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: August 31, 2016
ITEM 1. | REPORTS TO STOCKHOLDERS. |
AUG 08.31.16
ANNUAL REPORT
AB POOLING PORTFOLIOS
+ | 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 SMALL-MID CAP VALUE PORTFOLIO |
+ | AB SMALL-MID CAP GROWTH PORTFOLIO |
+ | AB MULTI-ASSET REAL RETURN PORTFOLIO |
+ | AB VOLATILITY MANAGEMENT PORTFOLIO |
Investment Products Offered
•Are Not FDIC Insured •May Lose Value •Are Not Bank Guaranteed |
Investors should consider the investment objectives, risks, charges and expenses of the Fund carefully before investing. For copies of our prospectus or summary prospectus, which contain this and other information, visit us online at www.abfunds.com or contact your AB representative. Please read the prospectus and/or summary prospectus carefully before investing.
This shareholder report must be preceded or accompanied by the Fund’s prospectus for individuals who are not current shareholders of the Fund.
You may obtain a description of the Fund’s proxy voting policies and procedures, and information regarding how the Fund voted proxies relating to portfolio securities during the most recent 12-month period ended June 30, without charge. Simply visit AB’s website at www.abfunds.com, or go to the Securities and Exchange Commission’s (the “Commission”) website at www.sec.gov, or call AB at (800) 227-4618.
The Fund files its complete schedule of portfolio holdings with the Commission for the first and third quarters of each fiscal year on Form N-Q. The Fund’s Forms N-Q are available on the Commission’s website at www.sec.gov. The Fund’s Forms N-Q may also be reviewed and copied at the Commission’s Public Reference Room in Washington, DC; information on the operation of the Public Reference Room may be obtained by calling (800) SEC-0330. AB publishes full portfolio holdings for the Fund monthly at www.abfunds.com.
AllianceBernstein Investments, Inc. (ABI) is the distributor of the AB family of mutual funds. ABI is a member of FINRA and is an affiliate of AllianceBernstein L.P., the Adviser of the funds.
The [A/B] logo is a registered service mark of AllianceBernstein and AllianceBernstein® is a registered service mark used by permission of the owner, AllianceBernstein L.P.
October 12, 2016
Annual Report
This report provides management’s discussion of fund performance for the AB Pooling Portfolios (collectively, the “Portfolios”; individually, the “Portfolio”) for the annual reporting period ended August 31, 2016.
On September 21, 2016, at the recommendation of AllianceBernstein L.P. (the “Adviser”) the Board of Trustees of The AB Pooling Portfolios approved the liquidation and termination of each Portfolio, other than AB Volatility Management Portfolio. The liquidation is expected to occur after the close of business on January 30, 2017 (the “Liquidation Date”).
The tables on pages 21-31 show each Portfolio’s performance for the six- and 12-month periods ended August 31, 2016, compared to their respective benchmarks. Additional performance can be found on pages 32-35.
Market Review
Global stocks surged and global bonds generally increased during the tumultuous 12-month period. Central bank activity and fluctuations in the price of oil were among the factors impacting performance.
In fixed-income markets, developed-market treasuries generally outperformed emerging-market local-currency government bonds and investment-grade credit securities, but trailed the double-digit rally in global high-yield issues. Developed-market treasury yields generally fell,
with UK yields reaching historic lows in the final months of the period.
US and emerging-market equities each delivered double-digit returns while international stocks underperformed, impacted by fears of ongoing terrorist activity and economic uncertainty (all in US dollar terms).
Equity markets reeled at the outset when China unexpectedly devalued its currency, triggering doubts over global growth. By the end of 2015, equities had sufficiently recovered, enabling the US Federal Reserve (the “Fed”) to lift off from zero interest rates for the first time in nearly a decade—a move that investors accepted smoothly.
Equity markets plummeted again in the first six weeks of 2016. This time, in addition to malaise over China, a global oil glut also factored in. Bond markets were likewise affected by fluctuations in oil pricing. After declining through the beginning of 2016, oil prices eventually rebounded on the back of decreased global supply, contributing to a rally in emerging-market debt sectors.
As the period came to a close, global equity markets had recovered yet again—while most fixed-income sectors outperformed duration-matched Treasuries, but posted mixed absolute returns—as support from global central banks eased investors’ anxiety over the UK’s unexpected vote to depart from the European Union (the “EU”). In
AB POOLING PORTFOLIOS • | 1 |
contrast, after some slower-than-expected US economic data through the first two quarters of 2016, the Fed’s tone turned more hawkish in August on the back of strength in the US labor market and a positive outlook for economic activity and inflation.
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 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 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 August 31, 2016.
For the 12-month period, security selection and overweights to the consumer cyclicals and financials sectors detracted, relative to the benchmark, as did security selection in industrial resources. In contrast, security selection within, and an overweight to, technology contributed to returns. An underweight to energy and utilities also added value.
For the six-month period, security selection drove the underperformance, particularly in the industrial resources, airlines and financials sectors. An underweight in energy and overweight in financials also detracted. Conversely,
2 | • AB POOLING PORTFOLIOS |
security selection and an overweight in technology, as well as an underweight to industrial resources, contributed.
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 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 underperformed its benchmark, the Russell 1000 Growth Index, for the six- and 12-month periods ended August 31, 2016.
For the 12-month period, security selection in the consumer staples, financials and industrials sectors, as well as an underweight in telecommunications and an overweight in health care, detracted from returns, relative to the benchmark. Security selection within the health care sector contributed. An underweight in the energy sector and an overweight in technology also had a positive impact on returns.
AB POOLING PORTFOLIOS • | 3 |
For the six-month period, security selection in the consumer discretionary and consumer staples sectors and an underweight in materials and financials had a negative impact on returns. Security selection was positive within the health care, technology and industrials sectors; an overweight in technology and an underweight in consumer staples also contributed.
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.
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
4 | • AB POOLING PORTFOLIOS |
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 outperformed its benchmark, the Morgan Stanley Capital International All Country World Index (“MSCI ACWI”) ex-US, for the 12-month period, but underperformed for the six-month period ended August 31, 2016.
For the 12-month period, security selection drove the relative outperformance, particularly in the technology, financials and medical sectors. Country allocation also benefitted returns, with an underweight to Spain contributing, although an overweight to Japan negatively impacted returns. Sector selection also detracted, due to overweights in the financials and telecommunications sectors and an underweight in consumer staples.
For the six-month period, both security selection and sector allocation detracted. Security selection and an overweight to the transportation sector, as well as security selection in the energy and telecommunications sectors, detracted. Country allocation also detracted due to an underweight to China; however, an overweight to Brazil contributed. In addition, underweights to the medical and consumer cyclicals sectors as well as an overweight in energy, benefitted returns, as did security selection in technology.
The Portfolio utilized derivatives including futures for investment purposes and foreign currency forwards for hedging and investment purposes, which detracted from absolute returns during both periods.
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.
AB POOLING PORTFOLIOS • | 5 |
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 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 outperformed its benchmark, the MSCI ACWI ex-US, for the six- and 12-month periods ended August 31, 2016.
For the 12-month period, security selection within the health care, financials and technology sectors was beneficial to relative returns. Country allocation was positive, with an underweight to Japan contributing, while an underweight in Korea detracted. Sector selection also
6 | • AB POOLING PORTFOLIOS |
detracted, due to an overweight in health care and underweights in energy and materials.
For the six-month period, security selection drove outperformance, particularly in the health care, financials and industrials sectors. Country allocation also helped relative returns due to an underweight to Japan; however, an overweight to France detracted. Sector allocation, particularly an overweight in health care and underweight to materials, detracted.
The Portfolio utilized derivatives in the form of foreign currency forwards for hedging purposes, which had an immaterial impact on absolute returns during the six-month period and detracted for the 12-month period.
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. 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 outperformed its benchmark, the Bank of America Merrill Lynch (“BofA ML”) 1-3 Year US Treasury Index, for the six- and 12-month periods ended August 31, 2016.
AB POOLING PORTFOLIOS • | 7 |
An exposure to investment-grade corporates contributed most to performance in both periods, relative to the benchmark. Exposures to asset-backed securities and commercial mortgage-backed securities (“CMBS”) also contributed during both periods. Yield-curve positioning did not have a significant impact on overall performance in the six-month period, but was a modest detractor in the 12-month period, mainly due to an overweight in two-year maturities.
During both periods, the Portfolio utilized derivatives including currency forwards to hedge currency risk. Credit default swaps were utilized to gain exposure to the CMBS market. Treasury futures and interest rate swaps were utilized to manage the duration, country exposure and yield-curve positioning of the Portfolio.
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 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 outperformed its benchmark, the Bloomberg Barclays Global Aggregate Bond Index (US dollar hedged), for the six- and 12-month periods ended August 31, 2016.
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Security selections contributed during both periods relative to the benchmark, helped most by selections within the energy sector, as oil prices rose from their February 2016 lows, and non-government guaranteed agencies. Sector allocation also had a positive impact on returns in both periods, primarily due to the Portfolio’s overweight position in US investment-grade corporates and underweight in US Treasuries. While an underweight to US agency mortgages also contributed to performance in the six-month period, an underweight in UK and eurozone corporates took back some of these gains. Country allocation contributed for both periods, due to a beneficial overweight in the UK and underweight in Japan, though an overweight in the US detracted in the 12-month period. Currency allocation did not have a meaningful impact on performance in the six-month period, but contributed in the 12-month period, primarily due to short positions in the euro and British pound. Yield-curve positioning did not significantly affect overall returns in either period.
During both periods, the Portfolio utilized derivatives including Treasury futures to manage duration, country exposure and yield-curve positioning; currency forwards and currency options, both purchased and written, were used to hedge currency exposure as well as to manage active currency risk.
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 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
AB POOLING PORTFOLIOS • | 9 |
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 outperformed its benchmark, the Bloomberg Barclays 1-10 Year TIPS Index, for the six- and 12-month periods ended August 31, 2016.
During both periods, TIPS returns were positive as US Treasury yields fell. In the six-month period, TIPS outperformed relative to US Treasuries, as oil and commodity prices increased through much of the period. In the 12-month period, downward pressure on oil prices, despite some stabilization in the latter part of the period, caused TIPS to underperform relative to US Treasuries.
Sector allocation contributed during both periods, helped by the Portfolio’s allocation to corporates and CMBS. An allocation to asset-backed securities also had a positive impact on relative performance in both periods. Currency allocation was close to neutral for the six-month period, and contributed for the 12-month period. A short position in the British pound—particularly during and after the Brexit referendum—contributed to performance, as did a long position in the Japanese yen during its early-2016 rally and a short position in the Malaysian ringgit in the second quarter of 2016. Short positions in the Taiwan new dollar and Singapore dollar, as well as a long position in the Mexican peso, detracted.
During both periods, the Portfolio utilized derivatives including currency forwards and options to hedge currency risk and actively manage currency positions. Credit default swaps were utilized for hedging and investment purposes, which had an immaterial impact on performance during both periods. Treasury futures, and interest rate, total return and CPI swaps, were utilized to manage the duration, inflation protection, country exposure and yield-curve positioning of the Portfolio.
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
10 | • AB POOLING PORTFOLIOS |
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 underperformed its benchmark, the Russell 2500 Value Index, for the six- and 12-month periods ended August 31, 2016.
During the 12-month period, security selection in the financials sector, an overweight in the consumer discretionary sector and an underweight in the utilities sector were the primary detractors, relative to the benchmark. Stock selection in the technology and consumer staples sectors, as well as an underweight position in energy, contributed.
For the six-month period, security selection in the health care, energy and financials sectors and an overweight in the consumer discretionary sector were the primary detractors. Stock selection in the technology and consumer discretionary sectors, as well as an underweight position in the utilities sector, contributed.
The Portfolio did not utilize derivatives during the six- or 12-month periods.
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.
AB POOLING PORTFOLIOS • | 11 |
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 underperformed its benchmark, the Russell 2500 Growth Index, for the six- and 12-month periods ended August 31, 2016.
For the 12-month period, stock selection in the financials sector and in the technology sector, particularly in the semiconductors space, detracted from performance. Stock selection in the energy and health care sectors contributed, relative to the benchmark. In the health care sector, positive contribution from the biopharmaceutical space more than offset negative contribution in the health care services space.
For the six-month period, stock selection again detracted in the financials and technology sectors, and contributed in the health care and energy sectors.
12 | • AB POOLING PORTFOLIOS |
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 underperformed its benchmark, the MSCI AC World Commodity Producers Index, for the six- and 12-month periods ended August 31, 2016.
The underperformance during both periods relative to the benchmark was driven by a strategic exposure to commodity futures, which strongly underperformed. The Portfolio’s strategic allocation to global real estate contributed to performance for the 12-month period, but detracted for the six-month period. Allocations to precious metal, security selection and currency management contributed, whereas overlay positions, such as CPI swaps, detracted from returns. Long-dated oil futures detracted over both periods as well.
The Portfolio utilized derivatives in the form of futures, inflation (CPI) swaps and written options, for hedging and investment purposes, total return swaps for investment purposes and currency forwards for hedging purposes, which added during the six-month period and detracted from absolute returns during the 12-month period; purchased options for hedging and investment purposes, and interest rate swaps for hedging purposes, detracted during both periods.
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, 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
14 | • AB POOLING PORTFOLIOS |
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 underperformed its benchmark, the MSCI ACWI, for the six- and 12-month periods ended August 31, 2016.
Through most of the 12-month period, the Portfolio was underweight
equity, relative to the benchmark, and added to global bonds and cash in response to spikes in volatility, notably the Chinese currency devaluation in late August, the move to negative policy rates by the Bank of Japan in early 2016 and the unexpected outcome of the vote on Britain’s continuing membership in the EU in late June. Also throughout the 12-month period, the Portfolio was more diversified than the benchmark due to a strategic allocation to global REITs and, at times, made modest tilts across equity regions. Specifically, in the six-month period, the Portfolio increased exposure to emerging-market equities and reduced exposure to the EU.
Tactical shifts in equities (underweights to US and international developed-markets) detracted from performance for both periods, while regional decisions to overweight emerging-market equities contributed to performance in the six-month period. Allocations to global REITs contributed to performance for both periods.
The Portfolio utilized derivatives for hedging and investment purposes including total return swaps and written options, which added to absolute returns during both periods; futures and purchased options detracted during both periods. Currency forwards detracted for the six-month period and added during the 12-month period.
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 Bloomberg Barclays Global Aggregate Bond Index (US dollar hedged) represents the performance of the global investment-grade developed fixed-income markets. The Bloomberg Barclays 1-10 Year TIPS Index represents the performance of inflation-protected securities issued by the US Treasury. 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 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 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 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.
(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)
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.
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.
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.
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, Small-Mid Cap Value Portfolio, Small-Mid Cap Growth Portfolio, Multi-Asset Real Return Portfolio, Volatility Management Portfolio
(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)
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, 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, 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 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, 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.
(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)
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, 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.
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.
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
(Disclosures, Risks and Note about Historical Performance continued on next page)
AB POOLING PORTFOLIOS • | 19 |
Disclosures and Risks
DISCLOSURES AND RISKS
(continued from previous page)
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.abfunds.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.abfunds.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.
20 | • AB POOLING PORTFOLIOS |
Disclosures and Risks
U.S. VALUE PORTFOLIO
HISTORICAL PERFORMANCE
THE PORTFOLIO VS. ITS BENCHMARK PERIOD ENDED AUGUST 31, 2016 (unaudited) | Returns | |||||||||||
6 Months | 12 Months | |||||||||||
AB U.S. Value Portfolio* | 12.88% | 7.55% | ||||||||||
| ||||||||||||
Russell 1000 Value Index | 16.26% | 12.92% | ||||||||||
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* 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 August 31, 2016, by 0.06% and 0.09%, respectively. |
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GROWTH OF A $10,000 INVESTMENT IN THE PORTFOLIO
8/31/06 TO 8/31/16 (unaudited)
This chart illustrates the total value of an assumed $10,000 investment in AB U.S. Value Portfolio (from 8/31/06 to 8/31/16) as compared to the performance of the Portfolio’s benchmark. The chart assumes the reinvestment of dividends and capital gains distributions.
See Disclosures, Risks and Note about Historical Performance on pages 16-20.
(Historical Performance continued on next page)
AB POOLING PORTFOLIOS • | 21 |
Historical Performance
U.S. LARGE CAP GROWTH PORTFOLIO
HISTORICAL PERFORMANCE
(continued from previous page)
THE PORTFOLIO VS. ITS BENCHMARK PERIOD ENDED AUGUST 31, 2016 (unaudited) | Returns | |||||||||||
6 Months | 12 Months | |||||||||||
AB U.S. Large Cap Growth Portfolio* | 11.26% | 10.50% | ||||||||||
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Russell 1000 Growth Index | 11.91% | 10.54% | ||||||||||
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* 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 August 31, 2016, by 0.20% and 0.37%, respectively. |
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GROWTH OF A $10,000 INVESTMENT IN THE PORTFOLIO
8/31/06 TO 8/31/16 (unaudited)
This chart illustrates the total value of an assumed $10,000 investment in AB U.S. Large Cap Growth Portfolio (from 8/31/06 to 8/31/16) as compared to the performance of the Portfolio’s benchmark. The chart assumes the reinvestment of dividends and capital gains distributions.
See Disclosures, Risks and Note about Historical Performance on pages 16-20.
(Historical Performance continued on next page)
22 | • AB POOLING PORTFOLIOS |
Historical Performance
INTERNATIONAL VALUE PORTFOLIO
HISTORICAL PERFORMANCE
(continued from previous page)
THE PORTFOLIO VS. ITS BENCHMARK PERIOD ENDED AUGUST 31, 2016 (unaudited) | Returns | |||||||||||
6 Months | 12 Months | |||||||||||
AB International Value Portfolio | 12.97% | 4.66% | ||||||||||
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MSCI ACWI ex-US | 13.46% | 2.92% | ||||||||||
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GROWTH OF A $10,000 INVESTMENT IN THE PORTFOLIO
8/31/06 TO 8/31/16 (unaudited)
This chart illustrates the total value of an assumed $10,000 investment in AB International Value Portfolio (from 8/31/06 to 8/31/16) as compared to the performance of the Portfolio’s benchmark. The chart assumes the reinvestment of dividends and capital gains distributions.
See Disclosures, Risks and Note about Historical Performance on pages 16-20.
(Historical Performance continued on next page)
AB POOLING PORTFOLIOS • | 23 |
Historical Performance
INTERNATIONAL GROWTH PORTFOLIO
HISTORICAL PERFORMANCE
(continued from previous page)
THE PORTFOLIO VS. ITS BENCHMARK PERIODS ENDED AUGUST 31, 2016 (unaudited) | Returns | |||||||||||
6 Months | 12 Months | |||||||||||
AB International Growth Portfolio | 14.64% | 6.23% | ||||||||||
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MSCI ACWI ex-US | 13.46% | 2.92% | ||||||||||
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GROWTH OF A $10,000 INVESTMENT IN THE PORTFOLIO
8/31/06 TO 8/31/16 (unaudited)
This chart illustrates the total value of an assumed $10,000 investment in AB International Growth Portfolio (from 8/31/06 to 8/31/16) as compared to the performance of the Portfolio’s benchmark. The chart assumes the reinvestment of dividends and capital gains distributions.
See Disclosures, Risks and Note about Historical Performance on pages 16-20.
(Historical Performance continued on next page)
24 | • AB POOLING PORTFOLIOS |
Historical Performance
SHORT DURATION BOND PORTFOLIO
HISTORICAL PERFORMANCE
(continued from previous page)
THE PORTFOLIO VS. ITS BENCHMARK PERIODS ENDED AUGUST 31, 2016 (unaudited) | Returns | |||||||||||
6 Months | 12 Months | |||||||||||
AB Short Duration Bond Portfolio* | 0.89% | 1.40% | ||||||||||
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BofA ML 1-3 Year US Treasury Index | 0.48% | 1.07% | ||||||||||
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* 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 August 31, 2016, by 0.02% and 0.04%, respectively. |
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GROWTH OF A $10,000 INVESTMENT IN THE PORTFOLIO
8/31/06 TO 8/31/16 (unaudited)
This chart illustrates the total value of an assumed $10,000 investment in AB Short Duration Bond Portfolio (from 8/31/06 to 8/31/16) as compared to the performance of the Portfolio’s benchmark. The chart assumes the reinvestment of dividends and capital gains distributions.
See Disclosures, Risks and Note about Historical Performance on pages 16-20.
(Historical Performance continued on next page)
AB POOLING PORTFOLIOS • | 25 |
Historical Performance
GLOBAL CORE BOND PORTFOLIO
HISTORICAL PERFORMANCE
(continued from previous page)
THE PORTFOLIO VS. ITS BENCHMARK PERIODS ENDED AUGUST 31, 2016 (unaudited) | Returns | |||||||||||
6 Months | 12 Months | |||||||||||
AB Global Core Bond Portfolio | 5.10% | 8.39% | ||||||||||
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Bloomberg Barclays Global Aggregate Bond Index (US dollar hedged) | 3.92% | 7.19% | ||||||||||
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GROWTH OF A $10,000 INVESTMENT IN THE PORTFOLIO
8/31/06 TO 8/31/16 (unaudited)
This chart illustrates the total value of an assumed $10,000 investment in AB Global Core Bond Portfolio (from 8/31/06 to 8/31/16) as compared to the performance of the Portfolio’s benchmark. The chart assumes the reinvestment of dividends and capital gains distributions.
See Disclosures, Risks and Note about Historical Performance on pages 16-20.
(Historical Performance continued on next page)
26 | • AB POOLING PORTFOLIOS |
Historical Performance
BOND INFLATION PROTECTION PORTFOLIO
HISTORICAL PERFORMANCE
(continued from previous page)
THE PORTFOLIO VS. ITS BENCHMARK PERIODS ENDED AUGUST 31, 2016 (unaudited) | Returns | |||||||||||
6 Months | 12 Months | |||||||||||
AB Bond Inflation Protection Portfolio | 4.64% | 5.53% | ||||||||||
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Bloomberg Barclays 1-10 Year TIPS Index | 2.58% | 3.77% | ||||||||||
| ||||||||||||
GROWTH OF A $10,000 INVESTMENT IN THE PORTFOLIO
8/31/06 TO 8/31/16 (unaudited)
This chart illustrates the total value of an assumed $10,000 investment in AB Bond Inflation Protection Portfolio (from 8/31/06 to 8/31/16) as compared to the performance of the Portfolio’s benchmark. The chart assumes the reinvestment of dividends and capital gains distributions.
See Disclosures, Risks and Note about Historical Performance on pages 16-20.
(Historical Performance continued on next page)
AB POOLING PORTFOLIOS • | 27 |
Historical Performance
SMALL-MID CAP VALUE PORTFOLIO
HISTORICAL PERFORMANCE
(continued from previous page)
THE PORTFOLIO VS. ITS BENCHMARK PERIODS ENDED AUGUST 31, 2016 (unaudited) | Returns | |||||||||||
6 Months | 12 Months | |||||||||||
AB Small-Mid Cap Value Portfolio* | 18.99% | 10.98% | ||||||||||
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Russell 2500 Value Index | 19.90% | 12.79% | ||||||||||
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* 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 August 31, 2016, by 0.01% and 0.01%, respectively. |
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GROWTH OF A $10,000 INVESTMENT IN THE PORTFOLIO
8/31/06 TO 8/31/16 (unaudited)
This chart illustrates the total value of an assumed $10,000 investment in AB Small-Mid Cap Value Portfolio (from 8/31/06 to 8/31/16) as compared to the performance of the Portfolio’s benchmark. The chart assumes the reinvestment of dividends and capital gains distributions.
See Disclosures, Risks and Note about Historical Performance on pages 16-20.
(Historical Performance continued on next page)
28 | • AB POOLING PORTFOLIOS |
Historical Performance
SMALL-MID CAP GROWTH PORTFOLIO
HISTORICAL PERFORMANCE
(continued from previous page)
THE PORTFOLIO VS. ITS BENCHMARK PERIODS ENDED AUGUST 31, 2016 (unaudited) | Returns | |||||||||||
6 Months | 12 Months | |||||||||||
AB Small-Mid Cap Growth Portfolio* | 16.05% | 0.74% | ||||||||||
| ||||||||||||
Russell 2500 Growth Index | 17.99% | 4.65% | ||||||||||
| ||||||||||||
* 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 August 31, 2016, by 0.15% and 0.17%, respectively. |
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GROWTH OF A $10,000 INVESTMENT IN THE PORTFOLIO
8/31/06 TO 8/31/16 (unaudited)
This chart illustrates the total value of an assumed $10,000 investment in AB Small-Mid Cap Growth Portfolio (from 8/31/06 to 8/31/16) as compared to the performance of the Portfolio’s benchmark. The chart assumes the reinvestment of dividends and capital gains distributions.
See Disclosures, Risks and Note about Historical Performance on pages 16-20.
(Historical Performance continued on next page)
AB POOLING PORTFOLIOS • | 29 |
Historical Performance
MULTI-ASSET REAL RETURN PORTFOLIO
HISTORICAL PERFORMANCE
(continued from previous page)
THE PORTFOLIO VS. ITS BENCHMARK | Returns | |||||||||||
6 Months | 12 Months | |||||||||||
AB Multi-Asset Real Return Portfolio | 16.02% | 2.70% | ||||||||||
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Primary Benchmark: MSCI AC World Commodity Producers Index | 22.10% | 9.67% | ||||||||||
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Secondary Benchmark: All Market Real Return Portfolio Benchmark | 16.05% | 6.08% | ||||||||||
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GROWTH OF A $10,000 INVESTMENT IN THE PORTFOLIO
8/31/06 To 8/31/16 (unaudited)
This chart illustrates the total value of an assumed $10,000 investment in AB Multi-Asset Real Return Portfolio (from 8/31/06 to 8/31/16) as compared to the performance of the Portfolio’s benchmark. The chart assumes the reinvestment of dividends and capital gains distributions.
See Disclosures, Risks and Note about Historical Performance on pages 16-20.
(Historical Performance continued on next page)
30 | • AB POOLING PORTFOLIOS |
Historical Performance
VOLATILITY MANAGEMENT PORTFOLIO
HISTORICAL PERFORMANCE
(continued from previous page)
THE PORTFOLIO VS. ITS BENCHMARK PERIODS ENDED AUGUST 31, 2016 (unaudited) | Returns | |||||||||||
6 Months | 12 Months | |||||||||||
AB Volatility Management Portfolio | 10.34% | 3.47% | ||||||||||
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MSCI ACWI | 13.53% | 7.24% | ||||||||||
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GROWTH OF A $10,000 INVESTMENT IN THE PORTFOLIO
4/16/10* TO 8/31/16 (unaudited)
This chart illustrates the total value of an assumed $10,000 investment in AB Volatility Management Portfolio (from 4/16/10* to 8/31/16) as compared to the performance of the Portfolio’s benchmark. The chart assumes the reinvestment of dividends and capital gains distributions.
* | Inception date: 4/16/2010. |
See Disclosures, Risks and Note about Historical Performance on pages 16-20.
(Historical Performance continued on next page)
AB POOLING PORTFOLIOS • | 31 |
Historical Performance
HISTORICAL PERFORMANCE
(continued from previous page)
AVERAGE ANNUAL RETURNS AS OF AUGUST 31, 2016 (unaudited) | ||||
NAV/SEC Returns* | ||||
AB U.S. Value Portfolio | ||||
1 Year | 7.55 | % | ||
5 Years | 13.51 | % | ||
10 Years | 4.66 | % | ||
AB U.S. Large Cap Growth Portfolio | ||||
1 Year | 10.50 | % | ||
5 Years | 17.18 | % | ||
10 Years | 8.82 | % | ||
AB International Value Portfolio | ||||
1 Year | 4.66 | % | ||
5 Years | 4.67 | % | ||
10 Years | -0.56 | % | ||
AB International Growth Portfolio | ||||
1 Year | 6.23 | % | ||
5 Years | 2.57 | % | ||
10 Years | -0.40 | % | ||
AB Short Duration Bond Portfolio | ||||
1 Year | 1.40 | % | ||
5 Years | 1.03 | % | ||
10 Years | 2.08 | % | ||
AB Global Core Bond Portfolio | ||||
1 Year | 8.39 | % | ||
5 Years | 4.66 | % | ||
10 Years | 5.90 | % | ||
AB Bond Inflation Protection Portfolio | ||||
1 Year | 5.53 | % | ||
5 Years | 2.16 | % | ||
10 Years | 4.56 | % |
* | 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 16-20.
(Historical Performance continued on next page)
32 | • AB POOLING PORTFOLIOS |
Historical Performance
HISTORICAL PERFORMANCE
(continued from previous page)
AVERAGE ANNUAL RETURNS AS OF AUGUST 31, 2016 (unaudited) | ||||
NAV/SEC Returns* | ||||
AB Small-Mid Cap Value Portfolio | ||||
1 Year | 10.98 | % | ||
5 Years | 15.30 | % | ||
10 Years | 9.51 | % | ||
AB Small-Mid Cap Growth Portfolio | ||||
1 Year | 0.74 | % | ||
5 Years | 12.67 | % | ||
10 Years | 10.91 | % | ||
AB Multi-Asset Real Return Portfolio | ||||
1 Year | 2.70 | % | ||
5 Years | -4.04 | % | ||
10 Years | -1.95 | % | ||
AB Volatility Management Portfolio | ||||
1 Year | 3.47 | % | ||
5 Years | 7.12 | % | ||
Since Inception† | 6.77 | % |
* | 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 16-20.
(Historical Performance continued on next page)
AB POOLING PORTFOLIOS • | 33 |
Historical Performance
HISTORICAL PERFORMANCE
(continued from previous page)
SEC AVERAGE ANNUAL RETURNS AS OF THE MOST RECENT CALENDAR QUARTER-END SEPTEMBER 30, 2016 (unaudited) | ||||
SEC Returns* | ||||
AB U.S. Value Portfolio | ||||
1 Year | 10.78 | % | ||
5 Years | 15.32 | % | ||
10 Years | 4.36 | % | ||
AB U.S. Large Cap Growth Portfolio | ||||
1 Year | 12.82 | % | ||
5 Years | 19.49 | % | ||
10 Years | 8.62 | % | ||
AB International Value Portfolio | ||||
1 Year | 10.70 | % | ||
5 Years | 7.54 | % | ||
10 Years | -0.52 | % | ||
AB International Growth Portfolio | ||||
1 Year | 11.49 | % | ||
5 Years | 6.26 | % | ||
10 Years | -0.06 | % | ||
AB Short Duration Bond Portfolio | ||||
1 Year | 1.83 | % | ||
5 Years | 1.20 | % | ||
10 Years | 2.09 | % | ||
AB Global Core Bond Portfolio | ||||
1 Year | 7.48 | % | ||
5 Years | 4.50 | % | ||
10 Years | 5.80 | % | ||
AB Bond Inflation Protection Portfolio | ||||
1 Year | 6.71 | % | ||
5 Years | 2.54 | % | ||
10 Years | 4.62 | % |
* | 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 16-20.
(Historical Performance continued on next page)
34 | • AB POOLING PORTFOLIOS |
Historical Performance
HISTORICAL PERFORMANCE
(continued from previous page)
SEC AVERAGE ANNUAL RETURNS AS OF THE MOST RECENT CALENDAR QUARTER-END SEPTEMBER 30, 2016 (unaudited) | ||||
SEC Returns* | ||||
AB Small-Mid Cap Value Portfolio | ||||
1 Year | 16.64 | % | ||
5 Years | 18.08 | % | ||
10 Years | 9.41 | % | ||
AB Small-Mid Cap Growth Portfolio | ||||
1 Year | 7.67 | % | ||
5 Years | 14.76 | % | ||
10 Years | 10.79 | % | ||
AB Multi-Asset Real Return Portfolio | ||||
1 Year | 10.46 | % | ||
5 Years | -0.88 | % | ||
10 Years | -1.91 | % | ||
AB Volatility Management Portfolio | ||||
1 Year | 6.51 | % | ||
5 Years | 7.03 | % | ||
Since Inception† | 6.69 | % |
* | 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 16-20.
AB POOLING PORTFOLIOS • | 35 |
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 March 1, 2016 | Ending Account Value August 31, 2016 | Expenses Paid During Period* | Annualized Expense Ratio* | |||||||||||||
AB U.S. Value | ||||||||||||||||
Actual | $ | 1,000 | $ | 1,128.80 | $ | 0.43 | 0.08 | % | ||||||||
Hypothetical** | $ | 1,000 | $ | 1,024.73 | $ | 0.41 | 0.08 | % | ||||||||
AB U.S. Large Cap Growth | ||||||||||||||||
Actual | $ | 1,000 | $ | 1,112.60 | $ | 0.42 | 0.08 | % | ||||||||
Hypothetical** | $ | 1,000 | $ | 1,024.73 | $ | 0.41 | 0.08 | % |
36 | • AB POOLING PORTFOLIOS |
Expense Example
EXPENSE EXAMPLE
(unaudited)
(continued from previous page)
Beginning Account Value March 1, 2016 | Ending Account Value August 31, 2016 | Expenses Paid During Period* | Annualized Expense Ratio* | |||||||||||||
AB International Value | ||||||||||||||||
Actual | $ | 1,000 | $ | 1,129.70 | $ | 0.64 | 0.12 | % | ||||||||
Hypothetical** | $ | 1,000 | $ | 1,024.53 | $ | 0.61 | 0.12 | % | ||||||||
AB International Growth | ||||||||||||||||
Actual | $ | 1,000 | $ | 1,146.40 | $ | 0.70 | 0.13 | % | ||||||||
Hypothetical** | $ | 1,000 | $ | 1,024.48 | $ | 0.66 | 0.13 | % | ||||||||
AB Short Duration Bond | ||||||||||||||||
Actual | $ | 1,000 | $ | 1,008.90 | $ | 0.25 | 0.05 | % | ||||||||
Hypothetical** | $ | 1,000 | $ | 1,024.89 | $ | 0.25 | 0.05 | % | ||||||||
AB Global Core Bond | ||||||||||||||||
Actual | $ | 1,000 | $ | 1,051.00 | $ | 0.41 | 0.08 | % | ||||||||
Hypothetical** | $ | 1,000 | $ | 1,024.73 | $ | 0.41 | 0.08 | % | ||||||||
AB Bond Inflation Protection | ||||||||||||||||
Actual | $ | 1,000 | $ | 1,046.40 | $ | 1.29 | 0.25 | % | ||||||||
Hypothetical** | $ | 1,000 | $ | 1,023.88 | $ | 1.27 | 0.25 | % | ||||||||
AB Small-Mid Cap Value | ||||||||||||||||
Actual | $ | 1,000 | $ | 1,189.90 | $ | 1.10 | 0.20 | % | ||||||||
Hypothetical** | $ | 1,000 | $ | 1,024.13 | $ | 1.02 | 0.20 | % | ||||||||
AB Small-Mid Cap Growth | ||||||||||||||||
Actual | $ | 1,000 | $ | 1,160.50 | $ | 1.14 | 0.21 | % | ||||||||
Hypothetical** | $ | 1,000 | $ | 1,024.08 | $ | 1.07 | 0.21 | % | ||||||||
AB Multi-Asset Real Return*** | ||||||||||||||||
Actual | $ | 1,000 | $ | 1,160.20 | $ | 0.43 | 0.08 | % | ||||||||
Hypothetical** | $ | 1,000 | $ | 1,024.73 | $ | 0.41 | 0.08 | % | ||||||||
AB Volatility Management | ||||||||||||||||
Actual | $ | 1,000 | $ | 1,103.40 | $ | 0.21 | 0.04 | % | ||||||||
Hypothetical** | $ | 1,000 | $ | 1,024.94 | $ | 0.20 | 0.04 | % |
* | Expenses are equal to the Portfolio’s annualized expense ratio, multiplied by the average account value over the period, multiplied by 184/366 (to reflect the one-half year period). |
** | Assumes 5% annual return before expenses. |
*** | Consolidated (see Note A). |
AB POOLING PORTFOLIOS • | 37 |
Expense Example
AB U.S. VALUE PORTFOLIO
PORTFOLIO SUMMARY
August 31, 2016 (unaudited)
PORTFOLIO STATISTICS
Net Assets ($mil): $320.4
* | All data are as of August 31, 2016. The Portfolio’s sector breakdown is expressed as a percentage of total investments (excluding security lending collateral) and may vary over time. |
Please note: The sector classifications presented herein are based on the Global Industry Classification Standard (GICS) which was developed by Morgan Stanley Capital International and Standard & Poor’s. The components are divided into sector, industry group, and industry sub-indices as classified by the GICS for each of the market capitalization indices in the broad market. These sector classifications are broadly defined. The “Portfolio of Investments” section of the report reflects more specific industry information and is consistent with the investment restrictions discussed in the Portfolio’s prospectus.
38 | • AB POOLING PORTFOLIOS |
Portfolio Summary
AB U.S. LARGE CAP GROWTH PORTFOLIO
PORTFOLIO SUMMARY
August 31, 2016 (unaudited)
PORTFOLIO STATISTICS
Net Assets ($mil): $318.9
* | All data are as of August 31, 2016. The Portfolio’s sector breakdown is expressed as a percentage of total investments (excluding security lending collateral) and may vary over time. |
Please note: The sector classifications presented herein are based on the Global Industry Classification Standard (GICS) which was developed by Morgan Stanley Capital International and Standard & Poor’s. The components are divided into sector, industry group, and industry sub-indices as classified by the GICS for each of the market capitalization indices in the broad market. These sector classifications are broadly defined. The “Portfolio of Investments” section of the report reflects more specific industry information and is consistent with the investment restrictions discussed in the Portfolio’s prospectus.
AB POOLING PORTFOLIOS • | 39 |
Portfolio Summary
AB INTERNATIONAL VALUE PORTFOLIO
PORTFOLIO SUMMARY
August 31, 2016 (unaudited)
PORTFOLIO STATISTICS
Net Assets ($mil): $270.4
* | All data are as of August 31, 2016. The Portfolio’s sector and country breakdowns are expressed as a percentage of total investments (excluding security lending collateral) and may vary over time. The Portfolio also enters into derivative transactions, which may be used for hedging or investment purposes (see “Portfolio of Investments” section of the report for additional details). “Other” country weightings represent 1.7% or less in the following countries: Argentina, Belgium, Hong Kong, Hungary, Italy, Norway, Portugal, Russia, South Africa, Spain, Taiwan and Turkey. |
Please note: The industry classifications presented herein are based on the Global Industry Classification Standard (GICS) which was developed by Morgan Stanley Capital International and Standard & Poor’s. The components are divided into sector, industry group, and industry sub-indices as classified by the GICS for each of the market capitalization indices in the broad market. These sector classifications are broadly defined. The “Portfolio of Investments” section of the report reflects more specific industry information and is consistent with the investment restrictions discussed in the Portfolio’s prospectus.
40 | • AB POOLING PORTFOLIOS |
Portfolio Summary
AB INTERNATIONAL GROWTH PORTFOLIO
PORTFOLIO SUMMARY
August 31, 2016 (unaudited)
PORTFOLIO STATISTICS
Net Assets ($mil): $269.2
* | All data are as of August 31, 2016. The Portfolio’s sector and country breakdowns are expressed as a percentage of total investments (excluding security lending collateral) and may vary over time. The Portfolio also enters into derivative transactions, which may be used for hedging or investment purposes (see “Portfolio of Investments” section of the report for additional details). “Other” country weightings represent 1.7% or less in the following countries: Australia, Indonesia, Philippines, Russia, Singapore, Taiwan and Thailand. |
Please note: The industry classifications presented herein are based on the Global Industry Classification Standard (GICS) which was developed by Morgan Stanley Capital International and Standard & Poor’s. The components are divided into sector, industry group, and industry sub-indices as classified by the GICS for each of the market capitalization indices in the broad market. These sector classifications are broadly defined. The “Portfolio of Investments” section of the report reflects more specific industry information and is consistent with the investment restrictions discussed in the Portfolio’s prospectus.
AB POOLING PORTFOLIOS • | 41 |
Portfolio Summary
AB SHORT DURATION BOND PORTFOLIO
PORTFOLIO SUMMARY
August 31, 2016 (unaudited)
PORTFOLIO STATISTICS
Net Assets ($mil): $78.3
* | All data are as of August 31, 2016. The Portfolio’s security type breakdown is expressed as a percentage of total investments and may vary over time. The Portfolio also enters into derivative transactions, which may be used for hedging or investment purposes (see “Portfolio of Investments” section of the report for additional details). |
42 | • AB POOLING PORTFOLIOS |
Portfolio Summary
AB GLOBAL CORE BOND PORTFOLIO
PORTFOLIO SUMMARY
August 31, 2016 (unaudited)
PORTFOLIO STATISTICS
Net Assets ($mil): $260.3
* | All data are as of August 31, 2016. The Portfolio’s security type breakdown is expressed as a percentage of total investments and may vary over time. The Portfolio also enters into derivative transactions, which may be used for hedging or investment purposes (see “Portfolio of Investments” section of the report for additional details). |
AB POOLING PORTFOLIOS • | 43 |
Portfolio Summary
AB GLOBAL CORE BOND PORTFOLIO
PORTFOLIO SUMMARY
August 31, 2016 (unaudited)
PORTFOLIO STATISTICS
Net Assets ($mil): $260.3
* | All data are as of August 31, 2016. The Portfolio’s country breakdowns are expressed as a percentage of total investments and may vary over time. The Portfolio also enters into derivative transactions, which may be used for hedging or investment purposes (see “Portfolio of Investments” section of the report for additional details). “Other” country weightings represent 0.7% or less in the following countries or regions: Brazil, Chile, China, Colombia, Denmark, Ireland, Israel, Morocco, Norway, Peru, Poland, Portugal, Russia, Singapore, South Africa, Supranational and Turkey. |
44 | • AB POOLING PORTFOLIOS |
Portfolio Summary
AB BOND INFLATION PROTECTION PORTFOLIO
PORTFOLIO SUMMARY
August 31, 2016 (unaudited)
PORTFOLIO STATISTICS
Net Assets ($mil): $104.9
Total Investments ($mil): $138.3
INFLATION PROTECTION BREAKDOWN* | ||||
U.S. Inflation-Protected Exposure | 99.6 | % | ||
Non-U.S. | — | |||
Non-Inflation Exposure | 0.4 | % | ||
|
| |||
100.0 | % |
SECTOR BREAKDOWN OF NET PORTFOLIO ASSETS, EXCLUDING TREASURY SECURITIES, TIPS, INTEREST RATE DERIVATIVES AND NET CASH EQUIVALENTS* | ||||
Corporates – Investment Grade | 15.5 | % | ||
Commercial Mortgage-Backed Securities | 9.9 | % | ||
Asset-Backed Securities | 7.0 | % | ||
Collateralized Mortgage Obligations | 5.4 | % | ||
Governments – Sovereign Agencies | 0.5 | % | ||
Emerging Markets – Corporate Bonds | 0.1 | % | ||
Governments – Sovereign Bonds | 0.1 | % | ||
Corporates – Non-Investment Grade | (1.6 | )% |
* | All data are as of August 31, 2016. The Portfolio’s sector and inflation protection exposure breakdowns are expressed as an approximate percentage of the Portfolio’s total net assets (and may vary over time) inclusive of derivative exposure except as noted, based on the Adviser’s internal classification. |
AB POOLING PORTFOLIOS • | 45 |
Portfolio Summary
AB BOND INFLATION PROTECTION PORTFOLIO
PORTFOLIO SUMMARY
August 31, 2016 (unaudited)
PORTFOLIO STATISTICS
Net Assets ($mil): $104.9
Total Investments ($mil): $138.3
SECTOR BREAKDOWN OF TOTAL PORTFOLIO INVESTMENTS, EXCLUDING DERIVATIVES* | ||||
Inflation-Linked Securities | 66.5 | % | ||
Corporates – Investment Grade | 14.2 | % | ||
Commercial Mortgage-Backed Securities | 7.2 | % | ||
Asset-Backed Securities | 5.3 | % | ||
Collateralized Mortgage Obligations | 4.1 | % | ||
Corporates – Non-Investment Grade | 1.7 | % | ||
Emerging Markets – Treasuries | 0.4 | % | ||
Governments – Sovereign Agencies | 0.4 | % | ||
Emerging Markets – Corporate Bonds | 0.1 | % | ||
Governments – Sovereign Bonds | 0.1 | % |
* | The Portfolio’s sector breakdown is expressed, based on the Adviser’s internal classification, as a percentage of total investments and may vary over time. The Portfolio also enters into derivative transactions (not reflected in the table), which may be used for hedging or investment purposes or to adjust the risk profile or exposures of the Portfolio (see “Portfolio of Investments” section of the report for additional details). Derivative transactions may result in a form of leverage for the Portfolio. The Portfolio uses leverage for investment purposes by entering into reverse repurchase agreements. As a result, the Portfolio’s total investments will generally exceed its net assets. |
46 | • AB POOLING PORTFOLIOS |
Portfolio Summary
AB SMALL-MID CAP VALUE PORTFOLIO
PORTFOLIO SUMMARY
August 31, 2016 (unaudited)
PORTFOLIO STATISTICS
Net Assets ($mil): $93.9
* | All data are as of August 31, 2016. The Portfolio’s sector breakdown is expressed as a percentage of total investments and may vary over time. |
Please note: The sector classifications presented herein are based on the Global Industry Classification Standard (GICS) which was developed by Morgan Stanley Capital International and Standard & Poor’s. The components are divided into sector, industry group, and industry sub-indices as classified by the GICS for each of the market capitalization indices in the broad market. These sector classifications are broadly defined. The “Portfolio of Investments” section of the report reflects more specific industry information and is consistent with the investment restrictions discussed in the Portfolio’s prospectus.
AB POOLING PORTFOLIOS • | 47 |
Portfolio Summary
AB SMALL-MID CAP GROWTH PORTFOLIO
PORTFOLIO SUMMARY
August 31, 2016 (unaudited)
PORTFOLIO STATISTICS
Net Assets ($mil): $93.6
* | All data are as of August 31, 2016. The Portfolio’s sector breakdown is expressed as a percentage of total investments and may vary over time. |
Please note: The sector classifications presented herein are based on the Global Industry Classification Standard (GICS) which was developed by Morgan Stanley Capital International and Standard & Poor’s. The components are divided into sector, industry group, and industry sub-indices as classified by the GICS for each of the market capitalization indices in the broad market. These sector classifications are broadly defined. The “Portfolio of Investments” section of the report reflects more specific industry information and is consistent with the investment restrictions discussed in the Portfolio’s prospectus.
48 | • AB POOLING PORTFOLIOS |
Portfolio Summary
AB MULTI-ASSET REAL RETURN PORTFOLIO
PORTFOLIO SUMMARY
August 31, 2016 (unaudited)
PORTFOLIO STATISTICS
Net Assets ($mil): $945.0
* | All data are as of August 31, 2016. The Portfolio’s portfolio breakdown is expressed as an approximate percentage of the Portfolio’s net assets inclusive of derivative exposure, based on the Adviser’s internal classification guidelines. |
† | The Portfolio’s security type breakdown is expressed as a percentage of total investments (excluding security lending collateral) and may vary over time. The Portfolio also enters into derivative transactions, which may be used for hedging or investment purposes (see “Portfolio of Investments” section of the report for additional details). |
AB POOLING PORTFOLIOS • | 49 |
Portfolio Summary
AB MULTI-ASSET REAL RETURN PORTFOLIO
PORTFOLIO SUMMARY
August 31, 2016 (unaudited)
* | All data are as of August 31, 2016. The Portfolio’s country breakdown is expressed as a percentage of total investments (excluding security lending collateral) and may vary over time. The Portfolio also enters into derivative transactions, which may be used for hedging or investment purposes (see “Portfolio of Investments” section of the report for additional details). “Other” country weightings represent 0.5% or less in the following countries: Argentina, Austria, Belgium, Chile, Finland, Germany, India, Indonesia, Jersey (Channel Islands), Luxembourg, Malaysia, Mexico, Norway, Philippines, Poland, Portugal, South Africa, South Korea, Spain, Sweden, Switzerland, Taiwan, Thailand and Turkey. |
50 | • AB POOLING PORTFOLIOS |
Portfolio Summary
AB VOLATILITY MANAGEMENT PORTFOLIO
PORTFOLIO SUMMARY
August 31, 2016 (unaudited)
PORTFOLIO STATISTICS
Net Assets ($mil): $513.9
TEN LARGEST HOLDINGS‡
August 31, 2016 (unaudited)
Company | U.S. $ Value | Percent of Net Assets | ||||||
iShares International Developed Real Estate ETF | $ | 10,595,118 | 2.1 | % | ||||
Vanguard REIT ETF | 9,676,466 | 1.9 | ||||||
Apple, Inc. | 4,416,625 | 0.9 | ||||||
Alphabet, Inc. — Class A & Class C | 3,535,675 | 0.7 | ||||||
Microsoft Corp. | 3,431,511 | 0.7 | ||||||
Exxon Mobil Corp. | 2,745,171 | 0.5 | ||||||
Johnson & Johnson | 2,494,206 | 0.5 | ||||||
Nestle SA (REG) | 2,302,802 | 0.4 | ||||||
Amazon.com, Inc. | 2,284,405 | 0.4 | ||||||
EURO STOXX 50 Volatility Index | 2,246,906 | 0.4 | ||||||
$ | 43,728,885 | 8.5 | % |
* | All data are as of August 31, 2016. The Portfolio’s sector 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” represents less than 1.3% weightings in the following sectors: Lodging, Office, Options on Indices, Real Estate and Residential. |
‡ | Long-term investments. |
AB POOLING PORTFOLIOS • | 51 |
Portfolio Summary and Ten Largest Holdings
AB U.S. VALUE PORTFOLIO
PORTFOLIO OF INVESTMENTS
August 31, 2016
Company | Shares | U.S. $ Value | ||||||
| ||||||||
COMMON STOCKS – 97.3% | ||||||||
Financials – 25.6% | ||||||||
Banks – 11.8% | ||||||||
Bank of America Corp. | 652,915 | $ | 10,538,048 | |||||
Citigroup, Inc. | 51,453 | 2,456,366 | ||||||
Fifth Third Bancorp | 26,911 | 542,526 | ||||||
JPMorgan Chase & Co. | 124,209 | 8,384,107 | ||||||
PNC Financial Services Group, Inc. (The) | 35,306 | 3,181,071 | ||||||
SunTrust Banks, Inc. | 17,152 | 755,889 | ||||||
US Bancorp | 31,697 | 1,399,422 | ||||||
Wells Fargo & Co. | 207,085 | 10,519,918 | ||||||
|
| |||||||
37,777,347 | ||||||||
|
| |||||||
Capital Markets – 1.0% | ||||||||
Bank of New York Mellon Corp. (The) | 16,881 | 703,431 | ||||||
Goldman Sachs Group, Inc. (The) | 14,508 | 2,458,526 | ||||||
|
| |||||||
3,161,957 | ||||||||
|
| |||||||
Consumer Finance – 4.6% | ||||||||
Capital One Financial Corp. | 51,199 | 3,665,848 | ||||||
Discover Financial Services | 38,277 | 2,296,620 | ||||||
OneMain Holdings, Inc.(a) | 93,204 | 2,890,256 | ||||||
Synchrony Financial | 214,771 | 5,977,077 | ||||||
|
| |||||||
14,829,801 | ||||||||
|
| |||||||
Diversified Financial Services – 1.0% | ||||||||
Berkshire Hathaway, Inc. – Class B(a) | 21,137 | 3,180,907 | ||||||
|
| |||||||
Insurance – 7.2% | ||||||||
Aflac, Inc. | 14,417 | 1,069,453 | ||||||
Allstate Corp. (The) | 62,084 | 4,281,313 | ||||||
American International Group, Inc. | 115,807 | 6,928,733 | ||||||
Cincinnati Financial Corp. | 4,597 | 354,475 | ||||||
First American Financial Corp. | 60,682 | 2,614,787 | ||||||
FNF Group | 93,463 | 3,522,621 | ||||||
Hartford Financial Services Group, Inc. (The) | 15,614 | 641,267 | ||||||
Loews Corp. | 8,590 | 359,577 | ||||||
Progressive Corp. (The) | 63,257 | 2,059,648 | ||||||
Travelers Cos., Inc. (The) | 9,775 | 1,160,390 | ||||||
|
| |||||||
22,992,264 | ||||||||
|
| |||||||
81,942,276 | ||||||||
|
| |||||||
Information Technology – 12.9% | ||||||||
Communications Equipment – 1.6% | ||||||||
Cisco Systems, Inc. | 162,278 | 5,102,020 | ||||||
|
| |||||||
Electronic Equipment, Instruments & Components – 0.3% | ||||||||
Corning, Inc. | 37,178 | 843,569 | ||||||
|
|
52 | • AB POOLING PORTFOLIOS |
AB U.S. Value Portfolio—Portfolio of Investments
Company | Shares | U.S. $ Value | ||||||
| ||||||||
Internet Software & Services – 0.5% | ||||||||
eBay, Inc.(a) | 51,500 | $ | 1,656,240 | |||||
|
| |||||||
IT Services – 1.6% | ||||||||
Booz Allen Hamilton Holding Corp. | 80,552 | 2,445,558 | ||||||
Xerox Corp. | 288,981 | 2,846,463 | ||||||
|
| |||||||
5,292,021 | ||||||||
|
| |||||||
Semiconductors & Semiconductor Equipment – 3.4% | ||||||||
Applied Materials, Inc. | 99,946 | 2,982,389 | ||||||
Intel Corp. | 219,646 | 7,883,095 | ||||||
|
| |||||||
10,865,484 | ||||||||
|
| |||||||
Software – 2.5% | ||||||||
Oracle Corp. | 199,162 | 8,209,458 | ||||||
|
| |||||||
Technology Hardware, Storage & Peripherals – 3.0% | ||||||||
Hewlett Packard Enterprise Co. | 245,865 | 5,281,180 | ||||||
HP, Inc. | 235,274 | 3,380,887 | ||||||
NCR Corp.(a) | 24,697 | 835,994 | ||||||
|
| |||||||
9,498,061 | ||||||||
|
| |||||||
41,466,853 | ||||||||
|
| |||||||
Energy – 12.2% | ||||||||
Energy Equipment & Services – 3.0% | ||||||||
Helmerich & Payne, Inc.(b) | 52,914 | 3,199,180 | ||||||
Schlumberger Ltd. | 81,588 | 6,445,452 | ||||||
|
| |||||||
9,644,632 | ||||||||
|
| |||||||
Oil, Gas & Consumable Fuels – 9.2% | ||||||||
Chevron Corp. | 11,455 | 1,152,144 | ||||||
Devon Energy Corp. | 94,833 | 4,109,114 | ||||||
EOG Resources, Inc. | 68,421 | 6,054,574 | ||||||
Exxon Mobil Corp. | 101,087 | 8,808,721 | ||||||
Hess Corp. | 95,328 | 5,176,311 | ||||||
QEP Resources, Inc. | 164,003 | 3,132,457 | ||||||
Southwestern Energy Co.(a) | 67,104 | 933,417 | ||||||
|
| |||||||
29,366,738 | ||||||||
|
| |||||||
39,011,370 | ||||||||
|
| |||||||
Health Care – 10.9% | ||||||||
Biotechnology – 0.6% | ||||||||
Gilead Sciences, Inc. | 26,463 | 2,074,170 | ||||||
|
| |||||||
Health Care Providers & Services – 4.0% | ||||||||
Aetna, Inc. | 27,684 | 3,242,350 | ||||||
Cigna Corp. | 29,316 | 3,760,070 | ||||||
McKesson Corp. | 16,559 | 3,057,123 |
AB POOLING PORTFOLIOS • | 53 |
AB U.S. Value Portfolio—Portfolio of Investments
Company | Shares | U.S. $ Value | ||||||
| ||||||||
Quest Diagnostics, Inc. | 31,468 | $ | 2,606,180 | |||||
|
| |||||||
12,665,723 | ||||||||
|
| |||||||
Pharmaceuticals – 6.3% | ||||||||
Johnson & Johnson | 90,848 | 10,841,800 | ||||||
Merck & Co., Inc. | 18,499 | 1,161,552 | ||||||
Pfizer, Inc. | 236,970 | 8,246,556 | ||||||
|
| |||||||
20,249,908 | ||||||||
|
| |||||||
34,989,801 | ||||||||
|
| |||||||
Industrials – 9.2% | ||||||||
Aerospace & Defense – 3.5% | ||||||||
B/E Aerospace, Inc. | 50,067 | 2,530,887 | ||||||
L-3 Communications Holdings, Inc. | 36,430 | 5,421,512 | ||||||
Northrop Grumman Corp. | 6,215 | 1,318,015 | ||||||
United Technologies Corp. | 18,390 | 1,957,248 | ||||||
|
| |||||||
11,227,662 | ||||||||
|
| |||||||
Airlines – 1.1% | ||||||||
Delta Air Lines, Inc. | 91,540 | 3,364,095 | ||||||
|
| |||||||
Construction & Engineering – 0.4% | ||||||||
Quanta Services, Inc.(a) | 53,627 | 1,379,823 | ||||||
|
| |||||||
Electrical Equipment – 1.4% | ||||||||
Eaton Corp. PLC | 66,637 | 4,434,026 | ||||||
|
| |||||||
Industrial Conglomerates – 1.5% | ||||||||
General Electric Co. | 153,240 | 4,787,218 | ||||||
|
| |||||||
Machinery – 1.3% | ||||||||
Ingersoll-Rand PLC | 27,563 | 1,874,008 | ||||||
ITT, Inc. | 51,267 | 1,854,840 | ||||||
Parker-Hannifin Corp. | 4,098 | 502,128 | ||||||
|
| |||||||
4,230,976 | ||||||||
|
| |||||||
29,423,800 | ||||||||
|
| |||||||
Consumer Discretionary – 8.1% | ||||||||
Auto Components – 1.9% | ||||||||
Lear Corp. | 21,312 | 2,478,372 | ||||||
Magna International, Inc. (New York) – Class A | 88,465 | 3,565,140 | ||||||
|
| |||||||
6,043,512 | ||||||||
|
| |||||||
Automobiles – 0.6% | ||||||||
General Motors Co. | 59,274 | 1,892,026 | ||||||
|
| |||||||
Leisure Products – 0.1% | ||||||||
Mattel, Inc. | 11,324 | 375,164 | ||||||
|
| |||||||
Media – 2.2% | ||||||||
CBS Corp. – Class B | 29,542 | 1,507,528 |
54 | • AB POOLING PORTFOLIOS |
AB U.S. Value Portfolio—Portfolio of Investments
Company | Shares | U.S. $ Value | ||||||
| ||||||||
Charter Communications, Inc. – Class A(a) | 4,365 | $ | 1,122,722 | |||||
Comcast Corp. – Class A | 40,789 | 2,661,890 | ||||||
Interpublic Group of Cos., Inc. (The) | 26,798 | 620,106 | ||||||
Thomson Reuters Corp.(b) | 17,294 | 717,528 | ||||||
Twenty-First Century Fox, Inc. – Class A | 12,772 | 313,425 | ||||||
|
| |||||||
6,943,199 | ||||||||
|
| |||||||
Multiline Retail – 1.6% | ||||||||
Dollar General Corp. | 34,547 | 2,536,095 | ||||||
Target Corp. | 37,702 | 2,646,304 | ||||||
|
| |||||||
5,182,399 | ||||||||
|
| |||||||
Specialty Retail – 1.7% | ||||||||
Burlington Stores, Inc.(a) | 21,809 | 1,771,327 | ||||||
Office Depot, Inc. | 245,436 | 903,204 | ||||||
Ross Stores, Inc. | 25,063 | 1,559,921 | ||||||
TJX Cos., Inc. (The) | 18,399 | 1,424,819 | ||||||
|
| |||||||
5,659,271 | ||||||||
|
| |||||||
26,095,571 | ||||||||
|
| |||||||
Consumer Staples – 7.3% | ||||||||
Food & Staples Retailing – 1.0% | ||||||||
Kroger Co. (The) | 99,707 | 3,189,627 | ||||||
|
| |||||||
Food Products – 2.8% | ||||||||
Archer-Daniels-Midland Co. | 20,764 | 908,632 | ||||||
Bunge Ltd. | 7,309 | 467,045 | ||||||
Ingredion, Inc. | 14,532 | 1,990,303 | ||||||
Mondelez International, Inc. – Class A | 55,649 | 2,505,318 | ||||||
Tyson Foods, Inc. – Class A | 38,772 | 2,930,000 | ||||||
|
| |||||||
8,801,298 | ||||||||
|
| |||||||
Household Products – 1.1% | ||||||||
Kimberly-Clark Corp. | 2,507 | 321,047 | ||||||
Procter & Gamble Co. (The) | 37,394 | 3,264,870 | ||||||
|
| |||||||
3,585,917 | ||||||||
|
| |||||||
Tobacco – 2.4% | ||||||||
Altria Group, Inc. | 52,900 | 3,496,161 | ||||||
Philip Morris International, Inc. | 43,402 | 4,337,162 | ||||||
|
| |||||||
7,833,323 | ||||||||
|
| |||||||
23,410,165 | ||||||||
|
| |||||||
Utilities – 5.7% | ||||||||
Electric Utilities – 4.2% | ||||||||
American Electric Power Co., Inc. | 54,285 | 3,505,182 | ||||||
Edison International | 55,970 | 4,070,138 | ||||||
Exelon Corp. | 44,536 | 1,514,224 | ||||||
FirstEnergy Corp. | 20,437 | 668,903 | ||||||
PG&E Corp. | 15,402 | 954,000 | ||||||
Portland General Electric Co. | 34,744 | 1,463,070 |
AB POOLING PORTFOLIOS • | 55 |
AB U.S. Value Portfolio—Portfolio of Investments
Company | Shares | U.S. $ Value | ||||||
| ||||||||
PPL Corp. | 20,288 | $ | 705,617 | |||||
Xcel Energy, Inc. | 15,605 | 645,423 | ||||||
|
| |||||||
13,526,557 | ||||||||
|
| |||||||
Multi-Utilities – 1.5% | ||||||||
NiSource, Inc. | 143,787 | 3,442,261 | ||||||
Public Service Enterprise Group, Inc. | 26,100 | 1,116,036 | ||||||
|
| |||||||
4,558,297 | ||||||||
|
| |||||||
18,084,854 | ||||||||
|
| |||||||
Telecommunication Services – 4.2% | ||||||||
Diversified Telecommunication Services – 2.7% | ||||||||
AT&T, Inc. | 209,450 | 8,562,316 | ||||||
|
| |||||||
Wireless Telecommunication Services – 1.5% | ||||||||
T-Mobile US, Inc.(a) | 108,287 | 5,018,019 | ||||||
|
| |||||||
13,580,335 | ||||||||
|
| |||||||
Materials – 1.2% | ||||||||
Chemicals – 1.0% | ||||||||
CF Industries Holdings, Inc. | 94,779 | 2,464,254 | ||||||
LyondellBasell Industries NV – Class A | 9,751 | 769,257 | ||||||
|
| |||||||
3,233,511 | ||||||||
|
| |||||||
Metals & Mining – 0.2% | ||||||||
Newmont Mining Corp. | 16,314 | 623,847 | ||||||
|
| |||||||
3,857,358 | ||||||||
|
| |||||||
Total Common Stocks | 311,862,383 | |||||||
|
| |||||||
SHORT-TERM INVESTMENTS – 1.5% | ||||||||
Investment Companies – 1.5% | ||||||||
AB Fixed Income Shares, Inc. – Government Money Market Portfolio – Class AB, 0.24%(c)(d) | 4,681,018 | 4,681,018 | ||||||
|
| |||||||
Total Investments Before Security Lending Collateral for Securities Loaned – 98.8% | 316,543,401 | |||||||
|
| |||||||
INVESTMENTS OF CASH COLLATERAL | ||||||||
Investment Companies – 1.0% | ||||||||
AB Fixed Income Shares, Inc. – Government Money Market Portfolio – Class AB, 0.24%(c)(d) | 3,320,729 | 3,320,729 | ||||||
|
| |||||||
Total Investments – 99.8% | 319,864,130 | |||||||
Other assets less liabilities – 0.2% | 621,246 | |||||||
|
| |||||||
Net Assets – 100.0% | $ | 320,485,376 | ||||||
|
|
56 | • AB POOLING PORTFOLIOS |
AB U.S. Value Portfolio—Portfolio of Investments
(a) | Non-income producing security. |
(b) | Represents entire or partial securities out on loan. See Note D for securities lending information. |
(c) | Investment in affiliated money market mutual fund. The rate shown represents the 7-day yield as of period end. |
(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 • | 57 |
AB U.S. Value Portfolio—Portfolio of Investments
AB U.S. LARGE CAP GROWTH PORTFOLIO
PORTFOLIO OF INVESTMENTS
August 31, 2016
Company | Shares | U.S. $ Value | ||||||
| ||||||||
COMMON STOCKS – 94.1% | ||||||||
Information Technology – 38.3% | ||||||||
Communications Equipment – 2.8% | ||||||||
Arista Networks, Inc.(a) | 53,262 | $ | 4,243,916 | |||||
Palo Alto Networks, Inc.(a) | 34,790 | 4,632,985 | ||||||
|
| |||||||
8,876,901 | ||||||||
|
| |||||||
Electronic Equipment, Instruments & Components – 1.0% | ||||||||
Amphenol Corp. – Class A | 49,667 | 3,094,751 | ||||||
|
| |||||||
Internet Software & Services – 13.3% | ||||||||
Alphabet, Inc. – Class A(a) | 3,385 | 2,673,642 | ||||||
Alphabet, Inc. – Class C(a) | 25,368 | 19,458,524 | ||||||
Facebook, Inc. – Class A(a) | 162,040 | 20,436,485 | ||||||
|
| |||||||
42,568,651 | ||||||||
|
| |||||||
IT Services – 8.0% | ||||||||
Cognizant Technology Solutions Corp. – Class A(a) | 88,540 | 5,085,738 | ||||||
Vantiv, Inc. – Class A(a) | 53,660 | 2,883,688 | ||||||
Visa, Inc. – Class A | 216,408 | 17,507,407 | ||||||
|
| |||||||
25,476,833 | ||||||||
|
| |||||||
Semiconductors & Semiconductor Equipment – 5.6% | ||||||||
NVIDIA Corp. | 97,882 | 6,004,082 | ||||||
Texas Instruments, Inc. | 72,780 | 5,061,121 | ||||||
Xilinx, Inc. | 127,390 | 6,905,812 | ||||||
|
| |||||||
17,971,015 | ||||||||
|
| |||||||
Software – 3.4% | ||||||||
Adobe Systems, Inc.(a) | 45,950 | 4,701,144 | ||||||
Aspen Technology, Inc.(a) | 27,124 | 1,233,057 | ||||||
Intuit, Inc. | 11,270 | 1,256,042 | ||||||
ServiceNow, Inc.(a) | 38,328 | 2,785,296 | ||||||
Ultimate Software Group, Inc. (The)(a) | 3,432 | 717,082 | ||||||
|
| |||||||
10,692,621 | ||||||||
|
| |||||||
Technology Hardware, Storage & Peripherals – 4.2% | ||||||||
Apple, Inc. | 126,371 | 13,407,963 | ||||||
|
| |||||||
122,088,735 | ||||||||
|
| |||||||
Consumer Discretionary – 20.7% | ||||||||
Hotels, Restaurants & Leisure – 2.6% | ||||||||
Starbucks Corp. | 146,330 | 8,228,136 | ||||||
|
| |||||||
Internet & Direct Marketing Retail – 1.8% | ||||||||
Priceline Group, Inc. (The)(a) | 4,150 | 5,879,430 | ||||||
|
|
58 | • AB POOLING PORTFOLIOS |
AB U.S. Large Cap Growth Portfolio—Portfolio of Investments
Company | Shares | U.S. $ Value | ||||||
| ||||||||
Media – 5.1% | ||||||||
AMC Networks, Inc. – Class A(a) | 67,605 | $ | 3,673,656 | |||||
Comcast Corp. – Class A | 115,440 | 7,533,614 | ||||||
Walt Disney Co. (The) | 53,326 | 5,037,174 | ||||||
|
| |||||||
16,244,444 | ||||||||
|
| |||||||
Multiline Retail – 2.2% |
| |||||||
Dollar Tree, Inc.(a) | 82,910 | 6,856,657 | ||||||
|
| |||||||
Specialty Retail – 6.4% | ||||||||
Home Depot, Inc. (The) | 99,681 | 13,369,216 | ||||||
O’Reilly Automotive, Inc.(a) | 7,710 | 2,158,414 | ||||||
Tractor Supply Co. | 26,680 | 2,239,786 | ||||||
Ulta Salon Cosmetics & Fragrance, Inc.(a) | 10,990 | 2,716,838 | ||||||
|
| |||||||
20,484,254 | ||||||||
|
| |||||||
Textiles, Apparel & Luxury Goods – 2.6% | ||||||||
NIKE, Inc. – Class B | 145,782 | 8,402,874 | ||||||
|
| |||||||
66,095,795 | ||||||||
|
| |||||||
Health Care – 20.1% | ||||||||
Biotechnology – 8.1% | ||||||||
Alexion Pharmaceuticals, Inc.(a) | 56,287 | 7,084,282 | ||||||
Biogen, Inc.(a) | 41,684 | 12,739,881 | ||||||
Gilead Sciences, Inc. | 74,160 | 5,812,661 | ||||||
|
| |||||||
25,636,824 | ||||||||
|
| |||||||
Health Care Equipment & Supplies – 6.3% | ||||||||
Align Technology, Inc.(a) | 36,916 | 3,429,496 | ||||||
Danaher Corp. | 45,399 | 3,695,933 | ||||||
Edwards Lifesciences Corp.(a) | 18,670 | 2,150,037 | ||||||
Intuitive Surgical, Inc.(a) | 15,781 | 10,832,394 | ||||||
|
| |||||||
20,107,860 | ||||||||
|
| |||||||
Health Care Providers & Services – 4.8% | ||||||||
Premier, Inc. – Class A(a) | 57,254 | 1,812,089 | ||||||
UnitedHealth Group, Inc. | 90,675 | 12,336,334 | ||||||
VCA, Inc.(a) | 17,920 | 1,268,915 | ||||||
|
| |||||||
15,417,338 | ||||||||
|
| |||||||
Life Sciences Tools & Services – 0.9% | ||||||||
Mettler-Toledo International, Inc.(a) | 6,973 | 2,810,607 | ||||||
|
| |||||||
63,972,629 | ||||||||
|
| |||||||
Consumer Staples – 7.9% | ||||||||
Beverages – 1.9% | ||||||||
Monster Beverage Corp.(a) | 40,588 | 6,246,087 | ||||||
|
| |||||||
Food & Staples Retailing – 5.1% | ||||||||
Costco Wholesale Corp. | 23,400 | 3,792,906 | ||||||
CVS Health Corp. | 133,297 | 12,449,940 | ||||||
|
| |||||||
16,242,846 | ||||||||
|
|
AB POOLING PORTFOLIOS • | 59 |
AB U.S. Large Cap Growth Portfolio—Portfolio of Investments
Company | Shares | U.S. $ Value | ||||||
| ||||||||
Personal Products – 0.9% | ||||||||
Estee Lauder Cos., Inc. (The) – Class A | 31,230 | $ | 2,786,653 | |||||
|
| |||||||
25,275,586 | ||||||||
|
| |||||||
Industrials – 5.9% | ||||||||
Aerospace & Defense – 1.4% | ||||||||
Hexcel Corp. | 41,591 | 1,865,356 | ||||||
Rockwell Collins, Inc. | 29,834 | 2,496,808 | ||||||
|
| |||||||
4,362,164 | ||||||||
|
| |||||||
Building Products – 1.3% | ||||||||
Allegion PLC | 17,150 | 1,221,423 | ||||||
AO Smith Corp. | 30,870 | 2,978,338 | ||||||
|
| |||||||
4,199,761 | ||||||||
|
| |||||||
Electrical Equipment – 1.2% | ||||||||
Acuity Brands, Inc. | 13,779 | 3,790,878 | ||||||
|
| |||||||
Industrial Conglomerates – 1.4% | ||||||||
3M Co. | 16,020 | 2,871,425 | ||||||
Roper Technologies, Inc. | 10,150 | 1,802,132 | ||||||
|
| |||||||
4,673,557 | ||||||||
|
| |||||||
Machinery – 0.6% | ||||||||
IDEX Corp. | 6,700 | 626,048 | ||||||
WABCO Holdings, Inc.(a) | 12,500 | 1,334,500 | ||||||
|
| |||||||
1,960,548 | ||||||||
|
| |||||||
18,986,908 | ||||||||
|
| |||||||
Financials – 1.0% | ||||||||
Capital Markets – 0.8% | ||||||||
BlackRock, Inc. – Class A | 6,980 | 2,602,214 | ||||||
|
| |||||||
Diversified Financial Services – 0.2% | ||||||||
MarketAxess Holdings, Inc. | 2,923 | 492,642 | ||||||
|
| |||||||
3,094,856 | ||||||||
|
| |||||||
Energy – 0.2% | ||||||||
Energy Equipment & Services – 0.2% | ||||||||
Core Laboratories NV(b) | 5,010 | 560,018 | ||||||
|
| |||||||
Total Common Stocks | 300,074,527 | |||||||
|
| |||||||
SHORT-TERM INVESTMENTS – 6.1% | ||||||||
Investment Companies – 6.1% | ||||||||
AB Fixed Income Shares, Inc. – Government Money Market Portfolio – Class AB, 0.24%(c)(d) | 19,404,960 | 19,404,960 | ||||||
|
| |||||||
Total Investments Before Security Lending Collateral for Securities Loaned – 100.2% | 319,479,487 | |||||||
|
|
60 | • 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 – 0.2% | ||||||||
Investment Companies – 0.2% | ||||||||
AB Fixed Income Shares, Inc. – Government Money Market Portfolio – Class AB, 0.24%(c)(d) (cost $584,918) | 584,918 | $ | 584,918 | |||||
|
| |||||||
Total Investments – 100.4% | 320,064,405 | |||||||
Other assets less liabilities – (0.4)% | (1,205,713 | ) | ||||||
|
| |||||||
Net Assets – 100.0% | $ | 318,858,692 | ||||||
|
|
(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 • | 61 |
AB U.S. Large Cap Growth Portfolio—Portfolio of Investments
AB INTERNATIONAL VALUE PORTFOLIO
PORTFOLIO OF INVESTMENTS
August 31, 2016
Company | Shares | U.S. $ Value | ||||||
| ||||||||
COMMON STOCKS – 98.6% |
| |||||||
Financials – 20.9% |
| |||||||
Banks – 13.9% |
| |||||||
Australia & New Zealand Banking Group Ltd. | 152,330 | $ | 3,073,470 | |||||
Banco Macro SA (ADR) | 20,920 | 1,638,873 | ||||||
Bank of Montreal | 22,650 | 1,502,285 | ||||||
Bank of Queensland Ltd. | 287,450 | 2,275,890 | ||||||
Danske Bank A/S | 102,310 | 3,003,070 | ||||||
ING Groep NV | 415,420 | 5,199,127 | ||||||
Intesa Sanpaolo SpA | 676,740 | 1,608,034 | ||||||
Itau Unibanco Holding SA (Preference Shares) | 59,800 | 663,889 | ||||||
KB Financial Group, Inc. | 66,050 | 2,304,486 | ||||||
KBC Group NV(a) | 48,340 | 2,866,096 | ||||||
Mitsubishi UFJ Financial Group, Inc. | 1,000,100 | 5,509,076 | ||||||
OTP Bank PLC | 82,480 | 2,153,266 | ||||||
Shinhan Financial Group Co., Ltd. | 37,810 | 1,381,920 | ||||||
Sumitomo Mitsui Trust Holdings, Inc. | 564,000 | 2,023,759 | ||||||
Toronto-Dominion Bank (The) | 54,860 | 2,448,076 | ||||||
|
| |||||||
37,651,317 | ||||||||
|
| |||||||
Capital Markets – 0.5% | ||||||||
Amundi SA(b) | 30,570 | 1,480,848 | ||||||
|
| |||||||
Diversified Financial Services – 1.2% | ||||||||
BM&FBovespa SA – Bolsa de Valores Mercadorias e Futuros | 344,700 | 1,911,798 | ||||||
Challenger Ltd./Australia | 191,730 | 1,321,991 | ||||||
|
| |||||||
3,233,789 | ||||||||
|
| |||||||
Insurance – 4.6% | ||||||||
AIA Group Ltd. | 367,600 | 2,315,207 | ||||||
Dongbu Insurance Co., Ltd. | 42,490 | 2,569,116 | ||||||
Muenchener Rueckversicherungs-Gesellschaft AG in Muenchen (REG) | 14,680 | 2,650,929 | ||||||
NN Group NV | 100,389 | 2,997,322 | ||||||
Suncorp Group Ltd. | 185,412 | 1,769,034 | ||||||
|
| |||||||
12,301,608 | ||||||||
|
| |||||||
Thrifts & Mortgage Finance – 0.7% | ||||||||
LIC Housing Finance Ltd. | 213,417 | 1,818,686 | ||||||
|
| |||||||
56,486,248 | ||||||||
|
| |||||||
Consumer Discretionary – 15.3% | ||||||||
Auto Components – 4.4% | ||||||||
Hankook Tire Co., Ltd. | 43,830 | 2,192,079 | ||||||
Magna International, Inc. (New York) – Class A | 85,720 | 3,454,516 | ||||||
Plastic Omnium SA | 40,882 | 1,307,218 | ||||||
Sumitomo Electric Industries Ltd. | 194,200 | 2,884,546 | ||||||
Valeo SA | 39,390 | 2,045,798 | ||||||
|
| |||||||
11,884,157 | ||||||||
|
|
62 | • AB POOLING PORTFOLIOS |
AB International Value Portfolio—Portfolio of Investments
Company | Shares | U.S. $ Value | ||||||
| ||||||||
Automobiles – 4.9% | ||||||||
Honda Motor Co., Ltd. | 136,500 | $ | 4,205,036 | |||||
Isuzu Motors Ltd. | 170,700 | 1,968,815 | ||||||
Peugeot SA(a) | 230,180 | 3,407,307 | ||||||
Tata Motors Ltd. | 182,373 | 1,469,790 | ||||||
Tata Motors Ltd. – Class A | 418,556 | 2,147,479 | ||||||
|
| |||||||
13,198,427 | ||||||||
|
| |||||||
Household Durables – 1.1% | ||||||||
Panasonic Corp. | 285,600 | 2,937,147 | ||||||
|
| |||||||
Leisure Products – 0.7% | ||||||||
Bandai Namco Holdings, Inc. | 68,100 | 1,861,486 | ||||||
|
| |||||||
Media – 2.9% | ||||||||
Altice NV – Class A(a) | 174,720 | 2,918,595 | ||||||
Liberty Global PLC Series C(a) | 101,245 | 3,121,383 | ||||||
Vivendi SA | 95,267 | 1,845,199 | ||||||
|
| |||||||
7,885,177 | ||||||||
|
| |||||||
Specialty Retail – 0.4% | ||||||||
Kingfisher PLC | 264,010 | 1,287,592 | ||||||
|
| |||||||
Textiles, Apparel & Luxury Goods – 0.9% | ||||||||
HUGO BOSS AG | 19,970 | 1,217,275 | ||||||
Kering | 6,320 | 1,200,901 | ||||||
|
| |||||||
2,418,176 | ||||||||
|
| |||||||
41,472,162 | ||||||||
|
| |||||||
Industrials – 10.1% | ||||||||
Aerospace & Defense – 1.0% | ||||||||
Airbus Group SE | 47,578 | 2,787,087 | ||||||
|
| |||||||
Airlines – 3.7% | ||||||||
Air Canada(a) | 157,410 | 1,075,487 | ||||||
International Consolidated Airlines Group SA | 499,280 | 2,511,637 | ||||||
Japan Airlines Co., Ltd. | 112,900 | 3,445,946 | ||||||
Qantas Airways Ltd. | 1,203,093 | 2,927,174 | ||||||
|
| |||||||
9,960,244 | ||||||||
|
| |||||||
Industrial Conglomerates – 1.0% | ||||||||
Rheinmetall AG | 36,640 | 2,643,914 | ||||||
|
| |||||||
Machinery – 2.7% | ||||||||
IHI Corp. | 1,090,000 | 3,339,112 | ||||||
JTEKT Corp. | 248,300 | 3,870,378 | ||||||
|
| |||||||
7,209,490 | ||||||||
|
| |||||||
Road & Rail – 1.7% | ||||||||
Canadian National Railway Co. | 18,800 | 1,208,080 | ||||||
Central Japan Railway Co. | 21,100 | 3,469,712 | ||||||
|
| |||||||
4,677,792 | ||||||||
|
| |||||||
27,278,527 | ||||||||
|
|
AB POOLING PORTFOLIOS • | 63 |
AB International Value Portfolio—Portfolio of Investments
Company | Shares | U.S. $ Value | ||||||
| ||||||||
Consumer Staples – 9.8% | ||||||||
Beverages – 0.3% | ||||||||
Asahi Group Holdings Ltd. | 27,900 | $ | 912,851 | |||||
|
| |||||||
Food & Staples Retailing – 3.7% | ||||||||
Koninklijke Ahold Delhaize NV | 241,870 | 5,806,514 | ||||||
Loblaw Cos., Ltd. | 24,330 | 1,323,734 | ||||||
Tesco PLC(a) | 762,730 | 1,666,132 | ||||||
X5 Retail Group NV (GDR)(a)(b) | 41,775 | 1,103,309 | ||||||
|
| |||||||
9,899,689 | ||||||||
|
| |||||||
Food Products – 1.2% | ||||||||
JBS SA | 405,700 | 1,570,435 | ||||||
WH Group Ltd.(b) | 2,278,000 | 1,788,433 | ||||||
|
| |||||||
3,358,868 | ||||||||
|
| |||||||
Household Products – 1.2% | ||||||||
Henkel AG & Co. KGaA (Preference Shares) | 24,140 | 3,163,979 | ||||||
|
| |||||||
Tobacco – 3.4% | ||||||||
British American Tobacco PLC | 89,750 | 5,568,322 | ||||||
Imperial Brands PLC | 66,840 | 3,505,976 | ||||||
|
| |||||||
9,074,298 | ||||||||
|
| |||||||
26,409,685 | ||||||||
|
| |||||||
Information Technology – 9.5% | ||||||||
Electronic Equipment, Instruments & Components – 0.9% | ||||||||
Largan Precision Co., Ltd. | 21,000 | 2,348,247 | ||||||
|
| |||||||
Internet Software & Services – 1.3% | ||||||||
Tencent Holdings Ltd. | 132,600 | 3,436,313 | ||||||
|
| |||||||
Semiconductors & Semiconductor Equipment – 4.5% | ||||||||
Infineon Technologies AG | 96,510 | 1,619,477 | ||||||
Novatek Microelectronics Corp. | 680,000 | 2,316,532 | ||||||
SCREEN Holdings Co., Ltd. | 292,000 | 3,793,902 | ||||||
Sumco Corp. | 330,400 | 2,894,684 | ||||||
Tokyo Electron Ltd. | 18,200 | 1,675,541 | ||||||
|
| |||||||
12,300,136 | ||||||||
|
| |||||||
Software – 0.9% | ||||||||
Nintendo Co., Ltd. | 11,500 | 2,538,723 | ||||||
|
| |||||||
Technology Hardware, Storage & Peripherals – 1.9% | ||||||||
Samsung Electronics Co., Ltd. | 3,510 | 5,091,143 | ||||||
|
| |||||||
25,714,562 | ||||||||
|
|
64 | • AB POOLING PORTFOLIOS |
AB International Value Portfolio—Portfolio of Investments
Company | Shares | U.S. $ Value | ||||||
| ||||||||
Energy – 8.4% | ||||||||
Energy Equipment & Services – 0.3% | ||||||||
Aker Solutions ASA(a)(b) | 172,617 | $ | 761,761 | |||||
|
| |||||||
Oil, Gas & Consumable Fuels – 8.1% | ||||||||
Canadian Natural Resources Ltd. | 81,310 | 2,525,360 | ||||||
JX Holdings, Inc. | 1,012,400 | 3,780,922 | ||||||
LUKOIL PJSC (Sponsored ADR) | 25,930 | 1,160,108 | ||||||
Royal Dutch Shell PLC (Euronext Amsterdam) – Class A | 285,312 | 6,996,172 | ||||||
TOTAL SA | 61,113 | 2,919,758 | ||||||
Tupras Turkiye Petrol Rafinerileri AS | 113,870 | 2,229,435 | ||||||
YPF SA (Sponsored ADR) | 132,070 | 2,243,869 | ||||||
|
| |||||||
21,855,624 | ||||||||
|
| |||||||
22,617,385 | ||||||||
|
| |||||||
Telecommunication Services – 7.8% | ||||||||
Diversified Telecommunication Services – 5.7% | ||||||||
BT Group PLC | 1,214,830 | 6,165,202 | ||||||
Nippon Telegraph & Telephone Corp. | 138,200 | 6,076,525 | ||||||
TDC A/S(a) | 562,560 | 3,111,155 | ||||||
|
| |||||||
15,352,882 | ||||||||
|
| |||||||
Wireless Telecommunication Services – 2.1% | ||||||||
Rogers Communications, Inc. – Class B | 24,990 | 1,070,183 | ||||||
Vodafone Group PLC | 1,593,402 | 4,808,332 | ||||||
|
| |||||||
5,878,515 | ||||||||
|
| |||||||
21,231,397 | ||||||||
|
| |||||||
Materials – 6.0% | ||||||||
Chemicals – 4.2% | ||||||||
Agrium, Inc. (Toronto) | 17,820 | 1,717,047 | ||||||
Air Water, Inc. | 37,000 | 685,142 | ||||||
Arkema SA | 35,522 | 3,178,371 | ||||||
JSR Corp. | 131,900 | 1,931,435 | ||||||
Koninklijke DSM NV | 38,159 | 2,663,550 | ||||||
LG Chem Ltd. | 4,740 | 1,145,737 | ||||||
|
| |||||||
11,321,282 | ||||||||
|
| |||||||
Metals & Mining – 1.0% | ||||||||
Goldcorp, Inc. | 83,780 | 1,275,163 | ||||||
Novolipetsk Steel PJSC (GDR)(b) | 113,240 | 1,579,798 | ||||||
|
| |||||||
2,854,961 | ||||||||
|
| |||||||
Paper & Forest Products – 0.8% | ||||||||
Mondi PLC | 100,801 | 2,051,128 | ||||||
|
| |||||||
16,227,371 | ||||||||
|
|
AB POOLING PORTFOLIOS • | 65 |
AB International Value Portfolio—Portfolio of Investments
Company | Shares | U.S. $ Value | ||||||
| ||||||||
Health Care – 5.4% | ||||||||
Biotechnology – 0.7% | ||||||||
Grifols SA (ADR) | 110,310 | $ | 1,755,032 | |||||
|
| |||||||
Pharmaceuticals – 4.7% | ||||||||
GlaxoSmithKline PLC | 87,830 | 1,890,561 | ||||||
Roche Holding AG | 29,350 | 7,164,338 | ||||||
Sanofi | 48,860 | 3,770,351 | ||||||
|
| |||||||
12,825,250 | ||||||||
|
| |||||||
14,580,282 | ||||||||
|
| |||||||
Utilities – 3.3% | ||||||||
Electric Utilities – 2.4% | ||||||||
EDP – Energias de Portugal SA | 549,440 | 1,845,906 | ||||||
Enel SpA | 434,878 | 1,921,697 | ||||||
Korea Electric Power Corp. | 54,060 | 2,807,917 | ||||||
|
| |||||||
6,575,520 | ||||||||
|
| |||||||
Water Utilities – 0.9% | ||||||||
Cia de Saneamento Basico do Estado de Sao Paulo | 176,700 | 1,608,204 | ||||||
Pennon Group PLC | 59,445 | 685,520 | ||||||
|
| |||||||
2,293,724 | ||||||||
|
| |||||||
8,869,244 | ||||||||
|
| |||||||
Real Estate – 2.1% | ||||||||
Equity Real Estate Investment Trusts (REITs) – 0.5% | ||||||||
Emlak Konut Gayrimenkul Yatirim Ortakligi AS | 1,420,530 | 1,397,507 | ||||||
|
| |||||||
Real Estate Management & Development – 1.6% | ||||||||
China Overseas Land & Investment Ltd. | 620,000 | 2,042,022 | ||||||
LendLease Group | 220,073 | 2,280,478 | ||||||
|
| |||||||
4,322,500 | ||||||||
|
| |||||||
5,720,007 | ||||||||
|
| |||||||
Total Common Stocks | 266,606,870 | |||||||
|
| |||||||
SHORT-TERM INVESTMENTS – 0.4% | ||||||||
Investment Companies – 0.4% | ||||||||
AB Fixed Income Shares, Inc. – Government Money Market Portfolio – Class AB, 0.24%(c)(d) | 1,043,735 | 1,043,735 | ||||||
|
| |||||||
Total Investments Before Security Lending Collateral for Securities Loaned – 99.0% | 267,650,605 | |||||||
|
|
66 | • AB POOLING PORTFOLIOS |
AB International Value Portfolio—Portfolio of Investments
Company | Shares | U.S. $ Value | ||||||
| ||||||||
INVESTMENTS OF CASH COLLATERAL | ||||||||
Investment Companies – 0.0% | ||||||||
AB Fixed Income Shares, Inc. – Government Money Market Portfolio – Class AB, 0.24%(d)(e) | 1,599 | $ | 1,599 | |||||
|
| |||||||
Total Investments – 99.0% | 267,652,204 | |||||||
Other assets less liabilities – 1.0% | 2,725,296 | |||||||
|
| |||||||
Net Assets – 100.0% | $ | 270,377,500 | ||||||
|
|
FUTURES (see Note C)
Type | Number of Contracts | Expiration Month | Original Value | Value at August 31, 2016 | Unrealized Appreciation/ (Depreciation) | |||||||||||||||
Purchased Contracts | ||||||||||||||||||||
Euro STOXX 50 Index Futures | 10 | September 2016 | $ | 313,261 | $ | 337,981 | $ | 24,720 |
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 | 4,837 | SEK | 41,337 | 11/16/16 | $ | 9,374 | |||||||||||||||||
Barclays Bank PLC | JPY | 1,072,274 | USD | 10,503 | 11/16/16 | 106,625 | ||||||||||||||||||
Barclays Bank PLC | USD | 1,387 | AUD | 1,833 | 11/16/16 | (12,011 | ) | |||||||||||||||||
BNP Paribas SA | KRW | 2,009,156 | USD | 1,811 | 11/16/16 | 11,399 | ||||||||||||||||||
BNP Paribas SA | USD | 4,652 | AUD | 6,090 | 11/16/16 | (83,417 | ) | |||||||||||||||||
BNP Paribas SA | USD | 2,966 | NZD | 4,180 | 11/16/16 | 57,149 | ||||||||||||||||||
Citibank, NA | USD | 2,316 | TWD | 73,663 | 11/16/16 | 13,629 | ||||||||||||||||||
Goldman Sachs Bank USA | RUB | 161,434 | USD | 2,494 | 10/13/16 | 48,707 | ||||||||||||||||||
Goldman Sachs Bank USA | USD | 9,990 | CHF | 9,752 | 11/16/16 | (31,461 | ) | |||||||||||||||||
JPMorgan Chase Bank, NA | CAD | 2,696 | USD | 2,082 | 11/16/16 | 25,200 | ||||||||||||||||||
JPMorgan Chase Bank, NA | JPY | 303,704 | USD | 3,041 | 11/16/16 | 96,035 | ||||||||||||||||||
Morgan Stanley & Co., Inc. | HKD | 10,215 | USD | 1,318 | 11/16/16 | 464 | ||||||||||||||||||
Royal Bank of Scotland PLC | EUR | 8,843 | USD | 9,836 | 11/16/16 | (59,995 | ) | |||||||||||||||||
State Street Bank & Trust Co. | CAD | 3,752 | USD | 2,852 | 11/16/16 | (10,377 | ) | |||||||||||||||||
State Street Bank & Trust Co. | EUR | 832 | USD | 925 | 11/16/16 | (6,457 | ) | |||||||||||||||||
State Street Bank & Trust Co. | GBP | 1,638 | USD | 2,140 | 11/16/16 | (13,929 | ) | |||||||||||||||||
State Street Bank & Trust Co. | USD | 2,978 | GBP | 2,277 | 11/16/16 | 16,406 | ||||||||||||||||||
UBS AG | JPY | 150,245 | USD | 1,426 | 11/16/16 | (31,221 | ) | |||||||||||||||||
|
| |||||||||||||||||||||||
$ | 136,120 | |||||||||||||||||||||||
|
|
(a) | Non-income producing security. |
(b) | Security is exempt from registration under Rule 144A of the Securities Act of 1933. These securities are considered restricted, but liquid and may be resold in transactions exempt from registration, normally to qualified institutional buyers. At August 31, 2016, the aggregate market value of these securities amounted to $6,714,149 or 2.5% of net assets. |
AB POOLING PORTFOLIOS • | 67 |
AB International Value Portfolio—Portfolio of Investments
(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. |
Currency Abbreviations:
AUD – Australian Dollar
CAD – Canadian Dollar
CHF – Swiss Franc
EUR – Euro
GBP – Great British Pound
HKD – Hong Kong Dollar
JPY – Japanese Yen
KRW – South Korean Won
NZD – New Zealand Dollar
RUB – Russian Ruble
SEK – Swedish Krona
TWD – New Taiwan Dollar
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.
