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, 2017
Date of reporting period: February 28, 2017
ITEM 1. | REPORTS TO STOCKHOLDERS. |
FEB 02.28.17
SEMI-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.
April 13, 2017
Semi-Annual Report
This report provides management’s discussion of fund performance for the AB Pooling Portfolios (collectively, the “Portfolios”; individually, the “Portfolio”) for the semi-annual reporting period ended February 28, 2017.
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 Portfolios delivered securities in kind, cash and receivables to certain AB mutual funds as of the following dates: U.S. Value, U.S. Large Cap Growth, Small-Mid Cap Value and Small-Mid Cap Growth Portfolios on March 3, 2017; International Value and International Growth Portfolios on March 10, 2017; Multi-Asset Real Return Portfolio on March 17, 2017; Short Duration Bond Portfolio on March 28, 2017; Bond Inflation Protection Portfolio on March 29, 2017; and Global Core Bond Portfolio on March 30, 2017.
The tables on pages 23-26 show each Portfolio’s performance for the six- and 12-month periods ended February 28, 2017, compared to their respective benchmarks. Additional performance can be found on pages 27-29.
Market Review
Global equities rose during the six-month period ended February 28, 2017. US stocks outperformed,
while emerging-market and international equities both delivered solid results.
In fixed-income markets, global bonds decreased in absolute terms (bond yields move inversely to price). Although emerging-market local-currency government bonds posted negative returns in the period, they outperformed developed-market treasuries that, in turn, finished just ahead of investment-grade credit securities. Global high yield rallied in the period. Developed-market yields rose across the board, while elsewhere they generally fell along the short end of the curve.
US President Donald Trump’s unexpected election victory and first forays into governing strongly impacted markets. Initial speculation over economic and trade policy changes—as well as inflation—was somewhat overshadowed by a new US travel ban. By the end of the period, questions remained regarding how the president and Congress would approach fiscal stimulus, tax reform and deregulation, yet optimism continued.
Markets were also influenced by central bank measures. The European Central Bank surprised markets in early December with its decision to reduce the monthly pace of its asset purchase program, though investors were mollified by its pledge for a “sustained presence” in euro-area markets. In
AB POOLING PORTFOLIOS • | 1 |
contrast, the US Federal Reserve raised official rates in December and signaled a drastic increase in the likelihood of a rate hike in March.
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 outperformed its benchmark, the Russell 1000 Value Index, for the six-month period, but underperformed for the 12-month period ended February 28, 2017.
For the six-month period, sector selection drove the outperformance relative to the benchmark because of underweights in the real estate and consumer staples sectors, which were negatively impacted by rising interest rates. In contrast, an overweight in consumer discretionary detracted. Security selection did not have a meaningful impact on returns. While security selection within industrials and telecommunications contributed, these gains were offset by security selection in energy and health care.
For the 12-month period, security selection was the main source
2 | • AB POOLING PORTFOLIOS |
of underperformance, particularly within the energy, materials and health care sectors. An overweight in consumer discretionary and underweight in energy also detracted. In contrast, underweights in real estate and consumer staples, along with an overweight in information technology, contributed to returns.
The Portfolio did not utilize derivatives during the six- or 12-month periods.
U.S. Large Cap Growth Portfolio
Investment Objective and Policies
The Portfolio’s investment objective is long-term growth of capital. The Portfolio invests primarily in equity securities of a limited number of large, carefully selected, high quality US companies. The Portfolio invests primarily in the domestic equity securities of companies selected by the Adviser for their growth potential within various market sectors. The Portfolio emphasizes investments in large, seasoned companies.
Under normal circumstances, the Portfolio invests at least 80% of its net assets in equity securities of large-capitalization US companies. For these purposes, “large-capitalization companies” are those that, at the time of investment, have market capitalizations within the range of market capitalizations of 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 February 28, 2017.
For the six-month period, security selection in the consumer staples, consumer discretionary and industrials sectors and an overweight position in the health care sector detracted, relative to the benchmark. Security selection in the technology and health care
AB POOLING PORTFOLIOS • | 3 |
sectors and an overweight position in the technology sector contributed to performance.
For the 12-month period, security selection in the consumer discretionary, consumer staples and industrials sectors, as well as an underweight position in the financials sector, detracted from returns. Security selection within the technology and health care sectors contributed. An overweight position in the technology sector and underweights in the consumer staples and real estate sectors also had a positive impact on performance.
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.
4 | • AB POOLING PORTFOLIOS |
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 Morgan Stanley Capital International All Country World Index (“MSCI ACWI”) ex-US, for the six- and 12-month periods ended February 28, 2017.
For the six-month period, security selection was positive, with stock selection in technology, transportation and capital equipment contributing to returns, relative to the benchmark. Underweights to
medical, construction & housing and consumer staples also contributed. In contrast, security selection in industrial commodities, along with an overweight in telecommunications and underweight in financials, detracted from returns. Country selection (a result of bottom-up stock analysis combined with fundamental research) also benefited returns because of an overweight to Japan and an underweight to South Africa, although the Portfolio’s cash position weighed on performance.
For the 12-month period, security selection was the main source of outperformance, particularly within the technology, capital equipment and financials sectors. Underweights to medical and consumer cyclicals, as well as an overweight to energy, also benefited returns. In contrast, overweights in transportation and telecommunications, and security selection in energy detracted. Country allocation also detracted, due to an underweight to China and cash positions. However, an underweight to South Africa and overweight to Brazil contributed to returns.
The Portfolio utilized derivatives including futures for investment purposes, which added to absolute returns during both periods. Foreign currency forwards for hedging and investment purposes added during the six-month period and detracted during the 12-month period.
AB POOLING PORTFOLIOS • | 5 |
International Growth Portfolio
Investment Objective and Policies
The Portfolio’s investment objective is long-term growth of capital. The Portfolio invests primarily in an international portfolio of companies selected by the Adviser whose growth potential appears likely to outpace market expectations. The Adviser’s growth analysts use proprietary research to seek to identify companies that grow while creating a significant amount of “economic value”. These companies typically exhibit solid, durable growth; strong, sustainable competitive advantages; high return on invested capital; and robust free cash flow.
The Portfolio invests, under normal circumstances, in the equity securities of companies located in at least three countries (and normally substantially more) other than the United States. The Portfolio invests in securities of companies in both developed and emerging-market countries. Geographic distribution of the Portfolio’s investments among countries or regions also will be a product of the stock selection process rather than a pre-determined allocation. The Portfolio may also invest in synthetic foreign equity securities, which are types of warrants used internationally that entitle a holder to buy or sell underlying securities. The Adviser expects that normally the Portfolio’s portfolio will tend to emphasize investments in larger capitalization companies.
Currencies can have a dramatic impact on equity returns, significantly adding to returns in some years and greatly diminishing them in others. Currency and equity positions are evaluated separately. The Adviser may seek to hedge the currency exposure resulting from securities positions when it finds the currency exposure unattractive. To hedge a portion of its currency risk, the Portfolio may from time to time invest in currency-related derivatives, including forward currency exchange contracts, futures contracts, options on futures contracts, swaps and options. The Adviser may also seek investment opportunities by taking long or short positions in currencies through the use of currency-related derivatives.
The Portfolio may enter into derivatives transactions, such as options, futures contracts, forwards and swaps. The Portfolio may use options strategies involving the purchase and/or writing 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.
6 | • AB POOLING PORTFOLIOS |
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 MSCI ACWI ex-US, for the six- and 12-month periods ended February 28, 2017.
For the six-month period, security selection was the main source of underperformance relative to the benchmark, particularly in the financials, consumer discretionary and industrials sectors. An overweight in health care and underweight in materials also detracted. In contrast, security selection in energy and real estate, as well as underweights in telecommunications and utilities, benefited returns. Country allocation (a result of bottom-up stock analysis combined with fundamental research) detracted because of an overweight to India and an underweight to Japan. However, an overweight to France and underweight to Israel benefited returns.
For the 12-month period, security selection in materials, financials and consumer discretionary detracted, as did an overweight in health care and underweight to materials. Helping returns was an overweight in technology and underweight in
telecommunications, along with security selection in health care. Country allocation did not have a meaningful impact on returns, as the Portfolio’s cash position and underweight to Brazil detracted and offset the positive contribution from an underweight to Japan.
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 added 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.
AB POOLING PORTFOLIOS • | 7 |
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 February 28, 2017.
During the six-month period, sector selection drove performance relative to the benchmark, helped most by an exposure to inflation-linked securities. The Portfolio’s
allocations to asset-backed securities and investment-grade corporates were similarly positive. Yield-curve positioning detracted modestly, as rates increased across the curve. The Portfolio’s overweight was evenly spread across the curve, so the positioning effect was minimal.
During the 12-month period, sector selection drove the performance, helped most by a beneficial exposure to investment-grade corporates. Allocations to asset-backed securities and commercial mortgage-backed securities (“CMBS”) were also positive. Yield-curve positioning was a detractor due to the Portfolio’s longer-than-benchmark duration, as rates moved upward over the period. There was a small negative positioning effect from overweights to two- and five-year maturities where rates sold off more than the shortest part of the curve.
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 duration, country exposure and yield-curve positioning.
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.
8 | • AB POOLING PORTFOLIOS |
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 February 28, 2017.
During the six-month period, sector allocation contributed to performance, relative to the benchmark. An overweight position in US investment-grade corporates, underweight in US agency mortgages and exposure to US and Japanese inflation-linked securities all proved beneficial. An overweight in Canadian sovereign agencies took back some of these gains. Security selection also had a positive impact on performance, as profits from selections within US investment-grade corporates outweighed losses from selections in eurozone treasuries. Currency allocation contributed, helped most by a long position in the Mexican peso and shorts in the Singapore dollar and euro. A long position in the Swedish krona detracted. Although country and yield-curve positioning did not have a significant effect on overall performance in the period, there were some positions of note. The Portfolio’s positioning along the US and Canadian yield curves were positive, while UK and eurozone yield-curve positioning detracted.
AB POOLING PORTFOLIOS • | 9 |
During the 12-month period, sector allocation contributed to performance. An overweight position in US investment-grade corporates and underweights in US agency mortgages and US Treasuries all helped returns. Underweights to UK and eurozone investment-grade corporates offset some of these gains. Security selection also had a positive impact because of selections within US investment-grade corporates. Country allocation (a result of bottom-up security analysis combined with fundamental research) contributed as well, primarily from an underweight position in Japan and overweight in the UK. The Portfolio’s yield-curve positioning was modestly positive, because of several small contributors across a range of curve positions. Currency allocation contributed similarly, as gains from a short position in the euro and longs in the Russian ruble and Mexican peso offset losses from a long in the Swedish krona and short in the Japanese yen.
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 linked to these securities. As noted above, the Portfolio may invest in derivatives, such as options, futures contracts, forwards
10 | • AB POOLING PORTFOLIOS |
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 February 28, 2017.
In the six-month period, currency allocation contributed to performance, relative to the benchmark. Short positions in the Singapore dollar and Mexican peso and a long in the Colombian peso all had a positive impact on returns. A short in the Australian dollar took back some of these gains, as the currency rallied on the increase in commodity prices. Sector selection also contributed, helped most by the Portfolio’s positions within investment-grade corporates, agency risk-sharing transactions and high-yield corporates.
In the 12-month period, sector allocation contributed to returns, helped by allocations to corporates (both investment-grade and high-yield) and agency risk-sharing transactions. Currency investments boosted performance as well. The Portfolio’s short position in the British pound and longs in the Singapore dollar and Colombian peso added to returns and outweighed losses from a short in the Taiwan new dollar and long in the Australian dollar.
During both periods, TIPS returns were positive, while US Treasury yields rose. TIPS outperformed Treasuries in both periods, as oil and commodity prices broadly increased, helped by a deal struck by OPEC in late 2016 to limit crude production. In the 12-month period, US crude supply output declined and production was stunted globally because of fires in the Canadian oil sands, attacks on Nigerian pipelines, outages in Venezuela and export troubles in Libya, all of which contributed to a rise in oil prices.
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, interest rate and CPI swaps, as well as interest rate swaptions were utilized to manage
AB POOLING PORTFOLIOS • | 11 |
duration, inflation protection, country exposure and yield-curve positioning. Equity options were utilized to manage market exposure.
Small-Mid Cap Value Portfolio
Investment Objective and Policies
The Portfolio’s investment objective is long-term growth of capital. The Portfolio invests primarily in a diversified portfolio of equity securities of small- to mid-capitalization US companies. Under normal circumstances, the Portfolio invests at least 80% of its net assets in small- to mid-capitalization companies. For purposes of this policy, small- to mid-capitalization companies are those that, at the time of investment, fall within the capitalization range between the smallest company appearing in the Russell 2500 Value Index and the greater of $5 billion or the market capitalization of the largest company in the Russell 2500 Value Index. The Portfolio may invest in securities issued by non-US companies and enter into forward commitments.
The Portfolio may enter into derivatives transactions, such as options, futures contracts, forwards and swaps. The Portfolio may use options strategies involving the purchase and/or writing of various combinations of call and/or put options, including on individual securities and stock indices, futures contracts (including futures contracts on individual securities and stock indices) or shares of ETFs. These transactions may be used,
for example, in an effort to earn extra income, to adjust exposure to individual securities or markets, or to protect all or a portion of the Portfolio’s portfolio from a decline in value, sometimes within certain ranges.
The Portfolio may, at times, invest in shares of ETFs in lieu of making direct investments in securities. ETFs may provide more efficient and economical exposure to the types of companies and geographic locations in which the Portfolio seeks to invest than direct investments.
Investment Results
The Portfolio outperformed its benchmark, the Russell 2500 Value Index, for the six- and 12-month periods ended February 28, 2017.
For the six-month period, security selection in the industrials, financials and technology sectors contributed to performance, relative to the benchmark. Underweight positions in the real estate and consumer staples sectors and an overweight in technology also contributed to returns. Security selection in the energy, consumer discretionary and real estate sectors and an underweight position in financials detracted from performance.
For the 12-month period, security selection in the technology, industrials and financials sectors, as well as underweight positions in real estate, consumer staples and telecommunications, contributed to
12 | • AB POOLING PORTFOLIOS |
performance. Security selection within the energy, health care and materials sectors detracted. An overweight position in the consumer discretionary sector and an underweight in financials also had a negative impact on performance.
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. 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 estab-
lished 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.
AB POOLING PORTFOLIOS • | 13 |
Investment Results
The Portfolio outperformed its benchmark, the Russell 2500 Growth Index, for the six-month period and underperformed for the 12-month period ended February 28, 2017.
For the six-month period, stock selection contributed in the health care and financials sectors, relative to the benchmark. In health care, biopharmaceutical holdings boosted performance. Stock selection in consumer cyclicals and commercial services was negative. Stock selection in technology also detracted, negatively impacted by software holdings.
For the 12-month period, stock selection in the technology sector was the largest detractor. Software as a group underperformed the broader market despite solid earnings releases in the most recent period. Semiconductors materially outperformed software since semiconductors are more highly correlated with GDP growth; the Portfolio’s overweight in software therefore detracted. Security selection contributed in the health care sector, helped by the Portfolio’s positioning and holdings in biopharmaceuticals.
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.
14 | • AB POOLING PORTFOLIOS |
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.
Investment Results
The Portfolio underperformed its benchmark, the MSCI All Country (“AC”) World Commodity
Producers Index, for the six- and 12-month periods ended February 28, 2017.
During the six-month period, underperformance relative to the benchmark was driven largely by strategic allocations to global real estate investment trusts (“REITs”) and commodity futures. REITs had negative absolute performance driven by the yield sell-off in the fourth calendar quarter of 2016 and detracted versus the benchmark. Commodity futures had positive absolute performance, but lagged the benchmark. The allocation to diversified inflation equities since December 2016 outperformed commodity producers in the first two months of 2017. An overweight position in energy, CPI swaps and security selection across commodity producers, commodity futures and REITs contributed to performance.
During the 12-month period, the underperformance was driven mainly by strategic allocations to global REITS and commodity futures, both of which had positive absolute performance but lagged the benchmark. As in the six-month period, the strategic allocation to diversified inflation equities since December 2016 outperformed commodity producers in the first two months of 2017. An overweight to energy, CPI swaps and security selection in commodity producers and commodity futures added to performance, while security selection in REITs detracted.
AB POOLING PORTFOLIOS • | 15 |
The Portfolio utilized derivatives for hedging and investment purposes in the form of currency forwards, total return swaps, inflation (CPI) swaps and written options, which added to absolute returns during both periods; Treasury futures detracted for the six-month period and added during the 12-month period, while interest rate swaps added during the six-month period, but detracted in the 12-month period, and purchased options 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 in seeking 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, REITs and other real estate-related securities, currencies and inflation-indexed securities.
To effectuate the Portfolio’s dynamic, opportunistic asset allocation approach, the Adviser may invest in derivatives or ETFs rather than investing directly in equity securities. The Portfolio may use index futures or ETFs, for example, to gain broad exposure to a particular segment of the market, while buying representative equity securities to achieve exposure to another. The Adviser will choose investments, in each case, based on concerns of cost and efficiency of access. The Portfolio’s holdings may be frequently adjusted to reflect the Adviser’s assessment of changing risks. The Adviser believes that these adjustments can also frequently be made efficiently and economically through the use of derivatives strategies and/or ETFs. Similarly, when the Adviser decides to reduce (or eliminate) the Portfolio’s exposure to the equity markets, the Adviser may choose to gain this alternative exposure directly through securities purchases or indirectly through derivatives transactions and/or ETFs. The asset classes selected may or may not be represented by the holdings of other of the Pooling Portfolios, because
16 | • AB POOLING PORTFOLIOS |
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 February 28, 2017.
Tactical shifts in equities (underweights to US and international developed markets) detracted from performance over both periods, relative to the benchmark. However, while regional decisions to overweight emerging-market equities detracted from performance over the six-month period, the overweight positions contributed to performance over the longer-term 12-month period. Allocations to global REITs detracted from performance for both periods.
The Portfolio was slightly underweight equity and remained invested in global bonds and cash over the 12-month period in response to early and mid-2016 volatility spikes, most notably the move to negative policy rates by the Bank of Japan and the unexpected outcome of the vote on the UK’s continuing membership in the European Union. Although underweight to US and international developed market equities, the Portfolio remained slightly overweight emerging-markets equities and the Portfolio’s allocation to global bonds was reduced over the 12-month period. In addition, 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.
The Portfolio utilized derivatives for hedging and investment purposes including total return swaps, which added to absolute returns during both periods; Treasury futures and purchased options added during the six-month period and detracted during the 12-month period; currency forwards detracted during both periods, while written options added during the 12-month period.
AB POOLING PORTFOLIOS • | 17 |
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 Financial Times Stock Exchange European Public Real Estate Association/National Association of Real Estate Investment Trusts (“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)
18 | • 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 value or growth, 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 • | 19 |
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. The Portfolios may be subject to heightened interest rate risk due to rising rates as the current period of historically low interest rate rates may be ending. 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
(Disclosures, Risks and Note about Historical Performance continued on next page)
20 | • AB POOLING PORTFOLIOS |
Disclosures and Risks
DISCLOSURES AND RISKS
(continued from previous page)
money. As inflation increases, the value of each Portfolio’s assets can decline as can the value of each Portfolio’s distributions. This risk is significantly greater for fixed-income securities with longer maturities. Although the 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.
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 and heavy redemptions of Portfolio Shares. Over recent years liquidity risk has also increased because the capacity of dealers in the secondary market for fixed-income securities to make markets in these securities has decreased, even as the overall bond market has grown significantly, due to, among other things, structural changes, additional regulatory requirements and capital and risk restraints that have led to reduced inventories. 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.
(Disclosures, Risks and Note about Historical Performance continued on next page)
AB POOLING PORTFOLIOS • | 21 |
Disclosures and Risks
DISCLOSURES AND RISKS
(continued from previous page)
Multi-Asset Real Return Portfolio, Volatility Management Portfolio
Commodity Risk: Investments in commodities and commodity-linked derivative instruments, either directly or through the Subsidiary, may subject the Portfolios to greater volatility than investments in traditional securities. The value of commodity-linked derivative instruments may be affected by changes in overall market movements, commodity index volatility, changes in interest rates, or factors affecting a particular industry or commodity, such as drought, floods, weather, livestock disease, embargoes, tariffs and international economic, political and regulatory developments.
Multi-Asset Real Return Portfolio
Subsidiary Risk: By investing in the Subsidiary, the Portfolio is indirectly exposed to the risks associated with the Subsidiary’s investments, including its investments in commodities. There is no guarantee that the investment objective of the Subsidiary will be achieved.
