17/19 | 80/87 | |||||||||||
3 year | 16.04 | 16.85 | 16.85 | 12/19 | 52/81 | |||||||||||
5 year | 21.30 | 18.10 | 17.79 | 2/17 | 3/73 | |||||||||||
Volatility Management Portfolio | ||||||||||||||||
1 year | 10.74 | 3.41 | 10.83 | 2/5 | 5/8 | |||||||||||
3 year | 11.34 | 6.70 | 9.34 | 2/4 | 2/6 |
Set forth below are the 1, 3, 5 year and since inception net performance returns of the Portfolios (in bold) versus their benchmarks.44 Portfolio and benchmark volatility and reward-to-variability ratio (“Sharpe Ratio”) information is also shown.45
44 | The Adviser provided Portfolio and benchmark performance return information for periods through February 28, 2015. |
45 | 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. The 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. |
398 | • AB POOLING PORTFOLIOS |
Periods Ended February 28, 2015 Annualized Performance | ||||||||||||||||||||||||||||
1 Year (%) | 3 Year (%) | 5 Year (%) | Since Inception | Annualized | Risk | |||||||||||||||||||||||
Volatility (%) | Sharpe Ratio | |||||||||||||||||||||||||||
U.S. Value Portfolio | 13.05 | 18.47 | 14.59 | 6.44 | 14.44 | 1.01 | 5 | |||||||||||||||||||||
Russell 1000 Value Index | 13.49 | 18.11 | 15.51 | 7.49 | 13.47 | 1.13 | 5 | |||||||||||||||||||||
Inception Date: May 20, 2005 | ||||||||||||||||||||||||||||
U.S. Large Cap Growth Portfolio | 19.93 | 20.62 | 17.07 | 9.28 | 15.58 | 1.09 | 5 | |||||||||||||||||||||
Russell 1000 Growth Index | 16.24 | 18.05 | 17.21 | 9.38 | 13.37 | 1.24 | 5 | |||||||||||||||||||||
Inception Date: May 20, 2005 | ||||||||||||||||||||||||||||
Multi-Asset Real Return Portfolio | -11.39 | -3.21 | 2.61 | 2.54 | 15.40 | 0.24 | 5 | |||||||||||||||||||||
MSCI AC World Commodity Producers Index | -12.41 | -6.47 | -0.60 | 5.01 | N/A | N/A | N/A | |||||||||||||||||||||
FTSE EPRA / NAREIT Developed RE Index—Gross Return | 16.44 | 13.34 | 13.65 | 7.52 | N/A | N/A | N/A | |||||||||||||||||||||
All Market Real Return Benchmark46 | -7.70 | -2.25 | 2.28 | 3.60 | 15.39 | 0.22 | 5 | |||||||||||||||||||||
Inception Date: May 20, 2005 | ||||||||||||||||||||||||||||
International Value Portfolio47 | 1.76 | 7.36 | 5.12 | 3.67 | 18.95 | 0.35 | 5 | |||||||||||||||||||||
MSCI AC World Index ex U.S. | 0.87 | 6.49 | 6.55 | 6.03 | 16.35 | 0.46 | 5 | |||||||||||||||||||||
MSCI EAFE Net Index | -0.03 | 9.41 | 7.78 | 5.50 | N/A | N/A | N/A | |||||||||||||||||||||
Inception Date: May 20, 2005 | ||||||||||||||||||||||||||||
International Growth Portfolio47 | 2.45 | 5.33 | 3.49 | 2.31 | 17.47 | 0.28 | 5 | |||||||||||||||||||||
MSCI AC World Index ex U.S. | 0.87 | 6.49 | 6.55 | 6.03 | 16.35 | 0.46 | 5 | |||||||||||||||||||||