68 | • AB POOLING PORTFOLIOS |
AB International Value Portfolio—Portfolio of Investments
AB INTERNATIONAL GROWTH PORTFOLIO
PORTFOLIO OF INVESTMENTS
August 31, 2016
Company | Shares | U.S. $ Value | ||||||
| ||||||||
COMMON STOCKS – 98.1% | ||||||||
Information Technology – 20.6% | ||||||||
Electronic Equipment, Instruments & Components – 0.7% | ||||||||
Keyence Corp. | 2,800 | $ | 1,964,903 | |||||
|
| |||||||
Internet Software & Services – 3.6% | ||||||||
Alibaba Group Holding Ltd. (Sponsored ADR)(a) | 34,300 | 3,333,617 | ||||||
Criteo SA (Sponsored ADR)(a) | 16,590 | 611,839 | ||||||
NAVER Corp. | 2,095 | 1,585,272 | ||||||
Tencent Holdings Ltd. | 153,600 | 3,980,526 | ||||||
|
| |||||||
9,511,254 | ||||||||
|
| |||||||
IT Services – 1.4% | ||||||||
HCL Technologies Ltd. | 108,270 | 1,257,006 | ||||||
Worldpay Group PLC(a)(b)(c) | 662,386 | 2,599,174 | ||||||
|
| |||||||
3,856,180 | ||||||||
|
| |||||||
Semiconductors & Semiconductor Equipment – 4.4% | ||||||||
ASML Holding NV | 68,290 | 7,289,961 | ||||||
Taiwan Semiconductor Manufacturing Co., Ltd. | 802,000 | 4,453,812 | ||||||
|
| |||||||
11,743,773 | ||||||||
|
| |||||||
Software – 7.8% | ||||||||
Constellation Software, Inc./Canada | 24,280 | 10,593,663 | ||||||
Dassault Systemes | 64,700 | 5,462,759 | ||||||
LINE Corp. (Sponsored ADR)(a)(c) | 115,820 | 4,951,305 | ||||||
|
| |||||||
21,007,727 | ||||||||
|
| |||||||
Technology Hardware, Storage & Peripherals – 2.7% | ||||||||
Samsung Electronics Co., Ltd. | 5,030 | 7,295,854 | ||||||
|
| |||||||
55,379,691 | ||||||||
|
| |||||||
Financials – 17.9% | ||||||||
Banks – 2.3% | ||||||||
Axis Bank Ltd. | 270,110 | 2,399,934 | ||||||
HDFC Bank Ltd. | 165,600 | 3,832,761 | ||||||
|
| |||||||
6,232,695 | ||||||||
|
| |||||||
Capital Markets – 4.5% | ||||||||
Partners Group Holding AG | 11,129 | 5,105,820 | ||||||
UBS Group AG | 477,783 | 6,923,891 | ||||||
|
| |||||||
12,029,711 | ||||||||
|
| |||||||
Consumer Finance – 0.3% | ||||||||
Shriram Transport Finance Co., Ltd. | 37,380 | 687,200 | ||||||
|
| |||||||
Diversified Financial Services – 0.8% | ||||||||
GRENKE AG | 11,240 | 2,177,003 | ||||||
|
|
AB POOLING PORTFOLIOS • | 69 |
AB International Growth Portfolio—Portfolio of Investments
Company | Shares | U.S. $ Value | ||||||
| ||||||||
Insurance – 6.7% | ||||||||
Admiral Group PLC | 45,335 | $ | 1,221,499 | |||||
AIA Group Ltd. | 1,469,400 | 9,254,530 | ||||||
Prudential PLC | 426,440 | 7,671,220 | ||||||
|
| |||||||
18,147,249 | ||||||||
|
| |||||||
Thrifts & Mortgage Finance – 3.3% | ||||||||
Housing Development Finance Corp., Ltd. | 420,430 | 8,842,867 | ||||||
|
| |||||||
48,116,725 | ||||||||
|
| |||||||
Health Care – 17.5% | ||||||||
Health Care Equipment & Supplies – 4.5% | ||||||||
Essilor International SA | 53,180 | 6,774,052 | ||||||
Sartorius AG (Preference Shares) | 68,350 | 5,400,081 | ||||||
|
| |||||||
12,174,133 | ||||||||
|
| |||||||
Health Care Providers & Services – 1.6% | ||||||||
Ramsay Health Care Ltd. | 69,713 | 4,340,712 | ||||||
|
| |||||||
Life Sciences Tools & Services – 3.5% | ||||||||
Eurofins Scientific SE(c) | 23,051 | 9,354,939 | ||||||
|
| |||||||
Pharmaceuticals – 7.9% | ||||||||
Novartis AG (REG) | 33,135 | 2,609,812 | ||||||
Novo Nordisk A/S – Class B | 101,881 | 4,768,109 | ||||||
Roche Holding AG | 12,730 | 3,107,394 | ||||||
Shire PLC | 133,510 | 8,337,902 | ||||||
Sun Pharmaceutical Industries Ltd. | 218,647 | 2,522,159 | ||||||
|
| |||||||
21,345,376 | ||||||||
|
| |||||||
47,215,160 | ||||||||
|
| |||||||
Consumer Staples – 14.4% | ||||||||
Food & Staples Retailing – 2.1% | ||||||||
CP ALL PCL | 1,502,000 | 2,701,088 | ||||||
Lenta Ltd. (GDR)(a)(b) | 366,961 | 2,857,415 | ||||||
|
| |||||||
5,558,503 | ||||||||
|
| |||||||
Food Products – 2.2% | ||||||||
First Resources Ltd.(c) | 459,800 | 607,043 | ||||||
Nestle SA (REG) | 68,160 | 5,431,859 | ||||||
|
| |||||||
6,038,902 | ||||||||
|
| |||||||
Household Products – 0.3% | ||||||||
Reckitt Benckiser Group PLC | 8,350 | 806,599 | ||||||
|
| |||||||
Personal Products – 3.0% | ||||||||
Amorepacific Corp. | 3,480 | 1,202,711 | ||||||
L’Oreal SA | 13,980 | 2,647,131 | ||||||
LG Household & Health Care Ltd. | 760 | 647,565 | ||||||
Unilever PLC | 76,130 | 3,534,047 | ||||||
|
| |||||||
8,031,454 | ||||||||
|
|
70 | • AB POOLING PORTFOLIOS |
AB International Growth Portfolio—Portfolio of Investments
Company | Shares | U.S. $ Value | ||||||
| ||||||||
Tobacco – 6.8% | ||||||||
British American Tobacco PLC | 156,689 | $ | 9,721,390 | |||||
Japan Tobacco, Inc. | 220,800 | 8,555,773 | ||||||
|
| |||||||
18,277,163 | ||||||||
|
| |||||||
38,712,621 | ||||||||
|
| |||||||
Consumer Discretionary – 10.0% | ||||||||
Auto Components – 0.8% | ||||||||
Continental AG | 3,030 | 633,950 | ||||||
Valeo SA | 31,540 | 1,638,093 | ||||||
|
| |||||||
2,272,043 | ||||||||
|
| |||||||
Hotels, Restaurants & Leisure – 1.7% | ||||||||
Elior Participations SCA(b) | 88,780 | 2,038,992 | ||||||
IMAX China Holding, Inc.(a)(b)(c) | 284,100 | 1,605,660 | ||||||
Sodexo SA | 6,758 | 784,527 | ||||||
|
| |||||||
4,429,179 | ||||||||
|
| |||||||
Internet & Direct Marketing Retail – 1.3% | ||||||||
Ctrip.com International Ltd. (ADR)(a)(c) | 71,820 | 3,400,677 | ||||||
|
| |||||||
Media – 3.9% | ||||||||
CTS Eventim AG & Co. KGaA | 156,924 | 5,438,743 | ||||||
Naspers Ltd. – Class N | 31,244 | 5,121,350 | ||||||
|
| |||||||
10,560,093 | ||||||||
|
| |||||||
Specialty Retail – 1.4% | ||||||||
ABC-Mart, Inc. | 61,400 | 3,860,109 | ||||||
|
| |||||||
Textiles, Apparel & Luxury Goods – 0.9% | ||||||||
Samsonite International SA(c) | 738,800 | 2,334,641 | ||||||
|
| |||||||
26,856,742 | ||||||||
|
| |||||||
Industrials – 7.6% | ||||||||
Commercial Services & Supplies – 2.8% | ||||||||
Babcock International Group PLC | 345,535 | 4,748,787 | ||||||
Regus PLC | 708,377 | 2,788,660 | ||||||
|
| |||||||
7,537,447 | ||||||||
|
| |||||||
Construction & Engineering – 0.1% | ||||||||
IRB Infrastructure Developers Ltd. | 117,330 | 397,196 | ||||||
|
| |||||||
Machinery – 0.3% | ||||||||
Hoshizaki Corp. | 8,700 | 696,753 | ||||||
|
| |||||||
Professional Services – 1.7% | ||||||||
Teleperformance | 44,390 | 4,605,514 | ||||||
|
| |||||||
Trading Companies & Distributors – 2.7% | ||||||||
BOC Aviation Ltd.(a)(b) | 468,800 | 2,427,622 | ||||||
Brenntag AG | 28,690 | 1,560,059 |
AB POOLING PORTFOLIOS • | 71 |
AB International Growth Portfolio—Portfolio of Investments
Company | Shares | U.S. $ Value | ||||||
| ||||||||
Bunzl PLC | 108,700 | $ | 3,367,190 | |||||
|
| |||||||
7,354,871 | ||||||||
|
| |||||||
20,591,781 | ||||||||
|
| |||||||
Energy – 6.8% | ||||||||
Oil, Gas & Consumable Fuels – 6.8% | ||||||||
Royal Dutch Shell PLC (Euronext Amsterdam) – Class A | 390,040 | 9,564,221 | ||||||
TOTAL SA | 181,534 | 8,673,038 | ||||||
|
| |||||||
18,237,259 | ||||||||
|
| |||||||
Real Estate – 2.9% | ||||||||
Real Estate Management & Development – 2.9% | ||||||||
Ayala Land, Inc. | 2,678,100 | 2,209,503 | ||||||
Daito Trust Construction Co., Ltd. | 29,300 | 4,316,028 | ||||||
Global Logistic Properties Ltd. | 958,000 | 1,273,786 | ||||||
|
| |||||||
7,799,317 | ||||||||
|
| |||||||
Telecommunication Services – 0.3% | ||||||||
Wireless Telecommunication Services – 0.3% | ||||||||
Tower Bersama Infrastructure Tbk PT | 2,135,600 | 897,076 | ||||||
|
| |||||||
Materials – 0.1% | ||||||||
Chemicals – 0.1% | ||||||||
Essentra PLC(c) | 47,833 | 324,167 | ||||||
|
| |||||||
Total Common Stocks | 264,130,539 | |||||||
|
| |||||||
SHORT-TERM INVESTMENTS – 0.3% | ||||||||
Investment Companies – 0.3% | ||||||||
AB Fixed Income Shares, Inc. – Government Money Market Portfolio – Class AB, 0.24%(d)(e) | 914,029 | 914,029 | ||||||
|
| |||||||
Total Investments Before Security Lending Collateral for Securities Loaned – 98.4% | 265,044,568 | |||||||
|
| |||||||
INVESTMENTS OF CASH COLLATERAL FOR SECURITIES LOANED – 3.2% | ||||||||
Investment Companies – 3.2% | ||||||||
AB Fixed Income Shares, Inc. – Government Money Market Portfolio – Class AB, 0.24%(d)(e) | 8,638,173 | 8,638,173 | ||||||
|
| |||||||
Total Investments – 101.6% | 273,682,741 | |||||||
Other assets less liabilities – (1.6)% | (4,437,441 | ) | ||||||
|
| |||||||
Net Assets – 100.0% | $ | 269,245,300 | ||||||
|
|
72 | • AB POOLING PORTFOLIOS |
AB International Growth 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 | 859 | AUD | 1,133 | 9/20/16 | $ | (7,480 | ) | ||||||||||||||||
Citibank, NA | JPY | 544,983 | USD | 5,397 | 9/20/16 | 125,541 | ||||||||||||||||||
Citibank, NA | USD | 2,068 | EUR | 1,863 | 9/20/16 | 11,212 | ||||||||||||||||||
Citibank, NA | JPY | 274,700 | USD | 2,520 | 12/15/16 | (146,975 | ) | |||||||||||||||||
Credit Suisse International | CHF | 1,769 | USD | 1,810 | 9/20/16 | 9,941 | ||||||||||||||||||
Goldman Sachs Bank USA | JPY | 190,937 | USD | 1,868 | 9/20/16 | 21,525 | ||||||||||||||||||
Goldman Sachs Bank USA | USD | 2,105 | JPY | 223,021 | 9/20/16 | 51,662 | ||||||||||||||||||
HSBC Bank USA | CAD | 1,220 | USD | 947 | 9/20/16 | 16,684 | ||||||||||||||||||
HSBC Bank USA | EUR | 680 | USD | 770 | 9/20/16 | 11,156 | ||||||||||||||||||
HSBC Bank USA | USD | 655 | HKD | 5,075 | 9/20/16 | (443 | ) | |||||||||||||||||
JPMorgan Chase Bank, NA | GBP | 2,844 | USD | 3,686 | 9/20/16 | (50,545 | ) | |||||||||||||||||
JPMorgan Chase Bank, NA | USD | 6,120 | GBP | 4,328 | 9/20/16 | (434,662 | ) | |||||||||||||||||
JPMorgan Chase Bank, NA | USD | 1,771 | JPY | 179,546 | 12/15/16 | (27,745 | ) | |||||||||||||||||
Morgan Stanley & Co., Inc. | EUR | 3,499 | USD | 3,859 | 9/20/16 | (47,114 | ) | |||||||||||||||||
Morgan Stanley & Co., Inc. | JPY | 274,376 | USD | 2,679 | 9/20/16 | 25,251 | ||||||||||||||||||
Morgan Stanley & Co., Inc. | JPY | 299,908 | USD | 2,817 | 9/20/16 | (84,022 | ) | |||||||||||||||||
Morgan Stanley & Co., Inc. | USD | 989 | CAD | 1,286 | 9/20/16 | (8,001 | ) | |||||||||||||||||
Morgan Stanley & Co., Inc. | USD | 6,186 | EUR | 5,460 | 9/20/16 | (90,810 | ) | |||||||||||||||||
Morgan Stanley & Co., Inc. | USD | 7,834 | GBP | 5,716 | 9/20/16 | (325,247 | ) | |||||||||||||||||
Morgan Stanley & Co., Inc. | USD | 5,751 | SEK | 46,724 | 9/20/16 | (288,258 | ) | |||||||||||||||||
Morgan Stanley & Co., Inc. | USD | 842 | SGD | 1,134 | 9/20/16 | (9,575 | ) | |||||||||||||||||
Royal Bank of Scotland PLC | AUD | 1,672 | USD | 1,272 | 9/20/16 | 16,138 | ||||||||||||||||||
Royal Bank of Scotland PLC | EUR | 7,847 | USD | 8,906 | 9/20/16 | 146,141 | ||||||||||||||||||
Royal Bank of Scotland PLC | GBP | 18,677 | USD | 27,064 | 9/20/16 | 2,528,351 | ||||||||||||||||||
Royal Bank of Scotland PLC | SGD | 3,188 | USD | 2,355 | 9/20/16 | 15,237 | ||||||||||||||||||
Royal Bank of Scotland PLC | USD | 9,996 | AUD | 13,499 | 9/20/16 | 144,706 | ||||||||||||||||||
Royal Bank of Scotland PLC | USD | 8,060 | CAD | 10,280 | 9/20/16 | (219,834 | ) | |||||||||||||||||
Royal Bank of Scotland PLC | USD | 2,568 | CHF | 2,466 | 9/20/16 | (58,477 | ) | |||||||||||||||||
Royal Bank of Scotland PLC | USD | 1,600 | HKD | 12,400 | 9/20/16 | (797 | ) | |||||||||||||||||
Royal Bank of Scotland PLC | USD | 25,772 | JPY | 2,736,053 | 9/20/16 | 692,267 | ||||||||||||||||||
Standard Chartered Bank | BRL | 30,424 | USD | 9,377 | 9/02/16 | (44,845 | ) | |||||||||||||||||
Standard Chartered Bank | USD | 9,394 | BRL | 30,424 | 9/02/16 | 27,488 | ||||||||||||||||||
Standard Chartered Bank | HKD | 67,649 | USD | 8,727 | 9/20/16 | 4,916 | ||||||||||||||||||
Standard Chartered Bank | USD | 4,638 | BRL | 15,212 | 10/04/16 | 29,763 | ||||||||||||||||||
State Street Bank & Trust Co. | CHF | 3,464 | USD | 3,600 | 9/20/16 | 74,361 | ||||||||||||||||||
State Street Bank & Trust Co. | EUR | 4,864 | USD | 5,454 | 9/20/16 | 24,232 | ||||||||||||||||||
State Street Bank & Trust Co. | EUR | 1,735 | USD | 1,931 | 9/20/16 | (5,913 | ) | |||||||||||||||||
State Street Bank & Trust Co. | GBP | 731 | USD | 973 | 9/20/16 | 12,769 | ||||||||||||||||||
State Street Bank & Trust Co. | JPY | 433,945 | USD | 4,330 | 9/20/16 | 133,024 | ||||||||||||||||||
State Street Bank & Trust Co. | JPY | 90,725 | USD | 859 | 9/20/16 | (18,654 | ) | |||||||||||||||||
State Street Bank & Trust Co. | USD | 1,180 | CHF | 1,164 | 9/20/16 | 5,073 | ||||||||||||||||||
State Street Bank & Trust Co. | USD | 1,155 | HKD | 8,951 | 9/20/16 | (1,067 | ) | |||||||||||||||||
State Street Bank & Trust Co. | USD | 1,136 | NOK | 9,291 | 9/20/16 | (21,023 | ) | |||||||||||||||||
State Street Bank & Trust Co. | CHF | 3,998 | USD | 4,201 | 12/15/16 | 111,326 | ||||||||||||||||||
UBS AG | AUD | 1,783 | USD | 1,347 | 9/20/16 | 7,849 | ||||||||||||||||||
UBS AG | EUR | 4,502 | USD | 4,989 | 9/20/16 | (36,188 | ) | |||||||||||||||||
UBS AG | USD | 4,815 | GBP | 3,604 | 9/20/16 | (80,901 | ) | |||||||||||||||||
|
| |||||||||||||||||||||||
$ | 2,238,037 | |||||||||||||||||||||||
|
|
(a) | Non-income producing security. |
(b) | Security is exempt from registration under Rule 144A of the Securities Act of 1933. These securities are considered restricted, but liquid and may be resold in transactions exempt from registration, normally to qualified institutional buyers. At August 31, 2016, the aggregate market value of these securities amounted to $11,528,863 or 4.3% of net assets. |
AB POOLING PORTFOLIOS • | 73 |
AB International Growth Portfolio—Portfolio of Investments
(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
HKD – Hong Kong Dollar
JPY – Japanese Yen
NOK – Norwegian Krone
SEK – Swedish Krona
SGD – Singapore Dollar
USD – United States Dollar
Glossary:
ADR – American Depositary Receipt
GDR – Global Depositary Receipt
REG – Registered Shares
See notes to financial statements.
74 | • AB POOLING PORTFOLIOS |
AB International Growth Portfolio—Portfolio of Investments
AB SHORT DURATION BOND PORTFOLIO
PORTFOLIO OF INVESTMENTS
August 31, 2016
Principal Amount (000) | U.S. $ Value | |||||||||||
| ||||||||||||
GOVERNMENTS - TREASURIES – 36.7% | ||||||||||||
United States – 36.7% | ||||||||||||
U.S. Treasury Notes | U.S.$ | 5,278 | $ | 5,264,559 | ||||||||
0.75%, 10/31/17-2/28/18 | 5,284 | 5,282,687 | ||||||||||
0.875%, 3/31/18-5/15/19 | 9,948 | 9,961,426 | ||||||||||
1.125%, 2/28/21 | 2,139 | 2,136,359 | ||||||||||
1.375%, 6/30/18 | 5,353 | 5,408,414 | ||||||||||
1.625%, 6/30/20 | 636 | 648,408 | ||||||||||
|
| |||||||||||
Total Governments - Treasuries | 28,701,853 | |||||||||||
|
| |||||||||||
CORPORATES - INVESTMENT GRADE – 19.9% | ||||||||||||
Financial Institutions – 13.2% | ||||||||||||
Banking – 12.8% | ||||||||||||
ABN AMRO Bank NV | 384 | 391,455 | ||||||||||
American Express Credit Corp. | 217 | 218,868 | ||||||||||
2.125%, 3/18/19 | 200 | 204,006 | ||||||||||
Bank of America NA | 250 | 251,207 | ||||||||||
Bank of Montreal | 315 | 314,828 | ||||||||||
Barclays PLC | 217 | 217,066 | ||||||||||
BB&T Corp. | 240 | 244,715 | ||||||||||
BNP Paribas SA | 631 | 639,054 | ||||||||||
Capital One Bank USA NA | 314 | 313,985 | ||||||||||
Citigroup, Inc. | 218 | 218,091 | ||||||||||
1.525% (LIBOR 3 Month + 0.70%), 11/24/17(b) | 223 | 223,580 | ||||||||||
Credit Agricole SA/London | 352 | 357,583 | ||||||||||
Credit Suisse AG/New York, NY | 306 | 306,098 | ||||||||||
Goldman Sachs Group, Inc. (The) | 216 | 218,145 | ||||||||||
2.75%, 9/15/20 | 207 | 212,744 |
AB POOLING PORTFOLIOS • | 75 |
AB Short Duration Bond Portfolio—Portfolio of Investments
Principal Amount (000) | U.S. $ Value | |||||||||||
| ||||||||||||
HSBC USA, Inc. | U.S.$ | 219 | $ | 219,281 | ||||||||
Huntington National Bank (The) | 314 | 314,159 | ||||||||||
ING Bank NV | 250 | 255,374 | ||||||||||
JPMorgan Chase & Co. | 219 | 218,848 | ||||||||||
KeyBank NA/Cleveland OH | 346 | 347,796 | ||||||||||
Lloyds Bank PLC | 394 | 394,109 | ||||||||||
Mizuho Bank Ltd. | 449 | 447,988 | ||||||||||
Morgan Stanley | 223 | 224,153 | ||||||||||
5.95%, 12/28/17 | 261 | 276,183 | ||||||||||
Nordea Bank AB | 230 | 234,724 | ||||||||||
Royal Bank of Canada | 235 | 236,882 | ||||||||||
Societe Generale SA | 327 | 331,274 | ||||||||||
SunTrust Bank/Atlanta GA | 312 | 311,735 | ||||||||||
Svenska Handelsbanken AB | 315 | 314,190 | ||||||||||
UBS AG/Stamford CT | 351 | 353,035 | ||||||||||
US Bank NA/Cincinnati OH | 250 | 250,945 | ||||||||||
1.45%, 1/29/18 | 281 | 282,505 | ||||||||||
Wells Fargo & Co. | 366 | 372,288 | ||||||||||
Westpac Banking Corp. | 300 | 299,907 | ||||||||||
|
| |||||||||||
10,016,801 | ||||||||||||
|
| |||||||||||
Insurance – 0.4% | ||||||||||||
MetLife, Inc. | 319 | 320,522 | ||||||||||
|
| |||||||||||
10,337,323 | ||||||||||||
|
|
76 | • AB POOLING PORTFOLIOS |
AB Short Duration Bond Portfolio—Portfolio of Investments
Principal Amount (000) | U.S. $ Value | |||||||||||
| ||||||||||||
Industrial – 6.5% | ||||||||||||
Basic – 0.9% | ||||||||||||
Dow Chemical Co. (The) | U.S.$ | 150 | $ | 177,031 | ||||||||
Lubrizol Corp. | 170 | 199,794 | ||||||||||
Monsanto Co. | 314 | 313,843 | ||||||||||
|
| |||||||||||
690,668 | ||||||||||||
|
| |||||||||||
Capital Goods – 0.1% | ||||||||||||
Caterpillar Financial Services Corp. | 80 | 89,405 | ||||||||||
|
| |||||||||||
Communications - Media – 0.3% | ||||||||||||
NBCUniversal Media LLC | 200 | 225,718 | ||||||||||
|
| |||||||||||
Communications - Telecommunications – 0.3% | ||||||||||||
America Movil SAB de CV | 190 | 209,935 | ||||||||||
|
| |||||||||||
Consumer Cyclical - Automotive – 2.0% | ||||||||||||
Daimler Finance North America LLC | 280 | 278,684 | ||||||||||
1.65%, 3/02/18(a) | 210 | 210,838 | ||||||||||
Ford Motor Credit Co. LLC | 263 | 263,250 | ||||||||||
Harley-Davidson Financial Services, Inc. | 322 | 328,302 | ||||||||||
Hyundai Capital Services, Inc. | 200 | 199,776 | ||||||||||
Volkswagen International Finance NV | 314 | 314,000 | ||||||||||
|
| |||||||||||
1,594,850 | ||||||||||||
|
| |||||||||||
Consumer Non-Cyclical – 1.0% | ||||||||||||
AbbVie, Inc. | 307 | 308,407 | ||||||||||
Anheuser-Busch InBev Finance, Inc. | 200 | 202,065 | ||||||||||
Gilead Sciences, Inc. | 289 | 290,558 | ||||||||||
|
| |||||||||||
801,030 | ||||||||||||
|
| |||||||||||
Energy – 0.8% | ||||||||||||
Enterprise Products Operating LLC | 150 | 166,929 |
AB POOLING PORTFOLIOS • | 77 |
AB Short Duration Bond Portfolio—Portfolio of Investments
Principal Amount (000) | U.S. $ Value | |||||||||||
| ||||||||||||
Schlumberger Holdings Corp. | U.S.$ | 409 | $ | 416,099 | ||||||||
|
| |||||||||||
583,028 | ||||||||||||
|
| |||||||||||
Services – 0.4% | ||||||||||||
Visa, Inc. | 328 | 337,718 | ||||||||||
|
| |||||||||||
Technology – 0.7% | ||||||||||||
Cisco Systems, Inc. | 315 | 315,347 | ||||||||||
QUALCOMM, Inc. | 221 | 222,174 | ||||||||||
|
| |||||||||||
537,521 | ||||||||||||
|
| |||||||||||
5,069,873 | ||||||||||||
|
| |||||||||||
Utility – 0.2% | ||||||||||||
Electric – 0.2% | ||||||||||||
Dominion Resources, Inc./VA | 198 | 197,894 | ||||||||||
|
| |||||||||||
Total Corporates - Investment Grade | 15,605,090 | |||||||||||
|
| |||||||||||
ASSET-BACKED SECURITIES – 15.6% | ||||||||||||
Autos - Fixed Rate – 7.9% | ||||||||||||
Ally Auto Receivables Trust | 210 | 210,657 | ||||||||||
Ally Master Owner Trust | 319 | 318,851 | ||||||||||
ARI Fleet Lease Trust | 18 | 17,748 | ||||||||||
Avis Budget Rental Car Funding AESOP LLC | 162 | 162,426 | ||||||||||
Series 2013-2A, Class A | 384 | 390,575 | ||||||||||
Bank of The West Auto Trust | 309 | 309,149 | ||||||||||
California Republic Auto Receivables Trust | 141 | 140,968 | ||||||||||
CarMax Auto Owner Trust | 209 | 209,847 |
78 | • AB POOLING PORTFOLIOS |
AB Short Duration Bond Portfolio—Portfolio of Investments
Principal Amount (000) | U.S. $ Value | |||||||||||
| ||||||||||||
Chrysler Capital Auto Receivables Trust | U.S.$ | 206 | $ | 206,835 | ||||||||
Drive Auto Receivables Trust | 5 | 5,223 | ||||||||||
Series 2016-AA, Class A2A | 36 | 36,308 | ||||||||||
Enterprise Fleet Financing LLC | 129 | 128,252 | ||||||||||
Series 2015-1, Class A2 | 202 | 201,120 | ||||||||||
Fifth Third Auto Trust | 278 | 278,787 | ||||||||||
Flagship Credit Auto Trust | 240 | 239,776 | ||||||||||
Ford Credit Auto Lease Trust | 21 | 20,844 | ||||||||||
Ford Credit Auto Owner Trust | 205 | 205,565 | ||||||||||
Series 2014-2, Class A | 325 | 331,958 | ||||||||||
GM Financial Automobile Leasing Trust | 283 | 283,988 | ||||||||||
GMF Floorplan Owner Revolving Trust | 128 | 127,758 | ||||||||||
Harley-Davidson Motorcycle Trust | 298 | 298,234 | ||||||||||
Series 2015-1, Class A3 | 132 | 132,020 | ||||||||||
Hertz Vehicle Financing II LP | 112 | 111,734 | ||||||||||
Hertz Vehicle Financing LLC | 400 | 397,480 | ||||||||||
Honda Auto Receivables Owner Trust | 220 | 219,957 |
AB POOLING PORTFOLIOS • | 79 |
AB Short Duration Bond Portfolio—Portfolio of Investments
Principal Amount (000) | U.S. $ Value | |||||||||||
| ||||||||||||
Hyundai Auto Lease Securitization Trust | U.S.$ | 61 | $ | 60,599 | ||||||||
Series 2015-B, Class A3 | 139 | 139,136 | ||||||||||
Mercedes Benz Auto Lease Trust | 157 | 156,981 | ||||||||||
Nissan Auto Lease Trust | 265 | 265,370 | ||||||||||
Santander Drive Auto Receivables Trust | 24 | 24,371 | ||||||||||
Series 2015-4, Class A2A | 51 | 51,375 | ||||||||||
TCF Auto Receivables Owner Trust | 39 | 39,049 | ||||||||||
Volkswagen Auto Loan Enhanced Trust | 171 | 170,628 | ||||||||||
Volkswagen Credit Auto Master Trust | 127 | 126,224 | ||||||||||
Westlake Automobile Receivables Trust | 92 | 91,617 | ||||||||||
World Omni Auto Receivables Trust | 65 | 64,656 | ||||||||||
|
| |||||||||||
6,176,066 | ||||||||||||
|
| |||||||||||
Credit Cards - Fixed Rate – 2.6% | ||||||||||||
American Express Credit Account Master Trust | 183 | 183,274 | ||||||||||
Barclays Dryrock Issuance Trust | 194 | 198,804 | ||||||||||
Series 2015-4, Class A | 158 | 158,974 | ||||||||||
Capital One Multi-Asset Execution Trust | 196 | 197,427 | ||||||||||
Discover Card Execution Note Trust | 266 | 270,108 |
80 | • AB POOLING PORTFOLIOS |
AB Short Duration Bond Portfolio—Portfolio of Investments
Principal Amount (000) | U.S. $ Value | |||||||||||
| ||||||||||||
Synchrony Credit Card Master Note Trust | U.S.$ | 309 | $ | 313,711 | ||||||||
Series 2015-3, Class A | 209 | 209,789 | ||||||||||
World Financial Network Credit Card Master Trust | 100 | 100,156 | ||||||||||
Series 2015-B, Class A | 206 | 211,945 | ||||||||||
Series 2016-A, Class A | 198 | 199,546 | ||||||||||
|
| |||||||||||
2,043,734 | ||||||||||||
|
| |||||||||||
Credit Cards - Floating Rate – 2.2% | ||||||||||||
Cabela’s Credit Card Master Note Trust | 315 | 315,061 | ||||||||||
Series 2014-1, Class A | 112 | 111,987 | ||||||||||
Chase Issuance Trust | 434 | 435,306 | ||||||||||
Discover Card Execution Note Trust | 200 | 200,573 | ||||||||||
Series 2015-A1, Class A1 | 273 | 273,437 | ||||||||||
First National Master Note Trust | 188 | 188,041 | ||||||||||
World Financial Network Credit Card Master Trust | 174 | 174,123 | ||||||||||
|
| |||||||||||
1,698,528 | ||||||||||||
|
| |||||||||||
Autos - Floating Rate – 1.6% | ||||||||||||
BMW Floorplan Master Owner Trust | 261 | 261,339 |
AB POOLING PORTFOLIOS • | 81 |
AB Short Duration Bond Portfolio—Portfolio of Investments
Principal Amount (000) | U.S. $ Value | |||||||||||
| ||||||||||||
Ford Credit Floorplan Master Owner Trust A | U.S.$ | 247 | $ | 247,211 | ||||||||
GE Dealer Floorplan Master Note Trust | 137 | 136,994 | ||||||||||
Series 2015-1, Class A | 261 | 260,396 | ||||||||||
Hertz Fleet Lease Funding LP | 69 | 68,770 | ||||||||||
Series 2014-1, Class A | 128 | 128,325 | ||||||||||
Navistar Financial Dealer Note Master Trust | 194 | 193,767 | ||||||||||
|
| |||||||||||
1,296,802 | ||||||||||||
|
| |||||||||||
Other ABS - Fixed Rate – 1.2% | ||||||||||||
CIT Equipment Collateral | 10 | 10,236 | ||||||||||
CNH Equipment Trust | 466 | 466,512 | ||||||||||
Series 2014-B, Class A4 | 170 | 170,341 | ||||||||||
Series 2015-A, Class A4 | 162 | 162,904 | ||||||||||
Dell Equipment Finance Trust | 100 | 99,900 | ||||||||||
|
| |||||||||||
909,893 | ||||||||||||
|
| |||||||||||
Home Equity Loans - Fixed Rate – 0.1% | ||||||||||||
Credit-Based Asset Servicing and Securitization LLC | 43 | 42,866 | ||||||||||
Nationstar NIM Ltd. | 3 | – 0 | – | |||||||||
|
| |||||||||||
42,866 | ||||||||||||
|
| |||||||||||
Total Asset-Backed Securities | 12,167,889 | |||||||||||
|
|
82 | • AB POOLING PORTFOLIOS |
AB Short Duration Bond Portfolio—Portfolio of Investments
Principal Amount (000) | U.S. $ Value | |||||||||||
| ||||||||||||
COMMERCIAL MORTGAGE-BACKED SECURITIES – 9.2% | ||||||||||||
Non-Agency Fixed Rate CMBS – 7.8% | ||||||||||||
Citigroup Commercial Mortgage Trust | U.S.$ | 272 | $ | 279,381 | ||||||||
Commercial Mortgage Trust | 182 | 183,335 | ||||||||||
Series 2012-CR4, Class A1 | 57 | 56,482 | ||||||||||
Series 2013-CR6, Class A1 | 147 | 146,481 | ||||||||||
Series 2013-LC6, Class A1 | 68 | 67,363 | ||||||||||
Series 2013-LC6, Class XA | 524 | 31,943 | ||||||||||
Series 2014-CR16, Class A2 | 316 | 326,008 | ||||||||||
Series 2014-CR19, Class A2 | 396 | 408,440 | ||||||||||
Series 2015-DC1, Class A2 | 300 | 310,303 | ||||||||||
Series 2015-LC21, Class A2 | 228 | 238,141 | ||||||||||
Credit Suisse Commercial Mortgage Trust | 162 | 163,357 | ||||||||||
Series 2007-C4, Class A4 | 168 | 171,938 | ||||||||||
GS Mortgage Securities Corp. II | 278 | 286,276 | ||||||||||
GS Mortgage Securities Trust | 131 | 133,674 | ||||||||||
Series 2013-GC14, Class A1 | 69 | 68,857 | ||||||||||
JP Morgan Chase Commercial Mortgage Securities Trust | 61 | 60,986 | ||||||||||
Series 2007-LDPX, Class A1A | 386 | 390,655 | ||||||||||
Series 2013-C10, Class A1 | 58 | 57,916 | ||||||||||
Series 2013-C16, Class A2 | 323 | 332,130 |
AB POOLING PORTFOLIOS • | 83 |
AB Short Duration Bond Portfolio—Portfolio of Investments
Principal Amount (000) | U.S. $ Value | |||||||||||
| ||||||||||||
JPMBB Commercial Mortgage Securities Trust | U.S.$ | 335 | $ | 344,217 | ||||||||
Series 2015-C28, Class A2 | 343 | 355,031 | ||||||||||
Series 2015-C29, Class A2 | 169 | 175,767 | ||||||||||
LSTAR Commercial Mortgage Trust | 119 | 119,339 | ||||||||||
Morgan Stanley Bank of America Merrill Lynch | 270 | 281,019 | ||||||||||
Series 2015-C23, Class A2 | 277 | 289,914 | ||||||||||
UBS-Barclays Commercial Mortgage Trust | 42 | 41,910 | ||||||||||
Series 2013-C5, Class A1 | 146 | 145,590 | ||||||||||
Wachovia Bank Commercial Mortgage Trust | 12 | 11,527 | ||||||||||
Wells Fargo Commercial Mortgage Trust | 83 | 83,150 | ||||||||||
Series 2015-NXS1, Class A2 | 153 | 157,491 | ||||||||||
WF-RBS Commercial Mortgage Trust | 447 | 33,325 | ||||||||||
Series 2012-C6, Class XA | 268 | 22,795 | ||||||||||
Series 2012-C9, Class A1 | 88 | 88,249 | ||||||||||
Series 2013-C12, Class A1 | 7 | 6,997 | ||||||||||
Series 2014-C24, Class A2 | 202 | 209,032 | ||||||||||
|
| |||||||||||
6,079,019 | ||||||||||||
|
| |||||||||||
Non-Agency Floating Rate CMBS – 1.4% | ||||||||||||
Banc of America Commercial Mortgage Trust | 329 | 337,004 | ||||||||||
JP Morgan Chase Commercial Mortgage Securities Trust | 304 | 302,667 |
84 | • AB POOLING PORTFOLIOS |
AB Short Duration Bond Portfolio—Portfolio of Investments
Principal Amount (000) | U.S. $ Value | |||||||||||
| ||||||||||||
Series 2015-SGP, Class A | U.S.$ | 126 | $ | 126,465 | ||||||||
Morgan Stanley Capital I Trust | 178 | 180,588 | ||||||||||
Resource Capital Corp., Ltd. | 50 | 49,815 | ||||||||||
Starwood Retail Property Trust | 152 | 150,713 | ||||||||||
|
| |||||||||||
1,147,252 | ||||||||||||
|
| |||||||||||
Total Commercial Mortgage-Backed Securities | 7,226,271 | |||||||||||
|
| |||||||||||
COLLATERALIZED MORTGAGE OBLIGATIONS – 4.9% | ||||||||||||
Agency Floating Rate – 2.3% | ||||||||||||
Federal Home Loan Mortgage Corp. REMICs | 224 | 223,855 | ||||||||||
Series 4286, Class VF | 250 | 250,217 | ||||||||||
Federal National Mortgage Association REMICs | 239 | 238,566 | ||||||||||
Series 2014-49, Class AF | 458 | 453,395 | ||||||||||
NCUA Guaranteed Notes Trust | 636 | 637,100 | ||||||||||
|
| |||||||||||
1,803,133 | ||||||||||||
|
| |||||||||||
Agency Fixed Rate – 1.7% | ||||||||||||
Federal Home Loan Mortgage Corp. REMICs | 260 | 266,682 | ||||||||||
Series 4461, Class EA | 173 | 174,326 |
AB POOLING PORTFOLIOS • | 85 |
AB Short Duration Bond Portfolio—Portfolio of Investments
Principal Amount (000) | U.S. $ Value | |||||||||||
| ||||||||||||
Federal National Mortgage Association REMICs | U.S.$ | 75 | $ | 76,640 | ||||||||
Series 2011-39, Class DA | 25 | 24,701 | ||||||||||
Series 2014-54, Class LA | 219 | 222,569 | ||||||||||
Series 2015-72, Class PC | 506 | 521,083 | ||||||||||
|
| |||||||||||
1,286,001 | ||||||||||||
|
| |||||||||||
Risk Share Floating Rate – 0.7% | ||||||||||||
Federal Home Loan Mortgage Corp. Structured Agency Credit Risk Debt Notes | 28 | 27,822 | ||||||||||
Series 2014-HQ1, Class M1 | 32 | 31,556 | ||||||||||
Series 2015-DNA3, Class M1 | 180 | 180,560 | ||||||||||
Federal National Mortgage Association Connecticut Avenue Securities | 186 | 186,251 | ||||||||||
Series 2014-C04, Class 2M1 | 62 | 62,625 | ||||||||||
Series 2015-C01, Class 1M1 | 28 | 28,496 | ||||||||||
Series 2015-C03, Class 1M1 | 57 | 56,686 | ||||||||||
|
| |||||||||||
573,996 | ||||||||||||
|
| |||||||||||
Non-Agency Floating Rate – 0.2% | ||||||||||||
Mortgage Equity Conversion Asset Trust | 210 | 178,783 | ||||||||||
|
| |||||||||||
Total Collateralized Mortgage Obligations | 3,841,913 | |||||||||||
|
| |||||||||||
INFLATION-LINKED SECURITIES – 2.6% | ||||||||||||
United States – 2.6% | ||||||||||||
U.S. Treasury Inflation Index | 879 | 886,892 |
86 | • AB POOLING PORTFOLIOS |
AB Short Duration Bond Portfolio—Portfolio of Investments
Principal Amount (000) | U.S. $ Value | |||||||||||
| ||||||||||||
1.125%, 1/15/21 (TIPS) | U.S.$ | 1,120 | $ | 1,181,121 | ||||||||
|
| |||||||||||
Total Inflation-Linked Securities | 2,068,013 | |||||||||||
|
| |||||||||||
MORTGAGE PASS-THROUGHS – 1.5% | ||||||||||||
Agency ARMs – 0.1% | ||||||||||||
Federal National Mortgage Association | 71 | 73,991 | ||||||||||
|
| |||||||||||
Agency Fixed Rate 15-Year – 0.2% | ||||||||||||
Federal Home Loan Mortgage Corp. Gold | 78 | 84,024 | ||||||||||
Federal National Mortgage Association | 53 | 57,832 | ||||||||||
Series 2001 | ||||||||||||
6.00%, 11/01/16 | – 0 | –** | 39 | |||||||||
Series 2005 | ||||||||||||
6.00%, 6/01/19-5/01/20 | 1 | 1,224 | ||||||||||
Series 2007 | ||||||||||||
6.00%, 2/01/22 | 17 | 18,347 | ||||||||||
Series 2002 | ||||||||||||
6.00%, 12/01/17 | 1 | 638 | ||||||||||
|
| |||||||||||
162,104 | ||||||||||||
|
| |||||||||||
Agency Fixed Rate 30-Year – 1.2% | ||||||||||||
Federal National Mortgage Association | 554 | 630,900 | ||||||||||
Government National Mortgage Association | 258 | 291,710 | ||||||||||
|
| |||||||||||
922,610 | ||||||||||||
|
| |||||||||||
Total Mortgage Pass-Throughs | 1,158,705 | |||||||||||
|
| |||||||||||
COVERED BONDS – 0.4% | ||||||||||||
DNB Boligkreditt AS | 313 | 313,639 | ||||||||||
|
| |||||||||||
SHORT-TERM INVESTMENTS – 7.6% | ||||||||||||
Agency Discount Note – 1.3% | ||||||||||||
Federal Home Loan Bank Zero Coupon | 990 | 987,972 | ||||||||||
|
|
AB POOLING PORTFOLIOS • | 87 |
AB Short Duration Bond Portfolio—Portfolio of Investments
Principal Amount (000) | U.S. $ Value | |||||||||||
| ||||||||||||
Governments - Treasuries – 5.3% | ||||||||||||
Japan – 5.3% | ||||||||||||
Japan Treasury Discount Bill | JPY | 430,000 | $ | 4,157,745 | ||||||||
|
| |||||||||||
Certificates of Deposit – 1.0% | ||||||||||||
Cooperatieve Rabobank Ua/ny | U.S.$ | 785 | 785,000 | |||||||||
|
| |||||||||||
Total Short-Term Investments | 5,930,717 | |||||||||||
|
| |||||||||||
Total Investments – 98.4% | 77,014,090 | |||||||||||
Other assets less liabilities – 1.6% | 1,240,585 | |||||||||||
|
| |||||||||||
Net Assets – 100.0% | $ | 78,254,675 | ||||||||||
|
|
FUTURES (see Note C)
Type | Number of Contracts | Expiration Month | Original Value | Value at August 31, 2016 | Unrealized Appreciation/ (Depreciation) | |||||||||||||||
Purchased Contracts |
| |||||||||||||||||||
U.S. T-Note 2 Yr (CBT) Futures | 116 | December 2016 | $ | 25,342,546 | $ | 25,324,250 | $ | (18,296 | ) | |||||||||||
Sold Contracts |
| |||||||||||||||||||
U.S. T-Note 5 Yr (CBT) Futures | 19 | December 2016 | 2,309,073 | 2,303,750 | 5,323 | |||||||||||||||
U.S. T-Note 10 Yr (CBT) Futures | 5 | December 2016 | 652,101 | 654,609 | (2,508 | ) | ||||||||||||||
|
| |||||||||||||||||||
$ | (15,481 | ) | ||||||||||||||||||
|
|
FORWARD CURRENCY EXCHANGE CONTRACTS (see Note C)
Counterparty | Contracts to Deliver (000) | In Exchange For (000) | Settlement Date | Unrealized Appreciation/ (Depreciation) | ||||||||||||||||||||
Goldman Sachs Bank USA | JPY | 430,304 | USD | 4,077 | 10/27/16 | $ | (91,504 | ) |
88 | • AB POOLING PORTFOLIOS |
AB Short Duration Bond Portfolio—Portfolio of Investments
CREDIT DEFAULT SWAPS (see Note C)
Swap Counterparty & Referenced Obligation | Fixed Rate (Pay) Receive | Implied Credit Spread at August 31, 2016 | Notional Amount (000) | Market Value | Upfront Premiums Paid (Received) | Unrealized Appreciation/ (Depreciation) | ||||||||||||||||||
Sale Contracts | ||||||||||||||||||||||||
Credit Suisse International CDX-CMBX.NA.BB Series 6, 5/11/63* | 3.00 | % | 4.66 | % | $ | 160 | $ | (13,331 | ) | $ | (10,256 | ) | $ | (3,075 | ) | |||||||||
Deutsche Bank AG CDX-CMBX.NA.BB Series 6, 5/11/63* | 3.00 | 4.66 | 177 | (14,747 | ) | (10,935 | ) | (3,812 | ) | |||||||||||||||
|
|
|
|
|
| |||||||||||||||||||
$ | (28,078 | ) | $ | (21,191 | ) | $ | (6,887 | ) | ||||||||||||||||
|
|
|
|
|
|
* | Termination date |
** | Principal amount less than 500. |
(a) | Security is exempt from registration under Rule 144A of the Securities Act of 1933. These securities are considered restricted, but liquid and may be resold in transactions exempt from registration, normally to qualified institutional buyers. At August 31, 2016, the aggregate market value of these securities amounted to $8,993,715 or 11.5% of net assets. |
(b) | Floating Rate Security. Stated interest rate was in effect at August 31, 2016. |
(c) | Fair valued by the Adviser. |
(d) | Security is exempt from registration under Rule 144A of the Securities Act of 1933. These securities, which represent 0.00% of net assets as of August 31, 2016, are considered illiquid and restricted. Additional information regarding such securities follows: |
144A/Restricted & Illiquid Securities | Acquisition Date | Cost | Market Value | Percentage of Net Assets | ||||||||||||
Nationstar NIM Ltd. Series 2007-A, Class A | ||||||||||||||||
9.79%, 3/25/37 | 4/04/07 | $ | 3,301 | $ | – 0 | – | 0.00 | % |
(e) | IO – Interest Only. |
(f) | Variable rate coupon, rate shown as of August 31, 2016. |
Currency Abbreviations:
JPY – Japanese Yen
USD – United States Dollar
Glossary:
ABS – Asset-Backed Securities
ARMs – Adjustable Rate Mortgages
CBT – Chicago Board of Trade
CDX-CMBX.NA – North American Commercial Mortgage-Backed Index
CMBS – Commercial Mortgage-Backed Securities
H15T – U.S. Treasury Yield Curve Rate T Note Constant Maturity
LIBOR – London Interbank Offered Rates
NCUA – National Credit Union Administration
REMICs – Real Estate Mortgage Investment Conduits
TIPS – Treasury Inflation Protected Security
See notes to financial statements.
AB POOLING PORTFOLIOS • | 89 |
AB Short Duration Bond Portfolio—Portfolio of Investments
AB GLOBAL CORE BOND PORTFOLIO
PORTFOLIO OF INVESTMENTS
August 31, 2016
Principal Amount (000) | U.S. $ Value | |||||||||||
| ||||||||||||
GOVERNMENTS - TREASURIES – 43.4% | ||||||||||||
Australia – 0.7% | ||||||||||||
Australia Government Bond | AUD | 753 | $ | 686,566 | ||||||||
Series 144 | 1,380 | 1,257,388 | ||||||||||
|
| |||||||||||
1,943,954 | ||||||||||||
|
| |||||||||||
Belgium – 1.1% | ||||||||||||
Belgium Government Bond | EUR | 1,179 | 2,107,658 | |||||||||
Series 75 | 574 | 683,860 | ||||||||||
|
| |||||||||||
2,791,518 | ||||||||||||
|
| |||||||||||
France – 1.9% | ||||||||||||
France Government Bond OAT | 2,169 | 2,519,676 | ||||||||||
2.50%, 5/25/30(a) | 594 | 846,419 | ||||||||||
3.25%, 5/25/45(a) | 831 | 1,455,545 | ||||||||||
|
| |||||||||||
4,821,640 | ||||||||||||
|
| |||||||||||
Germany – 2.7% | ||||||||||||
Bundesrepublik Deutschland | 1,725 | 2,976,970 | ||||||||||
5.50%, 1/04/31(a) | 809 | 1,603,072 | ||||||||||
6.25%, 1/04/30(a) | 1,159 | 2,382,552 | ||||||||||
|
| |||||||||||
6,962,594 | ||||||||||||
|
| |||||||||||
Italy – 4.6% | ||||||||||||
Italy Buoni Poliennali Del Tesoro | 5,969 | 7,003,013 | ||||||||||
3.75%, 5/01/21 | 973 | 1,262,376 | ||||||||||
4.50%, 5/01/23 | 623 | 872,007 | ||||||||||
5.50%, 11/01/22 | 1,962 | 2,849,125 | ||||||||||
|
| |||||||||||
11,986,521 | ||||||||||||
|
| |||||||||||
Japan – 6.9% | ||||||||||||
Japan Government Thirty Year Bond | JPY | 81,750 | 1,097,069 | |||||||||
Series 51 | 140,000 | 1,308,664 | ||||||||||
Japan Government Twenty Year Bond | 583,450 | 7,122,528 | ||||||||||
Series 143 | 305,750 | 3,636,228 |
90 | • AB POOLING PORTFOLIOS |
AB Global Core Bond Portfolio—Portfolio of Investments
Principal Amount (000) | U.S. $ Value | |||||||||||
| ||||||||||||
Series 150 | JPY | 415,650 | $ | 4,831,728 | ||||||||
|
| |||||||||||
17,996,217 | ||||||||||||
|
| |||||||||||
Mexico – 2.7% | ||||||||||||
Mexican Bonos | MXN | 19,504 | 1,075,591 | |||||||||
7.75%, 11/13/42 | 19,834 | 1,242,830 | ||||||||||
8.00%, 6/11/20 | 63,385 | 3,657,157 | ||||||||||
Series M 20 | 16,178 | 1,099,796 | ||||||||||
|
| |||||||||||
7,075,374 | ||||||||||||
|
| |||||||||||
Netherlands – 0.8% | ||||||||||||
Netherlands Government Bond | EUR | 1,862 | 2,137,463 | |||||||||
|
| |||||||||||
Poland – 0.5% | ||||||||||||
Poland Government Bond | PLN | 4,871 | 1,302,387 | |||||||||
|
| |||||||||||
Russia – 0.2% | ||||||||||||
Russian Federal Bond – OFZ | RUB | 44,290 | 632,622 | |||||||||
|
| |||||||||||
Singapore – 0.1% | ||||||||||||
Singapore Government Bond | SGD | 286 | 246,966 | |||||||||
|
| |||||||||||
South Africa – 0.1% | ||||||||||||
South Africa Government Bond | ZAR | 6,877 | 379,238 | |||||||||
|
| |||||||||||
Spain – 2.0% | ||||||||||||
Spain Government Bond | EUR | 427 | 512,077 | |||||||||
2.90%, 10/31/46(a) | 760 | 999,261 | ||||||||||
4.20%, 1/31/37(a) | 888 | 1,409,626 | ||||||||||
4.70%, 7/30/41(a) | 1,388 | 2,399,413 | ||||||||||
|
| |||||||||||
5,320,377 | ||||||||||||
|
| |||||||||||
Sweden – 0.5% | ||||||||||||
Sweden Government Bond | SEK | 8,160 | 1,167,649 | |||||||||
|
|
AB POOLING PORTFOLIOS • | 91 |
AB Global Core Bond Portfolio—Portfolio of Investments
Principal Amount (000) | U.S. $ Value | |||||||||||
| ||||||||||||
Turkey – 0.1% | ||||||||||||
Turkey Government Bond | TRY | 690 | $ | 234,367 | ||||||||
|
| |||||||||||
United Kingdom – 5.5% | ||||||||||||
United Kingdom Gilt | GBP | 2,685 | 3,830,712 | |||||||||
2.50%, 7/22/65(a) | 865 | 1,737,772 | ||||||||||
3.50%, 7/22/68(a) | 144 | 368,433 | ||||||||||
4.25%, 12/07/40(a) | 329 | 705,643 | ||||||||||
4.50%, 12/07/42(a) | 1,854 | 4,225,830 | ||||||||||
4.75%, 12/07/30(a) | 1,723 | 3,432,142 | ||||||||||
|
| |||||||||||
14,300,532 | ||||||||||||
|
| |||||||||||
United States – 13.0% | ||||||||||||
U.S. Treasury Bonds | U.S.$ | 2,840 | 2,850,982 | |||||||||
3.00%, 11/15/45 | 2,956 | 3,444,897 | ||||||||||
3.625%, 8/15/43 | 217 | 281,603 | ||||||||||
4.50%, 2/15/36 | 679 | 969,990 | ||||||||||
4.625%, 2/15/40 | 2,692 | 3,954,508 | ||||||||||
5.375%, 2/15/31 | 1,727 | 2,537,967 | ||||||||||
6.25%, 5/15/30 | 195 | 302,740 | ||||||||||
U.S. Treasury Notes | 4,740 | 4,755,536 | ||||||||||
1.375%, 4/30/20-9/30/20 | 5,817 | 5,883,364 | ||||||||||
1.50%, 2/28/19 | 5 | 4,876 | ||||||||||
1.625%, 8/15/22-5/15/26 | 5,162 | 5,193,325 | ||||||||||
2.125%, 6/30/21 | 3,406 | 3,554,054 | ||||||||||
|
| |||||||||||
33,733,842 | ||||||||||||
|
| |||||||||||
Total Governments - Treasuries | 113,033,261 | |||||||||||
|
| |||||||||||
CORPORATES - INVESTMENT GRADE – 25.0% | ||||||||||||
Industrial – 14.0% | ||||||||||||
Basic – 0.9% | ||||||||||||
CF Industries, Inc. | 22 | 20,291 | ||||||||||
Glencore Funding LLC | 411 | 407,918 | ||||||||||
4.00%, 4/16/25(a) | 348 | 342,780 | ||||||||||
4.125%, 5/30/23(a) | 183 | 181,628 | ||||||||||
Minsur SA | 233 | 245,428 | ||||||||||
Mosaic Co. (The) | 233 | 255,604 |
92 | • AB POOLING PORTFOLIOS |
AB Global Core Bond Portfolio—Portfolio of Investments
Principal Amount (000) | U.S. $ Value | |||||||||||
| ||||||||||||
Rio Tinto Finance USA Ltd. | U.S.$ | 755 | $ | 800,194 | ||||||||
|
| |||||||||||
2,253,843 | ||||||||||||
|
| |||||||||||
Capital Goods – 0.1% | ||||||||||||
Yamana Gold, Inc. | 328 | 334,324 | ||||||||||
|
| |||||||||||
Communications - Media – 2.2% | ||||||||||||
21st Century Fox America, Inc. | 88 | 113,834 | ||||||||||
CBS Corp. | 690 | 712,369 | ||||||||||
Charter Communications Operating LLC/Charter Communications Operating Capital | 320 | 334,857 | ||||||||||
4.908%, 7/23/25(a) | 585 | 645,501 | ||||||||||
Cox Communications, Inc. | 218 | 215,093 | ||||||||||
Discovery Communications LLC | 327 | 321,717 | ||||||||||
Myriad International Holdings BV | 517 | 564,709 | ||||||||||
RELX Capital, Inc. | 690 | 795,974 | ||||||||||
S&P Global, Inc. | 548 | 617,954 | ||||||||||
Time Warner, Inc. | 453 | 482,326 | ||||||||||
3.60%, 7/15/25 | 324 | 347,668 | ||||||||||
7.625%, 4/15/31 | 124 | 174,668 | ||||||||||
Viacom, Inc. | 347 | 314,317 | ||||||||||
|
| |||||||||||
5,640,987 | ||||||||||||
|
| |||||||||||
Communications - Telecommunications – 1.7% | ||||||||||||
America Movil SAB de CV | 435 | 450,175 | ||||||||||
American Tower Corp. | 899 | 998,407 | ||||||||||
AT&T, Inc. | 731 | 753,214 | ||||||||||
3.95%, 1/15/25 | 280 | 300,320 | ||||||||||
4.75%, 5/15/46 | 215 | 229,792 | ||||||||||
Bell Canada, Inc. | CAD | 302 | 242,178 | |||||||||
3.35%, 6/18/19 | 150 | 119,403 | ||||||||||
4.70%, 9/11/23 | 204 | 178,118 |
AB POOLING PORTFOLIOS • | 93 |
AB Global Core Bond Portfolio—Portfolio of Investments
Principal Amount (000) | U.S. $ Value | |||||||||||
| ||||||||||||
British Telecommunications PLC | U.S.$ | 175 | $ | 284,889 | ||||||||
Rogers Communications, Inc. | CAD | 360 | 301,380 | |||||||||
Verizon Communications, Inc. | U.S.$ | 420 | 464,680 | |||||||||
|
| |||||||||||
4,322,556 | ||||||||||||
|
| |||||||||||
Consumer Cyclical - Automotive – 0.5% | ||||||||||||
Ford Motor Credit Co. LLC | 695 | 707,630 | ||||||||||
General Motors Financial Co., Inc. | 597 | 609,010 | ||||||||||
3.25%, 5/15/18 | 43 | 43,834 | ||||||||||
|
| |||||||||||
1,360,474 | ||||||||||||
|
| |||||||||||
Consumer Cyclical - Entertainment – 0.2% | ||||||||||||
Carnival Corp. | EUR | 560 | 657,852 | |||||||||
|
| |||||||||||
Consumer Cyclical - Retailers – 0.3% | ||||||||||||
Kohl’s Corp. | U.S.$ | 96 | 99,606 | |||||||||
5.55%, 7/17/45 | 252 | 250,353 | ||||||||||
Walgreens Boots Alliance, Inc. | 356 | 376,314 | ||||||||||
|
| |||||||||||
726,273 | ||||||||||||
|
| |||||||||||
Consumer Non-Cyclical – 3.5% | ||||||||||||
AbbVie, Inc. | 235 | 240,517 | ||||||||||
3.60%, 5/14/25 | 635 | 672,008 | ||||||||||
Actavis Funding SCS | 480 | 495,612 | ||||||||||
3.80%, 3/15/25 | 427 | 451,161 | ||||||||||
3.85%, 6/15/24 | 228 | 242,278 | ||||||||||
Agilent Technologies, Inc. | 165 | 183,212 | ||||||||||
Ahold Finance USA LLC | 1,007 | 1,313,410 | ||||||||||
Baxalta, Inc. | 320 | 375,904 | ||||||||||
Becton Dickinson and Co. | 259 | 268,238 | ||||||||||
3.734%, 12/15/24 | 181 | 196,823 | ||||||||||
Gilead Sciences, Inc. | 300 | 325,471 | ||||||||||
Kraft Heinz Foods Co. | 479 | 498,261 | ||||||||||
3.50%, 7/15/22 | 407 | 434,914 |
94 | • AB POOLING PORTFOLIOS |
AB Global Core Bond Portfolio—Portfolio of Investments
Principal Amount (000) | U.S. $ Value | |||||||||||
| ||||||||||||
Mylan NV | U.S.$ | 489 | $ | 500,193 | ||||||||
Newell Brands, Inc. | 469 | 489,641 | ||||||||||
3.85%, 4/01/23 | 190 | 203,000 | ||||||||||
Philip Morris International, Inc. | 354 | 354,383 | ||||||||||
Reynolds American, Inc. | 639 | 717,228 | ||||||||||
5.85%, 8/15/45 | 258 | 335,539 | ||||||||||
Teva Pharmaceutical Finance Netherlands II BV | EUR | 585 | 686,841 | |||||||||
Tyson Foods, Inc. | U.S.$ | 161 | 165,201 | |||||||||
|
| |||||||||||
9,149,835 | ||||||||||||
|
| |||||||||||
Energy – 2.4% | ||||||||||||
ConocoPhillips | 626 | 684,785 | ||||||||||
Energy Transfer Partners LP | 318 | 340,894 | ||||||||||
7.50%, 7/01/38 | 345 | 406,097 | ||||||||||
EnLink Midstream Partners LP | 804 | 761,883 | ||||||||||
Enterprise Products Operating LLC | 324 | 346,675 | ||||||||||
Halliburton Co. | 294 | 323,683 | ||||||||||
Kinder Morgan Energy Partners LP | 60 | 60,746 | ||||||||||
3.95%, 9/01/22 | 162 | 167,823 | ||||||||||
Kinder Morgan, Inc./DE | 271 | 293,426 | ||||||||||
Noble Energy, Inc. | 673 | 766,496 | ||||||||||
ONEOK Partners LP | 229 | 232,972 | ||||||||||
Plains All American Pipeline LP/PAA Finance Corp. | 565 | 548,531 | ||||||||||
Williams Partners LP | 308 | 306,328 | ||||||||||
4.125%, 11/15/20 | 750 | 778,141 | ||||||||||
4.50%, 11/15/23 | 139 | 144,305 | ||||||||||
|
| |||||||||||
6,162,785 | ||||||||||||
|
| |||||||||||
Services – 0.1% | ||||||||||||
eBay, Inc. | 174 | 186,013 | ||||||||||
|
|
AB POOLING PORTFOLIOS • | 95 |
AB Global Core Bond Portfolio—Portfolio of Investments
Principal Amount (000) | U.S. $ Value | |||||||||||
| ||||||||||||
Technology – 1.3% | ||||||||||||
Fidelity National Information Services, Inc. | U.S.$ | 83 | $ | 87,390 | ||||||||
Hewlett Packard Enterprise Co. | 29 | 31,000 | ||||||||||
HP, Inc. | 69 | 73,155 | ||||||||||
4.375%, 9/15/21 | 59 | 63,639 | ||||||||||
4.65%, 12/09/21 | 150 | 163,929 | ||||||||||
KLA-Tencor Corp. | 517 | 568,765 | ||||||||||
Motorola Solutions, Inc. | 273 | 273,079 | ||||||||||
7.50%, 5/15/25 | 91 | 108,226 | ||||||||||
QUALCOMM, Inc. | 803 | 845,314 | ||||||||||
Seagate HDD Cayman | 404 | 373,837 | ||||||||||
Tencent Holdings Ltd. | 485 | 503,198 | ||||||||||
Total System Services, Inc. | 424 | 438,803 | ||||||||||
|
| |||||||||||
3,530,335 | ||||||||||||
|
| |||||||||||
Transportation - Airlines – 0.1% | ||||||||||||
Southwest Airlines Co. | 365 | 369,557 | ||||||||||
|
| |||||||||||
Transportation - Services – 0.7% | ||||||||||||
Asciano Finance Ltd. | 548 | 567,020 | ||||||||||
Penske Truck Leasing Co. LP/PTL Finance Corp. | 813 | 836,852 | ||||||||||
Ryder System, Inc. | 304 | 306,273 | ||||||||||
|
| |||||||||||
1,710,145 | ||||||||||||
|
| |||||||||||
36,404,979 | ||||||||||||
|
| |||||||||||
Financial Institutions – 8.7% | ||||||||||||
Banking – 6.1% | ||||||||||||
Bank of America Corp. | 438 | 464,925 | ||||||||||
4.875%, 4/01/44 | 670 | 787,077 | ||||||||||
Series L | 419 | 428,391 | ||||||||||
Barclays Bank PLC | EUR | 328 | 450,189 | |||||||||
Barclays PLC | U.S.$ | 301 | 299,220 |
96 | • AB POOLING PORTFOLIOS |
AB Global Core Bond Portfolio—Portfolio of Investments
Principal Amount (000) | U.S. $ Value | |||||||||||
| ||||||||||||
BNP Paribas SA | U.S.$ | 656 | $ | 678,514 | ||||||||
BPCE SA | 200 | 218,907 | ||||||||||
Compass Bank | 338 | 336,980 | ||||||||||
5.50%, 4/01/20 | 817 | 872,472 | ||||||||||
Cooperatieve Rabobank UA | 486 | 510,263 | ||||||||||
4.375%, 8/04/25 | 550 | 583,973 | ||||||||||
Credit Suisse Group Funding Guernsey Ltd. | 250 | 264,255 | ||||||||||
Fifth Third Bancorp | 370 | 376,014 | ||||||||||
Goldman Sachs Group, Inc. (The) | 635 | 672,053 | ||||||||||
Series G | ||||||||||||
7.50%, 2/15/19 | 934 | 1,063,761 | ||||||||||
ING Bank NV | 523 | 529,458 | ||||||||||
JPMorgan Chase & Co. | 874 | 879,317 | ||||||||||
Lloyds Banking Group PLC | 1,033 | 1,060,453 | ||||||||||
Macquarie Bank Ltd. | 213 | 216,583 | ||||||||||
Mellon Capital III | GBP | 300 | 364,399 | |||||||||
Morgan Stanley | U.S.$ | 419 | 449,214 | |||||||||
Series G | ||||||||||||
5.50%, 7/24/20 | 236 | 266,337 | ||||||||||
Murray Street Investment Trust I | 89 | 90,152 | ||||||||||
Nationwide Building Society | 1,117 | 1,268,147 | ||||||||||
Rabobank Capital Funding Trust III | 198 | 197,172 | ||||||||||
Rabobank Capital Funding Trust IV | GBP | 203 | 282,507 | |||||||||
Santander Issuances SAU | U.S.$ | 600 | 622,757 | |||||||||
Santander UK Group Holdings PLC | 650 | 649,254 | ||||||||||
Santander UK PLC | 302 | 316,579 |
AB POOLING PORTFOLIOS • | 97 |
AB Global Core Bond Portfolio—Portfolio of Investments
Principal Amount (000) | U.S. $ Value | |||||||||||
| ||||||||||||
Standard Chartered PLC | U.S.$ | 292 | $ | 294,535 | ||||||||
UBS Group Funding Jersey Ltd. | 413 | 435,886 | ||||||||||
|
| |||||||||||
15,929,744 | ||||||||||||
|
| |||||||||||
Brokerage – 0.3% | ||||||||||||
Nomura Holdings, Inc. | 846 | 846,193 | ||||||||||
|
| |||||||||||
Insurance – 1.6% | ||||||||||||
Aetna, Inc. | 476 | 483,312 | ||||||||||
Five Corners Funding Trust | 347 | 374,940 | ||||||||||
Hartford Financial Services Group, Inc. (The) | 163 | 184,804 | ||||||||||
Humana, Inc. | 121 | 131,027 | ||||||||||
7.20%, 6/15/18 | 199 | 218,459 | ||||||||||
Lincoln National Corp. | 259 | 302,945 | ||||||||||
Massachusetts Mutual Life Insurance Co. | 267 | 425,325 | ||||||||||
Muenchener Rueckversicherungs-Gesellschaft AG in Muenchen | EUR | 200 | 275,653 | |||||||||
Nationwide Mutual Insurance Co. | U.S.$ | 242 | 386,750 | |||||||||
Prudential Financial, Inc. | 543 | 582,367 | ||||||||||
Swiss Re America Holding Corp. | 423 | 549,128 | ||||||||||
XLIT Ltd. | 173 | 173,897 | ||||||||||
|
| |||||||||||
4,088,607 | ||||||||||||
|
| |||||||||||
Other Finance – 0.2% | ||||||||||||
SUAM Finance BV | 422 | 444,577 | ||||||||||
|
| |||||||||||
REITS – 0.5% | ||||||||||||
Healthcare Trust of America Holdings LP | 186 | 191,657 | ||||||||||
Welltower, Inc. | 949 | 1,016,088 | ||||||||||
|
| |||||||||||
1,207,745 | ||||||||||||
|
| |||||||||||
22,516,866 | ||||||||||||
|
|
98 | • AB POOLING PORTFOLIOS |
AB Global Core Bond Portfolio—Portfolio of Investments
Principal Amount (000) | U.S. $ Value | |||||||||||
| ||||||||||||
Utility – 2.3% | ||||||||||||
Electric – 1.1% | ||||||||||||
Constellation Energy Group, Inc. | U.S.$ | 165 | $ | 183,806 | ||||||||
Entergy Corp. | 558 | 600,441 | ||||||||||
Exelon Generation Co. LLC | 805 | 862,863 | ||||||||||
RWE Finance BV | GBP | 476 | 767,054 | |||||||||
TECO Finance, Inc. | U.S.$ | 299 | 329,212 | |||||||||
Union Electric Co. | 103 | 115,834 | ||||||||||
|
| |||||||||||
2,859,210 | ||||||||||||
|
| |||||||||||
Natural Gas – 1.1% | ||||||||||||
Centrica PLC | 610 | 645,594 | ||||||||||
Empresa de Energia de Bogota SA ESP | 495 | 514,600 | ||||||||||
NiSource Finance Corp. | 1,127 | 1,258,646 | ||||||||||
Talent Yield Investments Ltd. | 383 | 417,715 | ||||||||||
|
| |||||||||||
2,836,555 | ||||||||||||
|
| |||||||||||
Other Utility – 0.1% | ||||||||||||
Veolia Environnement SA | EUR | 209 | 416,597 | |||||||||
|
| |||||||||||
6,112,362 | ||||||||||||
|
| |||||||||||
Total Corporates – Investment Grade | 65,034,207 | |||||||||||
|
| |||||||||||
COLLATERALIZED MORTGAGE OBLIGATIONS – 5.6% | ||||||||||||
Risk Share Floating Rate – 5.5% | ||||||||||||
Federal Home Loan Mortgage Corp. | ||||||||||||
2.724% (LIBOR 1 Month + 2.20%), 2/25/24(d) | U.S.$ | 718 | 735,628 | |||||||||
Series 2014-DN3, Class M2 | 319 | 321,914 |
AB POOLING PORTFOLIOS • | 99 |
AB Global Core Bond Portfolio—Portfolio of Investments
Principal Amount (000) | U.S. $ Value | |||||||||||
| ||||||||||||
Series 2014-HQ1, Class M2 | U.S.$ | 835 | $ | 848,506 | ||||||||
Series 2014-HQ2, Class M1 | 540 | 543,000 | ||||||||||
Series 2015-DNA1, Class M2 | 356 | 360,306 | ||||||||||
Series 2015-DNA2, Class M2 | 883 | 901,304 | ||||||||||
Series 2015-DNA3, Class M2 | 364 | 377,249 | ||||||||||
Series 2015-HQ1, Class M2 | 495 | 503,680 | ||||||||||
Series 2015-HQ2, Class M1 | 271 | 271,040 | ||||||||||
Series 2015-HQA1, Class M2 | 754 | 772,422 | ||||||||||
Series 2015-HQA2, Class M2 | 519 | 534,295 | ||||||||||
Series 2016-DNA1, Class M2 | 279 | 288,194 | ||||||||||
Series 2016-DNA2, Class M2 | 250 | 254,195 | ||||||||||
Series 2016-DNA3, Class M1 | 425 | 425,432 | ||||||||||
Series 2016-HQA1, Class M2 | 306 | 315,597 | ||||||||||
Federal National Mortgage Association | 149 | 150,451 | ||||||||||
Series 2014-C01, Class M1 | 443 | 446,267 |
100 | • AB POOLING PORTFOLIOS |
AB Global Core Bond Portfolio—Portfolio of Investments
Principal Amount (000) | U.S. $ Value | |||||||||||
| ||||||||||||
Series 2014-C04, Class 1M1 | U.S.$ | 493 | $ | 495,346 | ||||||||
Series 2014-C04, Class 2M1 | 192 | 192,300 | ||||||||||
Series 2015-C01, Class 1M1 | 105 | 105,547 | ||||||||||
Series 2015-C02, Class 2M1 | 386 | 386,902 | ||||||||||
Series 2015-C03, Class 1M1 | 186 | 186,274 | ||||||||||
Series 2015-C03, Class 2M1 | 836 | 839,544 | ||||||||||
Series 2016-C01, Class 1M1 | 849 | 856,452 | ||||||||||
Series 2016-C01, Class 2M1 | 312 | 315,256 | ||||||||||
Series 2016-C02, Class 1M1 | 906 | 917,501 | ||||||||||
Series 2016-C03, Class 1M1 | 333 | 338,012 | ||||||||||
Series 2016-C03, Class 2M1 | 709 | 719,165 | ||||||||||
Series 2016-C04, Class 1M1 | 407 | 409,106 | ||||||||||
Series 2016-C05, Class 2M1 | 384 | 385,346 | ||||||||||
|
| |||||||||||
14,196,231 | ||||||||||||
|
| |||||||||||
Non-Agency Fixed Rate – 0.1% | ||||||||||||
Citigroup Mortgage Loan Trust, Inc. | 226 | 210,511 | ||||||||||
|
|
AB POOLING PORTFOLIOS • | 101 |
AB Global Core Bond Portfolio—Portfolio of Investments
Principal Amount (000) | U.S. $ Value | |||||||||||
| ||||||||||||
Agency Fixed Rate – 0.0% | ||||||||||||
Federal National Mortgage Association Grantor Trust | U.S.$ | 128 | $ | 111,799 | ||||||||
|
| |||||||||||
Total Collateralized Mortgage Obligations | 14,518,541 | |||||||||||
|
| |||||||||||
GOVERNMENTS - SOVEREIGN AGENCIES – 5.5% | ||||||||||||
Canada – 4.6% | ||||||||||||
Canada Housing Trust No. 1 | CAD | 3,665 | 3,071,960 | |||||||||
2.55%, 3/15/25(a) | 3,360 | 2,792,459 | ||||||||||
3.80%, 6/15/21(a) | 7,000 | 6,026,971 | ||||||||||
|
| |||||||||||
11,891,390 | ||||||||||||
|
| |||||||||||
Colombia – 0.3% | ||||||||||||
Ecopetrol SA | U.S.$ | 241 | 224,130 | |||||||||
Oleoducto Central SA | 340 | 343,825 | ||||||||||
Ecopetrol SA | 239 | 257,881 | ||||||||||
|
| |||||||||||
825,836 | ||||||||||||
|
| |||||||||||
France – 0.5% | ||||||||||||
Dexia Credit Local SA/New York, NY | 452 | 452,009 | ||||||||||
1.50%, 10/07/17(a) | 880 | 882,178 | ||||||||||
|
| |||||||||||
1,334,187 | ||||||||||||
|
| |||||||||||
Morocco – 0.1% | ||||||||||||
OCP SA | 214 | 235,622 | ||||||||||
|
| |||||||||||
Total Governments - Sovereign Agencies | 14,287,035 | |||||||||||
|
| |||||||||||
COMMERCIAL MORTGAGE-BACKED SECURITIES – 3.8% | ||||||||||||
Non-Agency Fixed Rate CMBS – 2.0% | ||||||||||||
BHMS Mortgage Trust | 840 | 871,163 | ||||||||||
Commercial Mortgage Loan Trust | 1,109 | 1,152,569 |
102 | • AB POOLING PORTFOLIOS |
AB Global Core Bond Portfolio—Portfolio of Investments
Principal Amount (000) | U.S. $ Value | |||||||||||
| ||||||||||||
Commercial Mortgage Trust | U.S.$ | 1,772 | $ | 1,781,818 | ||||||||
GS Mortgage Securities Trust | 409 | 400,206 | ||||||||||
Series 2013-G1, Class A2 | 528 | 542,373 | ||||||||||
JP Morgan Chase Commercial Mortgage Securities Trust | 298 | 303,638 | ||||||||||
|
| |||||||||||
5,051,767 | ||||||||||||
|
| |||||||||||
Non-Agency Floating Rate CMBS – 1.2% | ||||||||||||
Banc of America Commercial Mortgage Trust | 1,266 | 1,298,638 | ||||||||||
Commercial Mortgage Trust | 305 | 304,867 | ||||||||||
JP Morgan Chase Commercial Mortgage Securities Trust | 874 | 870,167 | ||||||||||
Resource Capital Corp., Ltd. | 182 | 180,329 | ||||||||||
Starwood Retail Property Trust | 563 | 556,613 | ||||||||||
|
| |||||||||||
3,210,614 | ||||||||||||
|
| |||||||||||
Agency CMBS – 0.6% | ||||||||||||
Federal Home Loan Mortgage Corp. | 1,522 | 1,628,231 | ||||||||||
|
| |||||||||||
Total Commercial Mortgage-Backed Securities | 9,890,612 | |||||||||||
|
| |||||||||||
COVERED BONDS – 3.7% | ||||||||||||
AIB Mortgage Bank | EUR | 217 | 252,077 |
AB POOLING PORTFOLIOS • | 103 |
AB Global Core Bond Portfolio—Portfolio of Investments
Principal Amount (000) | U.S. $ Value | |||||||||||
| ||||||||||||
Banco de Sabadell SA | EUR | 300 | $ | 350,669 | ||||||||
Bank of Nova Scotia (The) | U.S.$ | 948 | 951,903 | |||||||||
Bank of Scotland PLC | EUR | 1,040 | 1,475,978 | |||||||||
Credit Suisse AG/Guernsey | 654 | 789,303 | ||||||||||
Danske Bank A/S | 307 | 365,524 | ||||||||||
DNB Boligkreditt AS | 581 | 774,039 | ||||||||||
National Australia Bank Ltd. | U.S.$ | 1,043 | 1,055,542 | |||||||||
Nationwide Building Society | EUR | 550 | 761,128 | |||||||||
Santander UK PLC | 615 | 735,830 | ||||||||||
Stadshypotek AB | SEK | 5,000 | 720,173 | |||||||||
Swedbank Hypotek AB | 5,700 | 685,467 | ||||||||||
UBS AG/London | EUR | 667 | 795,696 | |||||||||
|
| |||||||||||
Total Covered Bonds | 9,713,329 | |||||||||||
|
| |||||||||||
INFLATION-LINKED SECURITIES – 3.7% | ||||||||||||
United States – 3.7% | ||||||||||||
U.S. Treasury Inflation Index | U.S.$ | 5,672 | 5,721,891 | |||||||||
0.25%, 1/15/25 (TIPS) | 3,885 | 3,921,653 | ||||||||||
|
| |||||||||||
Total Inflation-Linked Securities | 9,643,544 | |||||||||||
|
| |||||||||||
AGENCIES – 2.9% | ||||||||||||
Agency Debentures – 2.6% | ||||||||||||
Residual Funding Corp. Principal Strip Zero Coupon, 7/15/20 | 7,199 | 6,830,843 | ||||||||||
|
|
104 | • AB POOLING PORTFOLIOS |
AB Global Core Bond Portfolio—Portfolio of Investments
Principal Amount (000) | U.S. $ Value | |||||||||||
| ||||||||||||
Agency Subordinated – 0.3% | ||||||||||||
Federal National Mortgage Association Zero Coupon, 10/09/19 | U.S.$ | 715 | $ | 685,094 | ||||||||
|
| |||||||||||
Total Agencies | 7,515,937 | |||||||||||
|
| |||||||||||
MORTGAGE PASS-THROUGHS – 2.7% | ||||||||||||
Agency ARMs – 0.2% | ||||||||||||
Federal Home Loan Mortgage Corp. | 283 | 297,185 | ||||||||||
Federal National Mortgage Association | 171 | 179,894 | ||||||||||
|
| |||||||||||
477,079 | ||||||||||||
|
| |||||||||||
Agency Fixed Rate 30-Year – 2.0% | ||||||||||||
Federal Home Loan Mortgage Corp. Gold | 200 | 226,138 | ||||||||||
Federal National Mortgage Association | 164 | 185,276 | ||||||||||
Series 2004 | 162 | 183,661 | ||||||||||
Series 2005 | 123 | 139,280 | ||||||||||
Series 2006 | – 0 | –** | 348 | |||||||||
3.50%, 9/15/46, TBA | 1,355 | 1,427,884 | ||||||||||
Government National Mortgage Association | 3,005 | 3,189,526 | ||||||||||
|
| |||||||||||
5,352,113 | ||||||||||||
|
| |||||||||||
Other Agency Fixed Rate Programs – 0.5% | ||||||||||||
Canadian Mortgage Pools | CAD | 1,349 | 1,284,172 | |||||||||
|
| |||||||||||
Total Mortgage Pass-Throughs | 7,113,364 | |||||||||||
|
| |||||||||||
QUASI-SOVEREIGNS – 0.8% | ||||||||||||
Quasi-Sovereign Bonds – 0.8% | ||||||||||||
Chile – 0.3% | ||||||||||||
Empresa de Transporte de Pasajeros Metro SA 4.75%, 2/04/24(a) | U.S.$ | 849 | 924,780 | |||||||||
|
|
AB POOLING PORTFOLIOS • | 105 |
AB Global Core Bond Portfolio—Portfolio of Investments
Principal Amount (000) | U.S. $ Value | |||||||||||
| ||||||||||||
Mexico – 0.4% | ||||||||||||
Petroleos Mexicanos | U.S.$ | 974 | $ | 975,461 | ||||||||
|
| |||||||||||
Peru – 0.1% | ||||||||||||
Fondo MIVIVIENDA SA | 200 | 206,750 | ||||||||||
|
| |||||||||||
Total Quasi-Sovereigns | 2,106,991 | |||||||||||
|
| |||||||||||
ASSET-BACKED SECURITIES – 0.7% | ||||||||||||
Other ABS - Fixed Rate – 0.4% | ||||||||||||
SBA Tower Trust | 408 | 412,625 | ||||||||||
Series 2014-2A, Class C | 337 | 345,000 | ||||||||||
TAGUS-Sociedade de Titularizacao de Creditos SA/Volta II Electricity Receivables | EUR | 162 | 182,539 | |||||||||
|
| |||||||||||
940,164 | ||||||||||||
|
| |||||||||||
Autos - Fixed Rate – 0.3% | ||||||||||||
Santander Drive Auto Receivables Trust Series 2013-2, Class E | U.S.$ | 750 | 757,185 | |||||||||
|
| |||||||||||
Home Equity Loans - Floating Rate – 0.0% | ||||||||||||
Asset Backed Funding Certificates Trust | 74 | 71,042 | ||||||||||
|
| |||||||||||
Total Asset-Backed Securities | 1,768,391 | |||||||||||
|
| |||||||||||
EMERGING MARKETS - TREASURIES – 0.5% | ||||||||||||
Brazil – 0.5% | ||||||||||||
Brazil Notas do Tesouro Nacional | BRL | 4,230 | 1,292,690 | |||||||||
|
| |||||||||||
106 | • AB POOLING PORTFOLIOS |
AB Global Core Bond Portfolio—Portfolio of Investments
Principal Amount (000) | U.S. $ Value | |||||||||||
| ||||||||||||
LOCAL GOVERNMENTS - MUNICIPAL BONDS – 0.4% | ||||||||||||
United States – 0.4% | ||||||||||||
State of California | U.S.$ | 650 | $ | 1,049,269 | ||||||||
|
| |||||||||||
SUPRANATIONALS – 0.3% | ||||||||||||
International Bank for Reconstruction & Development | 765 | 821,657 | ||||||||||
|
| |||||||||||
CORPORATES - NON-INVESTMENT GRADE – 0.3% | ||||||||||||
Financial Institutions – 0.2% | ||||||||||||
Banking – 0.2% | ||||||||||||
Societe Generale SA | 495 | 502,831 | ||||||||||
|
| |||||||||||
Industrial – 0.1% | ||||||||||||
Energy – 0.1% | ||||||||||||
Southwestern Energy Co. | 269 | 244,790 | ||||||||||
|
| |||||||||||
Total Corporates - Non-Investment Grade | 747,621 | |||||||||||
|
| |||||||||||
Total Investments – 99.3% | 258,536,449 | |||||||||||
Other assets less liabilities – 0.7% | 1,777,943 | |||||||||||
|
| |||||||||||
Net Assets – 100.0% | $ | 260,314,392 | ||||||||||
|
|
FUTURES (see Note C)
Type | Number of Contracts | Expiration Month | Original Value | Value at August 31, 2016 | Unrealized Appreciation/ (Depreciation) | |||||||||||||||
Purchased Contracts |
| |||||||||||||||||||
10 Yr Japan Bond (OSE) Futures | 3 | September 2016 | $ | 4,404,697 | $ | 4,390,180 | $ | (14,517 | ) | |||||||||||
Sold Contracts |
| |||||||||||||||||||
10 Yr Canadian Bond Futures | 17 | December 2016 | 1,901,028 | 1,902,615 | (1,587 | ) | ||||||||||||||
Euro Buxl 30 Yr Bond Futures | 2 | September 2016 | 403,679 | 430,519 | (26,840 | ) | ||||||||||||||
Euro-Bund Futures | 25 | September 2016 | 4,559,090 | 4,667,601 | (108,511 | ) |
AB POOLING PORTFOLIOS • | 107 |
AB Global Core Bond Portfolio—Portfolio of Investments
Type | Number of Contracts | Expiration Month | Original Value | Value at August 31, 2016 | Unrealized Appreciation/ (Depreciation) | |||||||||||||||
U.S. Long Bond (CBT) Futures | 16 | December 2016 | $ | 2,734,598 | $ | 2,726,000 | $ | 8,598 | ||||||||||||
U.S. T-Note 5 Yr (CBT) Futures | 121 | December 2016 | 14,679,808 | 14,671,250 | 8,558 | |||||||||||||||
U.S. T-Note 10 Yr (CBT) Futures | 124 | December 2016 | 16,172,120 | 16,234,313 | (62,193 | ) | ||||||||||||||
|
| |||||||||||||||||||
$ | (196,492 | ) | ||||||||||||||||||
|
|
FORWARD CURRENCY EXCHANGE CONTRACTS (see Note C)
Counterparty | Contracts to Deliver (000) | In Exchange For (000) | Settlement Date | Unrealized Appreciation/ (Depreciation) | ||||||||||||||||||||
Australia and New Zealand Banking Group Ltd. | SGD | 4,165 | USD | 3,093 | 9/22/16 | $ | 35,518 | |||||||||||||||||
Australia and New Zealand Banking Group Ltd. | AUD | 8,986 | USD | 6,926 | 10/28/16 | 182,512 | ||||||||||||||||||
Australia and New Zealand Banking Group Ltd. | USD | 4,807 | AUD | 6,312 | 10/28/16 | (69,738 | ) | |||||||||||||||||
Bank of America, NA | USD | 653 | RUB | 42,499 | 10/13/16 | (9,819 | ) | |||||||||||||||||
BNP Paribas SA | CNY | 34,810 | USD | 5,177 | 9/22/16 | (25,168 | ) | |||||||||||||||||
BNP Paribas SA | EUR | 40,991 | USD | 45,500 | 10/06/16 | (291,246 | ) | |||||||||||||||||
BNP Paribas SA | TWD | 82,768 | USD | 2,613 | 10/06/16 | 825 | ||||||||||||||||||
Citibank, NA | CAD | 30,420 | USD | 23,626 | 9/08/16 | 428,484 | ||||||||||||||||||
Citibank, NA | NOK | 22,279 | USD | 2,609 | 9/09/16 | (64,684 | ) | |||||||||||||||||
Citibank, NA | USD | 877 | SGD | 1,176 | 9/22/16 | (13,222 | ) | |||||||||||||||||
Citibank, NA | EUR | 683 | USD | 764 | 10/06/16 | 1,824 | ||||||||||||||||||
Credit Suisse International | USD | 2,729 | NOK | 22,280 | 9/09/16 | (55,036 | ) | |||||||||||||||||
Credit Suisse International | SGD | 1,151 | USD | 850 | 9/22/16 | 5,438 | ||||||||||||||||||
Credit Suisse International | JPY | 231,421 | GBP | 1,705 | 9/23/16 | 1,459 | ||||||||||||||||||
Credit Suisse International | ZAR | 22,596 | USD | 1,625 | 9/27/16 | 95,407 | ||||||||||||||||||
Credit Suisse International | TRY | 1,796 | USD | 602 | 9/29/16 | (1,295 | ) | |||||||||||||||||
Credit Suisse International | USD | 2,408 | MXN | 44,327 | �� | 9/29/16 | (57,041 | ) | ||||||||||||||||
Goldman Sachs Bank USA | USD | 5,225 | CNY | 34,748 | 9/22/16 | (31,768 | ) | |||||||||||||||||
Goldman Sachs Bank USA | USD | 1,932 | INR | 131,175 | 9/22/16 | 20,487 | ||||||||||||||||||
Goldman Sachs Bank USA | GBP | 14,115 | USD | 18,566 | 9/23/16 | 21,419 | ||||||||||||||||||
Goldman Sachs Bank USA | RUB | 145,035 | USD | 2,240 | 10/13/16 | 43,759 | ||||||||||||||||||
Goldman Sachs Bank USA | BRL | 12,725 | USD | 2,767 | 1/04/17 | (1,030,617 | ) | |||||||||||||||||
Goldman Sachs Bank USA | USD | 2,251 | BRL | 8,495 | 1/04/17 | 283,900 | ||||||||||||||||||
JPMorgan Chase Bank, NA | USD | 1,121 | ZAR | 16,625 | 9/27/16 | 4,737 | ||||||||||||||||||
JPMorgan Chase Bank, NA | MXN | 107,413 | USD | 5,665 | 9/29/16 | (31,746 | ) | |||||||||||||||||
JPMorgan Chase Bank, NA | JPY | 69,086 | USD | 685 | 10/21/16 | 15,527 | ||||||||||||||||||
Royal Bank of Scotland PLC | USD | 1,577 | RUB | 102,008 | 10/13/16 | (32,080 | ) | |||||||||||||||||
Societe Generale | USD | 2,234 | GBP | 1,710 | 9/23/16 | 13,120 | ||||||||||||||||||
Standard Chartered Bank | PLN | 4,874 | USD | 1,225 | 10/07/16 | (21,082 | ) | |||||||||||||||||
State Street Bank & Trust Co. | USD | 809 | GBP | 620 | 9/23/16 | 5,544 | ||||||||||||||||||
State Street Bank & Trust Co. | USD | 1,013 | TRY | 3,056 | 9/29/16 | 14,377 | ||||||||||||||||||
State Street Bank & Trust Co. | EUR | 1,153 | USD | 1,280 | 10/06/16 | (7,993 | ) | |||||||||||||||||
State Street Bank & Trust Co. | USD | 454 | EUR | 402 | 10/06/16 | (4,642 | ) | |||||||||||||||||
State Street Bank & Trust Co. | USD | 2,641 | TWD | 83,244 | 10/06/16 | (13,757 | ) | |||||||||||||||||
State Street Bank & Trust Co. | JPY | 1,848,578 | USD | 18,301 | 10/21/16 | 395,891 | ||||||||||||||||||
|
| |||||||||||||||||||||||
$ | (190,706 | ) | ||||||||||||||||||||||
|
|
108 | • AB POOLING PORTFOLIOS |
AB Global Core Bond Portfolio—Portfolio of Investments
** | Principal amount less than 500. |
(a) | Security is exempt from registration under Rule 144A of the Securities Act of 1933. These securities are considered restricted, but liquid and may be resold in transactions exempt from registration, normally to qualified institutional buyers. At August 31, 2016, the aggregate market value of these securities amounted to $78,755,703 or 30.3% of net assets. |
(b) | Variable rate coupon, rate shown as of August 31, 2016. |
(c) | Securities are perpetual and, thus, do not have a predetermined maturity date. The date shown, if applicable, reflects the next call date. |
(d) | Floating Rate Security. Stated interest rate was in effect at August 31, 2016. |
Currency Abbreviations:
AUD – Australian Dollar
BRL – Brazilian Real
CAD – Canadian Dollar
CNY – Chinese Yuan Renminbi
EUR – Euro
GBP – Great British Pound
INR – Indian Rupee
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
LIBOR – London Interbank Offered Rates
OAT – Obligations Assimilables du Trésor
OSE – Osaka Securities Exchange
REIT – Real Estate Investment Trust
TBA – To Be Announced
TIPS – Treasury Inflation Protected Security
See notes to financial statements.