Real Estate Risk: The Portfolio’s investments in real estate securities have many of the same risks as direct ownership of real estate, including the risk that the value of real estate could decline due to a variety of factors that affect the real estate market generally. Investments in REITs may have additional risks. REITs are dependent on the capability of their managers, may have limited diversification, and could be significantly affected by changes in taxes.
Non-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. Accordingly, changes in the value of a single security may have a more significant effect, either negative or positive, 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.
Please note: Shares of the Portfolios are offered exclusively to mutual funds advised by, and certain institutional clients of, the Adviser that seek a blend of asset classes for investment. These shares are not currently offered for direct investment from the general public. 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.
22 | • AB POOLING PORTFOLIOS |
Disclosures and Risks
HISTORICAL PERFORMANCE
THE PORTFOLIOS VS. THEIR BENCHMARKS PERIODS ENDED FEBRUARY 28, 2017 (unaudited)
Returns | ||||||||||||
U.S. VALUE PORTFOLIO | 6 Months | 12 Months | ||||||||||
| ||||||||||||
AB U.S. Value Portfolio* | 11.46% | 25.81% | ||||||||||
| ||||||||||||
Russell 1000 Value Index | 11.07% | 29.13% | ||||||||||
| ||||||||||||
* Includes the impact of proceeds received and credited to the Portfolio resulting from class-action settlements, which enhanced the performance of the Portfolio for the six- and 12-month periods ended February 28, 2017, by 0.03% and 0.09%, respectively. Also includes the impact of a non-recurring refund for overbilling of prior years’ custody out of pocket fees, which enhanced performance for the six- and 12-month periods ended February 28, 2017, by 0.02% and 0.02%, respectively. |
| |||||||||||
Returns | ||||||||||||
U.S. LARGE CAP GROWTH PORTFOLIO | 6 Months | 12 Months | ||||||||||
| ||||||||||||
AB U.S. Large Cap Growth Portfolio* | 8.22% | 20.40% | ||||||||||
| ||||||||||||
Russell 1000 Growth Index | 9.15% | 22.15% | ||||||||||
| ||||||||||||
* Includes the impact of proceeds received and credited to the Portfolio resulting from class-action settlements, which enhanced the performance of the Portfolio for the six- and 12-month periods ended February 28, 2017, by 0.01% and 0.20%, respectively. Also includes the impact of a non-recurring refund for overbilling of prior years’ custody out of pocket fees, which enhanced performance for the six- and 12-month periods ended February 28, 2017, by 0.02% and 0.02%, respectively. |
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Returns | ||||||||||||
INTERNATIONAL VALUE PORTFOLIO | 6 Months | 12 Months | ||||||||||
| ||||||||||||
AB International Value Portfolio* | 7.00% | 20.87% | ||||||||||
| ||||||||||||
MSCI ACWI ex-US | 5.15% | 19.31% | ||||||||||
| ||||||||||||
* Includes the impact of proceeds received and credited to the Portfolio resulting from class-action settlements, which enhanced the performance of the Portfolio for the six- and 12-month periods ended February 28, 2017, by 0.0017% and 0.0017%, respectively. Also includes the impact of a non-recurring refund for overbilling of prior years’ custody out of pocket fees, which enhanced performance for the six- and 12-month periods ended February 28, 2017, by 0.02% and 0.02%, respectively.
|
| |||||||||||
Please keep in mind that high, double-digit returns are highly unusual and cannot be sustained. Investors should also be aware that these returns were primarily achieved during favorable market conditions. |
See Disclosures, Risks and Note about Historical Performance on pages 18-22.
(Historical Performance continued on next page)
AB POOLING PORTFOLIOS • | 23 |
Historical Performance
HISTORICAL PERFORMANCE
(continued from previous page)
THE PORTFOLIOS VS. THEIR BENCHMARKS PERIODS ENDED FEBRUARY 28, 2017 (unaudited)
Returns | ||||||||||||
INTERNATIONAL GROWTH PORTFOLIO | 6 Months | 12 Months | ||||||||||
| ||||||||||||
AB International Growth Portfolio* | 0.00% | 14.65% | ||||||||||
| ||||||||||||
MSCI ACWI ex-US | 5.15% | 19.31% | ||||||||||
| ||||||||||||
* Includes the impact of a non-recurring refund for overbilling of prior years’ custody out of pocket fees, which enhanced performance for the six- and 12-month periods ended February 28, 2017, by 0.02% and 0.02%, respectively. |
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Returns | ||||||||||||
SHORT DURATION BOND PORTFOLIO | 6 Months | 12 Months | ||||||||||
| ||||||||||||
AB Short Duration Bond Portfolio* | 0.79% | 1.68% | ||||||||||
| ||||||||||||
BofA ML 1-3 Year US Treasury Index | -0.09% | 0.39% | ||||||||||
| ||||||||||||
* Includes the impact of proceeds received and credited to the Portfolio resulting from class-action settlements, which enhanced the performance of the Portfolio for the six- and 12-month periods ended February 28, 2017, by 0.58% and 0.60%, respectively. Also includes the impact of a non-recurring refund for overbilling of prior years’ custody out of pocket fees, which enhanced performance for the six- and 12-month periods ended February 28, 2017, by 0.06% and 0.06%, respectively. |
| |||||||||||
Returns | ||||||||||||
GLOBAL CORE BOND PORTFOLIO | 6 Months | 12 Months | ||||||||||
| ||||||||||||
AB Global Core Bond Portfolio* | -1.60% | 3.42% | ||||||||||
| ||||||||||||
Bloomberg Barclays Global Aggregate Bond Index (US dollar hedged) | -1.87% | 1.97% | ||||||||||
| ||||||||||||
* Includes the impact of proceeds received and credited to the Portfolio resulting from class-action settlements, which enhanced the performance of the Portfolio for the six- and 12-month periods ended February 28, 2017, by 0.07% and 0.07%, respectively. Also includes the impact of a non-recurring refund for overbilling of prior years’ custody out of pocket fees, which enhanced performance for the six- and 12-month periods ended February 28, 2017, by 0.03% and 0.03%, respectively. |
| |||||||||||
Please keep in mind that high, double-digit returns are highly unusual and cannot be sustained. Investors should also be aware that these returns were primarily achieved during favorable market conditions. |
See Disclosures, Risks and Note about Historical Performance on pages 18-22.
(Historical Performance continued on next page)
24 | • AB POOLING PORTFOLIOS |
Historical Performance
HISTORICAL PERFORMANCE
(continued from previous page)
THE PORTFOLIOS VS. THEIR BENCHMARKS PERIODS ENDED FEBRUARY 28, 2017 (unaudited)
Returns | ||||||||||||
BOND INFLATION PROTECTION PORTFOLIO | 6 Months | 12 Months | ||||||||||
| ||||||||||||
AB Bond Inflation Protection Portfolio* | 1.27% | 5.97% | ||||||||||
| ||||||||||||
Bloomberg Barclays 1-10 Year TIPS Index | 0.26% | 2.85% | ||||||||||
| ||||||||||||
* Includes the impact of a non-recurring refund for overbilling of prior years’ custody out of pocket fees, which enhanced performance for the six- and 12-month periods ended February 28, 2017, by 0.04% and 0.04%, respectively. |
| |||||||||||
Returns | ||||||||||||
SMALL-MID CAP VALUE PORTFOLIO | 6 Months | 12 Months | ||||||||||
| ||||||||||||
AB Small-Mid Cap Value Portfolio* | 13.93% | 35.57% | ||||||||||
| ||||||||||||
Russell 2500 Value Index | 12.72% | 35.15% | ||||||||||
| ||||||||||||
* Includes the impact of proceeds received and credited to the Portfolio resulting from class-action settlements, which enhanced the performance of the Portfolio for the six- and 12-month periods ended February 28, 2017, by 0.0001% and 0.01%, respectively. Also includes the impact of a non-recurring refund for overbilling of prior years’ custody out of pocket fees, which enhanced performance for the six- and 12-month periods ended February 28, 2017, by 0.03% and 0.03%, respectively. |
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Returns | ||||||||||||
SMALL-MID CAP GROWTH PORTFOLIO | 6 Months | 12 Months | ||||||||||
| ||||||||||||
AB Small-Mid Cap Growth Portfolio* | 9.53% | 27.10% | ||||||||||
| ||||||||||||
Russell 2500 Growth Index | 8.52% | 28.05% | ||||||||||
| ||||||||||||
* Includes the impact of proceeds received and credited to the Portfolio resulting from class-action settlements, which enhanced the performance of the Portfolio for the six- and 12-month periods ended February 28, 2017, by 0.06% and 0.21%, respectively. Also includes the impact of a non-recurring refund for overbilling of prior years’ custody out of pocket fees, which enhanced performance for the six- and 12-month periods ended February 28, 2017, by 0.03% and 0.03%, respectively. |
| |||||||||||
Please keep in mind that high, double-digit returns are highly unusual and cannot be sustained. Investors should also be aware that these returns were primarily achieved during favorable market conditions. |
See Disclosures, Risks and Note about Historical Performance on pages 18-22.
(Historical Performance continued on next page)
AB POOLING PORTFOLIOS • | 25 |
Historical Performance
HISTORICAL PERFORMANCE
(continued from previous page)
THE PORTFOLIOS VS. THEIR BENCHMARKS PERIODS ENDED FEBRUARY 28, 2017 (unaudited)
Returns | ||||||||||||
MULTI-ASSET REAL RETURN PORTFOLIO | 6 Months | 12 Months | ||||||||||
| ||||||||||||
AB Multi-Asset Real Return Portfolio* | 6.84% | 23.95% | ||||||||||
| ||||||||||||
Primary Benchmark: MSCI AC World Commodity Producers Index | 8.72% | 32.75% | ||||||||||
| ||||||||||||
Secondary Benchmark: All Market Real Return Portfolio Benchmark | 4.35% | 21.11% | ||||||||||
| ||||||||||||
* Includes the impact of proceeds received and credited to the Portfolio resulting from class-action settlements, which enhanced the performance of the Portfolio for the six- and 12-month periods ended February 28, 2017, by 0.0011% and 0.0011%, respectively. Also includes the impact of a non-recurring refund for overbilling of prior years’ custody out of pocket fees, which enhanced performance for the six- and 12-month periods ended February 28, 2017, by 0.01% and 0.01%, respectively. |
| |||||||||||
Returns | ||||||||||||
VOLATILITY MANAGEMENT PORTFOLIO | 6 Months | 12 Months | ||||||||||
| ||||||||||||
AB Volatility Management Portfolio* | 5.97% | 16.93% | ||||||||||
| ||||||||||||
MSCI ACWI | 7.53% | 22.07% | ||||||||||
| ||||||||||||
* Includes the impact of a non-recurring refund for overbilling of prior years’ custody out of pocket fees, which enhanced performance for the six- and 12-month periods ended February 28, 2017, by 0.01% and 0.01%, respectively. |
| |||||||||||
Please keep in mind that high, double-digit returns are highly unusual and cannot be sustained. Investors should also be aware that these returns were primarily achieved during favorable market conditions. |
See Disclosures, Risks and Note about Historical Performance on pages 18-22.
(Historical Performance continued on next page)
26 | • AB POOLING PORTFOLIOS |
Historical Performance
HISTORICAL PERFORMANCE
(continued from previous page)
AVERAGE ANNUAL RETURNS AS OF FEBRUARY 28, 2017 (unaudited) | ||||
NAV/SEC Returns* | ||||
AB U.S. Value Portfolio | ||||
1 Year | 25.81 | % | ||
5 Years | 13.32 | % | ||
10 Years | 4.81 | % | ||
AB U.S. Large Cap Growth Portfolio | ||||
1 Year | 20.40 | % | ||
5 Years | 15.74 | % | ||
10 Years | 8.99 | % | ||
AB International Value Portfolio | ||||
1 Year | 20.87 | % | ||
5 Years | 4.98 | % | ||
10 Years | -1.17 | % | ||
AB International Growth Portfolio | ||||
1 Year | 14.65 | % | ||
5 Years | 2.82 | % | ||
10 Years | -1.32 | % | ||
AB Short Duration Bond Portfolio | ||||
1 Year | 1.68 | % | ||
5 Years | 1.11 | % | ||
10 Years | 1.87 | % | ||
AB Global Core Bond Portfolio | ||||
1 Year | 3.42 | % | ||
5 Years | 3.76 | % | ||
10 Years | 5.35 | % | ||
AB Bond Inflation Protection Portfolio | ||||
1 Year | 5.97 | % | ||
5 Years | 1.75 | % | ||
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 18-22.
(Historical Performance continued on next page)
AB POOLING PORTFOLIOS • | 27 |
Historical Performance
HISTORICAL PERFORMANCE
(continued from previous page)
AVERAGE ANNUAL RETURNS AS OF FEBRUARY 28, 2017 (unaudited) | ||||
NAV/SEC Returns* | ||||
AB Small-Mid Cap Value Portfolio | ||||
1 Year | 35.57 | % | ||
5 Years | 15.30 | % | ||
10 Years | 9.42 | % | ||
AB Small-Mid Cap Growth Portfolio | ||||
1 Year | 27.10 | % | ||
5 Years | 10.88 | % | ||
10 Years | 10.50 | % | ||
AB Multi-Asset Real Return Portfolio | ||||
1 Year | 23.95 | % | ||
5 Years | -3.12 | % | ||
10 Years | -3.38 | % | ||
AB Volatility Management Portfolio | ||||
1 Year | 16.93 | % | ||
5 Years | 7.11 | % | ||
Since Inception† | 7.16 | % |
* | 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 18-22.
(Historical Performance continued on next page)
28 | • AB POOLING PORTFOLIOS |
Historical Performance
HISTORICAL PERFORMANCE
(continued from previous page)
SEC AVERAGE ANNUAL RETURNS AS OF THE MOST RECENT CALENDAR QUARTER-END MARCH 31, 2017 (unaudited) | ||||
SEC Returns* | ||||
AB Volatility Management Portfolio | ||||
1 Year | 10.83 | % | ||
5 Years | 7.03 | % | ||
Since Inception† | 7.22 | % |
* | This Portfolio is offered at NAV, and the SEC returns are the same as the NAV returns. |
† | Inception date: 4/16/2010. |
See Disclosures, Risks and Note about Historical Performance on pages 18-22.
AB POOLING PORTFOLIOS • | 29 |
Historical Performance
EXPENSE EXAMPLE
(unaudited)
As a shareholder of a 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 a Fund’s actual expense ratio and an assumed annual rate of return of 5% before expenses, which is not the Fund’s actual return. The hypothetical account values and expenses may not be used to estimate the actual ending account balance or expenses you paid for the period. You may use this information to compare the ongoing costs of investing in the Fund and other funds by comparing this 5% hypothetical example with the 5% hypothetical examples that appear in the shareholder reports of other funds.
Please note that the expenses shown in the table are meant to highlight your ongoing costs only and do not reflect any transactional costs, such as sales charges (loads), or contingent deferred sales charges on redemptions. Therefore, the second line of the table is useful in comparing ongoing costs only, and will not help you determine the relative total costs of owning different funds. In addition, if these transactional costs were included, your costs would have been higher.
Beginning Account Value September 1, 2016 | Ending Account Value February 28, 2017 | Expenses Paid During Period* | Annualized Expense Ratio* | Effective Expenses Paid During Period+ | Effective Annualized Expense Ratio+ | |||||||||||||||||||
AB U.S. Value | ||||||||||||||||||||||||
Actual | $ | 1,000 | $ | 1,114.60 | $ | 0.31 | 0.06 | % | $ | 0.31 | 0.06 | % | ||||||||||||
Hypothetical** | $ | 1,000 | $ | 1,024.50 | $ | 0.30 | 0.06 | % | $ | 0.30 | 0.06 | % | ||||||||||||
AB U.S. Large Cap Growth | ||||||||||||||||||||||||
Actual | $ | 1,000 | $ | 1,082.20 | $ | 0.26 | 0.05 | % | $ | 0.31 | 0.06 | % | ||||||||||||
Hypothetical** | $ | 1,000 | $ | 1,024.55 | $ | 0.25 | 0.05 | % | $ | 0.30 | 0.06 | % | ||||||||||||
AB International Value | ||||||||||||||||||||||||
Actual | $ | 1,000 | $ | 1,070.00 | $ | 0.36 | 0.07 | % | $ | 0.36 | 0.07 | % | ||||||||||||
Hypothetical** | $ | 1,000 | $ | 1,024.45 | $ | 0.35 | 0.07 | % | $ | 0.35 | 0.07 | % | ||||||||||||
AB International Growth | ||||||||||||||||||||||||
Actual | $ | 1,000 | $ | 1,000.00 | $ | 0.45 | 0.09 | % | $ | 0.45 | 0.09 | % | ||||||||||||
Hypothetical** | $ | 1,000 | $ | 1,024.35 | $ | 0.45 | 0.09 | % | $ | 0.45 | 0.09 | % |
30 | • AB POOLING PORTFOLIOS |
Expense Example
EXPENSE EXAMPLE
(unaudited)
(continued from previous page)
Beginning Account Value September 1, 2016 | Ending Account Value February 28, 2017 | Expenses Paid During Period* | Annualized Expense Ratio* | Effective Expenses Paid During Period+ | Effective Annualized Expense Ratio+ | |||||||||||||||||||
AB Short Duration Bond | ||||||||||||||||||||||||
Actual | $ | 1,000 | $ | 1,007.90 | $ | 0.35 | 0.07 | % | $ | 0.35 | 0.07 | % | ||||||||||||
Hypothetical** | $ | 1,000 | $ | 1,024.45 | $ | 0.35 | 0.07 | % | $ | 0.35 | 0.07 | % | ||||||||||||
AB Global Core Bond | ||||||||||||||||||||||||
Actual | $ | 1,000 | $ | 984.00 | $ | 0.64 | 0.13 | % | $ | 0.64 | 0.13 | % | ||||||||||||
Hypothetical** | $ | 1,000 | $ | 1,024.15 | $ | 0.65 | 0.13 | % | $ | 0.65 | 0.13 | % | ||||||||||||
AB Bond Inflation Protection | ||||||||||||||||||||||||
Actual | $ | 1,000 | $ | 1,012.70 | $ | 1.95 | 0.39 | % | $ | 1.95 | 0.39 | % | ||||||||||||
Hypothetical** | $ | 1,000 | $ | 1,022.86 | $ | 1.96 | 0.39 | % | $ | 1.96 | 0.39 | % | ||||||||||||
AB Small-Mid Cap Value | ||||||||||||||||||||||||
Actual | $ | 1,000 | $ | 1,139.30 | $ | 1.06 | 0.20 | % | $ | 1.06 | 0.20 | % | ||||||||||||
Hypothetical** | $ | 1,000 | $ | 1,023.80 | $ | 1.00 | 0.20 | % | $ | 1.00 | 0.20 | % | ||||||||||||
AB Small-Mid Cap Growth | ||||||||||||||||||||||||
Actual | $ | 1,000 | $ | 1,095.30 | $ | 1.25 | 0.24 | % | $ | 1.25 | 0.24 | % | ||||||||||||
Hypothetical** | $ | 1,000 | $ | 1,023.60 | $ | 1.20 | 0.24 | % | $ | 1.20 | 0.24 | % | ||||||||||||
AB Multi-Asset Real Return | ||||||||||||||||||||||||
Actual | $ | 1,000 | $ | 1,068.40 | $ | 0.41 | 0.08 | % | $ | 0.67 | 0.13 | % | ||||||||||||
Hypothetical** | $ | 1,000 | $ | 1,024.40 | $ | 0.40 | 0.08 | % | $ | 0.65 | 0.13 | % | ||||||||||||
AB Volatility Management | ||||||||||||||||||||||||
Actual | $ | 1,000 | $ | 1,059.70 | $ | 0.15 | 0.03 | % | $ | 0.56 | 0.11 | % | ||||||||||||
Hypothetical** | $ | 1,000 | $ | 1,024.65 | $ | 0.15 | 0.03 | % | $ | 0.55 | 0.11 | % |
* | Expenses are equal to the Portfolio’s annualized expense ratio, multiplied by the average account value over the period, multiplied by 181/365 (to reflect the one-half year period). |
** | Assumes 5% annual return before expenses. |
+ | In connection with the Portfolios’ investments in affiliated/unaffiliated underlying portfolios, the Portfolios incur no direct expenses, but bear proportionate shares of the acquired fund fees and expenses (i.e., operating, administrative and investment advisory fees) of the affiliated/unaffiliated underlying portfolios. Currently the Adviser has contractually agreed to waive its fees from the Portfolios in an amount equal to the Portfolios’ pro rata share of certain acquired fund fees and expenses of the affiliated underlying portfolios. The Portfolios’ effective expenses are equal to the classes’ annualized expense ratio plus the Portfolios’ pro rata share of the weighted average expense ratio of the affiliated/unaffiliated underlying portfolios in which it invests, multiplied by the average account value over the period, multiplied by 181/365 (to reflect the one-half year period). |
AB POOLING PORTFOLIOS • | 31 |
Expense Example
AB U.S. VALUE PORTFOLIO
PORTFOLIO SUMMARY
February 28, 2017 (unaudited)
PORTFOLIO STATISTICS
Net Assets ($mil): $310.7
* | All data are as of February 28, 2017. The Portfolio’s sector breakdown is expressed as a percentage of total investments and may vary over time. |
Please note: The sector classifications presented herein are based on the Global Industry Classification Standard (GICS) which was developed by Morgan Stanley Capital International and Standard & Poor’s. The components are divided into sector, industry group, and industry sub-indices as classified by the GICS for each of the market capitalization indices in the broad market. These sector classifications are broadly defined. The “Portfolio of Investments” section of the report reflects more specific industry information and is consistent with the investment restrictions discussed in the Portfolio’s prospectus.