MSCI AC World Index ex U.S. Growth | 2.88 | 7.24 | 7.40 | 6.41 | N/A | N/A | N/A | |||||||||||||||||||||
MSCI EAFE Net Index | -0.03 | 9.41 | 7.78 | 5.50 | N/A | N/A | N/A | |||||||||||||||||||||
Inception Date: May 20, 2005 | ||||||||||||||||||||||||||||
46 | Multi-Asset Real Return Benchmark comprises of equally-weighted blend of the MSCI ACWI Commodity Producers Index, the FTSE EPRA/NAREIT Global Index and the Dow Jones-UBS Commodity Index. Effective October 1, 2011 the Real Estate component changed from the FTSE EPRA/NAREIT Developed index to the FTSE EPRA/NAREIT Global Index. |
47 | On January 1, 2012, the Portfolio’s benchmark changed from MSCI EAFE Net Index to MSCI AC World Index ex U.S. |
AB POOLING PORTFOLIOS • | 399 |
Periods Ended February 28, 2015 Annualized Performance | ||||||||||||||||||||||||||||
1 Year (%) | 3 Year (%) | 5 Year (%) | Since Inception | Annualized | Risk | |||||||||||||||||||||||
Volatility (%) | Sharpe Ratio | |||||||||||||||||||||||||||
Small-Mid Cap Value Portfolio | 11.02 | 19.03 | 16.24 | 10.38 | 18.10 | 0.92 | 5 | |||||||||||||||||||||
Russell 2500 Value Index | 6.95 | 16.87 | 15.46 | 8.48 | 16.06 | 0.97 | 5 | |||||||||||||||||||||
Inception Date: May 20, 2005 | ||||||||||||||||||||||||||||
Small-Mid Cap Growth Portfolio | 3.25 | 15.97 | 21.23 | 13.37 | 17.77 | 1.17 | 5 | |||||||||||||||||||||
Russell 2500 Growth Index | 9.62 | 17.94 | 18.40 | 10.71 | 17.26 | 1.06 | 5 | |||||||||||||||||||||
Inception Date: May 20, 2005 | ||||||||||||||||||||||||||||
Volatility Management Portfolio48 | 10.69 | 11.29 | N/A | 9.74 | 9.39 | 1.18 | 3 | |||||||||||||||||||||
MSCI AC World Index | 7.55 | 11.57 | N/A | 9.14 | 10.32 | 1.10 | 3 | |||||||||||||||||||||
Inception Date: April 16, 2010 |
CONCLUSION:
The Senior Officer recommended that the Trustees consider discussing with the Adviser changing Multi-Asset Real Return Portfolio’s primary benchmark from the MSCI AC World Commodity Producers Index (NDR) to the All Market Real Return Index or to add the All Market Real Return Index as a secondary benchmark in the Portfolio’s prospectus.
Based on the factors discussed above, most notably the zero advisory fees and limited total expenses of the Portfolios as well as the reasonableness of the advisory fees paid by shareholders of the Institutional Clients that invest in the Portfolios, and the information provided by the Adviser and the memorandum from your independent counsel, including the legal analysis and factors you need to consider when approving the Investment Advisory Agreement for the Portfolios, my conclusion is that the Investment Advisory Agreement is reasonable and within the range of what would have been negotiated at arm’s-length in light of all the surrounding circumstances.