AB POOLING PORTFOLIOS • | 109 |
AB Global Core Bond Portfolio—Portfolio of Investments
AB BOND INFLATION PROTECTION PORTFOLIO
PORTFOLIO OF INVESTMENTS
August 31, 2016
Principal Amount (000) | U.S. $ Value | |||||||||||
| ||||||||||||
INFLATION-LINKED SECURITIES – 87.7% | ||||||||||||
United States – 87.7% | ||||||||||||
U.S. Treasury Inflation Index | U.S.$ | 13,573 | $ | 13,667,131 | ||||||||
0.125%, 4/15/20-7/15/24 (TIPS)(a) | 21,162 | 21,344,581 | ||||||||||
0.25%, 1/15/25 (TIPS)(a)(b) | 6,410 | 6,470,419 | ||||||||||
0.375%, 7/15/23 (TIPS) | 6,155 | 6,314,777 | ||||||||||
0.375%, 7/15/25 (TIPS)(a) | 11,462 | 11,727,919 | ||||||||||
0.625%, 7/15/21 (TIPS)(a)(c) | 12,822 | 13,315,092 | ||||||||||
0.625%, 1/15/24 (TIPS)(a) | 6,692 | 6,958,830 | ||||||||||
1.375%, 1/15/20 (TIPS) | 2,504 | 2,638,122 | ||||||||||
2.00%, 1/15/26 (TIPS) | 2,736 | 3,187,502 | ||||||||||
2.125%, 1/15/19 (TIPS) | 4,416 | 4,672,692 | ||||||||||
2.375%, 1/15/27 (TIPS) | 1,447 | 1,760,615 | ||||||||||
|
| |||||||||||
Total Inflation-Linked Securities | 92,057,680 | |||||||||||
|
| |||||||||||
CORPORATES - INVESTMENT | ||||||||||||
Industrial – 12.1% | ||||||||||||
Basic – 1.4% | ||||||||||||
Barrick Gold Corp. | 16 | 17,225 | ||||||||||
Dow Chemical Co. (The) | 104 | 122,741 | ||||||||||
Eastman Chemical Co. | 103 | 108,943 | ||||||||||
Glencore Funding LLC | 528 | 531,960 | ||||||||||
International Paper Co. | 208 | 230,849 | ||||||||||
LyondellBasell Industries NV | 200 | 239,853 | ||||||||||
Sociedad Quimica y Minera de Chile SA | 200 | 198,020 | ||||||||||
|
| |||||||||||
1,449,591 | ||||||||||||
|
| |||||||||||
Capital Goods – 0.1% | ||||||||||||
Yamana Gold, Inc. | 131 | 133,526 | ||||||||||
|
| |||||||||||
Communications - Media – 1.5% | ||||||||||||
21st Century Fox America, Inc. | 260 | 335,534 | ||||||||||
CBS Corp. | 103 | 106,339 | ||||||||||
5.75%, 4/15/20 | 266 | 301,049 |
110 | • AB POOLING PORTFOLIOS |
AB Bond Inflation Protection Portfolio—Portfolio of Investments
Principal Amount (000) | U.S. $ Value | |||||||||||
| ||||||||||||
Cox Communications, Inc. | U.S.$ | 57 | $ | 56,240 | ||||||||
Discovery Communications LLC | 111 | 109,207 | ||||||||||
NBCUniversal Enterprise, Inc. | 148 | 156,880 | ||||||||||
S&P Global, Inc. | 210 | 236,807 | ||||||||||
Time Warner, Inc. | 184 | 195,912 | ||||||||||
Viacom, Inc. | 115 | 104,169 | ||||||||||
|
| |||||||||||
1,602,137 | ||||||||||||
|
| |||||||||||
Communications - | ||||||||||||
American Tower Corp. | 149 | 152,633 | ||||||||||
5.05%, 9/01/20 | 222 | 246,548 | ||||||||||
AT&T, Inc. | 281 | 289,539 | ||||||||||
3.80%, 3/15/22 | 77 | 82,661 | ||||||||||
4.75%, 5/15/46 | 85 | 90,848 | ||||||||||
Rogers Communications, Inc. | CAD | 25 | 20,929 | |||||||||
Telefonica Emisiones SAU | U.S.$ | 137 | 156,474 | |||||||||
Verizon Communications, Inc. | 371 | 391,157 | ||||||||||
|
| |||||||||||
1,430,789 | ||||||||||||
|
| |||||||||||
Consumer Cyclical - Automotive – 0.5% | ||||||||||||
Ford Motor Credit Co. LLC | 200 | 203,635 | ||||||||||
5.875%, 8/02/21 | 200 | 230,095 | ||||||||||
General Motors Co. | 127 | 130,838 | ||||||||||
|
| |||||||||||
564,568 | ||||||||||||
|
| |||||||||||
Consumer Cyclical - Retailers – 0.5% | ||||||||||||
CVS Health Corp. | 73 | 80,474 | ||||||||||
Kohl’s Corp. | 64 | 66,404 | ||||||||||
Walgreens Boots Alliance, Inc. | 313 | 335,896 | ||||||||||
|
| |||||||||||
482,774 | ||||||||||||
|
|
AB POOLING PORTFOLIOS • | 111 |
AB Bond Inflation Protection Portfolio—Portfolio of Investments
Principal Amount (000) | U.S. $ Value | |||||||||||
| ||||||||||||
Consumer Non-Cyclical – 3.3% | ||||||||||||
AbbVie, Inc. | U.S.$ | 159 | $ | 168,267 | ||||||||
Actavis Funding SCS | 273 | 288,447 | ||||||||||
3.85%, 6/15/24 | 85 | 90,323 | ||||||||||
Altria Group, Inc. | 314 | 326,223 | ||||||||||
Baxalta, Inc. | 247 | 254,450 | ||||||||||
Becton Dickinson and Co. | 136 | 147,889 | ||||||||||
Biogen, Inc. | 149 | 159,490 | ||||||||||
Bunge Ltd. Finance Corp. | 2 | 2,340 | ||||||||||
Gilead Sciences, Inc. | 115 | 124,764 | ||||||||||
Grupo Bimbo SAB de CV | 208 | 217,635 | ||||||||||
Kraft Heinz Foods Co. | 123 | 127,946 | ||||||||||
3.50%, 7/15/22 | 157 | 167,768 | ||||||||||
Laboratory Corp. of America Holdings | 94 | 98,737 | ||||||||||
Medtronic, Inc. | 313 | 339,486 | ||||||||||
Reynolds American, Inc. | 217 | 237,811 | ||||||||||
Teva Pharmaceutical Finance Netherlands III BV | 200 | 201,078 | ||||||||||
3.15%, 10/01/26 | 137 | 137,941 | ||||||||||
Thermo Fisher Scientific, Inc. | 114 | 125,028 | ||||||||||
Tyson Foods, Inc. | 60 | 61,566 | ||||||||||
3.95%, 8/15/24 | 198 | 214,783 | ||||||||||
|
| |||||||||||
3,491,972 | ||||||||||||
|
| |||||||||||
Energy – 2.4% | ||||||||||||
Energy Transfer Partners LP | 269 | 274,419 | ||||||||||
EnLink Midstream Partners LP | 123 | 106,689 | ||||||||||
Enterprise Products Operating LLC | 269 | 280,570 | ||||||||||
5.20%, 9/01/20 | 118 | 132,794 |
112 | • AB POOLING PORTFOLIOS |
AB Bond Inflation Protection Portfolio—Portfolio of Investments
Principal Amount (000) | U.S. $ Value | |||||||||||
| ||||||||||||
Husky Energy, Inc. | U.S.$ | 26 | $ | 29,731 | ||||||||
Kinder Morgan Energy Partners LP | 236 | 244,482 | ||||||||||
4.15%, 3/01/22 | 102 | 106,732 | ||||||||||
Marathon Petroleum Corp. | 97 | 108,131 | ||||||||||
Noble Energy, Inc. | 163 | 166,501 | ||||||||||
8.25%, 3/01/19 | 224 | 255,119 | ||||||||||
Plains All American Pipeline LP/PAA Finance Corp. | 217 | 210,675 | ||||||||||
Schlumberger Holdings Corp. | 269 | 280,131 | ||||||||||
Spectra Energy Capital LLC | 74 | 85,438 | ||||||||||
Valero Energy Corp. | 164 | 187,384 | ||||||||||
|
| |||||||||||
2,468,796 | ||||||||||||
|
| |||||||||||
Technology – 1.0% | ||||||||||||
KLA-Tencor Corp. | 216 | 237,627 | ||||||||||
Motorola Solutions, Inc. | 242 | 287,810 | ||||||||||
Seagate HDD Cayman | 121 | 111,966 | ||||||||||
Tencent Holdings Ltd. | 202 | 209,579 | ||||||||||
Total System Services, Inc. | 87 | 87,631 | ||||||||||
Western Digital Corp. | 146 | 158,410 | ||||||||||
|
| |||||||||||
1,093,023 | ||||||||||||
|
| |||||||||||
12,717,176 | ||||||||||||
|
| |||||||||||
Financial Institutions – 5.3% | ||||||||||||
Banking – 4.2% | ||||||||||||
Bank of America Corp. | 115 | 129,897 | ||||||||||
Series E | EUR | 300 | 334,549 | |||||||||
Barclays Bank PLC | 75 | 102,940 | ||||||||||
Citigroup, Inc. | U.S.$ | 224 | 231,366 |
AB POOLING PORTFOLIOS • | 113 |
AB Bond Inflation Protection Portfolio—Portfolio of Investments
Principal Amount (000) | U.S. $ Value | |||||||||||
| ||||||||||||
Cooperatieve Rabobank UA | U.S.$ | 250 | $ | 265,442 | ||||||||
Credit Suisse Group Funding Guernsey Ltd. | 250 | 264,255 | ||||||||||
Goldman Sachs Group, Inc. (The) | 254 | 259,717 | ||||||||||
JPMorgan Chase & Co. | 105 | 105,639 | ||||||||||
Lloyds Banking Group PLC | 370 | 377,880 | ||||||||||
Mizuho Financial Group Cayman 3 Ltd. | 280 | 308,972 | ||||||||||
Morgan Stanley | 260 | 296,289 | ||||||||||
Murray Street Investment Trust I | 30 | 30,388 | ||||||||||
PNC Bank NA | 316 | 341,564 | ||||||||||
Rabobank Capital Funding Trust III | 120 | 119,498 | ||||||||||
Santander Bank, NA | 306 | 304,536 | ||||||||||
Santander Issuances SAU | 200 | 207,586 | ||||||||||
Santander UK PLC | 200 | 209,655 | ||||||||||
UBS AG/Stamford CT | 250 | 292,900 | ||||||||||
UBS Group Funding Jersey Ltd. | 200 | 211,083 | ||||||||||
|
| |||||||||||
4,394,156 | ||||||||||||
|
| |||||||||||
Finance – 0.1% | ||||||||||||
International Lease Finance Corp. | 88 | 94,930 | ||||||||||
|
| |||||||||||
Insurance – 0.7% | ||||||||||||
Hartford Financial Services Group, Inc. (The) | 218 | 247,161 | ||||||||||
6.10%, 10/01/41 | 125 | 153,770 | ||||||||||
Lincoln National Corp. | 90 | 105,270 | ||||||||||
Nationwide Mutual Insurance Co. | 90 | 143,833 | ||||||||||
XLIT Ltd. | 55 | 55,285 | ||||||||||
|
| |||||||||||
705,319 | ||||||||||||
|
|
114 | • AB POOLING PORTFOLIOS |
AB Bond Inflation Protection Portfolio—Portfolio of Investments
Principal Amount (000) | U.S. $ Value | |||||||||||
| ||||||||||||
REITS – 0.3% | ||||||||||||
Host Hotels & Resorts LP | U.S.$ | 4 | $ | 4,067 | ||||||||
Welltower, Inc. | 319 | 361,377 | ||||||||||
|
| |||||||||||
365,444 | ||||||||||||
|
| |||||||||||
5,559,849 | ||||||||||||
|
| |||||||||||
Utility – 1.3% | ||||||||||||
Electric – 0.9% | ||||||||||||
CMS Energy Corp. | 110 | 125,002 | ||||||||||
Constellation Energy Group, Inc. | 43 | 47,901 | ||||||||||
Entergy Corp. | 214 | 230,277 | ||||||||||
Exelon Corp. | 405 | 419,665 | ||||||||||
Exelon Generation Co. LLC | 125 | 133,985 | ||||||||||
|
| |||||||||||
956,830 | ||||||||||||
|
| |||||||||||
Natural Gas – 0.4% | ||||||||||||
Talent Yield Investments Ltd. | 342 | 372,999 | ||||||||||
|
| |||||||||||
1,329,829 | ||||||||||||
|
| |||||||||||
Total Corporates - Investment Grade | 19,606,854 | |||||||||||
|
| |||||||||||
COMMERCIAL MORTGAGE-BACKED SECURITIES – 9.4% | ||||||||||||
Non-Agency Fixed Rate CMBS – 6.8% | ||||||||||||
Banc of America Commercial Mortgage Trust | 101 | 103,396 | ||||||||||
Bear Stearns Commercial Mortgage Securities Trust | 113 | 113,161 | ||||||||||
BHMS Mortgage Trust | 319 | 331,166 | ||||||||||
CGRBS Commercial Mortgage Trust | 323 | 344,132 | ||||||||||
Citigroup Commercial Mortgage Trust | 163 | 153,481 |
AB POOLING PORTFOLIOS • | 115 |
AB Bond Inflation Protection Portfolio—Portfolio of Investments
Principal Amount (000) | U.S. $ Value | |||||||||||
| ||||||||||||
Series 2013-GC11, Class D | U.S.$ | 147 | $ | 142,163 | ||||||||
Series 2015-GC27, Class A5 | 242 | 254,644 | ||||||||||
COBALT CMBS Commercial Mortgage Trust | 304 | 311,079 | ||||||||||
Commercial Mortgage Trust | 146 | 147,301 | ||||||||||
Series 2007-GG9, Class A4 | 419 | 421,652 | ||||||||||
Series 2007-GG9, Class AM | 210 | 212,175 | ||||||||||
Series 2013-SFS, Class A1 | 117 | 116,345 | ||||||||||
Credit Suisse Commercial Mortgage Trust | 94 | 94,858 | ||||||||||
Series 2007-C3, Class AM | 155 | 155,708 | ||||||||||
CSAIL Commercial Mortgage Trust | 220 | 242,522 | ||||||||||
DBUBS Mortgage Trust | 125 | 133,676 | ||||||||||
GS Mortgage Securities Corp. II | 301 | 306,404 | ||||||||||
GS Mortgage Securities Trust | 184 | 187,660 | ||||||||||
Series 2012-GC6, Class D | 136 | 138,311 | ||||||||||
Series 2013-G1, Class A1 | 219 | 214,272 | ||||||||||
JP Morgan Chase Commercial Mortgage Securities Trust | 77 | 76,564 | ||||||||||
Series 2006-LDP9, Class AM | 127 | 127,864 | ||||||||||
Series 2007-CB19, Class AM | 115 | 116,878 | ||||||||||
Series 2007-LD12, Class AM | 98 | 100,741 |
116 | • AB POOLING PORTFOLIOS |
AB Bond Inflation Protection Portfolio—Portfolio of Investments
Principal Amount (000) | U.S. $ Value | |||||||||||
| ||||||||||||
Series 2007-LDPX, Class A1A | U.S.$ | 547 | $ | 552,871 | ||||||||
Series 2011-C5, Class D | 100 | 103,409 | ||||||||||
JPMBB Commercial Mortgage Securities Trust | 209 | 230,568 | ||||||||||
Series 2015-C32, Class C | 186 | 181,240 | ||||||||||
LB-UBS Commercial Mortgage Trust | 100 | 93,115 | ||||||||||
Series 2007-C1, Class AM | 102 | 102,281 | ||||||||||
LSTAR Commercial Mortgage Trust | 168 | 168,768 | ||||||||||
Series 2015-3, Class A2 | 246 | 239,205 | ||||||||||
Morgan Stanley Capital I Trust | 105 | 106,551 | ||||||||||
UBS-Barclays Commercial Mortgage Trust | 52 | 55,013 | ||||||||||
Series 2012-C4, Class A5 | 104 | 109,370 | ||||||||||
Wachovia Bank Commercial Mortgage Trust | 16 | 16,145 | ||||||||||
WF-RBS Commercial Mortgage Trust | 111 | 110,042 | ||||||||||
Series 2013-C14, Class A5 | 291 | 312,558 | ||||||||||
Series 2014-C20, Class A2 | 200 | 206,934 | ||||||||||
|
| |||||||||||
7,134,223 | ||||||||||||
|
| |||||||||||
Non-Agency Floating Rate CMBS – 2.3% | ||||||||||||
Banc of America Commercial Mortgage Trust | 466 | 478,117 | ||||||||||
Commercial Mortgage Trust | 113 | 113,226 |
AB POOLING PORTFOLIOS • | 117 |
AB Bond Inflation Protection Portfolio—Portfolio of Investments
Principal Amount (000) | U.S. $ Value | |||||||||||
| ||||||||||||
H/2 Asset Funding NRE | U.S.$ | 237 | $ | 234,873 | ||||||||
JP Morgan Chase Commercial Mortgage Securities Trust | 326 | 324,570 | ||||||||||
Series 2015-SGP, Class | 291 | 292,074 | ||||||||||
Morgan Stanley Capital I Trust | 100 | 99,555 | ||||||||||
Series 2015-XLF2, Class SNMA | 100 | 100,324 | ||||||||||
Resource Capital Corp., Ltd. | 68 | 67,499 | ||||||||||
Starwood Retail Property Trust | 352 | 348,286 | ||||||||||
Waldorf Astoria Boca Raton Trust | 178 | 178,000 | ||||||||||
Wells Fargo Commercial Mortgage Trust | 198 | 208,011 | ||||||||||
|
| |||||||||||
2,444,535 | ||||||||||||
|
| |||||||||||
Agency CMBS – 0.3% | ||||||||||||
FHLMC Multifamily Structured Pass | 332 | 337,334 | ||||||||||
|
| |||||||||||
Total Commercial Mortgage-Backed Securities | 9,916,092 | |||||||||||
|
| |||||||||||
ASSET-BACKED SECURITIES – 7.0% | ||||||||||||
Autos - Fixed Rate – 3.7% | ||||||||||||
Ally Auto Receivables Trust | 117 | 117,366 |
118 | • AB POOLING PORTFOLIOS |
AB Bond Inflation Protection Portfolio—Portfolio of Investments
Principal Amount (000) | U.S. $ Value | |||||||||||
| ||||||||||||
Ally Master Owner Trust | U.S.$ | 258 | $ | 257,879 | ||||||||
ARI Fleet Lease Trust | 24 | 24,379 | ||||||||||
Avis Budget Rental Car Funding AESOP LLC | 514 | 522,801 | ||||||||||
Bank of The West Auto Trust | 247 | 247,119 | ||||||||||
California Republic Auto Receivables Trust | 260 | 260,223 | ||||||||||
Series 2015-2, Class A3 | 198 | 197,955 | ||||||||||
Capital Auto Receivables Asset Trust | 66 | 66,288 | ||||||||||
CPS Auto Receivables Trust | 71 | 70,704 | ||||||||||
Series 2014-B, Class A | 40 | 40,255 | ||||||||||
Drive Auto Receivables Trust | 7 | 7,271 | ||||||||||
Enterprise Fleet Financing LLC | 160 | 159,848 | ||||||||||
Exeter Automobile Receivables Trust | 1 | 1,242 | ||||||||||
Ford Credit Auto Owner Trust | 106 | 105,842 | ||||||||||
Series 2014-2, Class A | 225 | 229,817 | ||||||||||
GM Financial Automobile Leasing Trust | 282 | 282,984 | ||||||||||
GMF Floorplan Owner Revolving Trust | 120 | 119,418 | ||||||||||
Harley-Davidson Motorcycle Trust | 105 | 105,162 |
AB POOLING PORTFOLIOS • | 119 |
AB Bond Inflation Protection Portfolio—Portfolio of Investments
Principal Amount (000) | U.S. $ Value | |||||||||||
| ||||||||||||
Hertz Vehicle Financing II LP | U.S.$ | 147 | $ | 146,650 | ||||||||
Hertz Vehicle Financing LLC | 140 | 137,066 | ||||||||||
Hyundai Auto Lease Securitization Trust | 48 | 48,081 | ||||||||||
Series 2015-B, Class A3 | 195 | 195,191 | ||||||||||
Mercedes Benz Auto Lease Trust | 108 | 107,987 | ||||||||||
Nissan Auto Lease Trust | 211 | 211,294 | ||||||||||
Santander Drive Auto Receivables Trust | 34 | 34,378 | ||||||||||
Series 2015-4,Class A2A | 41 | 40,746 | ||||||||||
TCF Auto Receivables Owner Trust | 55 | 54,629 | ||||||||||
Westlake Automobile Receivables Trust | 63 | 63,229 | ||||||||||
|
| |||||||||||
3,855,804 | ||||||||||||
|
| |||||||||||
Autos - Floating Rate – 1.3% | ||||||||||||
BMW Floorplan Master Owner Trust | 365 | 365,474 | ||||||||||
Ford Credit Floorplan Master Owner Trust A | 234 | 234,200 | ||||||||||
GE Dealer Floorplan Master Note Trust | 163 | 162,993 | ||||||||||
Series 2015-1, Class A | 211 | 210,512 |
120 | • AB POOLING PORTFOLIOS |
AB Bond Inflation Protection Portfolio—Portfolio of Investments
Principal Amount (000) | U.S. $ Value | |||||||||||
| ||||||||||||
Hertz Fleet Lease Funding LP | U.S.$ | 95 | $ | 95,345 | ||||||||
Navistar Financial Dealer Note Master Trust | 213 | 212,744 | ||||||||||
Volkswagen Credit Auto Master Trust | 111 | 110,735 | ||||||||||
|
| |||||||||||
1,392,003 | ||||||||||||
|
| |||||||||||
Credit Cards - Fixed Rate – 0.8% | ||||||||||||
Synchrony Credit Card Master Note Trust | ||||||||||||
Series 2012-2, Class A | 372 | 377,672 | ||||||||||
Series 2016-1, Class A | 100 | 101,320 | ||||||||||
World Financial Network Credit Card Master Trust | 133 | 133,207 | ||||||||||
Series 2015-B, Class A | 191 | 196,512 | ||||||||||
|
| |||||||||||
808,711 | ||||||||||||
|
| |||||||||||
Other ABS - Fixed Rate – 0.7% |
| |||||||||||
CIT Equipment Collateral | 15 | 14,767 | ||||||||||
CNH Equipment Trust | 167 | 168,192 | ||||||||||
Dell Equipment Finance Trust | 92 | 92,088 | ||||||||||
Marlette Funding Trust | 100 | 100,001 | ||||||||||
SBA Tower Trust | 258 | 265,095 | ||||||||||
SoFi Consumer Loan Program LLC | 126 | 125,758 | ||||||||||
|
| |||||||||||
765,901 | ||||||||||||
|
| |||||||||||
Credit Cards - Floating Rate – 0.5% |
| |||||||||||
Cabela’s Credit Card Master Note Trust | 98 | 97,989 |
AB POOLING PORTFOLIOS • | 121 |
AB Bond Inflation Protection Portfolio—Portfolio of Investments
Principal Amount (000) | U.S. $ Value | |||||||||||
| ||||||||||||
First National Master Note Trust | U.S.$ | 265 | $ | 265,057 | ||||||||
World Financial Network Credit Card Master Trust | 139 | 139,098 | ||||||||||
|
| |||||||||||
502,144 | ||||||||||||
|
| |||||||||||
Total Asset-Backed Securities | 7,324,563 | |||||||||||
|
| |||||||||||
COLLATERALIZED MORTGAGE OBLIGATIONS – 5.4% | ||||||||||||
Risk Share Floating Rate – 5.4% | ||||||||||||
Bellemeade Re Ltd. | 58 | 58,303 | ||||||||||
Federal Home Loan Mortgage Corp. Structured Agency Credit Risk Debt Notes | 318 | 331,446 | ||||||||||
Series 2014-DN3, Class M3 | 322 | 332,838 | ||||||||||
Series 2014-HQ3, Class M2 | 241 | 244,138 | ||||||||||
Series 2014-HQ3, Class M3 | 250 | 265,858 | ||||||||||
Series 2015-DN1, Class M3 | 250 | 263,762 | ||||||||||
Series 2015-DNA2, Class M2 | 344 | 351,194 | ||||||||||
Series 2015-DNA3, Class M3 | 250 | 265,701 | ||||||||||
Series 2015-HQA1, Class M2 | 308 | 315,525 |
122 | • AB POOLING PORTFOLIOS |
AB Bond Inflation Protection Portfolio—Portfolio of Investments
Principal Amount (000) | U.S. $ Value | |||||||||||
| ||||||||||||
Federal National Mortgage Association Connecticut Avenue Securities | U.S.$ | 53 | $ | 53,382 | ||||||||
Series 2014-C04, Class 1M2 | 182 | 194,452 | ||||||||||
Series 2014-C04, Class 2M2 | 68 | 72,170 | ||||||||||
Series 2015-C01, Class 1M2 | 137 | 143,052 | ||||||||||
Series 2015-C01, Class 2M2 | 236 | 247,971 | ||||||||||
Series 2015-C02, Class 2M2 | 147 | 152,584 | ||||||||||
Series 2015-C03, Class 1M1 | 75 | 74,858 | ||||||||||
Series 2015-C03, Class 1M2 | 256 | 270,628 | ||||||||||
Series 2015-C03, Class 2M2 | 279 | 296,525 | ||||||||||
Series 2015-C04, Class 1M2 | 268 | 290,928 | ||||||||||
Series 2015-C04, Class 2M2 | 105 | 112,744 | ||||||||||
Series 2016-C01, Class 2M2 | 300 | 340,221 | ||||||||||
Series 2016-C03, Class 2M2 | 250 | 271,421 | ||||||||||
Series 2016-C04, Class 1M2 | 267 | 271,493 | ||||||||||
Series 2016-C05, Class 2M2 | 272 | 275,905 |
AB POOLING PORTFOLIOS • | 123 |
AB Bond Inflation Protection Portfolio—Portfolio of Investments
Principal Amount (000) | U.S. $ Value | |||||||||||
| ||||||||||||
Wells Fargo Credit Risk Transfer Securities Trust | U.S.$ | 62 | $ | 62,210 | ||||||||
Series 2015-WF1, Class 2M1 | 83 | 83,025 | ||||||||||
|
| |||||||||||
Total Collateralized Mortgage Obligations | 5,642,334 | |||||||||||
|
| |||||||||||
CORPORATES - NON-INVESTMENT GRADE – 2.3% | ||||||||||||
Industrial – 1.4% | ||||||||||||
Capital Goods – 0.1% | ||||||||||||
SPX FLOW, Inc. | 34 | 34,935 | ||||||||||
5.875%, 8/15/26(d) | 34 | 35,105 | ||||||||||
|
| |||||||||||
70,040 | ||||||||||||
|
| |||||||||||
Communications - Media – 0.0% | ||||||||||||
CSC Holdings LLC | 44 | 49,280 | ||||||||||
|
| |||||||||||
Communications - Telecommunications – 0.5% | ||||||||||||
CenturyLink, Inc. | 79 | 84,876 | ||||||||||
Series Y | 70 | 75,906 | ||||||||||
Sprint Capital Corp. | 355 | 358,550 | ||||||||||
|
| |||||||||||
519,332 | ||||||||||||
|
| |||||||||||
Consumer Cyclical - Other – 0.1% | ||||||||||||
KB Home | 104 | 105,820 | ||||||||||
|
| |||||||||||
Consumer Non-Cyclical – 0.1% | ||||||||||||
Valeant Pharmaceuticals International, Inc. | 130 | 114,237 | ||||||||||
|
| |||||||||||
Energy – 0.3% | ||||||||||||
Cenovus Energy, Inc. | 51 | 54,810 | ||||||||||
Diamond Offshore Drilling, Inc. | 107 | 78,757 |
124 | • AB POOLING PORTFOLIOS |
AB Bond Inflation Protection Portfolio—Portfolio of Investments
Principal Amount (000) | U.S. $ Value | |||||||||||
| ||||||||||||
ONEOK, Inc. | U.S.$ | 189 | $ | 182,858 | ||||||||
SM Energy Co. | 12 | 11,760 | ||||||||||
|
| |||||||||||
328,185 | ||||||||||||
|
| |||||||||||
Technology – 0.2% | ||||||||||||
Advanced Micro Devices, Inc. | 99 | 99,495 | ||||||||||
Diamond 1 Finance Corp./Diamond 2 Finance Corp. | 109 | 118,086 | ||||||||||
|
| |||||||||||
217,581 | ||||||||||||
|
| |||||||||||
Transportation - Services – 0.1% | ||||||||||||
Avis Budget Car Rental LLC/Avis Budget Finance, Inc. | 90 | 89,100 | ||||||||||
|
| |||||||||||
1,493,575 | ||||||||||||
|
| |||||||||||
Financial Institutions – 0.7% | ||||||||||||
Banking – 0.5% | ||||||||||||
Bank of America Corp. | 79 | 86,118 | ||||||||||
Barclays Bank PLC | 42 | 47,967 | ||||||||||
Intesa Sanpaolo SpA | 224 | 211,457 | ||||||||||
Royal Bank of Scotland Group PLC | 200 | 203,750 | ||||||||||
Royal Bank of Scotland PLC (The) | 13 | 13,461 | ||||||||||
|
| |||||||||||
562,753 | ||||||||||||
|
| |||||||||||
Finance – 0.2% | ||||||||||||
Navient Corp. | 160 | 165,000 | ||||||||||
|
| |||||||||||
727,753 | ||||||||||||
|
| |||||||||||
Non Corporate Sectors – 0.1% | ||||||||||||
Agencies - Not Government Guaranteed – 0.1% | ||||||||||||
NOVA Chemicals Corp. | 120 | 124,500 | ||||||||||
|
| |||||||||||
Utility – 0.1% | ||||||||||||
Electric – 0.1% | ||||||||||||
NRG Energy, Inc. | 87 | 86,348 | ||||||||||
|
| |||||||||||
Total Corporates - Non-Investment Grade | 2,432,176 | |||||||||||
|
|
AB POOLING PORTFOLIOS • | 125 |
AB Bond Inflation Protection Portfolio—Portfolio of Investments
Principal Amount (000) | U.S. $ Value | |||||||||||
| ||||||||||||
EMERGING MARKETS - TREASURIES – 0.6% |
| |||||||||||
Brazil – 0.6% | ||||||||||||
Brazil Notas do Tesouro Nacional | BRL | 2,000 | $ | 611,201 | ||||||||
|
| |||||||||||
GOVERNMENTS - SOVEREIGN AGENCIES – 0.5% | ||||||||||||
Brazil – 0.2% | ||||||||||||
Petrobras Global Finance BV | U.S.$ | 238 | 240,704 | |||||||||
|
| |||||||||||
Colombia – 0.1% | ||||||||||||
Ecopetrol SA | 90 | 83,700 | ||||||||||
|
| |||||||||||
Israel – 0.2% | ||||||||||||
Israel Electric Corp. Ltd. | 226 | 247,472 | ||||||||||
|
| |||||||||||
Total Governments - Sovereign Agencies | 571,876 | |||||||||||
|
| |||||||||||
EMERGING MARKETS - CORPORATE BONDS – 0.1% | ||||||||||||
Industrial – 0.1% | ||||||||||||
Capital Goods – 0.1% | ||||||||||||
Odebrecht Finance Ltd. | 200 | 63,750 | ||||||||||
|
| |||||||||||
Consumer Non-Cyclical – 0.0% | ||||||||||||
Virgolino de Oliveira Finance SA | 200 | 13,500 | ||||||||||
|
| |||||||||||
Total Emerging Markets - Corporate Bonds | 77,250 | |||||||||||
|
| |||||||||||
GOVERNMENTS - SOVEREIGN BONDS – 0.1% | ||||||||||||
Mexico – 0.1% | ||||||||||||
Mexico Government International Bond Series E | 57 | 63,555 | ||||||||||
|
| |||||||||||
Total Investments – 131.8% | 138,303,581 | |||||||||||
Other assets less liabilities – (31.8)% | (33,384,264 | ) | ||||||||||
|
| |||||||||||
Net Assets – 100.0% | $ | 104,919,317 | ||||||||||
|
|
126 | • AB POOLING PORTFOLIOS |
AB Bond Inflation Protection Portfolio—Portfolio of Investments
FUTURES (see Note C)
Type | Number of Contracts | Expiration Month | Original Value | Value at August 31, 2016 | Unrealized Appreciation/ (Depreciation) | |||||||||||||||
Purchased Contracts |
| |||||||||||||||||||
U.S. T-Note 5 Yr (CBT) Futures | 11 | December 2016 | $ | 1,336,938 | $ | 1,333,750 | $ | (3,188 | ) | |||||||||||
U.S. Ultra Bond (CBT) Futures | 9 | December 2016 | 1,668,156 | 1,687,219 | 19,063 | |||||||||||||||
Sold Contracts |
| |||||||||||||||||||
Euro-BOBL Futures | 26 | September 2016 | 3,836,891 | 3,874,338 | (37,447 | ) | ||||||||||||||
U.S. T-Note 2 Yr (CBT) Futures | 6 | December 2016 | 1,310,772 | 1,309,875 | 897 | |||||||||||||||
U.S. T-Note 10 Yr (CBT) Futures | 19 | December 2016 | 2,477,985 | 2,487,516 | (9,531 | ) | ||||||||||||||
|
| |||||||||||||||||||
$ | (30,206 | ) | ||||||||||||||||||
|
|
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 | 900 | TWD | 28,387 | 10/06/16 | $ | (4,214 | ) | ||||||||||||||||
Citibank, NA | EUR | 763 | USD | 848 | 10/06/16 | (4,249 | ) | |||||||||||||||||
Goldman Sachs Bank USA | USD | 476 | INR | 32,318 | 9/22/16 | 5,047 | ||||||||||||||||||
Goldman Sachs Bank USA | BRL | 10,511 | USD | 2,286 | 1/04/17 | (851,261 | ) | |||||||||||||||||
Goldman Sachs Bank USA | USD | 2,254 | BRL | 8,511 | 1/04/17 | 285,553 | ||||||||||||||||||
HSBC Bank USA | CNY | 5,293 | USD | 787 | 9/22/16 | (3,875 | ) | |||||||||||||||||
HSBC Bank USA | SGD | 1,152 | USD | 855 | 9/22/16 | 9,862 | ||||||||||||||||||
HSBC Bank USA | USD | 794 | CNY | 5,284 | 9/22/16 | (4,808 | ) | |||||||||||||||||
HSBC Bank USA | USD | 499 | MXN | 9,449 | 9/29/16 | 2,009 | ||||||||||||||||||
HSBC Bank USA | TWD | 28,225 | USD | 891 | 10/06/16 | (141 | ) | |||||||||||||||||
JPMorgan Chase Bank, NA | CAD | 712 | USD | 549 | 9/08/16 | 5,588 | ||||||||||||||||||
JPMorgan Chase Bank, NA | EUR | 721 | USD | 804 | 10/06/16 | (1,703 | ) | |||||||||||||||||
JPMorgan Chase Bank, NA | JPY | 52,553 | USD | 510 | 10/21/16 | 847 | ||||||||||||||||||
JPMorgan Chase Bank, NA | JPY | 530,190 | USD | 5,305 | 10/27/16 | 168,529 | ||||||||||||||||||
Royal Bank of Scotland PLC | CAD | 694 | USD | 539 | 9/08/16 | 9,930 | ||||||||||||||||||
State Street Bank & Trust Co. | CAD | 1,075 | USD | 825 | 9/08/16 | 4,827 | ||||||||||||||||||
State Street Bank & Trust Co. | USD | 413 | CAD | 537 | 9/08/16 | (2,825 | ) | |||||||||||||||||
State Street Bank & Trust Co. | USD | 283 | MXN | 5,181 | 9/29/16 | (7,701 | ) | |||||||||||||||||
State Street Bank & Trust Co. | AUD | 17 | USD | 13 | 10/28/16 | 341 | ||||||||||||||||||
|
| |||||||||||||||||||||||
$ | (388,244 | ) | ||||||||||||||||||||||
|
|
CENTRALLY CLEARED CREDIT DEFAULT SWAPS (see Note C)
Clearing Broker/(Exchange) & Referenced Obligation | Fixed Rate (Pay) Receive | Implied Credit Spread at August 31, 2016 | Notional Amount (000) | Market Value | Unrealized Appreciation/ (Depreciation) | |||||||||||||||
Buy Contracts |
| |||||||||||||||||||
Morgan Stanley & Co., LLC/(INTRCONX) | ||||||||||||||||||||
CDX-NAHY Series 21, 5 Year Index, 12/20/18* | (5.00 | )% | 2.25 | % | $ | 3,432 | $ | (242,958 | ) | $ | (89,499 | ) | ||||||||
CDX-NAIG Series 22, 5 Year Index, 6/20/19* | (1.00 | ) | 0.56 | 3,901 | (55,742 | ) | (24,856 | ) | ||||||||||||
|
|
|
| |||||||||||||||||
$ | (298,700 | ) | $ | (114,355 | ) | |||||||||||||||
|
|
|
|
* | Termination date |
AB POOLING PORTFOLIOS • | 127 |
AB Bond Inflation Protection Portfolio—Portfolio of Investments
CENTRALLY CLEARED INTEREST RATE SWAPS (see Note C)
Rate Type | ||||||||||||||||
Clearing Broker /(Exchange) | Notional (000) | Termination Date | Payments made by the Fund | Payments received by the Fund | Unrealized Appreciation/ (Depreciation) | |||||||||||
Morgan Stanley & Co., LLC/(CME Group) | AUD | 7,737 | 3/11/17 | 2.140% | 3 Month BBSW | $ | (13,340 | ) | ||||||||
Morgan Stanley & Co., LLC/(CME Group) | 6,895 | 6/09/17 | 2.218% | 3 Month BBSW | (23,111 | ) | ||||||||||
Morgan Stanley & Co., LLC/(CME Group) | 4,739 | 10/30/17 | 1.915% | 3 Month BBSW | (10,360 | ) | ||||||||||
Morgan Stanley & Co., LLC/(CME Group) | 5,377 | 4/27/18 | 2.213% | 3 Month BBSW | (39,531 | ) | ||||||||||
Morgan Stanley & Co., LLC/(CME Group) | NOK | 62,298 | 5/12/18 | 0.954% | 6 Month NIBOR | 28,043 | ||||||||||
Morgan Stanley & Co., LLC/(CME Group) | 20,647 | 5/19/18 | 1.007% | 6 Month NIBOR | 7,196 | |||||||||||
Morgan Stanley & Co., LLC/(CME Group) | NZD | 13,570 | 7/28/18 | 2.050% | 3 Month BKBM | (6,391 | ) | |||||||||
Morgan Stanley & Co., LLC/(CME Group) | $ | 3,433 | 5/06/19 | 3 Month LIBOR | 1.751% | 78,336 | ||||||||||
Morgan Stanley & Co., LLC/(CME Group) | 2,388 | 5/18/20 | 3 Month LIBOR | 1.663% | 56,739 | |||||||||||
Morgan Stanley & Co., LLC/(CME Group) | GBP | 744 | 6/05/20 | 6 Month LIBOR | 1.651% | 46,026 | ||||||||||
Morgan Stanley & Co., LLC/(CME Group) | $ | 1,977 | 8/11/20 | 3 Month LIBOR | 1.712% | 44,095 | ||||||||||
Morgan Stanley & Co., LLC/(CME Group) | 1,194 | 4/27/21 | 3 Month LIBOR | 1.341% | 13,171 | |||||||||||
Morgan Stanley & Co., LLC/(CME Group) | 2,160 | 8/31/21 | 1.256% | 3 Month LIBOR | (5,809 | ) | ||||||||||
Morgan Stanley & Co., LLC/(CME Group) | 804 | 1/14/24 | 2.980% | 3 Month LIBOR | (97,115 | ) | ||||||||||
Morgan Stanley & Co., LLC/(CME Group) | 709 | 2/14/24 | 2.889% | 3 Month LIBOR | (80,160 | ) | ||||||||||
Morgan Stanley & Co., LLC/(CME Group) | 1,003 | 4/28/24 | 2.817% | 3 Month LIBOR | (118,544 | ) |
128 | • AB POOLING PORTFOLIOS |
AB Bond Inflation Protection Portfolio—Portfolio of Investments
Rate Type | ||||||||||||||||
Clearing Broker /(Exchange) | Notional (000) | Termination Date | Payments made by the Fund | Payments received by the Fund | Unrealized Appreciation/ (Depreciation) | |||||||||||
Morgan Stanley & Co., LLC/(CME Group) | $ | 1,451 | 7/02/24 | 2.632% | 3 Month LIBOR | $ | (145,234 | ) | ||||||||
Morgan Stanley & Co., LLC/(CME Group) | 727 | 7/10/24 | 2.674% | 3 Month LIBOR | (75,047 | ) | ||||||||||
Morgan Stanley & Co., LLC/(CME Group) | AUD | 1,178 | 3/11/25 | 6 Month BBSW | 2.973% | 71,427 | ||||||||||
Morgan Stanley & Co., LLC/(CME Group) | $ | 696 | 4/21/25 | 1.991% | 3 Month LIBOR | (39,688 | ) | |||||||||
Morgan Stanley & Co., LLC/(CME Group) | AUD | 747 | 6/09/25 | 6 Month BBSW | 3.384% | 64,243 | ||||||||||
Morgan Stanley & Co., LLC/(CME Group) | $ | 410 | 6/09/25 | 2.488% | 3 Month LIBOR | (39,694 | ) | |||||||||
Morgan Stanley & Co., LLC/(CME Group) | 745 | 8/04/25 | 2.293% | 3 Month LIBOR | (58,282 | ) | ||||||||||
Morgan Stanley & Co., LLC/(CME Group) | NZD | 1,460 | 7/28/26 | 3 Month BKBM | 2.473% | 7,821 | ||||||||||
Morgan Stanley & Co., LLC/(CME Group) | $ | 565 | 11/10/35 | 2.631% | 3 Month LIBOR | (101,168 | ) | |||||||||
Morgan Stanley & Co., LLC/(CME Group) | 172 | 8/06/45 | 2.692% | 3 Month LIBOR | (42,227 | ) | ||||||||||
Morgan Stanley Capital Services LLC/(CME Group) | 898 | 2/21/42 | 2.813% | 3 Month LIBOR | (224,071 | ) | ||||||||||
Morgan Stanley Capital Services LLC/(CME Group) | 654 | 3/06/42 | 2.804% | 3 Month LIBOR | (169,618 | ) | ||||||||||
|
| |||||||||||||||
$ | (872,293 | ) | ||||||||||||||
|
|
AB POOLING PORTFOLIOS • | 129 |
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 August 31, 2016 | Notional (000) | Market Value | Upfront Premiums Paid (Received) | Unrealized Appreciation/ (Depreciation) | ||||||||||||||||||
Buy Contracts | ||||||||||||||||||||||||
Citibank, NA | ||||||||||||||||||||||||
Advanced Micro Devices, Inc., | (5.00 | )% | 3.88 | % | $ | 99 | $ | (3,504 | ) | $ | 4,513 | $ | (8,017 | ) | ||||||||||
Sprint Communications, Inc., | (5.00 | ) | 4.44 | 165 | (4,108 | ) | (5,678 | ) | 1,570 | |||||||||||||||
Sprint Communications, Inc., | (5.00 | ) | 4.44 | 189 | (4,705 | ) | (6,743 | ) | 2,038 | |||||||||||||||
Sale Contracts | ||||||||||||||||||||||||
Bank of America, NA | ||||||||||||||||||||||||
Societe Generale, | 3.00 | 0.23 | EUR | 229 | 10,823 | (732 | ) | 11,555 | ||||||||||||||||
Credit Suisse International | ||||||||||||||||||||||||
Anadarko Petroleum Corp., | 1.00 | 0.64 | $ | 351 | 1,512 | (2,598 | ) | 4,110 | ||||||||||||||||
CDX-CMBX.NA.BB Series 6, 5/11/63* | 3.00 | 4.66 | 520 | (43,324 | ) | (33,331 | ) | (9,993 | ) | |||||||||||||||
|
|
|
|
|
| |||||||||||||||||||
$ | (43,306 | ) | $ | (44,569 | ) | $ | 1,263 | |||||||||||||||||
|
|
|
|
|
|
* | Termination date |
INFLATION (CPI) SWAPS (see Note C)
Rate Type | ||||||||||||||||||||
Swap Counterparty | Notional Amount (000) | Termination Date | Payments made by the Fund | Payments by the | Unrealized Appreciation/ (Depreciation) | |||||||||||||||
Barclays Bank PLC | $ | 413 | 7/15/19 | 1.370 | % | CPI | # | $ | (657 | ) | ||||||||||
Barclays Bank PLC | 6,902 | 7/15/20 | 1.527 | % | CPI | # | (43,974 | ) | ||||||||||||
Barclays Bank PLC | 2,313 | 1/15/21 | 1.490 | % | CPI | # | (19,120 | ) | ||||||||||||
JPMorgan Chase Bank, NA | 2,824 | 1/15/20 | 1.795 | % | CPI | # | (47,681 | ) | ||||||||||||
|
| |||||||||||||||||||
$ | (111,432 | ) | ||||||||||||||||||
|
|
# | Variable interest rate based on the rate of inflation as determined by the Consumer Price Index (CPI). |
130 | • AB POOLING PORTFOLIOS |
AB Bond Inflation Protection Portfolio—Portfolio of Investments
REVERSE REPURCHASE AGREEMENTS (see Note C)
Broker | Interest Rate | Maturity | U.S. $ Value at August 31, 2016 | |||||||||
HSBC† | 0.52 | % | — | $ | 3,124,696 | |||||||
HSBC | 0.59 | % | 10/06/16 | 18,669,957 | ||||||||
JPMorgan Chase† | 0.58 | % | — | 4,239,559 | ||||||||
JPMorgan Chase† | 0.58 | % | — | 5,154,303 | ||||||||
JPMorgan Chase† | 0.58 | % | — | 3,229,169 | ||||||||
JPMorgan Chase | 0.64 | % | 10/18/16 | 5,120,024 | ||||||||
|
| |||||||||||
$ | 39,537,708 | |||||||||||
|
|
† | The reverse repurchase agreement matures on demand. Interest rate resets daily and the rate shown is the rate in effect on August 31, 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 | ||||||||||||||||
Inflation-Linked Securities | $ | 15,747,727 | $ | – 0 – | $ | 23,789,981 | $ | – 0 – | $ | 39,537,708 |
(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) | Position, or a portion thereof, has been segregated to collateralize margin requirements for open futures contracts. |
(d) | Security is exempt from registration under Rule 144A of the Securities Act of 1933. These securities are considered restricted, but liquid and may be resold in transactions exempt from registration, normally to qualified institutional buyers. At August 31, 2016, the aggregate market value of these securities amounted to $12,255,549 or 11.7% of net assets. |
(e) | Securities are perpetual and, thus, do not have a predetermined maturity date. The date shown, if applicable, reflects the next call date. |
(f) | Floating Rate Security. Stated interest rate was in effect at August 31, 2016. |
(g) | Variable rate coupon, rate shown as of August 31, 2016. |
(h) | Security is exempt from registration under Rule 144A of the Securities Act of 1933. These securities, which represent 0.37% of net assets as of August 31, 2016, are considered illiquid and restricted. Additional information regarding such securities follows: |
144A/Restricted & Illiquid Securities | Acquisition Date | Cost | Market Value | Percentage of Net Assets | ||||||||||||
Bellemeade Re Ltd. | ||||||||||||||||
3.024%, 7/25/25 | 7/27/15 | $ | 58,158 | $ | 58,303 | 0.06 | % | |||||||||
H/2 Asset Funding NRE | ||||||||||||||||
2.17%, 6/24/49 | 6/19/15 | 237,246 | 234,873 | 0.22 | % | |||||||||||
Virgolino de Oliveira Finance SA | ||||||||||||||||
10.50%, 1/28/18 | 1/24/14 | 110,320 | 13,500 | 0.01 | % | |||||||||||
Wells Fargo Credit Risk Transfer Securities Trust | ||||||||||||||||
3.374%, 11/25/25 | 9/28/15 | 83,001 | 83,025 | 0.08 | % |
(i) | Defaulted. |
AB POOLING PORTFOLIOS • | 131 |
AB Bond Inflation Protection Portfolio—Portfolio of Investments
(j) | Non-income producing security. |
Currency Abbreviations:
AUD – Australian Dollar
BRL – Brazilian Real
CAD – Canadian Dollar
CNY – Chinese Yuan Renminbi
EUR – Euro
GBP – Great British Pound
INR – Indian Rupee
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)
BKBM – Bank Bill Benchmark (New Zealand)
BOBL – Bundesobligationen
CBT – Chicago Board of Trade
CDX-CMBX.NA – North American Commercial Mortgage-Backed Index
CDX-NAHY – North American High Yield Credit Default Swap Index
CDX-NAIG – North American Investment Grade Credit Default Swap Index
CMBS – Commercial Mortgage-Backed Securities
CME – Chicago Mercantile Exchange
EURIBOR – Euro Interbank Offered Rate
FHLMC – Federal Home Loan Mortgage Corporation
INTRCONX – Inter-Continental Exchange
LIBOR – London Interbank Offered Rates
NIBOR – Norwegian Interbank Offered Rate
REIT – Real Estate Investment Trust
TIPS – Treasury Inflation Protected Security
See notes to financial statements.
132 | • AB POOLING PORTFOLIOS |
AB Bond Inflation Protection Portfolio—Portfolio of Investments
AB SMALL-MID CAP VALUE PORTFOLIO
PORTFOLIO OF INVESTMENTS
August 31, 2016
Company | Shares | U.S. $ Value | ||||||
| ||||||||
COMMON STOCKS – 99.4% | ||||||||
Consumer Discretionary – 18.9% | ||||||||
Auto Components – 3.4% | ||||||||
Dana, Inc. | 76,380 | $ | 1,101,399 | |||||
Lear Corp. | 8,330 | 968,696 | ||||||
Tenneco, Inc.(a) | 19,790 | 1,104,876 | ||||||
|
| |||||||
3,174,971 | ||||||||
|
| |||||||
Diversified Consumer Services – 1.1% | ||||||||
Sotheby’s | 25,990 | 1,030,504 | ||||||
|
| |||||||
Hotels, Restaurants & Leisure – 2.4% | ||||||||
Bloomin’ Brands, Inc. | 66,310 | 1,295,697 | ||||||
Brinker International, Inc. | 17,719 | 951,688 | ||||||
|
| |||||||
2,247,385 | ||||||||
|
| |||||||
Household Durables – 2.3% | ||||||||
CalAtlantic Group, Inc. | 16,280 | 594,057 | ||||||
Meritage Homes Corp.(a) | 14,490 | 520,191 | ||||||
PulteGroup, Inc. | 49,200 | 1,051,404 | ||||||
|
| |||||||
2,165,652 | ||||||||
|
| |||||||
Internet & Direct Marketing Retail – 1.1% | ||||||||
Shutterfly, Inc.(a) | 19,620 | 985,316 | ||||||
|
| |||||||
Media – 2.2% | ||||||||
Regal Entertainment Group – Class A | 57,300 | 1,225,074 | ||||||
Scholastic Corp. | 21,910 | 882,097 | ||||||
|
| |||||||
2,107,171 | ||||||||
|
| |||||||
Multiline Retail – 0.8% | ||||||||
Big Lots, Inc. | 15,504 | 764,657 | ||||||
|
| |||||||
Specialty Retail – 4.7% | ||||||||
Burlington Stores, Inc.(a) | 9,484 | 770,290 | ||||||
Caleres, Inc. | 32,753 | 849,613 | ||||||
Children’s Place, Inc. (The) | 11,297 | 919,576 | ||||||
Michaels Cos., Inc. (The)(a) | 44,410 | 1,064,064 | ||||||
Office Depot, Inc. | 218,540 | 804,227 | ||||||
|
| |||||||
4,407,770 | ||||||||
|
| |||||||
Textiles, Apparel & Luxury Goods – 0.9% | ||||||||
Crocs, Inc.(a) | 97,460 | 842,054 | ||||||
|
| |||||||
17,725,480 | ||||||||
|
| |||||||
Information Technology – 18.4% | ||||||||
Communications Equipment – 2.4% | ||||||||
Finisar Corp.(a) | 56,280 | 1,192,011 | ||||||
Infinera Corp.(a) | 55,230 | 473,873 | ||||||
NETGEAR, Inc.(a) | 10,304 | 587,328 | ||||||
|
| |||||||
2,253,212 | ||||||||
|
|
AB POOLING PORTFOLIOS • | 133 |
AB Small-Mid Cap Value Portfolio—Portfolio of Investments
Company | Shares | U.S. $ Value | ||||||
| ||||||||
Electronic Equipment, Instruments & Components – 5.7% | ||||||||
Anixter International, Inc.(a) | 20,480 | $ | 1,309,491 | |||||
CDW Corp./DE | 30,630 | 1,367,629 | ||||||
Keysight Technologies, Inc.(a) | 31,900 | 970,717 | ||||||
TTM Technologies, Inc.(a) | 58,218 | 624,679 | ||||||
Vishay Intertechnology, Inc. | 77,370 | 1,095,559 | ||||||
|
| |||||||
5,368,075 | ||||||||
|
| |||||||
IT Services – 3.6% | ||||||||
Amdocs Ltd. | 21,750 | 1,307,610 | ||||||
Booz Allen Hamilton Holding Corp. | 44,080 | 1,338,269 | ||||||
Genpact Ltd.(a) | 29,720 | 703,175 | ||||||
|
| |||||||
3,349,054 | ||||||||
|
| |||||||
Semiconductors & Semiconductor | ||||||||
Advanced Micro Devices, Inc.(a) | 79,640 | 589,336 | ||||||
Cypress Semiconductor Corp. | 116,680 | 1,391,993 | ||||||
Lam Research Corp. | 6,760 | 630,843 | ||||||
Qorvo, Inc.(a) | 21,840 | 1,254,271 | ||||||
|
| |||||||
3,866,443 | ||||||||
|
| |||||||
Software – 1.2% | ||||||||
Verint Systems, Inc.(a) | 34,250 | 1,168,610 | ||||||
|
| |||||||
Technology Hardware, Storage & | ||||||||
NCR Corp.(a) | 38,540 | 1,304,579 | ||||||
|
| |||||||
17,309,973 | ||||||||
|
| |||||||
Financials – 18.4% | ||||||||
Banks – 9.1% | ||||||||
Associated Banc-Corp. | 49,560 | 983,271 | ||||||
Comerica, Inc. | 27,530 | 1,301,894 | ||||||
Fulton Financial Corp. | 64,300 | 929,778 | ||||||
Huntington Bancshares, Inc./OH | 133,100 | 1,332,331 | ||||||
Synovus Financial Corp. | 25,380 | 839,570 | ||||||
Texas Capital Bancshares, Inc.(a) | 13,510 | 709,545 | ||||||
Webster Financial Corp. | 29,637 | 1,144,877 | ||||||
Zions Bancorporation | 43,300 | 1,324,547 | ||||||
|
| |||||||
8,565,813 | ||||||||
|
| |||||||
Consumer Finance – 1.0% | ||||||||
OneMain Holdings, Inc.(a) | 29,240 | 906,732 | ||||||
|
| |||||||
Insurance – 7.1% | ||||||||
American Financial Group, Inc./OH | 17,640 | 1,325,646 | ||||||
First American Financial Corp. | 30,690 | 1,322,432 | ||||||
Hanover Insurance Group, Inc. (The) | 12,690 | 992,358 | ||||||
Reinsurance Group of America, Inc. – Class A | 12,620 | 1,354,379 |
134 | • AB POOLING PORTFOLIOS |
AB Small-Mid Cap Value Portfolio—Portfolio of Investments
Company | Shares | U.S. $ Value | ||||||
| ||||||||
Selective Insurance Group, Inc. | 18,080 | $ | 721,392 | |||||
Validus Holdings Ltd. | 18,690 | 949,265 | ||||||
|
| |||||||
6,665,472 | ||||||||
|
| |||||||
Thrifts & Mortgage Finance – 1.2% | ||||||||
Essent Group Ltd.(a) | 43,470 | 1,155,433 | ||||||
|
| |||||||
17,293,450 | ||||||||
|
| |||||||
Industrials – 17.1% | ||||||||
Aerospace & Defense – 2.4% | ||||||||
B/E Aerospace, Inc. | 24,750 | 1,251,112 | ||||||
Esterline Technologies Corp.(a) | 13,140 | 1,011,123 | ||||||
|
| |||||||
2,262,235 | ||||||||
|
| |||||||
Airlines – 1.2% | ||||||||
SkyWest, Inc. | 38,090 | 1,075,281 | ||||||
|
| |||||||
Commercial Services & Supplies – 1.2% | ||||||||
ABM Industries, Inc. | 29,710 | 1,141,755 | ||||||
|
| |||||||
Construction & Engineering – 4.6% | ||||||||
AECOM(a) | 38,054 | 1,173,205 | ||||||
EMCOR Group, Inc. | 19,330 | 1,106,836 | ||||||
Quanta Services, Inc.(a) | 48,220 | 1,240,701 | ||||||
Tutor Perini Corp.(a) | 32,070 | 743,703 | ||||||
|
| |||||||
4,264,445 | ||||||||
|
| |||||||
Electrical Equipment – 1.9% | ||||||||
EnerSys | 15,440 | 1,086,667 | ||||||
Regal Beloit Corp. | 11,690 | 716,948 | ||||||
|
| |||||||
1,803,615 | ||||||||
|
| |||||||
Machinery – 2.7% | ||||||||
ITT, Inc. | 19,960 | 722,153 | ||||||
Oshkosh Corp. | 28,040 | 1,512,197 | ||||||
SPX FLOW, Inc.(a) | 10,670 | 313,805 | ||||||
|
| |||||||
2,548,155 | ||||||||
|
| |||||||
Road & Rail – 1.7% | ||||||||
Ryder System, Inc. | 10,620 | 695,822 | ||||||
Werner Enterprises, Inc. | 39,900 | 920,892 | ||||||
|
| |||||||
1,616,714 | ||||||||
|
| |||||||
Trading Companies & Distributors – 1.4% | ||||||||
MRC Global, Inc.(a) | 87,720 | 1,286,852 | ||||||
|
| |||||||
15,999,052 | ||||||||
|
| |||||||
Energy – 9.6% | ||||||||
Energy Equipment & Services – 3.8% | ||||||||
Helmerich & Payne, Inc. | 22,380 | 1,353,095 | ||||||
Oil States International, Inc.(a) | 32,920 | 1,021,178 | ||||||
RPC, Inc.(a) | 75,210 | 1,152,969 | ||||||
|
| |||||||
3,527,242 | ||||||||
|
|
AB POOLING PORTFOLIOS • | 135 |
AB Small-Mid Cap Value Portfolio—Portfolio of Investments
Company | Shares | U.S. $ Value | ||||||
| ||||||||
Oil, Gas & Consumable Fuels – 5.8% | ||||||||
Gulfport Energy Corp.(a) | 39,190 | $ | 1,120,834 | |||||
QEP Resources, Inc. | 79,310 | 1,514,821 | ||||||
SM Energy Co. | 30,660 | 1,161,401 | ||||||
Southwestern Energy Co.(a) | 46,240 | 643,198 | ||||||
Synergy Resources Corp.(a) | 157,350 | 1,030,643 | ||||||
|
| |||||||
5,470,897 | ||||||||
|
| |||||||
8,998,139 | ||||||||
|
| |||||||
Health Care – 5.0% | ||||||||
Health Care Providers & Services – 3.5% | ||||||||
LifePoint Health, Inc.(a) | 21,188 | 1,199,241 | ||||||
Molina Healthcare, Inc.(a) | 22,240 | 1,196,734 | ||||||
WellCare Health Plans, Inc.(a) | 8,440 | 951,188 | ||||||
|
| |||||||
3,347,163 | ||||||||
|
| |||||||
Life Sciences Tools & Services – 1.5% | ||||||||
ICON PLC(a) | 18,060 | 1,386,828 | ||||||
|
| |||||||
4,733,991 | ||||||||
|
| |||||||
Real Estate – 4.1% | ||||||||
Equity Real Estate Investment Trusts (REITs) – 4.1% | ||||||||
DDR Corp. | 26,610 | 503,195 | ||||||
Education Realty Trust, Inc. | 22,970 | 1,040,771 | ||||||
Gramercy Property Trust | 155,208 | 1,502,413 | ||||||
Kite Realty Group Trust | 29,220 | 843,874 | ||||||
|
| |||||||
3,890,253 | ||||||||
|
| |||||||
Utilities – 3.6% | ||||||||
Electric Utilities – 2.4% | ||||||||
PNM Resources, Inc. | 37,640 | 1,196,576 | ||||||
Portland General Electric Co. | 23,620 | 994,638 | ||||||
|
| |||||||
2,191,214 | ||||||||
|
| |||||||
Gas Utilities – 1.2% | ||||||||
Southwest Gas Corp. | 16,270 | 1,135,971 | ||||||
|
| |||||||
3,327,185 | ||||||||
|
| |||||||
Materials – 3.3% | ||||||||
Chemicals – 1.8% | ||||||||
Huntsman Corp. | 59,380 | 1,026,680 | ||||||
Ingevity Corp.(a) | 13,763 | 610,802 | ||||||
|
| |||||||
1,637,482 | ||||||||
|
| |||||||
Containers & Packaging – 1.5% | ||||||||
Graphic Packaging Holding Co. | 98,230 | 1,408,618 | ||||||
|
| |||||||
3,046,100 | ||||||||
|
|
136 | • AB POOLING PORTFOLIOS |
AB Small-Mid Cap Value Portfolio—Portfolio of Investments
Company | Shares | U.S. $ Value | ||||||
| ||||||||
Consumer Staples – 1.0% | ||||||||
Food Products – 1.0% | ||||||||
Ingredion, Inc. | 7,005 | $ | 959,405 | |||||
|
| |||||||
Total Common Stocks | 93,283,028 | |||||||
|
| |||||||
SHORT-TERM INVESTMENTS – 1.3% | ||||||||
Investment Companies – 1.3% | ||||||||
AB Fixed Income Shares, Inc. – Government Money Market Portfolio – Class AB, 0.24%(b)(c) | 1,234,362 | 1,234,362 | ||||||
|
| |||||||
Total Investments – 100.7% | 94,517,390 | |||||||
Other assets less liabilities – (0.7)% | (659,274 | ) | ||||||
|
| |||||||
Net Assets – 100.0% | $ | 93,858,116 | ||||||
|
|
(a) | Non-income producing security. |
(b) | Investment in affiliated money market mutual fund. The rate shown represents the 7-day yield as of period end. |
(c) | 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 • | 137 |
AB Small-Mid Cap Value Portfolio—Portfolio of Investments
AB SMALL-MID CAP GROWTH PORTFOLIO
PORTFOLIO OF INVESTMENTS
August 31, 2016
Company | Shares | U.S. $ Value | ||||||
| ||||||||
COMMON STOCKS – 98.6% | ||||||||
Information Technology – 24.0% | ||||||||
Communications Equipment – 2.4% | ||||||||
Arista Networks, Inc.(a) | 12,840 | $ | 1,023,091 | |||||
CommScope Holding Co., Inc.(a) | 9,600 | 283,872 | ||||||
Finisar Corp.(a) | 44,030 | 932,556 | ||||||
|
| |||||||
2,239,519 | ||||||||
|
| |||||||
Internet Software & Services – 2.4% | ||||||||
CoStar Group, Inc.(a) | 6,838 | 1,417,175 | ||||||
Pandora Media, Inc.(a) | 57,683 | 807,562 | ||||||
|
| |||||||
2,224,737 | ||||||||
|
| |||||||
IT Services – 2.2% | ||||||||
EPAM Systems, Inc.(a) | 12,220 | 833,526 | ||||||
Vantiv, Inc. – Class A(a) | 22,296 | 1,198,187 | ||||||
|
| |||||||
2,031,713 | ||||||||
|
| |||||||
Semiconductors & Semiconductor Equipment – 4.1% | ||||||||
Cirrus Logic, Inc.(a) | 19,580 | 993,685 | ||||||
Mellanox Technologies Ltd.(a) | 18,454 | 809,023 | ||||||
Microsemi Corp.(a) | 23,870 | 953,845 | ||||||
ON Semiconductor Corp.(a) | 102,898 | 1,111,299 | ||||||
|
| |||||||
3,867,852 | ||||||||
|
| |||||||
Software – 12.9% | ||||||||
Aspen Technology, Inc.(a) | 18,959 | 861,876 | ||||||
Atlassian Corp. PLC – Class A(a) | 30,208 | 890,532 | ||||||
Cadence Design Systems, Inc.(a) | 57,625 | 1,465,980 | ||||||
CyberArk Software Ltd.(a) | 20,761 | 1,096,181 | ||||||
Fortinet, Inc.(a) | 27,100 | 979,394 | ||||||
Guidewire Software, Inc.(a) | 24,915 | 1,533,020 | ||||||
HubSpot, Inc.(a) | 18,760 | 1,045,682 | ||||||
Splunk, Inc.(a) | 20,680 | 1,204,403 | ||||||
Take-Two Interactive Software, Inc.(a) | 31,392 | 1,364,610 | ||||||
Ultimate Software Group, Inc. (The)(a) | 7,808 | 1,631,404 | ||||||
|
| |||||||
12,073,082 | ||||||||
|
| |||||||
22,436,903 | ||||||||
|
| |||||||
Consumer Discretionary – 23.6% | ||||||||
Diversified Consumer Services – 3.2% | ||||||||
Bright Horizons Family Solutions, Inc.(a) | 23,531 | 1,603,873 | ||||||
Grand Canyon Education, Inc.(a) | 33,276 | 1,381,952 | ||||||
|
| |||||||
2,985,825 | ||||||||
|
| |||||||
Hotels, Restaurants & Leisure – 8.4% | ||||||||
Buffalo Wild Wings, Inc.(a) | 6,461 | 1,047,974 | ||||||
Dave & Buster’s Entertainment, Inc.(a) | 27,505 | 1,277,607 | ||||||
Norwegian Cruise Line Holdings Ltd.(a) | 5,057 | 181,496 | ||||||
Panera Bread Co. – Class A(a) | 7,190 | 1,561,309 |
138 | • AB POOLING PORTFOLIOS |
AB Small-Mid Cap Growth Portfolio—Portfolio of Investments
Company | Shares | U.S. $ Value | ||||||
| ||||||||
Texas Roadhouse, Inc. – Class A | 22,590 | $ | 1,000,059 | |||||
Vail Resorts, Inc. | 10,700 | 1,695,201 | ||||||
Wyndham Worldwide Corp. | 15,863 | 1,122,942 | ||||||
|
| |||||||
7,886,588 | ||||||||
|
| |||||||
Household Durables – 1.5% | ||||||||
Tempur Sealy International, Inc.(a) | 17,237 | 1,351,726 | ||||||
|
| |||||||
Internet & Direct Marketing Retail – 1.0% | ||||||||
Expedia, Inc. | 8,673 | 946,398 | ||||||
|
| |||||||
Media – 2.4% | ||||||||
AMC Networks, Inc. – Class A(a) | 21,450 | 1,165,593 | ||||||
IMAX Corp.(a) | 36,223 | 1,104,439 | ||||||
|
| |||||||
2,270,032 | ||||||||
|
| |||||||
Specialty Retail – 7.1% | ||||||||
Five Below, Inc.(a) | 30,846 | 1,374,498 | ||||||
Lithia Motors, Inc. – Class A | 14,644 | 1,212,084 | ||||||
Select Comfort Corp.(a) | 52,775 | 1,385,344 | ||||||
Tractor Supply Co. | 13,778 | 1,156,663 | ||||||
Ulta Salon Cosmetics & Fragrance, Inc.(a) | 5,322 | 1,315,651 | ||||||
Urban Outfitters, Inc.(a) | 4,560 | 163,476 | ||||||
|
| |||||||
6,607,716 | ||||||||
|
| |||||||
22,048,285 | ||||||||
|
| |||||||
Industrials – 19.1% | ||||||||
Aerospace & Defense – 3.1% | ||||||||
Hexcel Corp. | 34,537 | 1,548,985 | ||||||
TransDigm Group, Inc.(a) | 4,664 | 1,330,126 | ||||||
|
| |||||||
2,879,111 | ||||||||
|
| |||||||
Air Freight & Logistics – 1.2% | ||||||||
Expeditors International of Washington, Inc. | 22,017 | 1,115,161 | ||||||
|
| |||||||
Building Products – 2.8% | ||||||||
AO Smith Corp. | 9,790 | 944,539 | ||||||
Lennox International, Inc. | 10,280 | 1,655,800 | ||||||
|
| |||||||
2,600,339 | ||||||||
|
| |||||||
Electrical Equipment – 0.9% | ||||||||
AMETEK, Inc. | 18,148 | 884,715 | ||||||
|
| |||||||
Industrial Conglomerates – 1.5% | ||||||||
Carlisle Cos., Inc. | 13,327 | 1,397,469 | ||||||
|
| |||||||
Machinery – 6.2% | ||||||||
IDEX Corp. | 17,839 | 1,666,876 | ||||||
Lincoln Electric Holdings, Inc. | 18,391 | 1,168,932 | ||||||
Middleby Corp. (The)(a) | 13,270 | 1,700,550 | ||||||
Nordson Corp. | 12,790 | 1,262,757 | ||||||
|
| |||||||
5,799,115 | ||||||||
|
|
AB POOLING PORTFOLIOS • | 139 |
AB Small-Mid Cap Growth Portfolio—Portfolio of Investments
Company | Shares | U.S. $ Value | ||||||
| ||||||||
Marine – 0.8% | ||||||||
Kirby Corp.(a) | 14,593 | $ | 760,295 | |||||
|
| |||||||
Road & Rail – 1.2% | ||||||||
Genesee & Wyoming, Inc. – Class A(a) | 16,954 | 1,152,702 | ||||||
|
| |||||||
Trading Companies & Distributors – 1.4% | ||||||||
Watsco, Inc. | 8,810 | 1,302,647 | ||||||
|
| |||||||
17,891,554 | ||||||||
|
| |||||||
Health Care – 18.3% | ||||||||
Biotechnology – 3.7% | ||||||||
Alder Biopharmaceuticals, Inc.(a) | 14,235 | 469,328 | ||||||
DBV Technologies SA (Sponsored ADR)(a) | 9,866 | 341,166 | ||||||
Neurocrine Biosciences, Inc.(a) | 11,730 | 568,436 | ||||||
Prothena Corp. PLC(a) | 8,580 | 428,828 | ||||||
Sage Therapeutics, Inc.(a) | 9,725 | 361,478 | ||||||
TESARO, Inc.(a) | 8,592 | 727,657 | ||||||
Ultragenyx Pharmaceutical, Inc.(a) | 8,130 | 535,930 | ||||||
|
| |||||||
3,432,823 | ||||||||
|
| |||||||
Health Care Equipment & Supplies – 7.0% | ||||||||
Align Technology, Inc.(a) | 19,355 | 1,798,080 | ||||||
DENTSPLY SIRONA, Inc. | 17,851 | 1,097,122 | ||||||
DexCom, Inc.(a) | 15,684 | 1,428,656 | ||||||
Nevro Corp.(a) | 16,132 | 1,523,345 | ||||||
Penumbra, Inc.(a) | 10,640 | 750,758 | ||||||
|
| |||||||
6,597,961 | ||||||||
|
| |||||||
Health Care Providers & Services – 4.4% | ||||||||
Acadia Healthcare Co., Inc.(a) | 23,091 | 1,182,028 | ||||||
Amsurg Corp.(a) | 17,616 | 1,143,631 | ||||||
Diplomat Pharmacy, Inc.(a) | 23,471 | 734,408 | ||||||
Premier, Inc. – Class A(a) | 34,936 | 1,105,724 | ||||||
|
| |||||||
4,165,791 | ||||||||
|
| |||||||
Life Sciences Tools & Services – 1.1% | ||||||||
ICON PLC(a) | 12,878 | 988,901 | ||||||
|
| |||||||
Pharmaceuticals – 2.1% | ||||||||
Akorn, Inc.(a) | 44,395 | 1,195,113 | ||||||
GW Pharmaceuticals PLC (ADR)(a) | 3,916 | 320,133 | ||||||
Medicines Co. (The)(a) | 11,209 | 439,057 | ||||||
|
| |||||||
1,954,303 | ||||||||
|
| |||||||
17,139,779 | ||||||||
|
| |||||||
Financials – 7.3% | ||||||||
Banks – 4.1% | ||||||||
First Republic Bank/CA | 17,975 | 1,383,356 | ||||||
Signature Bank/New York NY(a) | 8,706 | 1,062,219 | ||||||
SVB Financial Group(a) | 12,206 | 1,355,598 | ||||||
|
| |||||||
3,801,173 | ||||||||
|
|
140 | • AB POOLING PORTFOLIOS |
AB Small-Mid Cap Growth Portfolio—Portfolio of Investments
Company | Shares | U.S. $ Value | ||||||
| ||||||||
Capital Markets – 3.2% |
| |||||||
Affiliated Managers Group, Inc.(a) | 7,115 | $ | 1,010,686 | |||||
Lazard Ltd. – Class A | 31,252 | 1,157,262 | ||||||
Stifel Financial Corp.(a) | 21,969 | 864,480 | ||||||
|
| |||||||
3,032,428 | ||||||||
|
| |||||||
6,833,601 | ||||||||
|
| |||||||
Materials – 2.8% | ||||||||
Chemicals – 1.5% | ||||||||
PolyOne Corp. | 41,175 | 1,419,302 | ||||||
|
| |||||||
Construction Materials – 1.3% | ||||||||
Martin Marietta Materials, Inc. | 6,815 | 1,247,350 | ||||||
|
| |||||||
2,666,652 | ||||||||
|
| |||||||
Energy – 2.3% | ||||||||
Energy Equipment & Services – 0.7% | ||||||||
Oceaneering International, Inc. | 24,210 | 642,049 | ||||||
|
| |||||||
Oil, Gas & Consumable Fuels – 1.6% | ||||||||
Concho Resources, Inc.(a) | 5,674 | 733,081 | ||||||
PDC Energy, Inc.(a) | 11,210 | 744,344 | ||||||
|
| |||||||
1,477,425 | ||||||||
|
| |||||||
2,119,474 | ||||||||
|
| |||||||
Consumer Staples – 1.2% | ||||||||
Food Products – 1.2% | ||||||||
AdvancePierre Foods Holdings, Inc. | 30,892 | 781,877 | ||||||
Blue Buffalo Pet Products, Inc.(a) | 14,197 | 365,999 | ||||||
|
| |||||||
1,147,876 | ||||||||
|
| |||||||
Total Common Stocks | 92,284,124 | |||||||
|
| |||||||
SHORT-TERM INVESTMENTS – 0.4% | ||||||||
Investment Companies – 0.4% | ||||||||
AB Fixed Income Shares, Inc. – | 350,662 | 350,662 | ||||||
|
| |||||||
Total Investments – 99.0% | 92,634,786 | |||||||
Other assets less liabilities – 1.0% | 981,232 | |||||||
|
| |||||||
Net Assets – 100.0% | $ | 93,616,018 | ||||||
|
|
AB POOLING PORTFOLIOS • | 141 |
AB Small-Mid Cap Growth Portfolio—Portfolio of Investments
(a) | Non-income producing security. |
(b) | Investment in affiliated money market mutual fund. The rate shown represents the 7-day yield as of period end. |
(c) | 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.