32 | • AB POOLING PORTFOLIOS |
Portfolio Summary
AB U.S. LARGE CAP GROWTH PORTFOLIO
PORTFOLIO SUMMARY
February 28, 2017 (unaudited)
PORTFOLIO STATISTICS
Net Assets ($mil): $310.7
* | All data are as of February 28, 2017. The Portfolio’s sector breakdown is expressed as a percentage of total investments and may vary over time. |
Please note: The sector classifications presented herein are based on the Global Industry Classification Standard (GICS) which was developed by Morgan Stanley Capital International and Standard & Poor’s. The components are divided into sector, industry group, and industry sub-indices as classified by the GICS for each of the market capitalization indices in the broad market. These sector classifications are broadly defined. The “Portfolio of Investments” section of the report reflects more specific industry information and is consistent with the investment restrictions discussed in the Portfolio’s prospectus.
AB POOLING PORTFOLIOS • | 33 |
Portfolio Summary
AB INTERNATIONAL VALUE PORTFOLIO
PORTFOLIO SUMMARY
February 28, 2017 (unaudited)
PORTFOLIO STATISTICS
Net Assets ($mil): $259.5
* | All data are as of February 28, 2017. The Portfolio’s sector and country breakdowns are expressed as a percentage of total investments (excluding security lending collateral) and may vary over time. The Portfolio also enters into derivative transactions, which may be used for hedging or investment purposes (see “Portfolio of Investments” section of the report for additional details). “Other” country weightings represent 2.1% or less in the following countries: Argentina, Austria, Belgium, Denmark, Finland, India, Israel, Italy, Mexico, Norway, Portugal, South Africa, Spain, Sweden, Switzerland and Turkey. |
Please note: The industry classifications presented herein are based on the Global Industry Classification Standard (GICS) which was developed by Morgan Stanley Capital International and Standard & Poor’s. The components are divided into sector, industry group, and industry sub-indices as classified by the GICS for each of the market capitalization indices in the broad market. These sector classifications are broadly defined. The “Portfolio of Investments” section of the report reflects more specific industry information and is consistent with the investment restrictions discussed in the Portfolio’s prospectus.
34 | • AB POOLING PORTFOLIOS |
Portfolio Summary
AB INTERNATIONAL GROWTH PORTFOLIO
PORTFOLIO SUMMARY
February 28, 2017 (unaudited)
PORTFOLIO STATISTICS
Net Assets ($mil): $257.4
* | All data are as of February 28, 2017. The Portfolio’s sector and country breakdowns are expressed as a percentage of total investments and may vary over time. The Portfolio also enters into derivative transactions, which may be used for hedging or investment purposes (see “Portfolio of Investments” section of the report for additional details). “Other” country weightings represent 2.7% or less in the following countries: Brazil, Indonesia, Philippines, Singapore, South Africa, Spain and Taiwan. |
Please note: The industry classifications presented herein are based on the Global Industry Classification Standard (GICS) which was developed by Morgan Stanley Capital International and Standard & Poor’s. The components are divided into sector, industry group, and industry sub-indices as classified by the GICS for each of the market capitalization indices in the broad market. These sector classifications are broadly defined. The “Portfolio of Investments” section of the report reflects more specific industry information and is consistent with the investment restrictions discussed in the Portfolio’s prospectus.
AB POOLING PORTFOLIOS • | 35 |
Portfolio Summary
AB SHORT DURATION BOND PORTFOLIO
PORTFOLIO SUMMARY
February 28, 2017 (unaudited)
PORTFOLIO STATISTICS
Net Assets ($mil): $71.3
* | All data are as of February 28, 2017. The Portfolio’s security type breakdown is expressed as a percentage of total investments and may vary over time. The Portfolio also enters into derivative transactions, which may be used for hedging or investment purposes (see “Portfolio of Investments” section of the report for additional details). |
36 | • AB POOLING PORTFOLIOS |
Portfolio Summary
AB GLOBAL CORE BOND PORTFOLIO
PORTFOLIO SUMMARY
February 28, 2017 (unaudited)
PORTFOLIO STATISTICS
Net Assets ($mil): $244.0
* | All data are as of February 28, 2017. The Portfolio’s security type breakdown is expressed as a percentage of total investments and may vary over time. The Portfolio also enters into derivative transactions, which may be used for hedging or investment purposes (see “Portfolio of Investments” section of the report for additional details). |
AB POOLING PORTFOLIOS • | 37 |
Portfolio Summary
AB GLOBAL CORE BOND PORTFOLIO
PORTFOLIO SUMMARY
February 28, 2017 (unaudited)
* | All data are as of February 28, 2017. The Portfolio’s country breakdown is expressed as a percentage of total investments and may vary over time. The Portfolio also enters into derivative transactions, which may be used for hedging or investment purposes (see “Portfolio of Investments” section of the report for additional details). “Other” country weightings represent 1.3% or less in the following countries or regions: Belgium, Chile, China, Colombia, Denmark, Ireland, Israel, Kazakhstan, Kuwait, Morocco, New Zealand, Norway, Peru, Portugal, Russia, Singapore, South Africa and Supranational. |
38 | • AB POOLING PORTFOLIOS |
Portfolio Summary
AB BOND INFLATION PROTECTION PORTFOLIO
PORTFOLIO SUMMARY
February 28, 2017 (unaudited)
PORTFOLIO STATISTICS
Net Assets ($mil): $98.1
Total Investments ($mil): $127.0
INFLATION PROTECTION BREAKDOWN* | ||||
U.S. Inflation-Protected Exposure | 101.3 | % | ||
Non-U.S. | — | |||
Non-Inflation Exposure | (1.3 | )% | ||
|
| |||
100.0 | % |
SECTOR BREAKDOWN OF NET PORTFOLIO ASSETS, EXCLUDING TREASURY SECURITIES, TIPS, INTEREST RATE DERIVATIVES AND NET CASH EQUIVALENTS* | ||||
Corporates – Investment Grade | 10.5 | % | ||
Commercial Mortgage-Backed Securities | 9.0 | % | ||
Asset-Backed Securities | 7.2 | % | ||
Collateralized Mortgage Obligations | 4.8 | % | ||
Governments – Sovereign Agencies | 0.4 | % | ||
Quasi-Sovereigns | 0.2 | % | ||
Emerging Markets – Corporate Bonds | 0.1 | % | ||
Governments – Sovereign Bonds | 0.1 | % | ||
Corporates – Non-Investment Grade | (1.3 | )% |
* | All data are as of February 28, 2017. 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 • | 39 |
Portfolio Summary
AB BOND INFLATION PROTECTION PORTFOLIO
PORTFOLIO SUMMARY
February 28, 2017 (unaudited)
SECTOR BREAKDOWN OF TOTAL PORTFOLIO INVESTMENTS, EXCLUDING DERIVATIVES* | ||||
Inflation-Linked Securities | 71.0 | % | ||
Corporates – Investment Grade | 10.7 | % | ||
Commercial Mortgage-Backed Securities | 5.7 | % | ||
Asset-Backed Securities | 5.6 | % | ||
Collateralized Mortgage Obligations | 3.7 | % | ||
Corporates – Non-Investment Grade | 1.8 | % | ||
Emerging Markets – Treasuries | 0.7 | % | ||
Governments – Sovereign Agencies | 0.3 | % | ||
Quasi-Sovereigns | 0.2 | % | ||
Emerging Markets – Sovereigns | 0.2 | % | ||
Emerging Markets – Corporate 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. |
40 | • AB POOLING PORTFOLIOS |
Portfolio Summary
AB SMALL-MID CAP VALUE PORTFOLIO
PORTFOLIO SUMMARY
February 28, 2017 (unaudited)
PORTFOLIO STATISTICS
Net Assets ($mil): $90.6
* | All data are as of February 28, 2017. The Portfolio’s sector breakdown is expressed as a percentage of total investments and may vary over time. |
Please note: The sector classifications presented herein are based on the Global Industry Classification Standard (GICS) which was developed by Morgan Stanley Capital International and Standard & Poor’s. The components are divided into sector, industry group, and industry sub-indices as classified by the GICS for each of the market capitalization indices in the broad market. These sector classifications are broadly defined. The “Portfolio of Investments” section of the report reflects more specific industry information and is consistent with the investment restrictions discussed in the Portfolio’s prospectus.
AB POOLING PORTFOLIOS • | 41 |
Portfolio Summary
AB SMALL-MID CAP GROWTH PORTFOLIO
PORTFOLIO SUMMARY
February 28, 2017 (unaudited)
PORTFOLIO STATISTICS
Net Assets ($mil): $91.0
* | All data are as of February 28, 2017. The Portfolio’s sector breakdown is expressed as a percentage of total investments and may vary over time. |
Please note: The sector classifications presented herein are based on the Global Industry Classification Standard (GICS) which was developed by Morgan Stanley Capital International and Standard & Poor’s. The components are divided into sector, industry group, and industry sub-indices as classified by the GICS for each of the market capitalization indices in the broad market. These sector classifications are broadly defined. The “Portfolio of Investments” section of the report reflects more specific industry information and is consistent with the investment restrictions discussed in the Portfolio’s prospectus.
42 | • AB POOLING PORTFOLIOS |
Portfolio Summary
AB MULTI-ASSET REAL RETURN PORTFOLIO
PORTFOLIO SUMMARY
February 28, 2017 (unaudited)
PORTFOLIO STATISTICS
Net Assets ($mil): $803.4
* | All data are as of February 28, 2017. The Portfolio’s portfolio breakdown is expressed as an approximate percentage of the Portfolio’s net assets inclusive of derivative exposure, based on the Adviser’s internal classification guidelines. |
† | The Portfolio’s security type breakdown is expressed as a percentage of total investments (excluding security lending collateral) and may vary over time. The Portfolio also enters into derivative transactions, which may be used for hedging or investment purposes (see “Portfolio of Investments” section of the report for additional details). |
AB POOLING PORTFOLIOS • | 43 |
Portfolio Summary
AB MULTI-ASSET REAL RETURN PORTFOLIO
PORTFOLIO SUMMARY
February 28, 2017 (unaudited)
* | All data are as of February 28, 2017. The Portfolio’s country breakdown is expressed as a percentage of total investments (excluding security lending collateral) and may vary over time. The Portfolio also enters into derivative transactions, which may be used for hedging or investment purposes (see “Portfolio of Investments” section of the report for additional details). “Other” country weightings represent 0.6% or less in the following countries: Argentina, Austria, Chile, Finland, Germany, India, Indonesia, Malaysia, Mexico, New Zealand, Norway, Philippines, Portugal, Singapore, South Africa, South Korea, Spain, Sweden, Switzerland, Thailand and Turkey. |
44 | • AB POOLING PORTFOLIOS |
Portfolio Summary
AB VOLATILITY MANAGEMENT PORTFOLIO
PORTFOLIO SUMMARY
February 28, 2017 (unaudited)
PORTFOLIO STATISTICS
Net Assets ($mil): $495.4
TEN LARGEST HOLDINGS†
February 28, 2017 (unaudited)
Company | U.S. $ Value | Percent of Net Assets | ||||||
SPDR S&P MidCap 400 ETF Trust | $ | 29,895,847 | 6.0 | % | ||||
Vanguard REIT ETF | 9,880,611 | 2.0 | ||||||
iShares International Developed Real Estate ETF | 9,766,820 | 2.0 | ||||||
Apple, Inc. | 5,702,483 | 1.1 | ||||||
Microsoft Corp. | 3,820,886 | 0.8 | ||||||
Alphabet, Inc. — Class A & Class C | 3,788,302 | 0.8 | ||||||
Amazon.com, Inc. | 2,573,147 | 0.5 | ||||||
Exxon Mobil Corp. | 2,561,824 | 0.5 | ||||||
Johnson & Johnson | 2,554,189 | 0.5 | ||||||
JPMorgan Chase & Co. | 2,519,236 | 0.5 | ||||||
$ | 73,063,345 | 14.7 | % |
* | All data are as of February 28, 2017. 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). |
† | Long-term investments. |
AB POOLING PORTFOLIOS • | 45 |
Portfolio Summary and Ten Largest Holdings
AB U.S. VALUE PORTFOLIO
PORTFOLIO OF INVESTMENTS
February 28, 2017 (unaudited)
Company | Shares | U.S. $ Value | ||||||
| ||||||||
COMMON STOCKS – 99.5% | ||||||||
Financials – 27.9% | ||||||||
Banks – 14.6% | ||||||||
Bank of America Corp. | 519,206 | $ | 12,814,004 | |||||
Citigroup, Inc. | 68,107 | 4,073,480 | ||||||
Comerica, Inc. | 39,673 | 2,827,891 | ||||||
Fifth Third Bancorp | 26,911 | 738,438 | ||||||
JPMorgan Chase & Co. | 107,709 | 9,760,590 | ||||||
PNC Financial Services Group, Inc. (The) | 15,277 | 1,943,693 | ||||||
SunTrust Banks, Inc. | 17,152 | 1,020,372 | ||||||
US Bancorp | 31,697 | 1,743,335 | ||||||
Wells Fargo & Co. | 180,939 | 10,472,749 | ||||||
|
| |||||||
45,394,552 | ||||||||
|
| |||||||
Capital Markets – 1.6% | ||||||||
Goldman Sachs Group, Inc. (The) | 11,208 | 2,780,257 | ||||||
Morgan Stanley | 37,739 | 1,723,540 | ||||||
Thomson Reuters Corp. | 9,894 | 418,516 | ||||||
|
| |||||||
4,922,313 | ||||||||
|
| |||||||
Consumer Finance – 4.1% | ||||||||
American Express Co. | 7,541 | 603,732 | ||||||
Capital One Financial Corp. | 41,499 | 3,895,096 | ||||||
Discover Financial Services | 8,102 | 576,376 | ||||||
OneMain Holdings, Inc.(a) | 78,875 | 2,210,078 | ||||||
Synchrony Financial | 154,459 | 5,597,594 | ||||||
|
| |||||||
12,882,876 | ||||||||
|
| |||||||
Diversified Financial Services – 1.2% | ||||||||
Berkshire Hathaway, Inc. – Class B(a) | 21,137 | 3,623,305 | ||||||
|
| |||||||
Insurance – 6.4% | ||||||||
Allstate Corp. (The) | 39,463 | 3,242,280 | ||||||
American International Group, Inc. | 98,659 | 6,306,283 | ||||||
First American Financial Corp. | 60,682 | 2,370,846 | ||||||
FNF Group | 93,463 | 3,582,437 | ||||||
Hartford Financial Services Group, Inc. (The) | 15,614 | 763,368 | ||||||
Loews Corp. | 8,590 | 403,558 | ||||||
Progressive Corp. (The) | 46,556 | 1,824,064 | ||||||
Prudential Financial, Inc. | 13,477 | 1,489,748 | ||||||
|
| |||||||
19,982,584 | ||||||||
|
| |||||||
86,805,630 | ||||||||
|
| |||||||
Information Technology – 12.1% | ||||||||
Communications Equipment – 2.3% | ||||||||
Cisco Systems, Inc. | 108,596 | 3,711,811 | ||||||
Nokia Oyj (Sponsored ADR) – Class A | 631,500 | 3,245,910 | ||||||
|
| |||||||
6,957,721 | ||||||||
|