Dated: June 5, 2015
48 | The Portfolio’s benchmark changed from S&P 500 Index to MSCI AC World Index on January 1, 2012. |
400 | • AB POOLING PORTFOLIOS |
THIS PAGE IS NOT PART OF THE SHAREHOLDER REPORT OR THE FINANCIAL STATEMENTS
AB FAMILY OF FUNDS
US EQUITY
US Core
Core Opportunities Fund
Select US Equity Portfolio
US Growth
Concentrated Growth Fund
Discovery Growth Fund
Growth Fund
Large Cap Growth Fund
Small Cap Growth Portfolio
US Value
Discovery Value Fund
Equity Income Fund
Growth & Income Fund
Small Cap Value Portfolio
Value Fund
INTERNATIONAL/ GLOBAL EQUITY
International/Global Core
Global Core Equity Portfolio
Global Equity & Covered Call Strategy Fund
Global Thematic Growth Fund
International Portfolio
International Strategic Core Portfolio
Tax-Managed International Portfolio
International/Global Growth
International Growth Fund
International/Global Value
Asia ex-Japan Equity Portfolio
International Value Fund
FIXED INCOME
Municipal
High Income Municipal Portfolio
Intermediate California Municipal Portfolio
Intermediate Diversified Municipal Portfolio
Intermediate New York Municipal Portfolio
Municipal Bond Inflation Strategy
FIXED INCOME (continued)
Tax-Aware Fixed Income Portfolio
National Portfolio
Arizona Portfolio
California Portfolio
Massachusetts Portfolio
Michigan Portfolio
Minnesota Portfolio
New Jersey Portfolio
New York Portfolio
Ohio Portfolio
Pennsylvania Portfolio
Virginia Portfolio
Taxable
Bond Inflation Strategy
Global Bond Fund
High Income Fund
High Yield Portfolio
Intermediate Bond Portfolio
Limited Duration High Income Portfolio
Short Duration Portfolio
ALTERNATIVES
All Market Real Return Portfolio
Credit Long/Short Portfolio
Global Real Estate Investment Fund
Long/Short Multi-Manager Fund
Multi-Manager Alternative Strategies Fund
Select US Long/Short Portfolio
Unconstrained Bond Fund
MULTI-ASSET
All Market Growth Portfolio
All Market Income Portfolio
Emerging Markets Multi-Asset Portfolio
Global Risk Allocation Fund
MULTI-ASSET (continued)
Target-Date
Multi-Manager Select Retirement Allocation Fund
Multi-Manager Select 2010 Fund
Multi-Manager Select 2015 Fund
Multi-Manager Select 2020 Fund
Multi-Manager Select 2025 Fund
Multi-Manager Select 2030 Fund
Multi-Manager Select 2035 Fund
Multi-Manager Select 2040 Fund
Multi-Manager Select 2045 Fund
Multi-Manager Select 2050 Fund
Multi-Manager Select 2055 Fund
Wealth Strategies
Balanced Wealth Strategy
Conservative Wealth Strategy
Wealth Appreciation Strategy
Tax-Managed Balanced Wealth Strategy
Tax-Managed Conservative Wealth Strategy
Tax-Managed Wealth Appreciation Strategy
CLOSED-END FUNDS
AB Multi-Manager Alternative Fund
Alliance California Municipal Income Fund
AllianceBernstein Global High Income Fund
AllianceBernstein Income Fund
AllianceBernstein National Municipal Income Fund
We also offer Exchange Reserves, which serves as the money market fund exchange vehicle for the AB mutual funds. An investment in Exchange Reserves is not a deposit in a bank and is not insured or guaranteed by the Federal Deposit Insurance Corporation or any other government agency. Although the Fund seeks to preserve the value of your investment at $1.00 per share, it is possible to lose money by investing in the Fund.
Investors should consider the investment objectives, risks, charges and expenses of the Fund carefully before investing. For copies of our prospectus or summary prospectus, which contain this and other information, visit us online at www.abglobal.com or contact your AB representative. Please read the prospectus and/or summary prospectus carefully before investing.
AB POOLING PORTFOLIOS • | 401 |
AB Family of Funds
NOTES
402 | • AB POOLING PORTFOLIOS |
NOTES
AB POOLING PORTFOLIOS • | 403 |
NOTES
404 | • AB POOLING PORTFOLIOS |
AB POOLING PORTFOLIOS
1345 Avenue of the Americas
New York, NY 10105
800.221.5672
POOL-0152-0216
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 AB Pooling Portfolios
By: | /s/ Robert M. Keith | |
Robert M. Keith | ||
President |
Date: April 26, 2016
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 26, 2016
By: | /s/ Joseph J. Mantineo | |
Joseph J. Mantineo | ||
Treasurer and Chief Financial Officer |
Date: April 26, 2016