142 | • AB POOLING PORTFOLIOS |
AB Small-Mid Cap Growth Portfolio—Portfolio of Investments
AB MULTI-ASSET REAL RETURN PORTFOLIO
CONSOLIDATED PORTFOLIO OF INVESTMENTS
August 31, 2016
Company | Shares | U.S. $ Value | ||||||
| ||||||||
COMMON STOCKS – 51.4% | ||||||||
Energy – 22.7% | ||||||||
Integrated Oil & Gas – 13.8% | ||||||||
BP PLC | 1,381,811 | $ | 7,767,958 | |||||
Chevron Corp. | 102,729 | 10,332,483 | ||||||
China Petroleum & Chemical Corp. – Class H | 4,652,000 | 3,325,004 | ||||||
Eni SpA | 179,950 | 2,716,545 | ||||||
Exxon Mobil Corp. | 326,065 | 28,413,304 | ||||||
Galp Energia SGPS SA | 189,670 | 2,762,110 | ||||||
LUKOIL PJSC (Sponsored ADR) | 108,380 | 4,849,070 | ||||||
Petroleo Brasileiro SA (Preference Shares)(a) | 698,600 | 2,779,949 | ||||||
Petroleo Brasileiro SA (Sponsored ADR)(a) | 8,988 | 71,005 | ||||||
Royal Dutch Shell PLC (Euronext Amsterdam) – Class A | 695,423 | 17,052,556 | ||||||
Royal Dutch Shell PLC – Class A | 34,003 | 831,024 | ||||||
Royal Dutch Shell PLC – Class B | 822,474 | 20,937,669 | ||||||
Statoil ASA | 1,439 | 22,575 | ||||||
TOTAL SA | 526,489 | 25,153,740 | ||||||
YPF SA (Sponsored ADR) | 184,920 | 3,141,791 | ||||||
|
| |||||||
130,156,783 | ||||||||
|
| |||||||
Oil & Gas Drilling – 0.3% | ||||||||
Helmerich & Payne, Inc.(b) | 41,550 | 2,512,113 | ||||||
|
| |||||||
Oil & Gas Equipment & Services – 0.9% | ||||||||
Aker Solutions ASA(a)(c) | 380,980 | 1,681,270 | ||||||
Petrofac Ltd. | 263,370 | 2,875,133 | ||||||
RPC, Inc.(a)(b) | 70,350 | 1,078,466 | ||||||
Tenaris SA | 192,850 | 2,653,654 | ||||||
|
| |||||||
8,288,523 | ||||||||
|
| |||||||
Oil & Gas Exploration & Production – 6.7% | ||||||||
Anadarko Petroleum Corp. | 118,486 | 6,335,447 | ||||||
Canadian Natural Resources Ltd. | 206,807 | 6,423,097 | ||||||
CNOOC Ltd. | 4,061,800 | 4,900,245 | ||||||
Concho Resources, Inc.(a) | 10,310 | 1,332,052 | ||||||
ConocoPhillips | 59,616 | 2,447,237 | ||||||
Det Norske Oljeselskap ASA(a)(b) | 209,144 | 2,839,806 | ||||||
EOG Resources, Inc. | 132,758 | 11,747,755 | ||||||
Gran Tierra Energy, Inc.(a) | 469,760 | 1,318,222 | ||||||
Hess Corp. | 170,856 | 9,277,480 | ||||||
Inpex Corp. | 241,800 | 2,095,839 | ||||||
Murphy Oil Corp.(b) | 117,660 | 3,143,875 | ||||||
Occidental Petroleum Corp. | 106,157 | 8,158,165 | ||||||
Pioneer Natural Resources Co. | 1,339 | 239,748 | ||||||
SM Energy Co. | 37,410 | 1,417,091 | ||||||
Southwestern Energy Co.(a) | 142,660 | 1,984,401 | ||||||
Woodside Petroleum Ltd. | 6,289 | 134,734 | ||||||
|
| |||||||
63,795,194 | ||||||||
|
|
AB POOLING PORTFOLIOS • | 143 |
AB Multi-Asset Real Return Portfolio—Consolidated Portfolio of Investments
Company | Shares | U.S. $ Value | ||||||
| ||||||||
Oil & Gas Refining & Marketing – 1.0% | ||||||||
Cosan SA Industria e Comercio | 125,700 | $ | 1,464,398 | |||||
HollyFrontier Corp. | 48,850 | 1,264,238 | ||||||
JX Holdings, Inc. | 1,099,200 | 4,105,086 | ||||||
Tupras Turkiye Petrol Rafinerileri AS | 137,200 | 2,686,208 | ||||||
|
| |||||||
9,519,930 | ||||||||
|
| |||||||
214,272,543 | ||||||||
|
| |||||||
Materials – 7.5% | ||||||||
Commodity Chemicals – 0.3% | ||||||||
LyondellBasell Industries NV – Class A | 35,660 | 2,813,217 | ||||||
|
| |||||||
Diversified Chemicals – 0.3% | ||||||||
Arkema SA | 30,686 | 2,745,665 | ||||||
|
| |||||||
Diversified Metals & Mining – 2.6% | ||||||||
Antofagasta PLC(b) | 387,880 | 2,521,311 | ||||||
Boliden AB | 120,670 | 2,553,252 | ||||||
First Quantum Minerals Ltd. | 295,970 | 2,243,360 | ||||||
Glencore PLC(a) | 2,917,720 | 6,676,475 | ||||||
Korea Zinc Co., Ltd. | 5,740 | 2,458,508 | ||||||
Lundin Mining Corp.(a)(b) | 312,060 | 1,180,279 | ||||||
Orocobre Ltd.(a) | 200,650 | 578,836 | ||||||
Rio Tinto PLC | 98,020 | 2,950,665 | ||||||
South32 Ltd.(a) | 1,348,300 | 1,942,804 | ||||||
Syrah Resources Ltd.(a) | 397,180 | 1,267,207 | ||||||
|
| |||||||
24,372,697 | ||||||||
|
| |||||||
Fertilizers & Agricultural Chemicals – 1.6% | ||||||||
Agrium, Inc. (Toronto) | 9,913 | 955,167 | ||||||
Monsanto Co. | 62,494 | 6,655,611 | ||||||
Potash Corp. of Saskatchewan, Inc. | 64,661 | 1,171,531 | ||||||
Syngenta AG (REG) | 7,205 | 3,145,514 | ||||||
UPL Ltd. | 289,070 | 2,751,187 | ||||||
|
| |||||||
14,679,010 | ||||||||
|
| |||||||
Forest Products – 0.0% | ||||||||
West Fraser Timber Co., Ltd. | 5,818 | 195,871 | ||||||
|
| |||||||
Gold – 1.3% | ||||||||
Agnico Eagle Mines Ltd. | 46,563 | 2,360,106 | ||||||
Barrick Gold Corp. | 43,620 | 741,976 | ||||||
Barrick Gold Corp. (Toronto)(b) | 68,021 | 1,156,160 | ||||||
Franco-Nevada Corp. | 10,207 | 713,182 | ||||||
Goldcorp, Inc. | 237,881 | 3,620,638 | ||||||
Newcrest Mining Ltd.(a) | 44,762 | 737,797 | ||||||
Newmont Mining Corp. | 30,899 | 1,181,578 | ||||||
Randgold Resources Ltd. | 21,338 | 2,000,532 | ||||||
Real Gold Mining Ltd.(a)(d)(e) | 686,500 | – 0 | –^ | |||||
|
| |||||||
12,511,969 | ||||||||
|
|
144 | • AB POOLING PORTFOLIOS |
AB Multi-Asset Real Return Portfolio—Consolidated Portfolio of Investments
Company | Shares | U.S. $ Value | ||||||
| ||||||||
Paper Products – 0.2% | ||||||||
Mondi PLC | 29,840 | $ | 607,193 | |||||
Oji Holdings Corp. | 60,000 | 241,346 | ||||||
Stora Enso Oyj – Class R | 43,322 | 382,361 | ||||||
UPM-Kymmene Oyj | 41,601 | 836,179 | ||||||
|
| |||||||
2,067,079 | ||||||||
|
| |||||||
Precious Metals & Minerals – 0.3% | ||||||||
Fresnillo PLC | 12,910 | 272,464 | ||||||
Industrias Penoles SAB de CV | 49,390 | 1,142,082 | ||||||
Silver Wheaton Corp. | 71,082 | 1,801,712 | ||||||
|
| |||||||
3,216,258 | ||||||||
|
| |||||||
Specialty Chemicals – 0.1% | ||||||||
Johnson Matthey PLC | 31,615 | 1,386,059 | ||||||
|
| |||||||
Steel – 0.8% | ||||||||
Fortescue Metals Group Ltd.(b) | 748,140 | 2,753,144 | ||||||
Novolipetsk Steel PJSC (GDR)(c) | 140,150 | 1,955,215 | ||||||
Severstal PJSC (GDR)(c) | 109,490 | 1,289,017 | ||||||
voestalpine AG | 37,600 | 1,246,153 | ||||||
|
| |||||||
7,243,529 | ||||||||
|
| |||||||
71,231,354 | ||||||||
|
| |||||||
Equity: Other – 6.5% | ||||||||
Diversified/Specialty – 5.2% | ||||||||
Alexandria Real Estate Equities, Inc. | 19,549 | 2,152,149 | ||||||
Armada Hoffler Properties, Inc. | 104,960 | 1,446,349 | ||||||
Ayala Land, Inc. | 1,483,182 | 1,223,664 | ||||||
Bumi Serpong Damai Tbk PT | 1,137,500 | 183,862 | ||||||
Buzzi Unicem SpA(b) | 44,360 | 943,908 | ||||||
CBRE Group, Inc. – Class A(a) | 36,790 | 1,099,653 | ||||||
Central Pattana PCL | 199,100 | 346,544 | ||||||
Cheung Kong Property Holdings Ltd. | 616,500 | 4,321,942 | ||||||
China Evergrande Group(b) | 785,750 | 541,195 | ||||||
Ciputra Development Tbk PT | 1,334,345 | 155,094 | ||||||
Dalian Wanda Commercial Properties Co., Ltd. – Class H(c) | 99,700 | 675,827 | ||||||
East Japan Railway Co. | 10,500 | 901,696 | ||||||
Fibra Uno Administracion SA de CV | 343,582 | 664,998 | ||||||
Four Corners Property Trust, Inc. | 50,640 | 1,048,754 | ||||||
Fukuoka REIT Corp.(b) | 444 | 798,861 | ||||||
Globe Trade Centre SA(a) | 49,357 | 90,926 | ||||||
Goldin Properties Holdings Ltd.(a) | 188,000 | 179,936 | ||||||
GPT Group (The) | 420,987 | 1,683,903 | ||||||
Growthpoint Properties Ltd.(b) | 369,473 | 639,729 | ||||||
Hung Poo Real Estate Development Corp. | 32,000 | 27,801 | ||||||
ICADE | 18,590 | 1,437,306 | ||||||
IMMOFINANZ AG(a)(b) | 509,520 | 1,164,611 |
AB POOLING PORTFOLIOS • | 145 |
AB Multi-Asset Real Return Portfolio—Consolidated Portfolio of Investments
Company | Shares | U.S. $ Value | ||||||
| ||||||||
IOI Properties Group Bhd | 285,300 | $ | 177,279 | |||||
Kaisa Group Holdings Ltd.(a)(b)(d)(e) | 1,057,000 | 192,119 | ||||||
Kennedy Wilson Europe Real Estate PLC | 138,839 | 1,756,324 | ||||||
KLCCP Stapled Group | 66,800 | 125,904 | ||||||
LendLease Group | 160,310 | 1,661,191 | ||||||
Lippo Karawaci Tbk PT | 2,802,100 | 232,022 | ||||||
Longfor Properties Co., Ltd. | 214,450 | 344,774 | ||||||
Mah Sing Group Bhd | 230,675 | 90,377 | ||||||
Mapletree Commercial Trust | 548,600 | 628,145 | ||||||
Mapletree Greater China Commercial Trust(c) | 276,700 | 223,231 | ||||||
Merlin Properties Socimi SA | 169,859 | 1,975,286 | ||||||
Mitsubishi Estate Co., Ltd. | 50,000 | 947,253 | ||||||
Mitsui Fudosan Co., Ltd. | 136,000 | 2,936,743 | ||||||
New World Development Co., Ltd. | 1,733,164 | 2,167,298 | ||||||
Oberoi Realty Ltd. | 12,672 | 56,900 | ||||||
Pakuwon Jati Tbk PT | 3,433,500 | 153,677 | ||||||
Premier Investment Corp. | 805 | 1,091,991 | ||||||
Pruksa Real Estate PCL | 97,900 | 72,120 | ||||||
Quality Houses PCL | 632,083 | 49,668 | ||||||
Redefine Properties Ltd. | 593,475 | 445,730 | ||||||
Resilient REIT Ltd. | 28,524 | 229,071 | ||||||
SA Corporate Real Estate Fund Nominees Pty Ltd. | 779,668 | 276,824 | ||||||
Sino Land Co., Ltd. | 846,000 | 1,445,892 | ||||||
SM Prime Holdings, Inc. | 1,145,350 | 732,899 | ||||||
SP Setia Bhd Group | 132,650 | 114,153 | ||||||
Spirit Realty Capital, Inc. | 29,350 | 388,888 | ||||||
STORE Capital Corp. | 76,130 | 2,255,732 | ||||||
Sumitomo Realty & Development Co., Ltd. | 55,000 | 1,454,653 | ||||||
Summarecon Agung Tbk PT | 1,597,900 | 210,271 | ||||||
Sun Hung Kai Properties Ltd. | 93,663 | 1,315,803 | ||||||
Sunac China Holdings Ltd. | 259,400 | 179,616 | ||||||
Supalai PCL | 91,000 | 63,356 | ||||||
TLG Immobilien AG | 24,050 | 543,754 | ||||||
UOL Group Ltd. | 364,448 | 1,484,965 | ||||||
WHA Corp. PCL(a) | 498,630 | 51,857 | ||||||
Wharf Holdings Ltd. (The) | 206,000 | 1,451,791 | ||||||
|
| |||||||
49,256,265 | ||||||||
|
| |||||||
Health Care – 0.9% | ||||||||
Assura PLC | 699,230 | 537,143 | ||||||
Care Capital Properties, Inc. | 55,040 | 1,650,650 | ||||||
HCP, Inc. | 15,250 | 599,782 | ||||||
LTC Properties, Inc. | 21,680 | 1,125,626 | ||||||
Ventas, Inc. | 56,990 | 4,141,463 | ||||||
Welltower, Inc. | 5,110 | 392,193 | ||||||
|
| |||||||
8,446,857 | ||||||||
|
|
146 | • AB POOLING PORTFOLIOS |
AB Multi-Asset Real Return Portfolio—Consolidated Portfolio of Investments
Company | Shares | U.S. $ Value | ||||||
| ||||||||
Triple Net – 0.4% | ||||||||
National Retail Properties, Inc. | 61,402 | $ | 3,076,240 | |||||
Realty Income Corp. | 3,660 | 240,572 | ||||||
|
| |||||||
3,316,812 | ||||||||
|
| |||||||
61,019,934 | ||||||||
|
| |||||||
Residential – 4.6% | ||||||||
Multi-Family – 3.4% | ||||||||
Apartment Investment & Management Co. – Class A | 43,790 | 1,978,432 | ||||||
AvalonBay Communities, Inc. | 28,422 | 4,974,134 | ||||||
China Overseas Land & Investment Ltd. | 1,634,650 | 5,383,857 | ||||||
China Resources Land Ltd. | 992,966 | 2,786,445 | ||||||
China Vanke Co., Ltd. – Class H | 192,700 | 492,863 | ||||||
CIFI Holdings Group Co., Ltd. | 1,972,000 | 616,357 | ||||||
Corp. GEO SAB de CV Series B(a)(b) | 1,085 | 473 | ||||||
Country Garden Holdings Co., Ltd. | 1,062,000 | 538,232 | ||||||
Cyrela Brazil Realty SA Empreendimentos e Participacoes | 39,920 | 130,668 | ||||||
Desarrolladora Homex SAB de CV(a) | 130 | 15 | ||||||
Emlak Konut Gayrimenkul Yatirim Ortakligi AS | 1,182,312 | 1,163,150 | ||||||
Independence Realty Trust, Inc. | 95,010 | 897,845 | ||||||
Japan Rental Housing Investments, Inc. | 1,067 | 846,557 | ||||||
Kenedix Residential Investment Corp. | 321 | 885,495 | ||||||
Killam Apartment Real Estate Investment Trust | 100,240 | 945,531 | ||||||
Land & Houses PCL | 518,900 | 142,232 | ||||||
Mid-America Apartment Communities, Inc. | 22,180 | 2,084,698 | ||||||
Mirvac Group | 961,950 | 1,674,235 | ||||||
MRV Engenharia e Participacoes SA | 40,800 | 155,407 | ||||||
Shenzhen Investment Ltd. | 424,000 | 202,749 | ||||||
Shimao Property Holdings Ltd. | 182,500 | 253,288 | ||||||
Sino-Ocean Group Holding Ltd. | 529,850 | 245,313 | ||||||
Sun Communities, Inc. | 31,901 | 2,441,065 | ||||||
UNITE Group PLC (The) | 191,872 | 1,579,046 | ||||||
Urbi Desarrollos Urbanos SAB de CV(a)(d)(e) | 52,560 | – 0 | – | |||||
Vonovia SE | 51,059 | 1,983,838 | ||||||
|
| |||||||
32,401,925 | ||||||||
|
| |||||||
Self Storage – 0.8% | ||||||||
Big Yellow Group PLC | 113,160 | 1,125,330 | ||||||
Extra Space Storage, Inc. | 36,823 | 2,966,092 | ||||||
National Storage Affiliates Trust | 139,590 | 2,835,073 | ||||||
Public Storage | 4,470 | 1,001,012 | ||||||
|
| |||||||
7,927,507 | ||||||||
|
| |||||||
Single Family – 0.2% | ||||||||
Colony Starwood Homes(b) | 46,494 | 1,441,314 | ||||||
|
|
AB POOLING PORTFOLIOS • | 147 |
AB Multi-Asset Real Return Portfolio—Consolidated Portfolio of Investments
Company | Shares | U.S. $ Value | ||||||
| ||||||||
Student Housing – 0.2% | ||||||||
Education Realty Trust, Inc. | 46,650 | $ | 2,113,712 | |||||
|
| |||||||
43,884,458 | ||||||||
|
| |||||||
Retail – 3.8% | ||||||||
Regional Mall – 1.4% | ||||||||
BR Malls Participacoes SA(a) | 61,683 | 235,714 | ||||||
General Growth Properties, Inc. | 23,160 | 674,883 | ||||||
Multiplan Empreendimentos Imobiliarios SA | 10,950 | 197,725 | ||||||
Simon Property Group, Inc. | 46,871 | 10,099,294 | ||||||
Taubman Centers, Inc. | 29,720 | 2,308,353 | ||||||
|
| |||||||
13,515,969 | ||||||||
|
| |||||||
Shopping Center/Other Retail – 2.4% | ||||||||
Aeon Mall Co., Ltd. | 66,700 | 940,161 | ||||||
Brixmor Property Group, Inc. | 9,940 | 283,886 | ||||||
Capitaland Malaysia Mall Trust | 161,300 | 62,341 | ||||||
Federal Realty Investment Trust | 19,490 | 3,098,910 | ||||||
Fibra Shop Portafolios Inmobiliarios SAPI de CV | 1,125,934 | 1,005,798 | ||||||
Frontier Real Estate Investment Corp. | 203 | 992,805 | ||||||
Hyprop Investments Ltd. | 71,496 | 625,826 | ||||||
IGB Real Estate Investment Trust | 243,900 | 102,239 | ||||||
Kite Realty Group Trust | 85,820 | 2,478,482 | ||||||
Klepierre | 44,004 | 2,066,558 | ||||||
Link REIT | 382,878 | 2,781,194 | ||||||
Mercialys SA | 64,750 | 1,507,929 | ||||||
Parque Arauco SA | 303,320 | 688,012 | ||||||
Ramco-Gershenson Properties Trust | 100,704 | 1,956,679 | ||||||
Retail Opportunity Investments Corp. | 52,094 | 1,162,217 | ||||||
Scentre Group | 628,406 | 2,344,382 | ||||||
|
| |||||||
22,097,419 | ||||||||
|
| |||||||
35,613,388 | ||||||||
|
| |||||||
Office – 2.8% | ||||||||
Office – 2.8% | ||||||||
Allied Properties Real Estate Investment Trust | 42,015 | 1,179,970 | ||||||
alstria office REIT-AG(a) | 178,595 | 2,490,681 | ||||||
Ascendas India Trust | 101,700 | 80,616 | ||||||
Boston Properties, Inc. | 29,239 | 4,097,261 | ||||||
Brandywine Realty Trust | 151,900 | 2,450,147 | ||||||
CA Immobilien Anlagen AG(a) | 55,178 | 1,047,239 | ||||||
CapitaLand Commercial Trust | 1,562,900 | 1,770,749 | ||||||
Daiwa Office Investment Corp. | 151 | 903,790 | ||||||
Dream Office Real Estate Investment Trust | 78,665 | 963,367 | ||||||
Empire State Realty Trust, Inc. – Class A | 95,780 | 2,056,397 | ||||||
Equity Commonwealth(a) | 45,190 | 1,413,995 | ||||||
Highwoods Properties, Inc. | 34,620 | 1,836,245 |
148 | • AB POOLING PORTFOLIOS |
AB Multi-Asset Real Return Portfolio—Consolidated Portfolio of Investments
Company | Shares | U.S. $ Value | ||||||
| ||||||||
Inmobiliaria Colonial SA | 231,394 | $ | 1,716,202 | |||||
Investa Office Fund | 329,860 | 1,129,142 | ||||||
Kenedix Office Investment Corp. – Class A | 203 | 1,224,813 | ||||||
MCUBS MidCity Investment Corp.(b) | 228 | 768,236 | ||||||
Workspace Group PLC | 176,730 | 1,593,126 | ||||||
|
| |||||||
26,721,976 | ||||||||
|
| |||||||
Industrials – 1.8% | ||||||||
Industrial Warehouse Distribution – 1.1% | ||||||||
DCT Industrial Trust, Inc. | 29,000 | 1,412,590 | ||||||
Global Logistic Properties Ltd. | 455,500 | 605,647 | ||||||
GLP J-Reit(b) | 709 | 879,566 | ||||||
Granite Real Estate Investment Trust | 29,559 | 944,410 | ||||||
Macquarie Mexico Real Estate Management SA de CV(a) | 679,919 | 880,690 | ||||||
Pure Industrial Real Estate Trust | 216,040 | 906,070 | ||||||
Rexford Industrial Realty, Inc. | 110,990 | 2,478,407 | ||||||
Segro PLC | 235,640 | 1,402,636 | ||||||
Warehouses De Pauw CVA | 8,868 | 869,009 | ||||||
|
| |||||||
10,379,025 | ||||||||
|
| |||||||
Mixed Office Industrial – 0.7% | ||||||||
Axiare Patrimonio SOCIMI SA | 77,720 | 1,001,436 | ||||||
BR Properties SA | 28,120 | 73,583 | ||||||
Goodman Group | 322,028 | 1,833,628 | ||||||
Gramercy Property Trust | 232,071 | 2,246,447 | ||||||
Kungsleden AB | 144,172 | 1,115,371 | ||||||
|
| |||||||
6,270,465 | ||||||||
|
| |||||||
16,649,490 | ||||||||
|
| |||||||
Food Beverage & Tobacco – 0.7% | ||||||||
Agricultural Products – 0.6% | ||||||||
Archer-Daniels-Midland Co. | 100,415 | 4,394,160 | ||||||
Bunge Ltd. | 10,868 | 694,465 | ||||||
Wilmar International Ltd. | 143,800 | 324,238 | ||||||
|
| |||||||
5,412,863 | ||||||||
|
| |||||||
Packaged Foods & Meats – 0.1% | ||||||||
Tyson Foods, Inc. – Class A | 18,080 | 1,366,306 | ||||||
|
| |||||||
6,779,169 | ||||||||
|
| |||||||
Lodging – 0.4% | ||||||||
Lodging – 0.4% | ||||||||
Chesapeake Lodging Trust | 22,850 | 582,218 | ||||||
Pebblebrook Hotel Trust | 36,610 | 1,099,764 | ||||||
Summit Hotel Properties, Inc. | 72,779 | 1,040,740 | ||||||
Wyndham Worldwide Corp. | 11,750 | 831,783 | ||||||
|
| |||||||
3,554,505 | ||||||||
|
|
AB POOLING PORTFOLIOS • | 149 |
AB Multi-Asset Real Return Portfolio—Consolidated Portfolio of Investments
Company | Shares | U.S. $ Value | ||||||
| ||||||||
Real Estate – 0.3% | ||||||||
Developers – 0.1% | ||||||||
Transurban Group | 99,530 | $ | 856,257 | |||||
|
| |||||||
Diversified Real Estate Activities – 0.2% | ||||||||
MMC Norilsk Nickel PJSC (ADR) | 130,570 | 1,962,202 | ||||||
|
| |||||||
2,818,459 | ||||||||
|
| |||||||
Mortgage – 0.3% | ||||||||
Mortgage – 0.3% | ||||||||
Blackstone Mortgage Trust, Inc. – Class A | 31,160 | 929,191 | ||||||
Concentradora Hipotecaria SAPI de CV | 631,910 | 900,490 | ||||||
First American Financial Corp. | 22,290 | 960,476 | ||||||
|
| |||||||
2,790,157 | ||||||||
|
| |||||||
Financial: Other – 0.0% | ||||||||
Financial: Other – 0.0% | ||||||||
DLF Ltd. | 62,375 | 143,826 | ||||||
|
| |||||||
Total Common Stocks | 485,479,259 | |||||||
|
| |||||||
Principal Amount (000) | ||||||||
INFLATION-LINKED SECURITIES – 29.7% | ||||||||
United States – 23.6% | ||||||||
U.S. Treasury Inflation Index | $ | 97,799 | 97,667,536 | |||||
1.625%, 1/15/18 (TIPS) | 46,915 | 48,135,295 | ||||||
2.375%, 1/15/17 (TIPS)(f) | 60,083 | 60,465,509 | ||||||
2.625%, 7/15/17 (TIPS)(f) | 16,710 | 17,179,119 | ||||||
|
| |||||||
223,447,459 | ||||||||
|
| |||||||
Japan – 6.1% | ||||||||
Japanese Government CPI Linked Bond | JPY | 5,625,040 | 57,465,493 | |||||
|
| |||||||
Total Inflation-Linked Securities | 280,912,952 | |||||||
|
| |||||||
Shares | ||||||||
INVESTMENT COMPANIES – 17.1% | ||||||||
Funds and Investment Trusts – 17.1% | ||||||||
BB Progressivo II FII | 11,814 | 449,446 | ||||||
iShares MSCI Global Metals & Mining Producers ETF | 461,924 | 4,984,160 |
150 | • AB POOLING PORTFOLIOS |
AB Multi-Asset Real Return Portfolio—Consolidated Portfolio of Investments
Company | Shares | U.S. $ Value | ||||||
| ||||||||
Kinea Renda Imobiliaria FII | 10,767 | $ | 450,125 | |||||
SPDR S&P Dividend ETF(b) | 280,390 | 24,018,207 | ||||||
SPDR S&P Oil & Gas Exploration & Production ETF(b) | 129,690 | 4,771,295 | ||||||
VanEck Vectors Gold Miners ETF(b) | 484,552 | 12,331,848 | ||||||
VanEck Vectors Oil Services ETF | 167,600 | 4,630,788 | ||||||
Vanguard Dividend Appreciation ETF(b) | 169,060 | 14,397,150 | ||||||
Vanguard Global ex-U.S. Real Estate ETF(b) | 701,545 | 39,237,412 | ||||||
Vanguard REIT ETF | 632,180 | 56,245,055 | ||||||
|
| |||||||
Total Investment Companies | 161,515,486 | |||||||
|
| |||||||
Contracts | ||||||||
OPTIONS PURCHASED - CALLS – 0.0% | ||||||||
Options on Funds and Investment Trusts – 0.0% | ||||||||
SPDR S&P 500 ETF Trust Expiration: Sep 2016, Exercise Price: $ 222.00(a)(g) | 4,450 | 66,750 | ||||||
|
| |||||||
OPTIONS PURCHASED - PUTS – 0.0% | ||||||||
Options on Funds and Investment Trusts – 0.0% | ||||||||
iShares Silver Trust Expiration: Sep 2016, Exercise Price: $ 16.50(a)(g) | 3,638 | 9,095 | ||||||
|
| |||||||
Shares | ||||||||
SHORT-TERM INVESTMENTS – 2.5% | ||||||||
Investment Companies – 2.5% | ||||||||
AB Fixed Income Shares, Inc. – | 24,001,262 | 24,001,262 | ||||||
|
| |||||||
Total Investments Before Security Lending Collateral for Securities Loaned – 100.7% | 951,984,804 | |||||||
|
| |||||||
AB POOLING PORTFOLIOS • | 151 |
AB Multi-Asset Real Return Portfolio—Consolidated Portfolio of Investments
Company | Shares | U.S. $ Value | ||||||
| ||||||||
INVESTMENTS OF CASH COLLATERAL FOR SECURITIES LOANED – 4.4% | ||||||||
Investment Companies – 4.4% | ||||||||
AB Fixed Income Shares, Inc. – | 41,295,503 | $ | 41,295,503 | |||||
|
| |||||||
Total Investments – 105.1% | 993,280,307 | |||||||
Other assets less liabilities – (5.1)% | (48,289,520 | ) | ||||||
|
| |||||||
Net Assets – 100.0% | $ | 944,990,787 | ||||||
|
|
FUTURES (see Note C)
Type | Number of Contracts | Expiration Month | Original Value | Value at August 31, 2016 | Unrealized Appreciation/ (Depreciation) | |||||||||||||||
Purchased Contracts |
| |||||||||||||||||||
Canoala (WCE) Futures | 902 | November 2016 | $ | 6,431,329 | $ | 6,303,133 | $ | (128,196 | ) | |||||||||||
Coffee ‘C’ Futures | 92 | December 2016 | 4,925,585 | 5,073,225 | 147,640 | |||||||||||||||
Copper Futures | 135 | December 2016 | 7,295,615 | 7,011,563 | (284,052 | ) | ||||||||||||||
Gold 100 OZ Futures | 168 | December 2016 | 22,631,140 | 22,031,519 | (599,621 | ) | ||||||||||||||
Live Cattle Futures | 144 | October 2016 | 6,353,333 | 6,138,720 | (214,613 | ) | ||||||||||||||
LME Nickel Futures | 64 | September 2016 | 3,932,782 | 3,733,056 | (199,726 | ) | ||||||||||||||
LME Primary Aluminum Futures | 19 | September 2016 | 785,754 | 760,356 | (25,398 | ) | ||||||||||||||
Platinum Futures | 87 | October 2016 | 5,064,776 | 4,582,725 | (482,051 | ) | ||||||||||||||
Silver Futures | 83 | December 2016 | 7,879,642 | 7,763,405 | (116,237 | ) | ||||||||||||||
WTI Crude Futures | 204 | May 2017 | 9,897,471 | 9,902,160 | 4,689 | |||||||||||||||
WTI Crude Futures | 198 | November 2017 | 9,451,820 | 9,858,420 | 406,600 | |||||||||||||||
Sold Contracts |
| |||||||||||||||||||
10 Yr Mini Japan Government Bond Futures | 72 | September 2016 | 10,544,057 | 10,537,824 | 6,233 | |||||||||||||||
Cocoa Futures | 158 | December 2016 | 4,895,662 | 4,578,840 | 316,822 | |||||||||||||||
Coff Robusta Futures | 270 | November 2016 | 4,904,184 | 4,935,600 | (31,416 | ) | ||||||||||||||
Lean Hogs Futures | 68 | December 2016 | 1,551,673 | 1,564,680 | (13,007 | ) | ||||||||||||||
LME Nickel Futures | 26 | September 2016 | 1,589,834 | 1,516,554 | 73,280 | |||||||||||||||
LME Primary Aluminum Futures | 173 | September 2016 | 7,044,308 | 6,923,244 | 121,064 | |||||||||||||||
Mini MSCI EAFE Futures | 15 | September 2016 | 1,246,727 | 1,265,700 | (18,973 | ) | ||||||||||||||
Mini MSCI Emerging Market Futures | 90 | September 2016 | 3,873,719 | 3,995,550 | (121,831 | ) | ||||||||||||||
Natural Gas Futures | 58 | September 2016 | 1,569,148 | 1,674,460 | (105,312 | ) |
152 | • AB POOLING PORTFOLIOS |
AB Multi-Asset Real Return Portfolio—Consolidated Portfolio of Investments
Type | Number of Contracts | Expiration Month | Original Value | Value at August 31, 2016 | Unrealized Appreciation/ (Depreciation) | |||||||||||||||
S&P 500 E-Mini Futures | 222 | September 2016 | $ | 23,882,370 | $ | 24,081,450 | $ | (199,080 | ) | |||||||||||
S&P TSX 60 Index Futures | 9 | September 2016 | 1,142,945 | 1,166,829 | (23,884 | ) | ||||||||||||||
Soybean Futures | 131 | November 2016 | 6,405,834 | 6,176,650 | 229,184 | |||||||||||||||
Soybean Meal Futures | 103 | December 2016 | 3,160,138 | 3,159,010 | 1,128 | |||||||||||||||
|
| |||||||||||||||||||
$ | (1,256,757 | ) | ||||||||||||||||||
|
|
FORWARD CURRENCY EXCHANGE CONTRACTS (see Note C)
Counterparty | Contracts to Deliver (000) | In Exchange (000) | Settlement Date | Unrealized Appreciation/ (Depreciation) | ||||||||||||||||||||
Bank of America, NA | RUB | 807,569 | USD | 12,466 | 9/20/16 | $ | 168,083 | |||||||||||||||||
Bank of America, NA | RUB | 182,959 | USD | 2,767 | 12/15/16 | 34,615 | ||||||||||||||||||
Bank of America, NA | USD | 9,437 | RUB | 622,494 | 12/15/16 | (142,035 | ) | |||||||||||||||||
Barclays Bank PLC | EUR | 662 | USD | 734 | 9/20/16 | (4,541 | ) | |||||||||||||||||
Barclays Bank PLC | RUB | 388,885 | USD | 5,803 | 9/20/16 | (118,858 | ) | |||||||||||||||||
Barclays Bank PLC | USD | 3,724 | IDR | 51,766,770 | 9/20/16 | 162,598 | ||||||||||||||||||
Barclays Bank PLC | USD | 2,868 | NOK | 24,626 | 9/20/16 | 87,104 | ||||||||||||||||||
Barclays Bank PLC | USD | 607 | TWD | 19,578 | 9/20/16 | 10,192 | ||||||||||||||||||
Barclays Bank PLC | JPY | 1,251,834 | USD | 12,512 | 10/05/16 | 395,143 | ||||||||||||||||||
Barclays Bank PLC | GBP | 3,178 | USD | 4,127 | 12/15/16 | (55,294 | ) | |||||||||||||||||
Barclays Bank PLC | USD | 571 | AUD | 745 | 12/15/16 | (11,985 | ) | |||||||||||||||||
BNP Paribas SA | AUD | 3,868 | USD | 2,843 | 9/20/16 | (63,117 | ) | |||||||||||||||||
BNP Paribas SA | MXN | 102,477 | USD | 5,444 | 9/20/16 | 3,925 | ||||||||||||||||||
BNP Paribas SA | USD | 1,968 | ARS | 30,321 | 9/20/16 | 41,108 | ||||||||||||||||||
BNP Paribas SA | ARS | 19,554 | USD | 1,262 | 10/05/16 | (21,600 | ) | |||||||||||||||||
BNP Paribas SA | USD | 3,238 | ARS | 51,066 | 10/05/16 | 113,878 | ||||||||||||||||||
BNP Paribas SA | AUD | 13,050 | USD | 9,786 | 12/15/16 | 1,966 | ||||||||||||||||||
Brown Brothers Harriman & Co. | EUR | 1,789 | USD | 2,000 | 9/20/16 | 2,812 | ||||||||||||||||||
Brown Brothers Harriman & Co. | USD | 8,509 | AUD | 11,086 | 9/20/16 | (181,347 | ) | |||||||||||||||||
Citibank, NA | EUR | 9,207 | USD | 10,207 | 9/20/16 | (71,111 | ) | |||||||||||||||||
Citibank, NA | RUB | 251,819 | USD | 3,865 | 9/20/16 | 30,546 | ||||||||||||||||||
Citibank, NA | USD | 5,043 | GBP | 3,821 | 9/20/16 | (22,939 | ) | |||||||||||||||||
Citibank, NA | USD | 9,752 | JPY | 1,040,957 | 9/20/16 | 316,198 | ||||||||||||||||||
Citibank, NA | USD | 11,715 | RUB | 777,712 | 9/20/16 | 128,259 | ||||||||||||||||||
Citibank, NA | RUB | 622,402 | USD | 9,324 | 12/15/16 | 30,337 | ||||||||||||||||||
Citibank, NA | USD | 3,054 | RUB | 203,421 | 12/15/16 | (16,779 | ) | |||||||||||||||||
Credit Suisse International | CHF | 984 | USD | 1,004 | 9/20/16 | 2,798 | ||||||||||||||||||
Credit Suisse International | EUR | 20,335 | USD | 22,377 | 9/20/16 | (322,619 | ) | |||||||||||||||||
Credit Suisse International | NOK | 48,587 | USD | 5,823 | 9/20/16 | (8,477 | ) | |||||||||||||||||
Credit Suisse International | TRY | 4,728 | USD | 1,551 | 9/20/16 | (41,114 | ) | |||||||||||||||||
Credit Suisse International | NOK | 34,833 | USD | 4,175 | 12/15/16 | (6,183 | ) | |||||||||||||||||
Deutsche Bank AG | USD | 9,469 | JPY | 944,962 | 12/15/16 | (294,723 | ) | |||||||||||||||||
Goldman Sachs Bank USA | BRL | 545 | USD | 162 | 9/02/16 | (6,686 | ) | |||||||||||||||||
Goldman Sachs Bank USA | USD | 168 | BRL | 545 | 9/02/16 | 578 | ||||||||||||||||||
Goldman Sachs Bank USA | BRL | 2,916 | USD | 863 | 9/20/16 | (35,318 | ) | |||||||||||||||||
Goldman Sachs Bank USA | CNY | 36,733 | USD | 5,539 | 9/20/16 | 48,750 | ||||||||||||||||||
Goldman Sachs Bank USA | IDR | 28,299,899 | USD | 2,135 | 9/20/16 | 10,183 | ||||||||||||||||||
Goldman Sachs Bank USA | INR | 119,332 | USD | 1,756 | 9/20/16 | (20,729 | ) | |||||||||||||||||
Goldman Sachs Bank USA | JPY | 964,485 | USD | 9,145 | 9/20/16 | (184,279 | ) |
AB POOLING PORTFOLIOS • | 153 |
AB Multi-Asset Real Return Portfolio—Consolidated Portfolio of Investments
Counterparty | Contracts to Deliver (000) | In Exchange (000) | Settlement Date | Unrealized Appreciation/ (Depreciation) | ||||||||||||||||||||
Goldman Sachs Bank USA | USD | 4,376 | BRL | 14,839 | 9/20/16 | $ | 195,496 | |||||||||||||||||
Goldman Sachs Bank USA | USD | 2,879 | CNY | 19,356 | 9/20/16 | 13,817 | ||||||||||||||||||
Goldman Sachs Bank USA | USD | 9,306 | JPY | 966,569 | 9/20/16 | 42,752 | ||||||||||||||||||
Goldman Sachs Bank USA | JPY | 838,978 | USD | 8,335 | 12/15/16 | 188,837 | ||||||||||||||||||
HSBC Bank USA | CAD | 6,541 | USD | 4,948 | 9/20/16 | (40,516 | ) | |||||||||||||||||
HSBC Bank USA | GBP | 4,935 | USD | 6,957 | 9/20/16 | 473,526 | ||||||||||||||||||
HSBC Bank USA | HKD | 6,203 | USD | 800 | 9/20/16 | 598 | ||||||||||||||||||
HSBC Bank USA | NOK | 15,302 | USD | 1,793 | 9/20/16 | (42,927 | ) | |||||||||||||||||
HSBC Bank USA | SGD | 1,111 | USD | 826 | 9/20/16 | 10,141 | ||||||||||||||||||
HSBC Bank USA | USD | 8,309 | GBP | 6,447 | 9/20/16 | 160,360 | ||||||||||||||||||
HSBC Bank USA | USD | 5,141 | JPY | 523,597 | 9/20/16 | (76,598 | ) | |||||||||||||||||
HSBC Bank USA | USD | 2,934 | ZAR | 44,471 | 9/20/16 | 80,099 | ||||||||||||||||||
HSBC Bank USA | JPY | 1,155,700 | USD | 11,460 | 10/05/16 | 273,493 | ||||||||||||||||||
HSBC Bank USA | AUD | 3,188 | USD | 2,448 | 12/15/16 | 57,712 | ||||||||||||||||||
HSBC Bank USA | USD | 3,162 | NOK | 26,034 | 12/15/16 | (36,309 | ) | |||||||||||||||||
JPMorgan Chase Bank, NA | BRL | 545 | USD | 168 | 9/02/16 | (578 | ) | |||||||||||||||||
JPMorgan Chase Bank, NA | USD | 165 | BRL | 545 | 9/02/16 | 3,320 | ||||||||||||||||||
JPMorgan Chase Bank, NA | AUD | 5,757 | USD | 4,193 | 9/20/16 | (132,250 | ) | |||||||||||||||||
JPMorgan Chase Bank, NA | EUR | 3,284 | USD | 3,657 | 9/20/16 | (9,383 | ) | |||||||||||||||||
JPMorgan Chase Bank, NA | GBP | 7,702 | USD | 10,570 | 9/20/16 | 452,011 | ||||||||||||||||||
JPMorgan Chase Bank, NA | USD | 3,235 | AUD | 4,304 | 9/20/16 | (2,248 | ) | |||||||||||||||||
JPMorgan Chase Bank, NA | USD | 18,909 | EUR | 16,883 | 9/20/16 | (63,173 | ) | |||||||||||||||||
JPMorgan Chase Bank, NA | USD | 5,913 | GBP | 4,026 | 9/20/16 | (623,738 | ) | |||||||||||||||||
JPMorgan Chase Bank, NA | USD | 5,216 | GBP | 4,025 | 9/20/16 | 71,534 | ||||||||||||||||||
JPMorgan Chase Bank, NA | USD | 7,700 | JPY | 784,407 | 9/20/16 | (112,908 | ) | |||||||||||||||||
JPMorgan Chase Bank, NA | USD | 766 | KRW | 875,167 | 9/20/16 | 18,111 | ||||||||||||||||||
JPMorgan Chase Bank, NA | USD | 4,644 | MXN | 87,390 | 9/20/16 | (5,220 | ) | |||||||||||||||||
Morgan Stanley & Co., Inc. | CAD | 2,449 | USD | 1,889 | 9/20/16 | 21,218 | ||||||||||||||||||
Morgan Stanley & Co., Inc. | GBP | 5,219 | USD | 6,867 | 9/20/16 | 10,997 | ||||||||||||||||||
Morgan Stanley & Co., Inc. | JPY | 241,742 | USD | 2,225 | 9/20/16 | (113,164 | ) | |||||||||||||||||
Morgan Stanley & Co., Inc. | JPY | 1,344,003 | USD | 13,123 | 9/20/16 | 123,688 | ||||||||||||||||||
Morgan Stanley & Co., Inc. | USD | 1,407 | CAD | 1,830 | 9/20/16 | (11,872 | ) | |||||||||||||||||
Morgan Stanley & Co., Inc. | USD | 15,909 | EUR | 14,377 | 9/20/16 | 140,308 | ||||||||||||||||||
Morgan Stanley & Co., Inc. | USD | 797 | MYR | 3,240 | 9/20/16 | (5,935 | ) | |||||||||||||||||
Morgan Stanley & Co., Inc. | USD | 2,358 | ZAR | 34,249 | 9/20/16 | (36,739 | ) | |||||||||||||||||
Morgan Stanley & Co., Inc. | JPY | 797,778 | USD | 7,724 | 10/05/16 | 2,197 | ||||||||||||||||||
Morgan Stanley & Co., Inc. | JPY | 946,125 | USD | 9,461 | 12/15/16 | 275,269 | ||||||||||||||||||
Nomura Global Financial Products, Inc. | CNY | 24,201 | USD | 3,617 | 12/15/16 | 21,242 | ||||||||||||||||||
Royal Bank of Scotland PLC | CAD | 7,114 | USD | 5,577 | 9/20/16 | 152,131 | ||||||||||||||||||
Royal Bank of Scotland PLC | COP | 15,044,991 | USD | 4,971 | 9/20/16 | (72,896 | ) | |||||||||||||||||
Royal Bank of Scotland PLC | EUR | 20,240 | USD | 22,971 | 9/20/16 | 376,946 | ||||||||||||||||||
Royal Bank of Scotland PLC | GBP | 5,947 | USD | 8,618 | 9/20/16 | 805,060 | ||||||||||||||||||
Royal Bank of Scotland PLC | JPY | 394,180 | USD | 3,922 | 9/20/16 | 109,718 | ||||||||||||||||||
Royal Bank of Scotland PLC | JPY | 149,885 | USD | 1,417 | 9/20/16 | (33,231 | ) | |||||||||||||||||
Royal Bank of Scotland PLC | USD | 1,247 | CAD | 1,625 | 9/20/16 | (8,072 | ) | |||||||||||||||||
Royal Bank of Scotland PLC | USD | 4,946 | COP | 15,546,072 | 9/20/16 | 265,733 | ||||||||||||||||||
Royal Bank of Scotland PLC | USD | 4,567 | INR | 311,843 | 9/20/16 | 76,351 | ||||||||||||||||||
Royal Bank of Scotland PLC | USD | 6,299 | RUB | 418,534 | 9/20/16 | 73,963 | ||||||||||||||||||
Royal Bank of Scotland PLC | USD | 3,850 | RUB | 252,027 | 9/20/16 | (12,516 | ) | |||||||||||||||||
Royal Bank of Scotland PLC | USD | 1,038 | SGD | 1,405 | 9/20/16 | (6,715 | ) | |||||||||||||||||
Royal Bank of Scotland PLC | USD | 4,283 | IDR | 56,813,256 | 12/15/16 | (70,358 | ) | |||||||||||||||||
Royal Bank of Scotland PLC | USD | 3,385 | INR | 229,839 | 12/15/16 | (4,768 | ) | |||||||||||||||||
Standard Chartered Bank | CNY | 17,591 | USD | 2,621 | 9/20/16 | (8,268 | ) | |||||||||||||||||
Standard Chartered Bank | KRW | 876,013 | USD | 766 | 9/20/16 | (19,067 | ) |
154 | • AB POOLING PORTFOLIOS |
AB Multi-Asset Real Return Portfolio—Consolidated Portfolio of Investments
Counterparty | Contracts to Deliver (000) | In Exchange (000) | Settlement Date | Unrealized Appreciation/ (Depreciation) | ||||||||||||||||||||
Standard Chartered Bank | USD | 1,933 | HKD | 14,983 | 9/20/16 | $ | (1,089 | ) | ||||||||||||||||
Standard Chartered Bank | USD | 1,516 | IDR | 20,453,303 | 9/20/16 | 20,195 | ||||||||||||||||||
Standard Chartered Bank | USD | 3,694 | IDR | 49,036,763 | 9/20/16 | (12,071 | ) | |||||||||||||||||
Standard Chartered Bank | USD | 4,178 | INR | 283,961 | 9/20/16 | 50,557 | ||||||||||||||||||
Standard Chartered Bank | USD | 135 | KRW | 156,477 | 9/20/16 | 5,413 | ||||||||||||||||||
Standard Chartered Bank | ZAR | 16,959 | USD | 1,136 | 9/20/16 | (13,818 | ) | |||||||||||||||||
State Street Bank & Trust Co. | AUD | 5,765 | USD | 4,293 | 9/20/16 | (38,244 | ) | |||||||||||||||||
State Street Bank & Trust Co. | EUR | 1,324 | USD | 1,492 | 9/20/16 | 14,139 | ||||||||||||||||||
State Street Bank & Trust Co. | JPY | 70,563 | USD | 663 | 9/20/16 | (19,322 | ) | |||||||||||||||||
State Street Bank & Trust Co. | NZD | 186 | USD | 132 | 9/20/16 | (2,842 | ) | |||||||||||||||||
State Street Bank & Trust Co. | SEK | 2,932 | USD | 361 | 9/20/16 | 17,843 | ||||||||||||||||||
State Street Bank & Trust Co. | USD | 2,018 | CHF | 1,934 | 9/20/16 | (50,057 | ) | |||||||||||||||||
State Street Bank & Trust Co. | USD | 7,361 | GBP | 5,444 | 9/20/16 | (209,662 | ) | |||||||||||||||||
State Street Bank & Trust Co. | USD | 677 | JPY | 70,563 | 9/20/16 | 5,654 | ||||||||||||||||||
State Street Bank & Trust Co. | USD | 4,801 | NOK | 39,263 | 9/20/16 | (88,841 | ) | |||||||||||||||||
State Street Bank & Trust Co. | USD | 1,650 | THB | 57,820 | 9/20/16 | 19,663 | ||||||||||||||||||
State Street Bank & Trust Co. | JPY | 1,954,486 | USD | 19,363 | 10/05/16 | 444,311 | ||||||||||||||||||
State Street Bank & Trust Co. | TRY | 8,446 | USD | 2,777 | 12/15/16 | (16,980 | ) | |||||||||||||||||
UBS AG | CAD | 3,508 | USD | 2,733 | 12/15/16 | 56,565 | ||||||||||||||||||
UBS AG | EUR | 23,022 | USD | 25,777 | 12/15/16 | (20,056 | ) | |||||||||||||||||
|
| |||||||||||||||||||||||
$ | 3,067,876 | |||||||||||||||||||||||
|
|
CALL OPTIONS WRITTEN (see Note C)
Description | Contracts (000) | Exercise Price | Expiration Month | Premiums Received | U.S. $ Value | |||||||||||||||
iShares Silver Trust(g) | 3,638 | $ | 19.00 | September 2016 | $ | 21,681 | $ | (16,371 | ) |
PUT OPTIONS WRITTEN (see Note C)
Description | Contracts (000) | Exercise Price | Expiration Month | Premiums Received | U.S. $ Value | |||||||||||||||
SPDR S&P 500 ETF Trust(g) | 4,450 | $ | 206.00 | September 2016 | $ | 204,516 | $ | (115,700 | ) |
INFLATION (CPI) SWAPS (see Note C)
Rate Type | ||||||||||||||||||||
Swap Counterparty | Notional Amount (000) | Termination Date | Payments made by the Fund | Payments by the | Unrealized Appreciation/ (Depreciation) | |||||||||||||||
Bank of America, NA | $ | 23,600 | 5/11/19 | 1.640% | CPI# | $ | (4,386 | ) | ||||||||||||
Barclays Bank PLC | 31,700 | 7/26/19 | 1.605% | CPI# | (66,238 | ) | ||||||||||||||
Barclays Bank PLC | 18,200 | 8/12/19 | 1.513% | CPI# | 25 | |||||||||||||||
Deutsche Bank AG | 6,230 | 3/09/19 | 1.508% | CPI# | (4,973 | ) | ||||||||||||||
Deutsche Bank AG | 16,600 | 8/09/19 | 1.560% | CPI# | (21,557 | ) | ||||||||||||||
Deutsche Bank AG | 102,000 | 7/30/25 | 2.278% | CPI# | (2,438,294 | ) | ||||||||||||||
Deutsche Bank AG | 111,900 | 8/09/26 | 1.955% | CPI# | (53,064 | ) | ||||||||||||||
Goldman Sachs International | 114,800 | 8/12/26 | 1.924% | CPI# | 114,810 | |||||||||||||||
JPMorgan Chase Bank, NA | 3,170 | 3/30/25 | 2.170% | CPI# | (62,632 | ) | ||||||||||||||
JPMorgan Chase Bank, NA | 81,117 | 4/01/25 | 2.170% | CPI# | (1,606,731 | ) | ||||||||||||||
JPMorgan Chase Bank, NA | 209,400 | 7/26/26 | 1.933% | CPI# | (61,406 | ) | ||||||||||||||
|
| |||||||||||||||||||
$ | (4,204,446 | ) | ||||||||||||||||||
|
|
# | Variable interest rate based on the rate of inflation as determined by the Consumer Price Index (CPI). |
AB POOLING PORTFOLIOS • | 155 |
AB Multi-Asset Real Return Portfolio—Consolidated Portfolio of Investments
TOTAL RETURN SWAPS (see Note C)
Counterparty & 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 | 32,277 | 0.11 | % | $ | 6,120 | 9/15/16 | $ | (186,046 | ) | |||||||||||
Bloomberg Commodity Index | 204,129 | 0.11 | % | 38,500 | 9/15/16 | (970,030 | ) | |||||||||||||
Bloomberg Commodity Index | 231,198 | 0.11 | % | 43,838 | 9/15/16 | (1,332,393 | ) | |||||||||||||
Bloomberg Commodity Index | 468,827 | 0.11 | % | 88,895 | 9/15/16 | (2,702,334 | ) | |||||||||||||
Bloomberg Commodity Index | 542,364 | 0.11 | % | 102,839 | 9/15/16 | (3,126,203 | ) | |||||||||||||
|
| |||||||||||||||||||
$ | (8,317,006 | ) | ||||||||||||||||||
|
|
^ | Less than $0.50. |
(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 restricted, but liquid and may be resold in transactions exempt from registration, normally to qualified institutional buyers. At August 31, 2016, the aggregate market value of these securities amounted to $5,824,560 or 0.6% of net assets. |
(d) | Illiquid security. |
(e) | Fair valued by the Adviser. |
(f) | Position, or a portion thereof, has been segregated to collateralize OTC derivatives outstanding. |
(g) | One contract relates to 100 shares. |
(h) | Investment in affiliated money market mutual fund. The rate shown represents the 7-day yield as of period end. |
(i) | 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:
ARS | – Argentine Peso |
AUD | – Australian Dollar |
BRL | – Brazilian Real |
CAD | – Canadian Dollar |
CHF | – Swiss Franc |
CNY | – Chinese Yuan Renminbi |
COP | – Colombian Peso |
EUR | – Euro |
GBP | – Great British Pound |
HKD | – Hong Kong Dollar |
IDR | – Indonesian Rupiah |
INR | – Indian Rupee |
JPY | – Japanese Yen |
KRW | – South Korean Won |
156 | • AB POOLING PORTFOLIOS |
AB Multi-Asset Real Return Portfolio—Consolidated Portfolio of Investments
MXN | – Mexican Peso |
MYR | – Malaysian Ringgit |
NOK | – Norwegian Krone |
NZD | – New Zealand Dollar |
RUB | – Russian Ruble |
SEK | – Swedish Krona |
SGD | – Singapore Dollar |
THB | – Thailand Baht |
TRY | – Turkish Lira |
TWD | – New Taiwan Dollar |
USD | – United States Dollar |
ZAR | – South African Rand |
Glossary:
ADR | – American Depositary Receipt |
EAFE | – Europe, Australia, and Far East |
ETF | – Exchange Traded Fund |
GDR | – Global Depositary Receipt |
LME | – London Metal Exchange |
MSCI | – Morgan Stanley Capital International |
PJSC | – Public Joint Stock Company |
REG | – Registered Shares |
REIT | – Real Estate Investment Trust |
SPDR | – Standard & Poor’s Depository Receipt |
TIPS | – Treasury Inflation Protected Security |
TSX | – Toronto Stock Exchange |
WCE | – Winnipeg Commodities Exchange |
WTI | – West Texas Intermediate |
See notes to consolidated financial statements.
AB POOLING PORTFOLIOS • | 157 |
AB Multi-Asset Real Return Portfolio—Consolidated Portfolio of Investments
AB VOLATILITY MANAGEMENT PORTFOLIO
PORTFOLIO OF INVESTMENTS
August 31, 2016
Company | Shares | U.S. $ Value | ||||||
| ||||||||
COMMON STOCKS – 55.5% | ||||||||
Financials – 7.8% | ||||||||
Banks – 4.0% | ||||||||
ABN AMRO Group NV (GDR)(a) | 2,211 | $ | 45,476 | |||||
Aozora Bank Ltd. | 10,000 | 35,418 | ||||||
Australia & New Zealand Banking Group Ltd. | 26,441 | 533,484 | ||||||
Banco Bilbao Vizcaya Argentaria SA | 58,953 | 366,383 | ||||||
Banco de Sabadell SA | 48,206 | 65,379 | ||||||
Banco Espirito Santo SA (REG)(b)(c)(d) | 54,936 | – 0 | –^ | |||||
Banco Popular Espanol SA | 27,868 | 37,707 | ||||||
Banco Santander SA | 130,814 | 586,763 | ||||||
Bank Hapoalim BM | 8,889 | 47,726 | ||||||
Bank Leumi Le-Israel BM(b) | 11,691 | 43,810 | ||||||
Bank of America Corp. | 78,052 | 1,259,759 | ||||||
Bank of East Asia Ltd. (The)(e) | 10,600 | 42,751 | ||||||
Bank of Ireland(b) | 249,302 | 56,378 | ||||||
Bank of Kyoto Ltd. (The) | 2,000 | 14,493 | ||||||
Bank of Queensland Ltd. | 3,141 | 24,869 | ||||||
Bankia SA | 38,469 | 32,431 | ||||||
Bankinter SA | 5,629 | 41,312 | ||||||
Barclays PLC | 152,315 | 344,243 | ||||||
BB&T Corp. | 6,200 | 238,700 | ||||||
Bendigo & Adelaide Bank Ltd. | 3,814 | 31,420 | ||||||
BNP Paribas SA | 9,602 | 490,379 | ||||||
BOC Hong Kong Holdings Ltd. | 33,500 | 116,961 | ||||||
CaixaBank SA | 22,232 | 59,951 | ||||||
Chiba Bank Ltd. (The)(e) | 6,000 | 35,638 | ||||||
Chugoku Bank Ltd. (The) | 1,000 | 12,335 | ||||||
Citigroup, Inc. | 22,299 | 1,064,554 | ||||||
Citizens Financial Group, Inc. | 3,983 | 98,659 | ||||||
Comerica, Inc. | 1,300 | 61,477 | ||||||
Commerzbank AG | 9,647 | 67,669 | ||||||
Commonwealth Bank of Australia | 15,475 | 833,673 | ||||||
Concordia Financial Group Ltd.(b) | 9,843 | 50,889 | ||||||
Credit Agricole SA | 9,567 | 90,796 | ||||||
Danske Bank A/S | 6,399 | 187,828 | ||||||
DBS Group Holdings Ltd. | 16,000 | 175,788 | ||||||
DNB ASA | 8,857 | 107,411 | ||||||
Erste Group Bank AG(b) | 2,535 | 71,206 | ||||||
Fifth Third Bancorp | 5,800 | 116,928 | ||||||
Fukuoka Financial Group, Inc. | 7,000 | 29,685 | ||||||
Hachijuni Bank Ltd. (The) | 3,000 | 15,897 | ||||||
Hang Seng Bank Ltd. | 6,900 | 120,846 | ||||||
Hiroshima Bank Ltd. (The)(e) | 4,000 | 16,700 | ||||||
HSBC Holdings PLC | 178,410 | 1,326,462 | ||||||
Huntington Bancshares, Inc./OH | 6,050 | 60,560 | ||||||
ING Groep NV | 35,070 | 438,913 | ||||||
Intesa Sanpaolo SpA | 114,983 | 273,216 | ||||||
Intesa Sanpaolo SpA – RSP | 7,786 | 17,244 |
158 | • AB POOLING PORTFOLIOS |
AB Volatility Management Portfolio—Portfolio of Investments
Company | Shares | U.S. $ Value | ||||||
| ||||||||
Iyo Bank Ltd. (The)(e) | 2,000 | $ | 12,911 | |||||
Japan Post Bank Co., Ltd. | 3,382 | 39,817 | ||||||
Joyo Bank Ltd. (The) | 5,000 | 19,891 | ||||||
JPMorgan Chase & Co. | 27,800 | 1,876,500 | ||||||
KBC Group NV(b) | 2,274 | 134,826 | ||||||
KeyCorp | 6,400 | 80,384 | ||||||
Kyushu Financial Group, Inc.(e) | 2,902 | 17,230 | ||||||
Lloyds Banking Group PLC | 582,151 | 453,732 | ||||||
M&T Bank Corp. | 1,200 | 141,996 | ||||||
Mediobanca SpA | 4,727 | 35,108 | ||||||
Mitsubishi UFJ Financial Group, Inc. | 115,500 | 636,235 | ||||||
Mizrahi Tefahot Bank Ltd. | 1,162 | 14,026 | ||||||
Mizuho Financial Group, Inc. | 214,200 | 373,206 | ||||||
National Australia Bank Ltd. | 23,906 | 490,290 | ||||||
Natixis SA | 7,836 | 34,751 | ||||||
Nordea Bank AB | 27,527 | 268,765 | ||||||
Oversea-Chinese Banking Corp., Ltd. | 28,000 | 176,257 | ||||||
People’s United Financial, Inc. | 2,350 | 38,188 | ||||||
PNC Financial Services Group, Inc. (The) | 3,800 | 342,380 | ||||||
Raiffeisen Bank International AG(b) | 978 | 13,917 | ||||||
Regions Financial Corp. | 9,600 | 95,712 | ||||||
Resona Holdings, Inc. | 20,000 | 91,594 | ||||||
Royal Bank of Scotland Group PLC(b) | 31,606 | 83,671 | ||||||
Seven Bank Ltd.(e) | 5,396 | 19,120 | ||||||
Shinsei Bank Ltd. | 16,000 | 25,569 | ||||||
Shizuoka Bank Ltd. (The)(e) | 4,000 | 33,005 | ||||||
Skandinaviska Enskilda Banken | 13,766 | 134,371 | ||||||
Societe Generale SA | 6,942 | 253,450 | ||||||
Standard Chartered PLC(b) | 29,708 | 250,401 | ||||||
Sumitomo Mitsui Financial Group, Inc. | 12,200 | 426,782 | ||||||
Sumitomo Mitsui Trust Holdings, Inc. | 30,000 | 107,647 | ||||||
SunTrust Banks, Inc. | 3,800 | 167,466 | ||||||
Suruga Bank Ltd.(e) | 2,152 | 51,269 | ||||||
Svenska Handelsbanken AB – Class A | 13,571 | 174,898 | ||||||
Swedbank AB – Class A | 8,207 | 188,766 | ||||||
UniCredit SpA(e) | 45,966 | 118,220 | ||||||
Unione di Banche Italiane SpA | 7,529 | 20,265 | ||||||
United Overseas Bank Ltd. | 12,000 | 158,237 | ||||||
US Bancorp | 12,300 | 543,045 | ||||||
Wells Fargo & Co. | 35,100 | 1,783,080 | ||||||
Westpac Banking Corp. | 30,231 | 668,213 | ||||||
Yamaguchi Financial Group, Inc. | 1,000 | 10,566 | ||||||
Zions Bancorporation | 1,550 | 47,415 | ||||||
|
| |||||||
20,443,339 | ||||||||
|
| |||||||
Capital Markets – 0.9% | ||||||||
3i Group PLC | 8,814 | 71,137 | ||||||
Aberdeen Asset Management PLC | 7,703 | 32,453 | ||||||
Affiliated Managers Group, Inc.(b) | 437 | 62,076 |
AB POOLING PORTFOLIOS • | 159 |
AB Volatility Management Portfolio—Portfolio of Investments
Company | Shares | U.S. $ Value | ||||||
| ||||||||
Ameriprise Financial, Inc. | 1,250 | $ | 126,350 | |||||
Bank of New York Mellon Corp. (The) | 8,150 | 339,610 | ||||||
BlackRock, Inc. – Class A | 990 | 369,082 | ||||||
Charles Schwab Corp. (The) | 9,100 | 286,286 | ||||||
Credit Suisse Group AG (REG)(b) | 16,852 | 219,717 | ||||||
Daiwa Securities Group, Inc. | 15,000 | 87,877 | ||||||
Deutsche Bank AG (REG)(b) | 12,500 | 183,755 | ||||||
E*TRADE Financial Corp.(b) | 2,100 | 55,398 | ||||||
Franklin Resources, Inc. | 2,800 | 102,200 | ||||||
Goldman Sachs Group, Inc. (The) | 2,950 | 499,907 | ||||||
Hargreaves Lansdown PLC | 2,435 | 42,291 | ||||||
ICAP PLC | 4,624 | 29,060 | ||||||
Invesco Ltd. | 3,150 | 98,249 | ||||||
Investec PLC | 5,155 | 30,518 | ||||||
Julius Baer Group Ltd.(b) | 2,029 | 85,113 | ||||||
Legg Mason, Inc. | 800 | 27,672 | ||||||
Macquarie Group Ltd.(e) | 2,776 | 168,047 | ||||||
Morgan Stanley | 11,450 | 367,087 | ||||||
Nomura Holdings, Inc. | 32,900 | 155,320 | ||||||
Northern Trust Corp. | 1,600 | 112,944 | ||||||
Partners Group Holding AG | 158 | 72,488 | ||||||
Platinum Asset Management Ltd.(e) | 1,959 | 7,906 | ||||||
SBI Holdings, Inc./Japan | 1,933 | 22,989 | ||||||
Schroders PLC | 1,265 | 46,270 | ||||||
State Street Corp. | 3,000 | 210,720 | ||||||
T Rowe Price Group, Inc. | 1,900 | 132,126 | ||||||
UBS Group AG | 33,145 | 480,328 | ||||||
|
| |||||||
4,524,976 | ||||||||
|
| |||||||
Consumer Finance – 0.2% | ||||||||
Acom Co., Ltd.(b)(e) | 3,610 | 17,291 | ||||||
AEON Financial Service Co., Ltd. | 1,000 | 18,417 | ||||||
American Express Co. | 6,150 | 403,317 | ||||||
Capital One Financial Corp. | 3,885 | 278,166 | ||||||
Credit Saison Co., Ltd. | 1,300 | 22,411 | ||||||
Discover Financial Services | 3,100 | 186,000 | ||||||
Navient Corp. | 2,500 | 35,950 | ||||||
Provident Financial PLC | 1,353 | 53,414 | ||||||
Synchrony Financial | 6,306 | 175,496 | ||||||
|
| |||||||
1,190,462 | ||||||||
|
| |||||||
Diversified Financial Services – 0.9% | ||||||||
AMP Ltd. | 26,804 | 105,807 | ||||||
ASX Ltd. | 1,766 | 67,799 | ||||||
Berkshire Hathaway, Inc. – Class B(b) | 14,235 | 2,142,225 | ||||||
Challenger Ltd./Australia | 4,764 | 32,848 | ||||||
CME Group, Inc. – Class A | 2,550 | 276,292 | ||||||
Deutsche Boerse AG | 1,612 | 128,776 | ||||||
Eurazeo SA | 418 | 25,390 | ||||||
EXOR SpA | 1,060 | 43,586 | ||||||
First Pacific Co., Ltd./Hong Kong | 17,800 | 13,323 |
160 | • AB POOLING PORTFOLIOS |
AB Volatility Management Portfolio—Portfolio of Investments
Company | Shares | U.S. $ Value | ||||||
| ||||||||
Groupe Bruxelles Lambert SA | 734 | $ | 64,463 | |||||
Hong Kong Exchanges and Clearing Ltd. | 10,400 | 253,736 | ||||||
Industrivarden AB – Class C | 1,371 | 24,959 | ||||||
Intercontinental Exchange, Inc. | 945 | 266,509 | ||||||
Investor AB – Class B | 4,128 | 145,561 | ||||||
Japan Exchange Group, Inc.(e) | 4,769 | 74,647 | ||||||
Kinnevik AB | 2,174 | 53,449 | ||||||
Leucadia National Corp. | 2,500 | 47,875 | ||||||
London Stock Exchange Group PLC | 2,842 | 102,754 | ||||||
Mitsubishi UFJ Lease & Finance Co., Ltd. | 4,050 | 19,019 | ||||||
Moody’s Corp. | 1,300 | 141,297 | ||||||
Nasdaq, Inc. | 850 | 60,529 | ||||||
ORIX Corp. | 12,000 | 172,931 | ||||||
Pargesa Holding SA | 366 | 25,249 | ||||||
S&P Global, Inc. | 2,000 | 247,080 | ||||||
Singapore Exchange Ltd. | 7,000 | 38,783 | ||||||
Wendel SA | 287 | 32,662 | ||||||
|
| |||||||
4,607,549 | ||||||||
|
| |||||||
Insurance – 1.8% | ||||||||
Admiral Group PLC | 1,937 | 52,190 | ||||||
Aegon NV | 16,539 | 67,842 | ||||||
Aflac, Inc. | 3,150 | 233,667 | ||||||
Ageas | 1,826 | 63,318 | ||||||
AIA Group Ltd. | 109,100 | 687,130 | ||||||
Allianz SE (REG) | 4,142 | 615,737 | ||||||
Allstate Corp. (The) | 2,850 | 196,536 | ||||||
American International Group, Inc. | 8,490 | 507,957 | ||||||
Aon PLC | 2,000 | 222,700 | ||||||
Arthur J Gallagher & Co. | 1,335 | 65,962 | ||||||
Assicurazioni Generali SpA | 10,582 | 134,785 | ||||||
Assurant, Inc. | 450 | 40,298 | ||||||
Aviva PLC | 36,692 | 207,072 | ||||||
AXA SA | 17,592 | 370,264 | ||||||
Baloise Holding AG (REG) | 461 | 54,923 | ||||||
Chubb Ltd. | 3,519 | 446,667 | ||||||
Cincinnati Financial Corp. | 1,100 | 84,821 | ||||||
CNP Assurances | 1,433 | 23,115 | ||||||
Dai-ichi Life Insurance Co., Ltd. (The) | 9,771 | 136,468 | ||||||
Direct Line Insurance Group PLC | 12,461 | 60,518 | ||||||
Gjensidige Forsikring ASA | 1,670 | 28,629 | ||||||
Hannover Rueck SE (REG) | 550 | 56,226 | ||||||
Hartford Financial Services Group, Inc. (The) | 2,950 | 121,157 | ||||||
Insurance Australia Group Ltd. | 22,034 | 91,937 | ||||||
Japan Post Holdings Co., Ltd. | 4,162 | 54,530 | ||||||
Legal & General Group PLC | 53,912 | 149,126 | ||||||
Lincoln National Corp. | 1,800 | 86,454 | ||||||
Loews Corp. | 2,000 | 83,720 | ||||||
Mapfre SA | 9,000 | 24,410 | ||||||
Marsh & McLennan Cos., Inc. | 3,950 | 267,138 | ||||||
Medibank Pvt Ltd. | 22,997 | 46,442 |
AB POOLING PORTFOLIOS • | 161 |
AB Volatility Management Portfolio—Portfolio of Investments
Company | Shares | U.S. $ Value | ||||||
| ||||||||
MetLife, Inc. | 8,350 | $ | 362,390 | |||||
MS&AD Insurance Group Holdings, Inc. | 4,600 | 131,662 | ||||||
Muenchener Rueckversicherungs-Gesellschaft AG in Muenchen (REG) | 1,513 | 273,219 | ||||||
NN Group NV | 2,872 | 85,750 | ||||||
Old Mutual PLC | 44,666 | 114,095 | ||||||
Poste Italiane SpA(a) | 4,362 | 30,418 | ||||||
Principal Financial Group, Inc. | 2,000 | 98,140 | ||||||
Progressive Corp. (The) | 4,400 | 143,264 | ||||||
Prudential Financial, Inc. | 3,350 | 265,923 | ||||||
Prudential PLC | 23,314 | 419,395 | ||||||
QBE Insurance Group Ltd. | 12,427 | 92,461 | ||||||
RSA Insurance Group PLC | 9,217 | 60,141 | ||||||
Sampo Oyj – Class A | 4,052 | 174,285 | ||||||
SCOR SE | 1,521 | 44,877 | ||||||
Sompo Japan Nipponkoa Holdings, Inc. | 3,000 | 96,367 | ||||||
Sony Financial Holdings, Inc. | 1,577 | 21,715 | ||||||
St James’s Place PLC | 4,765 | 61,541 | ||||||
Standard Life PLC | 17,853 | 85,527 | ||||||
Suncorp Group Ltd. | 11,660 | 111,249 | ||||||
Swiss Life Holding AG(b) | 291 | 72,958 | ||||||
Swiss Re AG | 3,024 | 255,548 | ||||||
T&D Holdings, Inc. | 5,250 | 60,047 | ||||||
Tokio Marine Holdings, Inc. | 6,211 | 244,649 | ||||||
Torchmark Corp. | 825 | 53,361 | ||||||
Travelers Cos., Inc. (The) | 2,250 | 267,098 | ||||||
Tryg A/S(e) | 967 | 19,322 | ||||||
UnipolSai SpA | 9,451 | 15,815 | ||||||
Unum Group | 1,800 | 64,098 | ||||||
Willis Towers Watson PLC | 1,076 | 133,435 | ||||||
XL Group Ltd. | 2,150 | 73,595 | ||||||
Zurich Insurance Group AG(b) | 1,364 | 349,277 | ||||||
|
| |||||||
9,563,361 | ||||||||
|
| |||||||
40,329,687 | ||||||||
|
| |||||||
Information Technology – 7.1% | ||||||||
Communications Equipment – 0.4% | ||||||||
Telefonaktiebolaget LM Ericsson – Class B | 27,580 | 196,432 | ||||||
F5 Networks, Inc.(b) | 490 | 60,138 | ||||||
Motorola Solutions, Inc. | 1,190 | 91,618 | ||||||
Cisco Systems, Inc. | 38,190 | 1,200,694 | ||||||
Juniper Networks, Inc. | 2,680 | 61,854 | ||||||
Harris Corp. | 940 | 87,401 | ||||||
Nokia Oyj | 52,286 | 294,915 | ||||||
|
| |||||||
1,993,052 | ||||||||
|
| |||||||
Electronic Equipment, Instruments & Components – 0.4% | ||||||||
Keyence Corp. | 500 | 350,875 | ||||||
Kyocera Corp. | 2,900 | 137,894 | ||||||
Murata Manufacturing Co., Ltd. | 1,800 | 242,736 |
162 | • AB POOLING PORTFOLIOS |
AB Volatility Management Portfolio—Portfolio of Investments
Company | Shares | U.S. $ Value | ||||||
| ||||||||
Nippon Electric Glass Co., Ltd. | 3,000 | $ | 15,085 | |||||
Hitachi High-Technologies Corp. | 600 | 22,272 | ||||||
Omron Corp. | 1,800 | 61,126 | ||||||
Hitachi Ltd. | 43,000 | 206,698 | ||||||
TDK Corp. | 1,200 | 85,936 | ||||||
Hexagon AB – Class B | 2,342 | 95,282 | ||||||
Hamamatsu Photonics KK | 1,300 | 40,978 | ||||||
TE Connectivity Ltd. | 2,700 | 171,639 | ||||||
Shimadzu Corp. | 2,000 | 31,371 | ||||||
Yaskawa Electric Corp. | 2,000 | 29,515 | ||||||
Yokogawa Electric Corp. | 2,000 | 25,664 | ||||||
Amphenol Corp. – Class A | 2,320 | 144,559 | ||||||
Corning, Inc. | 8,130 | 184,470 | ||||||
FLIR Systems, Inc. | 1,010 | 31,138 | ||||||
Hirose Electric Co., Ltd. | 300 | 38,577 | ||||||
Ingenico Group SA | 504 | 54,366 | ||||||
Alps Electric Co., Ltd. | 1,706 | 38,622 | ||||||
|
| |||||||
2,008,803 | ||||||||
|
| |||||||
Internet Software & Services – 1.3% | ||||||||
Yahoo Japan Corp. | 12,903 | 52,700 | ||||||
VeriSign, Inc.(b)(e) | 740 | 55,093 | ||||||
Yahoo!, Inc.(b) | 6,600 | 282,150 | ||||||
United Internet AG | 1,142 | 46,912 | ||||||
Kakaku.com, Inc. | 1,293 | 21,628 | ||||||
Facebook, Inc. – Class A(b) | 17,572 | 2,216,181 | ||||||
Akamai Technologies, Inc.(b) | 1,310 | 71,919 | ||||||
eBay, Inc.(b) | 8,030 | 258,245 | ||||||
Mixi, Inc. | 510 | 18,109 | ||||||
Alphabet, Inc. – Class C(b) | 2,273 | 1,743,505 | ||||||
Alphabet, Inc. – Class A(b) | 2,269 | 1,792,170 | ||||||
|
| |||||||
6,558,612 | ||||||||
|
| |||||||
IT Services – 1.2% | ||||||||
NTT Data Corp. | 1,144 | 59,650 | ||||||
Nomura Research Institute Ltd.(e) | 1,100 | 37,243 | ||||||
Paychex, Inc. | 2,420 | 146,821 | ||||||
Visa, Inc. – Class A | 14,480 | 1,171,432 | ||||||
Western Union Co. (The) – Class W | 3,720 | 80,054 | ||||||
Xerox Corp. | 7,210 | 71,019 | ||||||
Teradata Corp.(b) | 970 | 30,778 | ||||||
Total System Services, Inc. | 1,280 | 63,040 | ||||||
Computershare Ltd. | 3,893 | 28,869 | ||||||
Amadeus IT Group SA – Class A | 3,977 | 182,794 | ||||||
Accenture PLC – Class A | 4,770 | 548,550 | ||||||
Atos SE | 798 | 78,679 | ||||||
Otsuka Corp. | 500 | 21,220 | ||||||
Alliance Data Systems Corp.(b) | 460 | 94,107 | ||||||
Automatic Data Processing, Inc. | 3,450 | 309,844 | ||||||
Cognizant Technology Solutions | 4,570 | 262,501 |
AB POOLING PORTFOLIOS • | 163 |
AB Volatility Management Portfolio—Portfolio of Investments
Company | Shares | U.S. $ Value | ||||||
| ||||||||
Fiserv, Inc.(b) | 1,700 | $ | 175,185 | |||||
Capgemini SA | 1,483 | 144,903 | ||||||
International Business Machines Corp. | 6,719 | 1,067,515 | ||||||
Fidelity National Information Services, Inc. | 2,090 | 165,800 | ||||||
MasterCard, Inc. – Class A | 7,400 | 715,062 | ||||||
Fujitsu Ltd. | 16,000 | 81,482 | ||||||
PayPal Holdings, Inc.(b) | 8,380 | 311,317 | ||||||
CSRA, Inc. | 1,030 | 26,152 | ||||||
Obic Co., Ltd. | 590 | 30,277 | ||||||
Worldpay Group PLC(a)(b) | 11,690 | 45,871 | ||||||
Global Payments, Inc. | 1,140 | 86,583 | ||||||
|
| |||||||
6,036,748 | ||||||||
|
| |||||||
Semiconductors & Semiconductor Equipment – 1.1% | ||||||||
Infineon Technologies AG | 10,250 | 171,999 | ||||||
NVIDIA Corp. | 3,850 | 236,159 | ||||||
Rohm Co., Ltd. | 900 | 45,074 | ||||||
QUALCOMM, Inc. | 11,160 | 703,861 | ||||||
Tokyo Electron Ltd. | 1,500 | 138,094 | ||||||
Texas Instruments, Inc. | 7,600 | 528,504 | ||||||
Xilinx, Inc. | 1,900 | 102,999 | ||||||
ARM Holdings PLC | 12,764 | 284,313 | ||||||
ASM Pacific Technology Ltd. | 2,100 | 16,325 | ||||||
Lam Research Corp. | 1,188 | 110,864 | ||||||
ASML Holding NV | 3,338 | 356,332 | ||||||
Applied Materials, Inc. | 8,250 | 246,180 | ||||||
Analog Devices, Inc. | 2,300 | 143,888 | ||||||
Intel Corp. | 35,850 | 1,286,656 | ||||||
Linear Technology Corp. | 1,800 | 104,832 | ||||||
Microchip Technology, Inc.(e) | 1,600 | 99,056 | ||||||
Micron Technology, Inc.(b) | 7,850 | 129,446 | ||||||
STMicroelectronics NV | 5,322 | 39,996 | ||||||
KLA-Tencor Corp. | 1,200 | 83,112 | ||||||
Skyworks Solutions, Inc. | 1,445 | 108,173 | ||||||
Qorvo, Inc.(b) | 955 | 54,846 | ||||||
NXP Semiconductors NV(b) | 2,666 | 234,661 | ||||||
Broadcom Ltd. | 2,821 | 497,681 | ||||||
|
| |||||||
5,723,051 | ||||||||
|
| |||||||
Software – 1.5% | ||||||||
Konami Holdings Corp. | 900 | 31,837 | ||||||
Oracle Corp. | 23,630 | 974,029 | ||||||
Nintendo Co., Ltd. | 1,100 | 242,834 | ||||||
Red Hat, Inc.(b) | 1,370 | 99,983 | ||||||
salesforce.com, Inc.(b) | 4,840 | 384,393 | ||||||
Symantec Corp. | 4,620 | 111,481 | ||||||
Dassault Systemes | 1,164 | 98,279 | ||||||
Nice Ltd. | 587 | 40,200 | ||||||
Nexon Co., Ltd. | 1,450 | 19,903 | ||||||
Sage Group PLC (The) | 9,781 | 93,191 |
164 | • AB POOLING PORTFOLIOS |
AB Volatility Management Portfolio—Portfolio of Investments
Company | Shares | U.S. $ Value | ||||||
| ||||||||
Gemalto NV | 753 | $ | 52,597 | |||||
GungHo Online Entertainment, Inc.(e) | 3,533 | 8,406 | ||||||
Adobe Systems, Inc.(b) | 3,820 | 390,824 | ||||||
Autodesk, Inc.(b) | 1,680 | 113,232 | ||||||
CA, Inc. | 2,220 | 75,280 | ||||||
Electronic Arts, Inc.(b) | 2,300 | 186,829 | ||||||
Citrix Systems, Inc.(b) | 1,170 | 102,024 | ||||||
Intuit, Inc. | 1,960 | 218,442 | ||||||
SAP SE | 8,907 | 782,212 | ||||||
Microsoft Corp. | 59,720 | 3,431,511 | ||||||
Trend Micro, Inc./Japan | 1,000 | 35,505 | ||||||
Oracle Corp. Japan | 400 | 23,292 | ||||||
Activision Blizzard, Inc. | 3,830 | 158,447 | ||||||
Check Point Software Technologies Ltd.(b) | 1,189 | 91,244 | ||||||
Mobileye NV(b) | 1,590 | 77,735 | ||||||
|
| |||||||
7,843,710 | ||||||||
|
| |||||||
Technology Hardware, Storage & Peripherals – 1.2% | ||||||||
Seiko Epson Corp. | 2,500 | 47,914 | ||||||
NEC Corp. | 23,000 | 58,618 | ||||||
Ricoh Co., Ltd. | 6,000 | 54,194 | ||||||
Konica Minolta, Inc. | 4,000 | 36,135 | ||||||
Western Digital Corp. | 2,120 | 98,940 | ||||||
Seagate Technology PLC | 2,250 | 75,915 | ||||||
Apple, Inc. | 41,627 | 4,416,625 | ||||||
EMC Corp. | 14,840 | 430,212 | ||||||
Brother Industries Ltd. | 2,100 | 35,322 | ||||||
Canon, Inc. | 9,700 | 278,154 | ||||||
FUJIFILM Holdings Corp. | 4,000 | 150,521 | ||||||
NetApp, Inc. | 2,150 | 74,369 | ||||||
HP, Inc. | 12,980 | 186,523 | ||||||
Hewlett Packard Enterprise Co. | 12,630 | 271,292 | ||||||
|
| |||||||
6,214,734 | ||||||||
|
| |||||||
36,378,710 | ||||||||
|
| |||||||
Health Care – 6.6% | ||||||||
Biotechnology – 1.0% | ||||||||
AbbVie, Inc. | 12,257 | 785,674 | ||||||
Actelion Ltd. (REG)(b) | 931 | 155,171 | ||||||
Alexion Pharmaceuticals, Inc.(b) | 1,690 | 212,703 | ||||||
Amgen, Inc. | 5,700 | 969,342 | ||||||
Biogen, Inc.(b) | 1,700 | 519,571 | ||||||
Celgene Corp.(b) | 5,900 | 629,766 | ||||||
CSL Ltd. | 4,195 | 340,409 | ||||||
Genmab A/S(b) | 514 | 82,104 | ||||||
Gilead Sciences, Inc. | 10,107 | 792,187 | ||||||
Grifols SA | 2,724 | 57,715 | ||||||
Regeneron Pharmaceuticals, Inc.(b) | 600 | 235,530 | ||||||
Vertex Pharmaceuticals, Inc.(b) | 1,855 | 175,316 | ||||||
|
| |||||||
4,955,488 | ||||||||
|
|
AB POOLING PORTFOLIOS • | 165 |
AB Volatility Management Portfolio—Portfolio of Investments
Company | Shares | U.S. $ Value | ||||||
| ||||||||
Health Care Equipment & Supplies – 1.0% | ||||||||
Abbott Laboratories | 11,150 | $ | 468,523 | |||||
Baxter International, Inc. | 4,150 | 193,930 | ||||||
Becton Dickinson and Co. | 1,628 | 288,498 | ||||||
Boston Scientific Corp.(b) | 10,300 | 245,346 | ||||||
Cochlear Ltd. | 534 | 56,484 | ||||||
Coloplast A/S – Class B | 1,099 | 83,570 | ||||||
CR Bard, Inc. | 550 | 121,462 | ||||||
CYBERDYNE, Inc.(b)(e) | 839 | 13,229 | ||||||
Danaher Corp. | 4,550 | 370,415 | ||||||
DENTSPLY SIRONA, Inc. | 1,755 | 107,862 | ||||||
Edwards Lifesciences Corp.(b) | 1,600 | 184,256 | ||||||
Essilor International SA | 1,864 | 237,436 | ||||||
Getinge AB – Class B | 1,914 | 37,325 | ||||||
Hologic, Inc.(b) | 1,843 | 70,808 | ||||||
Hoya Corp. | 3,700 | 143,507 | ||||||
Intuitive Surgical, Inc.(b) | 330 | 226,519 | ||||||
Medtronic PLC | 10,681 | 929,567 | ||||||
Olympus Corp. | 2,700 | 88,470 | ||||||
Smith & Nephew PLC | 8,116 | 131,138 | ||||||
Sonova Holding AG (REG) | 486 | 67,299 | ||||||
St Jude Medical, Inc. | 2,150 | 167,528 | ||||||
Stryker Corp. | 2,400 | 277,584 | ||||||
Sysmex Corp. | 1,500 | 96,806 | ||||||
Terumo Corp. | 3,100 | 120,757 | ||||||
Varian Medical Systems, Inc.(b) | 700 | 67,291 | ||||||
William Demant Holding A/S(b) | 1,023 | 21,406 | ||||||
Zimmer Biomet Holdings, Inc. | 1,350 | 174,974 | ||||||
|
| |||||||
4,991,990 | ||||||||
|
| |||||||
Health Care Providers & Services – 0.9% | ||||||||
Aetna, Inc. | 2,659 | 311,422 | ||||||
Alfresa Holdings Corp. | 1,700 | 31,756 | ||||||
AmerisourceBergen Corp. – Class A | 1,400 | 121,758 | ||||||
Anthem, Inc. | 2,000 | 250,160 | ||||||
Cardinal Health, Inc. | 2,450 | 195,192 | ||||||
Centene Corp.(b) | 1,295 | 88,436 | ||||||
Cigna Corp. | 1,950 | 250,107 | ||||||
DaVita HealthCare Partners, Inc.(b) | 1,250 | 80,788 | ||||||
Express Scripts Holding Co.(b) | 4,783 | 347,724 | ||||||
Fresenius Medical Care AG & Co. KGaA | 1,985 | 175,465 | ||||||
Fresenius SE & Co. KGaA | 3,710 | 270,455 | ||||||
HCA Holdings, Inc.(b) | 2,268 | 171,347 | ||||||
Healthscope Ltd. | 14,488 | 33,271 | ||||||
Henry Schein, Inc.(b) | 620 | 101,550 | ||||||
Humana, Inc. | 1,150 | 205,517 | ||||||
Laboratory Corp. of America Holdings(b) | 800 | 109,544 | ||||||
McKesson Corp. | 1,700 | 313,854 | ||||||
Mediclinic International PLC | 3,448 | 46,276 | ||||||
Medipal Holdings Corp. | 1,500 | 23,757 |
166 | • AB POOLING PORTFOLIOS |
AB Volatility Management Portfolio—Portfolio of Investments
Company | Shares | U.S. $ Value | ||||||
| ||||||||
Miraca Holdings, Inc. | 500 | $ | 23,698 | |||||
Patterson Cos., Inc. | 600 | 27,600 | ||||||
Quest Diagnostics, Inc. | 1,050 | 86,961 | ||||||
Ramsay Health Care Ltd. | 1,282 | 79,824 | ||||||
Ryman Healthcare Ltd. | 3,131 | 21,802 | ||||||
Sonic Healthcare Ltd. | 3,595 | 62,058 | ||||||
Suzuken Co., Ltd./Aichi Japan | 700 | 20,325 | ||||||
UnitedHealth Group, Inc. | 7,250 | 986,362 | ||||||
Universal Health Services, Inc. – Class B | 700 | 84,371 | ||||||
|
| |||||||
4,521,380 | ||||||||
|
| |||||||
Health Care Technology – 0.0% | ||||||||
Cerner Corp.(b) | 2,250 | 145,215 | ||||||
M3, Inc. | 1,760 | 52,704 | ||||||
|
| |||||||
197,919 | ||||||||
|
| |||||||
Life Sciences Tools & Services – 0.2% | ||||||||
Agilent Technologies, Inc. | 2,450 | 115,101 | ||||||
Illumina, Inc.(b) | 1,112 | 187,194 | ||||||
Lonza Group AG (REG)(b) | 480 | 91,072 | ||||||
PerkinElmer, Inc. | 800 | 42,600 | ||||||
QIAGEN NV(b) | 2,084 | 55,092 | ||||||
Thermo Fisher Scientific, Inc. | 3,000 | 456,570 | ||||||
Waters Corp.(b) | 600 | 94,386 | ||||||
|
| |||||||
1,042,015 | ||||||||
|
| |||||||
Pharmaceuticals – 3.5% | ||||||||
Allergan PLC(b) | 3,000 | 703,620 | ||||||
Astellas Pharma, Inc. | 19,100 | 291,531 | ||||||
AstraZeneca PLC | 11,458 | 739,625 | ||||||
Bayer AG (Reg) | 7,495 | 800,099 | ||||||
Bristol-Myers Squibb Co. | 12,700 | 728,853 | ||||||
Chugai Pharmaceutical Co., Ltd. | 2,100 | 65,992 | ||||||
Daiichi Sankyo Co., Ltd. | 5,500 | 126,360 | ||||||
Eisai Co., Ltd. | 2,300 | 134,188 | ||||||
Eli Lilly & Co. | 7,400 | 575,350 | ||||||
Endo International PLC(b) | 1,526 | 31,588 | ||||||
Galenica AG (Reg) | 37 | 42,954 | ||||||
GlaxoSmithKline PLC | 44,136 | 950,038 | ||||||
Hikma Pharmaceuticals PLC | 1,355 | 38,093 | ||||||
Hisamitsu Pharmaceutical Co., Inc. | 600 | 26,872 | ||||||
Johnson & Johnson | 20,900 | 2,494,206 | ||||||
Kyowa Hakko Kirin Co., Ltd. | 2,000 | 28,389 | ||||||
Mallinckrodt PLC(b) | 805 | 60,005 | ||||||
Merck & Co., Inc. | 21,000 | 1,318,590 | ||||||
Merck KGaA | 1,172 | 123,176 | ||||||
Mitsubishi Tanabe Pharma Corp. | 2,000 | 37,127 | ||||||
Mylan NV(b) | 3,200 | 135,552 | ||||||
Novartis AG (REG) | 20,622 | 1,624,250 | ||||||
Novo Nordisk A/S – Class B | 16,823 | 787,329 | ||||||
Ono Pharmaceutical Co., Ltd. | 3,800 | 99,047 | ||||||
Orion Oyj – Class B | 983 | 37,205 |
AB POOLING PORTFOLIOS • | 167 |
AB Volatility Management Portfolio—Portfolio of Investments
Company | Shares | U.S. $ Value | ||||||
| ||||||||
Otsuka Holdings Co., Ltd. | 3,539 | $ | 153,464 | |||||
Perrigo Co. PLC | 1,089 | 99,088 | ||||||
Pfizer, Inc. | 46,057 | 1,602,784 | ||||||
Roche Holding AG | 6,368 | 1,554,429 | ||||||
Sanofi | 10,650 | 821,822 | ||||||
Santen Pharmaceutical Co., Ltd. | 3,400 | 42,801 | ||||||
Shionogi & Co., Ltd. | 2,700 | 120,576 | ||||||
Shire PLC | 8,131 | 507,793 | ||||||
Sumitomo Dainippon Pharma Co., Ltd.(e) | 1,400 | 23,448 | ||||||
Taisho Pharmaceutical Holdings Co., Ltd.(e) | 352 | 32,290 | ||||||
Takeda Pharmaceutical Co., Ltd. | 6,500 | 286,595 | ||||||
Taro Pharmaceutical Industries Ltd.(b)(e) | 161 | 20,383 | ||||||
Teva Pharmaceutical Industries Ltd. | 8,332 | 422,049 | ||||||
UCB SA | 1,146 | 94,200 | ||||||
Zoetis, Inc. | 3,464 | 177,010 | ||||||
|
| |||||||
17,958,771 | ||||||||
|
| |||||||
33,667,563 | ||||||||
|
| |||||||
Industrials – 6.3% | ||||||||
Aerospace & Defense – 1.0% | ||||||||
Airbus Group SE | 5,338 | 312,696 | ||||||
BAE Systems PLC | 28,698 | 202,794 | ||||||
Boeing Co. (The) | 4,550 | 588,998 | ||||||
Cobham PLC | 14,261 | 30,271 | ||||||
General Dynamics Corp. | 2,200 | 334,884 | ||||||
Honeywell International, Inc. | 5,800 | 676,918 | ||||||
L-3 Communications Holdings, Inc. | 600 | 89,292 | ||||||
Leonardo-Finmeccanica SpA(b) | 3,379 | 38,587 | ||||||
Lockheed Martin Corp. | 2,000 | 485,940 | ||||||
Meggitt PLC | 6,473 | 39,810 | ||||||
Northrop Grumman Corp. | 1,400 | 296,898 | ||||||
Raytheon Co. | 2,250 | 315,293 | ||||||
Rockwell Collins, Inc. | 1,000 | 83,690 | ||||||
Rolls-Royce Holdings PLC(b) | 16,663 | 168,476 | ||||||
Safran SA | 2,835 | 198,765 | ||||||
Singapore Technologies Engineering Ltd. | 14,000 | 33,141 | ||||||
Textron, Inc. | 2,000 | 81,700 | ||||||
Thales SA | 956 | 82,922 | ||||||
TransDigm Group, Inc.(b) | 441 | 125,769 | ||||||
United Technologies Corp. | 5,900 | 627,937 | ||||||
Zodiac Aerospace | 1,891 | 43,105 | ||||||
|
| |||||||
4,857,886 | ||||||||
|
| |||||||
Air Freight & Logistics – 0.3% | ||||||||
Bollore SA(e) | 7,246 | 26,230 | ||||||
CH Robinson Worldwide, Inc. | 1,100 | 76,362 | ||||||
Deutsche Post AG (REG) | 8,793 | 277,799 | ||||||
Expeditors International of Washington, Inc. | 1,350 | 68,377 | ||||||
FedEx Corp. | 1,900 | 313,367 | ||||||
Kuehne & Nagel International AG (REG) | 490 | 68,461 | ||||||
Royal Mail PLC | 7,515 | 50,712 |
168 | • AB POOLING PORTFOLIOS |
AB Volatility Management Portfolio—Portfolio of Investments
Company | Shares | U.S. $ Value | ||||||
| ||||||||
United Parcel Service, Inc. – Class B | 5,250 | $ | 573,405 | |||||
Yamato Holdings Co., Ltd. | 3,300 | 77,917 | ||||||
|
| |||||||
1,532,630 | ||||||||
|
| |||||||
Airlines – 0.2% | ||||||||
Alaska Air Group, Inc. | 918 | 61,993 | ||||||
American Airlines Group, Inc. | 4,358 | 158,195 | ||||||
ANA Holdings, Inc. | 10,000 | 27,213 | ||||||
Cathay Pacific Airways Ltd. | 10,000 | 14,371 | ||||||
Delta Air Lines, Inc. | 5,833 | 214,363 | ||||||
Deutsche Lufthansa AG (REG) | 1,939 | 22,556 | ||||||
easyJet PLC | 1,552 | 22,527 | ||||||
International Consolidated Airlines Group SA | 6,757 | 34,026 | ||||||
Japan Airlines Co., Ltd. | 1,153 | 35,192 | ||||||
Qantas Airways Ltd. | 4,305 | 10,474 | ||||||
Ryanair Holdings PLC (Sponsored ADR) | 799 | 58,015 | ||||||
Singapore Airlines Ltd. | 4,000 | 30,811 | ||||||
Southwest Airlines Co. | 4,850 | 178,868 | ||||||
United Continental Holdings, Inc.(b) | 2,525 | 127,285 | ||||||
|
| |||||||
995,889 | ||||||||
|
| |||||||
Building Products – 0.2% | ||||||||
Allegion PLC | 700 | 49,854 | ||||||
Asahi Glass Co., Ltd. | 9,000 | 57,306 | ||||||
Assa Abloy AB – Class B | 9,084 | 183,738 | ||||||
Cie de Saint-Gobain | 4,321 | 189,676 | ||||||
Daikin Industries Ltd. | 2,200 | 204,115 | ||||||
Fortune Brands Home & Security, Inc. | 1,174 | 74,619 | ||||||
Geberit AG (REG) | 343 | 149,752 | ||||||
LIXIL Group Corp. | 2,400 | 48,454 | ||||||
Masco Corp. | 2,500 | 88,700 | ||||||
TOTO Ltd. | 1,500 | 57,062 | ||||||
|
| |||||||
1,103,276 | ||||||||
|
| |||||||
Commercial Services & Supplies – 0.3% | ||||||||
Aggreko PLC | 2,432 | 32,550 | ||||||
Babcock International Group PLC | 2,105 | 28,930 | ||||||
Brambles Ltd. | 14,309 | 132,262 | ||||||
Cintas Corp. | 650 | 76,381 | ||||||
Dai Nippon Printing Co., Ltd. | 5,000 | 50,904 | ||||||
Edenred | 1,992 | 43,492 | ||||||
G4S PLC | 12,956 | 39,248 | ||||||
ISS A/S | 1,526 | 61,797 | ||||||
Park24 Co., Ltd. | 900 | 26,343 | ||||||
Pitney Bowes, Inc. | 1,400 | 26,264 | ||||||
Republic Services, Inc. – Class A | 1,800 | 90,936 | ||||||
Secom Co., Ltd. | 1,900 | 144,267 | ||||||
Securitas AB – Class B | 2,946 | 51,174 | ||||||
Societe BIC SA | 277 | 40,476 | ||||||
Sohgo Security Services Co., Ltd.(e) | 700 | 35,012 | ||||||
Stericycle, Inc.(b) | 650 | 55,887 | ||||||
Toppan Printing Co., Ltd. | 4,000 | 35,697 |
AB POOLING PORTFOLIOS • | 169 |
AB Volatility Management Portfolio—Portfolio of Investments
Company | Shares | U.S. $ Value | ||||||
| ||||||||
Tyco International PLC | 3,200 | $ | 139,776 | |||||
Waste Management, Inc. | 3,150 | 201,411 | ||||||
|
| |||||||
1,312,807 | ||||||||
|
| |||||||
Construction & Engineering – 0.2% | ||||||||
ACS Actividades de Construccion y Servicios SA | 1,605 | 45,516 | ||||||
Boskalis Westminster | 875 | 31,375 | ||||||
Bouygues SA | 1,888 | 60,015 | ||||||
CIMIC Group Ltd. | 1,022 | 22,695 | ||||||
Eiffage SA | 548 | 42,973 | ||||||
Ferrovial SA | 4,388 | 86,537 | ||||||
Fluor Corp. | 1,050 | 54,495 | ||||||
HOCHTIEF AG | 213 | 28,639 | ||||||
Jacobs Engineering Group, Inc.(b) | 900 | 47,421 | ||||||
JGC Corp. | 1,361 | 21,604 | ||||||
Kajima Corp. | 8,000 | 53,733 | ||||||
Obayashi Corp. | 6,000 | 55,423 | ||||||
Quanta Services, Inc.(b) | 1,100 | 28,303 | ||||||
Shimizu Corp. | 5,000 | 44,610 | ||||||
Skanska AB – Class B | 3,082 | 67,467 | ||||||
Taisei Corp. | 9,000 | 67,641 | ||||||
Vinci SA | 4,540 | 344,936 | ||||||
|
| |||||||
1,103,383 | ||||||||
|
| |||||||
Electrical Equipment – 0.5% | ||||||||
ABB Ltd. (REG)(b) | 17,831 | 386,788 | ||||||
Acuity Brands, Inc. | 356 | 97,943 | ||||||
AMETEK, Inc. | 1,739 | 84,776 | ||||||
Eaton Corp. PLC | 3,459 | 230,162 | ||||||
Emerson Electric Co. | 4,850 | 255,498 | ||||||
First Solar, Inc.(b)(e) | 550 | 20,801 | ||||||
Fuji Electric Co., Ltd. | 5,000 | 22,830 | ||||||
Legrand SA | 2,419 | 145,324 | ||||||
Mabuchi Motor Co., Ltd. | 500 | 26,585 | ||||||
Mitsubishi Electric Corp. | 17,000 | 222,470 | ||||||
Nidec Corp. | 2,200 | 198,528 | ||||||
OSRAM Licht AG | 837 | 43,727 | ||||||
Prysmian SpA | 1,838 | 45,408 | ||||||
Rockwell Automation, Inc. | 1,000 | 115,930 | ||||||
Schneider Electric SE (Paris) | 5,059 | 345,132 | ||||||
Vestas Wind Systems A/S | 2,031 | 168,582 | ||||||
|
| |||||||
2,410,484 | ||||||||
|
| |||||||
Industrial Conglomerates – 1.0% | ||||||||
3M Co. | 4,600 | 824,504 | ||||||
CK Hutchison Holdings Ltd. | 24,304 | 311,831 | ||||||
DCC PLC | 803 | 73,082 | ||||||
General Electric Co. | 69,879 | 2,183,020 | ||||||
Jardine Matheson Holdings Ltd. | 2,500 | 149,530 | ||||||
Keihan Holdings Co., Ltd. | 4,000 | 25,963 | ||||||
Keppel Corp., Ltd. | 13,000 | 49,289 |
170 | • AB POOLING PORTFOLIOS |
AB Volatility Management Portfolio—Portfolio of Investments
Company | Shares | U.S. $ Value | ||||||
| ||||||||
Koninklijke Philips NV | 8,439 | $ | 244,678 | |||||
NWS Holdings Ltd. | 13,000 | 23,192 | ||||||
Roper Technologies, Inc. | 800 | 142,040 | ||||||
Seibu Holdings, Inc.(e) | 1,428 | 23,489 | ||||||
Sembcorp Industries Ltd.(e) | 8,000 | 15,916 | ||||||
Siemens AG (REG) | 6,933 | 827,084 | ||||||
Smiths Group PLC | 3,600 | 63,411 | ||||||
Toshiba Corp.(b) | 36,000 | 114,070 | ||||||
|
| |||||||
5,071,099 | ||||||||
|
| |||||||
Industrial Warehouse Distribution – 0.4% | ||||||||
Ascendas Real Estate Investment Trust | 65,350 | 117,442 | ||||||
Daiwa House REIT Investment Corp.(b)(c)(d) | 7 | 43,432 | ||||||
DCT Industrial Trust, Inc. | 1,940 | 94,497 | ||||||
Duke Realty Corp. | 7,388 | 207,751 | ||||||
EastGroup Properties, Inc. | 683 | 50,119 | ||||||
First Industrial Realty Trust, Inc. | 2,460 | 70,774 | ||||||
GLP J-Reit(e) | 47 | 58,307 | ||||||
Hansteen Holdings PLC(e) | 15,953 | 24,259 | ||||||
Industrial & Infrastructure Fund Investment Corp. | 7 | 34,872 | ||||||
Japan Logistics Fund, Inc. | 18 | 41,045 | ||||||
Mapletree Industrial Trust | 27,012 | 35,278 | ||||||
Mapletree Logistics Trust(e) | 31,285 | 24,547 | ||||||
Nippon Prologis REIT, Inc.(e) | 45 | 107,978 | ||||||
Prologis, Inc. | 15,235 | 809,131 | ||||||
Pure Industrial Real Estate Trust | 4,060 | 17,028 | ||||||
Rexford Industrial Realty, Inc. | 1,350 | 30,145 | ||||||
Segro PLC | 22,408 | 133,382 | ||||||
STAG Industrial, Inc. | 1,435 | 35,631 | ||||||
Terreno Realty Corp. | 900 | 24,084 | ||||||
Tritax Big Box REIT PLC | 17,977 | 34,116 | ||||||
Warehouses De Pauw CVA | 311 | 30,476 | ||||||
|
| |||||||
2,024,294 | ||||||||
|
| |||||||
Machinery – 0.9% | ||||||||
Alfa Laval AB | 2,767 | 42,962 | ||||||
Alstom SA(b) | 1,488 | 39,438 | ||||||
Amada Holdings Co., Ltd. | 3,000 | 31,395 | ||||||