| |||||||
Electronic Equipment, Instruments & Components – 0.3% | ||||||||
Corning, Inc. | 37,178 | 1,026,485 | ||||||
|
|
46 | • AB POOLING PORTFOLIOS |
AB U.S. Value Portfolio—Portfolio of Investments
Company | Shares | U.S. $ Value | ||||||
| ||||||||
IT Services – 0.9% | ||||||||
Booz Allen Hamilton Holding Corp. | 80,552 | $ | 2,881,345 | |||||
|
| |||||||
Semiconductors & Semiconductor Equipment – 2.4% | ||||||||
Intel Corp. | 208,809 | 7,558,886 | ||||||
|
| |||||||
Software – 2.6% | ||||||||
Oracle Corp. | 190,162 | 8,099,000 | ||||||
|
| |||||||
Technology Hardware, Storage & Peripherals – 3.6% | ||||||||
Hewlett Packard Enterprise Co. | 147,916 | 3,375,443 | ||||||
HP, Inc. | 215,274 | 3,739,309 | ||||||
NCR Corp.(a) | 24,697 | 1,187,185 | ||||||
Xerox Corp. | 370,973 | 2,760,039 | ||||||
|
| |||||||
11,061,976 | ||||||||
|
| |||||||
37,585,413 | ||||||||
|
| |||||||
Energy – 12.1% | ||||||||
Energy Equipment & Services – 2.0% | ||||||||
Schlumberger Ltd. | 77,810 | 6,252,811 | ||||||
|
| |||||||
Oil, Gas & Consumable Fuels – 10.1% | ||||||||
Canadian Natural Resources Ltd. | 102,360 | 2,938,756 | ||||||
Chevron Corp. | 11,455 | 1,288,687 | ||||||
Devon Energy Corp. | 85,194 | 3,694,012 | ||||||
EOG Resources, Inc. | 60,351 | 5,853,443 | ||||||
Exxon Mobil Corp. | 75,840 | 6,167,309 | ||||||
Hess Corp. | 81,221 | 4,178,008 | ||||||
Marathon Petroleum Corp. | 76,916 | 3,815,034 | ||||||
QEP Resources, Inc.(a) | 141,828 | 1,951,553 | ||||||
SM Energy Co. | 14,610 | 360,137 | ||||||
Valero Energy Corp. | 14,319 | 972,976 | ||||||
|
| |||||||
31,219,915 | ||||||||
|
| |||||||
37,472,726 | ||||||||
|
| |||||||
Health Care – 11.4% | ||||||||
Biotechnology – 1.0% | ||||||||
Gilead Sciences, Inc. | 41,607 | 2,932,461 | ||||||
|
| |||||||
Health Care Providers & Services – 3.9% | ||||||||
Aetna, Inc. | 25,184 | 3,242,692 | ||||||
Cigna Corp. | 25,682 | 3,824,050 | ||||||
McKesson Corp. | 20,933 | 3,142,671 | ||||||
Quest Diagnostics, Inc. | 19,761 | 1,925,512 | ||||||
|
| |||||||
12,134,925 | ||||||||
|
|
AB POOLING PORTFOLIOS • | 47 |
AB U.S. Value Portfolio—Portfolio of Investments
Company | Shares | U.S. $ Value | ||||||
| ||||||||
Pharmaceuticals – 6.5% | ||||||||
Johnson & Johnson | 63,573 | $ | 7,769,256 | |||||
Mallinckrodt PLC(a) | 49,974 | 2,619,637 | ||||||
Merck & Co., Inc. | 53,860 | 3,547,758 | ||||||
Pfizer, Inc. | 91,795 | 3,132,046 | ||||||
Teva Pharmaceutical Industries Ltd. (Sponsored ADR) | 89,501 | 3,134,325 | ||||||
|
| |||||||
20,203,022 | ||||||||
|
| |||||||
35,270,408 | ||||||||
|
| |||||||
Industrials – 9.0% | ||||||||
Aerospace & Defense – 2.5% | ||||||||
L3 Technologies, Inc. | 30,267 | 5,094,542 | ||||||
United Technologies Corp. | 23,684 | 2,665,634 | ||||||
|
| |||||||
7,760,176 | ||||||||
|
| |||||||
Airlines – 1.6% | ||||||||
Delta Air Lines, Inc. | 82,540 | 4,121,222 | ||||||
United Continental Holdings, Inc.(a) | 10,219 | 757,126 | ||||||
|
| |||||||
4,878,348 | ||||||||
|
| |||||||
Construction & Engineering – 0.3% | ||||||||
Quanta Services, Inc.(a) | 27,627 | 1,031,040 | ||||||
|
| |||||||
Electrical Equipment – 1.3% | ||||||||
Eaton Corp. PLC | 55,969 | 4,028,649 | ||||||
|
| |||||||
Industrial Conglomerates – 0.5% | ||||||||
General Electric Co. | 58,862 | 1,754,676 | ||||||
|
| |||||||
Machinery – 2.1% | ||||||||
Cummins, Inc. | 4,808 | 713,940 | ||||||
Deere & Co. | 7,214 | 789,861 | ||||||
Ingersoll-Rand PLC | 23,563 | 1,869,960 | ||||||
Oshkosh Corp. | 36,086 | 2,449,878 | ||||||
Parker-Hannifin Corp. | 4,098 | 634,534 | ||||||
|
| |||||||
6,458,173 | ||||||||
|
| |||||||
Trading Companies & Distributors – 0.7% | ||||||||
United Rentals, Inc.(a) | 16,815 | 2,152,824 | ||||||
|
| |||||||
28,063,886 | ||||||||
|
| |||||||
Consumer Staples – 7.7% | ||||||||
Food & Staples Retailing – 2.4% | ||||||||
Kroger Co. (The) | 137,108 | 4,360,034 | ||||||
Wal-Mart Stores, Inc. | 46,174 | 3,275,122 | ||||||
|
| |||||||
7,635,156 | ||||||||
|
| |||||||
Food Products – 1.1% | ||||||||
Archer-Daniels-Midland Co. | 20,764 | 975,285 | ||||||
Ingredion, Inc. | 6,828 | 825,437 | ||||||
Tyson Foods, Inc. – Class A | 26,275 | 1,643,764 | ||||||
|
| |||||||
3,444,486 | ||||||||
|
|
48 | • AB POOLING PORTFOLIOS |
AB U.S. Value Portfolio—Portfolio of Investments
Company | Shares | U.S. $ Value | ||||||
| ||||||||
Household Products – 1.3% | ||||||||
Procter & Gamble Co. (The) | 43,774 | $ | 3,986,498 | |||||
|
| |||||||
Tobacco – 2.9% | ||||||||
Altria Group, Inc. | 62,030 | 4,647,288 | ||||||
Philip Morris International, Inc. | 39,402 | 4,308,609 | ||||||
|
| |||||||
8,955,897 | ||||||||
|
| |||||||
24,022,037 | ||||||||
|
| |||||||
Consumer Discretionary – 7.6% | ||||||||
Auto Components – 1.8% | ||||||||
Lear Corp. | 18,012 | 2,557,524 | ||||||
Magna International, Inc. | 72,340 | 3,100,492 | ||||||
|
| |||||||
5,658,016 | ||||||||
|
| |||||||
Automobiles – 0.5% | ||||||||
General Motors Co. | 40,274 | 1,483,694 | ||||||
|
| |||||||
Media – 2.2% |
| |||||||
CBS Corp. – Class B | 29,542 | 1,947,409 | ||||||
Comcast Corp. – Class A | 97,896 | 3,663,268 | ||||||
Regal Entertainment Group – Class A | 36,876 | 795,784 | ||||||
Twenty-First Century Fox, Inc. – Class A | 12,772 | 382,138 | ||||||
|
| |||||||
6,788,599 | ||||||||
|
| |||||||
Multiline Retail – 1.0% |
| |||||||
Dollar General Corp. | 30,434 | 2,222,291 | ||||||
Target Corp. | 16,035 | 942,377 | ||||||
|
| |||||||
3,164,668 | ||||||||
|
| |||||||
Specialty Retail – 1.6% |
| |||||||
Burlington Stores, Inc.(a) | 21,809 | 1,941,219 | ||||||
Foot Locker, Inc. | 18,657 | 1,411,775 | ||||||
Ross Stores, Inc. | 25,063 | 1,718,821 | ||||||
|
| |||||||
5,071,815 | ||||||||
|
| |||||||
Textiles, Apparel & Luxury Goods – 0.5% |
| |||||||
PVH Corp. | 16,371 | 1,499,584 | ||||||
|
| |||||||
23,666,376 | ||||||||
|
| |||||||
Utilities – 6.6% |
| |||||||
Electric Utilities – 4.9% |
| |||||||
American Electric Power Co., Inc. | 54,285 | 3,635,466 | ||||||
Edison International | 50,470 | 4,024,478 | ||||||
Exelon Corp. | 96,454 | 3,540,826 | ||||||
FirstEnergy Corp. | 10,437 | 338,472 | ||||||
PG&E Corp. | 15,402 | 1,028,084 | ||||||
Portland General Electric Co. | 56,947 | 2,581,408 | ||||||
|
| |||||||
15,148,734 | ||||||||
|
|
AB POOLING PORTFOLIOS • | 49 |
AB U.S. Value Portfolio—Portfolio of Investments
Company | Shares | U.S. $ Value | ||||||
| ||||||||
Multi-Utilities – 1.6% |
| |||||||
DTE Energy Co. | 5,449 | $ | 552,419 | |||||
NiSource, Inc. | 127,133 | 3,039,750 | ||||||
Public Service Enterprise Group, Inc. | 18,100 | 832,238 | ||||||
WEC Energy Group, Inc. | 9,629 | 580,340 | ||||||
|
| |||||||
5,004,747 | ||||||||
|
| |||||||
Water Utilities – 0.1% |
| |||||||
American Water Works Co., Inc. | 5,423 | 422,994 | ||||||
|
| |||||||
20,576,475 | ||||||||
|
| |||||||
Telecommunication Services – 3.2% |
| |||||||
Diversified Telecommunication Services – 2.1% |
| |||||||
AT&T, Inc. | 157,794 | 6,594,211 | ||||||
|
| |||||||
Wireless Telecommunication Services – 1.1% |
| |||||||
T-Mobile US, Inc.(a) | 52,505 | 3,283,138 | ||||||
|
| |||||||
9,877,349 | ||||||||
|
| |||||||
Materials – 1.9% |
| |||||||
Chemicals – 1.7% |
| |||||||
CF Industries Holdings, Inc. | 94,779 | 2,977,956 | ||||||
Dow Chemical Co. (The) | 23,880 | 1,486,769 | ||||||
LyondellBasell Industries NV – Class A | 5,860 | 534,666 | ||||||
Mosaic Co. (The) | 9,697 | 302,450 | ||||||
|
| |||||||
5,301,841 | ||||||||
|
| |||||||
Metals & Mining – 0.2% | ||||||||
Newmont Mining Corp. | 16,314 | 558,591 | ||||||
|
| |||||||
5,860,432 | ||||||||
|
| |||||||
Total Investments – 99.5% | 309,200,732 | |||||||
Other assets less liabilities – 0.5% | 1,490,941 | |||||||
|
| |||||||
Net Assets – 100.0% | $ | 310,691,673 | ||||||
|
|
(a) | Non-income producing security. |
Glossary: |
ADR | – American Depositary Receipt |
See notes to financial statements.
50 | • AB POOLING PORTFOLIOS |
AB U.S. Value Portfolio—Portfolio of Investments
AB U.S. LARGE CAP GROWTH PORTFOLIO
PORTFOLIO OF INVESTMENTS
February 28, 2017 (unaudited)
Company | Shares | U.S. $ Value | ||||||
| ||||||||
COMMON STOCKS – 94.4% | ||||||||
Information Technology – 42.3% | ||||||||
Communications Equipment – 2.1% | ||||||||
Arista Networks, Inc.(a) | 33,822 | $ | 4,024,480 | |||||
Palo Alto Networks, Inc.(a) | 16,386 | 2,489,033 | ||||||
|
| |||||||
6,513,513 | ||||||||
|
| |||||||
Electronic Equipment, Instruments & Components – 0.6% | ||||||||
Amphenol Corp. – Class A | 26,697 | 1,847,699 | ||||||
|
| |||||||
Internet Software & Services – 14.3% | ||||||||
Alphabet, Inc. – Class A(a) | 3,385 | 2,860,088 | ||||||
Alphabet, Inc. – Class C(a) | 24,038 | 19,788,322 | ||||||
Facebook, Inc. – Class A(a) | 159,870 | 21,668,780 | ||||||
|
| |||||||
44,317,190 | ||||||||
|
| |||||||
IT Services – 8.8% | ||||||||
Cognizant Technology Solutions Corp. –Class A(a) | 42,180 | 2,500,008 | ||||||
Fiserv, Inc.(a) | 44,280 | 5,109,912 | ||||||
Vantiv, Inc. – Class A(a) | 48,160 | 3,148,701 | ||||||
Visa, Inc. – Class A | 188,818 | 16,604,655 | ||||||
|
| |||||||
27,363,276 | ||||||||
|
| |||||||
Semiconductors & Semiconductor Equipment – 5.5% | ||||||||
NVIDIA Corp. | 36,082 | 3,661,601 | ||||||
Texas Instruments, Inc. | 56,020 | 4,292,253 | ||||||
Xilinx, Inc. | 157,416 | 9,259,209 | ||||||
|
| |||||||
17,213,063 | ||||||||
|
| |||||||
Software – 6.3% | ||||||||
Adobe Systems, Inc.(a) | 74,880 | 8,861,299 | ||||||
Electronic Arts, Inc.(a) | 79,180 | 6,849,070 | ||||||
salesforce.com, Inc.(a) | 18,588 | 1,512,134 | ||||||
ServiceNow, Inc.(a) | 27,078 | 2,353,620 | ||||||
|
| |||||||
19,576,123 | ||||||||
|
| |||||||
Technology Hardware, Storage & Peripherals – 4.7% | ||||||||
Apple, Inc. | 106,301 | 14,562,174 | ||||||
|
| |||||||
131,393,038 | ||||||||
|
| |||||||
Health Care – 20.8% | ||||||||
Biotechnology – 6.1% | ||||||||
Alexion Pharmaceuticals, Inc.(a) | 21,595 | 2,834,344 | ||||||
Biogen, Inc.(a) | 48,834 | 14,093,492 | ||||||
Gilead Sciences, Inc. | 27,540 | 1,941,019 | ||||||
|
| |||||||
18,868,855 | ||||||||
|
|
AB POOLING PORTFOLIOS • | 51 |
AB U.S. Value Portfolio—Portfolio of Investments
Company | Shares | U.S. $ Value | ||||||
| ||||||||
Health Care Equipment & Supplies – 8.4% | ||||||||
Align Technology, Inc.(a) | 25,806 | $ | 2,651,825 | |||||
Danaher Corp. | 94,999 | 8,127,165 | ||||||
Edwards Lifesciences Corp.(a) | 79,285 | 7,455,961 | ||||||
Intuitive Surgical, Inc.(a) | 10,933 | 8,057,621 | ||||||
|
| |||||||
26,292,572 | ||||||||
|
| |||||||
Health Care Providers & Services – 4.2% |
| |||||||
UnitedHealth Group, Inc. | 69,065 | 11,421,970 | ||||||
VCA, Inc.(a) | 16,650 | 1,513,485 | ||||||
|
| |||||||
12,935,455 | ||||||||
|
| |||||||
Health Care Technology – 1.4% |
| |||||||
Cerner Corp.(a) | 79,510 | 4,376,230 | ||||||
|
| |||||||
Life Sciences Tools & Services – 0.7% |
| |||||||
Mettler-Toledo International, Inc.(a) | 4,563 | 2,172,992 | ||||||
|
| |||||||
64,646,104 | ||||||||
|
| |||||||
Consumer Discretionary – 18.6% |
| |||||||
Hotels, Restaurants & Leisure – 2.9% |
| |||||||
Starbucks Corp. | 160,600 | 9,133,322 | ||||||
|
| |||||||
Internet & Direct Marketing Retail – 1.5% |
| |||||||
Priceline Group, Inc. (The)(a) | 2,750 | 4,741,358 | ||||||
|
| |||||||
Media – 3.4% |
| |||||||
Comcast Corp. – Class A | 164,200 | 6,144,364 | ||||||
Walt Disney Co. (The) | 39,296 | 4,326,097 | ||||||
|
| |||||||
10,470,461 | ||||||||
|
| |||||||
Multiline Retail – 1.9% |
| |||||||
Dollar Tree, Inc.(a) | 77,686 | 5,956,962 | ||||||
|
| |||||||
Specialty Retail – 6.4% |
| |||||||
Home Depot, Inc. (The) | 90,211 | 13,072,476 | ||||||
O’Reilly Automotive, Inc.(a) | 13,740 | 3,733,295 | ||||||
Ulta Salon Cosmetics & Fragrance, Inc.(a) | 11,600 | 3,171,788 | ||||||
|
| |||||||
19,977,559 | ||||||||
|
| |||||||
Textiles, Apparel & Luxury Goods – 2.5% |
| |||||||
NIKE, Inc. – Class B | 133,552 | 7,633,832 | ||||||
|
| |||||||
57,913,494 | ||||||||
|
| |||||||
Industrials – 6.9% |
| |||||||
Aerospace & Defense – 0.6% |
| |||||||
Hexcel Corp. | 34,951 | 1,921,606 | ||||||
|
| |||||||
Building Products – 1.5% |
| |||||||
Allegion PLC | 22,660 | 1,644,889 | ||||||
AO Smith Corp. | 59,349 | 2,988,816 | ||||||
|
| |||||||
4,633,705 | ||||||||
|
|
52 | • AB POOLING PORTFOLIOS |
AB U.S. Large Cap Growth Portfolio—Portfolio of Investments
Company | Shares | U.S. $ Value | ||||||
| ||||||||
Industrial Conglomerates – 1.7% |
| |||||||
Roper Technologies, Inc. | 25,004 | $ | 5,230,837 | |||||
|
| |||||||
Machinery – 1.5% |
| |||||||
IDEX Corp. | 13,110 | 1,208,611 | ||||||
Snap-on, Inc. | 13,980 | 2,371,987 | ||||||
WABCO Holdings, Inc.(a) | 10,326 | 1,159,403 | ||||||
|
| |||||||
4,740,001 | ||||||||
|
| |||||||
Road & Rail – 1.6% |
| |||||||
Union Pacific Corp. | 46,270 | 4,994,384 | ||||||
|
| |||||||
21,520,533 | ||||||||
|
| |||||||
Consumer Staples – 4.5% |
| |||||||
Beverages – 2.4% |
| |||||||
Constellation Brands, Inc. – Class A | 13,910 | 2,209,047 | ||||||
Monster Beverage Corp.(a) | 126,424 | 5,239,011 | ||||||
|
| |||||||
7,448,058 | ||||||||
|
| |||||||
Food & Staples Retailing – 2.1% |
| |||||||
Costco Wholesale Corp. | 36,210 | 6,415,688 | ||||||
|
| |||||||
13,863,746 | ||||||||
|
| |||||||
Materials – 0.9% | ||||||||
Chemicals – 0.9% | ||||||||
Ecolab, Inc. | 22,260 | 2,759,572 | ||||||
|
| |||||||
Financials – 0.4% | ||||||||
Capital Markets – 0.4% | ||||||||
MarketAxess Holdings, Inc. | 6,206 | 1,211,597 | ||||||
|
| |||||||
Total Common Stocks | 293,308,084 | |||||||
|
| |||||||
SHORT-TERM INVESTMENTS – 5.7% | ||||||||
Investment Companies – 5.7% | ||||||||
AB Fixed Income Shares, Inc. – Government Money Market Portfolio – Class AB, 0.39%(b)(c) | 17,869,810 | 17,869,810 | ||||||
|
| |||||||
Total Investments – 100.1% | 311,177,894 | |||||||
Other assets less liabilities – (0.1)% | (460,647 | ) | ||||||
|
| |||||||
Net Assets – 100.0% | $ | 310,717,247 | ||||||
|
|
(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 • | 53 |
AB U.S. Large Cap Growth Portfolio—Portfolio of Investments
AB INTERNATIONAL VALUE PORTFOLIO
PORTFOLIO OF INVESTMENTS
February 28, 2017 (unaudited)
Company | Shares | U.S. $ Value | ||||||
| ||||||||
COMMON STOCKS – 98.2% | ||||||||
Financials – 22.2% | ||||||||
Banks – 16.8% | ||||||||
Australia & New Zealand Banking Group Ltd. | 180,420 | $ | 4,270,207 | |||||
Bank of Montreal | 18,960 | 1,438,773 | ||||||
Bank of Queensland Ltd. | 255,860 | 2,321,974 | ||||||
Barclays PLC | 962,270 | 2,704,635 | ||||||
BNP Paribas SA | 59,810 | 3,499,507 | ||||||
BOC Hong Kong Holdings Ltd. | 694,000 | 2,741,587 | ||||||
Danske Bank A/S | 81,150 | 2,704,825 | ||||||
DNB ASA | 164,410 | 2,695,596 | ||||||
Erste Group Bank AG | 86,300 | 2,509,955 | ||||||
ING Groep NV | 239,370 | 3,297,701 | ||||||
Intesa Sanpaolo SpA | 570,400 | 1,328,113 | ||||||
Itau Unibanco Holding SA (Preference Shares) | 162,280 | 2,078,124 | ||||||
KB Financial Group, Inc. (ADR) | 50,330 | 2,059,504 | ||||||
KBC Group NV | 39,860 | 2,439,357 | ||||||
Mitsubishi UFJ Financial Group, Inc. | 545,600 | 3,609,562 | ||||||
Shinhan Financial Group Co., Ltd. | 34,270 | 1,409,903 | ||||||
Toronto-Dominion Bank (The) | 49,510 | 2,551,916 | ||||||
|
| |||||||
43,661,239 | ||||||||
|
| |||||||
Capital Markets – 1.3% | ||||||||
Amundi SA(a) | 28,120 | 1,629,528 | ||||||
BM&FBovespa SA – Bolsa de Valores Mercadorias e Futuros | 291,100 | 1,773,502 | ||||||
|
| |||||||
3,403,030 | ||||||||
|
| |||||||
Consumer Finance – 0.7% | ||||||||
Hitachi Capital Corp. | 72,000 | 1,860,534 | ||||||
|
| |||||||
Diversified Financial Services – 0.5% | ||||||||
Haci Omer Sabanci Holding AS | 416,700 | 1,149,722 | ||||||
|
| |||||||
Insurance – 2.9% | ||||||||
AIA Group Ltd. | 327,200 | 2,065,268 | ||||||
Dongbu Insurance Co., Ltd. | 42,490 | 2,294,087 | ||||||
NN Group NV | 47,259 | 1,470,626 | ||||||
Suncorp Group Ltd. | 156,172 | 1,586,683 | ||||||
|
| |||||||
7,416,664 | ||||||||
|
| |||||||
57,491,189 | ||||||||
|
| |||||||
Information Technology – 11.4% | ||||||||
Communications Equipment – 1.1% | ||||||||
Nokia Oyj | 541,390 | 2,771,893 | ||||||
|
| |||||||
Electronic Equipment, Instruments & Components – 1.0% | ||||||||
Largan Precision Co., Ltd. | 18,000 | 2,671,432 | ||||||
|
|
54 | • AB POOLING PORTFOLIOS |
AB International Value Portfolio—Portfolio of Investments
Company | Shares | U.S. $ Value | ||||||
| ||||||||
Internet Software & Services – 2.0% | ||||||||
Tencent Holdings Ltd. | 117,700 | $ | 3,123,399 | |||||
Yahoo Japan Corp. | 430,900 | 2,000,515 | ||||||
|
| |||||||
5,123,914 | ||||||||
|
| |||||||
Semiconductors & Semiconductor Equipment – 3.6% | ||||||||
Infineon Technologies AG | 88,980 | 1,581,688 | ||||||
Realtek Semiconductor Corp. | 419,000 | 1,558,559 | ||||||
SCREEN Holdings Co., Ltd. | 29,400 | 1,983,320 | ||||||
Sumco Corp. | 200,100 | 2,940,711 | ||||||
Tokyo Electron Ltd. | 13,900 | 1,386,726 | ||||||
|
| |||||||
9,451,004 | ||||||||
|
| |||||||
Software – 0.9% | ||||||||
Nintendo Co., Ltd. | 11,100 | 2,318,520 | ||||||
|
| |||||||
Technology Hardware, Storage & Peripherals – 2.8% | ||||||||
Pegatron Corp. | 733,000 | 1,930,099 | ||||||
Samsung Electronics Co., Ltd. (GDR) (London)(a) | 6,340 | 5,369,562 | ||||||
|
| |||||||
7,299,661 | ||||||||
|
| |||||||
29,636,424 | ||||||||
|
| |||||||
Consumer Staples – 11.2% | ||||||||
Beverages – 0.3% | ||||||||
Asahi Group Holdings Ltd. | 24,000 | 848,444 | ||||||
|
| |||||||
Food & Staples Retailing – 3.5% | ||||||||
Koninklijke Ahold Delhaize NV | 244,340 | 5,201,286 | ||||||
Loblaw Cos., Ltd. | 21,830 | 1,138,342 | ||||||
Tesco PLC(b) | 715,710 | 1,672,500 | ||||||
X5 Retail Group NV (GDR)(a)(b) | 37,555 | 1,137,917 | ||||||
|
| |||||||
9,150,045 | ||||||||
|
| |||||||
Food Products – 3.2% | ||||||||
BRF SA | 123,600 | 1,610,535 | ||||||
Gruma SAB de CV – Class B | 134,000 | 1,760,211 | ||||||
JBS SA | 329,000 | 1,235,097 | ||||||
Orkla ASA | 237,120 | 2,084,478 | ||||||
WH Group Ltd.(a) | 2,109,000 | 1,646,565 | ||||||
|
| |||||||
8,336,886 | ||||||||
|
| |||||||
Household Products – 1.1% | ||||||||
Henkel AG & Co. KGaA (Preference Shares) | 21,630 | 2,702,261 | ||||||
|
| |||||||
Tobacco – 3.1% | ||||||||
British American Tobacco PLC | 97,170 | 6,137,699 | ||||||
Imperial Brands PLC | 41,540 | 1,955,505 | ||||||
|
| |||||||
8,093,204 | ||||||||
|
| |||||||
29,130,840 | ||||||||
|
|
AB POOLING PORTFOLIOS • | 55 |
AB International Value Portfolio—Portfolio of Investments
Company | Shares | U.S. $ Value | ||||||
| ||||||||
Consumer Discretionary – 10.2% | ||||||||
Auto Components – 3.3% | ||||||||
Hankook Tire Co., Ltd.(b) | 36,960 | $ | 1,952,249 | |||||
Magna International, Inc. (New York) – Class A | 67,940 | 2,911,908 | ||||||
Sumitomo Electric Industries Ltd. | 114,100 | 1,858,685 | ||||||
Valeo SA | 29,140 | 1,794,546 | ||||||
|
| |||||||
8,517,388 | ||||||||
|
| |||||||
Automobiles – 3.2% | ||||||||
Honda Motor Co., Ltd. | 118,500 | 3,670,814 | ||||||
Peugeot SA(b) | 168,790 | 3,217,249 | ||||||
Tata Motors Ltd. – Class A | 308,986 | 1,275,041 | ||||||
|
| |||||||
8,163,104 | ||||||||
|
| |||||||
Household Durables – 1.0% | ||||||||
Panasonic Corp. | 246,000 | 2,699,416 | ||||||
|
| |||||||
Media – 1.4% | ||||||||
Liberty Global PLC – Series C(b) | 105,995 | 3,719,365 | ||||||
|
| |||||||
Textiles, Apparel & Luxury Goods – 1.3% | ||||||||
HUGO BOSS AG | 30,290 | 2,082,961 | ||||||
Kering | 5,110 | 1,243,357 | ||||||
|
| |||||||
3,326,318 | ||||||||
|
| |||||||
26,425,591 | ||||||||
|
| |||||||
Materials – 9.6% | ||||||||
Chemicals – 4.2% | ||||||||
Air Water, Inc. | 95,000 | 1,805,873 | ||||||
Arkema SA | 27,342 | 2,650,531 | ||||||
Incitec Pivot Ltd. | 618,000 | 1,737,552 | ||||||
Johnson Matthey PLC | 44,970 | 1,710,005 | ||||||
LG Chem Ltd. | 5,510 | 1,377,685 | ||||||
Nippon Shokubai Co., Ltd. | 25,900 | 1,714,514 | ||||||
|
| |||||||
10,996,160 | ||||||||
|
| |||||||
Construction Materials – 0.6% | ||||||||
Buzzi Unicem SpA(c) | 66,531 | 1,646,453 | ||||||
|
| |||||||
Metals & Mining – 4.0% | ||||||||
BlueScope Steel Ltd. | 97,026 | 907,443 | ||||||
Boliden AB | 72,580 | 2,210,117 | ||||||
Gerdau SA (Preference Shares) | 446,500 | 1,853,047 | ||||||
Goldcorp, Inc. | 73,250 | 1,160,904 | ||||||
MMC Norilsk Nickel PJSC (ADR) | 154,155 | 2,456,300 | ||||||
Novolipetsk Steel PJSC (GDR)(a) | 86,400 | 1,655,917 | ||||||
|
| |||||||
10,243,728 | ||||||||
|
| |||||||
Paper & Forest Products – 0.8% | ||||||||
Mondi PLC | 86,241 | 2,010,075 | ||||||
|
| |||||||
24,896,416 | ||||||||
|
|
56 | • AB POOLING PORTFOLIOS |
AB International Value Portfolio—Portfolio of Investments
Company | Shares | U.S. $ Value | ||||||
| ||||||||
Industrials – 8.8% | ||||||||
Aerospace & Defense – 2.1% | ||||||||
Airbus SE | 50,928 | $ | 3,742,007 | |||||
BAE Systems PLC | 225,100 | 1,762,205 | ||||||
|
| |||||||
5,504,212 | ||||||||
|
| |||||||
Airlines – 4.2% | ||||||||
Air Canada(b) | 135,310 | 1,363,084 | ||||||
International Consolidated Airlines Group SA | 431,310 | 2,875,640 | ||||||
Japan Airlines Co., Ltd. | 112,900 | 3,689,485 | ||||||
Qantas Airways Ltd. | 1,038,413 | 2,985,334 | ||||||
|
| |||||||
10,913,543 | ||||||||
|
| |||||||
Machinery – 1.0% | ||||||||
IHI Corp.(b) | 873,000 | 2,714,408 | ||||||
|
| |||||||
Road & Rail – 1.5% | ||||||||
Canadian National Railway Co. (Toronto) | 15,070 | 1,047,934 | ||||||
Central Japan Railway Co. | 17,000 | 2,782,895 | ||||||
|
| |||||||
3,830,829 | ||||||||
|
| |||||||
22,962,992 | ||||||||
|
| |||||||
Telecommunication Services – 7.8% | ||||||||
Diversified Telecommunication | ||||||||
BT Group PLC | 1,300,790 | 5,256,570 | ||||||
China Unicom Hong Kong Ltd. | 2,168,000 | 2,636,006 | ||||||
Nippon Telegraph & Telephone Corp. | 145,000 | 6,133,401 | ||||||
TDC A/S(b) | 350,300 | 1,882,266 | ||||||
|
| |||||||
15,908,243 | ||||||||
|
| |||||||
Wireless Telecommunication Services – 1.7% | ||||||||
Vodafone Group PLC | 1,763,862 | 4,417,358 | ||||||
|
| |||||||
20,325,601 | ||||||||
|
| |||||||
Energy – 7.2% | ||||||||
Energy Equipment & Services – 0.7% | ||||||||
Petrofac Ltd. | 157,350 | 1,742,984 | ||||||
|
| |||||||
Oil, Gas & Consumable Fuels – 6.5% | ||||||||
Canadian Natural Resources Ltd. | 73,240 | 2,100,370 | ||||||
JX Holdings, Inc. | 709,400 | 3,381,793 | ||||||
LUKOIL PJSC (Sponsored ADR) | 20,540 | 1,086,052 | ||||||
PetroChina Co., Ltd. – Class H | 2,268,000 | 1,722,727 | ||||||
Royal Dutch Shell PLC (Euronext Amsterdam) – Class A | 240,702 | 6,236,603 | ||||||
YPF SA (Sponsored ADR) | 115,445 | 2,395,484 | ||||||
|
| |||||||
16,923,029 | ||||||||
|
| |||||||
18,666,013 | ||||||||
|
|
AB POOLING PORTFOLIOS • | 57 |
AB International Value Portfolio—Portfolio of Investments
Company | Shares | U.S. $ Value | ||||||
| ||||||||
Health Care – 6.7% | ||||||||
Biotechnology – 0.7% | ||||||||
Grifols SA (ADR) | 102,690 | $ | 1,786,806 | |||||
|
| |||||||
Pharmaceuticals – 6.0% | ||||||||
Roche Holding AG | 22,460 | 5,466,861 | ||||||
Sanofi | 57,060 | 4,921,880 | ||||||
STADA Arzneimittel AG | 34,610 | 2,092,997 | ||||||
Teva Pharmaceutical Industries Ltd. | 11,682 | 410,937 | ||||||
Teva Pharmaceutical Industries Ltd. (Sponsored ADR) | 75,650 | 2,649,263 | ||||||
|
| |||||||
15,541,938 | ||||||||
|
| |||||||
17,328,744 | ||||||||
|
| |||||||
Utilities – 2.2% | ||||||||
Electric Utilities – 1.3% | ||||||||
EDP – Energias de Portugal SA | 509,920 | 1,576,432 | ||||||
Enel SpA | 400,638 | 1,719,412 | ||||||
|
| |||||||
3,295,844 | ||||||||
|
| |||||||
Water Utilities – 0.9% | ||||||||
Cia de Saneamento Basico do Estado de Sao Paulo | 115,600 | 1,217,755 | ||||||
Pennon Group PLC | 107,610 | 1,157,776 | ||||||
|
| |||||||
2,375,531 | ||||||||
|
| |||||||
5,671,375 | ||||||||
|
| |||||||
Real Estate – 0.9% | ||||||||
Real Estate Management & | ||||||||
LendLease Group | 200,273 | 2,336,648 | ||||||
|
| |||||||
Total Common Stocks | 254,871,833 | |||||||
|
| |||||||
SHORT-TERM INVESTMENTS – 1.1% | ||||||||
Investment Companies – 1.1% | ||||||||
AB Fixed Income Shares, Inc. – Government Money Market Portfolio – Class AB, 0.39%(d)(e) | 2,905,076 | 2,905,076 | ||||||
|
| |||||||
Total Investments Before Security Lending Collateral for Securities Loaned – 99.3% | 257,776,909 | |||||||
|
| |||||||
INVESTMENTS OF CASH COLLATERAL FOR SECURITIES LOANED – 0.7% | ||||||||
Investment Companies – 0.7% | ||||||||
AB Fixed Income Shares, Inc. – Government Money Market Portfolio – Class AB, 0.39%(d)(e) | 1,683,950 | 1,683,950 | ||||||
|
|
58 | • AB POOLING PORTFOLIOS |
AB International Value Portfolio—Portfolio of Investments
U.S. $ Value | ||||||||
| ||||||||
Total Investments – 100.0% | $ | 259,460,859 | ||||||
Other assets less liabilities – 0.0% | 31,007 | |||||||
|
| |||||||
Net Assets – 100.0% | $ | 259,491,866 | ||||||
|
|
FORWARD CURRENCY EXCHANGE CONTRACTS (see Note C)
Counterparty | Contracts to Deliver (000) | In Exchange For (000) | Settlement Date | Unrealized Appreciation/ (Depreciation) | ||||||||||||||||||||
Barclays Bank PLC | EUR | 4,440 | USD | 4,754 | 5/16/17 | $ | 33,935 | |||||||||||||||||
Barclays Bank PLC | ILS | 6,022 | USD | 1,610 | 5/16/17 | (47,254 | ) | |||||||||||||||||
Barclays Bank PLC | USD | 3,017 | SEK | 26,583 | 5/16/17 | (61,525 | ) | |||||||||||||||||
Citibank, NA | USD | 927 | RUB | 55,233 | 4/28/17 | 8,975 | ||||||||||||||||||
Citibank, NA | USD | 4,305 | CAD | 5,670 | 5/16/17 | (33,609 | ) | |||||||||||||||||
Goldman Sachs Bank USA | JPY | 1,052,384 | USD | 9,437 | 5/16/17 | 39,983 | ||||||||||||||||||
Goldman Sachs Bank USA | NOK | 12,890 | USD | 1,549 | 5/16/17 | 10,973 | ||||||||||||||||||
Goldman Sachs Bank USA | USD | 2,799 | TWD | 86,465 | 5/16/17 | 29,520 | ||||||||||||||||||
HSBC Bank USA | BRL | 10,672 | USD | 3,332 | 4/04/17 | (71,464 | ) | |||||||||||||||||
JPMorgan Chase Bank, NA | NOK | 9,929 | USD | 1,174 | 5/16/17 | (11,474 | ) | |||||||||||||||||
Nomura Global Financial Products, Inc. | USD | 1,852 | INR | 127,946 | 5/16/17 | 50,264 | ||||||||||||||||||
Northern Trust Co. | USD | 2,503 | ZAR | 34,250 | 5/16/17 | 74,432 | ||||||||||||||||||
Royal Bank of Scotland PLC | HKD | 10,328 | USD | 1,333 | 5/16/17 | 1,230 | ||||||||||||||||||
Royal Bank of Scotland PLC | KRW | 6,419,305 | USD | 5,617 | 5/16/17 | (45,592 | ) | |||||||||||||||||
Royal Bank of Scotland PLC | USD | 740 | MXN | 15,411 | 5/16/17 | 18,456 | ||||||||||||||||||
Standard Chartered Bank | CNY | 12,344 | USD | 1,785 | 5/16/17 | (2,855 | ) | |||||||||||||||||
Standard Chartered Bank | TWD | 55,186 | USD | 1,806 | 5/16/17 | 451 | ||||||||||||||||||
State Street Bank & Trust Co. | HKD | 16,815 | USD | 2,170 | 5/16/17 | 1,519 | ||||||||||||||||||
State Street Bank & Trust Co. | USD | 4,330 | CHF | 4,285 | 5/16/17 | (45,264 | ) | |||||||||||||||||
State Street Bank & Trust Co. | USD | 6,390 | CNY | 44,232 | 5/16/17 | 15,776 | ||||||||||||||||||
State Street Bank & Trust Co. | USD | 2,832 | JPY | 317,106 | 5/16/17 | (416 | ) | |||||||||||||||||
|
| |||||||||||||||||||||||
$ | (33,939 | ) | ||||||||||||||||||||||
|
|
(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 February 28, 2017, the aggregate market value of these securities amounted to $11,439,489 or 4.4% of net assets. |
(b) | Non-income producing security. |
(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. |
AB POOLING PORTFOLIOS • | 59 |
AB International Value Portfolio—Portfolio of Investments
Currency Abbreviations:
BRL | – Brazilian Real |
CAD | – Canadian Dollar |
CHF | – Swiss Franc |
CNY | – Chinese Yuan Renminbi |
EUR | – Euro |
HKD | – Hong Kong Dollar |
ILS | – Israeli Shekel |
INR | – Indian Rupee |
JPY | – Japanese Yen |
KRW | – South Korean Won |
MXN | – Mexican Peso |
NOK | – Norwegian Krone |
RUB | – Russian Ruble |
SEK | – Swedish Krona |
TWD | – New Taiwan Dollar |
USD | – United States Dollar |
ZAR | – South African Rand |
Glossary:
ADR | – American Depositary Receipt |
GDR | – Global Depositary Receipt |
PJSC | – Public Joint Stock Company |
See notes to financial statements.