ANDRITZ AG | 710 | 36,259 | ||||||
Atlas Copco AB – Class A | 6,086 | 172,495 | ||||||
Atlas Copco AB – Class B | 3,537 | 90,834 | ||||||
Caterpillar, Inc. | 4,450 | 364,677 | ||||||
CNH Industrial NV | 9,212 | 67,364 | ||||||
Cummins, Inc. | 1,200 | 150,732 | ||||||
Deere & Co. | 2,250 | 190,238 | ||||||
Dover Corp. | 1,150 | 83,375 | ||||||
FANUC Corp. | 1,800 | 306,715 | ||||||
Flowserve Corp. | 950 | 45,952 | ||||||
Fortive Corp. | 2,275 | 119,824 | ||||||
GEA Group AG | 1,658 | 88,831 |
AB POOLING PORTFOLIOS • | 171 |
AB Volatility Management Portfolio—Portfolio of Investments
Company | Shares | U.S. $ Value | ||||||
| ||||||||
Hino Motors Ltd. | 2,000 | $ | 22,212 | |||||
Hitachi Construction Machinery Co., Ltd. | 1,000 | 18,751 | ||||||
Hoshizaki Corp. | 500 | 40,043 | ||||||
IHI Corp. | 13,000 | 39,824 | ||||||
Illinois Tool Works, Inc. | 2,450 | 291,182 | ||||||
IMI PLC | 2,271 | 31,517 | ||||||
Ingersoll-Rand PLC | 1,950 | 132,581 | ||||||
JTEKT Corp. | 2,000 | 31,175 | ||||||
Kawasaki Heavy Industries Ltd. | 12,000 | 35,221 | ||||||
Komatsu Ltd. | 8,400 | 183,817 | ||||||
Kone Oyj – Class B | 3,054 | 153,370 | ||||||
Kubota Corp. | 9,000 | 132,324 | ||||||
Kurita Water Industries Ltd. | 900 | 20,524 | ||||||
Makita Corp. | 1,100 | 79,045 | ||||||
MAN SE | 344 | 35,764 | ||||||
Metso Oyj | 1,152 | 32,249 | ||||||
Minebea Co., Ltd. | 3,000 | 30,503 | ||||||
Mitsubishi Heavy Industries Ltd. | 29,000 | 126,529 | ||||||
Nabtesco Corp. | 1,000 | 25,803 | ||||||
NGK Insulators Ltd. | 2,000 | 43,497 | ||||||
NSK Ltd. | 3,000 | 31,018 | ||||||
PACCAR, Inc. | 2,650 | 158,576 | ||||||
Parker-Hannifin Corp. | 1,050 | 128,657 | ||||||
Pentair PLC | 1,384 | 88,645 | ||||||
Sandvik AB | 9,663 | 104,819 | ||||||
Schindler Holding AG | 401 | 75,529 | ||||||
Schindler Holding AG (REG) | 199 | 37,621 | ||||||
Sembcorp Marine Ltd.(e) | 7,000 | 6,528 | ||||||
SKF AB – Class B | 3,608 | 60,748 | ||||||
SMC Corp./Japan | 600 | 169,213 | ||||||
Snap-on, Inc. | 450 | 68,981 | ||||||
Stanley Black & Decker, Inc. | 1,150 | 142,313 | ||||||
Sumitomo Heavy Industries Ltd. | 5,000 | 24,595 | ||||||
THK Co., Ltd. | 1,100 | 21,600 | ||||||
Volvo AB – Class B | 13,972 | 149,985 | ||||||
Wartsila Oyj Abp | 1,353 | 55,677 | ||||||
Weir Group PLC (The) | 2,040 | 40,392 | ||||||
Xylem, Inc./NY | 1,350 | 68,661 | ||||||
Yangzijiang Shipbuilding Holdings Ltd. | 16,000 | 8,970 | ||||||
Zardoya Otis SA(e) | 1,511 | 14,242 | ||||||
|
| |||||||
4,793,792 | ||||||||
|
| |||||||
Marine – 0.0% | ||||||||
AP Moeller – Maersk A/S – Class A | 37 | 52,800 | ||||||
AP Moeller – Maersk A/S – Class B | 59 | 88,262 | ||||||
Mitsui OSK Lines Ltd.(e) | 10,000 | 23,155 | ||||||
Nippon Yusen KK | 14,000 | 25,529 | ||||||
|
| |||||||
189,746 | ||||||||
|
| |||||||
Mixed Office Industrial – 0.1% | ||||||||
Artis Real Estate Investment Trust | 2,880 | 27,803 | ||||||
Axiare Patrimonio SOCIMI SA | 1,260 | 16,235 |
172 | • AB POOLING PORTFOLIOS |
AB Volatility Management Portfolio—Portfolio of Investments
Company | Shares | U.S. $ Value | ||||||
| ||||||||
Goodman Group | 54,279 | $ | 309,065 | |||||
Gramercy Property Trust | 8,952 | 86,656 | ||||||
Intervest Offices & Warehouses NV | 280 | 7,738 | ||||||
Kungsleden AB | 3,904 | 30,203 | ||||||
Regional REIT Ltd.(a) | 4,550 | 6,124 | ||||||
|
| |||||||
483,824 | ||||||||
|
| |||||||
Professional Services – 0.3% | ||||||||
Adecco Group AG (REG) | 1,503 | 86,587 | ||||||
Bureau Veritas SA | 2,444 | 52,511 | ||||||
Capita PLC | 6,023 | 81,912 | ||||||
Dun & Bradstreet Corp. (The) | 300 | 41,295 | ||||||
Equifax, Inc. | 900 | 118,710 | ||||||
Experian PLC | 8,698 | 172,968 | ||||||
Intertek Group PLC | 1,463 | 67,086 | ||||||
Nielsen Holdings PLC | 2,738 | 145,881 | ||||||
Randstad Holding NV | 1,092 | 51,665 | ||||||
Recruit Holdings Co., Ltd. | 2,562 | 97,545 | ||||||
RELX NV | 9,016 | 159,926 | ||||||
RELX PLC | 10,034 | 190,476 | ||||||
Robert Half International, Inc. | 950 | 36,414 | ||||||
SEEK Ltd. | 2,732 | 32,950 | ||||||
SGS SA (REG) | 50 | 109,975 | ||||||
Verisk Analytics, Inc. – Class A(b) | 1,190 | 98,830 | ||||||
Wolters Kluwer NV | 2,736 | 115,095 | ||||||
|
| |||||||
1,659,826 | ||||||||
|
| |||||||
Road & Rail – 0.5% | ||||||||
Aurizon Holdings Ltd. | 18,971 | 62,500 | ||||||
Central Japan Railway Co. | 1,307 | 214,925 | ||||||
ComfortDelGro Corp., Ltd. | 19,000 | 39,415 | ||||||
CSX Corp. | 7,250 | 205,030 | ||||||
DSV A/S | 1,745 | 86,559 | ||||||
East Japan Railway Co. | 3,100 | 266,215 | ||||||
Hankyu Hanshin Holdings, Inc. | 2,000 | 64,604 | ||||||
JB Hunt Transport Services, Inc. | 682 | 54,144 | ||||||
Kansas City Southern | 800 | 77,376 | ||||||
Keikyu Corp.(e) | 4,000 | 37,081 | ||||||
Keio Corp. | 5,000 | 41,880 | ||||||
Keisei Electric Railway Co., Ltd.(e) | 2,000 | 24,045 | ||||||
Kintetsu Group Holdings Co., Ltd. | 16,000 | 60,988 | ||||||
MTR Corp., Ltd. | 13,000 | 70,985 | ||||||
Nagoya Railroad Co., Ltd.(e) | 8,000 | 39,227 | ||||||
Nippon Express Co., Ltd. | 7,000 | 33,223 | ||||||
Norfolk Southern Corp. | 2,250 | 211,275 | ||||||
Odakyu Electric Railway Co., Ltd.(e) | 5,000 | 51,359 | ||||||
Ryder System, Inc. | 400 | 26,208 | ||||||
Tobu Railway Co., Ltd.(e) | 8,000 | 38,848 | ||||||
Tokyu Corp. | 9,000 | 67,197 | ||||||
Union Pacific Corp. | 6,400 | 611,392 | ||||||
West Japan Railway Co. | 1,493 | 85,556 | ||||||
|
| |||||||
2,470,032 | ||||||||
|
|
AB POOLING PORTFOLIOS • | 173 |
AB Volatility Management Portfolio—Portfolio of Investments
Company | Shares | U.S. $ Value | ||||||
| ||||||||
Trading Companies & Distributors – 0.3% | ||||||||
AerCap Holdings NV(b) | 1,553 | $ | 62,073 | |||||
Ashtead Group PLC | 4,562 | 75,809 | ||||||
Brenntag AG | 1,401 | 76,181 | ||||||
Bunzl PLC | 3,038 | 94,108 | ||||||
Fastenal Co.(e) | 2,150 | 92,687 | ||||||
ITOCHU Corp. | 13,000 | 153,516 | ||||||
Marubeni Corp. | 14,000 | 69,864 | ||||||
Mitsubishi Corp. | 13,700 | 285,457 | ||||||
Mitsui & Co., Ltd. | 15,400 | 205,051 | ||||||
Noble Group Ltd.(b) | 36,000 | 3,132 | ||||||
Rexel SA | 2,873 | 46,280 | ||||||
Sumitomo Corp. | 10,700 | 116,103 | ||||||
Toyota Tsusho Corp. | 1,900 | 43,508 | ||||||
Travis Perkins PLC | 2,270 | 49,635 | ||||||
United Rentals, Inc.(b) | 650 | 53,502 | ||||||
Wolseley PLC | 2,314 | 133,084 | ||||||
WW Grainger, Inc.(e) | 450 | 103,797 | ||||||
|
| |||||||
1,663,787 | ||||||||
|
| |||||||
Transportation Infrastructure – 0.1% | ||||||||
Abertis Infraestructuras SA | 4,936 | 76,468 | ||||||
Aena SA(a) | 612 | 86,506 | ||||||
Aeroports de Paris | 292 | 30,168 | ||||||
Atlantia SpA | 3,742 | 96,276 | ||||||
Auckland International Airport Ltd. | 7,954 | 43,262 | ||||||
Fraport AG Frankfurt Airport Services Worldwide | 439 | 24,464 | ||||||
Groupe Eurotunnel SE (REG) | 4,297 | 47,328 | ||||||
Hutchison Port Holdings Trust – Class U | 43,600 | 18,727 | ||||||
Japan Airport Terminal Co., Ltd.(e) | 400 | 15,804 | ||||||
Kamigumi Co., Ltd. | 2,039 | 17,679 | ||||||
Mitsubishi Logistics Corp. | 1,000 | 15,429 | ||||||
Sydney Airport | 9,122 | 49,850 | ||||||
Transurban Group | 18,447 | 158,700 | ||||||
|
| |||||||
680,661 | ||||||||
|
| |||||||
32,353,416 | ||||||||
|
| |||||||
Consumer Discretionary – 6.1% | ||||||||
Auto Components – 0.4% | ||||||||
Aisin Seiki Co., Ltd. | 1,800 | 85,145 | ||||||
BorgWarner, Inc. | 1,650 | 56,743 | ||||||
Bridgestone Corp. | 5,900 | 202,918 | ||||||
Cie Generale des Etablissements Michelin – Class B | 1,649 | 175,777 | ||||||
Continental AG | 997 | 208,597 | ||||||
Delphi Automotive PLC | 2,071 | 146,337 | ||||||
Denso Corp. | 4,400 | 182,358 | ||||||
GKN PLC | 15,533 | 63,404 | ||||||
Goodyear Tire & Rubber Co. (The) | 2,000 | 58,700 | ||||||
Johnson Controls, Inc. | 4,900 | 215,012 |
174 | • AB POOLING PORTFOLIOS |
AB Volatility Management Portfolio—Portfolio of Investments
Company | Shares | U.S. $ Value | ||||||
| ||||||||
Koito Manufacturing Co., Ltd. | 1,000 | $ | 47,743 | |||||
NGK Spark Plug Co., Ltd. | 2,000 | 37,556 | ||||||
NHK Spring Co., Ltd. | 1,000 | 9,439 | ||||||
NOK Corp. | 900 | 18,327 | ||||||
Nokian Renkaat Oyj | 1,091 | 39,388 | ||||||
Schaeffler AG (Preference Shares) | 1,386 | 21,439 | ||||||
Stanley Electric Co., Ltd. | 1,400 | 35,837 | ||||||
Sumitomo Electric Industries Ltd. | 6,800 | 101,004 | ||||||
Sumitomo Rubber Industries Ltd. | 1,500 | 22,299 | ||||||
Toyoda Gosei Co., Ltd. | 600 | 13,849 | ||||||
Toyota Industries Corp.(e) | 1,500 | 71,957 | ||||||
Valeo SA | 2,161 | 112,236 | ||||||
Yokohama Rubber Co., Ltd. (The) | 500 | 8,137 | ||||||
|
| |||||||
1,934,202 | ||||||||
|
| |||||||
Automobiles – 1.0% | ||||||||
Bayerische Motoren Werke AG | 3,001 | 260,765 | ||||||
Bayerische Motoren Werke AG (Preference Shares) | 526 | 39,368 | ||||||
Daimler AG (REG) | 8,726 | 604,022 | ||||||
Ferrari NV | 1,144 | 55,181 | ||||||
Fiat Chrysler Automobiles NV | 7,510 | 51,942 | ||||||
Ford Motor Co. | 29,650 | 373,590 | ||||||
Fuji Heavy Industries Ltd. | 6,000 | 238,813 | ||||||
General Motors Co. | 10,615 | 338,831 | ||||||
Harley-Davidson, Inc. | 1,350 | 71,145 | ||||||
Honda Motor Co., Ltd. | 14,800 | 455,931 | ||||||
Isuzu Motors Ltd. | 5,500 | 63,436 | ||||||
Mazda Motor Corp. | 5,400 | 89,559 | ||||||
Mitsubishi Motors Corp. | 5,300 | 24,235 | ||||||
Nissan Motor Co., Ltd. | 22,500 | 221,074 | ||||||
Peugeot SA(b) | 4,397 | 65,088 | ||||||
Porsche Automobil Holding SE (Preference Shares) | 1,388 | 70,132 | ||||||
Renault SA | 1,742 | 143,058 | ||||||
Suzuki Motor Corp. | 3,300 | 109,752 | ||||||
Toyota Motor Corp. | 24,700 | 1,492,755 | ||||||
Volkswagen AG | 305 | 44,153 | ||||||
Volkswagen AG (Preference Shares) | 1,682 | 232,796 | ||||||
Yamaha Motor Co., Ltd. | 2,500 | 51,368 | ||||||
|
| |||||||
5,096,994 | ||||||||
|
| |||||||
Distributors – 0.0% | ||||||||
Genuine Parts Co. | 1,140 | 117,215 | ||||||
Jardine Cycle & Carriage Ltd. | 1,000 | 31,121 | ||||||
LKQ Corp.(b) | 2,314 | 83,512 | ||||||
|
| |||||||
231,848 | ||||||||
|
| |||||||
Diversified Consumer Services – 0.0% | ||||||||
Benesse Holdings, Inc.(e) | 600 | 13,841 | ||||||
H&R Block, Inc. | 1,700 | 36,822 | ||||||
|
| |||||||
50,663 | ||||||||
|
|
AB POOLING PORTFOLIOS • | 175 |
AB Volatility Management Portfolio—Portfolio of Investments
Company | Shares | U.S. $ Value | ||||||
| ||||||||
Hotels, Restaurants & Leisure – 0.8% | ||||||||
Accor SA | 1,600 | $ | 60,554 | |||||
Aristocrat Leisure Ltd. | 4,522 | 51,247 | ||||||
Carnival Corp. | 3,300 | 157,740 | ||||||
Carnival PLC | 1,718 | 82,597 | ||||||
Chipotle Mexican Grill, Inc. – Class A(b)(e) | 250 | 103,433 | ||||||
Compass Group PLC | 14,901 | 282,038 | ||||||
Crown Resorts Ltd. | 3,041 | 29,963 | ||||||
Darden Restaurants, Inc. | 850 | 52,394 | ||||||
Domino’s Pizza Enterprises Ltd. | 611 | 34,692 | ||||||
Flight Centre Travel Group Ltd.(e) | 464 | 12,833 | ||||||
Galaxy Entertainment Group Ltd. | 21,200 | 68,823 | ||||||
Genting Singapore PLC | 54,000 | 28,501 | ||||||
InterContinental Hotels Group PLC | 1,694 | 72,566 | ||||||
Marriott International, Inc./MD – Class A(e) | 1,450 | 103,429 | ||||||
McDonald’s Corp. | 6,700 | 774,922 | ||||||
McDonald’s Holdings Co. Japan Ltd.(e) | 600 | 16,567 | ||||||
Melco Crown Entertainment Ltd. (ADR) | 1,589 | 20,625 | ||||||
Merlin Entertainments PLC(a) | 5,925 | 37,362 | ||||||
MGM China Holdings Ltd. | 7,900 | 12,131 | ||||||
Oriental Land Co., Ltd./Japan | 2,000 | 117,187 | ||||||
Paddy Power Betfair PLC | 721 | 86,381 | ||||||
Royal Caribbean Cruises Ltd. | 1,274 | 90,594 | ||||||
Sands China Ltd. | 21,900 | 85,857 | ||||||
Shangri-La Asia Ltd. | 10,000 | 10,817 | ||||||
SJM Holdings Ltd. | 16,500 | 10,351 | ||||||
Sodexo SA | 788 | 91,478 | ||||||
Starbucks Corp. | 11,100 | 624,153 | ||||||
Starwood Hotels & Resorts Worldwide, Inc. | 1,250 | 96,825 | ||||||
Tabcorp Holdings Ltd. | 6,943 | 25,895 | ||||||
Tatts Group Ltd. | 12,229 | 34,972 | ||||||
TUI AG | 4,520 | 63,126 | ||||||
Whitbread PLC | 1,654 | 90,614 | ||||||
William Hill PLC | 7,386 | 30,888 | ||||||
Wyndham Worldwide Corp. | 850 | 60,172 | ||||||
Wynn Macau Ltd.(e) | 13,000 | 18,053 | ||||||
Wynn Resorts Ltd.(e) | 600 | 53,592 | ||||||
Yum! Brands, Inc. | 3,100 | 281,201 | ||||||
|
| |||||||
3,874,573 | ||||||||
|
| |||||||
Household Durables – 0.4% | ||||||||
Auto Trader Group PLC(a) | 8,359 | 40,949 | ||||||
Barratt Developments PLC | 9,083 | 58,927 | ||||||
Berkeley Group Holdings PLC | 1,191 | 41,788 | ||||||
Casio Computer Co., Ltd. | 2,100 | 29,717 | ||||||
DR Horton, Inc. | 2,500 | 80,150 | ||||||
Electrolux AB – Class B | 2,189 | 57,037 | ||||||
Garmin Ltd. | 880 | 43,190 | ||||||
Harman International Industries, Inc. | 550 | 46,580 | ||||||
Husqvarna AB – Class B | 3,476 | 30,026 | ||||||
Iida Group Holdings Co., Ltd. | 1,470 | 27,585 |
176 | • AB POOLING PORTFOLIOS |
AB Volatility Management Portfolio—Portfolio of Investments
Company | Shares | U.S. $ Value | ||||||
| ||||||||
Leggett & Platt, Inc. | 1,000 | $ | 52,480 | |||||
Lennar Corp. – Class A(e) | 1,350 | 63,855 | ||||||
Mohawk Industries, Inc.(b) | 500 | 106,390 | ||||||
Newell Brands, Inc. | 3,449 | 183,073 | ||||||
Nikon Corp.(e) | 3,100 | 45,586 | ||||||
Panasonic Corp. | 20,000 | 205,683 | ||||||
Persimmon PLC | 2,788 | 66,786 | ||||||
PulteGroup, Inc. | 2,350 | 50,220 | ||||||
Rinnai Corp. | 300 | 28,159 | ||||||
Sekisui Chemical Co., Ltd. | 4,000 | 56,007 | ||||||
Sekisui House Ltd. | 5,000 | 80,669 | ||||||
Sharp Corp./Japan(b)(e) | 13,744 | 18,834 | ||||||
Sony Corp. | 11,500 | 369,806 | ||||||
Taylor Wimpey PLC | 29,537 | 62,582 | ||||||
Techtronic Industries Co., Ltd. | 11,400 | 46,178 | ||||||
Whirlpool Corp. | 600 | 107,184 | ||||||
|
| |||||||
1,999,441 | ||||||||
|
| |||||||
Internet & Direct Marketing Retail – 0.7% | ||||||||
Amazon.com, Inc.(b) | 2,970 | 2,284,405 | ||||||
Expedia, Inc. | 890 | 97,117 | ||||||
Netflix, Inc.(b) | 3,270 | 318,661 | ||||||
Priceline Group, Inc. (The)(b) | 410 | 580,859 | ||||||
Rakuten, Inc. | 8,427 | 106,389 | ||||||
Start Today Co., Ltd. | 593 | 27,521 | ||||||
TripAdvisor, Inc.(b) | 850 | 51,850 | ||||||
Zalando SE(a)(b) | 891 | 34,022 | ||||||
|
| |||||||
3,500,824 | ||||||||
|
| |||||||
Leisure Products – 0.1% | ||||||||
Bandai Namco Holdings, Inc. | 1,800 | 49,202 | ||||||
Hasbro, Inc. | 850 | 69,479 | ||||||
Mattel, Inc. | 2,550 | 84,482 | ||||||
Sankyo Co., Ltd. | 400 | 13,898 | ||||||
Sega Sammy Holdings, Inc. | 1,700 | 23,261 | ||||||
Shimano, Inc. | 700 | 101,972 | ||||||
Yamaha Corp. | 1,500 | 48,730 | ||||||
|
| |||||||
391,024 | ||||||||
|
| |||||||
Media – 1.0% | ||||||||
Altice NV – Class A(b) | 3,402 | 56,828 | ||||||
Altice NV – Class B(b) | 912 | 15,215 | ||||||
Axel Springer SE | 451 | 22,955 | ||||||
CBS Corp. – Class B | 3,150 | 160,744 | ||||||
Comcast Corp. – Class A | 18,343 | 1,197,064 | ||||||
Dentsu, Inc. | 2,000 | 110,153 | ||||||
Discovery Communications, Inc. – Class A(b) | 1,100 | 28,061 | ||||||
Discovery Communications, Inc. – Class C(b) | 1,800 | 44,676 | ||||||
Eutelsat Communications SA | 1,690 | 32,923 | ||||||
Hakuhodo DY Holdings, Inc. | 1,930 | 21,002 | ||||||
Interpublic Group of Cos., Inc. (The) | 3,050 | 70,577 |
AB POOLING PORTFOLIOS • | 177 |
AB Volatility Management Portfolio—Portfolio of Investments
Company | Shares | U.S. $ Value | ||||||
| ||||||||
ITV PLC | 32,885 | $ | 86,638 | |||||
JCDecaux SA | 748 | 25,768 | ||||||
Lagardere SCA | 1,200 | 29,323 | ||||||
News Corp. – Class A | 2,875 | 40,423 | ||||||
News Corp. – Class B | 802 | 11,573 | ||||||
Omnicom Group, Inc. | 1,800 | 155,034 | ||||||
Pearson PLC | 7,446 | 84,674 | ||||||
ProSiebenSat.1 Media SE | 1,983 | 85,559 | ||||||
Publicis Groupe SA | 1,715 | 127,582 | ||||||
REA Group Ltd. | 557 | 24,489 | ||||||
RTL Group SA (London)(b) | 380 | 32,030 | ||||||
Schibsted ASA(e) | 798 | 25,286 | ||||||
Schibsted ASA – Class B | 919 | 26,547 | ||||||
Scripps Networks Interactive, Inc. – Class A | 700 | 44,359 | ||||||
SES SA | 3,301 | 75,923 | ||||||
Singapore Press Holdings Ltd.(e) | 14,000 | 38,695 | ||||||
Sky PLC | 9,357 | 104,308 | ||||||
TEGNA, Inc. | 1,650 | 33,429 | ||||||
Telenet Group Holding NV(b) | 550 | 25,817 | ||||||
Time Warner, Inc. | 5,950 | 466,539 | ||||||
Toho Co., Ltd./Tokyo(e) | 1,000 | 29,164 | ||||||
Twenty-First Century Fox, Inc. – Class A | 8,314 | 204,026 | ||||||
Twenty-First Century Fox, Inc. – Class B | 3,257 | 80,936 | ||||||
Viacom, Inc. – Class B | 2,600 | 104,884 | ||||||
Vivendi SA | 10,541 | 204,166 | ||||||
Walt Disney Co. (The) | 11,338 | 1,070,987 | ||||||
WPP PLC | 11,734 | 270,914 | ||||||
|
| |||||||
5,269,271 | ||||||||
|
| |||||||
Multiline Retail – 0.2% | ||||||||
Dollar General Corp. | 2,180 | 160,034 | ||||||
Dollar Tree, Inc.(b) | 1,767 | 146,131 | ||||||
Don Quijote Holdings Co., Ltd. | 1,100 | 35,954 | ||||||
Harvey Norman Holdings Ltd. | 4,640 | 18,729 | ||||||
Isetan Mitsukoshi Holdings Ltd. | 3,000 | 27,368 | ||||||
J Front Retailing Co., Ltd.(e) | 2,000 | 22,615 | ||||||
Kohl’s Corp. | 1,360 | 60,357 | ||||||
Macy’s, Inc. | 2,310 | 83,576 | ||||||
Marks & Spencer Group PLC | 14,701 | 66,497 | ||||||
Marui Group Co., Ltd. | 1,900 | 23,171 | ||||||
Next PLC | 1,298 | 94,199 | ||||||
Nordstrom, Inc.(e) | 970 | 48,946 | ||||||
Ryohin Keikaku Co., Ltd. | 237 | 42,791 | ||||||
Takashimaya Co., Ltd.(e) | 2,392 | 17,522 | ||||||
Target Corp. | 4,470 | 313,749 | ||||||
|
| |||||||
1,161,639 | ||||||||
|
| |||||||
Specialty Retail – 0.9% | ||||||||
ABC-Mart, Inc. | 300 | 18,860 | ||||||
Advance Auto Parts, Inc. | 558 | 87,818 | ||||||
AutoNation, Inc.(b) | 530 | 25,096 |
178 | • AB POOLING PORTFOLIOS |
AB Volatility Management Portfolio—Portfolio of Investments
Company | Shares | U.S. $ Value | ||||||
| ||||||||
AutoZone, Inc.(b) | 260 | $ | 192,868 | |||||
Bed Bath & Beyond, Inc. | 1,150 | 53,326 | ||||||
Best Buy Co., Inc. | 2,140 | 82,347 | ||||||
CarMax, Inc.(b)(e) | 1,470 | 86,656 | ||||||
Dixons Carphone PLC | 8,172 | 39,776 | ||||||
Dufry AG (REG)(b) | 422 | 49,378 | ||||||
Fast Retailing Co., Ltd. | 500 | 175,705 | ||||||
Foot Locker, Inc. | 1,006 | 66,034 | ||||||
Gap, Inc. (The) | 1,690 | 42,030 | ||||||
Hennes & Mauritz AB – Class B | 8,605 | 261,926 | ||||||
Hikari Tsushin, Inc. | 200 | 17,985 | ||||||
Home Depot, Inc. (The) | 9,440 | 1,266,093 | ||||||
Industria de Diseno Textil SA | 9,886 | 350,411 | ||||||
Kingfisher PLC | 20,670 | 100,809 | ||||||
L Brands, Inc. | 1,900 | 144,799 | ||||||
Lowe’s Cos., Inc. | 6,740 | 516,014 | ||||||
Nitori Holdings Co., Ltd. | 750 | 75,918 | ||||||
O’Reilly Automotive, Inc.(b) | 730 | 204,363 | ||||||
Ross Stores, Inc. | 3,020 | 187,965 | ||||||
Shimamura Co., Ltd. | 200 | 23,152 | ||||||
Signet Jewelers Ltd. | 606 | 49,680 | ||||||
Staples, Inc. | 4,890 | 41,858 | ||||||
Tiffany & Co.(e) | 820 | 58,523 | ||||||
TJX Cos., Inc. (The) | 5,020 | 388,749 | ||||||
Tractor Supply Co. | 1,023 | 85,881 | ||||||
Ulta Salon Cosmetics & Fragrance, Inc.(b) | 514 | 127,066 | ||||||
Urban Outfitters, Inc.(b) | 630 | 22,586 | ||||||
USS Co., Ltd. | 1,990 | 31,840 | ||||||
Yamada Denki Co., Ltd. | 5,690 | 26,619 | ||||||
|
| |||||||
4,902,131 | ||||||||
|
| |||||||
Textiles, Apparel & Luxury Goods – 0.6% | ||||||||
adidas AG | 1,707 | 283,717 | ||||||
Asics Corp. | 1,000 | 20,299 | ||||||
Burberry Group PLC | 4,033 | 69,109 | ||||||
Christian Dior SE | 495 | 85,779 | ||||||
Cie Financiere Richemont SA | 4,731 | 272,698 | ||||||
Coach, Inc. | 2,100 | 80,178 | ||||||
Hanesbrands, Inc. | 2,845 | 75,506 | ||||||
Hermes International | 240 | 101,537 | ||||||
HUGO BOSS AG | 640 | 39,011 | ||||||
Kering | 687 | 130,541 | ||||||
Li & Fung Ltd.(e) | 52,000 | 26,701 | ||||||
Luxottica Group SpA | 1,534 | 74,048 | ||||||
LVMH Moet Hennessy Louis Vuitton SE | 2,527 | 427,590 | ||||||
Michael Kors Holdings Ltd.(b) | 1,310 | 64,125 | ||||||
NIKE, Inc. – Class B | 10,100 | 582,164 | ||||||
Pandora A/S | 1,053 | 131,120 | ||||||
PVH Corp. | 611 | 65,841 | ||||||
Ralph Lauren Corp. | 450 | 46,629 | ||||||
Swatch Group AG (The) | 280 | 72,124 |
AB POOLING PORTFOLIOS • | 179 |
AB Volatility Management Portfolio—Portfolio of Investments
Company | Shares | U.S. $ Value | ||||||
| ||||||||
Swatch Group AG (The) (REG) | 499 | $ | 25,360 | |||||
Under Armour, Inc. – Class A(b)(e) | 1,375 | 54,491 | ||||||
Under Armour, Inc. – Class C(b) | 1,403 | 50,017 | ||||||
VF Corp. | 2,500 | 155,125 | ||||||
Yue Yuen Industrial Holdings Ltd. | 6,500 | 27,631 | ||||||
|
| |||||||
2,961,341 | ||||||||
|
| |||||||
31,373,951 | ||||||||
|
| |||||||
Consumer Staples – 5.5% | ||||||||
Beverages – 1.2% | ||||||||
Anheuser-Busch InBev SA/NV | 7,288 | 904,234 | ||||||
Asahi Group Holdings Ltd. | 3,500 | 114,515 | ||||||
Brown-Forman Corp. – Class B | 1,500 | 72,825 | ||||||
Carlsberg A/S – Class B | 970 | 91,055 | ||||||
Coca-Cola Amatil Ltd. | 4,782 | 35,090 | ||||||
Coca-Cola Co. (The) | 29,550 | 1,283,357 | ||||||
Coca-Cola European Partners PLC(b) | 1,963 | 75,753 | ||||||
Coca-Cola HBC AG(b) | 1,750 | 38,509 | ||||||
Constellation Brands, Inc. – Class A | 1,350 | 221,468 | ||||||
Diageo PLC | 22,806 | 632,066 | ||||||
Dr Pepper Snapple Group, Inc. | 1,400 | 131,180 | ||||||
Heineken Holding NV | 914 | 73,678 | ||||||
Heineken NV | 2,088 | 187,004 | ||||||
Kirin Holdings Co., Ltd. | 7,000 | 114,071 | ||||||
Molson Coors Brewing Co. – Class B | 1,400 | 143,248 | ||||||
Monster Beverage Corp.(b) | 1,060 | 163,123 | ||||||
PepsiCo, Inc. | 11,000 | 1,174,250 | ||||||
Pernod Ricard SA | 1,925 | 221,499 | ||||||
Remy Cointreau SA | 244 | 21,322 | ||||||
SABMiller PLC (London) | 8,814 | 509,279 | ||||||
Suntory Beverage & Food Ltd. | 1,267 | 50,336 | ||||||
Treasury Wine Estates Ltd. | 6,163 | 51,893 | ||||||
|
| |||||||
6,309,755 | ||||||||
|
| |||||||
Food & Staples Retailing – 1.0% | ||||||||
Aeon Co., Ltd.(e) | 5,900 | 81,133 | ||||||
Carrefour SA | 5,020 | 126,673 | ||||||
Casino Guichard Perrachon SA | 561 | 27,807 | ||||||
Colruyt SA | 645 | 35,427 | ||||||
Costco Wholesale Corp. | 3,350 | 543,002 | ||||||
CVS Health Corp. | 8,150 | 761,210 | ||||||
Distribuidora Internacional de Alimentacion SA | 5,197 | 31,743 | ||||||
FamilyMart Co., Ltd.(e) | 500 | 35,840 | ||||||
ICA Gruppen AB(e) | 823 | 28,133 | ||||||
J Sainsbury PLC | 11,245 | 35,486 | ||||||
Jeronimo Martins SGPS SA | 2,415 | 39,047 | ||||||
Koninklijke Ahold Delhaize NV | 11,605 | 278,598 | ||||||
Kroger Co. (The) | 7,250 | 231,928 | ||||||
Lawson, Inc.(e) | 600 | 42,118 | ||||||
METRO AG | 1,646 | 48,786 |
180 | • AB POOLING PORTFOLIOS |
AB Volatility Management Portfolio—Portfolio of Investments
Company | Shares | U.S. $ Value | ||||||
| ||||||||
Seven & i Holdings Co., Ltd. | 6,900 | $ | 290,436 | |||||
Sundrug Co., Ltd. | 400 | 28,979 | ||||||
Sysco Corp. | 3,950 | 204,847 | ||||||
Tesco PLC(b) | 73,779 | 161,165 | ||||||
Tsuruha Holdings, Inc. | 400 | 39,212 | ||||||
Wal-Mart Stores, Inc. | 11,600 | 828,704 | ||||||
Walgreens Boots Alliance, Inc. | 6,550 | 528,651 | ||||||
Wesfarmers Ltd. | 10,206 | 325,135 | ||||||
Whole Foods Market, Inc. | 2,400 | 72,912 | ||||||
Wm Morrison Supermarkets PLC(e) | 18,524 | 47,931 | ||||||
Woolworths Ltd.(e) | 11,518 | 204,920 | ||||||
|
| |||||||
5,079,823 | ||||||||
|
| |||||||
Food Products – 1.2% | ||||||||
Ajinomoto Co., Inc. | 5,000 | 106,115 | ||||||
Archer-Daniels-Midland Co. | 4,450 | 194,732 | ||||||
Aryzta AG(b) | 855 | 34,093 | ||||||
Associated British Foods PLC(e) | 3,229 | 128,952 | ||||||
Barry Callebaut AG (REG)(b) | 24 | 30,859 | ||||||
Calbee, Inc. | 800 | 29,091 | ||||||
Campbell Soup Co. | 1,350 | 81,972 | ||||||
Chocoladefabriken Lindt & Spruengli AG | 9 | 52,145 | ||||||
Chocoladefabriken Lindt & Spruengli AG (REG) | 1 | 68,822 | ||||||
ConAgra Foods, Inc. | 3,300 | 153,813 | ||||||
Danone SA | 5,342 | 406,673 | ||||||
General Mills, Inc. | 4,500 | 318,690 | ||||||
Golden Agri-Resources Ltd. | 63,000 | 16,617 | ||||||
Hershey Co. (The) | 1,050 | 104,885 | ||||||
Hormel Foods Corp. | 2,050 | 78,433 | ||||||
JM Smucker Co. (The) | 900 | 127,611 | ||||||
Kellogg Co. | 1,900 | 156,199 | ||||||
Kerry Group PLC – Class A | 1,435 | 121,939 | ||||||
Kikkoman Corp. | 2,000 | 62,935 | ||||||
Kraft Heinz Co. (The) | 4,550 | 407,179 | ||||||
Marine Harvest ASA(b) | 3,482 | 53,783 | ||||||
McCormick & Co., Inc./MD | 900 | 91,764 | ||||||
Mead Johnson Nutrition Co. – Class A | 1,400 | 119,098 | ||||||
MEIJI Holdings Co., Ltd. | 1,100 | 99,109 | ||||||
Mondelez International, Inc. – Class A | 11,750 | 528,985 | ||||||
Nestle SA (REG) | 28,896 | 2,302,802 | ||||||
NH Foods Ltd. | 2,000 | 43,873 | ||||||
Nisshin Seifun Group, Inc. | 2,000 | 28,293 | ||||||
Nissin Foods Holdings Co., Ltd.(e) | 600 | 33,294 | ||||||
Orkla ASA | 7,387 | 67,602 | ||||||
Tate & Lyle PLC | 3,894 | 37,525 | ||||||
Toyo Suisan Kaisha Ltd. | 1,000 | 41,013 | ||||||
Tyson Foods, Inc. – Class A | 2,250 | 170,033 | ||||||
WH Group Ltd.(a) | 48,900 | 38,391 | ||||||
Wilmar International Ltd. | 17,000 | 38,331 |
AB POOLING PORTFOLIOS • | 181 |
AB Volatility Management Portfolio—Portfolio of Investments
Company | Shares | U.S. $ Value | ||||||
| ||||||||
Yakult Honsha Co., Ltd. | 800 | $ | 35,363 | |||||
Yamazaki Baking Co., Ltd. | 1,000 | 22,735 | ||||||
|
| |||||||
6,433,749 | ||||||||
|
| |||||||
Household Products – 0.8% | ||||||||
Church & Dwight Co., Inc. | 984 | 97,829 | ||||||
Clorox Co. (The) | 1,000 | 131,040 | ||||||
Colgate-Palmolive Co. | 6,800 | 505,512 | ||||||
Henkel AG & Co. KGaA | 942 | 105,552 | ||||||
Henkel AG & Co. KGaA (Preference Shares) | 1,615 | 211,675 | ||||||
Kimberly-Clark Corp. | 2,750 | 352,165 | ||||||
Procter & Gamble Co. (The) | 20,250 | 1,768,027 | ||||||
Reckitt Benckiser Group PLC | 5,763 | 556,698 | ||||||
Svenska Cellulosa AB SCA – Class B | 5,491 | 168,769 | ||||||
Unicharm Corp. | 3,700 | 89,919 | ||||||
|
| |||||||
3,987,186 | ||||||||
|
| |||||||
Personal Products – 0.4% | ||||||||
Beiersdorf AG | 914 | 84,955 | ||||||
Estee Lauder Cos., Inc. (The) – Class A | 1,700 | 151,691 | ||||||
Kao Corp. | 4,600 | 239,193 | ||||||
Kose Corp. | 309 | 27,764 | ||||||
L’Oreal SA | 2,296 | 434,750 | ||||||
Pola Orbis Holdings, Inc. | 250 | 19,967 | ||||||
Shiseido Co., Ltd. | 3,500 | 88,103 | ||||||
Unilever NV | 14,763 | 679,262 | ||||||
Unilever PLC | 11,632 | 539,972 | ||||||
|
| |||||||
2,265,657 | ||||||||
|
| |||||||
Tobacco – 0.9% | ||||||||
Altria Group, Inc. | 14,850 | 981,437 | ||||||
British American Tobacco PLC | 16,895 | 1,048,209 | ||||||
Imperial Brands PLC | 8,689 | 455,766 | ||||||
Japan Tobacco, Inc. | 9,969 | 386,289 | ||||||
Philip Morris International, Inc. | 11,800 | 1,179,174 | ||||||
Reynolds American, Inc. | 6,288 | 311,696 | ||||||
Swedish Match AB | 1,789 | 63,706 | ||||||
|
| |||||||
4,426,277 | ||||||||
|
| |||||||
28,502,447 | ||||||||
|
| |||||||
Energy – 3.0% | ||||||||
Energy Equipment & Services – 0.3% | ||||||||
Baker Hughes, Inc. | 3,300 | 162,129 | ||||||
Diamond Offshore Drilling, Inc.(e) | 450 | 8,311 | ||||||
FMC Technologies, Inc.(b) | 1,700 | 47,940 | ||||||
Halliburton Co. | 6,500 | 279,565 | ||||||
Helmerich & Payne, Inc.(e) | 800 | 48,368 | ||||||
National Oilwell Varco, Inc. | 2,850 | 95,589 | ||||||
Petrofac Ltd. | 2,166 | 23,646 | ||||||
Saipem SpA(b) | 50,853 | 23,330 | ||||||
Schlumberger Ltd. | 10,543 | 832,897 | ||||||
Technip SA | 985 | 58,327 |
182 | • AB POOLING PORTFOLIOS |
AB Volatility Management Portfolio—Portfolio of Investments
Company | Shares | U.S. $ Value | ||||||
| ||||||||
Tenaris SA | 4,292 | $ | 59,059 | |||||
Transocean Ltd.(b)(e) | 2,565 | 24,880 | ||||||
|
| |||||||
1,664,041 | ||||||||
|
| |||||||
Oil, Gas & Consumable Fuels – 2.7% | ||||||||
Anadarko Petroleum Corp. | 3,850 | 205,859 | ||||||
Apache Corp. | 2,850 | 141,645 | ||||||
BP PLC | 167,531 | 941,789 | ||||||
Cabot Oil & Gas Corp. | 3,500 | 86,205 | ||||||
Caltex Australia Ltd. | 2,467 | 62,776 | ||||||
Chesapeake Energy Corp.(b)(e) | 4,400 | 27,940 | ||||||
Chevron Corp. | 14,350 | 1,443,323 | ||||||
Cimarex Energy Co. | 733 | 96,888 | ||||||
Concho Resources, Inc.(b) | 997 | 128,812 | ||||||
ConocoPhillips | 9,400 | 385,870 | ||||||
Devon Energy Corp. | 3,950 | 171,154 | ||||||
Eni SpA | 23,055 | 348,041 | ||||||
EOG Resources, Inc. | 4,200 | 371,658 | ||||||
EQT Corp. | 1,300 | 92,950 | ||||||
Exxon Mobil Corp. | 31,503 | 2,745,171 | ||||||
Galp Energia SGPS SA | 4,230 | 61,600 | ||||||
Hess Corp. | 2,000 | 108,600 | ||||||
Idemitsu Kosan Co., Ltd. | 800 | 14,578 | ||||||
Inpex Corp. | 8,614 | 74,663 | ||||||
JX Holdings, Inc. | 19,000 | 70,958 | ||||||
Kinder Morgan, Inc./DE | 13,863 | 302,907 | ||||||
Koninklijke Vopak NV | 688 | 34,968 | ||||||
Lundin Petroleum AB(b) | 1,830 | 32,188 | ||||||
Marathon Oil Corp. | 6,400 | 96,128 | ||||||
Marathon Petroleum Corp. | 4,000 | 170,040 | ||||||
Murphy Oil Corp. | 1,200 | 32,064 | ||||||
Neste Oyj | 1,217 | 50,691 | ||||||
Newfield Exploration Co.(b) | 1,450 | 62,872 | ||||||
Noble Energy, Inc. | 3,250 | 112,060 | ||||||
Occidental Petroleum Corp. | 5,800 | 445,730 | ||||||
Oil Search Ltd. | 11,443 | 57,499 | ||||||
OMV AG | 1,407 | 39,424 | ||||||
ONEOK, Inc. | 1,550 | 72,680 | ||||||
Origin Energy Ltd. | 15,858 | 62,467 | ||||||
Phillips 66 | 3,550 | 278,497 | ||||||
Pioneer Natural Resources Co. | 1,250 | 223,812 | ||||||
Range Resources Corp. | 1,250 | 48,213 | ||||||
Repsol SA | 10,051 | 135,019 | ||||||
Royal Dutch Shell PLC – Class A | 38,151 | 932,400 | ||||||
Royal Dutch Shell PLC – Class B | 33,944 | 864,110 | ||||||
Santos Ltd. | 13,274 | 43,957 | ||||||
Showa Shell Sekiyu KK | 1,700 | 14,474 | ||||||
Southwestern Energy Co.(b) | 2,900 | 40,339 | ||||||
Spectra Energy Corp. | 5,200 | 185,224 | ||||||
Statoil ASA | 10,114 | 158,667 | ||||||
Tesoro Corp. | 900 | 67,878 |
AB POOLING PORTFOLIOS • | 183 |
AB Volatility Management Portfolio—Portfolio of Investments
Company | Shares | U.S. $ Value | ||||||
| ||||||||
TonenGeneral Sekiyu KK | 2,000 | $ | 18,457 | |||||
TOTAL SA | 20,016 | 956,292 | ||||||
Valero Energy Corp. | 3,550 | 196,492 | ||||||
Williams Cos., Inc. (The) | 5,150 | 143,891 | ||||||
Woodside Petroleum Ltd.(e) | 6,720 | 143,968 | ||||||
|
| |||||||
13,603,888 | ||||||||
|
| |||||||
15,267,929 | ||||||||
|
| |||||||
Equity: Other – 2.7% | ||||||||
Diversified/Specialty – 1.9% | ||||||||
Activia Properties, Inc. | 12 | 61,192 | ||||||
Aedifica SA(b) | 247 | 19,644 | ||||||
Affine SA | 130 | 2,291 | ||||||
Alexander’s, Inc. | 55 | 23,651 | ||||||
Alexandria Real Estate Equities, Inc. | 1,590 | 175,043 | ||||||
American Assets Trust, Inc. | 830 | 36,769 | ||||||
American Homes 4 Rent – Class A | 3,939 | 86,146 | ||||||
ANF Immobilier | 152 | 3,730 | ||||||
Azrieli Group Ltd. | 1,404 | 61,387 | ||||||
Beni Stabili SpA SIIQ(b) | 22,857 | 14,022 | ||||||
British Land Co. PLC (The) | 30,811 | 268,351 | ||||||
Canadian Real Estate Investment Trust | 1,550 | 57,442 | ||||||
CapitaLand Ltd. | 77,450 | 174,147 | ||||||
Champion REIT | 50,600 | 32,236 | ||||||
Cheung Kong Property Holdings Ltd. | 84,844 | 594,795 | ||||||
City Developments Ltd. | 16,000 | 99,487 | ||||||
Cofinimmo SA | 450 | 55,483 | ||||||
Conwert Immobilien Invest SE(b) | 1,474 | 25,882 | ||||||
Daejan Holdings PLC | 105 | 7,397 | ||||||
Dexus Property Group | 28,897 | 210,791 | ||||||
DIC Asset AG | 730 | 7,080 | ||||||
Digital Realty Trust, Inc.(e) | 4,575 | 453,337 | ||||||
Dios Fastigheter AB | 989 | 7,744 | ||||||
DuPont Fabros Technology, Inc. | 1,548 | 65,635 | ||||||
F&C Commercial Property Trust Ltd.(e) | 11,273 | 18,661 | ||||||
Fastighets AB Balder – Class B(b) | 1,980 | 55,257 | ||||||
Fonciere Des Regions | 1,113 | 104,170 | ||||||
Forest City Realty Trust, Inc. – Class A | 4,990 | 118,063 | ||||||
Four Corners Property Trust, Inc. | 1,250 | 25,888 | ||||||
Fukuoka REIT Corp.(e) | 14 | 25,189 | ||||||
Gaming and Leisure Properties, Inc. | 4,234 | 144,845 | ||||||
Gecina SA | 1,229 | 192,626 | ||||||
GPT Group (The) | 54,800 | 219,194 | ||||||
Granite Real Estate Investment Trust (Toronto) | 1,000 | 31,783 | ||||||
Great Portland Estates PLC | 7,391 | 65,766 | ||||||
H&R Real Estate Investment Trust | 6,036 | 107,335 | ||||||
Hamborner REIT AG | 1,250 | 14,717 | ||||||
Hang Lung Properties Ltd. | 62,900 | 142,974 | ||||||
Helical PLC | 2,050 | 7,659 |
184 | • AB POOLING PORTFOLIOS |
AB Volatility Management Portfolio—Portfolio of Investments
Company | Shares | U.S. $ Value | ||||||
| ||||||||
Hemfosa Fastigheter AB | 2,048 | $ | 22,646 | |||||
Henderson Land Development Co., Ltd. | 36,092 | 210,580 | ||||||
Hispania Activos Inmobiliarios SOCIMI SA(b) | 1,900 | 25,530 | ||||||
Hufvudstaden AB – Class A | 2,380 | 41,372 | ||||||
Hulic Co., Ltd. | 10,119 | 95,955 | ||||||
Hulic Reit, Inc.(e) | 18 | 31,737 | ||||||
Hysan Development Co., Ltd. | 18,250 | 87,997 | ||||||
ICADE | 1,129 | 87,290 | ||||||
Investors Real Estate Trust | 2,557 | 16,978 | ||||||
Invincible Investment Corp.(e) | 63 | 40,465 | ||||||
Kennedy Wilson Europe Real Estate PLC | 2,550 | 32,258 | ||||||
Kerry Properties Ltd. | 19,550 | 56,777 | ||||||
Kiwi Property Group Ltd. | 27,131 | 30,513 | ||||||
Klovern AB – Class B | 8,030 | 10,931 | ||||||
Land Securities Group PLC | 24,024 | 345,123 | ||||||
Lar Espana Real Estate Socimi SA | 1,100 | 7,721 | ||||||
Lexington Realty Trust | 5,010 | 54,058 | ||||||
LondonMetric Property PLC | 12,498 | 26,947 | ||||||
Mapletree Commercial Trust | 32,794 | 37,549 | ||||||
Merlin Properties Socimi SA | 6,931 | 80,600 | ||||||
Mitsubishi Estate Co., Ltd.(e) | 37,440 | 709,303 | ||||||
Mitsui Fudosan Co., Ltd. | 28,040 | 605,488 | ||||||
Mobimo Holding AG (Reg)(b) | 126 | 31,424 | ||||||
Mori Trust Sogo Reit, Inc. | 22 | 38,858 | ||||||
New World Development Co., Ltd. | 170,200 | 212,832 | ||||||
Nomura Real Estate Holdings, Inc. | 3,630 | 59,202 | ||||||
Nomura Real Estate Master Fund, Inc.(e) | 110 | 181,626 | ||||||
NSI NV | 2,942 | 12,484 | ||||||
Orix JREIT, Inc.(e) | 52 | 90,955 | ||||||
Premier Investment Corp.(e) | 27 | 36,626 | ||||||
QTS Realty Trust, Inc. – Class A | 980 | 53,106 | ||||||
Redefine International PLC/Isle of Man | 25,350 | 14,678 | ||||||
Schroder Real Estate Investment Trust Ltd. | 11,079 | 8,438 | ||||||
Select Income REIT | 1,435 | 39,161 | ||||||
Silver Bay Realty Trust Corp. | 680 | 12,940 | ||||||
Sino Land Co., Ltd. | 90,810 | 155,202 | ||||||
Spirit Realty Capital, Inc. | 9,836 | 130,327 | ||||||
Sponda Oyj | 5,258 | 27,455 | ||||||
STORE Capital Corp. | 3,151 | 93,364 | ||||||
Sumitomo Realty & Development Co., Ltd. | 11,990 | 317,115 | ||||||
Sun Hung Kai Properties Ltd. | 43,150 | 606,183 | ||||||
Suntec Real Estate Investment Trust | 72,500 | 89,064 | ||||||
Swire Properties Ltd. | 34,780 | 97,821 | ||||||
Swiss Prime Site AG (Reg)(b) | 1,984 | 174,564 | ||||||
TLG Immobilien AG | 1,176 | 26,589 | ||||||
Tokyu REIT, Inc.(e) | 19 | 26,031 | ||||||
Top REIT, Inc.(b)(e) | 4 | 17,300 | ||||||
United Urban Investment Corp. | 84 | 149,796 | ||||||
UOL Group Ltd. | 14,350 | 58,470 | ||||||
VEREIT, Inc. | 19,370 | 202,417 |
AB POOLING PORTFOLIOS • | 185 |
AB Volatility Management Portfolio—Portfolio of Investments
Company | Shares | U.S. $ Value | ||||||
| ||||||||
Wallenstam AB – Class B(e) | 4,180 | $ | 35,692 | |||||
Washington Real Estate Investment Trust | 1,564 | 50,830 | ||||||
WCM Beteiligungs & Grundbesitz-AG(b) | 1,700 | 6,045 | ||||||
Wharf Holdings Ltd. (The) | 37,650 | 265,339 | ||||||
Wihlborgs Fastigheter AB | 1,420 | 30,843 | ||||||
WP Carey, Inc. | 1,939 | 129,234 | ||||||
|
| |||||||
9,957,638 | ||||||||
|
| |||||||
Health Care – 0.6% | ||||||||
Assura PLC | 35,010 | 26,894 | ||||||
Care Capital Properties, Inc. | 1,796 | 53,862 | ||||||
Chartwell Retirement Residences | 3,660 | 43,064 | ||||||
HCP, Inc. | 13,510 | 531,348 | ||||||
Healthcare Realty Trust, Inc. | 2,220 | 77,833 | ||||||
Healthcare Trust of America, Inc. – Class A | 2,895 | 97,677 | ||||||
LTC Properties, Inc. | 810 | 42,055 | ||||||
Medical Properties Trust, Inc. | 5,080 | 77,572 | ||||||
National Health Investors, Inc. | 764 | 61,334 | ||||||
New Senior Investment Group, Inc. | 1,690 | 20,939 | ||||||
Omega Healthcare Investors, Inc. | 3,578 | 129,524 | ||||||
Physicians Realty Trust | 2,853 | 61,083 | ||||||
Primary Health Properties PLC | 12,240 | 17,761 | ||||||
Sabra Health Care REIT, Inc. | 1,380 | 35,162 | ||||||
Senior Housing Properties Trust | 5,090 | 113,711 | ||||||
Target Healthcare REIT Ltd. | 5,380 | 7,789 | ||||||
Universal Health Realty Income Trust | 279 | 17,184 | ||||||
Ventas, Inc. | 9,797 | 711,947 | ||||||
Welltower, Inc. | 10,320 | 792,060 | ||||||
|
| |||||||
2,918,799 | ||||||||
|
| |||||||
Triple Net – 0.2% | ||||||||
Agree Realty Corp. | 458 | 21,979 | ||||||
EPR Properties | 1,347 | 105,497 | ||||||
Getty Realty Corp. | 536 | 12,612 | ||||||
National Retail Properties, Inc. | 3,085 | 154,559 | ||||||
Realty Income Corp. | 7,470 | 491,003 | ||||||
|
| |||||||
785,650 | ||||||||
|
| |||||||
13,662,087 | ||||||||
|
| |||||||
Materials – 2.4% | ||||||||
Chemicals – 1.4% | ||||||||
Air Liquide SA | 3,120 | 343,069 | ||||||
Air Products & Chemicals, Inc. | 1,500 | 233,430 | ||||||
Air Water, Inc. | 1,000 | 18,517 | ||||||
Akzo Nobel NV | 2,244 | 151,263 | ||||||
Albemarle Corp. | 861 | 68,854 | ||||||
Arkema SA | 623 | 55,744 | ||||||
Asahi Kasei Corp. | 11,000 | 92,932 | ||||||
BASF SE | 8,324 | 675,206 | ||||||
CF Industries Holdings, Inc. | 1,750 | 45,500 | ||||||
Chr Hansen Holding A/S | 905 | 54,911 |
186 | • AB POOLING PORTFOLIOS |
AB Volatility Management Portfolio—Portfolio of Investments
Company | Shares | U.S. $ Value | ||||||
| ||||||||
Covestro AG(a) | 698 | $ | 36,297 | |||||
Croda International PLC | 1,214 | 52,782 | ||||||
Daicel Corp. | 2,000 | 25,557 | ||||||
Dow Chemical Co. (The) | 8,500 | 455,940 | ||||||
Eastman Chemical Co. | 1,100 | 74,679 | ||||||
Ecolab, Inc. | 2,000 | 246,100 | ||||||
EI du Pont de Nemours & Co. | 6,650 | 462,840 | ||||||
EMS-Chemie Holding AG (REG) | 79 | 42,069 | ||||||
Evonik Industries AG | 1,331 | 44,661 | ||||||
FMC Corp. | 1,000 | 46,940 | ||||||
FUCHS PETROLUB SE (Preference Shares) | 705 | 32,038 | ||||||
Givaudan SA (REG) | 84 | 173,748 | ||||||
Hitachi Chemical Co., Ltd. | 900 | 19,429 | ||||||
Incitec Pivot Ltd. | 14,088 | 30,115 | ||||||
International Flavors & Fragrances, Inc. | 600 | 83,148 | ||||||
Israel Chemicals Ltd. | 4,259 | 18,016 | ||||||
Johnson Matthey PLC | 1,754 | 76,899 | ||||||
JSR Corp. | 1,700 | 24,893 | ||||||
K&S AG (REG)(e) | 1,810 | 37,830 | ||||||
Kaneka Corp. | 2,000 | 16,334 | ||||||
Kansai Paint Co., Ltd. | 2,000 | 44,101 | ||||||
Koninklijke DSM NV | 1,645 | 114,823 | ||||||
Kuraray Co., Ltd. | 3,000 | 42,930 | ||||||
LANXESS AG | 872 | 46,423 | ||||||
Linde AG | 1,684 | 287,548 | ||||||
LyondellBasell Industries NV – Class A | 2,590 | 204,325 | ||||||
Mitsubishi Chemical Holdings Corp. | 12,000 | 75,935 | ||||||
Mitsubishi Gas Chemical Co., Inc. | 3,000 | 20,324 | ||||||
Mitsui Chemicals, Inc. | 8,000 | 38,355 | ||||||
Monsanto Co. | 3,300 | 351,450 | ||||||
Mosaic Co. (The) | 2,650 | 79,685 | ||||||
Nippon Paint Holdings Co., Ltd. | 2,000 | 71,731 | ||||||
Nitto Denko Corp. | 1,500 | 102,529 | ||||||
Novozymes A/S – Class B | 2,115 | 91,755 | ||||||
OCI NV(b)(e) | 792 | 13,899 | ||||||
Orica Ltd. | 3,118 | 34,527 | ||||||
PPG Industries, Inc. | 2,000 | 211,760 | ||||||
Praxair, Inc. | 2,150 | 262,386 | ||||||
Sherwin-Williams Co. (The) | 600 | 170,226 | ||||||
Shin-Etsu Chemical Co., Ltd. | 3,600 | 264,643 | ||||||
Sika AG | 20 | 95,356 | ||||||
Solvay SA | 672 | 73,872 | ||||||
Sumitomo Chemical Co., Ltd. | 14,000 | 64,229 | ||||||
Symrise AG | 1,118 | 82,241 | ||||||
Syngenta AG (REG) | 843 | 368,032 | ||||||
Taiyo Nippon Sanso Corp. | 1,000 | 10,170 | ||||||
Teijin Ltd. | 8,000 | 29,872 | ||||||
Toray Industries, Inc. | 13,000 | 125,289 | ||||||
Umicore SA | 891 | 52,664 | ||||||
Yara International ASA | 1,645 | 58,254 | ||||||
|
| |||||||
7,229,075 | ||||||||
|
|
AB POOLING PORTFOLIOS • | 187 |
AB Volatility Management Portfolio—Portfolio of Investments
Company | Shares | U.S. $ Value | ||||||
| ||||||||
Construction Materials – 0.2% | ||||||||
Boral Ltd. | 6,209 | $ | 30,790 | |||||
CRH PLC | 7,460 | 250,724 | ||||||
Fletcher Building Ltd. | 5,766 | 44,298 | ||||||
HeidelbergCement AG | 1,278 | 118,597 | ||||||
Imerys SA | 373 | 26,326 | ||||||
James Hardie Industries PLC | 4,050 | 65,844 | ||||||
LafargeHolcim Ltd. (REG)(b) | 4,125 | 219,009 | ||||||
Martin Marietta Materials, Inc. | 498 | 91,149 | ||||||
Taiheiyo Cement Corp. | 10,000 | 30,386 | ||||||
Vulcan Materials Co. | 1,000 | 113,870 | ||||||
|
| |||||||
990,993 | ||||||||
|
| |||||||
Containers & Packaging – 0.1% | ||||||||
Amcor Ltd./Australia | 10,496 | 126,039 | ||||||
Avery Dennison Corp. | 650 | 50,336 | ||||||
Ball Corp. | 1,050 | 83,149 | ||||||
International Paper Co. | 3,100 | 150,319 | ||||||
Owens-Illinois, Inc.(b) | 1,200 | 21,516 | ||||||
Sealed Air Corp. | 1,450 | 68,338 | ||||||
Toyo Seikan Group Holdings Ltd. | 1,500 | 27,812 | ||||||
WestRock Co. | 1,910 | 91,489 | ||||||
|
| |||||||
618,998 | ||||||||
|
| |||||||
Metals & Mining – 0.6% | ||||||||
Alcoa, Inc. | 9,950 | 100,296 | ||||||
Alumina Ltd. | 20,440 | 20,407 | ||||||
Anglo American PLC(b) | 12,704 | 130,219 | ||||||
Antofagasta PLC(e) | 3,292 | 21,399 | ||||||
ArcelorMittal (Euronext Amsterdam)(b) | 16,670 | 98,889 | ||||||
BHP Billiton Ltd. | 29,106 | 446,723 | ||||||
BHP Billiton PLC | 19,141 | 248,968 | ||||||
Boliden AB | 2,552 | 53,998 | ||||||
Fortescue Metals Group Ltd.(e) | 13,000 | 47,840 | ||||||
Freeport-McMoRan, Inc. | 9,500 | 97,755 | ||||||
Fresnillo PLC | 2,126 | 44,869 | ||||||
Glencore PLC(b) | 110,886 | 253,735 | ||||||
Hitachi Metals Ltd. | 2,000 | 24,261 | ||||||
JFE Holdings, Inc. | 4,700 | 73,086 | ||||||
Kobe Steel Ltd. | 28,000 | 26,028 | ||||||
Maruichi Steel Tube Ltd. | 500 | 17,278 | ||||||
Mitsubishi Materials Corp. | 10,000 | 28,249 | ||||||
Newcrest Mining Ltd.(b) | 6,947 | 114,505 | ||||||
Newmont Mining Corp. | 4,000 | 152,960 | ||||||
Nippon Steel & Sumitomo Metal Corp. | 7,200 | 153,174 | ||||||
Norsk Hydro ASA | 11,230 | 47,662 | ||||||
Nucor Corp. | 2,400 | 116,424 | ||||||
Randgold Resources Ltd. | 848 | 79,504 | ||||||
Rio Tinto Ltd. | 3,845 | 137,551 | ||||||
Rio Tinto PLC | 11,208 | 337,391 | ||||||
South32 Ltd.(b) | 44,455 | 64,056 |
188 | • AB POOLING PORTFOLIOS |
AB Volatility Management Portfolio—Portfolio of Investments
Company | Shares | U.S. $ Value | ||||||
| ||||||||
Sumitomo Metal Mining Co., Ltd. | 4,000 | $ | 50,841 | |||||
thyssenkrupp AG | 3,334 | 77,601 | ||||||
voestalpine AG | 1,089 | 36,092 | ||||||
|
| |||||||
3,101,761 | ||||||||
|
| |||||||
Paper & Forest Products – 0.1% | ||||||||
Mondi PLC | 3,328 | 67,719 | ||||||
Oji Holdings Corp. | 7,000 | 28,157 | ||||||
Stora Enso Oyj – Class R | 4,600 | 40,600 | ||||||
UPM-Kymmene Oyj | 4,837 | 97,224 | ||||||
|
| |||||||
233,700 | ||||||||
|
| |||||||
12,174,527 | ||||||||
|
| |||||||
Telecommunication Services – 1.8% | ||||||||
Diversified Telecommunication | ||||||||
AT&T, Inc. | 46,792 | 1,912,857 | ||||||
Bezeq The Israeli Telecommunication Corp., Ltd. | 17,319 | 34,810 | ||||||
BT Group PLC | 76,739 | 389,447 | ||||||
CenturyLink, Inc. | 4,150 | 115,370 | ||||||
Deutsche Telekom AG (REG) | 29,224 | 487,495 | ||||||
Elisa Oyj | 1,320 | 46,445 | ||||||
Frontier Communications Corp.(e) | 8,890 | 40,894 | ||||||
HKT Trust & HKT Ltd. – Class SS | 22,100 | 30,426 | ||||||
Iliad SA | 245 | 50,628 | ||||||
Inmarsat PLC | 3,757 | 38,074 | ||||||
Koninklijke KPN NV | 28,526 | 93,265 | ||||||
Level 3 Communications, Inc.(b) | 2,189 | 108,640 | ||||||
Nippon Telegraph & Telephone Corp. | 6,300 | 277,005 | ||||||
Orange SA | 18,004 | 274,452 | ||||||
PCCW Ltd. | 37,000 | 23,447 | ||||||
Proximus SADP | 1,432 | 43,858 | ||||||
SFR Group SA | 1,091 | 29,086 | ||||||
Singapore Telecommunications Ltd. | 72,000 | 213,525 | ||||||
Spark New Zealand Ltd. | 15,278 | 42,157 | ||||||
Swisscom AG (REG) | 235 | 112,407 | ||||||
TDC A/S(b) | 6,780 | 37,496 | ||||||
Telecom Italia SpA/Milano (ordinary shares)(b) | 91,758 | 83,288 | ||||||
Telecom Italia SpA/Milano (savings shares)(b) | 50,334 | 36,910 | ||||||
Telefonica Deutschland Holding AG | 6,209 | 25,497 | ||||||
Telefonica SA | 40,579 | 409,434 | ||||||
Telenor ASA | 6,804 | 118,655 | ||||||
Telia Co. AB | 23,545 | 106,251 | ||||||
Telstra Corp., Ltd. | 38,778 | 153,131 | ||||||
TPG Telecom Ltd. | 2,834 | 25,929 | ||||||
Verizon Communications, Inc. | 30,970 | 1,620,660 | ||||||
Vocus Communications Ltd. | 4,201 | 24,253 | ||||||
|
| |||||||
7,005,792 | ||||||||
|
|
AB POOLING PORTFOLIOS • | 189 |
AB Volatility Management Portfolio—Portfolio of Investments
Company | Shares | U.S. $ Value | ||||||
| ||||||||
Wireless Telecommunication | ||||||||
KDDI Corp. | 17,071 | $ | 499,064 | |||||
Millicom International Cellular SA | 637 | 32,614 | ||||||
NTT DOCOMO, Inc. | 12,960 | 326,842 | ||||||
SoftBank Group Corp. | 8,700 | 567,538 | ||||||
StarHub Ltd. | 5,000 | 13,420 | ||||||
Tele2 AB – Class B | 2,686 | 22,326 | ||||||
Vodafone Group PLC | 240,669 | 726,255 | ||||||
|
| |||||||
2,188,059 | ||||||||
|
| |||||||
9,193,851 | ||||||||
|
| |||||||
Retail – 1.8% | ||||||||
Regional Mall – 0.7% | ||||||||
CapitaLand Mall Trust | 78,550 | 124,463 | ||||||
CBL & Associates Properties, Inc. | 3,600 | 51,372 | ||||||
General Growth Properties, Inc. | 15,180 | 442,346 | ||||||
Macerich Co. (The) | 4,170 | 341,481 | ||||||
Pennsylvania Real Estate Investment Trust | 1,410 | 35,377 | ||||||
Simon Property Group, Inc. | 9,063 | 1,952,805 | ||||||
Taubman Centers, Inc. | 1,300 | 100,971 | ||||||
Washington Prime Group, Inc.(b) | 3,938 | 54,108 | ||||||
Westfield Corp. | 59,326 | 455,027 | ||||||
|
| |||||||
3,557,950 | ||||||||
|
| |||||||
Shopping Center/Other Retail – 1.1% | ||||||||
Acadia Realty Trust | 1,500 | 55,410 | ||||||
Aeon Mall Co., Ltd. | 3,432 | 48,376 | ||||||
AEON REIT Investment Corp. | 22 | 27,360 | ||||||
Brixmor Property Group, Inc. | 6,449 | 184,183 | ||||||
BWP Trust | 10,468 | 25,534 | ||||||
Capital & Counties Properties PLC(e) | 15,561 | 60,610 | ||||||
Cedar Realty Trust, Inc. | 1,830 | 13,853 | ||||||
Charter Hall Retail REIT | 7,330 | 23,538 | ||||||
Citycon Oyj | 8,390 | 21,518 | ||||||
Crombie Real Estate Investment Trust | 1,650 | 18,886 | ||||||
DDR Corp. | 6,660 | 125,941 | ||||||
Deutsche EuroShop AG | 995 | 45,757 | ||||||
Equity One, Inc. | 1,956 | 60,714 | ||||||
Eurocommercial Properties NV | 978 | 44,512 | ||||||
Federal Realty Investment Trust | 2,056 | 326,904 | ||||||
First Capital Realty, Inc. | 1,980 | 33,503 | ||||||
Fortune Real Estate Investment Trust | 28,210 | 36,055 | ||||||
Frontier Real Estate Investment Corp. | 10 | 48,907 | ||||||
Hammerson PLC | 23,348 | 177,863 | ||||||
Immobiliare Grande Distribuzione SIIQ SpA | 7,864 | 6,356 | ||||||
Intu Properties PLC(e) | 27,936 | 116,026 | ||||||
Japan Retail Fund Investment Corp.(e) | 79 | 177,614 | ||||||
Kenedix Retail REIT Corp. | 9 | 22,515 | ||||||
Kimco Realty Corp. | 12,146 | 364,987 | ||||||
Kite Realty Group Trust | 1,742 | 50,309 |
190 | • AB POOLING PORTFOLIOS |
AB Volatility Management Portfolio—Portfolio of Investments
Company | Shares | U.S. $ Value | ||||||
| ||||||||
Klepierre | 6,390 | $ | 300,093 | |||||
Link REIT | 68,300 | 496,125 | ||||||
Mercialys SA | 870 | 20,261 | ||||||
Ramco-Gershenson Properties Trust | 1,659 | 32,234 | ||||||
Regency Centers Corp. | 2,102 | 169,295 | ||||||
Retail Opportunity Investments Corp. | 2,115 | 47,186 | ||||||
Retail Properties of America, Inc. – Class A | 5,030 | 85,510 | ||||||
RioCan Real Estate Investment Trust (Toronto) | 6,822 | 143,265 | ||||||
Saul Centers, Inc. | 297 | 19,685 | ||||||
Scentre Group | 157,868 | 588,955 | ||||||
Seritage Growth Properties – Class A(e) | 550 | 24,475 | ||||||
Shaftesbury PLC | 5,963 | 75,757 | ||||||
Shopping Centres Australasia Property Group | 15,680 | 27,181 | ||||||
Smart Real Estate Investment Trust | 2,400 | 64,859 | ||||||
Tanger Factory Outlet Centers, Inc. | 2,040 | 82,906 | ||||||
Unibail-Rodamco SE | 3,024 | 832,105 | ||||||
Urban Edge Properties | 1,890 | 54,167 | ||||||
Urstadt Biddle Properties, Inc. – Class A | 550 | 12,490 | ||||||
Vastned Retail NV | 390 | 16,150 | ||||||
Vicinity Centres | 100,940 | 250,830 | ||||||
Weingarten Realty Investors | 2,428 | 100,155 | ||||||
Wereldhave Belgium NV | 50 | 6,246 | ||||||
Wereldhave NV | 850 | 40,800 | ||||||
|
| |||||||
5,607,961 | ||||||||
|
| |||||||
9,165,911 | ||||||||
|
| |||||||
Utilities – 1.7% | ||||||||
Electric Utilities – 1.0% | ||||||||
Alliant Energy Corp. | 1,741 | 66,071 | ||||||
American Electric Power Co., Inc. | 3,700 | 238,909 | ||||||
AusNet Services | 14,770 | 19,074 | ||||||
Cheung Kong Infrastructure Holdings Ltd. | 6,000 | 50,338 | ||||||
Chubu Electric Power Co., Inc. | 5,800 | 78,436 | ||||||
Chugoku Electric Power Co., Inc. (The) | 2,500 | 30,029 | ||||||
CLP Holdings Ltd. | 14,500 | 148,621 | ||||||
Contact Energy Ltd. | 6,015 | 22,691 | ||||||
Duke Energy Corp. | 5,208 | 414,869 | ||||||
Edison International | 2,450 | 178,164 | ||||||
EDP – Energias de Portugal SA | 20,987 | 70,508 | ||||||
Electricite de France SA | 2,084 | 26,754 | ||||||
Endesa SA | 2,904 | 59,180 | ||||||
Enel SpA | 69,102 | 305,357 | ||||||
Entergy Corp. | 1,350 | 105,570 | ||||||
Eversource Energy | 2,400 | 129,528 | ||||||
Exelon Corp. | 6,982 | 237,388 | ||||||
FirstEnergy Corp. | 3,200 | 104,736 | ||||||
Fortum Oyj | 4,025 | 62,089 |
AB POOLING PORTFOLIOS • | 191 |
AB Volatility Management Portfolio—Portfolio of Investments
Company | Shares | U.S. $ Value | ||||||
| ||||||||
HK Electric Investments & HK Electric Investments Ltd. – Class SS(a)(e) | 22,100 | $ | 20,705 | |||||
Hokuriku Electric Power Co.(e) | 1,500 | 17,933 | ||||||
Iberdrola SA | 49,279 | 324,597 | ||||||
Kansai Electric Power Co., Inc. (The)(b) | 6,300 | 54,029 | ||||||
Kyushu Electric Power Co., Inc. | 3,500 | 32,604 | ||||||
Mercury NZ Ltd.(e) | 5,845 | 13,441 | ||||||
NextEra Energy, Inc. | 3,500 | 423,290 | ||||||
PG&E Corp. | 3,750 | 232,275 | ||||||
Pinnacle West Capital Corp. | 850 | 63,784 | ||||||
Power Assets Holdings Ltd. | 12,500 | 119,402 | ||||||
PPL Corp. | 5,100 | 177,378 | ||||||
Red Electrica Corp. SA | 3,924 | 84,560 | ||||||
Shikoku Electric Power Co., Inc.(e) | 1,500 | 14,311 | ||||||
Southern Co. (The) | 7,100 | 364,443 | ||||||
SSE PLC | 9,119 | 180,275 | ||||||
Terna Rete Elettrica Nazionale SpA | 13,661 | 70,643 | ||||||
Tohoku Electric Power Co., Inc. | 4,100 | 51,434 | ||||||
Tokyo Electric Power Co., Holdings, Inc.(b) | 13,100 | 52,797 | ||||||
Xcel Energy, Inc. | 3,850 | 159,236 | ||||||
|
| |||||||
4,805,449 | ||||||||
|
| |||||||
Gas Utilities – 0.1% | ||||||||
APA Group | 10,098 | 70,010 | ||||||
Enagas SA | 2,060 | 60,537 | ||||||
Gas Natural SDG SA | 3,178 | 65,650 | ||||||
Hong Kong & China Gas Co., Ltd. | 81,387 | 155,030 | ||||||
Osaka Gas Co., Ltd. | 16,000 | 63,048 | ||||||
Snam SpA | 22,207 | 123,258 | ||||||
Toho Gas Co., Ltd. | 3,000 | 25,522 | ||||||
Tokyo Gas Co., Ltd. | 18,000 | 77,237 | ||||||
|
| |||||||
640,292 | ||||||||
|
| |||||||
Independent Power and Renewable Electricity Producers – 0.0% | ||||||||
AES Corp./VA | 5,000 | 60,350 | ||||||
Electric Power Development Co., Ltd. | 1,300 | 31,730 | ||||||
Meridian Energy Ltd. | 10,701 | 22,505 | ||||||
NRG Energy, Inc. | 2,350 | 28,458 | ||||||
|
| |||||||
143,043 | ||||||||
|
| |||||||
Multi-Utilities – 0.6% | ||||||||
AGL Energy Ltd. | 6,115 | 85,149 | ||||||
Ameren Corp. | 1,800 | 88,956 | ||||||
CenterPoint Energy, Inc. | 3,250 | 73,027 | ||||||
Centrica PLC | 49,169 | 150,347 | ||||||
CMS Energy Corp. | 2,100 | 88,137 | ||||||
Consolidated Edison, Inc. | 2,300 | 173,075 | ||||||
Dominion Resources, Inc./VA | 4,700 | 348,552 | ||||||
DTE Energy Co. | 1,350 | 125,415 | ||||||
DUET Group | 19,383 | 38,300 | ||||||
E.ON SE | 18,134 | 166,768 |
192 | • AB POOLING PORTFOLIOS |
AB Volatility Management Portfolio—Portfolio of Investments
Company | Shares | U.S. $ Value | ||||||
| ||||||||
Engie SA | 13,242 | $ | 211,628 | |||||
National Grid PLC | 33,946 | 467,165 | ||||||
NiSource, Inc. | 2,400 | 57,456 | ||||||
Public Service Enterprise Group, Inc. | 3,800 | 162,488 | ||||||
RWE AG(b) | 4,435 | 72,384 | ||||||
SCANA Corp. | 1,100 | 77,715 | ||||||
Sempra Energy | 1,800 | 188,334 | ||||||
Suez | 3,029 | 45,930 | ||||||
United Utilities Group PLC | 6,180 | 78,915 | ||||||
Veolia Environnement SA | 4,085 | 87,050 | ||||||
WEC Energy Group, Inc. | 2,395 | 143,413 | ||||||
|
| |||||||
2,930,204 | ||||||||
|
| |||||||
Water Utilities – 0.0% | ||||||||
American Water Works Co., Inc. | 1,354 | 100,182 | ||||||
Severn Trent PLC | 2,132 | 66,723 | ||||||
|
| |||||||
166,905 | ||||||||
|
| |||||||
8,685,893 | ||||||||
|
| |||||||
Residential – 1.3% | ||||||||
Multi-Family – 1.0% | ||||||||
ADLER Real Estate AG(b)(e) | 500 | 7,610 | ||||||
ADO Properties SA(a) | 558 | 24,432 | ||||||
Advance Residence Investment Corp. | 26 | 69,365 | ||||||
Apartment Investment & Management Co. – Class A | 4,520 | 204,213 | ||||||
AvalonBay Communities, Inc. | 3,981 | 696,714 | ||||||
Boardwalk Real Estate Investment Trust | 850 | 32,661 | ||||||
BUWOG AG(b) | 1,548 | 40,269 | ||||||
Camden Property Trust | 1,850 | 162,374 | ||||||
Canadian Apartment Properties REIT | 2,700 | 61,519 | ||||||
D Carnegie & Co. AB(b) | 950 | 12,068 | ||||||
Daiwa House Residential Investment Corp.(e) | 27 | 76,239 | ||||||
Deutsche Wohnen AG | 10,045 | 377,086 | ||||||
Empiric Student Property PLC | 10,700 | 16,053 | ||||||
Equity LifeStyle Properties, Inc. | 1,649 | 127,847 | ||||||
Equity Residential | 10,460 | 678,540 | ||||||
Essex Property Trust, Inc. | 1,918 | 435,578 | ||||||
Grainger PLC | 8,775 | 26,691 | ||||||
Grand City Properties SA | 2,160 | 47,375 | ||||||
Irish Residential Properties REIT PLC | 7,500 | 9,788 | ||||||
Japan Rental Housing Investments, Inc. | 32 | 25,389 | ||||||
Killam Apartment Real Estate Investment Trust | 1,050 | 9,904 | ||||||
LEG Immobilien AG(b) | 1,350 | 131,599 | ||||||
Mid-America Apartment Communities, Inc. | 1,612 | 151,512 | ||||||
Milestone Apartments Real Estate Investment Trust | 1,500 | 22,522 | ||||||
Mirvac Group | 110,255 | 191,895 | ||||||
Monogram Residential Trust, Inc. | 3,600 | 37,872 | ||||||
Nippon Accommodations Fund, Inc. | 10 | 42,871 |
AB POOLING PORTFOLIOS • | 193 |
AB Volatility Management Portfolio—Portfolio of Investments
Company | Shares | U.S. $ Value | ||||||
| ||||||||
Northview Apartment Real Estate Investment Trust | 950 | $ | 14,669 | |||||
Post Properties, Inc. | 1,130 | 74,896 | ||||||
Sekisui House SI Residential Investment Corp.(e) | 21 | 24,282 | ||||||
Stockland | 72,975 | 265,667 | ||||||
Sun Communities, Inc. | 1,216 | 93,048 | ||||||
TAG Immobilien AG | 2,820 | 40,526 | ||||||
UDR, Inc. | 7,692 | 278,297 | ||||||
UNITE Group PLC (The) | 4,783 | 39,363 | ||||||
Vonovia SE | 14,200 | 551,725 | ||||||
|
| |||||||
5,102,459 | ||||||||
|
| |||||||
Self Storage – 0.3% | ||||||||
Big Yellow Group PLC | 3,054 | 30,371 | ||||||
CubeSmart | 3,768 | 103,733 | ||||||
Extra Space Storage, Inc. | 3,510 | 282,730 | ||||||
Life Storage, Inc. | 984 | 88,560 | ||||||
Public Storage | 4,285 | 959,583 | ||||||
Safestore Holdings PLC | 4,430 | 21,670 | ||||||
|
| |||||||
1,486,647 | ||||||||
|
| |||||||
Single Family – 0.0% | ||||||||
Colony Starwood Homes(e) | 1,050 | 32,550 | ||||||
|
| |||||||
Student Housing – 0.0% | ||||||||
American Campus Communities, Inc. | 2,800 | 140,308 | ||||||
Education Realty Trust, Inc. | 1,393 | 63,117 | ||||||
|
| |||||||
203,425 | ||||||||
|
| |||||||
6,825,081 | ||||||||
|
| |||||||
Office – 0.9% | ||||||||
Office – 0.9% | ||||||||
Allied Properties Real Estate Investment Trust | 1,667 | 46,817 | ||||||
Allreal Holding AG (Reg)(b) | 200 | 29,505 | ||||||
alstria office REIT-AG(b) | 2,250 | 31,378 | ||||||
Befimmo SA | 370 | 24,784 | ||||||
Boston Properties, Inc. | 4,450 | 623,579 | ||||||
Brandywine Realty Trust | 3,751 | 60,504 | ||||||
CA Immobilien Anlagen AG(b) | 1,523 | 28,905 | ||||||
CapitaLand Commercial Trust | 60,050 | 68,036 | ||||||
Castellum AB | 5,256 | 79,464 | ||||||
Columbia Property Trust, Inc. | 2,600 | 61,308 | ||||||
Cominar Real Estate Investment Trust | 3,605 | 45,221 | ||||||
Corporate Office Properties Trust | 2,030 | 57,896 | ||||||
Cousins Properties, Inc. | 4,429 | 48,808 | ||||||
Cromwell Property Group | 31,286 | 23,959 | ||||||
Daiwa Office Investment Corp. | 6 | 35,912 | ||||||
Derwent London PLC | 2,140 | 76,761 | ||||||
Douglas Emmett, Inc. | 2,940 | 110,426 |
194 | • AB POOLING PORTFOLIOS |
AB Volatility Management Portfolio—Portfolio of Investments
Company | Shares | U.S. $ Value | ||||||
| ||||||||
Dream Global Real Estate Investment Trust | 1,980 | $ | 13,513 | |||||
Dream Office Real Estate Investment Trust | 2,280 | 27,922 | ||||||
Empire State Realty Trust, Inc. – Class A | 2,039 | 43,777 | ||||||
Entra ASA(a) | 1,348 | 14,429 | ||||||
Equity Commonwealth(b) | 2,704 | 84,608 | ||||||
Fabege AB | 2,840 | 52,638 | ||||||
First Potomac Realty Trust | 1,230 | 12,386 | ||||||
Fonciere de Paris SIIC | 60 | 9,391 | ||||||
Franklin Street Properties Corp. | 1,870 | 23,487 | ||||||
Government Properties Income Trust(e) | 1,508 | 35,136 | ||||||
Green REIT PLC | 14,440 | 23,726 | ||||||
Hibernia REIT PLC | 14,640 | 22,813 | ||||||
Highwoods Properties, Inc. | 2,110 | 111,914 | ||||||
Hongkong Land Holdings Ltd. | 35,750 | 231,706 | ||||||
Hudson Pacific Properties, Inc. | 2,328 | 77,918 | ||||||
Inmobiliaria Colonial SA | 4,882 | 36,209 | ||||||
Investa Office Fund | 12,110 | 41,454 | ||||||
Japan Excellent, Inc. | 25 | 33,706 | ||||||
Japan Prime Realty Investment Corp. | 26 | 115,000 | ||||||
Japan Real Estate Investment Corp.(e) | 39 | 229,329 | ||||||
Kenedix Office Investment Corp. – Class A(e) | 8 | 48,269 | ||||||
Keppel REIT | 40,420 | 31,590 | ||||||
Kilroy Realty Corp. | 1,984 | 144,098 | ||||||
Liberty Property Trust | 3,160 | 130,287 | ||||||
Mack-Cali Realty Corp. | 1,907 | 52,938 | ||||||
Mori Hills REIT Investment Corp. | 31 | 46,896 | ||||||
New York REIT, Inc. | 3,460 | 33,424 | ||||||
Nippon Building Fund, Inc. | 43 | 263,170 | ||||||
Norwegian Property ASA | 5,247 | 6,617 | ||||||
NTT Urban Development Corp. | 3,372 | 30,991 | ||||||
Paramount Group, Inc. | 3,071 | 55,278 | ||||||
Parkway Properties, Inc./Md | 1,700 | 30,600 | ||||||
Piedmont Office Realty Trust, Inc. – Class A(e) | 3,100 | 66,991 | ||||||
PS Business Parks, Inc. | 440 | 48,743 | ||||||
PSP Swiss Property AG (REG) | 860 | 82,404 | ||||||
SL Green Realty Corp. | 2,930 | 344,919 | ||||||
Technopolis Oyj | 2,057 | 9,063 | ||||||
Tier REIT, Inc. | 1,000 | 16,020 | ||||||
Tokyo Tatemono Co., Ltd. | 6,100 | 71,709 | ||||||
Vornado Realty Trust | 4,990 | 515,517 | ||||||
Workspace Group PLC | 2,497 | 22,509 | ||||||
|
| |||||||
4,746,358 | ||||||||
|
| |||||||
Real Estate – 0.3% | ||||||||
Equity Real Estate Investment Trusts (REITs) – 0.2% | ||||||||
American Tower Corp. | 3,220 | 365,083 | ||||||
Crown Castle International Corp. | 2,580 | 244,507 | ||||||
Equinix, Inc. | 524 | 193,173 |
AB POOLING PORTFOLIOS • | 195 |
AB Volatility Management Portfolio—Portfolio of Investments
Company | Shares | U.S. $ Value | ||||||
| ||||||||
Iron Mountain, Inc. | 1,780 | $ | 68,370 | |||||
Weyerhaeuser Co. | 5,660 | 180,271 | ||||||
|
| |||||||
1,051,404 | ||||||||
|
| |||||||
Real Estate Management & | ||||||||
CBRE Group, Inc. – Class A(b) | 2,190 | 65,459 | ||||||
Daito Trust Construction Co., Ltd. | 700 | 103,113 | ||||||
Daiwa House Industry Co., Ltd. | 5,000 | 129,171 | ||||||
Global Logistic Properties Ltd. | 22,200 | 29,518 | ||||||
LendLease Group | 4,610 | 47,771 | ||||||
Swire Pacific Ltd. – Class A | 5,000 | 55,160 | ||||||
Tokyu Fudosan Holdings Corp. | 4,280 | 23,875 | ||||||
Wheelock & Co., Ltd. | 7,000 | 39,971 | ||||||
|
| |||||||
494,038 | ||||||||
|
| |||||||
1,545,442 | ||||||||
|
| |||||||
Lodging – 0.2% | ||||||||
Lodging – 0.2% | ||||||||
Apple Hospitality REIT, Inc. | 3,530 | 69,259 | ||||||
Ashford Hospitality Trust, Inc. | 1,940 | 13,522 | ||||||
CDL Hospitality Trusts | 13,658 | 13,883 | ||||||
Chatham Lodging Trust | 780 | 16,169 | ||||||
Chesapeake Lodging Trust | 1,264 | 32,207 | ||||||
DiamondRock Hospitality Co. | 4,300 | 45,537 | ||||||
FelCor Lodging Trust, Inc. | 2,970 | 21,117 | ||||||
Hersha Hospitality Trust | 805 | 15,730 | ||||||
Hospitality Properties Trust | 3,240 | 98,788 | ||||||
Host Hotels & Resorts, Inc. | 21,660 | 385,981 | ||||||
Japan Hotel REIT Investment Corp. | 71 | 61,065 | ||||||
LaSalle Hotel Properties | 2,400 | 67,344 | ||||||
Pandox AB | 1,126 | 20,703 | ||||||
Pebblebrook Hotel Trust | 1,530 | 45,961 | ||||||
RLJ Lodging Trust | 2,680 | 62,551 | ||||||
Ryman Hospitality Properties, Inc. | 1,030 | 55,579 | ||||||
Summit Hotel Properties, Inc. | 1,780 | 25,454 | ||||||
Sunstone Hotel Investors, Inc. | 4,633 | 64,352 | ||||||
Xenia Hotels & Resorts, Inc. | 2,280 | 38,395 | ||||||
|
| |||||||
1,153,597 | ||||||||
|
| |||||||
Total Common Stocks | 285,026,450 | |||||||
|
| |||||||
INVESTMENT COMPANIES – 4.0% | ||||||||
Funds and Investment Trusts – 4.0% | ||||||||
F&C UK Real Estate Investment Ltd. | 5,110 | 6,308 | ||||||
iShares International Developed Real Estate ETF(e) | 351,297 | 10,595,118 | ||||||
MedicX Fund Ltd. | 7,975 | 9,608 | ||||||
Picton Property Income Ltd. | 11,532 | 10,531 |
196 | • AB POOLING PORTFOLIOS |
AB Volatility Management Portfolio—Portfolio of Investments
Company | Shares | U.S. $ Value | ||||||
| ||||||||
Standard Life Investment Property Income Trust Ltd. | 8,122 | $ | 8,612 | |||||
UK Commercial Property Trust Ltd.(e) | 14,183 | 14,875 | ||||||
Vanguard REIT ETF(e) | 108,761 | 9,676,466 | ||||||
|
| |||||||
Total Investment Companies | 20,321,518 | |||||||
|
| |||||||
Contracts | ||||||||
OPTIONS PURCHASED - CALLS – 0.7% | ||||||||
Options on Indices – 0.7% | ||||||||
Euro STOXX 50 Volatility Index | 49,280 | 2,246,906 | ||||||
Russell 2000 Index | 46,400 | 526,640 | ||||||
Russell 2000 Index | 47,600 | 546,594 | ||||||
S&P 500 Index | 59,200 | 514,058 | ||||||
|
| |||||||
Total Options Purchased – Calls | 3,834,198 | |||||||
|
| |||||||
SHORT-TERM INVESTMENTS – 40.1% | ||||||||
Investment Companies – 33.8% | ||||||||
AB Fixed Income Shares, Inc. – | 173,448,642 | 173,448,642 | ||||||
|
| |||||||
Principal Amount (000) | ||||||||
U.S. Treasury Bills – 6.3% | ||||||||
U.S. Treasury Bill | $ | 32,500 | 32,491,910 | |||||
|
| |||||||
Total Short-Term Investments | 205,940,552 | |||||||
|
| |||||||
Total Investments Before Security | 515,122,718 | |||||||
|
|
AB POOLING PORTFOLIOS • | 197 |
AB Volatility Management Portfolio—Portfolio of Investments
Company | Shares | U.S. $ Value | ||||||
| ||||||||
INVESTMENTS OF CASH COLLATERAL FOR SECURITIES LOANED – 1.0% | ||||||||
Investment Companies – 1.0% | ||||||||
AB Fixed Income Shares, Inc. – | 5,295,594 | $ | 5,295,594 | |||||
|
| |||||||
Total Investments – 101.3% | 520,418,312 | |||||||
Other assets less liabilities – (1.3)% | (6,516,141 | ) | ||||||
|
| |||||||
Net Assets – 100.0% | $ | 513,902,171 | ||||||
|
|
FUTURES (see Note C)
Type | Number of Contracts | Expiration Month | Original Value | Value at August 31, 2016 | Unrealized Appreciation/ (Depreciation) | |||||||||||||||
Purchased Contracts |
| |||||||||||||||||||
DAX Index Futures | 2 | September 2016 | $ | 581,851 | $ | 591,774 | $ | 9,923 | ||||||||||||
FTSE 100 Index Futures | 319 | September 2016 | 28,749,774 | 28,426,191 | (323,583 | ) | ||||||||||||||
Mini MSCI EAFE Futures | 17 | September 2016 | 1,366,183 | 1,434,460 | 68,277 | |||||||||||||||
Mini MSCI Emerging Market Futures | 60 | September 2016 | 2,719,658 | 2,663,700 | (55,958 | ) | ||||||||||||||
S&P 500 E-Mini Futures | 300 | September 2016 | 32,477,334 | 32,542,500 | 65,166 | |||||||||||||||
S&P Mid 400 E-Mini Futures | 5 | September 2016 | 783,660 | 781,900 | (1,760 | ) | ||||||||||||||
S&P TSX 60 Index Futures | 4 | September 2016 | 523,234 | 518,591 | (4,643 | ) | ||||||||||||||
TOPIX Index Futures | 32 | September 2016 | 4,103,667 | 4,115,015 | 11,348 | |||||||||||||||
Sold Contracts |
| |||||||||||||||||||
Euro STOXX 50 Index Futures | 1,022 | September 2016 | 34,082,752 | 34,541,701 | (458,949 | ) | ||||||||||||||
Hang Seng Index Futures | 32 | September 2016 | 4,720,892 | 4,729,122 | (8,230 | ) | ||||||||||||||
Russell 2000 Mini Futures | 164 | September 2016 | 20,296,217 | 20,316,320 | (20,103 | ) | ||||||||||||||
SPI 200 Futures | 74 | September 2016 | 7,261,513 | 7,521,891 | (260,378 | ) | ||||||||||||||
|
| |||||||||||||||||||
$ | (978,890 | ) | ||||||||||||||||||
|
|
198 | • AB POOLING PORTFOLIOS |
AB Volatility Management 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) | ||||||||||||||||||||
Bank of America, NA | EUR | 4,566 | USD | 5,127 | 9/20/16 | $ | 30,234 | |||||||||||||||||
Bank of America, NA | SEK | 10,505 | USD | 1,274 | 9/20/16 | 45,582 | ||||||||||||||||||
Barclays Capital PLC | JPY | 1,419,204 | USD | 13,898 | 9/20/16 | 171,402 | ||||||||||||||||||
Barclays Capital PLC | JPY | 1,024,344 | USD | 9,370 | 9/20/16 | (538,047 | ) | |||||||||||||||||
Barclays Capital PLC | USD | 741 | JPY | 75,853 | 9/20/16 | (6,840 | ) | |||||||||||||||||
BNP Paribas SA | AUD | 5,072 | USD | 3,648 | 9/20/16 | (162,487 | ) | |||||||||||||||||
BNP Paribas SA | EUR | 3,653 | USD | 4,064 | 9/20/16 | (13,618 | ) | |||||||||||||||||
BNP Paribas SA | USD | 4,119 | EUR | 3,636 | 9/20/16 | (59,317 | ) | |||||||||||||||||
BNP Paribas SA | USD | 1,735 | EUR | 1,554 | 9/20/16 | 557 | ||||||||||||||||||
BNP Paribas SA | USD | 4,811 | EUR | 4,225 | 12/15/16 | (75,899 | ) | |||||||||||||||||
Brown Brothers Harriman & Co. | JPY | 2,834,861 | USD | 28,228 | 9/20/16 | 808,847 | ||||||||||||||||||
Brown Brothers Harriman & Co. | USD | 1,339 | SEK | 11,016 | 9/20/16 | (51,470 | ) | |||||||||||||||||
Citibank, NA | EUR | 2,155 | USD | 2,448 | 9/20/16 | 41,872 | ||||||||||||||||||
Citibank, NA | GBP | 10,897 | USD | 15,996 | 9/20/16 | 1,682,006 | ||||||||||||||||||
Citibank, NA | USD | 2,385 | CAD | 3,045 | 9/20/16 | (62,882 | ) | |||||||||||||||||
Citibank, NA | USD | 7,488 | EUR | 6,704 | 9/20/16 | (3,126 | ) | |||||||||||||||||
Citibank, NA | USD | 1,889 | EUR | 1,692 | 9/20/16 | 129 | ||||||||||||||||||
Credit Suisse International | CHF | 12,331 | USD | 12,585 | 9/20/16 | 35,059 | ||||||||||||||||||
Credit Suisse International | EUR | 5,569 | USD | 6,201 | 9/20/16 | (15,416 | ) | |||||||||||||||||
Credit Suisse International | SEK | 34,906 | USD | 4,072 | 9/20/16 | (8,856 | ) | |||||||||||||||||
Credit Suisse International | USD | 15,608 | CAD | 20,167 | 9/20/16 | (227,664 | ) | |||||||||||||||||
Credit Suisse International | USD | 7,895 | EUR | 6,975 | 9/20/16 | (109,599 | ) | |||||||||||||||||
Credit Suisse International | EUR | 11,200 | USD | 12,531 | 12/15/16 | (19,481 | ) | |||||||||||||||||
Deutsche Bank AG | EUR | 13,444 | USD | 14,876 | 9/20/16 | (131,079 | ) | |||||||||||||||||
Deutsche Bank AG | JPY | 1,419,204 | USD | 13,886 | 9/20/16 | 158,738 | ||||||||||||||||||
HSBC Bank USA | CAD | 2,138 | USD | 1,651 | 9/20/16 | 20,351 | ||||||||||||||||||
HSBC Bank USA | CHF | 1,804 | USD | 1,831 | 9/20/16 | (5,703 | ) | |||||||||||||||||
HSBC Bank USA | USD | 692 | CHF | 679 | 9/20/16 | (1,062 | ) | |||||||||||||||||
HSBC Bank USA | USD | 7,067 | GBP | 4,966 | 9/20/16 | (543,877 | ) | |||||||||||||||||
JPMorgan Chase Bank, NA | AUD | 10,199 | USD | 7,430 | 9/20/16 | (231,452 | ) | |||||||||||||||||
JPMorgan Chase Bank, NA | CAD | 17,411 | USD | 13,307 | 9/20/16 | 28,629 | ||||||||||||||||||
JPMorgan Chase Bank, NA | EUR | 17,720 | USD | 19,930 | 9/20/16 | 148,830 | ||||||||||||||||||
JPMorgan Chase Bank, NA | EUR | 2,650 | USD | 2,924 | 9/20/16 | (34,445 | ) | |||||||||||||||||
JPMorgan Chase Bank, NA | GBP | 7,519 | USD | 9,758 | 9/20/16 | (119,824 | ) | |||||||||||||||||
JPMorgan Chase Bank, NA | USD | 24,680 | AUD | 33,144 | 9/20/16 | 218,822 | ||||||||||||||||||
JPMorgan Chase Bank, NA | USD | 2,088 | AUD | 2,769 | 9/20/16 | (7,570 | ) | |||||||||||||||||
JPMorgan Chase Bank, NA | USD | 766 | CAD | 998 | 9/20/16 | (4,347 | ) | |||||||||||||||||
JPMorgan Chase Bank, NA | USD | 7,973 | GBP | 5,979 | 9/20/16 | (118,494 | ) | |||||||||||||||||
JPMorgan Chase Bank, NA | USD | 2,584 | GBP | 2,004 | 9/20/16 | 47,900 | ||||||||||||||||||
JPMorgan Chase Bank, NA | USD | 28,746 | JPY | 3,035,977 | 9/20/16 | 619,287 | ||||||||||||||||||
Morgan Stanley & Co., Inc. | CAD | 11,910 | USD | 9,125 | 9/20/16 | 42,633 | ||||||||||||||||||
Morgan Stanley & Co., Inc. | CHF | 1,563 | USD | 1,608 | 9/20/16 | 16,255 | ||||||||||||||||||
Morgan Stanley & Co., Inc. | EUR | 17,274 | USD | 19,402 | 9/20/16 | 119,184 | ||||||||||||||||||
Morgan Stanley & Co., Inc. | EUR | 6,240 | USD | 6,912 | 9/20/16 | (54,308 | ) | |||||||||||||||||
Morgan Stanley & Co., Inc. | GBP | 578 | USD | 753 | 9/20/16 | (5,343 | ) | |||||||||||||||||
Morgan Stanley & Co., Inc. | JPY | 1,153,949 | USD | 10,428 | 9/20/16 | (733,179 | ) | |||||||||||||||||
Morgan Stanley & Co., Inc. | JPY | 129,354 | USD | 1,263 | 9/20/16 | 12,319 | ||||||||||||||||||
Morgan Stanley & Co., Inc. | USD | 6,299 | JPY | 648,677 | 9/20/16 | (25,105 | ) | |||||||||||||||||
Royal Bank of Scotland PLC | AUD | 38,580 | USD | 28,568 | 9/20/16 | (413,569 | ) |
AB POOLING PORTFOLIOS • | 199 |
AB Volatility Management Portfolio—Portfolio of Investments
Counterparty | Contracts to Deliver (000) | In Exchange For (000) | Settlement Date | Unrealized Appreciation/ (Depreciation) | ||||||||||||||||||||
Royal Bank of Scotland PLC | EUR | 4,605 | USD | 5,079 | 9/20/16 | $ | (61,350 | ) | ||||||||||||||||
Royal Bank of Scotland PLC | GBP | 31,230 | USD | 45,255 | 9/20/16 | 4,227,715 | ||||||||||||||||||
Royal Bank of Scotland PLC | JPY | 843,975 | USD | 7,950 | 9/20/16 | (213,540 | ) | |||||||||||||||||
Standard Chartered Bank | GBP | 3,529 | USD | 5,170 | 9/20/16 | 534,786 | ||||||||||||||||||
Standard Chartered Bank | USD | 1,270 | CAD | 1,671 | 9/20/16 | 3,664 | ||||||||||||||||||
State Street Bank & Trust Co. | CHF | 4,528 | USD | 4,726 | 9/20/16 | 117,193 | ||||||||||||||||||
State Street Bank & Trust Co. | EUR | 1,502 | USD | 1,666 | 9/20/16 | (10,106 | ) | |||||||||||||||||
State Street Bank & Trust Co. | JPY | 137,948 | USD | 1,339 | 9/20/16 | 4,973 | ||||||||||||||||||
State Street Bank & Trust Co. | SEK | 9,181 | USD | 1,109 | 9/20/16 | 35,504 | ||||||||||||||||||
State Street Bank & Trust Co. | USD | 14,616 | AUD | 19,665 | 9/20/16 | 156,294 | ||||||||||||||||||
State Street Bank & Trust Co. | USD | 22,838 | CHF | 21,790 | 9/20/16 | (660,522 | ) | |||||||||||||||||
State Street Bank & Trust Co. | USD | 67,308 | EUR | 59,516 | 9/20/16 | (871,966 | ) | |||||||||||||||||
State Street Bank & Trust Co. | USD | 48,015 | GBP | 32,706 | 9/20/16 | (5,048,706 | ) | |||||||||||||||||
State Street Bank & Trust Co. | USD | 56,845 | JPY | 5,934,996 | 9/20/16 | 559,671 | ||||||||||||||||||
State Street Bank & Trust Co. | USD | 6,852 | SEK | 56,309 | 9/20/16 | (268,244 | ) | |||||||||||||||||
UBS AG | CAD | 1,905 | USD | 1,467 | 9/20/16 | 14,170 | ||||||||||||||||||
UBS AG | EUR | 8,144 | USD | 9,015 | 9/20/16 | (75,676 | ) | |||||||||||||||||
UBS AG | USD | 7,093 | CAD | 9,304 | 9/20/16 | 3,006 | ||||||||||||||||||
UBS AG | USD | 8,264 | EUR | 7,442 | 9/20/16 | 43,910 | ||||||||||||||||||
|
| |||||||||||||||||||||||
$ | (1,044,647 | ) | ||||||||||||||||||||||
|
|
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 | 3,191 | | LIBOR Minus 0.76% | | $ | 18,545 | 1/17/17 | $ | 561,425 | |||||||||||
Citibank, NA | ||||||||||||||||||||
S&P Midcap 400 Index | 12,294 | | LIBOR Minus 0.23% | | 27,922 | 2/15/17 | (63,147 | ) | ||||||||||||
Goldman Sachs International | ||||||||||||||||||||
MSCI Emerging Markets Index | 164,899 | | LIBOR Minus 0.25% | | 62,493 | 10/17/16 | 2,000,945 | |||||||||||||
Russell 2000 Total Return Index | 751 | | LIBOR Minus 0.72% | | 4,365 | 10/17/16 | 131,930 | |||||||||||||
|
| |||||||||||||||||||
$ | 2,631,153 | |||||||||||||||||||
|
|
^ | Less than $0.50. |
(a) | Security is exempt from registration under Rule 144A of the Securities Act of 1933. These securities are considered restricted, but liquid and may be resold in transactions exempt from registration, normally to qualified institutional buyers. At August 31, 2016, the aggregate market value of these securities amounted to $460,982 or 0.1% of net assets. |
(b) | Non-income producing security. |
(c) | Illiquid security. |
(d) | Fair valued by the Adviser. |
(e) | Represents entire or partial securities out on loan. See Note D for securities lending information. |
(f) | One contract relates to 1 share. |
(g) | Investment in affiliated money market mutual fund. The rate shown represents the 7-day yield as of period end. |
200 | • AB POOLING PORTFOLIOS |
AB Volatility Management Portfolio—Portfolio of Investments
(h) | 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. |
(i) | 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
Glossary:
ADR | – American Depositary Receipt |
DAX | – Deutscher Aktien Index (German Stock Index) |
EAFE | – Europe, Australia, and Far East |
ETF | – Exchange Traded Fund |
FTSE | – Financial Times Stock Exchange |
GDR | – Global Depositary Receipt |
LIBOR | – London Interbank Offered Rates |
MSCI | – Morgan Stanley Capital International |
REG | – Registered Shares |
REIT | – Real Estate Investment Trust |
RSP | – Risparmio (Convertible Savings Shares) |
SPI | – Share Price Index |
TOPIX | – Tokyo Price Index |
TSX | – Toronto Stock Exchange |
See notes to financial statements.
AB POOLING PORTFOLIOS • | 201 |
AB Volatility Management Portfolio—Portfolio of Investments
STATEMENT OF ASSETS & LIABILITIES
August 31, 2016
AB U.S. Value | AB U.S. Large Cap Growth | AB International Value | ||||||||||
Assets | ||||||||||||
Investments in securities, at value | ||||||||||||
Unaffiliated issuers (cost $260,614,199, $215,199,832 and $254,395,952, respectively)(a) | $ | 311,862,383 | $ | 300,074,527 | $ | 266,606,870 | ||||||
Affiliated issuers (cost $8,001,747, $19,989,878 and $1,045,334,—including investment of cash collateral for securities loaned of $3,320,729, $584,918 and $1,599, respectively) | 8,001,747 | 19,989,878 | 1,045,334 | |||||||||
Cash collateral due from broker | – 0 | – | – 0 | – | 30,856 | |||||||
Foreign currencies, at value (cost $0, $0 and $626,046, respectively) | – 0 | – | – 0 | – | 620,557 | |||||||
Receivable for investment securities sold | 4,735,725 | – 0 | – | 654,797 | ||||||||
Dividends and interest receivable | 841,112 | 169,097 | 1,676,080 | |||||||||
Receivable due from Adviser | 1,674 | 2,981 | 820 | |||||||||
Unrealized appreciation of forward currency exchange contracts | – 0 | – | – 0 | – | 384,988 | |||||||
|
|
|
|
|
| |||||||
Total assets | 325,442,641 | 320,236,483 | 271,020,302 | |||||||||
|
|
|
|
|
| |||||||
Liabilities | ||||||||||||
Payable for collateral received on securities loaned | 3,320,729 | 584,918 | 1,599 | |||||||||
Payable for investment securities purchased and foreign currency transactions | 1,037,325 | 698,610 | 206,706 | |||||||||
Payable for shares of beneficial interest redeemed | 500,292 | – 0 | – | 23,279 | ||||||||
Administrative fee payable | 10,693 | 10,693 | 9,713 | |||||||||
Payable for variation margin on exchange-traded derivatives | – 0 | – | – 0 | – | 310 | |||||||
Unrealized depreciation of forward currency exchange contracts | – 0 | – | – 0 | – | 248,868 | |||||||
Audit and tax fee payable | 44,932 | 44,932 | 59,598 | |||||||||
Accrued expenses | 43,294 | 38,638 | 92,729 | |||||||||
|
|
|
|
|
| |||||||
Total liabilities | 4,957,265 | 1,377,791 | 642,802 | |||||||||
|
|
|
|
|
| |||||||
Net Assets | $ | 320,485,376 | $ | 318,858,692 | $ | 270,377,500 | ||||||
|
|
|
|
|
|
See notes to financial statements.
202 | • 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 | $ | 557,037,410 | $ | 188,116,678 | $ | 710,600,445 | ||||||
Undistributed net investment income | 1,449,936 | 365,464 | 3,820,929 | |||||||||
Accumulated net realized gain (loss) on investment and foreign currency transactions | (289,250,154 | ) | 45,501,855 | (456,394,241 | ) | |||||||
Net unrealized appreciation on investments and foreign currency denominated assets and liabilities | 51,248,184 | 84,874,695 | 12,350,367 | |||||||||
|
|
|
|
|
| |||||||
Net Assets | $ | 320,485,376 | $ | 318,858,692 | $ | 270,377,500 | ||||||
|
|
|
|
|
| |||||||
Shares of beneficial interest outstanding—unlimited shares authorized, without par value | 24,183,897 | 31,051,575 | 38,773,202 | |||||||||
|
|
|
|
|
| |||||||
Net Asset Value | $ | 13.25 | $ | 10.27 | $ | 6.97 | ||||||
|
|
|
|
|
|
(a) | Includes securities on loan with a value of $3,199,626, $560,018 and $0, respectively (see Note D). |
See notes to financial statements.
AB POOLING PORTFOLIOS • | 203 |
Statement of Assets & Liabilities
AB International Growth | AB Short Duration Bond | AB Global Core Bond | ||||||||||
Assets | ||||||||||||
Investments in securities, at value | ||||||||||||
Unaffiliated issuers (cost $225,234,383, $76,888,796 and $249,281,312, respectively)(a) | $ | 264,130,539 | $ | 77,014,090 | $ | 258,536,449 | ||||||
Affiliated issuers (cost $9,552,202, $0 and $0,—including investment of cash collateral for securities loaned of $8,638,173, $0 and $0, respectively) | 9,552,202 | – 0 | – | – 0 | – | |||||||
Cash | – 0 | – | 1,487,428 | 8,816,407 | ||||||||
Cash collateral due from broker | – 0 | – | 62,018 | 497,388 | ||||||||
Foreign currencies, at value (cost $1,883,348, $0 and $239,115, respectively) | 1,883,395 | – 0 | – | 236,920 | ||||||||
Unrealized appreciation of forward currency exchange contracts | 4,246,613 | – 0 | – | 1,570,228 | ||||||||
Receivable for investment securities sold | 1,389,488 | – 0 | – | 803,200 | ||||||||
Dividends and interest receivable | 1,091,450 | 174,937 | 1,957,471 | |||||||||
Receivable due from Adviser | 1,108 | 63,648 | – 0 | – | ||||||||
Receivable for variation margin on exchange-traded derivatives | – 0 | – | 3,341 | 5,347 | ||||||||
|
|
|
|
|
| |||||||
Total assets | 282,294,795 | 78,805,462 | 272,423,410 | |||||||||
|
|
|
|
|
| |||||||
Liabilities | ||||||||||||
Payable for collateral received on securities loaned | 8,638,173 | – 0 | – | – 0 | – | |||||||
Unrealized depreciation of forward currency exchange contracts | 2,008,576 | 91,504 | 1,760,934 | |||||||||
Payable for investment securities purchased and foreign currency transactions | 1,777,855 | 314,190 | 10,228,695 | |||||||||
Payable for shares of beneficial interest redeemed | 394,927 | 9,241 | 2,316 | |||||||||
Audit and tax fee payable | 58,464 | 51,610 | 58,853 | |||||||||
Administrative fee payable | 9,971 | 8,124 | 8,124 | |||||||||
Upfront premium received on credit default swaps | – 0 | – | 21,191 | – 0 | – | |||||||
Unrealized depreciation on credit default swaps | – 0 | – | 6,887 | – 0 | – | |||||||
Accrued expenses and other liabilities | 161,529 | 48,040 | 50,096 | |||||||||
|
|
|
|
|
| |||||||
Total liabilities | 13,049,495 | 550,787 | 12,109,018 | |||||||||
|
|
|
|
|
| |||||||
Net Assets | $ | 269,245,300 | $ | 78,254,675 | $ | 260,314,392 | ||||||
|
|
|
|
|
|
See notes to financial statements.
204 | • AB POOLING PORTFOLIOS |
Statement of Assets & Liabilities
AB International Growth | AB Short Duration Bond | AB Global Core Bond | ||||||||||
Composition of Net Assets | ||||||||||||
Paid-in capital | $ | 580,682,516 | $ | 148,668,242 | $ | 262,755,619 | ||||||
Undistributed (Distributions in excess) of net investment income | 6,626,469 | 460,946 | (15,028,511 | ) | ||||||||
Accumulated net realized gain (loss) on investment and foreign currency transactions | (359,061,954 | ) | (70,885,935 | ) | 3,761,323 | |||||||
Net unrealized appreciation on investments and foreign currency denominated assets and liabilities | 40,998,269 | 11,422 | 8,825,961 | |||||||||
|
|
|
|
|
| |||||||
Net Assets | $ | 269,245,300 | $ | 78,254,675 | $ | 260,314,392 | ||||||
|
|
|
|
|
| |||||||
Shares of beneficial interest outstanding—unlimited shares authorized, without par value | 30,974,608 | 8,336,379 | 25,299,316 | |||||||||
|
|
|
|
|
| |||||||
Net Asset Value | $ | 8.69 | $ | 9.39 | $ | 10.29 | ||||||
|
|
|
|
|
|
(a) | Includes securities on loan with a value of $8,238,512 for the AB International Growth Portfolio (see Note D). |
See notes to financial statements.
AB POOLING PORTFOLIOS • | 205 |
Statement of Assets & Liabilities
AB Bond Inflation Protection | AB Small-Mid Cap Value | AB Small-Mid Cap Growth | ||||||||||
Assets | ||||||||||||
Investments in securities, at value | ||||||||||||
Unaffiliated issuers (cost $136,539,949, $77,926,651 and $73,414,766, respectively) | $ | 138,303,581 | $ | 93,283,028 | $ | 92,284,124 | ||||||
Affiliated issuers (cost $0, $1,234,362 and $350,662, respectively) | – 0 | – | 1,234,362 | 350,662 | ||||||||
Cash | 1,180,266 | – 0 | – | – 0 | – | |||||||
Foreign currencies, at value (cost $5,293,872, $0 and $0, respectively) | 5,125,037 | – 0 | – | – 0 | – | |||||||
Receivable for investment securities sold | 1,250,285 | 581,421 | 1,324,720 | |||||||||
Unrealized appreciation of forward currency exchange contracts | 492,533 | – 0 | – | – 0 | – | |||||||
Dividends and interest receivable | 364,212 | 73,473 | 32,733 | |||||||||
Receivable due from Adviser | 64,006 | 268 | 350 | |||||||||
Unrealized appreciation on credit default swaps | 19,273 | – 0 | – | – 0 | – | |||||||
Upfront premium paid on credit default swaps | 4,513 | – 0 | – | – 0 | – | |||||||
Receivable for variation margin on exchange-traded derivatives | 4,209 | – 0 | – | – 0 | – | |||||||
|
|
|
|
|
| |||||||
Total assets | 146,807,915 | 95,172,552 | 93,992,589 | |||||||||
|
|
|
|
|
| |||||||
Liabilities | ||||||||||||
Payable reverse repurchase agreements | 39,537,708 | – 0 | – | – 0 | – | |||||||
Payable for investment securities purchased | 1,153,401 | 1,071,659 | 227,115 | |||||||||
Unrealized depreciation of forward currency exchange contracts | 880,777 | – 0 | – | – 0 | – | |||||||
Payable for variation margin on exchange-traded derivatives | 4,450 | – 0 | – | – 0 | – | |||||||
Unrealized depreciation on inflation swaps | 111,432 | – 0 | – | – 0 | – | |||||||
Upfront premium received on credit default swaps | 49,082 | – 0 | – | – 0 | – | |||||||
Unrealized depreciation on credit default swaps | 18,010 | – 0 | – | – 0 | – | |||||||
Administrative fee payable | 8,349 | 7,307 | 7,597 | |||||||||
Payable for shares of beneficial interest redeemed | – 0 | – | 141,684 | 55,973 | ||||||||
Audit and tax fee payable | 76,459 | 48,978 | 44,932 | |||||||||
Accrued expenses | 48,930 | 44,808 | 40,954 | |||||||||
|
|
|
|
|
| |||||||
Total liabilities | 41,888,598 | 1,314,436 | 376,571 | |||||||||
|
|
|
|
|
| |||||||
Net Assets | $ | 104,919,317 | $ | 93,858,116 | $ | 93,616,018 | ||||||
|
|
|
|
|
|
See notes to financial statements.
206 | • AB POOLING PORTFOLIOS |
Statement of Assets & Liabilities
AB Bond Inflation Protection | AB Small-Mid Cap Value | AB Small-Mid Cap Growth | ||||||||||
Composition of Net Assets | ||||||||||||
Paid-in capital | $ | 109,836,581 | $ | 69,255,159 | $ | 66,982,090 | ||||||
Undistributed net investment income | 6,107,995 | 246,504 | 186,322 | |||||||||
Accumulated net realized gain (loss) on investment and foreign currency transactions | (11,105,834 | ) | 9,000,076 | 7,578,248 | ||||||||
Net unrealized appreciation on investments and foreign currency denominated assets and liabilities | 80,575 | 15,356,377 | 18,869,358 | |||||||||
|
|
|
|
|
| |||||||
Net Assets | $ | 104,919,317 | $ | 93,858,116 | $ | 93,616,018 | ||||||
|
|
|
|
|
| |||||||
Shares of beneficial interest outstanding—unlimited shares authorized, without par value | 10,577,800 | 8,723,651 | 9,926,410 | |||||||||
|
|
|
|
|
| |||||||
Net Asset Value | $ | 9.92 | $ | 10.76 | $ | 9.43 | ||||||
|
|
|
|
|
|
See notes to financial statements.
AB POOLING PORTFOLIOS • | 207 |
Statement of Assets & Liabilities
AB Multi-Asset Real Return* | AB Volatility Management | |||||||
Assets | ||||||||
Investments in securities, at value | ||||||||
Unaffiliated issuers (cost $918,213,913 and $268,332,672, respectively)(a) | $ | 927,983,542 | $ | 341,674,076 | ||||
Affiliated issuers (cost $65,296,765 and $178,744,236,—including investment of cash collateral for securities loaned of $41,295,503 and $5,295,594, respectively) | 65,296,765 | 178,744,236 | ||||||
Cash collateral due from broker | 7,053,442 | – 0 | – | |||||
Foreign currencies, at value (cost $2,764,598 and $1,293,207, respectively) | 2,750,807 | 1,290,205 | ||||||
Unrealized appreciation of forward currency exchange contracts | 6,720,041 | 9,949,522 | ||||||
Receivable for investment securities sold | 4,577,686 | 592,216 | ||||||
Dividends and interest receivable | 2,200,055 | 1,496,429 | ||||||
Unrealized appreciation on inflation swaps | 114,835 | – 0 | – | |||||
Receivable for shares of beneficial interest sold | 86,205 | 70,580 | ||||||
Receivable due from Adviser | 14,905 | 34,130 | ||||||
Unrealized appreciation on total return swaps | – 0 | – | 2,694,300 | |||||
|
|
|
| |||||
Total assets | 1,016,798,283 | 536,545,694 | ||||||
|
|
|
| |||||
Liabilities | ||||||||
Due to custodian | 5,033,953 | 1,811 | ||||||
Payable for collateral received on securities loaned | 41,229,315 | 5,281,213 | ||||||
Unrealized depreciation on total return swaps | 8,317,006 | 63,147 | ||||||
Payable for investment securities purchased and foreign currency transactions | 7,712,846 | 1,112,120 | ||||||
Unrealized depreciation on inflation swaps | 4,319,281 | – 0 | – | |||||
Unrealized depreciation of forward currency exchange contracts | 3,652,165 | 10,994,169 | ||||||
Payable for variation margin on exchange-traded derivatives | 658,865 | 390,502 | ||||||
Payable for terminated total return swaps | 481,612 | – 0 | – | |||||
Options written, at value (premiums received $226,197 and $0, respectively) | 132,071 | – 0 | – | |||||
Administrative fee payable | 10,886 | 10,845 | ||||||
Transfer Agent fee payable | 1,000 | – 0 | – | |||||
Collateral due to Securities Lending Agent | 66,188 | 14,381 | ||||||
Cash collateral due to broker | – 0 | – | 4,510,000 | |||||
Accrued expenses and other liabilities | 192,308 | 265,335 | ||||||
|
|
|
| |||||
Total liabilities | 71,807,496 | 22,643,523 | ||||||
|
|
|
| |||||
Net Assets | $ | 944,990,787 | $ | 513,902,171 | ||||
|
|
|
|
See notes to financial statements.
208 | • AB POOLING PORTFOLIOS |
Statement of Assets & Liabilities
AB Multi-Asset Real Return* | AB Volatility Management | |||||||
Composition of Net Assets | ||||||||
Paid-in capital | $ | 1,351,294,966 | $ | 343,276,618 | ||||
Undistributed net investment income | 10,670,032 | 34,872,610 | ||||||
Accumulated net realized gain (loss) on investment and foreign currency transactions | (416,097,515 | ) | 61,827,336 | |||||
Net unrealized appreciation / (depreciation) on investments and foreign currency denominated assets and liabilities | (876,696 | ) | 73,925,607 | |||||
|
|
|
| |||||
Net Assets | $ | 944,990,787 | $ | 513,902,171 | ||||
|
|
|
| |||||
Shares of beneficial interest outstanding—unlimited shares authorized, without par value | 151,637,045 | 46,759,085 | ||||||
|
|
|
| |||||
Net Asset Value | $ | 6.23 | $ | 10.99 | ||||
|
|
|
|
(a) | Includes securities on loan with a value of $39,426,034 and $5,056,432, respectively (see Note D). |
* | Consolidated (see Note A). |
See notes to financial statements.
AB POOLING PORTFOLIOS • | 209 |
Statement of Assets & Liabilities
STATEMENT OF OPERATIONS
Year Ended August 31, 2016
AB U.S. Value | AB U.S. Large Cap Growth | AB International Value | ||||||||||
Investment Income | ||||||||||||
Dividends | ||||||||||||
Unaffiliated issuers (net of foreign taxes withheld of $15,573, $0 and $958,837, respectively) | $ | 8,051,259 | $ | 2,790,930 | $ | 8,226,741 | ||||||
Affiliated issuers | 17,872 | 43,507 | 16,959 | |||||||||
Securities lending income | 55,135 | 22,873 | 135,893 | |||||||||
|
|
|
|
|
| |||||||
Total income | 8,124,266 | 2,857,310 | 8,379,593 | |||||||||
|
|
|
|
|
| |||||||
Expenses | ||||||||||||
Custodian | 91,397 | 93,419 | 159,495 | |||||||||
Administrative | 51,972 | 51,972 | 50,087 | |||||||||
Audit and tax | 49,133 | 49,089 | 73,485 | |||||||||
Legal | 38,763 | 38,763 | 38,763 | |||||||||
Trustees’ fees | 23,372 | 23,373 | 23,121 | |||||||||
Printing | 400 | 400 | 502 | |||||||||
Registration fees | 249 | 617 | 249 | |||||||||
Miscellaneous | 8,634 | 7,147 | 14,068 | |||||||||
|
|
|
|
|
| |||||||
Total expenses | 263,920 | 264,780 | 359,770 | |||||||||
Less: expenses waived and reimbursed by the Adviser | (3,363 | ) | (8,562 | ) | (1,994 | ) | ||||||
|
|
|
|
|
| |||||||
Net expenses | 260,557 | 256,218 | 357,776 | |||||||||
|
|
|
|
|
| |||||||
Net investment income | 7,863,709 | 2,601,092 | 8,021,817 | |||||||||
|
|
|
|
|
| |||||||
Realized and Unrealized Gain (Loss) on Investment and Foreign Currency Transactions | ||||||||||||
Net realized gain (loss) on: | ||||||||||||
Investment transactions | 16,614,475 | 56,445,569 | (26,461,974 | ) | ||||||||
Futures | – 0 | – | – 0 | – | (80,800 | ) | ||||||
Foreign currency transactions | – 0 | – | – 0 | – | (3,279,839 | ) | ||||||
Net change in unrealized appreciation/depreciation of: | ||||||||||||
Investments | 3,990,533 | (18,306,376 | ) | 38,252,770 | ||||||||
Futures | – 0 | – | – 0 | – | 162,665 | |||||||
Foreign currency denominated assets and liabilities | – 0 | – | – 0 | – | (254,300 | ) | ||||||
|
|
|
|
|
| |||||||
Net gain on investment and foreign currency transactions | 20,605,008 | 38,139,193 | 8,338,522 | |||||||||
|
|
|
|
|
| |||||||
Net Increase in Net Assets from Operations | $ | 28,468,717 | $ | 40,740,285 | $ | 16,360,339 | ||||||
|
|
|
|
|
|
See notes to financial statements.
210 | • 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 $362,564, $0 and $0, respectively) | $ | 5,600,059 | $ | – 0 | – | $ | – 0 | – | ||||
Affiliated issuers | 27,826 | 49,423 | 33,699 | |||||||||
Interest (net of foreign taxes withheld of $0, $0 and $7,639, respectively) | – 0 | – | 7,665,279 | 18,437,961 | ||||||||
Securities lending income | 179,226 | – 0 | – | – 0 | – | |||||||
Other income | – 0 | – | – 0 | – | 307 | |||||||
|
|
|
|
|
| |||||||
Total income | 5,807,111 | 7,714,702 | 18,471,967 | |||||||||
|
|
|
|
|
| |||||||
Expenses | ||||||||||||
Custodian | 138,557 | 152,835 | 211,985 | |||||||||
Audit and tax | 74,192 | 55,490 | 62,730 | |||||||||
Administrative | 50,599 | 56,916 | 51,117 | |||||||||
Legal | 38,763 | 38,796 | 38,251 | |||||||||
Trustees’ fees | 23,380 | 23,117 | 23,117 | |||||||||
Printing | 917 | 7,164 | 7,575 | |||||||||
Registration fees | 249 | – 0 | – | 1,193 | ||||||||
Miscellaneous | 24,561 | 25,445 | 25,673 | |||||||||
|
|
|
|
|
| |||||||
Total expenses | 351,218 | 359,763 | 421,641 | |||||||||
Less: expenses waived and reimbursed by the Adviser (see Note B) | (2,560 | ) | (63,680 | ) | (70 | ) | ||||||
|
|
|
|
|
| |||||||
Net expenses | 348,658 | 296,083 | 421,571 | |||||||||
|
|
|
|
|
| |||||||
Net investment income | 5,458,453 | 7,418,619 | 18,050,396 | |||||||||
|
|
|
|
|
|
See notes to financial statements.
AB POOLING PORTFOLIOS • | 211 |
Statement of Operations
AB International Growth | AB Short Duration Bond | AB Global Core Bond | ||||||||||
Realized and Unrealized Gain (Loss) on Investment and Foreign Currency Transactions | ||||||||||||
Net realized gain (loss) on: | ||||||||||||
Investment transactions(a) | $ | (16,152,046 | ) | $ | (998,389 | )(b) | $ | 34,663,017 | (b) | |||
Futures | – 0 | – | (336,026 | ) | (4,357,386 | ) | ||||||
Options written | – 0 | – | – 0 | – | 229,320 | |||||||
Swaps | – 0 | – | 325,645 | – 0 | – | |||||||
Foreign currency transactions | 1,824,902 | 240,507 | (24,245,123 | ) | ||||||||
Net change in unrealized appreciation/depreciation of: | ||||||||||||
Investments | 26,485,376 | (c) | 1,916,931 | 24,677,381 | ||||||||
Futures | – 0 | – | (195,468 | ) | (702,554 | ) | ||||||
Swaps | – 0 | – | (273,504 | ) | – 0 | – | ||||||
Foreign currency denominated assets and liabilities | 4,024,441 | (83,784 | ) | (454,788 | ) | |||||||
|
|
|
|
|
| |||||||
Net gain on investment and foreign currency transactions | 16,182,673 | 595,912 | 29,809,867 | |||||||||
|
|
|
|
|
| |||||||
Net Increase in Net Assets from Operations | $ | 21,641,126 | $ | 8,014,531 | $ | 47,860,263 | ||||||
|
|
|
|
|
|
(a) | Net of foreign capital gains taxes of $38,534, $0, and $25,614, respectively. |
(b) | On May 27, 2016, the AB Short Duration Bond and AB Global Core Bond had a redemption-in-kind with total proceeds in the amount of $732,570,017 and $524,379,456, respectively. The realized gain (loss) of $(669,292) and $8,696,824, respectively, resulting from redemption-in-kind, will not be recognized for tax purposes. |
(c) | Net of increase in accrued foreign capital gains taxes of $81,530. |
See notes to financial statements.
212 | • AB POOLING PORTFOLIOS |
Statement of Operations
AB Bond Inflation Protection | AB Small-Mid Cap Value | AB Small-Mid Cap Growth | ||||||||||
Investment Income | ||||||||||||
Interest | $ | 8,071,469 | $ | – 0 | – | $ | – 0 | – | ||||
Dividends |
| |||||||||||
Unaffiliated issuers | 107,362 | 2,918,564 | 911,344 | |||||||||
Affiliated issuers | 25,562 | 25,870 | 29,402 | |||||||||
Securities lending income | – 0 | – | 62,446 | 39,387 | ||||||||
Other income | 1,087 | – 0 | – | – 0 | – | |||||||
|
|
|
|
|
| |||||||
Total income | 8,205,480 | 3,006,880 | 980,133 | |||||||||
|
|
|
|
|
| |||||||
Expenses | ||||||||||||
Custodian | 170,644 | 79,306 | 102,834 | |||||||||
Audit and tax | 79,967 | 56,843 | 49,506 | |||||||||
Administrative | 54,008 | 48,492 | 51,113 | |||||||||
Legal | 39,701 | 39,701 | 38,935 | |||||||||
Trustees’ fees | 23,117 | 23,117 | 22,559 | |||||||||
Printing | 7,654 | 8,638 | 7,843 | |||||||||
Registration fees | 1,193 | – 0 | – | 1,193 | ||||||||
Miscellaneous | 25,379 | 13,147 | 12,656 | |||||||||
|
|
|
|
|
| |||||||
Total expenses before interest expense | 401,663 | 269,244 | 286,639 | |||||||||
Interest expense | 873,812 | – 0 | – | – 0 | – | |||||||
|
|
|
|
|
| |||||||
Total expenses | 1,275,475 | 269,244 | 286,639 | |||||||||
Less: expenses waived and reimbursed by the Adviser (see Note B) | (64,045 | ) | (1,014 | ) | (952 | ) | ||||||
|
|
|
|
|
| |||||||
Net expenses | 1,211,430 | 268,230 | 285,687 | |||||||||
|
|
|
|
|
| |||||||
Net investment income | 6,994,050 | 2,738,650 | 694,446 | |||||||||
|
|
|
|
|
|
See notes to financial statements.
AB POOLING PORTFOLIOS • | 213 |
Statement of Operations
AB Bond Inflation Protection | AB Small-Mid Cap Value | AB Small-Mid Cap Growth | ||||||||||
Realized and Unrealized Gain (Loss) on Investment and Foreign Currency Transactions | ||||||||||||
Net realized gain (loss) on: | ||||||||||||
Investment transactions(a) | $ | 1,705,639 | $ | 26,070,148 | $ | 34,976,529 | ||||||
Futures | (1,973,187 | ) | – 0 | – | – 0 | – | ||||||
Options written | 20,721 | – 0 | – | – 0 | – | |||||||
Swaps | (3,028,954 | ) | – 0 | – | – 0 | – | ||||||
Foreign currency transactions | (692,203 | ) | – 0 | – | – 0 | – | ||||||
Net change in unrealized appreciation/depreciation of: | ||||||||||||
Investments | 20,368,204 | (15,832,485 | ) | (45,603,605 | ) | |||||||
Futures | 35,794 | – 0 | – | – 0 | – | |||||||
Swaps | 897,409 | – 0 | – | – 0 | – | |||||||
Foreign currency denominated assets and liabilities | (698,321 | ) | – 0 | – | – 0 | – | ||||||
|
|
|
|
|
| |||||||
Net gain (loss) on investment and foreign currency transactions | 16,635,102 | 10,237,663 | (10,627,076 | ) | ||||||||
|
|
|
|
|
| |||||||
Contributions from Affiliates (see Note B) | 314 | – 0 | – | – 0 | – | |||||||
|
|
|
|
|
| |||||||
Net Increase (Decrease) in Net Assets from Operations | $ | 23,629,466 | $ | 12,976,313 | $ | (9,932,630 | ) | |||||
|
|
|
|
|
|
(a) | On May 27, 2016, the AB Bond Inflation Protection Portfolio had a redemption-in-kind with total proceeds in the amount of $511,118,792. On May 9, 2016, the AB Small-Mid Cap Value Portfolio and AB Small-Mid Cap Growth Portfolio had a redemption-in-kind with total proceeds in the amount of $133,346,793 and $129,985,347, respectively. The realized gain of $1,572,071, $13,699,606 and $26,033,080, respectively, resulting from redemption-in-kind, will not be recognized for tax purposes. |
See notes to financial statements.
214 | • AB POOLING PORTFOLIOS |
Statement of Operations
AB Multi-Asset Real Return* | AB Volatility Management | |||||||
Investment Income | ||||||||
Dividends | ||||||||
Unaffiliated issuers (net of foreign taxes withheld of $762,838 and $910,217, respectively) | $ | 15,002,249 | $ | 20,268,601 | ||||
Affiliated issuers | 176,892 | 778,961 | ||||||
Interest | (279,634 | )** | 33,709 | |||||
Securities lending income | 331,757 | 272,811 | ||||||
|
|
|
| |||||
Total income | 15,231,264 | 21,354,082 | ||||||
|
|
|
| |||||
Expenses | ||||||||
Custodian | 265,589 | 341,739 | ||||||
Audit and tax | 118,618 | 113,464 | ||||||
Administrative | 52,051 | 52,275 | ||||||
Legal | 39,800 | 38,016 | ||||||
Trustees’ fees | 23,117 | 23,150 | ||||||
Transfer agency | 11,956 | – 0 | – | |||||
Printing | 10,628 | 6,476 | ||||||
Registration fees | – 0 | – | 269 | |||||
Miscellaneous | 60,201 | 85,239 | ||||||
|
|
|
| |||||
Total expenses | 581,960 | 660,628 | ||||||
Less: expenses waived and reimbursed by the Adviser (see Note B) | (33,531 | ) | (138,055 | ) | ||||
|
|
|
| |||||
Net expenses | 548,429 | 522,573 | ||||||
|
|
|
| |||||
Net investment income | 14,682,835 | 20,831,509 | ||||||
|
|
|
|
See notes to financial statements.
AB POOLING PORTFOLIOS • | 215 |
Statement of Operations
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 | $ | (92,894,712 | )(a) | $ | 102,928,317 | |||
Futures | (34,818,370 | ) | (53,642,316 | ) | ||||
Options written | (1,545,603 | ) | 3,562,820 | |||||
Swaps | (18,825,622 | ) | 9,747,803 | |||||
Foreign currency transactions | (3,590,935 | ) | 7,294,394 | |||||
Net change in unrealized appreciation/depreciation of: | ||||||||
Investments | 97,249,703 | (b) | (80,627,953 | ) | ||||
Futures | 17,931,484 | 11,585,222 | ||||||
Options written | (1,649,939 | ) | – 0 | – | ||||
Swaps | (14,969,962 | ) | 8,742,275 | |||||
Foreign currency denominated assets and liabilities | 2,082,893 | (3,058,108 | ) | |||||
|
|
|
| |||||
Net gain (loss) on investment and foreign currency transactions | (51,031,063 | ) | 6,532,454 | |||||
|
|
|
| |||||
Contributions from Affiliates (see Note B) | 308 | – 0 | – | |||||
|
|
|
| |||||
Net Increase (Decrease) in Net Assets from Operations | $ | (36,347,920 | ) | $ | 27,363,963 | |||
|
|
|
|
* | 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 $3,232. |
(b) | Net of increase in accrued foreign capital gains taxes of $9,532. |
See notes to financial statements.
216 | • AB POOLING PORTFOLIOS |
Statement of Operations
STATEMENT OF CHANGES IN NET ASSETS
AB U.S. Value | ||||||||
Year Ended August 31, 2016 | Year Ended August 31, 2015 | |||||||
Increase (Decrease) in Net Assets from Operations | ||||||||
Net investment income | $ | 7,863,709 | $ | 10,423,306 | ||||
Net realized gain on investment transactions | 16,614,475 | 64,316,719 | ||||||
Net change in unrealized appreciation/depreciation of investments | 3,990,533 | (93,484,850 | ) | |||||
|
|
|
| |||||
Net increase (decrease) in net assets from operations | 28,468,717 | (18,744,825 | ) | |||||
Dividends to Shareholders from | ||||||||
Net investment income | (8,840,609 | ) | (10,546,202 | ) | ||||
Transactions in Shares of Beneficial Interest | ||||||||
Net decrease | (148,615,817 | ) | (59,954,975 | ) | ||||
|
|
|
| |||||
Total decrease | (128,987,709 | ) | (89,246,002 | ) | ||||
Net Assets | ||||||||
Beginning of period | 449,473,085 | 538,719,087 | ||||||
|
|
|
| |||||
End of period (including undistributed net investment income of $1,449,936 and $2,426,836, respectively) | $ | 320,485,376 | $ | 449,473,085 | ||||
|
|
|
|
See notes to financial statements.
AB POOLING PORTFOLIOS • | 217 |
Statement of Changes in Net Assets
AB U.S. Large Cap Growth | ||||||||
Year Ended August 31, 2016 | Year Ended August 31, 2015 | |||||||
Increase (Decrease) in Net Assets from Operations | ||||||||
Net investment income | $ | 2,601,092 | $ | 4,272,576 | ||||
Net realized gain on investment transactions | 56,445,569 | 95,323,469 | ||||||
Net change in unrealized appreciation/depreciation of investments | (18,306,376 | ) | (42,723,450 | ) | ||||
|
|
|
| |||||
Net increase in net assets from operations | 40,740,285 | 56,872,595 | ||||||
Dividends and Distributions to Shareholders from | ||||||||
Net investment income | (3,015,819 | ) | (4,419,633 | ) | ||||
Net realized gain on investment transactions | (87,350,839 | ) | (164,984,584 | ) | ||||
Transactions in Shares of Beneficial Interest | ||||||||
Net increase (decrease) | (85,100,105 | ) | 28,602,127 | |||||
|
|
|
| |||||
Total decrease | (134,726,478 | ) | (83,929,495 | ) | ||||
Net Assets | ||||||||
Beginning of period | 453,585,170 | 537,514,665 | ||||||
|
|
|
| |||||
End of period (including undistributed net investment income of $365,464 and $798,934, respectively) | $ | 318,858,692 | $ | 453,585,170 | ||||
|
|
|
|
See notes to financial statements.
218 | • AB POOLING PORTFOLIOS |
Statement of Changes in Net Assets
AB International Value | ||||||||
Year Ended August 31, 2016 | Year Ended August 31, 2015 | |||||||
Increase (Decrease) in Net Assets from Operations | ||||||||
Net investment income | $ | 8,021,817 | $ | 11,010,164 | ||||
Net realized gain (loss) on investment and foreign currency transactions | (29,822,613 | ) | 28,419,103 | |||||
Net change in unrealized appreciation/depreciation of investments and foreign currency denominated assets and liabilities | 38,161,135 | (74,564,639 | ) | |||||
|
|
|
| |||||
Net increase (decrease) in net assets from operations | 16,360,339 | (35,135,372 | ) | |||||
Dividends to Shareholders from | ||||||||
Net investment income | (15,426,120 | ) | (31,500,480 | ) | ||||
Transactions in Shares of Beneficial Interest | ||||||||
Net decrease | (102,945,995 | ) | (10,898,240 | ) | ||||
|
|
|
| |||||
Total decrease | (102,011,776 | ) | (77,534,092 | ) | ||||
Net Assets | ||||||||
Beginning of period | 372,389,276 | 449,923,368 | ||||||
|
|
|
| |||||
End of period (including undistributed net investment income of $3,820,929 and $14,411,627, respectively) | $ | 270,377,500 | $ | 372,389,276 | ||||
|
|
|
|
See notes to financial statements.
AB POOLING PORTFOLIOS • | 219 |
Statement of Changes in Net Assets
AB International Growth | ||||||||
Year Ended August 31, 2016 | Year Ended August 31, 2015 | |||||||
Increase (Decrease) in Net Assets from Operations | ||||||||
Net investment income | $ | 5,458,453 | $ | 7,243,119 | ||||
Net realized gain (loss) on investment and foreign currency transactions | (14,327,144 | ) | 311,614 | |||||
Net change in unrealized appreciation/depreciation of investments and foreign currency denominated assets and liabilities | 30,509,817 | (53,827,273 | ) | |||||
|
|
|
| |||||
Net increase (decrease) in net assets from operations | 21,641,126 | (46,272,540 | ) | |||||
Dividends to Shareholders from | ||||||||
Net investment income | (5,100,976 | ) | (6,877,393 | ) | ||||
Transactions in Shares of Beneficial Interest | ||||||||
Net decrease | (122,545,024 | ) | (19,038,027 | ) | ||||
|
|
|
| |||||
Total decrease | (106,004,874 | ) | (72,187,960 | ) | ||||
Net Assets | ||||||||
Beginning of period | 375,250,174 | 447,438,134 | ||||||
|
|
|
| |||||
End of period (including undistributed net investment income of $6,626,469 and $4,482,624, respectively) | $ | 269,245,300 | $ | 375,250,174 | ||||
|
|
|
|
See notes to financial statements.
220 | • AB POOLING PORTFOLIOS |
Statement of Changes in Net Assets
AB Short Duration Bond | ||||||||
Year Ended August 31, 2016 | Year Ended August 31, 2015 | |||||||
Increase (Decrease) in Net Assets from Operations | ||||||||
Net investment income | $ | 7,418,619 | $ | 8,482,411 | ||||
Net realized gain (loss) on investment transactions | (768,263 | ) | 252,215 | |||||
Net change in unrealized appreciation/depreciation of investments and foreign currency denominated assets and liabilities | 1,364,175 | (638,886 | ) | |||||
|
|
|
| |||||
Net increase in net assets from operations | 8,014,531 | 8,095,740 | ||||||
Dividends to Shareholders from | ||||||||
Net investment income | (8,834,321 | ) | (9,366,087 | ) | ||||
Transactions in Shares of Beneficial Interest | ||||||||
Net decrease | (819,330,972 | ) | (62,286,298 | ) | ||||
|
|
|
| |||||
Total decrease | (820,150,762 | ) | (63,556,645 | ) | ||||
Net Assets | ||||||||
Beginning of period | 898,405,437 | 961,962,082 | ||||||
|
|
|
| |||||
End of period (including undistributed net investment income of $460,946 and $422,524, respectively) | $ | 78,254,675 | $ | 898,405,437 | ||||
|
|
|
|
See notes to financial statements.
AB POOLING PORTFOLIOS • | 221 |
Statement of Changes in Net Assets
AB Global Core Bond | ||||||||
Year Ended August 31, 2016 | Year Ended August 31, 2015 | |||||||
Increase (Decrease) in Net Assets from Operations | ||||||||
Net investment income | $ | 18,050,396 | $ | 25,345,727 | ||||
Net realized gain on investment and foreign currency transactions | 6,289,828 | 40,807,503 | ||||||
Net change in unrealized appreciation/depreciation of investments and foreign currency denominated assets and liabilities | 23,520,039 | (44,771,880 | ) | |||||
|
|
|
| |||||
Net increase in net assets from operations | 47,860,263 | 21,381,350 | ||||||
Dividends and Distributions to Shareholders from | ||||||||
Net investment income | (40,864,714 | ) | (49,923,999 | ) | ||||
Net realized gain on investment transactions | – 0 | – | (17,075,288 | ) | ||||
Transactions in Shares of Beneficial Interest | ||||||||
Net decrease | (677,676,520 | ) | (55,051,244 | ) | ||||
|
|
|
| |||||
Total decrease | (670,680,971 | ) | (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 ($15,028,511) and undistributed net investment income of $19,753,680, respectively) | $ | 260,314,392 | $ | 930,995,363 | ||||
|
|
|
|
See notes to financial statements.
222 | • AB POOLING PORTFOLIOS |
Statement of Changes in Net Assets
AB Bond Inflation Protection | ||||||||
Year Ended August 31, 2016 | Year Ended August 31, 2015 | |||||||
Increase (Decrease) in Net Assets from Operations | ||||||||
Net investment income | $ | 6,994,050 | $ | 9,328,243 | ||||
Net realized gain (loss) on investment and foreign currency transactions | (3,967,984 | ) | 2,526,143 | |||||
Net change in unrealized appreciation/depreciation of investments and foreign currency denominated assets and liabilities | 20,603,086 | (32,330,401 | ) | |||||
Contributions from Affiliates (see Note B) | 314 | – 0 | – | |||||
|
|
|
| |||||
Net increase (decrease) in net assets from operations | 23,629,466 | (20,476,015 | ) | |||||
Dividends to Shareholders from | ||||||||
Net investment income | (16,335,075 | ) | (25,002,844 | ) | ||||
Transactions in Shares of Beneficial Interest | ||||||||
Net decrease | (619,393,342 | ) | (13,881,235 | ) | ||||
|
|
|
| |||||
Total decrease | (612,098,951 | ) | (59,360,094 | ) | ||||
Net Assets | ||||||||
Beginning of period | 717,018,268 | 776,378,362 | ||||||
|
|
|
| |||||
End of period (including undistributed net investment income of $6,107,995 and $16,068,300, respectively) | $ | 104,919,317 | $ | 717,018,268 | ||||
|
|
|
|
See notes to financial statements.
AB POOLING PORTFOLIOS • | 223 |
Statement of Changes in Net Assets
AB Small-Mid Cap Value | ||||||||
Year Ended August 31, 2016 | Year Ended August 31, 2015 | |||||||
Increase (Decrease) in Net Assets from Operations | ||||||||
Net investment income | $ | 2,738,650 | $ | 3,793,061 | ||||
Net realized gain on investment transactions | 26,070,148 | 31,868,252 | ||||||
Net change in unrealized appreciation/depreciation of investments | (15,832,485 | ) | (38,624,613 | ) | ||||
|
|
|
| |||||
Net increase (decrease) in net assets from operations | 12,976,313 | (2,963,300 | ) | |||||
Dividends and Distributions to Shareholders from | ||||||||
Net investment income | (3,408,270 | ) | (4,014,970 | ) | ||||
Net realized gain on investment transactions | (30,013,388 | ) | (59,227,347 | ) | ||||
Transactions in Shares of Beneficial Interest | ||||||||
Net increase (decrease) | (167,420,311 | ) | 24,794,977 | |||||
|
|
|
| |||||
Total decrease | (187,865,656 | ) | (41,410,640 | ) | ||||
Net Assets | ||||||||
Beginning of period | 281,723,772 | 323,134,412 | ||||||
|
|
|
| |||||
End of period (including undistributed net investment income of $246,504 and $908,063, respectively) | $ | 93,858,116 | $ | 281,723,772 | ||||
|
|
|
|
See notes to financial statements.
224 | • AB POOLING PORTFOLIOS |
Statement of Changes in Net Assets
AB Small-Mid Cap Growth | ||||||||
Year Ended August 31, 2016 | Year Ended August 31, 2015 | |||||||
Increase (Decrease) in Net Assets from Operations | ||||||||
Net investment income | $ | 694,446 | $ | 23,206 | ||||
Net realized gain on investment transactions | 34,976,529 | 40,108,039 | ||||||
Net change in unrealized appreciation/depreciation of investments | (45,603,605 | ) | (26,241,212 | ) | ||||
|
|
|
| |||||
Net increase (decrease) in net assets from operations | (9,932,630 | ) | 13,890,033 | |||||
Dividends and Distributions to Shareholders from | ||||||||
Net investment income | (601,209 | ) | (1,742,103 | ) | ||||
Net realized gain on investment transactions | (34,385,309 | ) | (49,602,665 | ) | ||||
Transactions in Shares of Beneficial Interest | ||||||||
Net decrease | (141,337,970 | ) | (4,871,959 | ) | ||||
|
|
|
| |||||
Total decrease | (186,257,118 | ) | (42,326,694 | ) | ||||
Net Assets | ||||||||
Beginning of period | 279,873,136 | 322,199,830 | ||||||
|
|
|
| |||||
End of period (including undistributed net investment income of $186,322 and $192,770, respectively) | $ | 93,616,018 | $ | 279,873,136 | ||||
|
|
|
|
See notes to financial statements.
AB POOLING PORTFOLIOS • | 225 |
Statement of Changes in Net Assets
AB Multi-Asset Real Return* | ||||||||
Year Ended August 31, 2016 | Year Ended August 31, 2015 | |||||||
Increase (Decrease) in Net Assets from Operations | ||||||||
Net investment income | $ | 14,682,835 | $ | 18,865,955 | ||||
Net realized loss on investment and foreign currency transactions | (151,675,242 | ) | (153,651,203 | ) | ||||
Net change in unrealized appreciation/depreciation of investments and foreign currency denominated assets and liabilities | 100,644,179 | (135,438,305 | ) | |||||
Contributions from Affiliates (see Note B) | 308 | 394 | ||||||
|
|
|
| |||||
Net decrease in net assets from operations | (36,347,920 | ) | (270,223,159 | ) | ||||
Dividends to Shareholders from | ||||||||
Net investment income | (24,008,166 | ) | (28,954,469 | ) | ||||
Transactions in Shares of Beneficial Interest | ||||||||
Net increase | 172,520,241 | 331,826,656 | ||||||
|
|
|
| |||||
Total increase | 112,164,155 | 32,649,028 | ||||||
Net Assets | ||||||||
Beginning of period | 832,826,632 | 800,177,604 | ||||||
|
|
|
| |||||
End of period (including undistributed net investment income of $10,670,032 and $17,629,764, respectively) | $ | 944,990,787 | $ | 832,826,632 | ||||
|
|
|
|
* | Consolidated (see Note A). |
See notes to financial statements.
226 | • AB POOLING PORTFOLIOS |
Statement of Changes in Net Assets
AB Volatility Management | ||||||||
Year Ended August 31, 2016 | Year Ended August 31, 2015 | |||||||
Increase (Decrease) in Net Assets from Operations | ||||||||
Net investment income | $ | 20,831,509 | $ | 28,757,977 | ||||
Net realized gain on investment and foreign currency transactions | 69,891,018 | 63,672,000 | ||||||
Net change in unrealized appreciation/depreciation of investments and foreign currency denominated assets and liabilities | (63,358,564 | ) | (132,331,118 | ) | ||||
|
|
|
| |||||
Net increase (decrease) in net assets from operations | 27,363,963 | (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 | (729,328,486 | ) | (69,727,247 | ) | ||||
|
|
|
| |||||
Total decrease | (764,081,886 | ) | (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 $34,872,610 and $29,194,263, respectively) | $ | 513,902,171 | $ | 1,277,984,057 | ||||
|
|
|
|
See notes to financial statements.
AB POOLING PORTFOLIOS • | 227 |
Statement of Changes in Net Assets
STATEMENT OF CASH FLOWS
For the Year Ended August 31, 2016
AB Bond Inflation Protection* | ||||||||
Cash Flows from Operating Activities | ||||||||
Net increase in net assets from operations | $ | 23,629,466 | ||||||
Reconciliation of Net Increase in Net Assets from Operations to Net Increase in Cash from Operating Activities: | ||||||||
Decrease in interest and dividends receivable | $ | 2,114,397 | ||||||
Decrease in receivable for investments sold | 65,327,870 | |||||||
Net accretion of bond discount and amortization of bond premium | 1,688,474 | |||||||
Inflation index adjustment | 513,038 | |||||||
Decrease in payable for investments purchased | (15,166,712 | ) | ||||||
Increase in receivable due from Adviser | (64,006 | ) | ||||||
Increase in accrued expenses | 10,265 | |||||||
Decrease in cash collateral due from broker | 2,305,906 | |||||||
Purchases of long-term investments | (270,031,436 | ) | ||||||
Purchases of short-term investments | (283,294,769 | ) | ||||||
Proceeds from disposition of long-term investments | 1,063,020,893 | |||||||
Proceeds from disposition of short-term investments | 286,807,516 | |||||||
Proceeds from options written, net | 20,788 | |||||||
Payments on swaps, net | (496,557 | ) | ||||||
Payments for exchange-traded derivatives settlements | (4,185,011 | ) | ||||||
Net realized loss on investment transactions and foreign currency transactions | 3,967,984 | |||||||
Net change in unrealized appreciation/depreciation of investments and foreign currency denominated assets and liabilities | (20,603,086 | ) | ||||||
|
| |||||||
Total adjustments | 831,935,554 | |||||||
|
| |||||||
Net Increase in Cash from Operating Activities | $ | 855,565,020 | ||||||
|
| |||||||
Cash Flows from Financing Activities | ||||||||
Redemptions of beneficial interest stock, net | (637,293,480 | ) | ||||||
Decrease in due to custodian | (1,010,808 | ) | ||||||
Cash dividends paid (net of dividend reinvestments)** | – 0 | – | ||||||
Decrease in reverse repurchase agreements | (210,107,208 | ) | ||||||
|
| |||||||
Net decrease in cash from financing activities | (848,411,496 | ) | ||||||
Effect of exchange rate on cash | (848,221 | ) | ||||||
|
| |||||||
Net increase in cash | 6,305,303 | |||||||
Net change in cash | ||||||||
Cash at beginning of year | – 0 | – | ||||||
|
| |||||||
Cash at end of year | $ | 6,305,303 | ||||||
|
| |||||||
** Reinvestment of dividends | $ | 16,335,075 | ||||||
Supplemental disclosure of cash flow information: | ||||||||
Interest expense paid during the year | $ | 920,046 |
* | 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 year. |
See notes to financial statements.
228 | • AB POOLING PORTFOLIOS |
Statement of Cash Flows
NOTES TO FINANCIAL STATEMENTS
August 31, 2016
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 11 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 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”). AB High Yield Portfolio (of The AB Pooling Portfolios) merged with AB High Yield Portfolio (of AB Bond Fund, Inc.) as of July 26, 2016. 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 August 31, 2016, net assets of the AB Multi-Asset Real Return Portfolio amounted to $944,990,787, of which $168,025,723, or 18%, 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
AB POOLING PORTFOLIOS • | 229 |
Notes to Financial Statements
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.
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
230 | • AB POOLING PORTFOLIOS |
Notes to Financial Statements
where broker-dealer quotes are obtained, the Adviser may establish procedures whereby changes in market yields or spreads are used to adjust, on a daily basis, a recently obtained quoted price on a security. Swaps and other derivatives are valued daily, primarily using independent pricing services, independent pricing models using market inputs, as well as third party broker-dealers or counterparties. Open end mutual funds are valued at the closing net asset value per share, while exchange traded funds are valued at the closing market price per share.
Securities for which market quotations are not readily available (including restricted securities) or are deemed unreliable are valued at fair value. 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 their 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 |
AB POOLING PORTFOLIOS • | 231 |
Notes to Financial Statements
• | Level 2—other significant observable inputs (including quoted prices for similar investments, interest rates, prepayment speeds, credit risk, etc.) |
• | Level 3—significant unobservable inputs (including the Portfolios’ own assumptions in determining the fair value of investments) |
The fair value of debt instruments, such as bonds, and over-the-counter derivatives is generally based on market price quotations, recently executed market transactions (where observable) or industry recognized modeling techniques and are generally classified as Level 2. Pricing vendor inputs to Level 2 valuations may include quoted prices for similar investments in active markets, interest rate curves, coupon rates, currency rates, yield curves, option adjusted spreads, default rates, credit spreads and other unique security features in order to estimate the relevant cash flows which are then discounted to calculate fair values. If these inputs are unobservable and significant to the fair value, these investments will be classified as Level 3. In addition, non-agency rated investments are classified as Level 3.
Where readily available market prices or relevant bid prices are not available for certain equity investments, such investments may be valued based on similar publicly traded investments, movements in relevant indices since last available prices or based upon underlying company fundamentals and comparable company data (such as multiples to earnings or other multiples to equity). Where an investment is valued using an observable input, such as another publicly traded security, the investment will be classified as Level 2. If management determines that an adjustment is appropriate based on restrictions on resale, illiquidity or uncertainty, and such adjustment is a significant component of the valuation, the investment will be classified as Level 3. An investment will also be classified as Level 3 where management uses company fundamentals and other significant inputs to determine the valuation.
Options are valued using market-based inputs to models, broker or dealer quotations, or alternative pricing sources with reasonable levels of price transparency, where such inputs and models are available. Alternatively the values may be obtained through unobservable management determined inputs and/or management’s proprietary models. Where models are used, the selection of a particular model to value an option depends upon the contractual terms of, and specific risks inherent in, the option as well as the availability of pricing information in the market. Valuation models require a variety of inputs, including contractual terms, market prices, measures of volatility and correlations of such inputs. Exchange traded options generally will be classified as Level 2. For
232 | • AB POOLING PORTFOLIOS |
Notes to Financial Statements
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.
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. Certain 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.
AB POOLING PORTFOLIOS • | 233 |
Notes to Financial Statements
The following table summarizes the valuation of the Portfolios’ investments by the above fair value hierarchy levels as of August 31, 2016:
AB U.S. Value Portfolio | ||||||||||||||||
Investments in Securities: | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Assets: | ||||||||||||||||
Common Stocks(a) | $ | 311,862,383 | $ | – 0 | – | $ | – 0 | – | $ | 311,862,383 | ||||||
Short-Term Investments | 4,681,018 | – 0 | – | – 0 | – | 4,681,018 | ||||||||||
Investments of Cash Collateral for Securities Loaned in Affiliated Money Market Fund | 3,320,729 | – 0 | – | – 0 | – | 3,320,729 | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Investments in Securities | 319,864,130 | – 0 | – | – 0 | – | 319,864,130 | ||||||||||
Other Financial Instruments(b) | – 0 | – | – 0 | – | – 0 | – | – 0 | – | ||||||||
|
|
|
|
|
|
|
| |||||||||
Total(c) | $ | 319,864,130 | $ | – 0 | – | $ | – 0 | – | $ | 319,864,130 | ||||||
|
|
|
|
|
|
|
| |||||||||
AB U.S. Large Cap Growth Portfolio | ||||||||||||||||
Investments in Securities: | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Assets: | ||||||||||||||||
Common Stocks(a) | $ | 300,074,527 | $ | – 0 | – | $ | – 0 | – | $ | 300,074,527 | ||||||
Short-Term Investments | 19,404,960 | – 0 | – | – 0 | – | 19,404,960 | ||||||||||
Investments of Cash Collateral for Securities Loaned in Affiliated Money Market Fund | 584,918 | – 0 | – | – 0 | – | 584,918 | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Investments in Securities | 320,064,405 | – 0 | – | – 0 | – | 320,064,405 | ||||||||||
Other Financial Instruments(b) | – 0 | – | – 0 | – | – 0 | – | – 0 | – | ||||||||
|
|
|
|
|
|
|
| |||||||||
Total(c) | $ | 320,064,405 | $ | – 0 | – | $ | – 0 | – | $ | 320,064,405 | ||||||
|
|
|
|
|
|
|
| |||||||||
AB International Value Portfolio | ||||||||||||||||
Investments in Securities: | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Assets: | ||||||||||||||||
Common Stocks: | ||||||||||||||||
Financials | $ | 13,364,048 | $ | 43,122,200 | $ | – 0 | – | $ | 56,486,248 | |||||||
Consumer Discretionary | 6,575,899 | 34,896,263 | – 0 | – | 41,472,162 | |||||||||||
Industrials | 2,283,567 | 24,994,960 | – 0 | – | 27,278,527 | |||||||||||
Consumer Staples | 2,894,169 | 23,515,516 | – 0 | – | 26,409,685 | |||||||||||
Information Technology | – 0 | – | 25,714,562 | – 0 | – | 25,714,562 | ||||||||||
Energy | 5,929,337 | 16,688,048 | – 0 | – | 22,617,385 | |||||||||||
Telecommunication Services | 1,070,183 | 20,161,214 | – 0 | – | 21,231,397 | |||||||||||
Materials | 2,992,210 | 13,235,161 | – 0 | – | 16,227,371 | |||||||||||
Health Care | 1,755,032 | 12,825,250 | – 0 | – | 14,580,282 | |||||||||||
Utilities | 1,608,204 | 7,261,040 | – 0 | – | 8,869,244 | |||||||||||
Real Estate | – 0 | – | 5,720,007 | – 0 | – | 5,720,007 | ||||||||||
Short-Term Investments | 1,043,735 | – 0 | – | – 0 | – | 1,043,735 |
234 | • AB POOLING PORTFOLIOS |
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 | $ | 1,599 | $ | – 0 | – | $ | – 0 | – | $ | 1,599 | ||||||
|
|
|
|
|
|
|
| |||||||||
Total Investments in Securities | 39,517,983 | 228,134,221 | (d) | – 0 | – | 267,652,204 | ||||||||||
Other Financial Instruments(b): | ||||||||||||||||
Assets: | ||||||||||||||||
Futures | – 0 | – | 24,720 | – 0 | – | 24,720 | (e) | |||||||||
Forward Currency Exchange Contracts | – 0 | – | 384,988 | – 0 | – | 384,988 | ||||||||||
Liabilities: | ||||||||||||||||
Forward Currency Exchange Contracts | – 0 | – | (248,868 | ) | – 0 | – | (248,868 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Total(f) | $ | 39,517,983 | $ | 228,295,061 | $ | – 0 | – | $ | 267,813,044 | |||||||
|
|
|
|
|
|
|
| |||||||||
AB International Growth Portfolio | ||||||||||||||||
Investments in Securities: | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Assets: | ||||||||||||||||
Common Stocks: | ||||||||||||||||
Information Technology | $ | 19,490,424 | $ | 35,889,267 | $ | – 0 | – | $ | 55,379,691 | |||||||
Financials | – 0 | – | 48,116,725 | – 0 | – | 48,116,725 | ||||||||||
Health Care | – 0 | – | 47,215,160 | – 0 | – | 47,215,160 | ||||||||||
Consumer Staples | – 0 | – | 38,712,621 | – 0 | – | 38,712,621 | ||||||||||
Consumer Discretionary | 3,400,677 | 23,456,065 | – 0 | – | 26,856,742 | |||||||||||
Industrials | – 0 | – | 20,591,781 | – 0 | – | 20,591,781 | ||||||||||
Energy | – 0 | – | 18,237,259 | – 0 | – | 18,237,259 | ||||||||||
Real Estate | – 0 | – | 7,799,317 | – 0 | – | 7,799,317 | ||||||||||
Telecommunication Services | – 0 | – | 897,076 | – 0 | – | 897,076 | ||||||||||
Materials | – 0 | – | 324,167 | – 0 | – | 324,167 | ||||||||||
Short-Term Investments | 914,029 | – 0 | – | – 0 | – | 914,029 | ||||||||||
Investments of Cash Collateral for Securities Loaned in Affiliated Money Market Fund | 8,638,173 | – 0 | – | – 0 | – | 8,638,173 | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Investments in Securities | 32,443,303 | 241,239,438 | (d) | – 0 | – | 273,682,741 | ||||||||||
Other Financial Instruments(b): | ||||||||||||||||
Assets: | ||||||||||||||||
Forward Currency Exchange Contracts | – 0 | – | 4,246,613 | – 0 | – | 4,246,613 |
AB POOLING PORTFOLIOS • | 235 |
Notes to Financial Statements
Investments in Securities: | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Liabilities: | ||||||||||||||||
Forward Currency Exchange Contracts | $ | – 0 | – | $ | (2,008,576 | ) | $ | – 0 | – | $ | (2,008,576 | ) | ||||
|
|
|
|
|
|
|
| |||||||||
Total(f) | $ | 32,443,303 | $ | 243,477,475 | $ | – 0 | – | $ | 275,920,778 | |||||||
|
|
|
|
|
|
|
| |||||||||
AB Short Duration Bond Portfolio | ||||||||||||||||
Investments in Securities: | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Assets: | ||||||||||||||||
Governments – Treasuries | $ | – 0 | – | $ | 28,701,853 | $ | – 0 | – | $ | 28,701,853 | ||||||
Corporates – Investment Grade | – 0 | – | 15,290,900 | 314,190 | 15,605,090 | |||||||||||
Asset-Backed Securities | – 0 | – | 12,125,023 | 42,866 | (g) | 12,167,889 | ||||||||||
Commercial Mortgage-Backed Securities | – 0 | – | 6,912,009 | 314,262 | 7,226,271 | |||||||||||
Collateralized Mortgage Obligations | – 0 | – | 3,841,913 | – 0 | – | 3,841,913 | ||||||||||
Inflation-Linked Securities | – 0 | – | 2,068,013 | – 0 | – | 2,068,013 | ||||||||||
Mortgage Pass-Throughs | – 0 | – | 1,158,705 | – 0 | – | 1,158,705 | ||||||||||
Covered Bonds | – 0 | – | 313,639 | – 0 | – | 313,639 | ||||||||||
Short-Term Investments: | ||||||||||||||||
Agency Discount Notes | – 0 | – | 987,972 | – 0 | – | 987,972 | ||||||||||
Governments – Treasuries | – 0 | – | 4,157,745 | – 0 | – | 4,157,745 | ||||||||||
Certificates of Deposit | – 0 | – | 785,000 | – 0 | – | 785,000 | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Investments in Securities | – 0 | – | 76,342,772 | 671,318 | 77,014,090 | |||||||||||
Other Financial Instruments(b): | ||||||||||||||||
Assets: | ||||||||||||||||
Futures | 5,323 | – 0 | – | – 0 | – | 5,323 | (e) | |||||||||
Liabilities: | ||||||||||||||||
Futures | (20,804 | ) | – 0 | – | – 0 | – | (20,804 | )(e) | ||||||||
Forward Currency Exchange Contracts | – 0 | – | (91,504 | ) | – 0 | – | (91,504 | ) | ||||||||
Credit Default Swaps | – 0 | – | (6,887 | ) | – 0 | – | (6,887 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Total(h) | $ | (15,481 | ) | $ | 76,244,381 | $ | 671,318 | $ | 76,900,218 | |||||||
|
|
|
|
|
|
|
|
236 | • AB POOLING PORTFOLIOS |
Notes to Financial Statements
AB Global Core Bond Portfolio | ||||||||||||||||
Investments in Securities: | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Assets: | ||||||||||||||||
Governments – Treasuries | $ | – 0 | – | $ | 113,033,261 | $ | – 0 | – | $ | 113,033,261 | ||||||
Corporates – Investment Grade | – 0 | – | 65,034,207 | – 0 | – | 65,034,207 | ||||||||||
Collateralized Mortgage Obligations | – 0 | – | 14,518,541 | – 0 | – | 14,518,541 | ||||||||||
Governments – Sovereign Agencies | – 0 | – | 14,287,035 | – 0 | – | 14,287,035 | ||||||||||
Commercial Mortgage-Backed Securities | – 0 | – | 8,434,405 | 1,456,207 | 9,890,612 | |||||||||||
Covered Bonds | – 0 | – | 9,713,329 | – 0 | – | 9,713,329 | ||||||||||
Inflation-Linked Securities | – 0 | – | 9,643,544 | – 0 | – | 9,643,544 | ||||||||||
Agencies | – 0 | – | 7,515,937 | – 0 | – | 7,515,937 | ||||||||||
Mortgage Pass-Throughs | – 0 | – | 7,113,364 | – 0 | – | 7,113,364 | ||||||||||
Quasi-Sovereigns | – 0 | – | 2,106,991 | – 0 | – | 2,106,991 | ||||||||||
Asset-Backed Securities | – 0 | – | 757,185 | 1,011,206 | 1,768,391 | |||||||||||
Emerging Markets – Treasuries | – 0 | – | 1,292,690 | – 0 | – | 1,292,690 | ||||||||||
Local Governments – Municipal Bonds | – 0 | – | 1,049,269 | – 0 | – | 1,049,269 | ||||||||||
Supranationals | – 0 | – | 821,657 | – 0 | – | 821,657 | ||||||||||
Corporates – Non-Investment Grade | – 0 | – | 747,621 | – 0 | – | 747,621 | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Investments in Securities | – 0 | – | 256,069,036 | 2,467,413 | 258,536,449 | |||||||||||
Other Financial Instruments(b): | ||||||||||||||||
Assets: | ||||||||||||||||
Futures | 17,156 | – 0 | – | – 0 | – | 17,156 | (e) | |||||||||
Forward Currency Exchange Contracts | – 0 | – | 1,570,228 | – 0 | – | 1,570,228 | ||||||||||
Liabilities: | ||||||||||||||||
Futures | (213,648 | ) | – 0 | – | – 0 | – | (213,648 | )(e) | ||||||||
Forward Currency Exchange Contracts | – 0 | – | (1,760,934 | ) | – 0 | – | (1,760,934 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Total(h) | $ | (196,492 | ) | $ | 255,878,330 | $ | 2,467,413 | $ | 258,149,251 | |||||||
|
|
|
|
|
|
|
|
AB POOLING PORTFOLIOS • | 237 |
Notes to Financial Statements
AB Bond Inflation Protection Portfolio | ||||||||||||||||
Investments in Securities: | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Assets: |
| |||||||||||||||
Inflation-Linked Securities | $ | – 0 | – | $ | 92,057,680 | $ | – 0 | – | $ | 92,057,680 | ||||||
Corporates – Investment Grade | – 0 | – | 19,606,854 | – 0 | – | 19,606,854 | ||||||||||
Commercial Mortgage-Backed Securities | – 0 | – | 7,091,356 | 2,824,736 | 9,916,092 | |||||||||||
Asset-Backed Securities | – 0 | – | 6,833,709 | 490,854 | 7,324,563 | |||||||||||
Collateralized Mortgage Obligations | – 0 | – | 5,584,031 | 58,303 | 5,642,334 | |||||||||||
Corporates – Non-Investment Grade | – 0 | – | 2,432,176 | – 0 | – | 2,432,176 | ||||||||||
Emerging Markets – Treasuries | – 0 | – | 611,201 | – 0 | – | 611,201 | ||||||||||
Governments – Sovereign Agencies | – 0 | – | 571,876 | – 0 | – | 571,876 | ||||||||||
Emerging Markets – Corporate Bonds | – 0 | – | 77,250 | – 0 | – | 77,250 | ||||||||||
Governments – Sovereign Bonds | – 0 | – | 63,555 | – 0 | – | 63,555 | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Investments in Securities | – 0 | – | 134,929,688 | 3,373,893 | 138,303,581 | |||||||||||
Other Financial Instruments(b): | ||||||||||||||||
Assets: | ||||||||||||||||
Futures | 19,960 | – 0 | – | – 0 | – | 19,960 | (e) | |||||||||
Forward Currency Exchange Contracts | – 0 | – | 492,533 | – 0 | – | 492,533 | ||||||||||
Centrally Cleared Interest Rate Swaps | – 0 | – | 417,097 | – 0 | – | 417,097 | (e) | |||||||||
Credit Default Swaps | – 0 | – | 19,273 | – 0 | – | 19,273 | ||||||||||
Liabilities: | ||||||||||||||||
Futures | (50,166 | ) | – 0 | – | – 0 | – | (50,166 | )(e) | ||||||||
Forward Currency Exchange Contracts | – 0 | – | (880,777 | ) | – 0 | – | (880,777 | ) | ||||||||
Centrally Cleared Credit Default Swaps | – 0 | – | (114,355 | ) | – 0 | – | (114,355 | )(e) | ||||||||
Centrally Cleared Interest Rate Swaps | – 0 | – | (1,289,390 | ) | – 0 | – | (1,289,390 | )(e) | ||||||||
Credit Default Swaps | – 0 | – | (18,010 | ) | – 0 | – | (18,010 | ) | ||||||||
Inflation (CPI) Swaps | – 0 | – | (111,432 | ) | – 0 | – | (111,432 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Total(h) | $ | (30,206 | ) | $ | 133,444,627 | $ | 3,373,893 | $ | 136,788,314 | |||||||
|
|
|
|
|
|
|
|
238 | • AB POOLING PORTFOLIOS |
Notes to Financial Statements
AB Small-Mid Cap Value Portfolio | ||||||||||||||||
Investments in Securities: | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Assets: | ||||||||||||||||
Common Stocks(a) | $ | 93,283,028 | $ | – 0 | – | $ | – 0 | – | $ | 93,283,028 | ||||||
Short-Term Investments | 1,234,362 | – 0 | – | – 0 | – | 1,234,362 | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Investments in Securities | 94,517,390 | – 0 | – | – 0 | – | 94,517,390 | ||||||||||
Other Financial Instruments(b) | – 0 | – | – 0 | – | – 0 | – | – 0 | – | ||||||||
|
|
|
|
|
|
|
| |||||||||
Total(c) | $ | 94,517,390 | $ | – 0 | – | $ | – 0 | – | $ | 94,517,390 | ||||||
|
|
|
|
|
|
|
| |||||||||
AB Small-Mid Cap Growth Portfolio | ||||||||||||||||
Investments in Securities: | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Assets: | ||||||||||||||||
Common Stocks(a) | $ | 92,284,124 | $ | – 0 | – | $ | – 0 | – | $ | 92,284,124 | ||||||
Short-Term Investments | 350,662 | – 0 | – | – 0 | – | 350,662 | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Investments in Securities | 92,634,786 | – 0 | – | – 0 | – | 92,634,786 | ||||||||||
Other Financial Instruments(b) | – 0 | – | – 0 | – | – 0 | – | – 0 | – | ||||||||
|
|
|
|
|
|
|
| |||||||||
Total(c) | $ | 92,634,786 | $ | – 0 | – | $ | – 0 | – | $ | 92,634,786 | ||||||
|
|
|
|
|
|
|
| |||||||||
AB Multi-Asset Real Return Portfolio(i) | ||||||||||||||||
Investments in Securities: | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Assets: | ||||||||||||||||
Common Stocks: | ||||||||||||||||
Energy | $ | 109,643,548 | $ | 104,628,995 | $ | – 0 | – | $ | 214,272,543 | |||||||
Materials | 27,932,470 | 43,298,884 | – 0 | –(j) | 71,231,354 | |||||||||||
Equity: Other | 22,107,519 | 38,720,296 | 192,119 | 61,019,934 | ||||||||||||
Residential | 23,965,471 | 19,918,987 | – 0 | –(g) | 43,884,458 | |||||||||||
Retail | 24,292,192 | 11,321,196 | – 0 | – | 35,613,388 | |||||||||||
Office | 14,077,998 | 12,643,978 | – 0 | – | 26,721,976 | |||||||||||
Industrials | 8,942,197 | 7,707,293 | – 0 | – | 16,649,490 | |||||||||||
Food Beverage & Tobacco | 6,454,931 | 324,238 | – 0 | – | 6,779,169 | |||||||||||
Lodging | 3,554,505 | – 0 | – | – 0 | – | 3,554,505 | ||||||||||
Real Estate | 1,497,794 | 1,320,665 | – 0 | – | 2,818,459 | |||||||||||
Mortgage | 2,790,157 | – 0 | – | – 0 | – | 2,790,157 | ||||||||||
Financial: Other | – 0 | – | 143,826 | – 0 | – | 143,826 | ||||||||||
Inflation-Linked Securities | – 0 | – | 280,912,952 | – 0 | – | 280,912,952 | ||||||||||
Investment Companies | 161,515,486 | – 0 | – | – 0 | – | 161,515,486 | ||||||||||
Options Purchased – Calls | – 0 | – | 66,750 | – 0 | – | 66,750 | ||||||||||
Options Purchased – Puts | – 0 | – | 9,095 | – 0 | – | 9,095 |
AB POOLING PORTFOLIOS • | 239 |
Notes to Financial Statements
Investments in Securities: | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Short-Term Investments | $ | 24,001,262 | $ | – 0 | – | $ | – 0 | – | $ | 24,001,262 | ||||||
Investments of Cash Collateral for Securities Loaned in Affiliated Money Market Fund | 41,295,503 | – 0 | – | – 0 | – | 41,295,503 | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Investments in Securities | 472,071,033 | 521,017,155 | 192,119 | 993,280,307 | ||||||||||||
Other Financial Instruments(b): | ||||||||||||||||
Assets: | ||||||||||||||||
Futures | 1,306,640 | – 0 | – | – 0 | – | 1,306,640 | (e) | |||||||||
Forward Currency Exchange Contracts | – 0 | – | 6,720,041 | – 0 | – | 6,720,041 | ||||||||||
Inflation (CPI) Swaps | – 0 | – | 114,835 | – 0 | – | 114,835 | ||||||||||
Liabilities: | ||||||||||||||||
Futures | (2,563,397 | ) | – 0 | – | – 0 | – | (2,563,397 | )(e) | ||||||||
Forward Currency Exchange Contracts | – 0 | – | (3,652,165 | ) | – 0 | – | (3,652,165 | ) | ||||||||
Call Options Written | – 0 | – | (16,371 | ) | – 0 | – | (16,371 | ) | ||||||||
Put Options Written | – 0 | – | (115,700 | ) | – 0 | – | (115,700 | ) | ||||||||
Inflation (CPI) Swaps | – 0 | – | (4,319,281 | ) | – 0 | – | (4,319,281 | ) | ||||||||
Total Return Swaps | – 0 | – | (8,317,006 | ) | – 0 | – | (8,317,006 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Total(f) | $ | 470,814,276 | $ | 511,431,508 | $ | 192,119 | $ | 982,437,903 | ||||||||
|
|
|
|
|
|
|
| |||||||||
AB Volatility Management Portfolio | ||||||||||||||||
Investments in Securities: | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Assets: | ||||||||||||||||
Common Stocks: | ||||||||||||||||
Financials | $ | 19,324,540 | $ | 21,005,147 | $ | – 0 | –(j) | $ | 40,329,687 | |||||||
Information Technology | 30,418,782 | 5,959,928 | – 0 | – | 36,378,710 | |||||||||||
Health Care | 20,935,440 | 12,732,123 | – 0 | – | 33,667,563 | |||||||||||
Industrials | 15,883,280 | 16,426,704 | 43,432 | 32,353,416 | ||||||||||||
Consumer Discretionary | 17,590,928 | 13,783,023 | – 0 | – | 31,373,951 | |||||||||||
Consumer Staples | 14,563,431 | 13,939,016 | – 0 | – | 28,502,447 | |||||||||||
Energy | 9,984,581 | 5,283,348 | – 0 | – | 15,267,929 | |||||||||||
Equity: Other | 5,912,259 | 7,732,528 | 17,300 | 13,662,087 | ||||||||||||
Materials | 4,134,864 | 8,039,663 | – 0 | – | 12,174,527 |
240 | • AB POOLING PORTFOLIOS |
Notes to Financial Statements
Investments in Securities: | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Telecommunication Services | $ | 3,828,847 | $ | 5,365,004 | $ | – 0 | – | $ | 9,193,851 | |||||||
Retail | 5,071,773 | 4,094,138 | – 0 | – | 9,165,911 | |||||||||||
Utilities | 4,611,199 | 4,074,694 | – 0 | – | 8,685,893 | |||||||||||
Residential | 4,778,588 | 2,046,493 | – 0 | – | 6,825,081 | |||||||||||
Office | 3,018,533 | 1,727,825 | – 0 | – | 4,746,358 | |||||||||||
Real Estate | 1,116,863 | 428,579 | – 0 | – | 1,545,442 | |||||||||||
Lodging | 1,078,649 | 74,948 | – 0 | – | 1,153,597 | |||||||||||
Investment Companies | 20,296,112 | 25,406 | – 0 | – | 20,321,518 | |||||||||||
Options Purchased – Calls | – 0 | – | 3,834,198 | – 0 | – | 3,834,198 | ||||||||||
Short-Term Investments: | ||||||||||||||||
Investment Companies | 173,448,642 | – 0 | – | – 0 | – | 173,448,642 | ||||||||||
U.S. Treasury Bills | – 0 | – | 32,491,910 | – 0 | – | 32,491,910 | ||||||||||
Investments of Cash Collateral for Securities Loaned in Affiliated Money Market Fund | 5,295,594 | – 0 | – | – 0 | – | 5,295,594 | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Investments in Securities | 361,292,905 | 159,064,675 | 60,732 | 520,418,312 | ||||||||||||
Other Financial Instruments(b): | ||||||||||||||||
Assets: | ||||||||||||||||
Futures | 133,443 | 21,271 | – 0 | – | 154,714 | (e) | ||||||||||
Forward Currency Exchange Contracts | – 0 | – | 9,949,522 | – 0 | – | 9,949,522 | ||||||||||
Total Return Swaps | – 0 | – | 2,694,300 | – 0 | – | 2,694,300 | ||||||||||
Liabilities: | ||||||||||||||||
Futures | (82,464 | ) | (1,051,140 | ) | – 0 | – | (1,133,604 | )(e) | ||||||||
Forward Currency Exchange Contracts | – 0 | – | (10,994,169 | ) | – 0 | – | (10,994,169 | ) | ||||||||
Total Return Swaps | – 0 | – | (63,147 | ) | – 0 | – | (63,147 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Total(f) | $ | 361,343,884 | $ | 159,621,312 | $ | 60,732 | $ | 521,025,928 | ||||||||
|
|
|
|
|
|
|
|
(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. |
(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. |
AB POOLING PORTFOLIOS • | 241 |
Notes to Financial Statements
(f) | There were de minimis transfers under 1% of net assets between Level 1 and Level 2 during the reporting period. |
(g) | The Portfolio held securities with zero market value at period end. |
(h) | There were no transfers between Level 1 and Level 2 during the reporting period. |
(i) | Consolidated (see Note A). |
(j) | 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 Bond Portfolio | Corporates - Investment Grade | Asset-Backed Securities(a) | Commercial Mortgage-Backed Securities | |||||||||
Balance as of 8/31/15 | $ | – 0 | – | $ | 16,368,735 | $ | 1,524,633 | |||||
Accrued discounts/(premiums) | – 0 | – | 342 | (3,036 | ) | |||||||
Realized gain (loss) | – 0 | – | (22,456 | ) | (73,392 | ) | ||||||
Change in unrealized appreciation/depreciation | – 0 | – | 22,748 | 20,673 | ||||||||
Purchases/Payups | 314,190 | – 0 | – | 1,953,672 | ||||||||
Sales/Paydowns | – 0 | – | (4,528,657 | ) | (3,108,288 | ) | ||||||
Transfers in to Level 3 | – 0 | – | – 0 | – | – 0 | – | ||||||
Transfers out of Level 3 | – 0 | – | (11,797,846 | ) | – 0 | – | ||||||
|
|
|
|
|
| |||||||
Balance as of 8/31/16 | $ | 314,190 | $ | 42,866 | $ | 314,262 | ||||||
|
|
|
|
|
| |||||||
Net change in unrealized appreciation/depreciation from investments held as of 8/31/16(b) | $ | – 0 | – | $ | (10,161 | ) | $ | 20,673 | ||||
|
|
|
|
|
|
242 | • AB POOLING PORTFOLIOS |
Notes to Financial Statements
Collateralized Mortgage Obligations | Total | |||||||||||
Balance as of 8/31/15 | $ | 14,275,300 | $ | 32,168,668 | ||||||||
Accrued discounts/(premiums) | – 0 | – | (2,694 | ) | ||||||||
Realized gain (loss) | 2,756 | (93,092 | ) | |||||||||
Change in unrealized appreciation/depreciation | (3,094 | ) | 40,327 | |||||||||
Purchases/Payups | – 0 | – | 2,267,862 | |||||||||
Sales/Paydowns | (2,749,416 | ) | (10,386,361 | ) | ||||||||
Transfers in to Level 3 | – 0 | – | – 0 | – | ||||||||
Transfers out of Level 3 | (11,525,546 | ) | (23,323,392 | )(c) | ||||||||
|
|
|
| |||||||||
Balance as of 8/31/16 | $ | – 0 | – | $ | 671,318 | |||||||
|
|
|
| |||||||||
Net change in unrealized appreciation/depreciation from investments held as of 8/31/16(b) | $ | – 0 | – | $ | 10,512 | |||||||
|
|
|
| |||||||||
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) | (281 | ) | (11,089 | ) | (3,746 | ) | ||||||
Realized gain (loss) | (5,965 | ) | (224,849 | ) | (18,573 | ) | ||||||
Change in unrealized appreciation/depreciation | 3,758 | 105,419 | 32,076 | |||||||||
Purchases/Payups | – 0 | – | 912,725 | – 0 | – | |||||||
Sales/Paydowns | (4,479,330 | ) | (3,257,060 | ) | (2,363,716 | ) | ||||||
Transfers in to Level 3 | – 0 | – | – 0 | – | – 0 | – | ||||||
Transfers out of Level 3 | (32,437,255 | ) | – 0 | – | – 0 | – | ||||||
|
|
|
|
|
| |||||||
Balance as of 8/31/16 | $ | – 0 | – | $ | 1,456,207 | $ | 1,011,206 | |||||
|
|
|
|
|
| |||||||
Net change in unrealized appreciation/depreciation from investments held as of 8/31/16(b) | $ | – 0 | – | $ | 105,419 | $ | 32,076 | |||||
|
|
|
|
|
| |||||||
Total | ||||||||||||
Balance as of 8/31/15 | $ | 44,215,299 | ||||||||||
Accrued discounts/(premiums) | (15,116 | ) | ||||||||||
Realized gain (loss) | (249,387 | ) | ||||||||||
Change in unrealized appreciation/depreciation | 141,253 | |||||||||||
Purchases/Payups | 912,725 | |||||||||||
Sales/Paydowns | (10,100,106 | ) | ||||||||||
Transfers in to Level 3 | – 0 | – | ||||||||||
Transfers out of Level 3 | (32,437,255 | )(d) | ||||||||||
|
| |||||||||||
Balance as of 8/31/16 | $ | 2,467,413 | ||||||||||
|
| |||||||||||
Net change in unrealized appreciation/depreciation from investments held as of 8/31/16(b) | $ | 137,495 | ||||||||||
|
|
AB POOLING PORTFOLIOS • | 243 |
Notes to Financial Statements
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) | (22,991 | ) | 2 | (843 | ) | |||||||
Realized gain (loss) | (656,500 | ) | (5,229 | ) | (7,712 | ) | ||||||
Change in unrealized appreciation/depreciation | 247,735 | 14,918 | 27,537 | |||||||||
Purchases/Payups | 3,578,367 | 1,798,950 | – 0 | – | ||||||||
Sales/Paydowns | (16,182,966 | ) | (3,551,559 | ) | (2,885,517 | ) | ||||||
Transfers in to Level 3 | 1,485,261 | – 0 | – | – 0 | – | |||||||
Transfers out of Level 3 | – 0 | – | (2,929,655 | ) | (13,545,459 | ) | ||||||
|
|
|
|
|
| |||||||
Balance as of 8/31/16 | $ | 2,824,736 | $ | 490,854 | $ | 58,303 | ||||||
|
|
|
|
|
| |||||||
Net change in unrealized appreciation/depreciation from investments held as of 8/31/16(b) | $ | 226,022 | $ | 6,904 | $ | (1,479 | ) | |||||
|
|
|
|
|
| |||||||
Common Stocks | Total | |||||||||||
Balance as of 8/31/15 | $ | 1,139,080 | $ | 37,148,634 | ||||||||
Accrued discounts/(premiums) | – 0 | – | (23,832 | ) | ||||||||
Realized gain (loss) | (5,112 | ) | (674,553 | ) | ||||||||
Change in unrealized appreciation/depreciation | (39,080 | ) | 251,110 | |||||||||
Purchases/Payups | – 0 | – | 5,377,317 | |||||||||
Sales/Paydowns | (1,094,888 | ) | (23,714,930 | ) | ||||||||
Transfers in to Level 3 | – 0 | – | 1,485,261 | (e) | ||||||||
Transfers out of Level 3 | – 0 | – | (16,475,114 | )(f) | ||||||||
|
|
|
| |||||||||
Balance as of 8/31/16 | $ | – 0 | – | $ | 3,373,893 | |||||||
|
|
|
| |||||||||
Net change in unrealized appreciation/depreciation from investments held as of 8/31/16(b) | $ | – 0 | – | $ | 231,447 | |||||||
|
|
|
| |||||||||
AB Multi-Asset Real Return Portfolio(g) | Common Stocks - Materials | Common Stocks - Equity: Other | Common Stocks - Residential(a) | |||||||||
Balance as of 8/31/15 | $ | – 0 | –(h) | $ | 185,499 | $ | 31 | |||||
Accrued discounts/(premiums) | – 0 | – | – 0 | – | – 0 | – | ||||||
Realized gain (loss) | – 0 | – | – 0 | – | – 0 | – | ||||||
Change in unrealized appreciation/depreciation | – 0 | – | 6,620 | – 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 8/31/16 | $ | – 0 | –(h) | $ | 192,119 | $ | – 0 | – | ||||
|
|
|
|
|
| |||||||
Net change in unrealized appreciation/depreciation from investments held as of 8/31/16(b) | $ | – 0 | – | $ | 6,620 | $ | – 0 | – | ||||
|
|
|
|
|
|
244 | • AB POOLING PORTFOLIOS |
Notes to Financial Statements
Total | ||||||||||||
Balance as of 8/31/15 | $ | 185,530 | ||||||||||
Accrued discounts/(premiums) | – 0 | – | ||||||||||
Realized gain (loss) | – 0 | – | ||||||||||
Change in unrealized appreciation/depreciation | 6,620 | |||||||||||
Purchases | – 0 | – | ||||||||||
Sales | – 0 | – | ||||||||||
Transfers in to Level 3 | – 0 | – | ||||||||||
Transfers out of Level 3 | (31 | ) | ||||||||||
|
| |||||||||||
Balance as of 8/31/16 | $ | 192,119 | (i) | |||||||||
|
| |||||||||||
Net change in unrealized appreciation/depreciation from investments held as of 8/31/16(b) | $ | 6,620 | ||||||||||
|
| |||||||||||
AB Volatility Management | Common Stocks - Financials | Common Stocks - Industrials | Common Stocks - Equity: Other | |||||||||
Balance as of 8/31/15 | $ | – 0 | –(h) | $ | – 0 | – | $ | – 0 | – | |||
Accrued discounts/(premiums) | – 0 | – | – 0 | – | – 0 | – | ||||||
Realized gain (loss) | – 0 | – | (3,168 | ) | (5,882 | ) | ||||||
Change in unrealized appreciation/depreciation | – 0 | – | 28,377 | 7,735 | ||||||||
Purchases | – 0 | – | – 0 | – | – 0 | – | ||||||
Sales | – 0 | – | (54,378 | ) | (35,455 | ) | ||||||
Transfers in to Level 3 | – 0 | – | 72,601 | 50,902 | ||||||||
Transfers out of Level 3 | – 0 | – | – 0 | – | – 0 | – | ||||||
|
|
|
|
|
| |||||||
Balance as of 8/31/16 | $ | – 0 | –(h) | $ | 43,432 | $ | 17,300 | |||||
|
|
|
|
|
| |||||||
Net change in unrealized appreciation/depreciation from investments held as of 8/31/16(b) | $ | – 0 | – | $ | 28,377 | $ | 7,735 | |||||
|
|
|
|
|
| |||||||
Total | ||||||||||||
Balance as of 8/31/15 | $ | – 0 | – | |||||||||
Accrued discounts/(premiums) | – 0 | – | ||||||||||
Realized gain (loss) | (9,050 | ) | ||||||||||
Change in unrealized appreciation/depreciation | 36,112 | |||||||||||
Purchases | – 0 | – | ||||||||||
Sales | (89,833 | ) | ||||||||||
Transfers in to Level 3 | 123,503 | |||||||||||
Transfers out of Level 3 | – 0 | – | ||||||||||
|
| |||||||||||
Balance as of 8/31/16 | $ | 60,732 | (i) | |||||||||
|
| |||||||||||
Net change in unrealized appreciation/depreciation from investments held as of 8/31/16(b) | $ | 36,112 | ||||||||||
|
|
(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. |
AB POOLING PORTFOLIOS • | 245 |
Notes to Financial Statements
(c) | An amount of $23,323,392 was transferred out of Level 3 into Level 2 due to increase in observability of inputs during the reporting period. |
(d) | An amount of $32,437,255 was transferred out of Level 3 into Level 2 due to increase in observability of inputs during the reporting period. |
(e) | An amount of $1,485,261 was transferred out of Level 2 into Level 3 due to decrease in observability of inputs during the reporting period. |
(f) | An amount of $16,475,114 was transferred out of Level 3 into Level 2 due to increase in observability of inputs during the reporting period. |
(g) | Consolidated (see Note A). |
(h) | Less than $0.50. |
(i) | There were de minimis transfers under 1% of net assets during the reporting period. |
As of August 31, 2016, all Level 3 securities of the AB Bond Inflation Protection Portfolio were priced by third party vendors.
The Adviser established the Committee to oversee the pricing and valuation of all securities held in the Portfolios. The Committee operates under pricing and valuation policies and procedures established by the Adviser and approved by the Board, including pricing policies which set forth the mechanisms and processes to be employed on a daily basis to implement these policies and procedures. In particular, the pricing policies describe how to determine market quotations for securities and other instruments. The Committee’s responsibilities include: 1) fair value and liquidity determinations (and oversight of any third parties to whom any responsibility for fair value and liquidity determinations is delegated), and 2) regular monitoring of the Adviser’s pricing and valuation policies and procedures and modification or enhancement of these policies and procedures (or recommendation of the modification of these policies and procedures) as the Committee believes appropriate.
The Committee is also responsible for monitoring the implementation of the pricing policies by the Adviser’s Pricing Group (the “Pricing Group”) and a third party which performs certain pricing functions in accordance with the pricing policies. The Pricing Group is responsible for the oversight of the third party on a day-to-day basis. The Committee and the Pricing Group perform a series of activities to provide reasonable assurance of the accuracy of prices including: 1) periodic vendor due diligence meetings, review of methodologies, new developments and processes at vendors, 2) daily comparison of security valuation versus prior day for all securities that exceeded established thresholds, and 3) daily review of unpriced, stale, and variance reports with exceptions reviewed by senior management and the Committee.
In addition, several processes outside of the pricing process are used to monitor valuation issues including: 1) performance and performance attribution reports are monitored for anomalous impacts based upon benchmark performance, and 2) portfolio managers review all portfolios for performance and analytics (which are generated using the Adviser’s prices).
246 | • AB POOLING PORTFOLIOS |
Notes to Financial Statements
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.
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’
AB POOLING PORTFOLIOS • | 247 |
Notes to Financial Statements
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 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 AB Volatility Management Portfolio. Effective June 22, 2016, the Adviser has agreed to an Expense Cap of .07% and .10% of average daily net assets for the AB Short Duration Bond Portfolio and AB Bond Inflation Protection Portfolio, respectively. The Expense Caps may not be terminated before
248 | • AB POOLING PORTFOLIOS |
Notes to Financial Statements
December 31, 2016 and then may be extended by the Adviser for additional one-year terms. For the year ended August 31, 2016, such waivers and reimbursement amounted to:
Portfolio | Amount | |||
AB Short Duration Bond | $ | 63,648 | ||
AB Bond Inflation Protection | 64,006 |
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 Bond Inflation Protection Portfolio and AB Multi-Asset Real Return Portfolio $314 and $308, respectively, for trading losses incurred due to a trade entry error for the year ended August 31, 2016 and $394 for AB Multi-Asset Real Return Portfolio for the year ended August 31, 2015.