60 | • AB POOLING PORTFOLIOS |
AB International Value Portfolio—Portfolio of Investments
AB INTERNATIONAL GROWTH PORTFOLIO
PORTFOLIO OF INVESTMENTS
February 28, 2017 (unaudited)
Company | Shares | U.S. $ Value | ||||||
| ||||||||
COMMON STOCKS – 99.0% | ||||||||
Financials – 21.3% | ||||||||
Banks – 4.9% | ||||||||
Axis Bank Ltd. | 270,110 | $ | 2,045,058 | |||||
Banco Santander SA | 235,640 | 1,281,545 | ||||||
BNP Paribas SA | 63,920 | 3,739,985 | ||||||
HDFC Bank Ltd. | 62,647 | 1,352,119 | ||||||
HSBC Holdings PLC | 147,730 | 1,186,579 | ||||||
Sberbank of Russia PJSC (Sponsored ADR) | 274,504 | 3,005,819 | ||||||
|
| |||||||
12,611,105 | ||||||||
|
| |||||||
Capital Markets – 5.0% | ||||||||
Partners Group Holding AG | 11,129 | 5,821,708 | ||||||
UBS Group AG | 449,243 | 6,925,459 | ||||||
|
| |||||||
12,747,167 | ||||||||
|
| |||||||
Consumer Finance – 0.2% | ||||||||
Shriram Transport Finance Co., Ltd. | 37,380 | 518,790 | ||||||
|
| |||||||
Diversified Financial Services – 0.8% | ||||||||
GRENKE AG | 11,240 | 1,964,947 | ||||||
|
| |||||||
Insurance – 7.2% | ||||||||
Admiral Group PLC | 106,505 | 2,415,620 | ||||||
AIA Group Ltd. | 1,385,000 | 8,742,042 | ||||||
Prudential PLC | 374,840 | 7,491,195 | ||||||
|
| |||||||
18,648,857 | ||||||||
|
| |||||||
Thrifts & Mortgage Finance – 3.2% | ||||||||
Housing Development Finance Corp. Ltd. | 402,330 | 8,254,528 | ||||||
|
| |||||||
54,745,394 | ||||||||
|
| |||||||
Information Technology – 20.7% | ||||||||
Electronic Equipment, Instruments & Components – 1.5% | ||||||||
Keyence Corp. | 10,200 | 3,944,153 | ||||||
|
| |||||||
Internet Software & Services – 5.6% | ||||||||
Alibaba Group Holding Ltd. (Sponsored ADR)(a) | 34,300 | 3,529,470 | ||||||
Criteo SA (Sponsored ADR)(a) | 56,180 | 2,639,336 | ||||||
Tencent Holdings Ltd. | 310,500 | 8,239,724 | ||||||
|
| |||||||
14,408,530 | ||||||||
|
| |||||||
IT Services – 0.5% | ||||||||
HCL Technologies Ltd. | 108,270 | 1,361,452 | ||||||
|
| |||||||
Semiconductors & Semiconductor Equipment – 4.7% | ||||||||
ASML Holding NV | 30,310 | 3,684,498 | ||||||
SK Hynix, Inc. | 85,240 | 3,512,306 |
AB POOLING PORTFOLIOS • | 61 |
AB International Growth Portfolio—Portfolio of Investments
Company | Shares | U.S. $ Value | ||||||
| ||||||||
Taiwan Semiconductor Manufacturing Co., Ltd. | 802,000 | $ | 4,913,479 | |||||
|
| |||||||
12,110,283 | ||||||||
|
| |||||||
Software – 5.1% | ||||||||
Constellation Software, Inc./Canada | 19,290 | 9,055,349 | ||||||
Dassault Systemes SE | 49,240 | 3,977,901 | ||||||
|
| |||||||
13,033,250 | ||||||||
|
| |||||||
Technology Hardware, Storage & Peripherals – 3.3% | ||||||||
Samsung Electronics Co., Ltd. | 5,030 | 8,548,144 | ||||||
|
| |||||||
53,405,812 | ||||||||
|
| |||||||
Consumer Staples – 11.5% | ||||||||
Food & Staples Retailing – 1.2% | ||||||||
Lenta Ltd. (GDR)(a)(b) | 366,961 | 2,436,621 | ||||||
Sugi Holdings Co., Ltd.(c) | 13,300 | 612,752 | ||||||
|
| |||||||
3,049,373 | ||||||||
|
| |||||||
Household Products – 1.0% | ||||||||
Reckitt Benckiser Group PLC | 27,370 | 2,485,187 | ||||||
|
| |||||||
Personal Products – 2.4% | ||||||||
Amorepacific Corp. | 3,480 | 925,880 | ||||||
LG Household & Health Care Ltd. | 3,070 | 2,382,481 | ||||||
Unilever PLC | 58,350 | 2,768,213 | ||||||
|
| |||||||
6,076,574 | ||||||||
|
| |||||||
Tobacco – 6.9% | ||||||||
British American Tobacco PLC | 159,009 | 10,043,730 | ||||||
Japan Tobacco, Inc. | 234,400 | 7,841,901 | ||||||
|
| |||||||
17,885,631 | ||||||||
|
| |||||||
29,496,765 | ||||||||
|
| |||||||
Health Care – 10.5% | ||||||||
Biotechnology – 0.2% | ||||||||
China Biologic Products, Inc.(a) | 5,760 | 565,632 | ||||||
|
| |||||||
Health Care Equipment & Supplies – 3.2% | ||||||||
Essilor International SA | 53,180 | 6,104,893 | ||||||
Sartorius AG (Preference Shares) | 26,670 | 1,999,139 | ||||||
|
| |||||||
8,104,032 | ||||||||
|
| |||||||
Life Sciences Tools & Services – 3.1% | ||||||||
Eurofins Scientific SE | 18,631 | 7,960,020 | ||||||
|
| |||||||
Pharmaceuticals – 4.0% | ||||||||
Novartis AG (REG) | 18,260 | 1,425,958 | ||||||
Roche Holding AG | 8,540 | 2,078,673 | ||||||
Shire PLC | 114,360 | 6,895,744 | ||||||
|
| |||||||
10,400,375 | ||||||||
|
| |||||||
27,030,059 | ||||||||
|
|
62 | • AB POOLING PORTFOLIOS |
AB International Growth Portfolio—Portfolio of Investments
Company | Shares | U.S. $ Value | ||||||
| ||||||||
Consumer Discretionary – 10.2% | ||||||||
Auto Components – 0.8% | ||||||||
Valeo SA | 31,540 | $ | 1,942,347 | |||||
|
| |||||||
Automobiles – 0.5% | ||||||||
Toyota Motor Corp. | 21,900 | 1,238,944 | ||||||
|
| |||||||
Diversified Consumer Services – 0.7% | ||||||||
Kroton Educacional SA | 258,500 | 1,132,877 | ||||||
Tarena International, Inc. (ADR)(c) | 55,000 | 795,850 | ||||||
|
| |||||||
1,928,727 | ||||||||
|
| |||||||
Hotels, Restaurants & Leisure – 1.0% | ||||||||
IMAX China Holding, Inc.(a)(b)(c) | 284,100 | 1,361,498 | ||||||
Sodexo SA | 10,658 | 1,169,672 | ||||||
|
| |||||||
2,531,170 | ||||||||
|
| |||||||
Internet & Direct Marketing Retail – 0.5% | ||||||||
Ctrip.com International Ltd. (ADR)(a) | 28,810 | 1,366,746 | ||||||
|
| |||||||
Media – 4.2% | ||||||||
CTS Eventim AG & Co. KGaA | 111,894 | 4,068,214 | ||||||
Naspers Ltd. – Class N | 42,734 | 6,831,702 | ||||||
|
| |||||||
10,899,916 | ||||||||
|
| |||||||
Specialty Retail – 1.6% | ||||||||
ABC-Mart, Inc. | 68,000 | 4,101,865 | ||||||
|
| |||||||
Textiles, Apparel & Luxury Goods – 0.9% | ||||||||
Samsonite International SA | 738,800 | 2,240,145 | ||||||
|
| |||||||
26,249,860 | ||||||||
|
| |||||||
Energy – 9.0% | ||||||||
Oil, Gas & Consumable Fuels – 9.0% | ||||||||
CNOOC Ltd. | 998,000 | 1,180,625 | ||||||
LUKOIL PJSC (Sponsored ADR) | 51,940 | 2,746,327 | ||||||
Novatek PJSC (Sponsored GDR)(b) | 11,570 | 1,499,710 | ||||||
Royal Dutch Shell PLC (Euronext Amsterdam) – Class A | 360,430 | 9,338,763 | ||||||
TOTAL SA | 169,454 | 8,455,066 | ||||||
|
| |||||||
23,220,491 | ||||||||
|
| |||||||
Industrials – 6.6% | ||||||||
Commercial Services & Supplies – 2.9% | ||||||||
Babcock International Group PLC | 525,885 | 6,182,831 | ||||||
IWG PLC | 402,858 | 1,414,596 | ||||||
|
| |||||||
7,597,427 | ||||||||
|
| |||||||
Construction & Engineering – 0.2% | ||||||||
IRB Infrastructure Developers Ltd. | 117,330 | 407,201 | ||||||
|
| |||||||
Professional Services – 1.9% | ||||||||
Teleperformance | 44,390 | 4,913,970 | ||||||
|
|
AB POOLING PORTFOLIOS • | 63 |
AB International Growth Portfolio—Portfolio of Investments
Company | Shares | U.S. $ Value | ||||||
| ||||||||
Trading Companies & Distributors – 1.6% | ||||||||
BOC Aviation Ltd.(b) | 468,800 | $ | 2,441,856 | |||||
Brenntag AG | 28,690 | 1,644,102 | ||||||
|
| |||||||
4,085,958 | ||||||||
|
| |||||||
17,004,556 | ||||||||
|
| |||||||
Materials – 4.6% | ||||||||
Metals & Mining – 4.6% | ||||||||
BHP Billiton PLC | 498,460 | 8,034,146 | ||||||
Glencore PLC(a) | 979,680 | 3,905,556 | ||||||
|
| |||||||
11,939,702 | ||||||||
|
| |||||||
Real Estate – 2.8% | ||||||||
Real Estate Management & Development – 2.8% | ||||||||
Ayala Land, Inc. | 2,678,100 | 1,881,122 | ||||||
Daito Trust Construction Co., Ltd. | 32,600 | 4,560,675 | ||||||
Global Logistic Properties Ltd. | 405,000 | 767,908 | ||||||
|
| |||||||
7,209,705 | ||||||||
|
| |||||||
Telecommunication Services – 1.8% | ||||||||
Diversified Telecommunication Services – 0.3% | ||||||||
Tower Bersama Infrastructure Tbk PT | 2,135,600 | 799,947 | ||||||
|
| |||||||
Wireless Telecommunication Services – 1.5% | ||||||||
SoftBank Group Corp. | 50,100 | 3,737,707 | ||||||
|
| |||||||
4,537,654 | ||||||||
|
| |||||||
Total Common Stocks | 254,839,998 | |||||||
|
| |||||||
SHORT-TERM INVESTMENTS – 0.2% | ||||||||
Investment Companies – 0.2% | ||||||||
AB Fixed Income Shares, Inc. – Government Money Market Portfolio – Class AB, 0.39%(d)(e) | 545,520 | 545,520 | ||||||
|
| |||||||
Total Investments Before Security Lending Collateral for Securities Loaned – 99.2% | 255,385,518 | |||||||
|
| |||||||
INVESTMENTS OF CASH COLLATERAL FOR SECURITIES LOANED – 0.7% | ||||||||
Investment Companies – 0.7% | ||||||||
AB Fixed Income Shares, Inc. – Government | 1,748,351 | 1,748,351 | ||||||
|
| |||||||
Total Investments – 99.9% | 257,133,869 | |||||||
Other assets less liabilities – 0.1% | 310,626 | |||||||
|
| |||||||
Net Assets – 100.0% | $ | 257,444,495 | ||||||
|
|
64 | • 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) | ||||||||||||||||||||
Barclays Bank PLC | USD | 3,436 | AUD | 4,494 | 6/15/17 | $ | 1,825 | |||||||||||||||||
BNP Paribas SA | GBP | 1,164 | USD | 1,456 | 6/15/17 | 7,987 | ||||||||||||||||||
Citibank, NA | EUR | 13,594 | USD | 14,486 | 3/16/17 | 76,078 | ||||||||||||||||||
Citibank, NA | USD | 8,226 | CAD | 10,864 | 3/16/17 | (45,332 | ) | |||||||||||||||||
Citibank, NA | USD | 1,099 | NOK | 9,291 | 3/16/17 | 9,423 | ||||||||||||||||||
Credit Suisse International | SGD | 2,054 | USD | 1,443 | 3/16/17 | (22,807 | ) | |||||||||||||||||
Credit Suisse International | USD | 11,074 | JPY | 1,257,153 | 3/16/17 | 121,401 | ||||||||||||||||||
Credit Suisse International | USD | 4,512 | SEK | 41,037 | 3/16/17 | 37,599 | ||||||||||||||||||
HSBC Bank USA | CHF | 1,523 | USD | 1,511 | 3/16/17 | (6,290 | ) | |||||||||||||||||
HSBC Bank USA | JPY | 389,880 | USD | 3,436 | 3/16/17 | (35,831 | ) | |||||||||||||||||
HSBC Bank USA | USD | 1,796 | BRL | 5,753 | 4/04/17 | 38,524 | ||||||||||||||||||
HSBC Bank USA | CHF | 1,299 | USD | 1,296 | 6/15/17 | (5,651 | ) | |||||||||||||||||
JPMorgan Chase Bank, NA | USD | 3,891 | JPY | 446,939 | 3/16/17 | 89,363 | ||||||||||||||||||
JPMorgan Chase Bank, NA | GBP | 3,609 | USD | 4,530 | 6/15/17 | 40,727 | ||||||||||||||||||
Morgan Stanley & Co., Inc. | CHF | 6,045 | USD | 5,910 | 3/16/17 | (113,215 | ) | |||||||||||||||||
Morgan Stanley & Co., Inc. | GBP | 1,945 | USD | 2,422 | 3/16/17 | 7,940 | ||||||||||||||||||
Morgan Stanley & Co., Inc. | USD | 2,991 | JPY | 342,697 | 3/16/17 | 61,245 | ||||||||||||||||||
Nomura Global Financial Products, Inc. | USD | 1,639 | KRW | 1,984,579 | 3/16/17 | 110,890 | ||||||||||||||||||
Standard Chartered Bank | KRW | 4,493,036 | USD | 3,856 | 3/16/17 | (105,802 | ) | |||||||||||||||||
State Street Bank & Trust Co. | CHF | 627 | USD | 623 | 3/16/17 | (1,624 | ) | |||||||||||||||||
State Street Bank & Trust Co. | GBP | 10,551 | USD | 13,283 | 3/16/17 | 186,992 | ||||||||||||||||||
State Street Bank & Trust Co. | HKD | 48,882 | USD | 6,306 | 3/16/17 | 8,311 | ||||||||||||||||||
State Street Bank & Trust Co. | JPY | 314,260 | USD | 2,799 | 3/16/17 | (148 | ) | |||||||||||||||||
State Street Bank & Trust Co. | USD | 8,825 | AUD | 11,888 | 3/16/17 | 286,394 | ||||||||||||||||||
State Street Bank & Trust Co. | USD | 966 | CHF | 937 | 3/16/17 | (31,926 | ) | |||||||||||||||||
State Street Bank & Trust Co. | USD | 3,061 | EUR | 2,903 | 3/16/17 | 15,971 | ||||||||||||||||||
State Street Bank & Trust Co. | USD | 2,512 | EUR | 2,347 | 3/16/17 | (23,823 | ) | |||||||||||||||||
State Street Bank & Trust Co. | EUR | 1,415 | USD | 1,513 | 6/15/17 | 6,504 | ||||||||||||||||||
UBS AG | USD | 2,199 | KRW | 2,508,457 | 3/16/17 | 13,039 | ||||||||||||||||||
UBS AG | KRW | 2,508,457 | USD | 2,202 | 6/15/17 | (11,650 | ) | |||||||||||||||||
|
| |||||||||||||||||||||||
$ | 716,114 | |||||||||||||||||||||||
|
|
AB POOLING PORTFOLIOS • | 65 |
AB International Growth Portfolio—Portfolio of Investments
(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 February 28, 2017, the aggregate market value of these securities amounted to $7,739,685 or 3.0% of net assets. |
(c) | Represents entire or partial securities out on loan. See Note D for securities lending information. |
(d) | Investment in affiliated money market mutual fund. The rate shown represents the 7-day yield as of period end. |
(e) | To obtain a copy of the fund’s financial statements, please go to the Securities and Exchange Commission’s website at www.sec.gov, or call AB at (800) 227-4618. |
Currency Abbreviations:
AUD | – Australian Dollar |
BRL | – Brazilian Real |
CAD | – Canadian Dollar |
CHF | – Swiss Franc |
EUR | – Euro |
GBP | – Great British Pound |
HKD | – Hong Kong Dollar |
JPY | – Japanese Yen |
KRW | – South Korean Won |
NOK | – Norwegian Krone |
SEK | – Swedish Krona |
SGD | – Singapore 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. |
66 | • AB POOLING PORTFOLIOS |
AB International Growth Portfolio—Portfolio of Investments
AB SHORT DURATION BOND PORTFOLIO
PORTFOLIO OF INVESTMENTS
February 28, 2017 (unaudited)
Principal Amount (000) | U.S. $ Value | |||||||||||
| ||||||||||||
GOVERNMENTS - TREASURIES – 36.8% |
| |||||||||||
United States – 36.8% | ||||||||||||
U.S. Treasury Notes | U.S.$ | 4,760 | $ | 4,734,339 | ||||||||
0.875%, 3/31/18-5/15/19 | 8,919 | 8,898,876 | ||||||||||
1.125%, 1/31/19-2/28/21 | 5,212 | 5,159,754 | ||||||||||
1.375%, 6/30/18-2/15/20 | 6,783 | 6,803,233 | ||||||||||
1.625%, 6/30/20 | 636 | 636,344 | ||||||||||
|
| |||||||||||
Total Governments - Treasuries | 26,232,546 | |||||||||||
|
| |||||||||||
CORPORATES - INVESTMENT |
| |||||||||||
Financial Institutions – 13.3% | ||||||||||||
Banking – 12.8% | ||||||||||||
ABN AMRO Bank NV | 384 | 387,494 | ||||||||||
American Express Credit Corp. | 217 | 217,510 | ||||||||||
2.125%, 3/18/19 | 200 | 201,501 | ||||||||||
Bank of America NA | 250 | 250,469 | ||||||||||
Bank of Montreal | 315 | 313,504 | ||||||||||
Barclays PLC | 217 | 217,482 | ||||||||||
BB&T Corp. | 240 | 241,914 | ||||||||||
BNP Paribas SA | 631 | 633,210 | ||||||||||
Citigroup, Inc. | 218 | 218,143 | ||||||||||
1.754% (LIBOR 3 Month + 0.70%), 11/24/17(b) | 223 | 223,608 | ||||||||||
Credit Agricole SA/London | 352 | 354,904 | ||||||||||
Credit Suisse AG/New York, NY | 306 | 306,254 | ||||||||||
Goldman Sachs Group, Inc. (The) | 216 | 219,441 | ||||||||||
2.75%, 9/15/20 | 207 | 208,888 | ||||||||||
HSBC USA, Inc. | 219 | 219,188 | ||||||||||
ING Bank NV | 250 | 251,648 |
AB POOLING PORTFOLIOS • | 67 |
AB Short Duration Bond Portfolio—Portfolio of Investments
Principal Amount (000) | U.S. $ Value | |||||||||||
| ||||||||||||
JPMorgan Chase & Co. | U.S.$ | 219 | $ | 219,584 | ||||||||
KeyBank NA/Cleveland OH | 346 | 346,916 | ||||||||||
Mizuho Bank Ltd. | 449 | 449,323 | ||||||||||
Morgan Stanley | 223 | 223,728 | ||||||||||
5.95%, 12/28/17 | 261 | 270,403 | ||||||||||
Nordea Bank AB | 230 | 231,875 | ||||||||||
Royal Bank of Canada | 235 | 235,746 | ||||||||||
Societe Generale SA | 327 | 329,366 | ||||||||||
Sumitomo Mitsui Banking Corp. | 365 | 364,864 | ||||||||||
Svenska Handelsbanken AB | 315 | 310,585 | ||||||||||
UBS AG/Stamford CT | 351 | 351,738 | ||||||||||
US Bank NA/Cincinnati OH | 281 | 281,128 | ||||||||||
1.519% (LIBOR 3 Month + 0.48%), 10/28/19(b) | 250 | 251,547 | ||||||||||
Wells Fargo & Co. | 366 | 367,917 | ||||||||||
3.069%, 1/24/23 | 142 | 142,669 | ||||||||||
Westpac Banking Corp. | 300 | 297,187 | ||||||||||
|
| |||||||||||
9,139,734 | ||||||||||||
|
| |||||||||||
Insurance – 0.5% |
| |||||||||||
MetLife, Inc. | 319 | 319,550 | ||||||||||
|
| |||||||||||
9,459,284 | ||||||||||||
|
| |||||||||||
Industrial – 5.5% |
| |||||||||||
Basic – 0.5% |
| |||||||||||
Dow Chemical Co. (The) | 150 | 171,224 | ||||||||||
Lubrizol Corp. | 170 | 192,845 | ||||||||||
|
| |||||||||||
364,069 | ||||||||||||
|
|
68 | • AB POOLING PORTFOLIOS |
AB Short Duration Bond Portfolio—Portfolio of Investments
Principal Amount (000) | U.S. $ Value | |||||||||||
| ||||||||||||
Capital Goods – 0.3% |
| |||||||||||
Caterpillar Financial Services Corp. | U.S.$ | 76 | $ | 74,009 | ||||||||
2.10%, 1/10/20 | 180 | 180,749 | ||||||||||
|
| |||||||||||
254,758 | ||||||||||||
|
| |||||||||||
Communications - Media – 0.3% |
| |||||||||||
NBCUniversal Media LLC | 200 | 219,039 | ||||||||||
|
| |||||||||||
Communications - |
| |||||||||||
America Movil SAB de CV | 190 | 203,724 | ||||||||||
|
| |||||||||||
Consumer Cyclical - Automotive – 1.8% |
| |||||||||||
Daimler Finance North America LLC | ||||||||||||
1.50%, 7/05/19(a) | 280 | 276,388 | ||||||||||
1.65%, 3/02/18(a) | 210 | 210,027 | ||||||||||
Ford Motor Credit Co. LLC | 263 | 263,087 | ||||||||||
Harley-Davidson Financial Services, Inc. | 322 | 323,876 | ||||||||||
Hyundai Capital Services, Inc. | 200 | 196,609 | ||||||||||