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 1, 2015, the Portfolios may reimburse the Adviser for certain legal and accounting services provided to the Portfolios by the Adviser. For the year ended August 31, 2016, such fees amounted to:
Portfolio | Administrative Fees | |||
AB U.S. Value | $ | 51,972 | ||
AB U.S. Large Cap Growth | 51,972 | |||
AB International Value | 50,087 | |||
AB International Growth | 50,599 | |||
AB Short Duration Bond | 56,916 | |||
AB Global Core Bond | 51,117 | |||
AB Bond Inflation Protection | 54,008 | |||
AB Small-Mid Cap Value | 48,492 |
AB POOLING PORTFOLIOS • | 249 |
Notes to Financial Statements
Portfolio | Administrative Fees | |||
AB Small-Mid Cap Growth | $ | 51,113 | ||
AB Multi-Asset Real Return | 52,051 | |||
AB Volatility Management | 52,275 |
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 AB Fixed-Income Shares, Inc. – Government STIF Portfolio (the “Government STIF Portfolio”), prior to June 1, 2016, was offered as a cash management option to mutual funds and other institutional accounts of the Adviser, and was not available for direct purchase by members of the public. Prior to June 1, 2016, the Government STIF Portfolio paid no advisory fees but did bear its own expenses. As of June 1, 2016, the Government STIF Portfolio, which was renamed “AB Government Money Market Portfolio” (the “Government Money Market Portfolio”), has a contractual advisory fee rate of .20% and continues to bear its own expenses. In connection with the investment by the Portfolios in the Government Money Market Portfolio, the Adviser has agreed to waive its advisory fee from the Portfolios in an amount equal to Government Money Market Portfolio’s effective advisory fee. For the year ended August 31, 2016, such waiver amounted to:
Portfolio | Amount | Portfolio | Amount | |||||||
AB U.S. Value | $ | 2,658 | AB Bond Inflation Protection | $ | 39 | |||||
AB U.S. Large Cap Growth | 8,492 | AB Small-Mid Cap Value | 1,014 | |||||||
AB International Value | 942 | AB Small-Mid Cap Growth | 952 | |||||||
AB International Growth | 1,049 | AB Multi-Asset Real Return | 27,028 | |||||||
AB Short Duration Bond | 32 | AB Volatility Management | 136,400 | |||||||
AB Global Core Bond | 70 |
A summary of the Portfolios’ transactions in shares of the Government Money Market Portfolio for the year ended August 31, 2016 is as follows:
Portfolio | Market Value 8/31/15 (000) | Purchases at Cost (000) | Sales Proceeds (000) | Market Value 8/31/16 (000) | Dividend Income (000) | |||||||||||||||
AB U.S. Value | $ | 9,313 | $ | 130,135 | $ | 134,767 | $ | 4,681 | $ | 9 | ||||||||||
AB U.S. Large Cap Growth | 32,430 | 117,014 | 130,039 | 19,405 | 35 | |||||||||||||||
AB International Value | – 0 | – | 97,147 | 96,103 | 1,044 | 5 | ||||||||||||||
AB International Growth | – 0 | – | 133,244 | 132,330 | 914 | 5 | ||||||||||||||
AB Short Duration Bond | 3,756 | 271,927 | 275,683 | – 0 | – | 49 |
250 | • AB POOLING PORTFOLIOS |
Notes to Financial Statements
Portfolio | Market Value 8/31/15 (000) | Purchases at Cost (000) | Sales Proceeds (000) | Market Value 8/31/16 (000) | Dividend Income (000) | |||||||||||||||
AB Global Core Bond | $ | 4,459 | $ | 280,557 | $ | 285,016 | $ | – 0 | – | $ | 34 | |||||||||
AB Bond Inflation Protection | 3,467 | 265,075 | 268,542 | – 0 | – | 26 | ||||||||||||||
AB Small-Mid Cap Value | 6,867 | 60,977 | 66,610 | 1,234 | 12 | |||||||||||||||
AB Small-Mid Cap Growth | 6,308 | 45,871 | 51,828 | 351 | 10 | |||||||||||||||
AB Multi-Asset Real Return | 103,525 | 1,429,430 | 1,508,954 | 24,001 | 115 | |||||||||||||||
AB Volatility Management | 258,901 | 1,203,114 | 1,288,566 | 173,449 | 722 |
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 year ended August 31, 2016 were as follows:
Portfolio | Total Commissions | Sanford C. Bernstein & Co. LLC | Sanford C. Bernstein Limited | |||||||||
AB U.S. Value | $ | 327,005 | $ | – 0 | – | $ | – 0 | – | ||||
AB U.S. Large Cap Growth | 160,502 | 27 | – 0 | – | ||||||||
AB International Value | 363,048 | – 0 | – | – 0 | – | |||||||
AB International Growth | 377,005 | – 0 | – | – 0 | – | |||||||
AB Short Duration Bond | 19,369 | – 0 | – | – 0 | – | |||||||
AB Global Core Bond | 7,799 | – 0 | – | – 0 | – | |||||||
AB Bond Inflation Protection | 9,743 | – 0 | – | – 0 | – | |||||||
AB Small-Mid Cap Value | 267,191 | – 0 | – | – 0 | – | |||||||
AB Small-Mid Cap Growth | 175,555 | 68 | – 0 | – | ||||||||
AB Multi-Asset Real Return | 1,059,789 | – 0 | – | – 0 | – | |||||||
AB Volatility Management | 509,378 | – 0 | – | – 0 | – |
NOTE C
Investment Transactions
Purchases and sales of investment securities (excluding U.S. government securities and short-term investments) for the year ended August 31, 2016, were as follows:
Portfolio | Purchases | Sales | ||||||
AB U.S. Value | $ | 195,958,675 | $ | 344,902,994 | ||||
AB U.S. Large Cap Growth | 164,925,320 | 328,404,379 | ||||||
AB International Value | 141,577,147 | 248,940,823 | ||||||
AB International Growth | 167,602,927 | 283,317,554 | ||||||
AB Short Duration Bond | 67,828,559 | 428,224,739 | ||||||
AB Global Core Bond | 322,629,964 | 844,638,494 | ||||||
AB Bond Inflation Protection | 40,871,307 | 304,887,849 | ||||||
AB Small-Mid Cap Value | 107,933,192 | 297,458,196 | ||||||
AB Small-Mid Cap Growth | 116,511,056 | 286,861,789 | ||||||
AB Multi-Asset Real Return | 978,114,025 | 779,205,820 | ||||||
AB Volatility Management | 230,686,092 | 934,047,243 |
AB POOLING PORTFOLIOS • | 251 |
Notes to Financial Statements
Purchases and sales of U.S. government securities for the year ended August 31, 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 | 146,950,686 | 533,184,665 | ||||||
AB Global Core Bond | 354,684,861 | 496,875,282 | ||||||
AB Bond Inflation Protection | 229,160,129 | 734,442,107 | ||||||
AB Small-Mid Cap Value | – 0 | – | – 0 | – | ||||
AB Small-Mid Cap Growth | – 0 | – | – 0 | – | ||||
AB Multi-Asset Real Return | 324,792,930 | 319,689,536 | ||||||
AB Volatility Management | – 0 | – | – 0 | – |
The cost of investments for federal income tax purposes, 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 | Cost | Appreciation | Depreciation | |||||||||||||
AB U.S. Value | $ | 269,725,901 | $ | 55,956,356 | $ | (5,818,127 | ) | $ | 50,138,229 | |||||||
AB U.S. Large Cap Growth | 237,401,674 | 87,946,273 | (5,283,542 | ) | 82,662,731 | |||||||||||
AB International Value | 257,859,945 | 28,204,860 | (18,412,601 | ) | 9,792,259 | |||||||||||
AB International Growth | 235,443,456 | 42,012,740 | (3,773,455 | ) | 38,239,285 | |||||||||||
AB Short Duration Bond | 76,892,281 | 325,801 | (203,992 | ) | 121,809 | |||||||||||
AB Global Core Bond | 249,528,714 | 13,641,376 | (4,633,641 | ) | 9,007,735 | |||||||||||
AB Bond Inflation Protection | 137,123,886 | 2,701,575 | (1,521,880 | ) | 1,179,695 | |||||||||||
AB Small-Mid Cap Value | 80,336,088 | 16,925,622 | (2,744,320 | ) | 14,181,302 | |||||||||||
AB Small-Mid Cap Growth | 75,528,048 | 20,504,938 | (3,398,200 | ) | 17,106,738 | |||||||||||
AB Multi-Asset Real Return | 1,248,724,737 | 21,144,026 | (280,141,926 | ) | (258,997,900 | ) | ||||||||||
AB Volatility Management | 452,069,086 | 85,243,900 | (16,894,674 | ) | 68,349,226 |
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.
252 | • AB POOLING PORTFOLIOS |
Notes to Financial Statements
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”.
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 year ended August 31, 2016, the AB Global Core Bond Portfolio, the AB Short Duration Bond Portfolio, AB Bond
AB POOLING PORTFOLIOS • | 253 |
Notes to Financial Statements
Inflation Protection Portfolio, AB Multi-Asset Real Return Portfolio and AB Volatility Management Portfolio held futures for hedging and non-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 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 year ended August 31, 2016, the AB International Value Portfolio, AB Global Core Bond Portfolio, AB Bond Inflation Protection Portfolio and AB Volatility Management Portfolio held forward currency exchange contracts for hedging and non-hedging purposes; the AB Short Duration Bond Portfolio, AB International Growth Portfolio and AB Multi-Asset Real Return 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.
254 | • AB POOLING PORTFOLIOS |
Notes to Financial Statements
The risk associated with purchasing an option is that the Portfolio pays a premium whether or not the option is exercised. Additionally, the Portfolio bears the risk of loss of the premium and change in market value should the counterparty not perform under the contract. If a put or call option purchased by a Portfolio were permitted to expire without being sold or exercised, its premium would represent a loss to the Portfolio. Put and call options purchased are accounted for in the same manner as portfolio securities. The cost of securities acquired through the exercise of call options is increased by premiums paid. The proceeds from securities sold through the exercise of put options are decreased by the premiums paid.
When the Portfolio writes an option, the premium received by the Portfolio is recorded as a liability and is subsequently adjusted to the current market value of the option written. Premiums received from written options which expire unexercised are recorded by the Portfolio on the expiration date as realized gains from options written. The difference between the premium received and the amount paid on effecting a closing purchase transaction, including brokerage commissions, is also treated as a realized gain, or if the premium received is less than the amount paid for the closing purchase transaction, as a realized loss. If a call option is exercised, the premium received is added to the proceeds from the sale of the underlying security or currency in determining whether the Portfolio has realized a gain or loss. If a put option is exercised, the premium received reduces the cost basis of the security or currency purchased by the Portfolio. In writing an option, the Portfolio bears the market risk of an unfavorable change in the price of the security or currency underlying the written option. Exercise of an option written by the Portfolio could result in the Portfolio selling or buying a security or currency at a price different from the current market value.
At August 31, 2016, the AB Multi-Asset Real Return Portfolio had maximum payments for written put options in the amount of $91,670,000. 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
AB POOLING PORTFOLIOS • | 255 |
Notes to Financial Statements
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 year ended August 31, 2016, the AB Global Core Bond Portfolio, the 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 purposes.
For the year ended August 31, 2016, the Portfolios had the following transactions in written options:
AB Global Core Bond | Number of Contracts | Premiums Received | ||||||
Options written outstanding as of 8/31/15 | – 0 | – | $ | – 0 | – | |||
Options written | 55,584,248 | 610,550 | ||||||
Options expired | (31,877,125 | ) | (233,333 | ) | ||||
Options bought back | (23,707,123 | ) | (377,217 | ) | ||||
Options exercised | – 0 | – | – 0 | – | ||||
|
|
|
| |||||
Options written outstanding as of 8/31/16 | – 0 | – | $ | – 0 | – | |||
|
|
|
| |||||
AB Bond Inflation Protection | Number of Contracts | Premiums Received | ||||||
Options written outstanding as of 8/31/15 | – 0 | – | $ | – 0 | – | |||
Options written | 563,472,000 | 45,533 | ||||||
Options expired | (8,790,000 | ) | (20,788 | ) | ||||
Options bought back | (554,682,000 | ) | (24,745 | ) | ||||
Options exercised | – 0 | – | – 0 | – | ||||
|
|
|
| |||||
Options written outstanding as of 8/31/16 | – 0 | – | $ | – 0 | – | |||
|
|
|
| |||||
AB Multi-Asset Real Return | Number of Contracts | Premiums Received | ||||||
Options written outstanding as of 8/31/15 | 10,054,776 | $ | 3,317,932 | |||||
Options written | 28,419,488 | 3,153,782 | ||||||
Options expired | (16,866,176 | ) | (3,901,917 | ) | ||||
Options bought back | (21,600,000 | ) | (2,343,600 | ) | ||||
Options exercised | – 0 | – | – 0 | – | ||||
|
|
|
| |||||
Options written outstanding as of 8/31/16 | 8,088 | $ | 226,197 | |||||
|
|
|
| |||||
AB Volatility Management | Number of Contracts | Premiums Received | ||||||
Options written outstanding as of 8/31/15 | – 0 | – | $ | – 0 | – | |||
Options written | 261,000 | 7,533,720 | ||||||
Options expired | (76,300 | ) | (3,739,982 | ) | ||||
Options bought back | (184,700 | ) | (3,793,738 | ) | ||||
Options exercised | – 0 | – | – 0 | – | ||||
|
|
|
| |||||
Options written outstanding as of 8/31/16 | – 0 | – | $ | – 0 | – | |||
|
|
|
|
256 | • AB POOLING PORTFOLIOS |
Notes to Financial Statements
• | 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 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.
AB POOLING PORTFOLIOS • | 257 |
Notes to Financial Statements
Certain standardized swaps, including certain interest rate swaps and credit default swaps, are (or soon will be) subject to mandatory central clearing. Cleared swaps are transacted through futures commission merchants (“FCMs”) that are members of central clearinghouses, with the clearinghouse serving as central counterparty, similar to transactions in futures contracts. Centralized clearing will be required for additional categories of swaps on a phased-in basis based on requirements published by the Securities and Exchange Commission and Commodity Futures Trading Commission.
At the time the Portfolio enters into a centrally cleared swap, the Portfolio deposits and maintains as collateral an initial margin with the broker, as required by the clearinghouse on which the transaction is effected. Such amount is shown as cash collateral due from broker on the statement of assets and liabilities. Pursuant to the contract, the Portfolio agrees to receive from or pay to the broker an amount of cash equal to the daily fluctuation in the value of the contract. Such receipts or payments are known as variation margin and are recorded by the Portfolio as unrealized gains or losses. Risks may arise from the potential inability of a counterparty to meet the terms of the contract. The credit/counterparty risk for centrally cleared swaps is generally less than non-centrally cleared swaps, since the clearinghouse, which is the issuer or counterparty to each centrally cleared swap, has robust risk mitigation standards, including the requirement to provide initial and variation margin. When the contract is closed, the Portfolio records a realized gain or loss equal to the difference between the value of the contract at the time it was opened and the time it was closed.
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
258 | • AB POOLING PORTFOLIOS |
Notes to Financial Statements
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 year ended August 31, 2016, the AB Bond Inflation Protection Portfolio held interest rate swaps for hedging and non-hedging purposes; the AB Short Duration Bond Portfolio held interest rate swaps for non-hedging purposes; the AB Multi-Asset Real Return 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 year ended August 31, 2016, the AB Bond Inflation Protection Portfolio and the AB Multi-Asset Real Return Portfolio held inflation (CPI) swaps for hedging and non-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/
AB POOLING PORTFOLIOS • | 259 |
Notes to Financial Statements
(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 August 31, 2016, the Portfolios did not have Buy Contracts outstanding with respect to the same referenced obligations and same counterparty for its Sales Contracts outstanding.
Credit default swaps may involve greater risks than if a Portfolio had invested in the referenced obligation directly. Credit default swaps are subject to general market risk, liquidity risk, counterparty risk and credit risk. If 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 year ended August 31, 2016, the AB Short Duration Bond Portfolio held credit default swaps for non-hedging purposes; the AB Bond Inflation Protection 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
260 | • AB POOLING PORTFOLIOS |
Notes to Financial Statements
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 year ended August 31, 2016, the AB Bond Inflation Protection Portfolio and AB Volatility Management Portfolio held total return swaps for hedging and non-hedging purposes. AB Multi-Asset Real Return 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. 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.
AB POOLING PORTFOLIOS • | 261 |
Notes to Financial Statements
During the year ended August 31, 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 | $ | 24,720 | * | ||||||||
Foreign exchange contracts | Unrealized appreciation on forward currency exchange contracts |
| 384,988 |
| Unrealized depreciation on forward currency exchange contracts | $ | 248,868 |
| ||||
|
|
|
| |||||||||
Total | $ | 409,708 | $ | 248,868 | ||||||||
|
|
|
|
* | 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. |
Derivative Type | Location of Gain or (Loss) on Derivatives of Operations | Realized Gain or (Loss) on Derivatives | Change in Unrealized Appreciation or (Depreciation) | |||||||
Equity contracts | Net realized gain (loss) on futures; Net change in unrealized appreciation/depreciation of futures | $ | (80,800 | ) | $ | 162,665 | ||||
Foreign exchange contracts | Net realized gain (loss) on foreign currency transactions; Net change in unrealized appreciation/depreciation of foreign currency denominated assets and liabilities | (3,172,660 | ) | (368,381 | ) | |||||
|
|
|
| |||||||
Total | $ | (3,253,460 | ) | $ | (205,716 | ) | ||||
|
|
|
|
262 | • AB POOLING PORTFOLIOS |
Notes to Financial Statements
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 | $ | 4,246,613 |
| Unrealized depreciation on forward currency exchange contracts | $ | 2,008,576 |
| ||||
|
|
|
| |||||||||
Total | $ | 4,246,613 | $ | 2,008,576 | ||||||||
|
|
|
|
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 | $ | 2,023,337 | $ | 3,990,301 | |||||
|
|
|
| |||||||
Total | $ | 2,023,337 | $ | 3,990,301 | ||||||
|
|
|
|
AB Short Duration Bond Portfolio | ||||||||||||
Asset Derivatives | Liability Derivatives | |||||||||||
Derivative Type | Statement of Assets and Liabilities Location | Fair Value | Statement of Assets and Liabilities Location | Fair Value | ||||||||
Interest rate contracts | Receivable/Payable for variation margin on exchange-traded derivatives | $ | 5,323 | * | Receivable/Payable for variation margin on exchange-traded derivatives | $ | 20,804 | * | ||||
Foreign exchange contracts | Unrealized depreciation on forward currency exchange contracts | 91,504 | ||||||||||
Credit contracts | Unrealized depreciation on credit default swaps | 6,887 | ||||||||||
|
|
|
| |||||||||
Total | $ | 5,323 | $ | 119,195 | ||||||||
|
|
|
|
* | 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. |
AB POOLING PORTFOLIOS • | 263 |
Notes to Financial Statements
Derivative Type | Location of of Operations | Realized Gain or (Loss) on Derivatives | Change in Unrealized Appreciation or (Depreciation) | |||||||
Interest rate contracts | Net realized gain (loss) on futures; Net change in unrealized appreciation/depreciation of futures | $ | (336,026 | ) | $ | (195,468 | ) | |||
Foreign exchange contracts | Net realized gain (loss) on foreign currency transactions; Net change in unrealized appreciation/depreciation of foreign currency denominated assets and liabilities | 649,828 | (91,504 | ) | ||||||
Interest rate contracts | Net realized gain (loss) on swaps; Net change in unrealized appreciation/depreciation of swaps | 325,410 | (266,617 | ) | ||||||
Credit contracts | Net realized gain (loss) on swaps; Net change in unrealized appreciation/depreciation of swaps | 235 | (6,887 | ) | ||||||
|
|
|
| |||||||
Total | $ | 639,447 | $ | (560,476 | ) | |||||
|
|
|
|
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 | $ | 17,156 | * | Receivable/Payable for variation margin on exchange-traded derivatives | $ | 213,648 | * | ||||
Foreign exchange contracts | Unrealized appreciation on forward currency exchange contracts |
| 1,570,228 |
| Unrealized depreciation on forward currency exchange contracts |
| 1,760,934 |
| ||||
|
|
|
| |||||||||
Total | $ | 1,587,384 | $ | 1,974,582 | ||||||||
|
|
|
|
* | 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. |
264 | • AB POOLING PORTFOLIOS |
Notes to Financial Statements
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 | $ | (4,357,386 | ) | $ | (702,554 | ) | |||
Foreign exchange contracts | Net realized gain (loss) on foreign currency transactions; Net change in unrealized appreciation/depreciation of foreign currency denominated assets and liabilities | (1,030,996 | ) | (530,065 | ) | |||||
Foreign exchange contracts | Net realized gain (loss) on investment transactions; Net change in unrealized appreciation/depreciation of investments | (434,560 | ) | – 0 | – | |||||
Foreign exchange contracts | Net realized gain (loss) on options written; Net change in unrealized appreciation/depreciation of options written | 229,320 | – 0 | – | ||||||
|
|
|
| |||||||
Total | $ | (5,593,622 | ) | $ | (1,232,619 | ) | ||||
|
|
|
|
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 | $ | 437,057 | * | Receivable/Payable for variation margin on exchange-traded derivatives | $ | 1,339,556 | * |
AB POOLING PORTFOLIOS • | 265 |
Notes to Financial Statements
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 | Receivable/Payable for variation margin on exchange-traded derivatives | $ | 114,355 | * | |||||||
Foreign exchange contracts | Unrealized appreciation on forward currency exchange contracts | $ | 492,533 | Unrealized depreciation on forward currency exchange contracts | 880,777 | |||||||
Interest rate contracts | Unrealized depreciation on inflation swaps | 111,432 | ||||||||||
Credit contracts | Unrealized appreciation on credit default swaps | 19,273 | Unrealized depreciation on credit default swaps | 18,010 | ||||||||
|
|
|
| |||||||||
Total | $ | 948,863 | $ | 2,464,130 | ||||||||
|
|
|
|
* | 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. |
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 | $ | (1,973,187 | ) | $ | 35,794 | ||||
Foreign exchange contracts | Net realized gain (loss) on foreign currency transactions; Net change in unrealized appreciation/depreciation of foreign currency denominated assets and liabilities |
| 468,707 |
|
| (542,303 | ) |
266 | • 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) | |||||||
Foreign exchange contracts | Net realized gain (loss) on options written; Net change in unrealized appreciation/depreciation of options written | $ | 20,721 |
| $ | – 0 | – | |||
Interest rate contracts | Net realized gain (loss) on swaps; Net change in unrealized appreciation/depreciation of swaps | (2,201,596 | ) | 509,884 | ||||||
Credit contracts | Net realized gain (loss) on swaps; Net change in unrealized appreciation/depreciation of swaps | (1,254,175 | ) | 387,525 | ||||||
Equity contracts | Net realized gain (loss) on swaps; Net change in unrealized appreciation/depreciation of swaps | 426,817 | – 0 | – | ||||||
|
|
|
| |||||||
Total | $ | (4,512,713 | ) | $ | 390,900 | |||||
|
|
|
|
AB Multi-Asset Real Return Portfolio** | ||||||||||||
Asset Derivatives | Liability Derivatives | |||||||||||
Derivative Type | Consolidated Statement of | Fair Value | Consolidated Statement of Assets and Liabilities Location | Fair Value | ||||||||
Interest rate contracts | Receivable/Payable for variation margin on exchange-traded derivatives | $ | 6,233 | * | ||||||||
Equity contracts | Receivable/Payable for variation margin on exchange-traded derivatives | $ | 363,768 | * |
AB POOLING PORTFOLIOS • | 267 |
Notes to Financial Statements
Asset Derivatives | Liability Derivatives | |||||||||||
Derivative Type | Consolidated Statement of | Fair Value | Consolidated Statement of Assets and Liabilities Location | Fair Value | ||||||||
Commodity contracts | Receivable/Payable for variation margin on exchange-traded derivatives | $ | 1,300,407 | * | Receivable/Payable for variation margin on exchange-traded derivatives | $ | 2,199,629 | * | ||||
Foreign exchange contracts | Unrealized appreciation on forward currency exchange contracts |
| 6,720,041 |
| Unrealized depreciation on forward currency exchange contracts |
| 3,652,165 |
| ||||
Equity contracts | Investments in securities, at value | 75,845 | ||||||||||
Equity contracts | Options written, at value | 132,071 | ||||||||||
Interest rate contracts | Unrealized appreciation on inflation swaps |
| 114,835 |
| Unrealized depreciation on inflation swaps |
| 4,319,281 |
| ||||
Equity contracts | Unrealized depreciation on total return swaps | 8,317,006 | ||||||||||
|
|
|
| |||||||||
Total | $ | 8,217,361 | $ | 18,983,920 | ||||||||
|
|
|
|
* | 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). |
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 | $ | (116,446 | ) | $ | 6,233 |
268 | • 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 | $ | (207 | ) | $ | (363,768 | ) | |||
Commodity contracts | Net realized gain (loss) on futures; Net change in unrealized appreciation/depreciation of futures | (34,701,717 | ) | 18,289,019 | ||||||
Foreign exchange contracts | Net realized gain (loss) on foreign currency transactions; Net change in unrealized appreciation/depreciation of foreign currency denominated assets and liabilities |
| (2,808,616 | ) |
| 2,074,558 |
| |||
Equity contracts | Net realized gain (loss) on investment transactions; Net change in unrealized appreciation/depreciation of investments | (1,157,196 | ) | (101,248 | ) | |||||
Equity contracts | Net realized gain (loss) on options written; Net change in unrealized appreciation/depreciation of options written | (1,545,603 | ) | (1,649,939 | ) | |||||
Interest rate contracts | Net realized gain (loss) on swaps; Net change in unrealized appreciation/depreciation of swaps | (6,456,857 | ) | (5,119,697 | ) | |||||
Equity contracts | Net realized gain (loss) on swaps; Net change in unrealized appreciation/depreciation of swaps | (12,368,765 | ) | (9,850,265 | ) | |||||
|
|
|
| |||||||
Total | $ | (59,155,407 | ) | $ | 3,284,893 | |||||
|
|
|
|
AB POOLING PORTFOLIOS • | 269 |
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 | ||||||||
Equity contracts | Receivable/Payable for variation margin on exchange-traded derivatives | $ | 154,714 | * | Receivable/Payable for variation margin on exchange-traded derivatives | $ | 1,133,604 | * | ||||
Foreign exchange contracts | Unrealized appreciation on forward currency exchange contracts |
| 9,949,522 |
| Unrealized depreciation on forward currency exchange contracts |
| 10,994,169 |
| ||||
Equity contracts | Investments in securities, at value | 3,834,198 | ||||||||||
Equity contracts | Unrealized appreciation on total return swaps | 2,694,300 | Unrealized depreciation on total return swaps | 63,147 | ||||||||
|
|
|
| |||||||||
Total | $ | 16,632,734 | $ | 12,190,920 | ||||||||
|
|
|
|
* | 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. |
Derivative Type | Location of on Derivatives of Operations | Realized Gain or (Loss) on Derivatives | Change in Unrealized Appreciation or (Depreciation) | |||||||
Interest rate contracts | Net realized gain (loss) on futures; Net change in unrealized appreciation/depreciation of futures | $ | 134,282 | |||||||
Equity contracts | Net realized gain (loss) on futures; Net change in unrealized appreciation/depreciation of futures | (53,776,598) | $ | 11,585,222 | ||||||
Foreign exchange contracts | Net realized gain (loss) on foreign currency transactions; Net change in unrealized appreciation/depreciation of foreign currency denominated assets and liabilities |
| 6,242,329 |
|
| (3,125,755) |
|
270 | • AB POOLING PORTFOLIOS |
Notes to Financial Statements
Derivative Type | Location of on Derivatives of Operations | 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 | $ | (2,045,065) | $ | (300,985) | |||||
Equity contracts | Net realized gain (loss) on options written; Net change in unrealized appreciation/depreciation of options written | 3,562,820 | – 0 | – | ||||||
Equity contracts | Net realized gain (loss) on swaps; Net change in unrealized appreciation/depreciation of swaps | 9,747,803 | 8,742,275 | |||||||
|
|
|
| |||||||
Total | $ | (36,134,429) | $ | 16,900,757 | ||||||
|
|
|
|
The following tables represent the average monthly volume of the Portfolios’ derivative transactions during the year ended August 31, 2016:
AB International Value Portfolio | ||||
Futures: | ||||
Average original value of buy contracts | $ | 715,613 | ||
Forward Currency Exchange Contracts: | ||||
Average principal amount of buy contracts | $ | 61,408,155 | ||
Average principal amount of sale contracts | $ | 70,998,848 | ||
AB International Growth Portfolio | ||||
Forward Currency Exchange Contracts: | ||||
Average principal amount of buy contracts | $ | 66,591,985 | ||
Average principal amount of sale contracts | $ | 84,781,402 | ||
AB Short Duration Bond Portfolio | ||||
Futures: | ||||
Average original value of buy contracts | $ | 231,471,832 | ||
Average original value of sale contracts | $ | 30,261,381 | ||
Forward Currency Exchange Contracts: | ||||
Average principal amount of sale contracts | $ | 36,230,347 | (a) | |
Centrally Cleared Interest Rate Swaps: | ||||
Average notional amount | $ | 7,492,091 | (b) | |
Credit Default Swaps: | ||||
Average notional amount of sale contracts | $ | 250,846 | (c) | |
(a) Positions were open for nine months during the year. | ||||
(b) Positions were open for eight months during the year. | ||||
(c) Positions were open for less than one month during the year. |
AB POOLING PORTFOLIOS • | 271 |
Notes to Financial Statements
AB Global Core Bond Portfolio | ||||
Futures: | ||||
Average original value of buy contracts | $ | 12,494,186 | (a) | |
Average original value of sale contracts | $ | 60,893,780 | ||
Forward Currency Exchange Contracts: | ||||
Average principal amount of buy contracts | $ | 104,258,498 | ||
Average principal amount of sale contracts | $ | 425,158,793 | ||
Purchased Options: | ||||
Average monthly cost | $ | 221,805 | (b) | |
(a) Positions were open for seven months during the year. | ||||
(b) Positions were open for five months during the year. | ||||
AB Bond Inflation Protection Portfolio | ||||
Futures: | ||||
Average original value of buy contracts | $ | 10,853,011 | ||
Average original value of sale contracts | $ | 78,665,204 | ||
Forward Currency Exchange Contracts: | ||||
Average principal amount of buy contracts | $ | 14,938,383 | ||
Average principal amount of sale contracts | $ | 47,176,793 | ||
Interest Rate Swaps: | ||||
Average notional amount | $ | 21,713,741 | (a) | |
Inflation Swaps: | ||||
Average notional amount | $ | 89,580,615 | ||
Centrally Cleared Interest Rate Swaps: | ||||
Average notional amount | $ | 275,646,713 | ||
Credit Default Swaps: | ||||
Average notional amount of buy contracts | $ | 2,057,077 | ||
Average notional amount of sale contracts | $ | 3,118,447 | ||
Centrally Cleared Credit Default Swaps: | ||||
Average notional amount of buy contracts | $ | 33,245,385 | ||
Total Return Swaps: | ||||
Average notional amount | $ | 37,160,427 | (b) | |
(a) Positions were open for eight months during the year. | ||||
(b) Positions were open for one month during the year. | ||||
AB Multi-Asset Real Return Portfolio* | ||||
Futures: | ||||
Average original value of buy contracts | $ | 81,162,896 | ||
Average original value of sale contracts | $ | 18,370,219 | ||
Forward Currency Exchange Contracts: | ||||
Average principal amount of buy contracts | $ | 118,915,921 | ||
Average principal amount of sale contracts | $ | 169,716,154 | ||
Purchased Options: | ||||
Average monthly cost | $ | 667,579 | (a) |
272 | • AB POOLING PORTFOLIOS |
Notes to Financial Statements
Interest Rate Swaps: | ||||
Average notional amount | $ | 133,000,000 | (b) | |
Inflation Swaps: | ||||
Average notional amount | $ | 446,563,846 | ||
Total Return Swaps: | ||||
Average notional amount | $ | 217,371,298 | ||
* Consolidated (see Note A). | ||||
(a) Positions were open for four months during the year. | ||||
(b) Positions were open for less than one month during the year. | ||||
AB Volatility Management Portfolio | ||||
Futures: | ||||
Average original value of buy contracts | $ | 143,183,527 | ||
Average original value of sale contracts | $ | 122,640,957 | ||
Forward Currency Exchange Contracts: | ||||
Average principal amount of buy contracts | $ | 193,820,250 | ||
Average principal amount of sale contracts | $ | 203,388,250 | ||
Purchased Options: | ||||
Average monthly cost | $ | 7,181,539 | (a) | |
Total Return Swaps: | ||||
Average notional amount | $ | 173,800,513 | ||
(a) Positions were open for five months during the year. |
For financial reporting purposes, the Portfolios do not offset derivative assets and derivative liabilities that are subject to netting arrangements in the statement of assets and liabilities.
All 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 August 31, 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 | |||||||||||||||
OTC Derivatives: |
| |||||||||||||||||||
Bank of America, NA | $ | 9,374 | $ | – 0 | – | $ | – 0 | – | $ | – 0 | – | $ | 9,374 | |||||||
Barclays Bank PLC | 106,625 | (12,011 | ) | – 0 | – | – 0 | – | 94,614 | ||||||||||||
BNP Paribas SA | 68,548 | (68,548 | ) | – 0 | – | – 0 | – | – 0 | – | |||||||||||
Citibank, NA | 13,629 | – 0 | – | – 0 | – | – 0 | – | 13,629 | ||||||||||||
Goldman Sachs Bank USA | 48,707 | (31,461 | ) | – 0 | – | – 0 | – | 17,246 | ||||||||||||
JPMorgan Chase Bank, NA | 121,235 | – 0 | – | – 0 | – | – 0 | – | 121,235 | ||||||||||||
Morgan Stanley & Co., Inc. | 464 | – 0 | – | – 0 | – | – 0 | – | 464 | ||||||||||||
State Street Bank & Trust Co. | 16,406 | (16,406 | ) | – 0 | – | – 0 | – | – 0 | – | |||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Total | $ | 384,988 | $ | (128,426 | ) | $ | – 0 | – | $ | – 0 | – | $ | 256,562 | ^ | ||||||
|
|
|
|
|
|
|
|
|
|
AB POOLING PORTFOLIOS • | 273 |
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: |
| |||||||||||||||||||
Goldman Sachs & Co.** | $ | 310 | $ | – 0 | – | $ | (310 | ) | $ | – 0 | – | $ | – 0 | – | ||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Total | $ | 310 | $ | – 0 | – | $ | (310 | ) | $ | – 0 | – | $ | – 0 | – | ||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
OTC Derivatives: | ||||||||||||||||||||
Barclays Bank PLC | $ | 12,011 | $ | (12,011 | ) | $ | – 0 | – | $ | – 0 | – | $ | – 0 | – | ||||||
BNP Paribas SA | 83,417 | (68,548 | ) | – 0 | – | – 0 | – | 14,869 | ||||||||||||
Goldman Sachs Bank USA | 31,461 | (31,461 | ) | – 0 | – | – 0 | – | – 0 | – | |||||||||||
Royal Bank of Scotland PLC | 59,995 | – 0 | – | – 0 | – | – 0 | – | 59,995 | ||||||||||||
State Street Bank & Trust Co. | 30,763 | (16,406 | ) | – 0 | – | – 0 | – | 14,357 | ||||||||||||
UBS AG | 31,221 | – 0 | – | – 0 | – | – 0 | – | 31,221 | ||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Total | $ | 248,868 | $ | (128,426 | ) | $ | – 0 | – | $ | – 0 | – | $ | 120,442 | ^ | ||||||
|
|
|
|
|
|
|
|
|
|
* | The actual collateral received/pledged is more than the amount reported due to over-collateralization. |
** | Cash have been posted for initial margin requirements for exchange-traded derivatives outstanding at August 31, 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 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, NA | $ | 136,753 | $ | (136,753 | ) | $ | – 0 | – | $ | – 0 | – | $ | – 0 | – | ||||||
Credit Suisse International | 9,941 | – 0 | – | – 0 | – | – 0 | – | 9,941 | ||||||||||||
Goldman Sachs Bank USA | 73,187 | – 0 | – | – 0 | – | – 0 | – | 73,187 | ||||||||||||
HSBC Bank USA | 27,840 | (443 | ) | – 0 | – | – 0 | – | 27,397 | ||||||||||||
Morgan Stanley & Co., Inc. | 25,251 | (25,251 | ) | – 0 | – | – 0 | – | – 0 | – | |||||||||||
Royal Bank of Scotland PLC | 3,542,840 | (279,108 | ) | – 0 | – | – 0 | – | 3,263,732 | ||||||||||||
Standard Chartered Bank | 62,167 | (44,845 | ) | – 0 | – | – 0 | – | 17,322 | ||||||||||||
State Street Bank & Trust Co. | 360,785 | (46,657 | ) | – 0 | – | – 0 | – | 314,128 | ||||||||||||
UBS AG | 7,849 | (7,849 | ) |
|
– 0 |
– |
|
– 0 |
– | – 0 | – | |||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Total | $ | 4,246,613 | $ | (540,906 | ) |
$ |
– 0 |
– |
$ |
– 0 |
– | $ | 3,705,707 | ^ | ||||||
|
|
|
|
|
|
|
|
|
|
274 | • 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 Derivatives Liabilities | |||||||||||||||
OTC Derivatives: |
| |||||||||||||||||||
BNP Paribas SA | $ | 7,480 | $ | – 0 | – | $ | – 0 | – | $ | – 0 | – | $ | 7,480 | |||||||
Citibank, NA | 146,975 | (136,753 | ) | – 0 | – | – 0 | – | 10,222 | ||||||||||||
HSBC Bank USA | 443 | (443 | ) | – 0 | – | – 0 | – | – 0 | – | |||||||||||
JPMorgan Chase Bank, NA | 512,952 | – 0 | – | – 0 | – | – 0 | – | 512,952 | ||||||||||||
Morgan Stanley & Co., Inc. | 853,027 | (25,251 | ) | – 0 | – | – 0 | – | 827,776 | ||||||||||||
Royal Bank of Scotland PLC | 279,108 | (279,108 | ) | – 0 | – | – 0 | – | – 0 | – | |||||||||||
Standard Chartered Bank | 44,845 | (44,845 | ) | – 0 | – | – 0 | – | – 0 | – | |||||||||||
State Street Bank & Trust Co. | 46,657 | (46,657 | ) | – 0 | – | – 0 | – | – 0 | – | |||||||||||
UBS AG | 117,089 | (7,849 | ) |
|
– 0 |
– |
|
– 0 |
– | 109,240 | ||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Total | $ | 2,008,576 | $ | (540,906 | ) |
$ |
– 0 |
– |
$ |
– 0 |
– | $ | 1,467,670 | ^ | ||||||
|
|
|
|
|
|
|
|
|
|
^ | 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 Derivatives Assets | |||||||||||||||
Exchange-Traded Derivatives: |
| |||||||||||||||||||
Morgan Stanley & Co., LLC* | $ | 3,341 | $ | – 0 | – | $ | – 0 | – | $ | – 0 | – | $ | 3,341 | |||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Total | $ | 3,341 | $ | – 0 | – | $ | – 0 | – | $ | – 0 | – | $ | 3,341 | |||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Counterparty | Derivative Liabilities Subject to a MA | Derivative Available for Offset | Cash Collateral Pledged | Security Collateral Pledged | Net Amount of Derivatives Liabilities | |||||||||||||||
OTC Derivatives: |
| |||||||||||||||||||
Credit Suisse International | $ | 13,331 | $ | – 0 | – | $ | – 0 | – | $ | – 0 | – | $ | 13,331 | |||||||
Deutsche Bank AG | 14,747 | – 0 | – | – 0 | – | – 0 | – | 14,747 | ||||||||||||
Goldman Sachs Bank USA | 91,504 | – 0 | – | – 0 | – | – 0 | – | 91,504 | ||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Total | $ | 119,582 | $ | – 0 | – | $ | – 0 | – | $ | – 0 | – | $ | 119,582 | ^ | ||||||
|
|
|
|
|
|
|
|
|
|
* | Cash has been posted for initial margin requirements for exchange-traded derivatives outstanding at August 31, 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 POOLING PORTFOLIOS • | 275 |
Notes to Financial Statements
AB Global Core Bond Portfolio | ||||||||||||||||||||
Counterparty | Derivative to a MA | Derivative Available for Offset | Cash Collateral Received | Security Collateral Received | Net Amount of | |||||||||||||||
Exchange-Traded Derivatives: |
| |||||||||||||||||||
Morgan Stanley & Co., LLC* | $ | 5,347 | $ | – 0 | – | $ | – 0 | – | $ | – 0 | – | $ | 5,347 | |||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Total | $ | 5,347 | $ | – 0 | – | $ | – 0 | – | $ | – 0 | – | $ | 5,347 | |||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
OTC Derivatives: |
| |||||||||||||||||||
Australia and New Zealand Banking Group Ltd. | $ | 218,030 | $ | (69,738 | ) | $ | – 0 | – | $ | – 0 | – | $ | 148,292 | |||||||
BNP Paribas SA | 825 | (825 | ) | – 0 | – | – 0 | – | – 0 | – | |||||||||||
Citibank, NA | 430,308 | (77,906 | ) | – 0 | – | – 0 | – | 352,402 | ||||||||||||
Credit Suisse International | 102,304 | (102,304 | ) | – 0 | – | – 0 | – | – 0 | – | |||||||||||
Goldman Sachs Bank USA | 369,565 | (369,565 | ) | – 0 | – | – 0 | – | – 0 | – | |||||||||||
JPMorgan Chase Bank, NA | 20,264 | (20,264 | ) | – 0 | – | – 0 | – | – 0 | – | |||||||||||
Societe Generale | 13,120 | – 0 | – | – 0 | – | – 0 | – | 13,120 | ||||||||||||
State Street Bank & Trust Co. | 415,812 | (26,392 | ) | – 0 | – | – 0 | – | 389,420 | ||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Total | $ | 1,570,228 | $ | (666,994 | ) | $ | – 0 | – | $ | – 0 | – | $ | 903,234 | ^ | ||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Counterparty | Derivative Liabilities Subject to a MA | Derivative Available for Offset | Cash Collateral Pledged | Security Collateral Pledged | Net Amount of | |||||||||||||||
OTC Derivatives: |
| |||||||||||||||||||
Australia and New Zealand Banking Group Ltd. | $ | 69,738 | $ | (69,738 | ) | $ | – 0 | – | $ | – 0 | – | $ | – 0 | – | ||||||
Bank of America, NA | 9,819 | – 0 | – | – 0 | – | – 0 | – | 9,819 | ||||||||||||
BNP Paribas SA | 316,414 | (825 | ) | – 0 | – | – 0 | – | 315,589 | ||||||||||||
Citibank, NA | 77,906 | (77,906 | ) | – 0 | – | – 0 | – | – 0 | – | |||||||||||
Credit Suisse International | 113,372 | (102,304 | ) | – 0 | – | – 0 | – | 11,068 | ||||||||||||
Goldman Sachs Bank USA | 1,062,385 | (369,565 | ) | – 0 | – | – 0 | – | 692,820 | ||||||||||||
JPMorgan Chase Bank, NA | 31,746 | (20,264 | ) | – 0 | – | – 0 | – | 11,482 | ||||||||||||
Royal Bank of Scotland PLC | 32,080 | – 0 | – | – 0 | – | – 0 | – | 32,080 | ||||||||||||
Standard Chartered Bank | 21,082 | – 0 | – | – 0 | – | – 0 | – | 21,082 | ||||||||||||
State Street Bank & Trust Co. | 26,392 | (26,392 | ) | – 0 | – | – 0 | – | – 0 | – | |||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Total | $ | 1,760,934 | $ | (666,994 | ) | $ | – 0 | – | $ | – 0 | – | $ | 1,093,940 | ^ | ||||||
|
|
|
|
|
|
|
|
|
|
* | Cash has been posted for initial margin requirements for exchange-traded derivatives outstanding at August 31, 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. |
276 | • AB POOLING PORTFOLIOS |
Notes to Financial Statements
AB Bond Inflation Protection 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: |
| |||||||||||||||||||
Morgan Stanley & Co., LLC* | $ | 4,209 | $ | (4,209 | ) | $ | – 0 | – | $ | – 0 | – | $ | – 0 | – | ||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Total | $ | 4,209 | $ | (4,209 | ) | $ | – 0 | – | $ | – 0 | – | $ | – 0 | – | ||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
OTC Derivatives: | ||||||||||||||||||||
Bank of America, NA | $ | 10,823 | $ | – 0 | – | $ | – 0 | – | $ | – 0 | – | $ | 10,823 | |||||||
Credit Suisse International | 1,512 | (1,512 | ) | – 0 | – | – 0 | – | – 0 | – | |||||||||||
Goldman Sachs Bank USA | 290,600 | (290,600 | ) | – 0 | – | – 0 | – | – 0 | – | |||||||||||
HSBC Bank USA | 11,871 | (8,824 | ) | – 0 | – | – 0 | – | 3,047 | ||||||||||||
JPMorgan Chase Bank, NA | 174,964 | (49,384 | ) | – 0 | – | – 0 | – | 125,580 | ||||||||||||
Royal Bank of Scotland PLC | 9,930 | – 0 | – | – 0 | – | – 0 | – | 9,930 | ||||||||||||
State Street Bank & Trust Co. | 5,168 | (5,168 | ) | – 0 | – | – 0 | – | – 0 | – | |||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Total | $ | 504,868 | $ | (355,488 | ) | $ | – 0 | – | $ | – 0 | – | $ | 149,380 | ^ | ||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
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., LLC* | $ | 4,450 | $ | (4,209 | ) | $ | – 0 | – | $ | (241 | ) | $ | – 0 | – | ||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Total | $ | 4,450 | $ | (4,209 | ) | $ | – 0 | – | $ | (241 | ) | $ | – 0 | – | ||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
OTC Derivatives: |
| |||||||||||||||||||
Barclays Bank PLC | $ | 63,751 | $ | – 0 | – | $ | – 0 | – | $ | – 0 | – | $ | 63,751 | |||||||
BNP Paribas SA | 4,214 | – 0 | – | – 0 | – | – 0 | – | 4,214 | ||||||||||||
Citibank, NA | 16,566 | – 0 | – | – 0 | – | – 0 | – | 16,566 | ||||||||||||
Credit Suisse International | 43,324 | (1,512 | ) | – 0 | – | – 0 | – | 41,812 | ||||||||||||
Goldman Sachs Bank USA | 851,261 | (290,600 | ) | – 0 | – | – 0 | – | 560,661 | ||||||||||||
HSBC Bank USA | 8,824 | (8,824 | ) | – 0 | – | – 0 | – | – 0 | – | |||||||||||
JPMorgan Chase Bank, NA | 49,384 | (49,384 | ) | – 0 | – | – 0 | – | – 0 | – | |||||||||||
State Street Bank & Trust Co. | 10,526 | (5,168 | ) | – 0 | – | – 0 | – | 5,358 | ||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Total | $ | 1,047,850 | $ | (355,488 | ) | $ | – 0 | – | $ | – 0 | – | $ | 692,362 | ^ | ||||||
|
|
|
|
|
|
|
|
|
|
* | Cash and securities have been posted for initial margin requirements for exchange-traded derivatives outstanding at August 31, 2016. |
** | The actual collateral received/pledged is more than the amount reported due to over-collateralization. |
^ | Net amount represents the net receivable/(payable) that would be due from/to the counterparty in the event of default or termination. The net amount from OTC financial derivative instruments can only be netted across transactions governed under the same master agreement with the same counterparty. |
AB POOLING PORTFOLIOS • | 277 |
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 | |||||||||||||||
Exchange-Traded Derivatives: |
| |||||||||||||||||||
Morgan Stanley & Co., LLC* | $ | 131,245 | $ | – 0 | – | $ | – 0 | – | $ | – 0 | – | $ | 131,245 | |||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Total | $ | 131,245 | $ | – 0 | – | $ | – 0 | – | $ | – 0 | – | $ | 131,245 | |||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
OTC Derivatives: |
| |||||||||||||||||||
Bank of America, NA | $ | 202,698 | $ | (146,421 | ) | $ | – 0 | – | $ | – 0 | – | $ | 56,277 | |||||||
Barclays Bank PLC | 655,062 | (256,916 | ) | – 0 | – | – 0 | – | 398,146 | ||||||||||||
BNP Paribas SA | 160,877 | (84,717 | ) | – 0 | – | – 0 | – | 76,160 | ||||||||||||
Brown Brothers Harriman & Co. | 2,812 | (2,812 | ) | – 0 | – | – 0 | – | – 0 | – | |||||||||||
Citibank, NA | 505,340 | (110,829 | ) | – 0 | – | – 0 | – | 394,511 | ||||||||||||
Credit Suisse International | 2,798 | (2,798 | ) | – 0 | – | – 0 | – | – 0 | – | |||||||||||
Goldman Sachs Bank USA/Goldman Sachs International | 615,223 | (247,013 | ) | – 0 | – | – 0 | – | 368,210 | ||||||||||||
HSBC Bank USA | 1,055,929 | (196,350 | ) | – 0 | – | – 0 | – | 859,579 | ||||||||||||
JPMorgan Chase Bank, NA | 544,976 | (544,976 | ) | – 0 | – | – 0 | – | – 0 | – | |||||||||||
Morgan Stanley & Co., Inc. | 573,677 | (167,710 | ) | – 0 | – | – 0 | – | 405,967 | ||||||||||||
Nomura Global Financial Products, Inc. | 21,242 | – 0 | – | – 0 | – | – 0 | – | 21,242 | ||||||||||||
Royal Bank of Scotland PLC | 1,859,902 | (208,556 | ) | – 0 | – | – 0 | – | 1,651,346 | ||||||||||||
Standard Chartered Bank | 76,165 | (54,313 | ) | – 0 | – | – 0 | – | 21,852 | ||||||||||||
State Street Bank & Trust Co. | 495,956 | (406,625 | ) | – 0 | – | – 0 | – | 89,331 | ||||||||||||
UBS AG | 56,565 | (20,056 | ) | – 0 | – | – 0 | – | 36,509 | ||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Total | $ | 6,829,222 | $ | (2,450,092 | ) | $ | – 0 | – | $ | – 0 | – | $ | 4,379,130 | ^ | ||||||
|
|
|
|
|
|
|
|
|
|
278 | • 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 Derivatives Liabilities | |||||||||||||||
OTC Derivatives: |
| |||||||||||||||||||
Bank of America, NA | $ | 146,421 | $ | (146,421 | ) | $ | – 0 | – | $ | – 0 | – | $ | – 0 | – | ||||||
Barclays Bank PLC | 256,916 | (256,916 | ) | – 0 | – | – 0 | – | – 0 | – | |||||||||||
BNP Paribas SA | 84,717 | (84,717 | ) | – 0 | – | – 0 | – | – 0 | – | |||||||||||
Brown Brothers Harriman & Co. | 181,347 | (2,812 | ) | – 0 | – | – 0 | – | 178,535 | ||||||||||||
Citibank, NA | 110,829 | (110,829 | ) | – 0 | – | – 0 | – | – 0 | – | |||||||||||
Credit Suisse International | 378,393 | (2,798 | ) | – 0 | – | – 0 | – | 375,595 | ||||||||||||
Deutsche Bank AG | 2,812,611 | – 0 | – | – 0 | – | (2,148,292 | ) | 664,319 | ||||||||||||
Goldman Sachs Bank USA/Goldman Sachs International | 247,013 | (247,013 | ) | – 0 | – | – 0 | – | – 0 | – | |||||||||||
HSBC Bank USA | 196,350 | (196,350 | ) | – 0 | – | – 0 | – | – 0 | – | |||||||||||
JPMorgan Chase Bank, NA | 2,680,267 | (544,976 | ) | – 0 | – | (1,483,118 | ) | 652,173 | ||||||||||||
Morgan Stanley & Co., Inc. | 167,710 | (167,710 | ) | – 0 | – | – 0 | – | – 0 | – | |||||||||||
Royal Bank of Scotland PLC | 208,556 | (208,556 | ) | – 0 | – | – 0 | – | – 0 | – | |||||||||||
Standard Chartered Bank | 54,313 | (54,313 | ) | – 0 | – | – 0 | – | – 0 | – | |||||||||||
State Street Bank & Trust Co. | 406,625 | (406,625 | ) | – 0 | – | – 0 | – | – 0 | – | |||||||||||
UBS AG | 20,056 | (20,056 | ) | – 0 | – | – 0 | – | – 0 | – | |||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Total | $ | 7,952,124 | $ | (2,450,092 | ) | $ | – 0 | – | $ | (3,631,410 | ) | $ | 1,870,622 | ^ | ||||||
|
|
|
|
|
|
|
|
|
|
* | Cash has been posted for initial margin requirements for exchange-traded derivatives outstanding at August 31, 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 POOLING PORTFOLIOS • | 279 |
Notes to Financial Statements
AllianceBernstein Cayman Inflation Pooling Subsidiary. Ltd. | ||||||||||||||||||||
Counterparty | Derivative to a MA | Derivative Available for Offset | Cash Collateral Received | Security Collateral Received | Net Amount of Derivatives Assets | |||||||||||||||
Exchange-Traded Derivatives: |
| |||||||||||||||||||
Morgan Stanley & Co., LLC* | $ | 75,845 | $ | (75,845 | ) | $ | – 0 | – | $ | – 0 | – | $ | – 0 | – | ||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Total | $ | 75,845 | $ | (75,845 | ) | $ | – 0 | – | $ | – 0 | – | $ | – 0 | – | ||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
OTC Derivatives: |
| |||||||||||||||||||
State Street Bank & Trust Co. | $ | 5,654 | $ | (5,654 | ) | $ | – 0 | – | $ | – 0 | – | $ | – 0 | – | ||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Total | $ | 5,654 | $ | (5,654 | ) | $ | – 0 | – | $ | – 0 | – | $ | – 0 | – | ||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
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., LLC* | $ | 922,181 | $ | (75,845 | ) | $ | (846,336 | ) | $ | – 0 | – | $ | – 0 | – | ||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Total | $ | 922,181 | $ | (75,845 | ) | $ | (846,336 | ) | $ | – 0 | – | $ | – 0 | – | ||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
OTC Derivatives: |
| |||||||||||||||||||
JPMorgan Chase Bank, NA | $ | 8,317,006 | $ | – 0 | – | $ | – 0 | – | $ | (8,317,006 | ) | $ | – 0 | – | ||||||
State Street Bank & Trust Co. | 19,322 | (5,654 | ) | – 0 | – | – 0 | – | 13,668 | ||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Total | $ | 8,336,328 | $ | (5,654 | ) | $ | – 0 | – | $ | (8,317,006 | ) | $ | 13,668 | ^ | ||||||
|
|
|
|
|
|
|
|
|
|
* | Cash have been posted for initial margin requirements for exchange-traded derivatives outstanding at August 31, 2016. |
** | The actual collateral received/pledged is more than the amount reported due to over-collateralization. |
^ | Net amount represents the net receivable/(payable) that would be due from/to the counterparty in the event of default or termination. The net amount from OTC financial derivative instruments can only be netted across transactions governed under the same master agreement with the same counterparty. |
280 | • AB POOLING PORTFOLIOS |
Notes to Financial Statements
AB Volatility Management | ||||||||||||||||||||
Counterparty | Derivative Assets Subject to a MA | Derivative Available for Offset | Cash Collateral Received* | Security Collateral Received* | Net Amount of Derivatives Assets | |||||||||||||||
OTC Derivatives: |
| |||||||||||||||||||
Bank of America, NA | $ | 637,242 | $ | – 0 | – | $ | – 0 | – | $ | (637,242 | ) | $ | – 0 | – | ||||||
Barclays Capital PLC | 171,402 | (171,402 | ) | – 0 | – | – 0 | – | – 0 | – | |||||||||||
BNP Paribas SA | 557 | (557 | ) | – 0 | – | – 0 | – | – 0 | – | |||||||||||
Brown Brothers Harriman & Co. | 808,847 | (51,470 | ) | – 0 | – | – 0 | – | 757,377 | ||||||||||||
Citibank, NA | 1,724,006 | (129,155 | ) | – 0 | – | – 0 | – | 1,594,851 | ||||||||||||
Credit Suisse International | 549,117 | (381,015 | ) | – 0 | – | (168,102 | ) | – 0 | – | |||||||||||
Deutsche Bank AG | 158,738 | (131,079 | ) | – 0 | – | – 0 | – | 27,659 | ||||||||||||
Goldman Sachs International | 4,379,781 | – 0 | – | (4,379,781 | ) | – 0 | – | – 0 | – | |||||||||||
HSBC Bank USA | 20,351 | (20,351 | ) | – 0 | – | – 0 | – | – 0 | – | |||||||||||
JPMorgan Chase Bank, NA | 1,063,467 | (516,132 | ) | – 0 | – | – 0 | – | 547,335 | ||||||||||||
Morgan Stanley & Co., Inc. | 1,263,625 | (817,935 | ) | – 0 | – | – 0 | – | 445,690 | ||||||||||||
Royal Bank of Scotland PLC | 4,227,715 | (688,460 | ) | – 0 | – | – 0 | – | 3,539,255 | ||||||||||||
Standard Chartered Bank | 538,450 | – 0 | – | – 0 | – | – 0 | – | 538,450 | ||||||||||||
State Street Bank & Trust Co. | 873,635 | (873,635 | ) | – 0 | – | – 0 | – | – 0 | – | |||||||||||
UBS AG | 61,087 | (61,087 | ) | – 0 | – | – 0 | – | – 0 | – | |||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Total | $ | 16,478,020 | $ | (3,842,278 | ) | $ | (4,379,781 | ) | $ | (805,344 | ) | $ | 7,450,617 | ^ | ||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
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: |
| |||||||||||||||||||
Goldman Sachs & Co.** | $ | 390,502 | $ | – 0 | – | $ | – 0 | – | $ | (390,502 | ) | $ | – 0 | – | ||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Total | $ | 390,502 | $ | – 0 | – | $ | – 0 | – | $ | (390,502 | ) | $ | – 0 | – | ||||||
|
|
|
|
|
|
|
|
|
|
AB POOLING PORTFOLIOS • | 281 |
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 | |||||||||||||||
OTC Derivatives: | ||||||||||||||||||||
Barclays Capital PLC | $ | 544,887 | $ | (171,402 | ) | $ | – 0 | – | $ | – 0 | – | $ | 373,485 | |||||||
BNP Paribas SA | 311,321 | (557 | ) | – 0 | – | – 0 | – | 310,764 | ||||||||||||
Brown Brothers Harriman & Co. | 51,470 | (51,470 | ) | – 0 | – | – 0 | – | – 0 | – | |||||||||||
Citibank, NA | 129,155 | (129,155 | ) | – 0 | – | – 0 | – | – 0 | – | |||||||||||
Credit Suisse International | 381,015 | (381,015 | ) | – 0 | – | – 0 | – | – 0 | – | |||||||||||
Deutsche Bank AG | 131,079 | (131,079 | ) | – 0 | – | – 0 | – | – 0 | – | |||||||||||
HSBC Bank USA | 550,642 | (20,351 | ) | – 0 | – | – 0 | – | 530,291 | ||||||||||||
JPMorgan Chase Bank, NA | 516,132 | (516,132 | ) | – 0 | – | – 0 | – | – 0 | – | |||||||||||
Morgan Stanley & Co., Inc. | 817,935 | (817,935 | ) | – 0 | – | – 0 | – | – 0 | – | |||||||||||
Royal Bank of Scotland PLC | 688,460 | (688,460 | ) | – 0 | – | – 0 | – | – 0 | – | |||||||||||
State Street Bank & Trust Co. | 6,859,544 | (873,635 | ) | – 0 | – | – 0 | – | 5,985,909 | ||||||||||||
UBS AG | 75,676 | (61,087 | ) | – 0 | – | – 0 | – | 14,589 | ||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Total | $ | 11,057,316 | $ | (3,842,278 | ) | $ | – 0 | – | $ | – 0 | – | $ | 7,215,038 | ^ | ||||||
|
|
|
|
|
|
|
|
|
|
* | The actual collateral received/pledged is more than the amount reported due to over-collateralization. |
** | Cash and securities have been posted for initial margin requirements for exchange-traded derivatives outstanding at August 31, 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. |
2. Currency Transactions
The Portfolios may invest in non-U.S. Dollar-denominated securities on a currency hedged or unhedged basis. The Portfolios may seek investment opportunities by taking long or short positions in currencies through the use of currency-related derivatives, including forward currency exchange contracts, futures and options on futures, swaps, and other options. The Portfolios may enter into transactions for investment opportunities when it anticipates that a foreign currency will appreciate or depreciate in value but securities denominated in that currency are not held by the Portfolios and do not present attractive investment opportunities. Such transactions may also be used when the Adviser believes that it may be more efficient than a direct investment in a foreign currency-denominated security. The Portfolios may also conduct currency exchange contracts on a spot basis (i.e., for cash at the spot rate prevailing in the currency exchange market for buying or selling currencies).
282 | • AB POOLING PORTFOLIOS |
Notes to Financial Statements
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 year ended August 31, 2016, the AB Global Core Bond Portfolio earned drop income of $480,807, 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 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 year ended August 31, 2016, the average amount of reverse repurchase agreements outstanding for AB Bond
AB POOLING PORTFOLIOS • | 283 |
Notes to Financial Statements
Inflation Protection Portfolio was $128,407,463, and the daily weighted average interest rate was 0.66%. At August 31, 2016, the AB Bond Inflation Protection Portfolio had reverse repurchase agreements outstanding in the amount of $39,537,708, as reported on the statements of assets and liabilities.
The following table presents the Portfolio’s RVP liabilities by counterparty net of the related collateral pledged by the Portfolios as of August 31, 2016:
AB Bond Inflation Protection Portfolio | ||||||||||||
Counterparty | RVP Liabilities Subject to a MRA | Securities Collateral Pledged† | Net Amount of RVP Liabilities | |||||||||
HSBC | $ | 21,794,653 | $ | 21,746,881 | $ | 42,744 | ||||||
JPMorgan Chase | 17,743,055 | 17,700,311 | – 0 | – | ||||||||
|
|
|
|
|
| |||||||
Total | $ | 39,537,708 | $ | 39,447,192 | $ | 90,516 | ||||||
|
|
|
|
|
|
† | Including accrued interest. |
NOTE D
Securities Lending
Certain Portfolios 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 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 Government Money Market Portfolio, an eligible money market vehicle, in accordance with the investment restrictions of the Portfolio, and as approved by the Board. Prior to June 24, 2016, such cash collateral received was invested in AB
284 | • AB POOLING PORTFOLIOS |
Notes to Financial Statements
Exchange Reserves (name changed to AB Government Exchange Reserves as of July 11, 2016). 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 August 31, 2016, the value of securities on loan and cash collateral received which has been invested into the Government Money Market Portfolio are as follows:
Portfolio | Market Value of Securities on Loan | Market Value of Cash Collateral | ||||||
AB U.S. Value | $ | 3,199,626 | $ | 3,320,729 | ||||
AB U.S. Large Cap Growth | 560,018 | 584,918 | ||||||
AB International Value | – 0 | – | 1,599 | |||||
AB International Growth | 8,238,512 | 8,638,173 | ||||||
AB Multi-Asset Real Return | 39,426,034 | 41,295,503 | ||||||
AB Volatility Management | 5,056,432 | 5,295,594 |
The cash collateral will be adjusted on the next business day to maintain the required collateral amount. The securities lending income earned for the year ended August 31, 2016 from the borrowers, AB Government Exchange Reserves and the Government Money Market Portfolio are as follows:
Portfolio | Borrowers | AB Government Exchange Reserves | Government Money Market Portfolio | |||||||||
AB U.S. Value | $ | 55,135 | $ | 7,456 | $ | 1,199 | ||||||
AB U.S. Large Cap Growth | 22,873 | 8,809 | 126 | |||||||||
AB International Value | 135,893 | 10,657 | 1,764 | |||||||||
AB International Growth | 179,226 | 19,783 | 2,588 | |||||||||
AB Small-Mid Cap Value | 62,446 | 14,302 | – 0 | – | ||||||||
AB Small-Mid Cap Growth | 39,387 | 19,062 | – 0 | – | ||||||||
AB Multi-Asset Real Return | 331,757 | 50,559 | 11,147 | |||||||||
AB Volatility Management | 272,811 | 54,431 | 2,796 |
AB POOLING PORTFOLIOS • | 285 |
Notes to Financial Statements
These amounts are reflected in the statement of operations. In connection with the cash collateral investment by the Portfolio in the Government Money Market Portfolio, the Adviser has agreed to waive a portion of management fee assessed by the Government Money Market Portfolio. For the year ended August 31, 2016, such waiver amounted to:
Portfolio | Amount | |||
AB U.S. Value | $ | 705 | ||
AB U.S. Large Cap Growth | 70 | |||
AB International Value | 1,052 | |||
AB International Growth | 1,511 | |||
AB Multi-Asset Real Return | 6,503 | |||
AB Volatility Management | 1,655 |
A principal risk of lending portfolio securities is that the borrower may fail to return the loaned securities upon termination of the loan and that the collateral will not be sufficient to replace the loaned securities. A summary of the Portfolios’ transactions in shares of AB Government Exchange Reserves for the period September 1, 2015 to June 23, 2016 are as follows:
Portfolio | Market Value August 31, 2015 (000) | Purchases at Cost (000) | Sales Proceeds (000) | Market Value June 23, 2016 (000) | ||||||||||||
AB U.S. Value | $ | 6,081 | $ | 42,536 | $ | 48,617 | $ | – 0 | – | |||||||
AB U.S. Large Cap Growth | 2,930 | 31,748 | 34,678 | – 0 | – | |||||||||||
AB International Value | 211 | 125,466 | 125,677 | – 0 | – | |||||||||||
AB International Growth | 6,050 | 109,057 | 115,107 | – 0 | – | |||||||||||
AB Small-Mid Cap Value | 6,422 | 63,981 | 70,403 | – 0 | – | |||||||||||
AB Small-Mid Cap Growth | 7,862 | 110,082 | 117,944 | – 0 | – | |||||||||||
AB Multi-Asset Real Return | 26,857 | 424,893 | 451,750 | – 0 | – | |||||||||||
AB Volatility Management | 124,646 | 349,137 | 473,783 | – 0 | – |
A summary of the Portfolios’ transactions in shares of Government Money Market Portfolio for the period June 24, 2016 to August 31, 2016 is as follows:
Portfolio | Market Value June 24, 2016 (000) | Purchases at Cost (000) | Sales Proceeds (000) | Market Value August 31, 2016 (000) | ||||||||||||
AB U.S. Value | $ | – 0 | – | $ | 11,582 | $ | 8,261 | $ | 3,321 | |||||||
AB U.S. Large Cap Growth | – 0 | – | 4,389 | 3,804 | 585 | |||||||||||
AB International Value | – 0 | – | 38,940 | 38,938 | 2 | |||||||||||
AB International Growth | – 0 | – | 29,699 | 21,061 | 8,638 | |||||||||||
AB Multi-Asset Real Return | – 0 | – | 120,685 | 79,389 | 41,296 | |||||||||||
AB Volatility Management | – 0 | – | 25,171 | 19,876 | 5,295 |
286 | • AB POOLING PORTFOLIOS |
Notes to Financial Statements
NOTE E
Shares of Beneficial Interest
Transactions in shares of beneficial interest for each class were as follows:
Shares | Amount | |||||||||||||||||||||||
Year Ended August 31, 2016 | Year Ended August 31, 2015 | Year Ended August 31, 2016 | Year Ended August 31, 2015 | |||||||||||||||||||||
|
| |||||||||||||||||||||||
AB U.S. Value | ||||||||||||||||||||||||
Shares sold | 47,425 | 899,902 | $ | 588,693 | $ | 11,886,481 | ||||||||||||||||||
| ||||||||||||||||||||||||
Shares issued in reinvestment of dividends | 700,332 | 787,294 | 8,840,609 | 10,546,202 | ||||||||||||||||||||
| ||||||||||||||||||||||||
Shares redeemed | (12,155,124 | ) | (6,107,627 | ) | (158,045,119 | ) | (82,387,658 | ) | ||||||||||||||||
| ||||||||||||||||||||||||
Net decrease | (11,407,367 | ) | (4,420,431 | ) | $ | (148,615,817 | ) | $ | (59,954,975 | ) | ||||||||||||||
| ||||||||||||||||||||||||
AB U.S. Large Cap Growth | ||||||||||||||||||||||||
Shares sold | 28,533 | 569,773 | $ | 306,704 | $ | 7,184,060 | ||||||||||||||||||
| ||||||||||||||||||||||||
Shares issued in reinvestment of dividends and distributions | 8,933,019 | 14,104,875 | 90,366,658 | 169,404,217 | ||||||||||||||||||||
| ||||||||||||||||||||||||
Shares redeemed | (13,944,858 | ) | (10,679,388 | ) | (175,773,467 | ) | (147,986,150 | ) | ||||||||||||||||
| ||||||||||||||||||||||||
Net increase (decrease) | (4,983,306 | ) | 3,995,260 | $ | (85,100,105 | ) | $ | 28,602,127 | ||||||||||||||||
| ||||||||||||||||||||||||
AB International Value | ||||||||||||||||||||||||
Shares sold | 230,877 | 1,595,825 | $ | 1,565,159 | $ | 12,087,012 | ||||||||||||||||||
| ||||||||||||||||||||||||
Shares issued in reinvestment of dividends | 2,265,216 | 4,256,822 | 15,426,120 | 31,500,480 | ||||||||||||||||||||
| ||||||||||||||||||||||||
Shares redeemed | (16,575,397 | ) | (7,057,663 | ) | (119,937,274 | ) | (54,485,732 | ) | ||||||||||||||||
| ||||||||||||||||||||||||
Net decrease | (14,079,304 | ) | (1,205,016 | ) | $ | (102,945,995 | ) | $ | (10,898,240 | ) | ||||||||||||||
| ||||||||||||||||||||||||
AB International Growth | ||||||||||||||||||||||||
Shares sold | 361,396 | 1,759,886 | $ | 2,770,032 | $ | 15,676,225 | ||||||||||||||||||
| ||||||||||||||||||||||||
Shares issued in reinvestment of dividends | 597,304 | 786,887 | 5,100,976 | 6,877,392 | ||||||||||||||||||||
| ||||||||||||||||||||||||
Shares redeemed | (15,050,611 | ) | (4,603,483 | ) | (130,416,032 | ) | (41,591,644 | ) | ||||||||||||||||
| ||||||||||||||||||||||||
Net decrease | (14,091,911 | ) | (2,056,710 | ) | $ | (122,545,024 | ) | $ | (19,038,027 | ) | ||||||||||||||
| ||||||||||||||||||||||||
AB Short Duration Bond | ||||||||||||||||||||||||
Shares sold | 1,705,549 | 3,241,057 | $ | 16,064,149 | $ | 30,610,385 | ||||||||||||||||||
| ||||||||||||||||||||||||
Shares issued in reinvestment of dividends | 938,493 | 992,400 | 8,834,321 | 9,366,087 | ||||||||||||||||||||
| ||||||||||||||||||||||||
Shares redeemed | (89,589,331 | ) | (10,835,547 | ) | (844,229,442 | ) | (102,262,770 | ) | ||||||||||||||||
| ||||||||||||||||||||||||
Net decrease | (86,945,289 | ) | (6,602,090 | ) | $ | (819,330,972 | ) | $ | (62,286,298 | ) | ||||||||||||||
|
AB POOLING PORTFOLIOS • | 287 |
Notes to Financial Statements
Shares | Amount | |||||||||||||||||||||||
Year Ended August 31, 2016 | Year Ended August 31, 2015 | Year Ended August 31, 2016 | Year Ended August 31, 2015 | |||||||||||||||||||||
|
| |||||||||||||||||||||||
AB Global Core Bond | ||||||||||||||||||||||||
Shares sold | 665,112 | 2,922,261 | $ | 6,644,486 | $ | 29,955,764 | ||||||||||||||||||
| ||||||||||||||||||||||||
Shares issued in reinvestment of dividends and distributions | 4,142,006 | 6,610,824 | 40,864,714 | 66,999,287 | ||||||||||||||||||||
| ||||||||||||||||||||||||
Shares redeemed | (72,196,451 | ) | (14,877,837 | ) | (725,185,720 | ) | (152,006,295 | ) | ||||||||||||||||
| ||||||||||||||||||||||||
Net decrease | (67,389,333 | ) | (5,344,752 | ) | $ | (677,676,520 | ) | $ | (55,051,244 | ) | ||||||||||||||
| ||||||||||||||||||||||||
AB Bond Inflation Protection | ||||||||||||||||||||||||
Shares sold | 1,093,982 | 3,523,285 | $ | 10,438,327 | $ | 34,639,427 | ||||||||||||||||||
| ||||||||||||||||||||||||
Shares issued in reinvestment of dividends | 1,743,338 | 2,585,609 | 16,335,075 | 25,002,844 | ||||||||||||||||||||
| ||||||||||||||||||||||||
Shares redeemed | (66,603,970 | ) | (7,526,367 | ) | (646,166,744 | ) | (73,523,506 | ) | ||||||||||||||||
| ||||||||||||||||||||||||
Net decrease | (63,766,650 | ) | (1,417,473 | ) | $ | (619,393,342 | ) | $ | (13,881,235 | ) | ||||||||||||||
| ||||||||||||||||||||||||
AB Small-Mid Cap Value | ||||||||||||||||||||||||
Shares sold | 82,942 | 309,496 | $ | 812,766 | $ | 3,728,621 | ||||||||||||||||||
| ||||||||||||||||||||||||
Shares issued in reinvestment of dividends and distributions | 3,407,853 | 5,565,605 | 33,421,658 | 63,242,317 | ||||||||||||||||||||
| ||||||||||||||||||||||||
Shares redeemed | (19,759,654 | ) | (3,504,600 | ) | (201,654,735 | ) | (42,175,961 | ) | ||||||||||||||||
| ||||||||||||||||||||||||
Net increase (decrease) | (16,268,859 | ) | 2,370,501 | $ | (167,420,311 | ) | $ | 24,794,977 | ||||||||||||||||
| ||||||||||||||||||||||||
AB Small-Mid Cap Growth | ||||||||||||||||||||||||
Shares sold | 208,852 | 252,091 | $ | 1,814,746 | $ | 2,782,968 | ||||||||||||||||||
| ||||||||||||||||||||||||
Shares issued in reinvestment of dividends and distributions | 3,730,644 | 4,851,374 | 34,986,518 | 51,344,768 | ||||||||||||||||||||
| ||||||||||||||||||||||||
Shares redeemed | (19,602,180 | ) | (5,164,035 | ) | (178,139,234 | ) | (58,999,695 | ) | ||||||||||||||||
| ||||||||||||||||||||||||
Net decrease | (15,662,684 | ) | (60,570 | ) | $ | (141,337,970 | ) | $ | (4,871,959 | ) | ||||||||||||||
| ||||||||||||||||||||||||
AB Multi-Asset Real Return* | ||||||||||||||||||||||||
Shares sold | 109,741,155 | 54,774,185 | $ | 692,203,634 | $ | 423,029,389 | ||||||||||||||||||
| ||||||||||||||||||||||||
Shares issued in reinvestment of dividends | 4,197,232 | 3,939,384 | 24,008,166 | 28,954,469 | ||||||||||||||||||||
| ||||||||||||||||||||||||
Shares redeemed | (95,204,326 | ) | (15,265,478 | ) | (543,691,559 | ) | (120,157,202 | ) | ||||||||||||||||
| ||||||||||||||||||||||||
Net increase | 18,734,061 | 43,448,091 | $ | 172,520,241 | $ | 331,826,656 | ||||||||||||||||||
|
* | Consolidated (see Note A). |
288 | • AB POOLING PORTFOLIOS |
Notes to Financial Statements
Shares | Amount | |||||||||||||||||||||||
Year Ended August 31, 2016 | Year Ended August 31, 2015 | Year Ended August 31, 2016 | Year Ended August 31, 2015 | |||||||||||||||||||||
|
| |||||||||||||||||||||||
AB Volatility Management |
| |||||||||||||||||||||||
Shares sold | 2,368,191 | 2,677,728 | $ | 25,231,236 | $ | 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 | (75,246,747 | ) | (17,200,171 | ) | (816,677,084 | ) | (208,087,207 | ) | ||||||||||||||||
| ||||||||||||||||||||||||
Net decrease | (67,158,725 | ) | (5,295,316 | ) | $ | (729,328,486 | ) | $ | (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 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%.
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. This risk is significantly greater for fixed-income securities with longer maturities. Although the AB Bond Inflation Protection Portfolio invests principally in inflation-indexed investments, the value of its securities may be vulnerable to changes in expectations of inflation or interest rates.
Capitalization Risk—Investments in small- and mid-capitalization companies may be more volatile than investments in large-capitalization
AB POOLING PORTFOLIOS • | 289 |
Notes to Financial Statements
companies. Investments in small-capitalization companies may have additional risks because these companies have limited product lines, markets or financial resources.
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.
Focused Portfolio Risk—This is the risk that investments in a limited number of companies may have more risk becuase 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.
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 on 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. Difficulty in selling less liquid securities may result in sales at disadvantageous prices affecting the value of your investment in the Portfolio. 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
290 | • AB POOLING PORTFOLIOS |
Notes to Financial Statements
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.
Commodity Risk—Investments in commodities and commodity-linked derivative instruments by AB 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 paid during the fiscal years ended August 31, 2016 and August 31, 2015 were as follows:
AB U.S. Value | 2016 | 2015 | ||||||
Distributions paid from: | ||||||||
Ordinary income | $ | 8,840,609 | $ | 10,546,202 | ||||
|
|
|
| |||||
Total distributions paid | $ | 8,840,609 | $ | 10,546,202 | ||||
|
|
|
| |||||
AB POOLING PORTFOLIOS • | 291 |
Notes to Financial Statements
AB U.S. Large Cap Growth | 2016 | 2015 | ||||||
Distributions paid from: | ||||||||
Ordinary income | $ | 8,416,367 | $ | 14,782,301 | ||||
Long-term capital gains | 81,950,291 | 154,621,916 | ||||||
|
|
|
| |||||
Total distributions paid | $ | 90,366,658 | $ | 169,404,217 | ||||
|
|
|
| |||||
AB International Value | 2016 | 2015 | ||||||
Distributions paid from: | ||||||||
Ordinary income | $ | 15,426,120 | $ | 31,500,480 | ||||
|
|
|
| |||||
Total distributions paid | $ | 15,426,120 | $ | 31,500,480 | ||||
|
|
|
| |||||
AB International Growth | 2016 | 2015 | ||||||
Distributions paid from: | ||||||||
Ordinary income | $ | 5,100,976 | $ | 6,877,393 | ||||
|
|
|
| |||||
Total distributions paid | $ | 5,100,976 | $ | 6,877,393 | ||||
|
|
|
| |||||
AB Short Duration Bond | 2016 | 2015 | ||||||
Distributions paid from: | ||||||||
Ordinary income | $ | 8,834,321 | $ | 9,366,087 | ||||
|
|
|
| |||||
Total distributions paid | $ | 8,834,321 | $ | 9,366,087 | ||||
|
|
|
| |||||
AB Global Core Bond | 2016 | 2015 | ||||||
Distributions paid from: | ||||||||
Ordinary income | $ | 40,864,714 | $ | 55,828,805 | ||||
Long-term capital gains | – 0 | – | 11,170,482 | |||||
|
|
|
| |||||
Total distributions paid | $ | 40,864,714 | $ | 66,999,287 | ||||
|
|
|
| |||||
AB Bond Inflation Protection | 2016 | 2015 | ||||||
Distributions paid from: | ||||||||
Ordinary income | $ | 16,335,075 | $ | 25,002,844 | ||||
|
|
|
| |||||
Total distributions paid | $ | 16,335,075 | $ | 25,002,844 | ||||
|
|
|
| |||||
AB Small-Mid Cap Value | 2016 | 2015 | ||||||
Distributions paid from: | ||||||||
Ordinary income | $ | 3,509,820 | $ | 11,292,081 | ||||
Long-term capital gains | 29,911,838 | 51,950,236 | ||||||
|
|
|
| |||||
Total distributions paid | $ | 33,421,658 | $ | 63,242,317 | ||||
|
|
|
| |||||
AB Small-Mid Cap Growth | 2016 | 2015 | ||||||
Distributions paid from: | ||||||||
Ordinary income | $ | 1,326,253 | $ | 2,513,207 | ||||
Long-term capital gains | 33,660,265 | 48,831,561 | ||||||
|
|
|
| |||||
Total distributions paid | $ | 34,986,518 | $ | 51,344,768 | ||||
|
|
|
| |||||
AB Multi-Asset Real Return | 2016 | 2015 | ||||||
Distributions paid from: | ||||||||
Ordinary income | $ | 24,008,166 | $ | 28,954,469 | ||||
|
|
|
| |||||
Total distributions paid | $ | 24,008,166 | $ | 28,954,469 | ||||
|
|
|
|
292 | • AB POOLING PORTFOLIOS |
Notes to Financial Statements
AB Volatility Management | 2016 | 2015 | ||||||
Distributions paid from: | ||||||||
Ordinary income | $ | 35,223,173 | $ | 69,377,411 | ||||
Long-term capital gains | 26,894,190 | 37,288,177 | ||||||
|
|
|
| |||||
Total distributions paid | $ | 62,117,363 | $ | 106,665,588 | ||||
|
|
|
|
As of August 31, 2016, the components of accumulated earnings/(deficit) on a tax basis were as follows:
Portfolio | Undistributed Ordinary Income | Undistributed Long-Term Gains | Accumulated Capital and (Losses)(a) | Unrealized Appreciation/ | Total Accumulated Earnings/ (Deficit)(c) | |||||||||||||||
AB U.S. Value | $ | 1,449,934 | $ | – 0 | – | $ | (288,140,199 | ) | $ | 50,138,229 | $ | (236,552,036 | ) | |||||||
AB U.S. Large Cap Growth | 365,464 | 47,713,819 | – 0 | – | 82,662,731 | 130,742,014 | ||||||||||||||
AB International Value | 4,461,536 | – 0 | – | (454,469,442 | ) | 9,784,960 | (440,222,946 | ) | ||||||||||||
AB International Growth | 8,856,236 | – 0 | – | (358,405,083 | ) | 38,111,631 | (311,437,216 | ) | ||||||||||||
AB Short Duration Bond | 364,575 | – 0 | – | (70,899,948 | ) | 121,809 | (70,413,564 | ) | ||||||||||||
AB Global Core Bond | 2,565,647 | 3,168,718 | (17,140,043 | ) | 8,964,455 | (2,441,223 | ) | |||||||||||||
AB Bond Inflation Protection | 5,655,428 | – 0 | – | (10,555,633 | ) | 28,864 | (4,871,341 | ) | ||||||||||||
AB Small-Mid Cap Value | 246,505 | 10,175,151 | – 0 | – | 14,181,302 | 24,602,958 | ||||||||||||||
AB Small-Mid Cap Growth | – 0 | – | 9,527,183 | – 0 | – | 17,106,738 | 26,633,921 | |||||||||||||
AB Multi-Asset Real Return | 16,062,113 | – 0 | – | (370,064,292 | ) | (262,991,851 | ) | (616,994,030 | ) | |||||||||||
AB Volatility Management | 38,998,244 | 63,563,399 | – 0 | – | 68,063,911 | 170,625,554 |
(a) | During the fiscal year ended August 31, 2016, U.S. Value Portfolio utilized capital loss carryforwards of $23,831,773 to offset current year net realized gains. As of August 31, 2016, Short Duration Bond Portfolio had $1,756,801 of capital loss carryforwards expire during the fiscal year. At August 31, 2016 Short Duration Bond Portfolio and Global Core Bond Portfolio deferred straddle losses of $46,647 and $2,102,362, respectively. At August 31, 2016, Global Core Bond Portfolio had a qualified late year ordinary loss deferral of $15,037,681. At August 31, 2016, US Value Portfolio had a post-October short-term capital loss deferral of $8,171,505.These losses are deemed to arise on September 1, 2016. As of August 31, 2016 certain Portfolios had capital loss carryforwards for federal income tax purposes. |
(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, the tax treatment of Treasury inflation-protected 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 realized 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
AB POOLING PORTFOLIOS • | 293 |
Notes to Financial Statements
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, 2016, 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 | $ | 279,968,694 | N/A | 2018 | ||||||||
AB International Value | 51,400,581 | N/A | 2017 | |||||||||
AB International Value | 325,801,637 | N/A | 2018 | |||||||||
AB International Value | 35,980,828 | $ | 41,286,396 | No Expiration | ||||||||
AB International Growth | 34,597,465 | N/A | 2017 | |||||||||
AB International Growth | 302,930,744 | N/A | 2018 | |||||||||
AB International Growth | 9,871,721 | 11,005,153 | No Expiration | |||||||||
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 | 4,277,935 | 27,178,883 | No Expiration | |||||||||
AB Bond Inflation Protection | 7,510,028 | 3,045,605 | No Expiration | |||||||||
AB Multi-Asset Real Return | 232,200,875 | N/A | 2018 | |||||||||
AB Multi-Asset Real Return | 54,955,091 | 82,908,326 | No Expiration |
During the current fiscal year, most of the Portfolios had adjustments due to permanent differences. Permanent differences have no effect on net assets. The effect of such permanent differences on each Portfolio, primarily due to foreign currency reclassifications, reclassifications of foreign capital gains tax, paydown gain/loss reclassifications, the tax treatment of partnerships and swaps, the tax treatment of earnings from a wholly-owned subsidiary, the tax treatment of passive foreign investment companies (PFICs) and Treasury inflation—protected securities, the tax treatment of proceeds from the sale of restructured securities, the expiration of capital loss carryforwards, contributions from the Advisor, the tax treatment of gains/losses from redemptions-in-kind, and dividend redesignations, are reflected as an adjustment to the components of capital as of August 31, 2016 as shown below:
Portfolio | Increase (Decrease) to Additional Paid-In Capital | Increase (Decrease) to Undistributed Net Investment Income (Loss) | Increase (Decrease) to Accumualted Net Realized Gain (Loss) on Investments and Foreign Currency Transactions | |||||||||
AB U.S. Value | $ | – 0 | – | $ | – 0 | – | $ | – 0 | – | |||
AB U.S. Large Cap Growth | (1 | ) | (18,743 | ) | 18,744 |
294 | • AB POOLING PORTFOLIOS |
Notes to Financial Statements
Portfolio | Increase (Decrease) to Additional Paid-In Capital | Increase (Decrease) to Undistributed Net Investment Income (Loss) | Increase (Decrease) to Accumualted Net Realized Gain (Loss) on Investments and Foreign Currency Transactions | |||||||||
AB International Value | $ | – 0 | – | $ | (3,186,395 | ) | $ | 3,186,395 | ||||
AB International Growth | – 0 | – | 1,786,368 | (1,786,368 | ) | |||||||
AB Short Duration Bond | (2,487,201 | ) | 1,454,124 | 1,033,077 | ||||||||
AB Global Core Bond | 8,288,211 | (11,967,873 | ) | 3,679,662 | ||||||||
AB Bond Inflation Protection | 700,633 | (619,280 | ) | (81,353 | ) | |||||||
AB Small-Mid Cap Value | 13,145,187 | 8,061 | (13,153,248 | ) | ||||||||
AB Small-Mid Cap Growth | 24,269,413 | (99,685 | ) | (24,169,728 | ) | |||||||
AB Multi-Asset Real Return | (53,072,478 | ) | 2,365,599 | 50,706,879 | ||||||||
AB Volatility Management | – 0 | – | 12,755,521 | (12,755,521 | ) |
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 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
On September 21, 2016, at the recommendation of the Adviser, the Board of Trustees of The AB Pooling Portfolios approved the liquidation and termination of the following Portfolios: 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 Small-Mid Cap Value Portfolio, AB Small-Mid Cap Growth Portfolio and AB Multi-Asset Real Return Portfolio. The liquidation is expected to
AB POOLING PORTFOLIOS • | 295 |
Notes to Financial Statements
occur after the close of business on January 30, 2017 (the “Liquidation Date”). Effective January 26, 2017, each Portfolio will be closed to purchases by new shareholders and additional purchases by existing shareholders. Prior to the Liquidation Date, Portfolio shareholders may redeem (sell) or exchange their shares in the manner described in the Prospectus.
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 additional material events that would require disclosure in the Portfolios’ financial statements through this date.
296 | • 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 | ||||||||||||||||||||
Year Ended August 31, | ||||||||||||||||||||
2016 | 2015 | 2014 | 2013 | 2012 | ||||||||||||||||
|
| |||||||||||||||||||
Net asset value, beginning of period | $ 12.63 | $ 13.46 | $ 10.96 | $ 8.73 | $ 7.97 | |||||||||||||||
|
| |||||||||||||||||||
Income From Investment Operations | ||||||||||||||||||||
Net investment income(a) | .29 | (b) | .28 | .32 | .24 | .23 | ||||||||||||||
Net realized and unrealized gain (loss) on investment transactions | .65 | (.83 | ) | 2.50 | 2.23 | .76 | ||||||||||||||
|
| |||||||||||||||||||
Net increase (decrease) in net asset value from operations | .94 | (.55 | ) | 2.82 | 2.47 | .99 | ||||||||||||||
|
| |||||||||||||||||||
Less: Dividends | ||||||||||||||||||||
Dividends from net investment income | (.32 | ) | (.28 | ) | (.32 | ) | (.24 | ) | (.23 | ) | ||||||||||
|
| |||||||||||||||||||
Net asset value, end of period | $ 13.25 | $ 12.63 | $ 13.46 | $ 10.96 | $ 8.73 | |||||||||||||||
|
| |||||||||||||||||||
Total Return | ||||||||||||||||||||
Total investment return based on net asset value(c)* | 7.55 | % | (4.21 | )% | 26.10 | % | 28.67 | % | 12.75 | % | ||||||||||
Ratios/Supplemental Data | ||||||||||||||||||||
Net assets, end of period (000,000’s omitted) | $320 | $449 | $539 | $1,113 | $1,173 | |||||||||||||||
Ratio to average net assets of: | ||||||||||||||||||||
Expenses, net of waivers/reimbursements | .08 | % | .05 | % | .03 | % | .02 | % | .02 | % | ||||||||||
Expenses, before waivers/reimbursements | .08 | % | .05 | % | .03 | % | .02 | % | .02 | % | ||||||||||
Net investment income | 2.29 | %(b) | 2.06 | % | 2.65 | % | 2.44 | % | 2.75 | % | ||||||||||
Portfolio turnover rate | 57 | % | 52 | % | 43 | % | 53 | % | 40 | % |
See footnote summary on page 308.
AB POOLING PORTFOLIOS • | 297 |
Financial Highlights
Selected Data For A Share Of Beneficial Interest Outstanding Throughout Each Period
AB U.S. Large Cap Growth | ||||||||||||||||||||
Year Ended August 31, | ||||||||||||||||||||
2016 | 2015 | 2014 | 2013 | 2012 | ||||||||||||||||
|
| |||||||||||||||||||
Net asset value, beginning of period | $ 12.59 | $ 16.78 | $ 14.53 | $ 12.30 | $ 10.66 | |||||||||||||||
|
| |||||||||||||||||||
Income From Investment Operations | ||||||||||||||||||||
Net investment income(a) | .08 | (b) | .11 | .12 | .12 | .12 | ||||||||||||||
Net realized and unrealized gain on investment transactions | 1.17 | 1.46 | 3.91 | 2.20 | 1.67 | |||||||||||||||
|
| |||||||||||||||||||
Net increase in net asset value from operations | 1.25 | 1.57 | 4.03 | 2.32 | 1.79 | |||||||||||||||
|
| |||||||||||||||||||
Less: Dividends and Distributions | ||||||||||||||||||||
Dividends from net investment income | (.10 | ) | (.13 | ) | (.14 | ) | (.09 | ) | (.15 | ) | ||||||||||
Distributions from net realized gain on investment transactions | (3.47 | ) | (5.63 | ) | (1.64 | ) | – 0 | – | – 0 | – | ||||||||||
|
| |||||||||||||||||||
Total dividends and distributions | (3.57 | ) | (5.76 | ) | (1.78 | ) | (.09 | ) | (.15 | ) | ||||||||||
|
| |||||||||||||||||||
Net asset value, end of period | $ 10.27 | $ 12.59 | $ 16.78 | $ 14.53 | $ 12.30 | |||||||||||||||
|
| |||||||||||||||||||
Total Return | ||||||||||||||||||||
Total investment return based on net asset value(c) | 10.50 | %* | 11.22 | %* | 29.19 | % | 18.92 | % | 16.99 | %* | ||||||||||
Ratios/Supplemental Data | ||||||||||||||||||||
Net assets, end of period | $319 | $454 | $538 | $1,123 | $1,173 | |||||||||||||||
Ratio to average net assets of: | ||||||||||||||||||||
Expenses, net of waivers/reimbursements | .07 | % | .05 | % | .03 | % | .02 | % | .02 | % | ||||||||||
Expenses, before waivers/reimbursements | .08 | % | .05 | % | .03 | % | .02 | % | .02 | % | ||||||||||
Net investment income | .76 | %(b) | .84 | % | .79 | % | .87 | % | 1.10 | % | ||||||||||
Portfolio turnover rate | 49 | % | 56 | % | 59 | % | 57 | % | 85 | % |
See footnote summary on page 308.
298 | • AB POOLING PORTFOLIOS |
Financial Highlights
Selected Data For A Share Of Beneficial Interest Outstanding Throughout Each Period
AB International Value | ||||||||||||||||||||
Year Ended August 31, | ||||||||||||||||||||
2016 | 2015 | 2014 | 2013 | 2012 | ||||||||||||||||
|
| |||||||||||||||||||
Net asset value, beginning of period | $ 7.05 | $ 8.32 | $ 7.46 | $ 6.39 | $ 6.98 | |||||||||||||||
|
| |||||||||||||||||||
Income From Investment Operations | ||||||||||||||||||||
Net investment income(a) | .19 | (b) | .20 | .31 | .23 | .23 | ||||||||||||||
Net realized and unrealized gain (loss) on investment and foreign currency transactions | .13 | (.89 | ) | 1.01 | .98 | (.70 | ) | |||||||||||||
|
| |||||||||||||||||||
Net increase (decrease) in net asset value from operations | .32 | (.69 | ) | 1.32 | 1.21 | (.47 | ) | |||||||||||||
|
| |||||||||||||||||||
Less: Dividends | ||||||||||||||||||||
Dividends from net investment income | (.40 | ) | (.58 | ) | (.46 | ) | (.14 | ) | (.12 | ) | ||||||||||
|
| |||||||||||||||||||
Net asset value, end of period | $ 6.97 | $ 7.05 | $ 8.32 | $ 7.46 | $ 6.39 | |||||||||||||||
|
| |||||||||||||||||||
Total Return | ||||||||||||||||||||
Total investment return based on net asset value(c) | 4.66 | % | (8.59 | )% | 18.14 | % | 19.15 | % | (6.69 | )% | ||||||||||
Ratios/Supplemental Data | ||||||||||||||||||||
Net assets, end of period (000,000’s omitted) | $270 | $372 | $450 | $947 | $986 | |||||||||||||||
Ratio to average net assets of: | ||||||||||||||||||||
Expenses, net of waivers/reimbursements | .13 | % | .08 | % | .05 | %(d) | .05 | % | .04 | % | ||||||||||
Expenses, before waivers/reimbursements | .13 | % | .08 | % | .05 | %(d) | .05 | % | .04 | % | ||||||||||
Net investment income | 2.81 | %(b) | 2.60 | % | 3.84 | % | 3.16 | % | 3.56 | % | ||||||||||
Portfolio turnover rate | 50 | % | 69 | % | 65 | % | 58 | % | 61 | % |
See footnote summary on page 308.