|
| |||||||||||
1,269,987 | ||||||||||||
|
| |||||||||||
Consumer Non-Cyclical – 0.3% | ||||||||||||
Anheuser-Busch InBev Finance, Inc. | 200 | 200,659 | ||||||||||
|
| |||||||||||
Energy – 0.8% | ||||||||||||
Enterprise Products Operating LLC | 150 | 162,725 | ||||||||||
Schlumberger Holdings Corp. | 409 | 412,316 | ||||||||||
|
| |||||||||||
575,041 | ||||||||||||
|
| |||||||||||
Services – 0.5% | ||||||||||||
Visa, Inc. | 328 | 330,690 | ||||||||||
|
| |||||||||||
Technology – 0.7% | ||||||||||||
Cisco Systems, Inc. | 315 | 315,000 | ||||||||||
QUALCOMM, Inc. | 221 | 220,729 | ||||||||||
|
| |||||||||||
535,729 | ||||||||||||
|
| |||||||||||
3,953,696 | ||||||||||||
|
|
AB POOLING PORTFOLIOS • | 69 |
AB Short Duration Bond Portfolio—Portfolio of Investments
Principal Amount (000) | U.S. $ Value | |||||||||||
| ||||||||||||
Utility – 0.3% | ||||||||||||
Electric – 0.3% | ||||||||||||
Dominion Resources, Inc./VA | U.S.$ | 198 | $ | 195,587 | ||||||||
|
| |||||||||||
Total Corporates - Investment Grade | 13,608,567 | |||||||||||
|
| |||||||||||
ASSET-BACKED SECURITIES – 15.2% | ||||||||||||
Autos - Fixed Rate – 7.8% | ||||||||||||
Ally Auto Receivables Trust | 210 | 210,161 | ||||||||||
Ally Master Owner Trust | 319 | 318,952 | ||||||||||
Americredit Automobile Receivables Trust | 154 | 153,864 | ||||||||||
ARI Fleet Lease Trust | 3 | 3,149 | ||||||||||
Avis Budget Rental Car Funding AESOP LLC | 162 | 162,546 | ||||||||||
Series 2013-2A, Class A | 384 | 389,727 | ||||||||||
Bank of The West Auto Trust | 288 | 288,197 | ||||||||||
California Republic Auto Receivables Trust | 94 | 94,225 | ||||||||||
CarMax Auto Owner Trust | 209 | 208,970 | ||||||||||
Chrysler Capital Auto Receivables Trust | 206 | 206,553 | ||||||||||
CPS Auto Trust | 106 | 106,193 | ||||||||||
Enterprise Fleet Financing LLC | 70 | 70,433 |
70 | • AB POOLING PORTFOLIOS |
AB Short Duration Bond Portfolio—Portfolio of Investments
Principal Amount (000) | U.S. $ Value | |||||||||||
| ||||||||||||
Series 2015-1, Class A2 | U.S.$ | 131 | $ | 130,545 | ||||||||
Exeter Automobile Receivables Trust | 65 | 64,807 | ||||||||||
Fifth Third Auto Trust | 278 | 277,999 | ||||||||||
Flagship Credit Auto Trust | 164 | 163,727 | ||||||||||
Ford Credit Auto Owner Trust | 205 | 205,157 | ||||||||||
Series 2014-2, Class A | 325 | 328,049 | ||||||||||
GM Financial Automobile Leasing Trust | 283 | 283,544 | ||||||||||
GMF Floorplan Owner Revolving Trust | 128 | 127,959 | ||||||||||
Harley-Davidson Motorcycle Trust | 176 | 175,523 | ||||||||||
Series 2015-1, Class A3 | 132 | 132,001 | ||||||||||
Hertz Vehicle Financing II LP | 112 | 111,375 | ||||||||||
Hertz Vehicle Financing LLC | 400 | 397,809 | ||||||||||
Honda Auto Receivables Owner Trust | 220 | 219,382 | ||||||||||
Hyundai Auto Lease Securitization Trust | 139 | 139,049 | ||||||||||
Mercedes Benz Auto Lease Trust | 157 | 157,058 | ||||||||||
Nissan Auto Lease Trust | 204 | 204,498 |
AB POOLING PORTFOLIOS • | 71 |
AB Short Duration Bond Portfolio—Portfolio of Investments
Principal Amount (000) | U.S. $ Value | |||||||||||
| ||||||||||||
Volkswagen Auto Loan Enhanced Trust | U.S.$ | 85 | $ | 85,050 | ||||||||
Volkswagen Credit Auto Master Trust | 127 | 126,897 | ||||||||||
Westlake Automobile Receivables Trust | 37 | 37,188 | ||||||||||
World Omni Auto Receivables Trust | 3 | 3,447 | ||||||||||
|
| |||||||||||
5,584,034 | ||||||||||||
|
| |||||||||||
Credit Cards - Fixed Rate – 2.6% | ||||||||||||
American Express Credit Account Master Trust | 183 | 183,073 | ||||||||||
Barclays Dryrock Issuance Trust | 194 | 195,738 | ||||||||||
Series 2015-4, Class A | 158 | 157,796 | ||||||||||
Capital One Multi-Asset Execution Trust | 196 | 196,136 | ||||||||||
Discover Card Execution Note Trust | 266 | 265,246 | ||||||||||
Synchrony Credit Card Master Note Trust | 309 | 311,621 | ||||||||||
Series 2015-3, Class A | 209 | 209,189 | ||||||||||
World Financial Network Credit Card Master Trust | 100 | 100,098 | ||||||||||
Series 2016-B, Class A | 230 | 229,211 | ||||||||||
|
| |||||||||||
1,848,108 | ||||||||||||
|
| |||||||||||
Credit Cards - Floating Rate – 2.1% | ||||||||||||
Cabela’s Credit Card Master Note Trust | 315 | 316,586 | ||||||||||
Series 2014-1, Class A | 112 | 112,000 |
72 | • AB POOLING PORTFOLIOS |
AB Short Duration Bond Portfolio—Portfolio of Investments
Principal Amount (000) | U.S. $ Value | |||||||||||
| ||||||||||||
Chase Issuance Trust | U.S.$ | 434 | $ | 435,323 | ||||||||
Discover Card Execution Note Trust | 200 | 200,834 | ||||||||||
Series 2015-A1, Class A1 | 273 | 273,648 | ||||||||||
World Financial Network Credit Card Master Trust | 174 | 174,355 | ||||||||||
|
| |||||||||||
1,512,746 | ||||||||||||
|
| |||||||||||
Autos - Floating Rate – 1.4% | ||||||||||||
BMW Floorplan Master Owner Trust | 261 | 261,193 | ||||||||||
Ford Credit Floorplan Master Owner Trust | 247 | 248,138 | ||||||||||
Hertz Fleet Lease Funding LP | 21 | 21,178 | ||||||||||
Series 2014-1, Class A | 75 | 75,432 | ||||||||||
Wells Fargo Dealer Floorplan Master Note Trust | 137 | 137,067 | ||||||||||
Series 2015-1, Class A | 261 | 261,475 | ||||||||||
|
| |||||||||||
1,004,483 | ||||||||||||
|
| |||||||||||
Other ABS - Fixed Rate – 1.2% | ||||||||||||
CNH Equipment Trust | 466 | 466,235 | ||||||||||
Series 2014-B, Class A4 | 170 | 169,830 |
AB POOLING PORTFOLIOS • | 73 |
AB Short Duration Bond Portfolio—Portfolio of Investments
Principal Amount (000) | U.S. $ Value | |||||||||||
| ||||||||||||
Series 2015-A, Class A4 | U.S.$ | 162 | $ | 162,271 | ||||||||
Dell Equipment Finance Trust | 64 | 64,264 | ||||||||||
|
| |||||||||||
862,600 | ||||||||||||
|
| |||||||||||
Home Equity Loans - Fixed Rate – 0.1% | ||||||||||||
Credit-Based Asset Servicing & Securitization LLC | 41 | 41,211 | ||||||||||
Nationstar NIM Ltd. | 3 | – 0 | – | |||||||||
|
| |||||||||||
41,211 | ||||||||||||
|
| |||||||||||
Total Asset-Backed Securities | 10,853,182 | |||||||||||
|
| |||||||||||
COMMERCIAL MORTGAGE-BACKED SECURITIES – 7.8% | ||||||||||||
Non-Agency Fixed Rate CMBS – 6.9% | ||||||||||||
Citigroup Commercial Mortgage Trust | 272 | 275,587 | ||||||||||
Commercial Mortgage Trust | 16 | 16,142 | ||||||||||
Series 2013-CR6, Class A1 | 97 | 96,647 | ||||||||||
Series 2013-LC6, Class A1 | 14 | 14,305 | ||||||||||
Series 2013-LC6, Class XA | 513 | 27,507 | ||||||||||
Series 2014-CR16, Class A2 | 316 | 322,857 | ||||||||||
Series 2014-CR19, Class A2 | 396 | 403,810 | ||||||||||
Series 2015-DC1, Class A2 | 300 | 305,818 | ||||||||||
Series 2015-LC21, Class A2 | 228 | 234,231 | ||||||||||
Credit Suisse Commercial Mortgage Trust | 127 | 128,231 | ||||||||||
GS Mortgage Securities Corp. II | 278 | 282,467 | ||||||||||
GS Mortgage Securities Trust | 74 | 74,028 |
74 | • AB POOLING PORTFOLIOS |
AB Short Duration Bond Portfolio—Portfolio of Investments
Principal Amount (000) | U.S. $ Value | |||||||||||
| ||||||||||||
Series 2013-GC14, Class A1 | U.S.$ | 31 | $ | 31,194 | ||||||||
JP Morgan Chase Commercial Mortgage Securities Trust | 61 | 60,756 | ||||||||||
Series 2007-LDPX, Class A1A | 80 | 80,030 | ||||||||||
Series 2013-C10, Class A1 | 27 | 26,794 | ||||||||||
Series 2013-C16, Class A2 | 310 | 315,376 | ||||||||||
JPMBB Commercial Mortgage Securities Trust Series 2013-C15, Class A2 | 327 | 331,352 | ||||||||||
Series 2015-C28, Class A2 | 343 | 349,346 | ||||||||||
Series 2015-C29, Class A2 | 169 | 172,554 | ||||||||||
LSTAR Commercial Mortgage Trust | 84 | 84,070 | ||||||||||
Morgan Stanley Bank of America Merrill Lynch Trust | 270 | 276,641 | ||||||||||
Series 2015-C23, Class A2 | 277 | 283,487 | ||||||||||
UBS-Barclays Commercial Mortgage Trust | 7 | 6,917 | ||||||||||
Series 2013-C5, Class A1 | 62 | 61,518 | ||||||||||
Wachovia Bank Commercial Mortgage Trust | 7 | 7,283 | ||||||||||
Wells Fargo Commercial Mortgage Trust | 28 | 28,090 | ||||||||||
Series 2015-NXS1, Class A2 | 153 | 155,289 | ||||||||||
WF-RBS Commercial Mortgage Trust | 136 | 145,699 | ||||||||||
Series 2012-C10, Class XA | 436 | 30,030 | ||||||||||
Series 2012-C6, Class XA | 250 | 20,110 |
AB POOLING PORTFOLIOS • | 75 |
AB Short Duration Bond Portfolio—Portfolio of Investments
Principal Amount (000) | U.S. $ Value | |||||||||||
| ||||||||||||
Series 2012-C9, Class A1 | U.S.$ | 23 | $ | 22,587 | ||||||||
Series 2014-C24, Class A2 | 202 | 205,811 | ||||||||||
|
| |||||||||||
4,876,564 | ||||||||||||
|
| |||||||||||
Non-Agency Floating Rate CMBS – 0.9% | ||||||||||||
JP Morgan Chase Commercial Mortgage Securities Trust | 304 | 304,286 | ||||||||||
Series 2015-SGP, Class A | 126 | 126,786 | ||||||||||
Morgan Stanley Capital I Trust | 49 | 49,305 | ||||||||||
Resource Capital Corp., Ltd. | 31 | 30,983 | ||||||||||
Starwood Retail Property Trust | 152 | 151,077 | ||||||||||
|
| |||||||||||
662,437 | ||||||||||||
|
| |||||||||||
Total Commercial Mortgage-Backed Securities | 5,539,001 | |||||||||||
|
| |||||||||||
INFLATION-LINKED SECURITIES – 6.3% | ||||||||||||
United States – 6.3% | ||||||||||||
U.S. Treasury Inflation Index | 3,249 | 3,309,527 | ||||||||||
1.125%, 1/15/21 (TIPS) | 1,122 | 1,186,620 | ||||||||||
|
| |||||||||||
Total Inflation-Linked Securities | 4,496,147 | |||||||||||
|
| |||||||||||
COLLATERALIZED MORTGAGE | ||||||||||||
Agency Floating Rate – 2.3% | ||||||||||||
Federal Home Loan Mortgage Corp. REMICs | 201 | 200,362 | ||||||||||
Series 4286, Class VF | 216 | 214,643 |
76 | • AB POOLING PORTFOLIOS |
AB Short Duration Bond Portfolio—Portfolio of Investments
Principal Amount (000) | U.S. $ Value | |||||||||||
| ||||||||||||
Federal National Mortgage Association REMICs | U.S.$ | 205 | $ | 203,735 | ||||||||
Series 2014-49, Class AF | 403 | 400,184 | ||||||||||
NCUA Guaranteed Notes Trust | 586 | 587,210 | ||||||||||
|
| |||||||||||
1,606,134 | ||||||||||||
|
| |||||||||||
Agency Fixed Rate – 1.4% | ||||||||||||
Federal Home Loan Mortgage Corp. REMICs | 201 | 205,336 | ||||||||||
Series 4461, Class EA | 130 | 128,898 | ||||||||||
Federal National Mortgage Association REMICs | 58 | 59,268 | ||||||||||
Series 2014-54, Class LA | 153 | 154,778 | ||||||||||
Series 2015-72, Class PC | 461 | 469,317 | ||||||||||
|
| |||||||||||
1,017,597 | ||||||||||||
|
| |||||||||||
Non-Agency Floating Rate – 0.2% | ||||||||||||
Mortgage Equity Conversion Asset Trust | 196 | 168,340 | ||||||||||
|
| |||||||||||
Risk Share Floating Rate – 0.2% | ||||||||||||
Federal Home Loan Mortgage Corp. Structured Agency Credit Risk Debt Notes | 2 | 1,521 | ||||||||||
Federal National Mortgage Association Connecticut Avenue Securities | 134 | 134,793 | ||||||||||
Series 2015-C03, Class 1M1 | 6 | 5,845 | ||||||||||
|
| |||||||||||
142,159 | ||||||||||||
|
| |||||||||||
Total Collateralized Mortgage Obligations | 2,934,230 | |||||||||||
|
|
AB POOLING PORTFOLIOS • | 77 |
AB Short Duration Bond Portfolio—Portfolio of Investments
Principal Amount (000) | U.S. $ Value | |||||||||||
| ||||||||||||
MORTGAGE PASS-THROUGHS – 1.4% | ||||||||||||
Agency ARMs – 0.1% | ||||||||||||
Federal National Mortgage Association | U.S.$ | 55 | $ | 56,911 | ||||||||
|
| |||||||||||
Agency Fixed Rate 15-Year – 0.2% | ||||||||||||
Federal Home Loan Mortgage Corp. Gold | 65 | 68,705 | ||||||||||
Federal National Mortgage Association | 44 | 46,656 | ||||||||||
Series 2007 | 13 | 13,879 | ||||||||||
Series 2005 6.00%, | 1 | 835 | ||||||||||
Series 2002 | – 0 | –^ | 277 | |||||||||
|
| |||||||||||
130,352 | ||||||||||||
|
| |||||||||||
Agency Fixed Rate 30-Year – 1.1% | ||||||||||||
Federal National Mortgage Association | 506 | 565,561 | ||||||||||
Government National Mortgage Association | 226 | 252,617 | ||||||||||
|
| |||||||||||
818,178 | ||||||||||||
|
| |||||||||||
Total Mortgage Pass-Throughs | 1,005,441 | |||||||||||
|
| |||||||||||
COVERED BONDS – 0.4% | ||||||||||||
DNB Boligkreditt AS | 313 | 312,284 | ||||||||||
|
| |||||||||||
Total Investments – 91.1% | 64,981,398 | |||||||||||
Other assets less liabilities – 8.9% | 6,324,528 | |||||||||||
|
| |||||||||||
Net Assets – 100.0% | $ | 71,305,926 | ||||||||||
|
|
78 | • AB POOLING PORTFOLIOS |
AB Short Duration Bond Portfolio—Portfolio of Investments
FUTURES (see Note C)
Type | Number of Contracts | Expiration Month | Original Value | Value at February 28, 2017 | Unrealized Appreciation/ (Depreciation) | |||||||||||||
Purchased Contracts |
| |||||||||||||||||
U.S. T-Note 2 Yr (CBT) Futures | 106 | June 2017 | $ | 22,914,360 | $ | 22,939,063 | $ | 24,703 | ||||||||||
Sold Contracts |
| |||||||||||||||||
U.S. T-Note 5 Yr (CBT) Futures | 3 | June 2017 | 352,636 | 353,109 | (473 | ) | ||||||||||||
U.S. T-Note 10 Yr (CBT) Futures | 4 | June 2017 | 496,835 | 498,313 | (1,478 | ) | ||||||||||||
|
| |||||||||||||||||
$ | 22,752 | |||||||||||||||||
|
|
FORWARD CURRENCY EXCHANGE CONTRACTS (see Note C) |
Counterparty | Contracts to Deliver (000) | In Exchange For (000) | Settlement Date | Unrealized Appreciation/ (Depreciation) | ||||||||||||||||
BNP Paribas SA | JPY | 215,000 | USD | 1,893 | 3/24/17 | $ | (22,466 | ) | ||||||||||||
Citibank, NA | JPY | 430,304 | USD | 3,844 | 4/07/17 | 8,081 | ||||||||||||||
|
| |||||||||||||||||||
$ | (14,385 | ) | ||||||||||||||||||
|
|
INTEREST RATE SWAPTIONS WRITTEN (see Note C) |
Description | Index | Counter- Party | Strike Rate | Expiration Date | Notional Amount (000) | Premiums | Market Value | |||||||||||||||||
Put – OTC -1 Year Interest Rate Swap | 3 Month LIBOR | JPMorgan Chase Bank, NA | 1.84 | % | 5/16/17 | $ | 4,990 | $ | 4,291 | $ | (4,488 | ) |
CREDIT DEFAULT SWAPS (see Note C) |
Swap Counterparty & Referenced Obligation | Fixed Rate (Pay) Receive | Implied Credit Spread at February 28, 2017 | Notional Amount (000) | Market Value | Upfront Premiums Paid (Received) | Unrealized Appreciation/ (Depreciation) | ||||||||||||||||||
Sale Contracts |
| |||||||||||||||||||||||
Credit Suisse International |
| |||||||||||||||||||||||
CDX-CMBX.NA.BBB Series 6, 5/11/63* | 3.00 | % | 5.86 | % | $ | 160 | $ | (20,667 | ) | $ | (10,147 | ) | $ | (10,520 | ) | |||||||||
CDX-CMBX.NA.BBB Series 6, 5/11/63* | 3.00 | 5.86 | 31 | (4,004 | ) | (2,677 | ) | (1,327 | ) | |||||||||||||||
CDX-CMBX.NA.BBB Series 6, 5/11/63* | 3.00 | 5.86 | 40 | (5,167 | ) | (3,528 | ) | (1,639 | ) | |||||||||||||||
CDX-CMBX.NA.BBB Series 6, 5/11/63* | 3.00 | 5.86 | 77 | (9,946 | ) | (7,823 | ) | (2,123 | ) | |||||||||||||||
Deutsche Bank AG |
| |||||||||||||||||||||||
CDX-CMBX.NA.BBB Series 6, 5/11/63* | 3.00 | 5.86 | 177 | (22,862 | ) | (10,818 | ) | (12,044 | ) | |||||||||||||||
CDX-CMBX.NA.BBB Series 6, 5/11/63* | 3.00 | 5.86 | 107 | (13,821 | ) | (8,175 | ) | (5,646 | ) | |||||||||||||||
CDX-CMBX.NA.BBB Series 6, 5/11/63* | 3.00 | 5.86 | 106 | (13,692 | ) | (9,285 | ) | (4,407 | ) |
AB POOLING PORTFOLIOS • | 79 |
AB Short Duration Bond Portfolio—Portfolio of Investments
Swap Counterparty & Referenced Obligation | Fixed Rate (Pay) Receive | Implied Credit Spread at February 28, 2017 | Notional Amount (000) | Market Value | Upfront Premiums Paid (Received) | Unrealized Appreciation/ (Depreciation) | ||||||||||||||||||
CDX-CMBX.NA.A Series 6, 5/11/63* | 2.00 | % | 2.99 | % | $ | 170 | $ | (8,581 | ) | $ | (3,541 | ) | $ | (5,040 | ) | |||||||||
|
|
|
|
|
| |||||||||||||||||||
$ | (98,740 | ) | $ | (55,994 | ) | $ | (42,746 | ) | ||||||||||||||||
|
|
|
|
|
|
* | 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 February 28, 2017, the aggregate market value of these securities amounted to $8,195,746 or 11.4% of net assets. |
(b) | Floating Rate Security. Stated interest/floor rate was in effect at February 28, 2017. |
(c) | Fair valued by the Adviser. |
(d) | Security is exempt from registration under Rule 144A of the Securities Act of 1933. This security, which represents 0.00% of net assets as of February 28, 2017, is 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. | 4/04/07 | $ | 3,301 | $ | – 0 | – | 0.00 | % |
(e) | IO – Interest Only. |
(f) | Variable rate coupon, rate shown as of February 28, 2017. |
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
LIBOR – London Interbank Offered Rates
H15T – U. S. Treasury Yield Curve Rate T Note Constant Maturity
NCUA – National Credit Union Administration
REMICs – Real Estate Mortgage Investment Conduits
TIPS – Treasury Inflation Protected Security
See notes to financial statements.