AB POOLING PORTFOLIOS • | 299 |
Financial Highlights
Selected Data For A Share Of Beneficial Interest Outstanding Throughout Each Period
AB International Growth | ||||||||||||||||||||
Year Ended August 31, | ||||||||||||||||||||
2016 | 2015 | 2014 | 2013 | 2012 | ||||||||||||||||
|
| |||||||||||||||||||
Net asset value, beginning of period | $ 8.33 | $ 9.50 | $ 8.27 | $ 7.54 | $ 8.27 | |||||||||||||||
|
| |||||||||||||||||||
Income From Investment Operations | ||||||||||||||||||||
Net investment income(a) | .16 | (b) | .15 | .19 | .20 | .18 | ||||||||||||||
Net realized and unrealized gain (loss) on investment and foreign currency transactions | .36 | (1.18 | ) | 1.19 | .59 | (.78 | ) | |||||||||||||
|
| |||||||||||||||||||
Net increase (decrease) in net asset value from operations | .52 | (1.03 | ) | 1.38 | .79 | (.60 | ) | |||||||||||||
|
| |||||||||||||||||||
Less: Dividends | ||||||||||||||||||||
Dividends from net investment income | (.16 | ) | (.14 | ) | (.15 | ) | (.06 | ) | (.13 | ) | ||||||||||
|
| |||||||||||||||||||
Net asset value, end of period | $ 8.69 | $ 8.33 | $ 9.50 | $ 8.27 | $ 7.54 | |||||||||||||||
|
| |||||||||||||||||||
Total Return | ||||||||||||||||||||
Total investment return based on net asset value(c) | 6.23 | % | (10.86 | )% | 16.89 | % | 10.53 | % | (7.19 | )% | ||||||||||
Ratios/Supplemental Data | ||||||||||||||||||||
Net assets, end of period (000,000’s omitted) | $269 | $375 | $447 | $941 | $999 | |||||||||||||||
Ratio to average net assets of: | ||||||||||||||||||||
Expenses, net of waivers/reimbursements | .12 | % | .09 | % | .05 | % | .04 | % | .04 | % | ||||||||||
Expenses, before waivers/reimbursements | .12 | % | .09 | % | .05 | % | .04 | % | .04 | % | ||||||||||
Net investment income | 1.90 | %(b) | 1.72 | % | 2.13 | % | 2.40 | % | 2.36 | % | ||||||||||
Portfolio turnover rate | 58 | % | 52 | % | 61 | % | 55 | % | 93 | % |
See footnote summary on page 308.
300 | • AB POOLING PORTFOLIOS |
Financial Highlights
Selected Data For A Share Of Beneficial Interest Outstanding Throughout Each Period
AB Short Duration Bond | ||||||||||||||||||||
Year Ended August 31, | ||||||||||||||||||||
2016 | 2015 | 2014 | 2013 | 2012 | ||||||||||||||||
|
| |||||||||||||||||||
Net asset value, beginning of period | $ 9.43 | $ 9.44 | $ 9.42 | $ 9.56 | $ 9.59 | |||||||||||||||
|
| |||||||||||||||||||
Income From Investment Operations | ||||||||||||||||||||
Net investment income(a) | .11 | (b) | .09 | .10 | .09 | .12 | ||||||||||||||
Net realized and unrealized gain (loss) on investment transactions | .02 | (.01 | ) | .04 | † | (.08 | ) | – 0 | – | |||||||||||
|
| |||||||||||||||||||
Net increase in net asset value from operations | .13 | .08 | .14 | .01 | .12 | |||||||||||||||
|
| |||||||||||||||||||
Less: Dividends and Distributions | ||||||||||||||||||||
Dividends from net investment income | (.17 | ) | (.09 | ) | (.12 | ) | (.15 | ) | (.15 | ) | ||||||||||
Tax return of capital | – 0 | – | – 0 | – | (.00 | )(e) | – 0 | – | – 0 | – | ||||||||||
|
| |||||||||||||||||||
Total dividends and distributions | (.17 | ) | (.09 | ) | (.12 | ) | (.15 | ) | (.15 | ) | ||||||||||
|
| |||||||||||||||||||
Net asset value, end of period | $ 9.39 | $ 9.43 | $ 9.44 | $ 9.42 | $ 9.56 | |||||||||||||||
|
| |||||||||||||||||||
Total Return | ||||||||||||||||||||
Total investment return based on net asset value(c) | 1.40 | %* | .90 | % | 1.45 | % | .14 | %* | 1.24 | % | ||||||||||
Ratios/Supplemental Data | ||||||||||||||||||||
Net assets, end of period (000,000’s omitted) | $78 | $898 | $962 | $936 | $933 | |||||||||||||||
Ratio to average net assets of: | ||||||||||||||||||||
Expenses, net of waivers/reimbursements | .04 | % | .04 | % | .03 | %(d) | .03 | % | .03 | % | ||||||||||
Expenses, before waivers/reimbursements | .05 | % | .04 | % | .03 | %(d) | .03 | % | .03 | % | ||||||||||
Net investment income | 1.12 | %(b) | .90 | % | 1.06 | % | .94 | % | 1.26 | % | ||||||||||
Portfolio turnover rate | 37 | % | 71 | % | 47 | % | 114 | % | 129 | % |
See footnote summary on page 308.
AB POOLING PORTFOLIOS • | 301 |
Financial Highlights
Selected Data For A Share Of Beneficial Interest Outstanding Throughout Each Period
AB Global Core Bond | ||||||||||||||||||||
Year Ended August 31, | ||||||||||||||||||||
2016 | 2015 | 2014 | 2013 | 2012 | ||||||||||||||||
|
| |||||||||||||||||||
Net asset value, beginning of period | $ 10.04 | $ 10.52 | $ 10.18 | $ 11.00 | $ 10.88 | |||||||||||||||
|
| |||||||||||||||||||
Income From Investment Operations | ||||||||||||||||||||
Net investment income(a) | .26 | (b) | .26 | .29 | .29 | .33 | ||||||||||||||
Net realized and unrealized gain (loss) on investment and foreign currency transactions | .55 | (.04 | ) | .41 | (.38 | ) | .40 | |||||||||||||
|
| |||||||||||||||||||
Net increase (decrease) in net asset value from operations | .81 | .22 | .70 | (.09 | ) | .73 | ||||||||||||||
|
| |||||||||||||||||||
Less: Dividends and Distributions | ||||||||||||||||||||
Dividends from net investment income | (.56 | ) | (.52 | ) | (.34 | ) | (.37 | ) | (.34 | ) | ||||||||||
Distributions from net realized gain on investment transactions | – 0 | – | (.18 | ) | (.02 | ) | (.36 | ) | (.27 | ) | ||||||||||
|
| |||||||||||||||||||
Total dividends and distributions | (.56 | ) | (.70 | ) | (.36 | ) | (.73 | ) | (.61 | ) | ||||||||||
|
| |||||||||||||||||||
Net asset value, end of period | $ 10.29 | $ 10.04 | $ 10.52 | $ 10.18 | $ 11.00 | |||||||||||||||
|
| |||||||||||||||||||
Total Return | ||||||||||||||||||||
Total investment return based on net asset value(c) | 8.39 | % | 2.15 | % | 7.05 | % | (.94 | )%* | 6.98 | %†† | ||||||||||
Ratios/Supplemental Data | ||||||||||||||||||||
Net assets, end of period (000,000’s omitted) | $260 | $931 | $1,032 | $1,041 | $1,124 | |||||||||||||||
Ratio to average net assets of: | ||||||||||||||||||||
Expenses, net of waivers/reimbursements | .06 | % | .04 | % | .03 | %(d) | .03 | % | .03 | % | ||||||||||
Expenses, before waivers/reimbursements | .06 | % | .04 | % | .03 | %(d) | .03 | % | .03 | % | ||||||||||
Net investment income | 2.62 | %(b) | 2.56 | % | 2.86 | % | 2.77 | % | 2.99 | % | ||||||||||
Portfolio turnover rate | 105 | % | 150 | % | 169 | % | 116 | % | 163 | % |
See footnote summary on page 308.
302 | • AB POOLING PORTFOLIOS |
Financial Highlights
Selected Data For A Share Of Beneficial Interest Outstanding Throughout Each Period
AB Bond Inflation Protection | ||||||||||||||||||||
Year Ended August 31, | ||||||||||||||||||||
2016 | 2015 | 2014 | 2013 | 2012 | ||||||||||||||||
|
| |||||||||||||||||||
Net asset value, beginning of period | $ 9.64 | $ 10.25 | $ 10.15 | $ 11.22 | $ 11.46 | |||||||||||||||
|
| |||||||||||||||||||
Income From Investment Operations | ||||||||||||||||||||
Net investment income(a) | .13 | (b) | .12 | .33 | .32 | .38 | ||||||||||||||
Net realized and unrealized gain (loss) on investment and foreign currency transactions | .39 | (.40 | ) | .22 | (.69 | ) | .32 | |||||||||||||
Contributions from Affiliates | .00 | (e) | – 0 | – | – 0 | – | – 0 | – | – 0 | – | ||||||||||
|
| |||||||||||||||||||
Net increase (decrease) in net asset value from operations | .52 | (.28 | ) | .55 | (.37 | ) | .70 | |||||||||||||
|
| |||||||||||||||||||
Less: Dividends and Distributions | ||||||||||||||||||||
Dividends from net investment income | (.24 | ) | (.33 | ) | (.14 | ) | (.52 | ) | (.72 | ) | ||||||||||
Distributions from net realized gain on investment transactions | – 0 | – | – 0 | – | (.31 | ) | (.18 | ) | (.22 | ) | ||||||||||
|
| |||||||||||||||||||
Total dividends and distributions | (.24 | ) | (.33 | ) | (.45 | ) | (.70 | ) | (.94 | ) | ||||||||||
|
| |||||||||||||||||||
Net asset value, end of period | $ 9.92 | $ 9.64 | $ 10.25 | $ 10.15 | $ 11.22 | |||||||||||||||
|
| |||||||||||||||||||
Total Return | ||||||||||||||||||||
Total investment return based on net asset value(c) | 5.53 | % | (2.73 | )% | 5.63 | % | (3.70 | )% | 6.59 | % | ||||||||||
Ratios/Supplemental Data | ||||||||||||||||||||
Net assets, end of period (000’s omitted) | $104,919 | $717,018 | $776,378 | $753,515 | $792,721 | |||||||||||||||
Ratio to average net assets of: | ||||||||||||||||||||
Expenses, net of waivers/reimbursements(d) | .23 | % | .13 | % | .08 | % | .13 | % | .11 | % | ||||||||||
Expenses, before waivers/reimbursements(d) | .25 | % | .13 | % | .08 | % | .13 | % | .11 | % | ||||||||||
Net investment income | 1.35 | %(b) | 1.24 | % | 3.22 | % | 3.00 | % | 3.44 | % | ||||||||||
Portfolio turnover rate | 42 | % | 56 | % | 72 | % | 49 | % | 52 | % |
See footnote summary on page 308.
AB POOLING PORTFOLIOS • | 303 |
Financial Highlights
Selected Data For A Share Of Beneficial Interest Outstanding Throughout Each Period
AB Small-Mid Cap Value | ||||||||||||||||||||
Year Ended August 31, | ||||||||||||||||||||
2016 | 2015 | 2014 | 2013 | 2012 | ||||||||||||||||
|
| |||||||||||||||||||
Net asset value, beginning of period | $ 11.27 | $ 14.28 | $ 13.09 | $ 11.72 | $ 10.38 | |||||||||||||||
|
| |||||||||||||||||||
Income From Investment Operations | ||||||||||||||||||||
Net investment income(a) | .14 | (b) | .15 | .22 | .18 | .16 | ||||||||||||||
Net realized and unrealized gain (loss) on investment transactions | .93 | (.35 | ) | 2.89 | 2.94 | 1.30 | ||||||||||||||
|
| |||||||||||||||||||
Net increase (decrease) in net asset value from operations | 1.07 | (.20 | ) | 3.11 | 3.12 | 1.46 | ||||||||||||||
|
| |||||||||||||||||||
Less: Dividends and Distributions | ||||||||||||||||||||
Dividends from net investment income | (.19 | ) | (.17 | ) | (.20 | ) | (.26 | ) | (.12 | ) | ||||||||||
Distributions from net realized gain on investment transactions | (1.39 | ) | (2.64 | ) | (1.72 | ) | (1.49 | ) | – 0 | – | ||||||||||
|
| |||||||||||||||||||
Total dividends and distributions | (1.58 | ) | (2.81 | ) | (1.92 | ) | (1.75 | ) | (.12 | ) | ||||||||||
|
| |||||||||||||||||||
Net asset value, end of period | $ 10.76 | $ 11.27 | $ 14.28 | $ 13.09 | $ 11.72 | |||||||||||||||
|
| |||||||||||||||||||
Total Return | ||||||||||||||||||||
Total investment return based on net asset value(c) | 10.98 | %* | (1.38 | )% | 25.46 | %* | 29.94 | % | 14.21 | % | ||||||||||
Ratios/Supplemental Data | ||||||||||||||||||||
Net assets, end of period (000’s omitted) | $93,858 | $281,724 | $323,134 | $311,954 | $328,749 | |||||||||||||||
Ratio to average net assets of: | ||||||||||||||||||||
Expenses, net of waivers/reimbursements | .14 | % | .08 | % | .06 | % | .06 | % | .05 | % | ||||||||||
Expenses, before waivers/reimbursements | .14 | % | .08 | % | .06 | % | .06 | % | .05 | % | ||||||||||
Net investment income | 1.39 | %(b) | 1.23 | % | 1.62 | % | 1.48 | % | 1.47 | % | ||||||||||
Portfolio turnover rate | 55 | % | 40 | % | 50 | % | 49 | % | 52 | % |
See footnote summary on page 308.
304 | • AB POOLING PORTFOLIOS |
Financial Highlights
Selected Data For A Share Of Beneficial Interest Outstanding Throughout Each Period
AB Small-Mid Cap Growth | ||||||||||||||||||||
Year Ended August 31, | ||||||||||||||||||||
2016 | 2015 | 2014 | 2013 | 2012 | ||||||||||||||||
|
| |||||||||||||||||||
Net asset value, beginning of period | $ 10.94 | $ 12.56 | $ 13.16 | $ 13.23 | $ 16.09 | |||||||||||||||
|
| |||||||||||||||||||
Income From Investment Operations | ||||||||||||||||||||
Net investment income(a) | .03 | (b) | .00 | (e) | .06 | .09 | .08 | |||||||||||||
Net realized and unrealized gain on investment transactions | .03 | † | .42 | 2.03 | 2.62 | 2.15 | ||||||||||||||
|
| |||||||||||||||||||
Net increase in net asset value from operations | .06 | .42 | 2.09 | 2.71 | 2.23 | |||||||||||||||
|
| |||||||||||||||||||
Less: Dividends and Distributions | ||||||||||||||||||||
Dividends from net investment income | (.03 | ) | (.07 | ) | (.07 | ) | (.09 | ) | (.09 | ) | ||||||||||
Distributions from net realized gain on investment transactions | (1.54 | ) | (1.97 | ) | (2.62 | ) | (2.69 | ) | (5.00 | ) | ||||||||||
|
| |||||||||||||||||||
Total dividends and distributions | (1.57 | ) | (2.04 | ) | (2.69 | ) | (2.78 | ) | (5.09 | ) | ||||||||||
|
| |||||||||||||||||||
Net asset value, end of period | $ 9.43 | $ 10.94 | $ 12.56 | $ 13.16 | $ 13.23 | |||||||||||||||
|
| |||||||||||||||||||
Total Return | ||||||||||||||||||||
Total investment return based on net asset value(c) | .74 | %* | 3.92 | % | 17.04 | %* | 25.85 | %* | 17.77 | %* | ||||||||||
Ratios/Supplemental Data | ||||||||||||||||||||
Net assets, end of period (000’s omitted) | $93,616 | $279,873 | $322,200 | $316,708 | $328,634 | |||||||||||||||
Ratio to average net assets of: | ||||||||||||||||||||
Expenses, net of waivers/reimbursements | .15 | % | .09 | % | .07 | % | .06 | % | .06 | % | ||||||||||
Expenses, before waivers/reimbursements | .15 | % | .09 | % | .07 | % | .06 | % | .06 | % | ||||||||||
Net investment income | .36 | %(b) | .01 | % | .51 | % | .70 | % | .55 | % | ||||||||||
Portfolio turnover rate | 61 | % | 55 | % | 65 | % | 72 | % | 68 | % |
See footnote summary on page 308.
AB POOLING PORTFOLIOS • | 305 |
Financial Highlights
Selected Data For A Share Of Beneficial Interest Outstanding Throughout Each Period
AB Multi-Asset Real Return** | ||||||||||||||||||||
Year Ended August 31, | ||||||||||||||||||||
2016 | 2015 | 2014 | 2013 | 2012 | ||||||||||||||||
|
| |||||||||||||||||||
Net asset value, beginning of period | $ 6.27 | $ 8.95 | $ 8.25 | $ 8.67 | $ 9.13 | |||||||||||||||
|
| |||||||||||||||||||
Income From Investment Operations | ||||||||||||||||||||
Net investment income(a) | .14 | (b) | .16 | .19 | .17 | .18 | ||||||||||||||
Net realized and unrealized gain (loss) on investment and foreign currency transactions | .01 | † | (2.58 | ) | .75 | (.31 | ) | (.25 | ) | |||||||||||
Contributions from Affiliates | .00 | (e) | .00 | (e) | .00 | (e) | .00 | (e) | – 0 | – | ||||||||||
|
| |||||||||||||||||||
Net increase (decrease) in net asset value from operations | .15 | (2.42 | ) | .94 | (.14 | ) | (.07 | ) | ||||||||||||
|
| |||||||||||||||||||
Less: Dividends | ||||||||||||||||||||
Dividends from net investment income | (.19 | ) | (.26 | ) | (.24 | ) | (.28 | ) | (.39 | ) | ||||||||||
|
| |||||||||||||||||||
Net asset value, end of period | $ 6.23 | $ 6.27 | $ 8.95 | $ 8.25 | $ 8.67 | |||||||||||||||
|
| |||||||||||||||||||
Total Return | ||||||||||||||||||||
Total investment return based on net asset value(c) | 2.70 | % | (27.40 | )% | 11.48 | % | (1.69 | )% | (.45 | )%* | ||||||||||
Ratios/Supplemental Data | ||||||||||||||||||||
Net assets, end of period (000’s omitted) | $944,991 | $832,851 | $800,178 | $724,226 | $547,929 | |||||||||||||||
Ratio to average net assets of: | ||||||||||||||||||||
Expenses, net of waivers/reimbursements | .09 | % | .07 | % | .07 | % | .06 | % | .06 | % | ||||||||||
Expenses, before waivers/reimbursements | .09 | % | .07 | % | .07 | % | .06 | % | .06 | % | ||||||||||
Net investment income | 2.36 | %(b) | 2.13 | % | 2.17 | % | 1.89 | % | 2.11 | % | ||||||||||
Portfolio turnover rate | 194 | % | 45 | % | 76 | % | 126 | % | 110 | % |
See footnote summary on page 308.
306 | • AB POOLING PORTFOLIOS |
Financial Highlights
Selected Data For A Share Of Beneficial Interest Outstanding Throughout Each Period
AB Volatility Management | ||||||||||||||||||||
Year Ended August 31, | ||||||||||||||||||||
2016 | 2015 | 2014 | 2013 | 2012 | ||||||||||||||||
|
| |||||||||||||||||||
Net asset value, beginning of period | $11.22 | $12.53 | $11.38 | $10.24 | $10.27 | |||||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Income From Investment Operations | ||||||||||||||||||||
Net investment income(a) | .21 | (b) | .24 | .24 | .15 | .07 | ||||||||||||||
Net realized and unrealized gain (loss) on investment and foreign currency transactions | .18 | (.63 | ) | 2.10 | 1.11 | .24 | ||||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Net increase (decrease) in net asset value from operations | .39 | (.39 | ) | 2.34 | 1.26 | .31 | ||||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Less: Dividends and Distributions | ||||||||||||||||||||
Dividends from net investment income | (.28 | ) | (.37 | ) | (.37 | ) | (.12 | ) | (.06 | ) | ||||||||||
Distributions from net realized gain on investment transactions | (.34 | ) | (.55 | ) | (.82 | ) | – 0 | – | (.28 | ) | ||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Total dividends and distributions | (.62 | ) | (.92 | ) | (1.19 | ) | (.12 | ) | (.34 | ) | ||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Net asset value, end of period | $ 10.99 | $ 11.22 | $ 12.53 | $ 11.38 | $ 10.24 | |||||||||||||||
|
| |||||||||||||||||||
Total Return | ||||||||||||||||||||
Total investment return based on net asset value(c) | 3.47 | % | (3.35 | )% | 21.69 | % | 12.40 | % | 3.10 | % | ||||||||||
Ratios/Supplemental Data | ||||||||||||||||||||
Net assets, end of period (000,000’s omitted) | $514 | $1,278 | $1,494 | $1,590 | $1,688 | |||||||||||||||
Ratio to average net assets of: | ||||||||||||||||||||
Expenses, net of waivers/reimbursements | .05 | % | .05 | % | .05 | % | .05 | % | .04 | % | ||||||||||
Expenses, before waivers/reimbursements | .06 | % | .05 | % | .05 | % | .05 | % | .04 | % | ||||||||||
Net investment income | 1.97 | %(b) | 2.01 | % | 2.04 | % | 1.40 | % | .68 | % | ||||||||||
Portfolio turnover rate | 32 | % | 13 | % | 41 | % | 80 | % | 130 | % |
See footnote summary on page 308.
AB POOLING PORTFOLIOS • | 307 |
Financial Highlights
(a) | Based on average shares outstanding. |
(b) | Net of fees and expenses waived/reimbursed by the Adviser. |
(c) | Total investment return is calculated assuming an initial investment made at the net asset value at the beginning of the period, reinvestment of all dividends and distributions at net asset value during the period, and redemption on the last day of the period. Total return does not reflect the deduction of taxes that a shareholder would pay on fund distributions or the redemption of fund shares. Total investment return calculated for a period of less than one year is not annualized. |
(d) | The expense ratios presented below exclude interest expense where applicable: |
Year Ended August 31, | ||||||||||||||||||||
2016 | 2015 | 2014 | 2013 | 2012 | ||||||||||||||||
AB International Value Portfolio | ||||||||||||||||||||
Expenses, net of waivers/reimbursements | N/A | N/A | .05 | % | N/A | N/A | ||||||||||||||
Expenses, before waivers/reimbursements | N/A | N/A | .05 | % | N/A | N/A | ||||||||||||||
AB Short Duration Bond Portfolio | ||||||||||||||||||||
Expenses, net of waivers/reimbursements | N/A | N/A | .03 | % | N/A | N/A | ||||||||||||||
Expenses, before waivers/reimbursements | N/A | N/A | .03 | % | N/A | N/A | ||||||||||||||
AB Global Core Bond Portfolio | ||||||||||||||||||||
Expenses, net of waivers/reimbursements | N/A | N/A | .03 | % | N/A | N/A | ||||||||||||||
Expenses, before waivers/reimbursements | N/A | N/A | .03 | % | N/A | N/A | ||||||||||||||
AB Bond Inflation Protection Portfolio | ||||||||||||||||||||
Expenses, net of waivers/reimbursements | .07 | % | .05 | % | .04 | % | .04 | % | .04 | % | ||||||||||
Expenses, before waivers/reimbursements | .08 | % | .05 | % | .04 | % | .04 | % | .04 | % |
(e) | Amount is less than $0.005. |
* | 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 years ended August 31, 2016, August 31, 2015, August 31, 2014, August 31, 2013 and August 31, 2012 by 0.09%, 0.34%, 0.04%, 0.08% and 0.01%, respectively, AB U.S. Large Cap Growth Portfolio for the years ended August 31, 2016, August 31, 2015, and August 31, 2012 by 0.37%, 0.01%, and 0.02%, respectively, AB Short Duration Bond Portfolio for the year ended August 31, 2016, August 31, 2013 by 0.04% 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 year ended August 31, 2016 and August 31, 2014 by 0.01% and 0.04%, respectively, AB Small-Mid Cap Growth Portfolio for years ended August 31, 2016, August 31, 2014, August 31, 2013 and August 31, 2012 by 0.17%, 0.08%, 0.14% and 0.01%, respectively, 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. |
See notes to financial statements.
308 | • AB POOLING PORTFOLIOS |
Financial Highlights
REPORT OF INDEPENDENT REGISTERED
PUBLIC ACCOUNTING FIRM
To the Board of Trustees and Shareholders of
The AB Pooling Portfolios
We have audited the accompanying statements of assets and liabilities, including the portfolios of investments, of The AB Pooling Portfolios, (comprising, respectively, the 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 Small-Mid Cap Value Portfolio, AB Small-Mid Cap Growth Portfolio, AB Multi-Asset Real Return Portfolio, and AB Volatility Management Portfolio) (the “Fund”), as of August 31, 2016, and the related statements of operations for the year then ended, the statements of changes in net assets for each of the two years in the period then ended, the financial highlights for each of the five years in the period then ended, and the statement of cash flows for the year then ended for AB Bond Inflation Protection Portfolio. These financial statements and financial highlights are the responsibility of the Fund’s management. Our responsibility is to express an opinion on these financial statements and financial highlights based on our audits.
We conducted our audits in accordance with the standards of the Public Company Accounting Oversight Board (United States). Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements and financial highlights are free of material misstatement. We were not engaged to perform an audit of the Fund’s internal control over financial reporting. Our audits included consideration of internal control over financial reporting as a basis for designing audit procedures that are appropriate in the circumstances, but not for the purpose of expressing an opinion on the effectiveness of the Fund’s internal control over financial reporting. Accordingly, we express no such opinion. An audit also includes examining, on a test basis, evidence supporting the amounts and disclosures in the financial statements and financial highlights, assessing the accounting principles used and significant estimates made by management, and evaluating the overall financial statement presentation. Our procedures included confirmation of securities owned as of August 31, 2016 by correspondence with the custodian and others, or by other appropriate auditing procedures where replies from others were not received. We believe that our audits provide a reasonable basis for our opinion.
In our opinion, the financial statements and financial highlights referred to above present fairly, in all material respects, the financial position of each of the respective portfolios constituting The AB Pooling Portfolios at August 31, 2016, the results of their operations for the year then ended, the changes in their net assets for each of the two years in the
AB POOLING PORTFOLIOS • | 309 |
Report of Independent Registered Public Accounting Firm
period then ended, the financial highlights for each of the five years in the period then ended, and the cash flows for AB Bond Inflation Protection Portfolio for the year then ended, in conformity with U.S. generally accepted accounting principles.
New York, New York
October 28, 2016
310 | • AB POOLING PORTFOLIOS |
Report of Independent Registered Public Accounting Firm
2016 FEDERAL TAX INFORMATION
(unaudited)
For Federal income tax purposes, the following information is furnished with respect to the distributions paid by each applicable Portfolio during the taxable year ended August 31, 2016. For corporate shareholders, the following percentages of dividends paid by each Portfolio qualify for the dividends received deduction. Additionally, for foreign shareholders the following percentages of dividends paid by each Portfolio may be considered to be qualifying to be taxed as interest-related dividends.
Portfolio | Dividends Received Deduction % (corporate shareholders) | % of Qualified Interest Income (foreign shareholders) | ||||||
AB U.S. Value | 93.42 | % | 0.00 | % | ||||
AB U.S. Large Cap Growth | 55.08 | % | 0.00 | % | ||||
AB International Value | 0.00 | % | 0.00 | % | ||||
AB International Growth | 0.69 | % | 0.00 | % | ||||
AB Short Duration Bond | 0.00 | % | 91.13 | % | ||||
AB Global Core Bond | 0.00 | % | 29.51 | % | ||||
AB Bond Inflation Protection | 0.21 | % | 43.47 | % | ||||
AB Small-Mid Cap Value | 77.09 | % | 0.00 | % | ||||
AB Small-Mid Cap Growth | 68.98 | % | 0.00 | % | ||||
AB Multi-Asset Real Return | 14.30 | % | 0.30 | % | ||||
AB Volatility Management | 24.70 | % | 1.09 | % |
For the taxable year ended August 31, 2016, each Portfolio designates the following amounts as the maximum amount that may be considered qualified dividend income for individual shareholders:
Portfolio | Qualified Dividend Income | |||
AB U.S. Value | $ | 8,645,067 | ||
AB U.S. Large Cap Growth | 4,622,015 | |||
AB International Value | 6,462,117 | |||
AB International Growth | 4,021,029 | |||
AB Short Duration Bond | – 0 | – | ||
AB Global Core Bond | – 0 | – | ||
AB Bond Inflation Protection | 33,796 | |||
AB Small-Mid Cap Value | 2,702,636 | |||
AB Small-Mid Cap Growth | 914,207 | |||
AB Multi-Asset Real Return | 7,541,656 | |||
AB Volatility Management | 14,683,189 |
Shareholders should not use the above information to prepare their income tax returns. The information necessary to complete your income tax returns will be included with your Form 1099-DIV which will be sent to you separately in January 2017.
AB POOLING PORTFOLIOS • | 311 |
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 Carol C. McMullen(1) 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 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 Matthew S. Sheridan, 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 |
312 | • 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 Mr. Joseph G. Paul and Mr. Cem Inal. |
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. Tawhid Ali, Mr. Takeo Aso and Mr. Avi Lavi are the senior most members of the Investment Management Team. |
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. Shawn E. Keegan, 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. |
Mr. Michael S. Canter, Mr. Paul J. DeNoon, 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 • | 313 |
Trustees
MANAGEMENT OF THE FUND
Trustee Information
The business and affairs of the Trust are managed under the direction of the Trustees. Certain information concerning the Trustees of the Trust is set forth below.
NAME, ADDRESS*, AGE, (YEAR FIRST ELECTED**) | PRINCIPAL OCCUPATION(S) DURING PAST FIVE YEARS AND OTHER INFORMATION | PORTFOLIOS IN FUND COMPLEX OVERSEEN BY TRUSTEE | OTHER PUBLIC HELD BY TRUSTEE | |||||
INTERESTED TRUSTEE | ||||||||
Robert M. Keith, # 1345 Avenue of the Americas New York, NY 10105 56 (2010) | Senior Vice President of AllianceBernstein L.P. (the “Adviser”) and the head of AllianceBernstein Investments, Inc. (“ABI”) since July 2008; Director of ABI and President of the AB Mutual Funds. Previously, he served as Executive Managing Director of ABI from December 2006 to June 2008. Prior to joining ABI in 2006, Executive Managing Director of Bernstein Global Wealth Management, and prior thereto, Senior Managing Director and Global Head of Client Service and Sales of the Adviser’s institutional investment management business since 2004. Prior thereto, he was Managing Director and Head of North American Client Service and Sales in the Adviser’s institutional investment management business, with which he had been associated since prior to 2004. | 108 | None |
314 | • AB POOLING PORTFOLIOS |
Management of the Fund
NAME, ADDRESS*, AGE, (YEAR FIRST ELECTED**) | PRINCIPAL OCCUPATION(S) DURING PAST FIVE YEARS AND OTHER INFORMATION | PORTFOLIOS IN FUND COMPLEX OVERSEEN BY TRUSTEE | OTHER PUBLIC HELD BY TRUSTEE | |||||
DISINTERESTED TRUSTEES | ||||||||
Marshall C. Turner, Jr., ## Chairman of the Board 75 (2005) | Private Investor since prior to 2011. Former Chairman and CEO of Dupont Photomasks, Inc. (components of semi-conductor manufacturing). He has extensive operating leadership and venture capital investing experience, including five interim or full-time CEO roles, and prior service as general partner of institutional venture capital partnerships. He also has extensive non-profit board leadership experience, and currently serves on the boards of two education and science-related non-profit organizations. He has served as a director of one AB Fund since 1992, and director or trustee of multiple AB Funds since 2005. He has been Chairman of the AB Funds since January 2014, and the Chairman of the Independent Directors Committees of such AB Funds since February 2014. | 108 | Xilinx, Inc. (programmable logic semi-conductors) since 2007 | |||||
John H. Dobkin, ## 74 (2005) | Independent Consultant since prior to 2011. Formerly, President of Save Venice, Inc. (preservation organization) from 2001-2002; Senior Advisor from June 1999-June 2000 and President of Historic Hudson Valley (historic preservation) from December 1989-May 1999. Previously, Director of the National Academy of Design. He has served as a director or trustee of various AB Funds since 1992 and as Chairman of the Audit Committees of a number of such AB Funds from 2001-2008. | 108 | None | |||||
AB POOLING PORTFOLIOS • | 315 |
Management of the Fund
NAME, ADDRESS*, AGE, (YEAR FIRST ELECTED**) | PRINCIPAL OCCUPATION(S) DURING PAST FIVE YEARS AND OTHER INFORMATION | PORTFOLIOS IN FUND COMPLEX OVERSEEN BY TRUSTEE | OTHER PUBLIC HELD BY TRUSTEE | |||||
DISINTERESTED TRUSTEES (continued) | ||||||||
Michael J. Downey, ## 72 (2005) | Private Investor since prior to 2011. Formerly, managing partner of Lexington Capital, LLC (investment advisory firm) from December 1997 until December 2003. He served as a Director of Prospect Acquisition Corp. (financial services) from 2007 until 2009. From 1987 until 1993, Chairman and CEO of Prudential Mutual Fund Management, director of the Prudential mutual funds, and member of the Executive Committee of Prudential Securities Inc. He has served as a director or trustee of the AB Funds since 2005 and is a director and Chairman of one other registered investment company. | 108 | Asia Pacific Fund, Inc. (registered investment company) since prior to 2011 | |||||
William H. Foulk, Jr., ## 84 (2005) | Investment Adviser and an Independent Consultant since prior to 2011. Previously, he was Senior Manager of Barrett Associates, Inc., a registered investment adviser. He was formerly Deputy Comptroller and Chief Investment Officer of the State of New York and, prior thereto, Chief Investment Officer of the New York Bank for Savings. He has served as a director or trustee of various AB Funds since 1983, and was Chairman of the Independent Directors Committees of the AB Funds from 2003 until early February 2014. He served as Chairman of such AB Funds from 2003 through December 2013. He is also active in a number of mutual fund related organizations and committees. | 108 | None | |||||
316 | • AB POOLING PORTFOLIOS |
Management of the Fund
NAME, ADDRESS*, AGE, (YEAR FIRST ELECTED**) | PRINCIPAL OCCUPATION(S) DURING PAST FIVE YEARS AND OTHER INFORMATION | PORTFOLIOS IN FUND COMPLEX OVERSEEN BY TRUSTEE | OTHER PUBLIC HELD BY TRUSTEE | |||||
DISINTERESTED TRUSTEES (continued) | ||||||||
D. James Guzy, ## 80 (2005) | Chairman of the Board of SRC Computers, Inc. (semi-conductors), with which he has been associated since prior to 2011. He served as Chairman of the Board of PLX Technology (semi-conductors) since prior to 2011 until November 2013. He was a Director of Intel Corporation (semi-conductors) from 1969 until 2008, and served as Chairman of the Finance Committee of such company for several years until May 2008. He has served as a director or trustee of one or more of the AB Funds since 1982. | 108 | None | |||||
Nancy P. Jacklin, ## 68 (2006) | Private Investor since prior to 2011. Professorial Lecturer at the Johns Hopkins School of Advanced International Studies (2008-2015); U.S. Executive Director of the International Monetary Fund (which is responsible for ensuring the stability of the international monetary system) (December 2002-May 2006); Partner, Clifford Chance (1992-2002); Sector Counsel, International Banking and Finance, and Associate General Counsel, Citicorp (1985-1992); Assistant General Counsel (International), Federal Reserve Board of Governors (1982-1985); and Attorney Advisor, U.S. Department of the Treasury (1973-1982). Member of the Bar of the District of Columbia and of New York; and member of the Council on Foreign Relations. She has served as a director or trustee of the AB Funds since 2006 and has been Chairman of the Governance and Nominating Committees of the AB Funds since August 2014. | 108 | None |
AB POOLING PORTFOLIOS • | 317 |
Management of the Fund
NAME, ADDRESS*, AGE, (YEAR FIRST ELECTED**) | PRINCIPAL OCCUPATION(S) DURING PAST FIVE YEARS AND OTHER INFORMATION | PORTFOLIOS IN FUND COMPLEX OVERSEEN BY TRUSTEE | OTHER PUBLIC HELD BY TRUSTEE | |||||
DISINTERESTED TRUSTEES (continued) | ||||||||
Carol C. McMullen, ## 61 (2016) | Managing Director of Slalom Consulting (consulting) since 2014 and private investor; Director of Norfolk & Dedham Group (mutual property and casualty insurance) since 2011; and Director of Partners Community Physicians Organization (healthcare) since 2014. Formerly, Managing Director of The Crossland Group (consulting) from 2012 to 2013. She has held a number of senior positions in the asset and wealth management industries, including at Eastern Bank (where her roles included President of Eastern Wealth Management), Thomson Financial (Global Head of Sales for Investment Management), and Putnam Investments (where her roles included Head of Global Investment Research). She has served on a number of private company and nonprofit boards, and as a director or trustee of the AB Funds since June 2016. | 108 | None | |||||
318 | • AB POOLING PORTFOLIOS |
Management of the Fund
NAME, ADDRESS*, AGE, (YEAR FIRST ELECTED**) | PRINCIPAL OCCUPATION(S) DURING PAST FIVE YEARS AND OTHER INFORMATION | PORTFOLIOS IN FUND COMPLEX OVERSEEN BY TRUSTEE | OTHER PUBLIC HELD BY TRUSTEE | |||||
DISINTERESTED TRUSTEES (continued) | ||||||||
Garry L. Moody, ## 64 (2008) | Independent Consultant. Formerly, Partner, Deloitte & Touche LLP (1995-2008) where he held a number of senior positions, including Vice Chairman, and U.S. and Global Investment Management Practice Managing Partner; President, Fidelity Accounting and Custody Services Company (1993-1995) where he was responsible for accounting, pricing, custody and reporting for the Fidelity mutual funds; and Partner, Ernst & Young LLP (1975-1993), where he served as the National Director of Mutual Fund Tax Services and Managing Partner of its Chicago Office Tax department. He is a member of the Trustee Advisory Board of BoardIQ, a biweekly publication focused on issues and news affecting directors of mutual funds. He has served as a director or trustee, and as Chairman of the Audit Committees of the AB Funds since 2008. | 108 | None | |||||
Earl D. Weiner, ## 77 (2007) | Of Counsel, and Partner prior to January 2007, of the law firm Sullivan & Cromwell LLP, and is a former member of the ABA Federal Regulation of Securities Committee Task Force to draft editions of the Fund Director’s Guidebook. He also serves as a director or trustee of various. non-profit organizations and has served as Chairman or Vice Chairman of a number of them. He has served as a director or trustee of the AB Funds since 2007 and served as Chairman of the Governance and Nominating Committees of the AB Funds from 2007 until August 2014. | 108 | None |
AB POOLING PORTFOLIOS • | 319 |
Management of the Fund
* | The address for each of the Fund’s disinterested Trustees is c/o AllianceBernstein L.P., Attention: Philip L. Kirstein, 1345 Avenue of the Americas, New York, NY 10105. |
** | There is no stated term of office for the Fund’s Trustees. |
*** | The information above includes each Trustee’s principal occupation during the last five years and other information relating to the experience, attributes and skills relevant to each Trustee’s qualifications to serve as a Trustee, which led to the conclusion that each Trustee should serve as a Trustee for the Fund. |
# | Mr. Keith is an “interested person” of the Fund, as defined in the 1940 Act, due to his position as a Senior Vice President of the Adviser. |
## | Member of the Audit Committee, the Governance and Nominating Committee and the Independent Directors Committee. |
320 | • AB POOLING PORTFOLIOS |
Management of the Fund
Officer Information
Certain information concerning the Fund’s Officers is listed below.
NAME, ADDRESS* AND AGE | POSITION(S) HELD WITH TRUST | PRINCIPAL OCCUPATION DURING PAST FIVE YEARS | ||
Robert M. Keith 56 | President and Chief Executive Officer | See biography above. | ||
Philip L. Kirstein 71 | Senior Vice President and Independent Compliance Officer | Senior Vice President and Independent Compliance Officer of the AB Funds, with which he has been associated since October 2004. Prior thereto, he was Of Counsel to Kirkpatrick & Lockhart, LLP from October 2003 to October 2004, and General Counsel of Merrill Lynch Investment Managers, L.P. since prior to March 2003. | ||
Tawhid Ali 47 | Vice President | Senior Vice President of the Adviser,** with which he has been associated since prior to 2011. | ||
Bruce K. Aronow 50 | Vice President | Senior Vice President of the Adviser,** with which he has been associated since prior to 2011. | ||
Takeo Aso 51 | Vice President | Senior Vice President of the Adviser,** with which he has been associated since prior to 2011. | ||
Michael S. Canter 45 | Vice President | Senior Vice President of the Adviser,** with which he has been associated since prior to 2011. | ||
Frank V. Caruso 60 | Vice President | Senior Vice President of the Adviser,** with which he has been associated since prior to 2011. | ||
Vinod S. Chathlani 33 | Vice President | Vice President of the Adviser** with which he has been associated since December 2013. Prior thereto, he was a risk analyst at Oppenheimer Funds and a corporate investment strategist at Reliance Communications (India) since prior to 2011. | ||
Sergey Davalchenko 41 | Vice President | Senior Vice President of the Adviser,** with which he has been associated since January 2011. In early 2012, he also became a Portfolio Manager for Emerging Markets Growth. Previously, he was a senior international analyst at Global Currents Investment Management, a subsidiary of Legg Mason from April 2008 to January 2011. Prior thereto, he was associated with Fenician Capital Management since prior to 2011. | ||
Paul J. DeNoon 54 | Vice President | Senior Vice President of the Adviser,** with which he has been associated since prior to 2011. | ||
AB POOLING PORTFOLIOS • | 321 |
Management of the Fund
NAME, ADDRESS* AND AGE | POSITION(S) HELD WITH TRUST | PRINCIPAL OCCUPATION DURING PAST FIVE YEARS | ||
Scott A. DiMaggio 45 | Vice President | Senior Vice President of the Adviser,** with which he has been associated since prior to 2011. | ||
Vincent C. DuPont 54 | Vice President | Senior Vice President of the Adviser,** with which he has been associated since prior to 2011. | ||
John H. Fogarty 46 | Vice President | Senior Vice President of the Adviser,** with which he has been associated since prior to 2011. | ||
Cem Inal 45 | Vice President | Senior Vice President of the Adviser,** with which he has been associated since prior to 2011. | ||
Shawn E. Keegan 45 | Vice President | Senior Vice President of the Adviser,** with which he has been associated since prior to 2011. | ||
N. Kumar Kirpalani 62 | Vice President | Senior Vice President of the Adviser,** with which he has been associated since prior to 2011. | ||
Samantha S. Lau 44 | Vice President | Senior Vice President of the Adviser,** with which she has been associated since prior to 2011. | ||
Avi Lavi 50 | Vice President | Senior Vice President of the Adviser,** with which he has been associated since prior to 2011. | ||
Daniel J. Loewy 42 | Vice President | Senior Vice President of the Adviser,** with which he has been associated since prior to 2011. | ||
James W. MacGregor 49 | Vice President | Senior Vice President of the Adviser,** with which he has been associated since prior to 2011. | ||
Joseph G. Paul 56 | Vice President | Senior Vice President of the Adviser,** with which he has been associated since prior to 2011. | ||
Douglas J. Peebles 51 | Vice President | Senior Vice President of the Adviser,** with which he has been associated since prior to 2011. | ||
Laurent Saltiel 46 | Vice President | Senior Vice President of the Adviser,** with which he has been associated since prior to 2011. | ||
Matthew S. Sheridan 41 | Vice President | Senior Vice President of the Adviser,** with which he has been associated since prior to 2011. | ||
Shri Singhvi 42 | Vice President | Senior Vice President of the Adviser,** with which he has been associated since prior to 2011. | ||
322 | • AB POOLING PORTFOLIOS |
Management of the Fund
NAME, ADDRESS* AND AGE | POSITION(S) HELD WITH TRUST | PRINCIPAL OCCUPATION DURING PAST FIVE YEARS | ||
Wen-Tse Tseng 50 | Vice President | Senior Vice President of the Adviser,** with which he has been associated since prior to 2011. | ||
Greg J. Wilensky 49 | Vice President | Senior Vice President of the Adviser,** with which he has been associated since prior to 2011. | ||
Vadim Zlotnikov 54 | Vice President | Senior Vice President of the Adviser,** with which he has been associated since prior to 2011. | ||
Emilie D. Wrapp 60 | Secretary | Senior Vice President, Assistant General Counsel, and Assistant Secretary of ABI,** with which she has been associated since prior to 2011. | ||
Joseph J. Mantineo 57 | Treasurer and Chief Financial Officer | Senior Vice President of ABIS,** with which he has been associated since prior to 2011. | ||
Phyllis J. Clarke 55 | Controller | Vice President of ABIS,** with which she has been associated since prior to 2011. | ||
Vincent S. Noto 51 | Chief Compliance Officer | Senior Vice President since 2015 and Mutual Fund Chief Compliance Officer of the Adviser** since 2014. Prior thereto, he was Vice President and Director of Mutual Fund Compliance of the Adviser** since prior to 2011. |
* | The address for each of the Trust’s Officers is 1345 Avenue of the Americas, New York, NY 10105. |
** | The Adviser, ABI and ABIS are affiliates of the Trust. |
The Fund’s Statement of Additional Information (“SAI”) has additional information about the Fund’s Trustees and Officers and is available without charge upon request. Contact your financial representative or AB at 1-800-227-4618, or visit www.ABfunds.com, for a free prospectus or SAI. |
AB POOLING PORTFOLIOS • | 323 |
Management of the Fund
Information Regarding the Review and Approval of the Advisory Agreement in Respect of Each Fund
The disinterested trustees (the “directors”) of The AB Pooling Portfolios (the “Company”) unanimously approved the continuance of the Company’s Advisory Agreement with the Adviser in respect of each of the portfolios listed below (each, a “Fund” and collectively, the “Funds”) at a meeting held on May 3-5, 2016 (the “Meeting”):
• | AB U.S. Value Portfolio |
• | AB U.S. Large Cap Growth Portfolio |
• | AB Multi-Asset Real Return Portfolio |
• | AB International Value Portfolio |
• | AB International Growth Portfolio |
• | AB Small-Mid Cap Value Portfolio |
• | AB Small-Mid Cap Growth Portfolio |
• | AB Volatility Management Portfolio |
Prior to approval of the continuance of the Advisory Agreement in respect of each Fund, the directors 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 directors also reviewed an independent evaluation prepared by the Company’s Senior Officer (who is also the Company’s Independent Compliance Officer) of the reasonableness of the advisory fee in respect of each Fund, in which the Senior Officer concluded that the contractual fee (zero) for each Fund was reasonable. The directors also discussed the proposed continuances in private sessions with counsel and the Company’s Senior Officer.
The directors noted that the Funds 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 directors also noted that no advisory fee is payable by any of the Funds, although the Advisory Agreement provides that the Funds will reimburse the Adviser for the cost of certain clerical, accounting, administrative and other services provided to the Funds 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 directors further noted that the Company acknowledges in the Advisory Agreement that the Adviser will receive compensation for its services to the Funds from
324 | • AB POOLING PORTFOLIOS |
third parties (e.g., the Pooling Investors). The directors 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 investor would transition to another manager on July 1, 2016.
The directors considered their knowledge of the nature and quality of the services provided by the Adviser to the Funds gained from their experience as directors or trustees 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 directors and its responsiveness, frankness and attention to concerns raised by the directors 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 directors 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 Funds and review extensive materials and information presented by the Adviser.
The directors also considered all other factors they believed relevant, including the specific matters discussed below. In their deliberations, the directors did not identify any particular information that was all-important or controlling, and different directors may have attributed different weights to the various factors. The directors determined that the selection of the Adviser to manage each Fund and the overall arrangements between each Fund 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 directors considered relevant in the exercise of their business judgment. The material factors and conclusions that formed the basis for the directors’ determinations included the following:
Nature, Extent and Quality of Services Provided
The directors 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 Funds. They also noted the professional experience and qualifications of each Fund’s portfolio management team and other senior personnel of the Adviser. The directors also considered that the Advisory Agreement provides that each Fund will reimburse the Adviser for the cost to it of providing certain clerical, accounting, administrative and other services to such Fund by employees of the Adviser or its affiliates. Requests for these reimbursements are
AB POOLING PORTFOLIOS • | 325 |
made on a quarterly basis and subject to approval by the directors. Reimbursements, to the extent requested and paid in respect of a Fund, result in some compensation from such Fund to the Adviser. The directors noted that the methodology used to determine the reimbursement amounts had been reviewed by an independent consultant retained by the Company’s Senior Officer. The quality of administrative and other services, including the Adviser’s role in coordinating the activities of each Fund’s other service providers, also was considered. The directors concluded that, overall, they were satisfied with the nature, extent and quality of services provided to each of the Funds under the Advisory Agreement.
Costs of Services Provided and Profitability
The directors reviewed a schedule of the revenues, expenses and related notes indicating the profitability of each Fund (which, as noted above, pays no advisory fee to the Adviser but may reimburse expenses to the Adviser) to the Adviser for calendar years 2014 and 2015 that had been prepared with an expense allocation methodology arrived at in consultation with an independent consultant retained by the Company’s Senior Officer. The directors 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 directors noted that the methodology took into account that the Adviser was indirectly compensated for its services to the Funds by the Pooling Investors. The directors noted that the profitability information reflected all revenues and expenses of the Adviser’s relationships with the Funds, including those relating to its subsidiaries that provide transfer agency, distribution and brokerage services to the Funds, and that the profitability methodology attributed to the Funds revenues and expenses relating to the Pooling Investors. The directors 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 directors focused on the profitability of the Adviser’s relationships with the Funds before taxes and distribution expenses. The directors concluded that the Adviser’s level of profitability from its relationship with each Fund was not unreasonable.
Fall-Out Benefits
The directors considered the other benefits to the Adviser and its affiliates from their relationships with the Funds, including, but not limited to, benefits relating to soft dollar arrangements (whereby investment advisers receive brokerage and research services from brokers that execute agency transactions for their clients; 12b-1 fees and sales charges received by the Funds’ principal underwriter (which is a wholly owned subsidiary of the
326 | • AB POOLING PORTFOLIOS |
Adviser) in respect of certain classes of shares of the Pooling Investors that are registered investment companies; and brokerage commissions paid by the Funds to brokers affiliated with the Adviser. The directors noted that while the Adviser’s affiliated transfer agent does not receive fees for providing services to the Funds (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 directors noted that the Adviser receives fees for advisory, distribution, recordkeeping and other services provided to the unaffiliated institutional Pooling Investor and is compensated by the other Pooling Investors for providing advisory services to them. The directors recognized that the Adviser’s profitability would be somewhat lower without these benefits. The directors understood that the Adviser also might derive reputational and other benefits from its association with the Funds.
Investment Results
In addition to the information reviewed by the directors in connection with the Meeting, the directors receive detailed performance information for each Fund at each regular Board meeting during the year.
At the Meeting, the directors reviewed information prepared by Broadridge Financial Solutions, Inc. (“Broadridge”), an analytical service that is not affiliated with the Adviser, showing the performance of each Fund against a peer group and a peer universe selected by Broadridge, and information prepared by the Adviser showing performance of each Fund against a broad-based securities market index, in each case for the 1-, 3-, 5- and 10-year periods, as applicable, ended February 29, 2016 and (in the case of comparisons with the broad-based securities market index) the period since inception.
AB U.S. Value Portfolio
AB U.S. Large Cap Growth Portfolio
AB International Value Portfolio
AB International Growth Portfolio
AB Small-Mid Cap Value Portfolio
AB Volatility Management Portfolio
Based on their review, the directors concluded that each Fund’s investment performance was acceptable.
AB Multi-Asset Real Return Portfolio
AB Small-Mid Cap Growth Portfolio
Based on their review, and their discussion with the Adviser of the reasons for each Fund’s underperformance in certain periods, the directors concluded that each Fund’s investment performance was acceptable.
AB POOLING PORTFOLIOS • | 327 |
Advisory Fees and Other Expenses
The directors considered the advisory fee rate paid by each Fund to the Adviser (zero) and information prepared by Broadridge concerning advisory fee rates paid by other funds in the same Broadridge category as such Fund at a common asset level. The directors also reviewed certain information showing the advisory fees paid to the Adviser by the Pooling Investors. The directors 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 directors 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 Funds. The directors took into account the impact on the advisory fee rate of the administrative reimbursements paid to the Adviser by the Funds in the latest fiscal year. The directors also considered information provided by the Adviser, including pro forma presentations, concerning the expected impact of the withdrawal of the unaffiliated Pooling Investor from each Fund. While the fees paid by the Pooling Investors to the Adviser vary, the directors acknowledged that a portion of those fees may reasonably be viewed as compensating the Adviser for advisory services it provides to each Fund (the “implied fee”) and that the Adviser had represented to the Securities and Exchange Commission’s staff and to the Company’s former counsel that the implied fee rate is the same for all the Pooling Investors. The directors also noted that the Adviser had provided the directors with information concerning the fees paid by the various Pooling Investors.
The directors also considered the Adviser’s fee schedule for institutional clients pursuing a similar investment style. For this purpose, they reviewed the relevant advisory fee information from the Adviser’s Form ADV and the evaluation from the Company’s Senior Officer and noted the differences between the Fund’s fee schedule, on the one hand, and the institutional fee schedule and the schedule of fees charged to any offshore funds and any sub-advised funds, on the other. The directors recognized that this information was of limited utility in light of the Funds’ unusual fee arrangements.
The directors noted that each of AB Multi-Asset Real Return Portfolio and AB Volatility Management Portfolio invests in shares of exchange-traded funds (“ETFs”), subject to the restrictions and limitations of the Investment Company Act of 1940 as these may be varied as a result of exemptive orders issued by the SEC. The directors also noted that ETFs pay advisory fees pursuant to their advisory contracts, and that the Adviser had provided, and they had reviewed, information about the
328 | • AB POOLING PORTFOLIOS |
expense ratios of the relevant ETFs. The directors concluded, based on the Adviser’s explanation of how it uses ETFs when they are the most cost-effective way to obtain desired exposures for a fund or to temporarily “equitize” cash inflows pending purchases of underlying securities, that the advisory fee for each such Portfolio (zero) is paid for services that are in addition to, rather than duplicative of, the services provided under the advisory contracts of the ETFs.
The directors also considered the total non-advisory expense ratio of each Fund in comparison to a peer group and a peer universe selected by Broadridge. The non-advisory expense ratio of each Fund was based on the Fund’s latest fiscal year. The directors noted that it was likely that the non-advisory expense ratios of some of the other funds in each Fund’s Broadridge category were lowered by waivers or reimbursements by those funds’ investment advisers, which in some cases might be voluntary or temporary. The directors view 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 Funds by others. Based on their review, the directors concluded that each Fund’s total non-advisory expense ratio was acceptable.
Economies of Scale
Since the Advisory Agreement does not provide for any compensation to be paid to the Adviser by the Funds, the directors did not consider the extent to which 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.
AB POOLING PORTFOLIOS • | 329 |
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
1 | The information in the fee summary was completed on April 21, 2016 and discussed with the Board of Trustees on May 3-5, 2016. |
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 | Prior to December 31, 2010, the Portfolio was known as Global Real Estate Investment Portfolio, and had a policy of investing at least 80% of its net assets in real estate related investments. |
330 | • AB POOLING PORTFOLIOS |
was provided to the Trustees in connection with their review of the proposed approval of the continuance of the Investment Advisory Agreement. The Senior Officer’s evaluation considered the following factors:
1. | Advisory fees charged to institutional and other clients of the Adviser for like services; |
2. | Advisory fees charged by other mutual fund companies for like services; |
3. | Costs to the Adviser and its affiliates of supplying services pursuant to the advisory agreements, excluding any intra-corporate profit; |
4. | Profit margins of the Adviser and its affiliates from supplying such services; |
5. | Possible economies of scale as the Portfolios grow larger; and |
6. | Nature and quality of the Adviser’s services including the performance of the Portfolios. |
These factors, with the exception of the first factor, are generally referred to as the “Gartenberg factors,” which were articulated by the United States Court of Appeals for the Second Circuit in 1982. Gartenberg v. Merrill Lynch Asset Management, Inc., 694 F. 2d 923 (2d Cir. 1982). On March 30, 2010, the Supreme Court held the Gartenberg decision was correct in its basic formulation of what 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. Effective January 1, 2015, the Trustees authorized such reimbursements under these provisions, for all Pooling Portfolios going forward.
4 | Jones v. Harris at 1427. |
AB POOLING PORTFOLIOS • | 331 |
Indicated below are the reimbursement amounts which the Adviser received from the Portfolios during the Portfolios’ most recently completed fiscal year, expressed in dollars and as a percentage of average daily net assets:
Portfolio | Amount | As a % of Average Daily Net Assets | ||||||
U.S. Value Portfolio | $ | 30,205 | 0.006 | % | ||||
U.S. Large Cap Growth Portfolio | $ | 30,205 | 0.006 | % | ||||
Multi-Asset Real Return Portfolio | $ | 32,925 | 0.004 | % | ||||
International Value Portfolio | $ | 28,234 | 0.007 | % | ||||
International Growth Portfolio | $ | 30,205 | 0.007 | % | ||||
Small-Mid Cap Value Portfolio | $ | 32,245 | 0.010 | % | ||||
Small-Mid Cap Growth Portfolio | $ | 32,246 | 0.010 | % | ||||
Volatility Management Portfolio | $ | 41,660 | 0.003 | % |
The Adviser is compensated by the Institutional Clients which invest in the Portfolios, which currently consist of the Wealth Strategies, the Sanford C. Bernstein Fund, Inc. Overlay Portfolios (the “SCB Overlay Portfolios”) and CollegeBoundfund. Set forth below is a discussion of the investment advisory fees charged by the Adviser to the Institutional Clients. On November 17, 2015, the Adviser announced that management of the CollegeBoundfund would transition to another manager on July 1, 2016.
The AB Portfolios—Wealth Strategies
The Adviser charges the Wealth Strategies 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 | |||||
Tax-Managed Wealth Appreciation Strategy | First $2.5 billion | 0.65 | % | |||
Wealth Appreciation Strategy | Next $2.5 billion | 0.55 | % | |||
Excess of $5 billion | 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 |
332 | • AB POOLING PORTFOLIOS |
SCB Overlay Portfolios
The SCB Overlay Portfolios invest in Multi-Asset Real Return Pooling Portfolio. The Adviser charges the SCB Overlay Portfolios an advisory fee based on a percentage of each fund’s average daily net assets:5
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% |
CollegeBoundfund
The Adviser serves as the program manager of the CollegeBoundfund (“CBF”), a 529 college-savings plan. Services provided by the Adviser as program manager for CBF 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.6 The shareholder servicing is provided by AB Investor Services (“ABIS”) and distribution by AB 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 the increase or decrease of the program management fee since the total expense ratio is constant.
5 | The Board of Directors of the SCB Fund approved the renewal of the investment advisory agreement of the SCB Overlay Portfolios on October 31, 2015. |
6 | 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. |
AB POOLING PORTFOLIOS • | 333 |
Education Strategies | Total Expense Ratio7 | |||
Age-Based Education Strategies 8 | ||||
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 2014-2016 | 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 | % |
7 | 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 advisor (“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. |
8 | For all Education Strategies that invest in the Pooling Portfolios held by Rhode Island resident accounts, which account for 5.88% of all accounts and 4.37% in terms of net assets as of March 31, 2016, the total expense ratio, which includes the blended underlying expense ratio related to the Pooling Portfolios, is capped at 0.20%. |
334 | • AB POOLING PORTFOLIOS |
The Portfolios’ net assets as of March 31, 2016 are as follows:
Portfolio | Net Assets 03/31/16 ($MM) | |||
U.S. Value Portfolio | $ | 322.3 | ||
U.S. Large Cap Growth Portfolio | $ | 324.1 | ||
Multi-Asset Real Return Portfolio | $ | 476.0 | ||
International Value Portfolio | $ | 270.5 | ||
International Growth Portfolio | $ | 271.7 | ||
Small-Mid Cap Value Portfolio | $ | 237.0 | ||
Small-Mid Cap Growth Portfolio | $ | 227.2 | ||
Volatility Management Portfolio | $ | 1,122.6 |
Set forth below are the most recent fiscal year-end total expense ratios of the Pooling Portfolios:
Portfolio | Fiscal Year End | Total Expense Ratio | ||||||
U.S. Value Portfolio | August 31 | 0.05 | % | |||||
U.S. Large Cap Growth Portfolio | August 31 | 0.05 | % | |||||
Multi-Asset Real Return Portfolio9,10 | August 31 | 0.07 | % | |||||
International Value Portfolio | August 31 | 0.08 | % | |||||
International Growth Portfolio | August 31 | 0.09 | % | |||||
Small-Mid Cap Value Portfolio | August 31 | 0.08 | % | |||||
Small-Mid Cap Growth Portfolio | August 31 | 0.09 | % |
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 at least 60 days’ notice prior to the Portfolio’s prospectus update. During the Portfolio’s most recently 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:
Portfolio | Expense Cap Pursuant to Expense Limitation Undertaking | Gross Expense Ratio | Fiscal Year End | |||||
Volatility Management Portfolio9,11 | 0.15% | 0.05 | % | August 31 |
9 | 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. |
10 | The Portfolio’s current exposure to ETFs is 5.30% of the Fund’s average net assets. The Portfolio’s underlying expense ratio related to the ETF holdings is 0.0139%. |
11 | The Portfolio’s current exposure to ETFs is 4.57% of the Fund’s average net assets. The Portfolio’s underlying expense ratio related to the ETF holdings is 0.0128%. |
AB POOLING PORTFOLIOS • | 335 |
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, although the Adviser is generally reimbursed for providing some of these services. 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, 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
336 | • AB POOLING PORTFOLIOS |
the Portfolio.12 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, 2016 net assets, although the Portfolios are not charged an advisory fee by the Adviser.13
Portfolio | Portfolio Net Assets ($MIL) | AB Institutional (Inst.) Fee Schedule | Effective Fee (%) | |||||
U.S. Value Portfolio | $322.3 | 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: $25m | 0.339% | |||||
U.S. Large Cap Growth Portfolio | $324.1 | 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: $25m | 0.350% | |||||
Multi-Asset Real Return Portfolio | $476.0 | Real Asset Strategy 0.75% on 1st $150 million 0.60% on next $150 million 0.50% on the balance Minimum Account Size: $150m | 0.610% | |||||
International Value Portfolio | $270.5 | 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: $25m | 0.474% | |||||
International Growth Portfolio | $271.7 | International Growth Trends 0.85% on 1st $25 million 0.65% on next $25 million 0.55% on next $50 million 0.45% on the balance Minimum Account Size: $25m | 0.524% |
12 | 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. |
13 | The Adviser has indicated that with respect to institutional accounts with assets greater than $300 million, it will negotiate a fee schedule. Discounts that are negotiated vary based upon each client relationship. |
AB POOLING PORTFOLIOS • | 337 |
Portfolio | Portfolio Net Assets 03/31/16 ($MIL) | AB Institutional (Inst.) Fee Schedule | Effective AB Inst. Advisory Fee (%) | |||||
Small-Mid Cap Value Portfolio | $237.0 | 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: $25m | 0.634% | |||||
Small-Mid Cap Growth Portfolio | $227.2 | 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: $25m | 0.638% | |||||
Volatility Management Portfolio | $1,122.6 | Volatility Management14 0.60% on 1st $50 million 0.50% on next $100 million 0.45% on the balance Minimum Account Size: None | 0.461% |
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 of the Portfolios had the fee schedules of the ABMF/AVPS funds been applicable to the Portfolios based on the Portfolios’ March 31, 2016 net assets:
Portfolio | ABMF/AVPS Portfolio | Fee Schedule | ABMF/ AVPS | |||||
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% |
14 | For stand-alone investment (Collective Investment Trust) only. |
338 | • AB POOLING PORTFOLIOS |
Portfolio | ABMF/AVPS Portfolio | Fee Schedule | ABMF/ AVPS | |||||
Multi-Asset Real Return Portfolio | AB All Market Real Return | 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 | AB Discovery Growth Fund, Inc. | 0.75% on first $500 million 0.65% on next $500 million 0.55% on the balance | 0.750% | |||||
Volatility Management Portfolio | N/A | N/A | N/A |
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.
Portfolio | SCB Fund Portfolio | Fee Schedule | SCB Fund Effective Fee (%) | |||||
International Value Portfolio/ International Growth Portfolio15 | 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, 2016. | 0.875%16 |
15 | 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. |
16 | The SCB Fund effective fee of 0.875% includes the five basis points advisory fee waiver. |
AB POOLING PORTFOLIOS • | 339 |
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 have a somewhat similar investment style as U.S. Large Cap Portfolio and Multi-Asset Real Return Portfolio.
Portfolio | Luxembourg Fund | Fee17 | ||
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 of the sub-advised funds and the effective management fees of the sub-advisory relationships based on the Portfolios’ March 31, 2016 net assets.18
Portfolio | Sub-advised Fund | Sub-advised Fund Fee Schedule | Sub-advised Fund Eff. Mgmt. Fee (%) | |||||
U.S. Value Portfolio | Client #119,20 | AB Sub-Advisory Fee Schedule: 0.49% on the first $100 million 0.30% on the next $100 million 0.25% on the balance | 0.340% | |||||
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 | 0.281% |
17 | 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. |
18 | 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. |
19 | The client is an affiliate of the Adviser. |
20 | Assets are aggregated with other client portfolios for purposes of calculating the advisory fee. |
340 | • AB POOLING PORTFOLIOS |
Portfolio | Sub-advised Fund | Sub-advised Fund Fee Schedule | Sub-advised Fund Eff. Mgmt. Fee (%) | |||||
International Value Portfolio | Client #319,20 | 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 | 0.500% | |||||
Client #5 | AB Sub-Advisory Fee Schedule: 0.61% on the first $150 million 0.50% on the balance | 0.570% | ||||||
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 | 0.622% | ||||||
Small/Mid Cap Growth Portfolio | Client #7 | AB Sub-Advisory Fee Schedule: 0.45% on 1st $250 million 0.40% on next $250 million 0.35% on the balance | 0.450% | |||||
Volatility Management Portfolio | Client #8 | AB Sub-Advisory Fee Schedule: 0.18% on the first $500 million 0.15% on the next $1 billion 0.13% on the balance | 0.163% |
The services the Adviser provides pursuant to sub-advisory agreements are generally confined to the services related to the investment process; in other words, they are not as comprehensive as the services provided to the Portfolios by the Adviser. In addition, to the extent that certain of these sub-advisory relationships are with affiliates of the Adviser, the fee schedules may not reflect arm’s-length bargaining or negotiations.
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.21 In those Senior Officer Fee Evaluations,
21 | The Senior Officer Fee Evaluation was dated July 24, 2015 for the Retirement Strategies and the Wealth Strategies. The Senior Officer Fee Evaluation for the SCB Overlays Portfolios was dated October 7, 2015. |
AB POOLING PORTFOLIOS • | 341 |
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.22
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.23 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.
22 | 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. |
23 | 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. |
342 | • AB POOLING PORTFOLIOS |
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.24 An EU is a much broader group, consisting of all institutional classes of funds of the same classification/objective as the subject Portfolio.
The original EG of Volatility Management Portfolio had an insufficient number of peers. Consequently, Broadridge expanded the Portfolio’s EG to include peers that have a similar but not the same Lipper investment classification/objective. However, because Broadridge had expanded the Portfolio’s EG to include peers that have a similar but not the same Lipper investment classification/objective, under Broadridge’s standard guidelines, the Portfolio’s Expense Universe (“EU”) was also expanded to include the universes of those peers that have a similar but not the same Lipper investment classification/objective and load type as the Portfolio. The result of Broadridge’s analysis is set forth in the table below.25
Portfolio | Expense Ratio (%) | Broadridge EG Median (%) | Broadridge Group Rank | Broadridge EU Median (%) | Broadridge EU Rank | |||||||||||
U.S. Value Portfolio | 0.050 | 0.062 | 5/16 | 0.063 | 24/63 | |||||||||||
U.S. Large Cap Growth Portfolio | 0.050 | 0.054 | 7/15 | 0.054 | 58/120 | |||||||||||
Multi-Asset Real Return Portfolio | 0.067 | 0.064 | 10/17 | 0.133 | 24/75 | |||||||||||
International Value Portfolio | 0.079 | 0.123 | 4/14 | 0.125 | 9/29 | |||||||||||
International Growth Portfolio | 0.091 | 0.120 | 5/19 | 0.108 | 34/82 | |||||||||||
Small-Mid Cap Value Portfolio | 0.078 | 0.078 | 8/15 | 0.049 | 19/30 | |||||||||||
Small-Mid Cap Growth Portfolio | 0.087 | 0.080 | 12/17 | 0.068 | 51/80 | |||||||||||
Volatility Management Portfolio26 | 0.053 | 0.164 | 2/11 | 0.177 | 5/20 |
24 | 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. |
25 | The total expense ratios shown below were estimated by Lipper using rounded Form-NSAR data. To calculate an expense ratio, Lipper will divide a Portfolio’s expense amount by the Portfolio’s Form-NSAR average net assets, which is rounded to the nearest thousand. In contrast, the Adviser’s expense ratio is calculated using the Portfolio’s actual (unrounded) average net assets. |
26 | The Portfolio’s EG includes the Portfolio, five other Flexible Portfolio (“FX”) funds and five 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 • | 343 |
Based on this analysis, except for Multi-Asset Real Return Portfolio and Small-Mid Cap Growth Portfolio, whose total expense ratios are higher than their EG medians, and Small-Mid Cap Value Portfolio, whose total expense ratio is equal to its EG median, the total expense ratios of the Portfolios are lower than their respective EG medians. Except for Small-Mid Cap Value Portfolio and Small-Mid Cap Growth Portfolio, the expense ratios of the Portfolios are lower than their respective 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 of U.S. Large Cap Growth Portfolio, Multi-Asset Real Return Portfolio, International Value Portfolio, and International Growth Portfolio during calendar year 2015, relative to 2014.
The Adviser profits directly from any of the Portfolios that effect brokerage transactions through and pay commissions to the Adviser’s affiliate, Sanford C. Bernstein & Co., LLC and/or its U.K. affiliate, Sanford C. Bernstein Limited, collectively “SCB.” During the Portfolios’ most recently completed fiscal year, only Small-Mid Cap Growth Portfolio effected brokerage transactions with and paid commissions to SCB. In the ordinary course of business, SCB receives liquidity rebates from electronic communications networks (“ECNs”) derived from trading for its clients. The Adviser also receives certain soft dollar benefits from brokers that execute agency trades for its clients. These soft dollar benefits reduce the Adviser’s cost of doing business and increase its profitability.
344 | • AB POOLING PORTFOLIOS |
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 Deli’s study on advisory fees and various fund characteristics.27,28 The independent consultant first reiterated the results of his previous two dimensional comparison analysis (fund size and family size) with the Board of Trustees.29 The independent consultant then discussed the results of the regression model that was utilized to
27 | 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. Source: Deli, Daniel N. “Mutual Fund Advisory Contracts: An Empirical Investigation.” Journal of Finance, 57(1): 109-133 (2002). |
28 | 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. |
29 | 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. |
AB POOLING PORTFOLIOS • | 345 |
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 approximately $479 billion as of March 31, 2016, 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, rankings and quintiles of the Portfolios relative to their Broadridge Performance Group (“PG”) and Broadridge Performance Universe (“PU”)30 for the periods ended February 29, 2016.31,32
Portfolio | PG Median | PU Median | PG Rank | PU Rank | ||||||||||||||||
U.S. Value Portfolio | ||||||||||||||||||||
1 year | -10.63 | -11.65 | -11.56 | 7/16 | 27/62 | |||||||||||||||
3 year | 9.00 | 8.61 | 8.18 | 6/15 | 14/52 | |||||||||||||||
5 year | 8.10 | 8.73 | 8.33 | 10/13 | 23/39 | |||||||||||||||
10 year | 4.04 | 6.17 | 5.91 | 7/7 | 19/21 | |||||||||||||||
U.S. Large Cap Growth Portfolio | ||||||||||||||||||||
1 year | -1.65 | -5.19 | -6.75 | 2/15 | 6/118 | |||||||||||||||
3 year | 16.29 | 12.59 | 12.27 | 1/15 | 1/110 | |||||||||||||||
5 year | 12.22 | 10.96 | 10.78 | 3/13 | 16/86 | |||||||||||||||
10 year | 6.91 | 7.41 | 7.78 | 6/9 | 38/52 | |||||||||||||||
30 | A Portfolio’s PG/PU may not be necessarily be identical to its respective EG/EU. Funds with negative management fees are excluded from EGs/EUs but not necessarily from PGs/PUs. In addition, PGs/PUs only include funds of the same Lipper investment classification/objective as the Portfolios, in contrast to certain of the Portfolios’ EGs/EUs, which may include funds of similar but not the same investment classification/objective. |
31 | The Lipper investment classification/objective dictates the PG and PU throughout the life of each Portfolio even if the Portfolio had a different investment classification/objective at a different point in time. |
32 | The performance returns of the Portfolios and their peers are adjusted for expenses (gross up). Gross performance information is provided for Broadridge comparative purposes to account for the Portfolios’ relative low expenses compared to their Broadridge peers. |
346 | • AB POOLING PORTFOLIOS |
Portfolio | PG Median | PU Median | PG Rank | PU Rank | ||||||||||||||||
Multi-Asset Real Return Portfolio33 | ||||||||||||||||||||
1 year | -24.02 | -7.29 | -8.03 | 17/17 | 70/72 | |||||||||||||||
3 year | -11.71 | 3.07 | 3.08 | 14/14 | 49/49 | |||||||||||||||
5 year | -7.79 | 3.48 | 4.53 | 10/10 | 32/33 | |||||||||||||||
10 year | -2.17 | 5.59 | 5.55 | 8/8 | 17/17 | |||||||||||||||
International Value Portfolio | ||||||||||||||||||||
1 year | -14.67 | -14.45 | -14.38 | 8/14 | 16/28 | |||||||||||||||
3 year | 1.08 | 1.16 | 1.21 | 8/13 | 14/23 | |||||||||||||||
5 year | -1.57 | 0.65 | 0.65 | 11/12 | 17/18 | |||||||||||||||
10 year | -0.75 | 1.66 | 1.53 | 7/7 | 11/11 | |||||||||||||||
International Growth Portfolio | ||||||||||||||||||||
1 year | -14.16 | -13.11 | -12.65 | 14/19 | 61/81 | |||||||||||||||
3 year | -0.91 | 0.89 | 1.70 | 16/18 | 69/76 | |||||||||||||||
5 year | -1.75 | 1.60 | 2.24 | 16/17 | 63/66 | |||||||||||||||
10 year | -1.27 | 2.41 | 3.12 | 8/8 | 34/34 | |||||||||||||||
Small-Mid Cap Value Portfolio | ||||||||||||||||||||
1 year | -10.80 | -12.78 | -12.82 | 5/15 | 11/30 | |||||||||||||||
3 year | 8.45 | 9.13 | 8.84 | 10/14 | 14/24 | |||||||||||||||
5 year | 7.90 | 8.09 | 8.09 | 8/12 | 12/20 | |||||||||||||||
10 year | 7.63 | 7.53 | 6.47 | 3/7 | 4/13 | |||||||||||||||
Small-Mid Cap Growth Portfolio | ||||||||||||||||||||
1 year | -15.38 | -12.78 | -12.86 | 13/17 | 59/78 | |||||||||||||||
3 year | 6.39 | 8.08 | 8.02 | 12/16 | 50/68 | |||||||||||||||
5 year | 7.59 | 7.59 | 8.25 | 7/13 | 34/59 | |||||||||||||||
10 year | 8.59 | 7.47 | 7.59 | 1/9 | 4/32 | |||||||||||||||
Volatility Management Portfolio | ||||||||||||||||||||
1 year | -12.49 | -6.51 | -8.56 | 6/6 | 9/10 | |||||||||||||||
3 year | 4.82 | 3.22 | 1.34 | 2/4 | 2/6 | |||||||||||||||
5 year | 3.55 | 2.64 | 2.64 | 1/2 | 2/4 |
33 | 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 76 for information regarding Lipper classification changes. |
AB POOLING PORTFOLIOS • | 347 |
Set forth below are the 1, 3, 5, 10 year and since inception net performance returns of the Portfolios (in bold) versus their benchmarks.34 Portfolio and benchmark volatility and reward-to-variability ratio (“Sharpe Ratio”) information is also shown.35
Periods Ending February 29, 2016 Annualized Performance | ||||||||||||||||||||||||||||||||
Since Inception36 (%) | Annualized | Risk Period | ||||||||||||||||||||||||||||||
1 Year (%) | 3 Year (%) | 5 Year (%) | 10 Year (%) | Volatility (%) | Sharpe (%) | |||||||||||||||||||||||||||
U.S. Value Portfolio | -10.67 | 8.97 | 8.08 | 4.01 | 4.72 | 16.81 | 0.21 | 10 | ||||||||||||||||||||||||
Russell 1000 Value Index | -9.41 | 8.27 | 8.81 | 5.13 | 5.80 | 12.25 | 0.74 | 10 | ||||||||||||||||||||||||
Inception Date: May 20, 2005 | ||||||||||||||||||||||||||||||||
U.S. Large Cap Growth Portfolio | -1.70 | 16.25 | 12.19 | 6.88 | 8.21 | 16.45 | 0.39 | 10 | ||||||||||||||||||||||||
Russell 1000 Growth Index | -5.05 | 12.54 | 10.95 | 7.74 | 7.96 | 12.23 | 0.90 | 10 | ||||||||||||||||||||||||
Inception Date: May 20, 2005 | ||||||||||||||||||||||||||||||||
Multi-Asset Real Return Portfolio | -24.07 | -11.89 | -7.94 | -2.28 | -0.28 | 20.53 | -0.27 | 10 | ||||||||||||||||||||||||
MSCI AC World Commodity Producers Index | -28.15 | -13.48 | -11.61 | -1.43 | 1.38 | N/A | N/A | N/A | ||||||||||||||||||||||||
FTSE EPRA / NAREIT Developed RE Index – Gross Return | -7.75 | 3.88 | 6.24 | 4.08 | 6.01 | N/A | N/A | N/A | ||||||||||||||||||||||||
All Market Real Return Benchmark37 | -21.27 | -9.81 | -7.13 | -1.14 | 0.99 | 18.16 | -0.21 | 10 | ||||||||||||||||||||||||
Inception Date: May 20, 2005 | ||||||||||||||||||||||||||||||||
34 | The Adviser provided Portfolio and benchmark performance return information for periods through February 29, 2016. |
35 | Benchmark information related to volatility and Sharpe Ratio were either obtained through Lipper LANA, a database maintained by Lipper or calculated by the Senior Officer utilizing Lipper’s methodology. 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. |
36 | Benchmark inception performance is from the exact inception date. |
37 | 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. |
348 | • AB POOLING PORTFOLIOS |
Periods Ending February 29, 2016 Annualized Performance | ||||||||||||||||||||||||||||||||
Since Inception36 (%) | Annualized | Risk Period | ||||||||||||||||||||||||||||||
1 Year (%) | 3 Year (%) | 5 Year (%) | 10 Year (%) | Volatility (%) | Sharpe (%) | |||||||||||||||||||||||||||
International Value Portfolio38 | -14.73 | 1.02 | -1.62 | -0.81 | 1.81 | 21.05 | -0.15 | 10 | ||||||||||||||||||||||||
MSCI AC World Index ex U.S. | -17.37 | -2.20 | -1.29 | 1.43 | 3.61 | 15.12 | -0.01 | 10 | ||||||||||||||||||||||||
MSCI EAFE Index (Net) | -15.18 | 0.38 | 0.56 | 1.49 | 3.39 | N/A | N/A | N/A | ||||||||||||||||||||||||
Inception Date: May 20, 2005 | ||||||||||||||||||||||||||||||||
International Growth Portfolio | -14.24 | -0.96 | -1.80 | -1.33 | 0.65 | 19.07 | -0.03 | 10 | ||||||||||||||||||||||||
MSCI AC World Index ex U.S. Net | -17.37 | -2.20 | -1.29 | 1.43 | 3.61 | 15.12 | -0.01 | 10 | ||||||||||||||||||||||||
MSCI AC World Index ex U.S. Growth | -13.62 | -0.28 | 0.20 | 2.30 | 4.37 | N/A | N/A | N/A | ||||||||||||||||||||||||
MSCI EAFE Net Index | -15.18 | 0.38 | 0.56 | 1.49 | 3.39 | N/A | N/A | N/A | ||||||||||||||||||||||||
Inception Date: May 20, 2005 | ||||||||||||||||||||||||||||||||
Small-Mid Cap Value Portfolio | -10.86 | 8.38 | 7.84 | 7.57 | 8.21 | 20.36 | 0.44 | 10 | ||||||||||||||||||||||||
Russell 2500 Value Index | -12.06 | 5.69 | 6.85 | 5.26 | 6.39 | 14.27 | 0.53 | 10 | ||||||||||||||||||||||||
Inception Date: May 20, 2005 | ||||||||||||||||||||||||||||||||
Small-Mid Cap Growth Portfolio | -15.45 | 6.32 | 7.53 | 8.53 | 10.32 | 20.24 | 0.41 | 10 | ||||||||||||||||||||||||
Russell 2500 Growth Index | -14.65 | 8.10 | 7.80 | 6.65 | 8.08 | 16.11 | 0.54 | 10 | ||||||||||||||||||||||||
Inception Date: May 20, 2005 | ||||||||||||||||||||||||||||||||
Volatility Management Portfolio39 | -12.54 | 4.78 | 3.49 | N/A | 5.58 | 9.89 | 0.39 | 5 | ||||||||||||||||||||||||
MSCI AC World Index | -12.32 | 3.67 | 3.71 | N/A | 5.15 | 11.20 | 0.37 | 5 | ||||||||||||||||||||||||
Inception Date: April 16, 2010 |
CONCLUSION:
The Senior Officer recommended that the Trustees continue its discussion with the Adviser regarding the impact of the loss of the CollegeBoundfund business on the Portfolios.
38 | On January 1, 2012, the Portfolio’s benchmark changed from MSCI EAFE Net Index to MSCI AC World Index ex U.S. |
39 | On January 1, 2012, the Portfolio’s benchmark changed from S&P 500 Index to MSCI AC World Index. |
AB POOLING PORTFOLIOS • | 349 |
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: June 2, 2016
350 | • 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
FIXED INCOME (continued)
Municipal Bond Inflation Strategy
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
Income Fund
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 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 Wealth Appreciation Strategy
CLOSED-END FUNDS
AB Multi-Manager Alternative Fund
Alliance California Municipal Income Fund
AllianceBernstein Global High Income Fund
AllianceBernstein National Municipal Income Fund
We also offer Government Exchange Reserves, which serves as the money market fund exchange vehicle for the AB mutual funds. An investment in Government 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.abfunds.com or contact your AB representative. Please read the prospectus and/or summary prospectus carefully before investing.
AB POOLING PORTFOLIOS • | 351 |
AB Family of Funds
NOTES
352 | • AB POOLING PORTFOLIOS |
AB POOLING PORTFOLIOS
1345 Avenue of the Americas
New York, NY 10105
800.221.5672
POOL-0151-0816
ITEM 2. | CODE OF ETHICS. |
(a) The registrant has adopted a code of ethics that applies to its principal executive officer, principal financial officer and principal accounting officer. A copy of the registrant’s code of ethics is filed herewith as Exhibit 12(a)(1).
(b) During the period covered by this report, no material amendments were made to the provisions of the code of ethics adopted in 2(a) above.
(c) During the period covered by this report, no implicit or explicit waivers to the provisions of the code of ethics adopted in 2(a) above were granted.
ITEM 3. | AUDIT COMMITTEE FINANCIAL EXPERT. |
The registrant’s Board of Directors has determined that independent director. William H. Foulk, Jr., Garry L. Moody and Marshall C. Turner, Jr. qualify as audit committee financial experts.
ITEM 4. | PRINCIPAL ACCOUNTANT FEES AND SERVICES. |
(a) - (c) The following table sets forth the aggregate fees billed by the independent registered public accounting firm Ernst & Young LLP for the Fund’s last two fiscal years, for professional services rendered for: (i) the audit of the Fund’s annual financial statements included in the Fund’s annual report to stockholders; (ii) assurance and related services that are reasonably related to the performance of the audit of the Fund’s financial statements and are not reported under (i), which include advice and education related to accounting and auditing issues, quarterly press release review (for those Funds that issue quarterly press releases), and preferred stock maintenance testing (for those Funds that issue preferred stock); and (iii) tax compliance, tax advice and tax return preparation.
Audit Fees | Audit-Related Fees | Tax Fees | ||||||||||||||
AB U.S. Value Portfolio | 2015 | $ | 28,620 | $ | — | $ | 16,888 | |||||||||
2016 | $ | 29,462 | $ | — | $ | 18,177 | ||||||||||
AB U.S. Large Cap Growth Portfolio | 2015 | $ | 28,620 | $ | — | $ | 16,863 | |||||||||
2016 | $ | 29,462 | $ | — | $ | 18,133 | ||||||||||
AB Multi-Asset Real Return | 2015 | $ | 67,844 | $ | — | $ | 26,338 | |||||||||
2016 | $ | 69,839 | $ | — | $ | 40,676 | ||||||||||
AB International Value Portfolio | 2015 | $ | 40,204 | $ | — | $ | 40,930 | |||||||||
2016 | $ | 41,386 | $ | — | $ | 28,700 | ||||||||||
AB International Growth Portfolio | 2015 | $ | 40,204 | $ | — | $ | 29,950 | |||||||||
2016 | $ | 41,386 | $ | — | $ | 29,431 | ||||||||||
AB Short Duration Bond Portfolio | 2015 | $ | 36,183 | $ | — | $ | 15,251 | |||||||||
2016 | $ | 37,247 | $ | — | $ | 16,527 | ||||||||||
AB Global Core Bond Portfolio | 2015 | $ | 43,219 | $ | — | $ | 12,647 | |||||||||
2016 | $ | 44,490 | $ | — | $ | 16,524 | ||||||||||
AB Inflation Protected Securities Portfolio | 2015 | $ | 60,473 | $ | — | $ | 14,703 | |||||||||
2016 | $ | 62,252 | $ | — | $ | 16,003 | ||||||||||
AB High Yield Portfolio | 2015 | $ | 110,811 | $ | — | $ | 24,027 | |||||||||
2016 | $ | — | $ | — | $ | 25,461 | ||||||||||
AB Small Mid-Cap Value Portfolio | 2015 | $ | 32,551 | $ | — | $ | 13,976 | |||||||||
2016 | $ | 33,508 | $ | — | $ | 21,841 | ||||||||||
AB Small Mid-Cap Growth Portfolio | 2015 | $ | 28,620 | $ | — | $ | 13,976 | |||||||||
2016 | $ | 29,462 | �� | $ | — | $ | 18,550 | |||||||||
AB Volatility Management | 2015 | $ | 68,514 | $ | — | $ | 40,216 | |||||||||
2016 | $ | 70,529 | $ | — | $ | 41,044 |
(d) Not applicable.
(e) (1) Beginning with audit and non-audit service contracts entered into on or after May 6, 2003, the Fund’s Audit Committee policies and procedures require the pre-approval of all audit and non-audit services provided to the Fund by the Fund’s independent registered public accounting firm. The Fund’s Audit Committee policies and procedures also require pre-approval of all audit and non-audit services provided to the Adviser and Service Affiliates to the extent that these services are directly related to the operations or financial reporting of the Fund.
(e) (2) All of the amounts for Audit Fees, Audit-Related Fees and Tax Fees in the table under Item 4 (a) – (c) are for services pre-approved by the Fund’s Audit Committee.
(f) Not applicable.
(g) The following table sets forth the aggregate non-audit services provided to the Fund, the Fund’s Adviser and entities that control, are controlled by or under common control with the Adviser that provide ongoing services to the Fund:
All Fees for Non-Audit Services Provided to the Portfolio, the Adviser and Service Affiliates | Total Amount of Foregoing Column Pre- approved by the Audit Committee (Portion Comprised of Audit Related Fees) (Portion Comprised of Tax Fees) | |||||||||||
AB U.S. Value Portfolio | 2015 | $ | 355,138 | $ | 16,888 | |||||||
$ | — | |||||||||||
$ | (16,888 | ) | ||||||||||
2016 | $ | 275,722 | $ | 18,177 | ||||||||
$ | — | |||||||||||
$ | (18,177 | ) | ||||||||||
AB U.S. Large Cap Growth Portfolio | 2015 | $ | 355,113 | $ | 16,863 | |||||||
$ | — | |||||||||||
$ | (16,863 | ) | ||||||||||
2016 | $ | 275,678 | $ | 18,133 | ||||||||
$ | — | |||||||||||
$ | (18,133 | ) | ||||||||||
AB Multi-Asset Real Return | 2015 | $ | 525,165 | $ | 26,338 | |||||||
$ | — | |||||||||||
$ | (26,338 | ) | ||||||||||
2016 | $ | 298,221 | $ | 40,676 | ||||||||
$ | — | |||||||||||
$ | (40,676 | ) | ||||||||||
AB International Value Portfolio | 2015 | $ | 379,180 | $ | 40,930 | |||||||
$ | — | |||||||||||
$ | (40,930 | ) | ||||||||||
2016 | $ | 286,245 | $ | 28,700 | ||||||||
$ | — | |||||||||||
$ | (28,700 | ) | ||||||||||
AB International Growth Portfolio | 2015 | $ | 368,200 | $ | 29,950 | |||||||
$ | — | |||||||||||
$ | (29,950 | ) | ||||||||||
2016 | $ | 286,976 | $ | 29,431 | ||||||||
$ | — | |||||||||||
$ | (29,431 | ) | ||||||||||
AB Short Duration Bond Portfolio | 2015 | $ | 353,501 | $ | 15,251 | |||||||
$ | — | |||||||||||
$ | (15,251 | ) | ||||||||||
2016 | $ | 274,072 | $ | 16,527 | ||||||||
$ | — | |||||||||||
$ | (16,527 | ) | ||||||||||
AB Global Core Bond Portfolio | 2015 | $ | 511,474 | $ | 12,647 | |||||||
$ | — | |||||||||||
$ | (12,647 | ) | ||||||||||
2016 | $ | 274,069 | $ | 16,524 | ||||||||
$ | — | |||||||||||
$ | (16,524 | ) | ||||||||||
AB Inflation Protected Securities Portfolio | 2015 | $ | 352,953 | $ | 14,703 | |||||||
$ | — | |||||||||||
$ | (14,703 | ) | ||||||||||
2016 | $ | 273,548 | $ | 16,003 | ||||||||
$ | — | |||||||||||
$ | (16,003 | ) | ||||||||||
AB High Yield Portfolio | 2015 | $ | 362,277 | $ | 24,027 | |||||||
$ | — | |||||||||||
$ | (24,027 | ) | ||||||||||
2016 | $ | 283,006 | $ | 25,461 | ||||||||
$ | — | |||||||||||
$ | (25,461 | ) | ||||||||||
AB Small Mid-Cap Value Portfolio | 2015 | $ | 484,851 | $ | 13,976 | |||||||
$ | — | |||||||||||
$ | (13,976 | ) | ||||||||||
2016 | $ | 279,386 | $ | 21,841 | ||||||||
$ | — | |||||||||||
$ | (21,841 | ) | ||||||||||
AB Small Mid-Cap Growth Portfolio | 2015 | $ | 512,803 | $ | 13,976 | |||||||
$ | — | |||||||||||
$ | (13,976 | ) | ||||||||||
2016 | $ | 276,095 | $ | 18,550 | ||||||||
$ | — | |||||||||||
$ | (18,550 | ) | ||||||||||
AB Volatility Management | 2015 | $ | 378,466 | $ | 40,216 | |||||||
$ | — | |||||||||||
$ | (40,216 | ) | ||||||||||
2016 | $ | 298,589 | $ | 41,044 | ||||||||
$ | — | |||||||||||
$ | (41,044 | ) |
(h) The Audit Committee of the Fund has considered whether the provision of any non-audit services not pre-approved by the Audit Committee provided by the Fund’s independent registered public accounting firm to the Adviser and Service Affiliates is compatible with maintaining the auditor’s independence.
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 significant changes in the registrant’s internal controls over financial reporting during the second fiscal quarter of the period that could significantly affect these controls subsequent to the date of their evaluation, including any corrective actions with regard to significant deficiencies and material weaknesses.
ITEM 12. | EXHIBITS. |
The following exhibits are attached to this Form N-CSR:
EXHIBIT | DESCRIPTION OF EXHIBIT | |
12 (a) (1) | Code of Ethics that is subject to the disclosure of Item 2 hereof | |
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: | October 31, 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: | October 31, 2016 | |
By: | /s/ Joseph J. Mantineo | |
Joseph J. Mantineo | ||
Treasurer and Chief Financial Officer | ||
Date: | October 31, 2016 |