80 | • AB POOLING PORTFOLIOS |
AB Short Duration Bond Portfolio—Portfolio of Investments
AB GLOBAL CORE BOND PORTFOLIO
PORTFOLIO OF INVESTMENTS
February 28, 2017 (unaudited)
Principal Amount (000) | U.S. $ Value | |||||||||||
| ||||||||||||
GOVERNMENTS - TREASURIES – 41.7% | ||||||||||||
Australia – 1.2% | ||||||||||||
Australia Government Bond | AUD | 1,165 | $ | 1,050,181 | ||||||||
Series 142 | 2,090 | 1,804,971 | ||||||||||
|
| |||||||||||
2,855,152 | ||||||||||||
|
| |||||||||||
Belgium – 1.0% | ||||||||||||
Kingdom of Belgium Government Bond | EUR | 1,179 | 1,890,983 | |||||||||
Series 75 | 574 | 603,973 | ||||||||||
|
| |||||||||||
2,494,956 | ||||||||||||
|
| |||||||||||
Canada – 0.2% | ||||||||||||
Canadian Government Bond | CAD | 550 | 451,363 | |||||||||
|
| |||||||||||
France – 0.8% | ||||||||||||
French Republic Government Bond OAT | EUR | 594 | 730,954 | |||||||||
3.25%, 5/25/45(a) | 831 | 1,145,432 | ||||||||||
|
| |||||||||||
1,876,386 | ||||||||||||
|
| |||||||||||
Germany – 2.5% | ||||||||||||
Bundesrepublik Deutschland | 1,217 | 1,272,937 | ||||||||||
1.00%, 8/15/25(a) | 1,787 | 2,063,610 | ||||||||||
2.50%, 7/04/44-8/15/46(a) | 581 | 850,490 | ||||||||||
Series 00 | 1,034 | 1,841,050 | ||||||||||
|
| |||||||||||
6,028,087 | ||||||||||||
|
| |||||||||||
Italy – 6.1% | ||||||||||||
Italy Buoni Poliennali Del Tesoro | 2,595 | 2,549,920 | ||||||||||
1.35%, 4/15/22 | 5,969 | 6,411,453 | ||||||||||
2.70%, 3/01/47(a) | 1,615 | 1,556,845 | ||||||||||
3.75%, 5/01/21 | 973 | 1,160,165 | ||||||||||
4.50%, 5/01/23 | 623 | 781,481 | ||||||||||
5.50%, 11/01/22 | 1,962 | 2,560,817 | ||||||||||
|
| |||||||||||
15,020,681 | ||||||||||||
|
| |||||||||||
Japan – 5.7% | ||||||||||||
Japan Government Twenty Year Bond | JPY | 583,450 | 6,402,396 | |||||||||
Series 143 | 305,750 | 3,225,064 |
AB POOLING PORTFOLIOS • | 81 |
AB Global Core Bond Portfolio—Portfolio of Investments
Principal Amount (000) | U.S. $ Value | |||||||||||
| ||||||||||||
Series 150 | JPY | 415,650 | $ | 4,258,836 | ||||||||
|
| |||||||||||
13,886,296 | ||||||||||||
|
| |||||||||||
Mexico – 2.5% | ||||||||||||
Mexican Bonos | MXN | 19,504 | 953,838 | |||||||||
7.75%, 11/13/42 | 19,834 | 977,564 | ||||||||||
8.00%, 6/11/20 | 63,385 | 3,258,011 | ||||||||||
Series M 20 | 16,178 | 936,594 | ||||||||||
|
| |||||||||||
6,126,007 | ||||||||||||
|
| |||||||||||
Netherlands – 0.1% | ||||||||||||
Netherlands Government Bond | EUR | 340 | 366,165 | |||||||||
|
| |||||||||||
New Zealand – 1.3% | ||||||||||||
New Zealand Government Bond | NZD | 3,810 | 3,150,913 | |||||||||
|
| |||||||||||
Poland – 1.5% | ||||||||||||
Republic of Poland Government Bond | PLN | 11,055 | 2,417,843 | |||||||||
Series 725 | 4,871 | 1,168,374 | ||||||||||
|
| |||||||||||
3,586,217 | ||||||||||||
|
| |||||||||||
Russia – 0.3% | ||||||||||||
Russian Federal Bond - OFZ | RUB | 44,290 | 718,010 | |||||||||
|
| |||||||||||
Singapore – 0.1% | ||||||||||||
Singapore Government Bond | SGD | 286 | 230,102 | |||||||||
|
| |||||||||||
South Africa – 0.3% | ||||||||||||
Republic of South Africa Government Bond | ZAR | 5,728 | 398,244 | |||||||||
Series R213 | 6,877 | 432,337 | ||||||||||
|
| |||||||||||
830,581 | ||||||||||||
|
| |||||||||||
Spain – 1.1% | ||||||||||||
Spain Government Bond | EUR | 1,981 | 2,053,188 | |||||||||
2.90%, 10/31/46(a) | 140 | 149,557 |
82 | • AB POOLING PORTFOLIOS |
AB Global Core Bond Portfolio—Portfolio of Investments
Principal Amount (000) | U.S. $ Value | |||||||||||
| ||||||||||||
4.70%, 7/30/41(a) | EUR | 330 | $ | 476,780 | ||||||||
|
| |||||||||||
2,679,525 | ||||||||||||
|
| |||||||||||
Sweden – 0.4% | ||||||||||||
Sweden Government Bond | SEK | 8,160 | 1,077,770 | |||||||||
|
| |||||||||||
United Kingdom – 4.8% | ||||||||||||
United Kingdom Gilt | GBP | 2,155 | 2,776,501 | |||||||||
2.00%, 9/07/25(a) | 2,119 | 2,860,509 | ||||||||||
2.50%, 7/22/65(a) | 185 | 297,549 | ||||||||||
3.50%, 7/22/68(a) | 144 | 295,600 | ||||||||||
4.25%, 12/07/40(a) | 329 | 604,444 | ||||||||||
4.50%, 12/07/42(a) | 1,531 | 2,975,089 | ||||||||||
4.75%, 12/07/30(a) | 1,093 | 1,928,713 | ||||||||||
|
| |||||||||||
11,738,405 | ||||||||||||
|
| |||||||||||
United States – 11.8% | ||||||||||||
U.S. Treasury Bonds | U.S.$ | 2,956 | 2,966,378 | |||||||||
3.625%, 8/15/43 | 217 | 243,604 | ||||||||||
4.625%, 2/15/40 | 2,692 | 3,482,233 | ||||||||||
5.375%, 2/15/31 | 1,727 | 2,317,353 | ||||||||||
6.25%, 5/15/30 | 195 | 277,001 | ||||||||||
U.S. Treasury Notes | 3,260 | 3,162,073 | ||||||||||
1.25%, 3/31/21 | 6,381 | 6,250,689 | ||||||||||
1.50%, 2/28/19 | 5 | 4,825 | ||||||||||
1.625%, 8/15/22-5/15/26 | 1,963 | 1,881,925 | ||||||||||
2.00%, 11/15/26 | 4,834 | 4,677,461 | ||||||||||
2.125%, 6/30/21 | 3,406 | 3,450,672 | ||||||||||
|
| |||||||||||
28,714,214 | ||||||||||||
|
| |||||||||||
Total Governments - Treasuries | 101,830,830 | |||||||||||
|
| |||||||||||
CORPORATES - INVESTMENT GRADE – 24.0% | ||||||||||||
Industrial – 11.9% | ||||||||||||
Basic – 0.4% | ||||||||||||
Glencore Finance Europe SA | EUR | 340 | 360,196 | |||||||||
Glencore Funding LLC | U.S.$ | 183 | 189,454 | |||||||||
Minsur SA | 233 | 251,571 | ||||||||||
Mosaic Co. (The) | 233 | 244,514 | ||||||||||
|
| |||||||||||
1,045,735 | ||||||||||||
|
|
AB POOLING PORTFOLIOS • | 83 |
AB Global Core Bond Portfolio—Portfolio of Investments
Principal Amount (000) | U.S. $ Value | |||||||||||
| ||||||||||||
Capital Goods – 0.4% | ||||||||||||
Holcim Finance Luxembourg SA | EUR | 570 | $ | 638,255 | ||||||||
Yamana Gold, Inc. | U.S.$ | 328 | 334,147 | |||||||||
|
| |||||||||||
972,402 | ||||||||||||
|
| |||||||||||
Communications - Media – 1.7% | ||||||||||||
21st Century Fox America, Inc. | 88 | 108,159 | ||||||||||
Charter Communications Operating LLC/Charter Communications Operating Capital | 320 | 329,126 | ||||||||||
4.908%, 7/23/25 | 585 | 616,241 | ||||||||||
Cox Communications, Inc. | 218 | 207,904 | ||||||||||
Discovery Communications LLC | 327 | 312,904 | ||||||||||
Myriad International Holdings BV | 517 | 559,980 | ||||||||||
RELX Capital, Inc. | 690 | 770,097 | ||||||||||
S&P Global, Inc. | 548 | 583,145 | ||||||||||
Time Warner, Inc. | 453 | 452,146 | ||||||||||
3.60%, 7/15/25 | 324 | 320,690 | ||||||||||
|
| |||||||||||
4,260,392 | ||||||||||||
|
| |||||||||||
Communications - Telecommunications – 2.3% | ||||||||||||
America Movil SAB de CV | 435 | 433,217 | ||||||||||
American Tower Corp. | 899 | 966,541 | ||||||||||
AT&T, Inc. | 843 | 814,990 | ||||||||||
3.95%, 1/15/25 | 280 | 281,731 | ||||||||||
4.125%, 2/17/26 | 423 | 429,478 | ||||||||||
Bell Canada, Inc. | CAD | 302 | 237,344 | |||||||||
3.35%, 6/18/19 | 150 | 117,445 | ||||||||||
4.70%, 9/11/23 | 204 | 172,709 | ||||||||||
British Telecommunications PLC | U.S.$ | 175 | 261,945 | |||||||||
Rogers Communications, Inc. | CAD | 360 | 294,277 |
84 | • AB POOLING PORTFOLIOS |
AB Global Core Bond Portfolio—Portfolio of Investments
Principal Amount (000) | U.S. $ Value | |||||||||||
| ||||||||||||
Sprint Spectrum Co. LLC/Sprint Spectrum Co. II LLC/Sprint Spectrum Co. III LLC | U.S.$ | 335 | $ | 336,273 | ||||||||
Verizon Communications, Inc. | 655 | 599,802 | ||||||||||
3.50%, 11/01/24 | 605 | 606,347 | ||||||||||
|
| |||||||||||
5,552,099 | ||||||||||||
|
| |||||||||||
Consumer Cyclical - Automotive – 0.3% | ||||||||||||
Ford Motor Credit Co. LLC | 695 | 700,889 | ||||||||||
|
| |||||||||||
Consumer Cyclical - Entertainment – 0.3% | ||||||||||||
Carnival Corp. | EUR | 560 | 624,122 | |||||||||
|
| |||||||||||
Consumer Cyclical - Retailers – 0.0% | ||||||||||||
Kohl’s Corp. | U.S.$ | 96 | 92,997 | |||||||||
|
| |||||||||||
Consumer Non-Cyclical – 2.1% | ||||||||||||
AbbVie, Inc. | 235 | 236,379 | ||||||||||
3.60%, 5/14/25 | 635 | 632,328 | ||||||||||
Agilent Technologies, Inc. | 165 | 178,588 | ||||||||||
Ahold Finance USA LLC | 1,007 | 1,264,212 | ||||||||||
Becton Dickinson and Co. | EUR | 360 | 397,738 | |||||||||
McKesson Corp. | 190 | 203,882 | ||||||||||
Mylan NV | U.S.$ | 489 | 489,477 | |||||||||
3.95%, 6/15/26 | 91 | 88,885 | ||||||||||
Reynolds American, Inc. | 639 | 675,653 | ||||||||||
5.85%, 8/15/45 | 258 | 306,689 | ||||||||||
Teva Pharmaceutical Finance Netherlands II BV | EUR | 585 | 594,533 | |||||||||
Tyson Foods, Inc. | U.S.$ | 161 | 163,090 | |||||||||
|
| |||||||||||
5,231,454 | ||||||||||||
|
| |||||||||||
Energy – 2.6% | ||||||||||||
Energy Transfer Partners LP | 318 | 336,806 | ||||||||||
7.50%, 7/01/38 | 345 | 420,379 | ||||||||||
EnLink Midstream Partners LP | 804 | 803,475 |
AB POOLING PORTFOLIOS • | 85 |
AB Global Core Bond Portfolio—Portfolio of Investments
Principal Amount (000) | U.S. $ Value | |||||||||||
| ||||||||||||
Enterprise Products Operating LLC | U.S.$ | 324 | $ | 338,652 | ||||||||
Halliburton Co. | 294 | 319,156 | ||||||||||
Hess Corp. | 444 | 444,128 | ||||||||||
Kinder Morgan Energy Partners LP | 60 | 60,652 | ||||||||||
3.95%, 9/01/22 | 162 | 167,032 | ||||||||||
Kinder Morgan, Inc./DE | 271 | 291,480 | ||||||||||
MPLX LP | 236 | 238,339 | ||||||||||
4.50%, 7/15/23 | 223 | 234,145 | ||||||||||
Noble Energy, Inc. | 673 | 751,744 | ||||||||||
ONEOK Partners LP | 229 | 233,437 | ||||||||||
Plains All American Pipeline LP/PAA Finance Corp. | 565 | 551,679 | ||||||||||
Williams Partners LP | 308 | 309,213 | ||||||||||
4.125%, 11/15/20 | 750 | 787,792 | ||||||||||
4.50%, 11/15/23 | 139 | 146,083 | ||||||||||
|
| |||||||||||
6,434,192 | ||||||||||||
|
| |||||||||||
Services – 0.1% | ||||||||||||
eBay, Inc. | 174 | 180,096 | ||||||||||
|
| |||||||||||
Technology – 1.1% | ||||||||||||
Broadcom Corp./Broadcom Cayman Finance Ltd. | 122 | 123,361 | ||||||||||
3.875%, 1/15/27(a) | 267 | 268,858 | ||||||||||
HP, Inc. | 69 | 71,758 | ||||||||||
4.375%, 9/15/21 | 59 | 62,810 | ||||||||||
4.65%, 12/09/21 | 150 | 160,736 | ||||||||||
KLA-Tencor Corp. | 517 | 554,231 | ||||||||||
Seagate HDD Cayman | 404 | 390,860 | ||||||||||
Tencent Holdings Ltd. | 485 | 496,599 | ||||||||||
Total System Services, Inc. | 424 | 427,897 | ||||||||||
|
| |||||||||||
2,557,110 | ||||||||||||
|
|
86 | • AB POOLING PORTFOLIOS |
AB Global Core Bond Portfolio—Portfolio of Investments
Principal Amount (000) | U.S. $ Value | |||||||||||
| ||||||||||||
Transportation - Services – 0.6% | ||||||||||||
Asciano Finance Ltd. | U.S.$ | 548 | $ | 562,106 | ||||||||
Penske Truck Leasing Co. Lp/PTL Finance Corp. | 813 | 827,568 | ||||||||||
|
| |||||||||||
1,389,674 | ||||||||||||
|
| |||||||||||
29,041,162 | ||||||||||||
|
| |||||||||||
Financial Institutions – 10.4% | ||||||||||||
Banking – 8.5% | ||||||||||||
ABN AMRO Bank NV | 200 | 204,847 | ||||||||||
American Express Credit Corp. | EUR | 440 | 473,028 | |||||||||
Bank of America Corp. | U.S.$ | 615 | 619,754 | |||||||||
4.20%, 8/26/24 | 438 | 452,049 | ||||||||||
4.875%, 4/01/44 | 670 | 731,273 | ||||||||||
Series L | 419 | 424,325 | ||||||||||
Barclays Bank PLC | EUR | 328 | 433,366 | |||||||||
Barclays PLC | U.S.$ | 301 | 293,602 | |||||||||
3.684%, 1/10/23 | 490 | 494,400 | ||||||||||
BNP Paribas SA | ||||||||||||
3.80%, 1/10/24(a) | 240 | 238,490 | ||||||||||
Series E | EUR | 257 | 260,012 | |||||||||
BPCE SA | U.S.$ | 200 | 211,370 | |||||||||
Compass Bank | 338 | 337,813 | ||||||||||
5.50%, 4/01/20 | 817 | 860,542 | ||||||||||
Cooperatieve Rabobank UA | 486 | 499,132 | ||||||||||
4.375%, 8/04/25 | 550 | 561,095 | ||||||||||
Credit Agricole SA/London | 490 | 484,831 | ||||||||||
Credit Suisse Group Funding Guernsey Ltd. | 250 | 250,463 | ||||||||||
Series E | EUR | 590 | 634,209 | |||||||||
Fifth Third Bancorp | U.S.$ | 370 | 372,990 |
AB POOLING PORTFOLIOS • | 87 |
AB Global Core Bond Portfolio—Portfolio of Investments
Principal Amount (000) | U.S. $ Value | |||||||||||
| ||||||||||||
Goldman Sachs Group, Inc. (The) | EUR | 620 | $ | 657,584 | ||||||||
Series G | U.S.$ | 934 | 1,032,374 | |||||||||
HSBC Holdings PLC | 235 | 237,882 | ||||||||||
JPMorgan Chase & Co. | 804 | 816,161 | ||||||||||
Lloyds Banking Group PLC | 1,033 | 1,051,897 | ||||||||||
Mellon Capital III | GBP | 300 | 371,533 | |||||||||
Morgan Stanley | U.S.$ | 419 | 433,264 | |||||||||
Series G | EUR | 1,027 | 1,068,365 | |||||||||
5.50%, 7/24/20 | U.S.$ | 236 | 258,900 | |||||||||
Murray Street Investment Trust I | 89 | 89,068 | ||||||||||
Nationwide Building Society | 650 | 628,068 | ||||||||||
6.25%, 2/25/20(a) | 1,117 | 1,239,936 | ||||||||||
Rabobank Capital Funding Trust IV | GBP | 203 | 265,868 | |||||||||
Santander Issuances SAU | EUR | 400 | 434,799 | |||||||||
5.179%, 11/19/25 | U.S.$ | 200 | 205,198 | |||||||||
Santander UK Group Holdings PLC | 650 | 642,624 | ||||||||||
Santander UK PLC | 302 | 314,930 | ||||||||||
Standard Chartered PLC | 292 | 285,076 | ||||||||||
Series E | EUR | 104 | 116,474 | |||||||||
Sumitomo Mitsui Banking Corp. | U.S.$ | 322 | 321,880 | |||||||||
UBS Group Funding Jersey Ltd. | 413 | 420,064 | ||||||||||
US Bancorp | 259 | 263,882 | ||||||||||
Wells Fargo & Co. | 484 | 486,279 |
88 | • AB POOLING PORTFOLIOS |
AB Global Core Bond Portfolio—Portfolio of Investments
Principal Amount (000) | U.S. $ Value | |||||||||||
| ||||||||||||
Series E | EUR | 214 | $ | 252,155 | ||||||||
|
| |||||||||||
20,731,852 | ||||||||||||
|
| |||||||||||
Insurance – 1.2% | ||||||||||||
Five Corners Funding Trust | U.S.$ | 347 | 369,119 | |||||||||
Humana, Inc. | 121 | 128,146 | ||||||||||
7.20%, 6/15/18 | 199 | 212,664 | ||||||||||
Lincoln National Corp. | 80 | 91,859 | ||||||||||
Massachusetts Mutual Life Insurance Co. | 267 | 416,493 | ||||||||||
Muenchener Rueckversicherungs-Gesellschaft AG in Muenchen | EUR | 200 | 260,677 | |||||||||
Nationwide Mutual Insurance Co. | U.S.$ | 242 | 376,616 | |||||||||
Prudential Financial, Inc. | 543 | 584,702 | ||||||||||
Swiss Re America Holding Corp. | 423 | 528,184 | ||||||||||
|
| |||||||||||
2,968,460 | ||||||||||||
|
| |||||||||||
Other Finance – 0.2% | ||||||||||||
SUAM Finance BV | 422 | 440,463 | ||||||||||
|
| |||||||||||
REITS – 0.5% | ||||||||||||
Healthcare Trust of America Holdings LP | 186 | 187,711 | ||||||||||
Welltower, Inc. | 949 | 974,366 | ||||||||||
|
| |||||||||||
1,162,077 | ||||||||||||
|
| |||||||||||
25,302,852 | ||||||||||||
|
| |||||||||||
Utility – 1.5% | ||||||||||||
Electric – 0.4% | ||||||||||||
Constellation Energy Group, Inc. | U.S.$ | 165 | 178,338 | |||||||||
Entergy Corp. | 241 | 253,081 | ||||||||||
TECO Finance, Inc. | 299 | 319,813 | ||||||||||
Union Electric Co. | 103 | 112,305 | ||||||||||
|
| |||||||||||
863,537 | ||||||||||||
|
|
AB POOLING PORTFOLIOS • | 89 |
AB Global Core Bond Portfolio—Portfolio of Investments
Principal Amount (000) | U.S. $ Value | |||||||||||
| ||||||||||||
Natural Gas – 1.1% | ||||||||||||
Centrica PLC | U.S.$ | 610 | $ | 632,241 | ||||||||
Empresa de Energia de Bogota SA ESP | 495 | 510,844 | ||||||||||
NiSource Finance Corp. | 1,127 | 1,224,336 | ||||||||||
Talent Yield Investments Ltd. | 383 | 405,227 | ||||||||||
|
| |||||||||||
2,772,648 | ||||||||||||
|
| |||||||||||
3,636,185 | ||||||||||||
|
| |||||||||||
Non Corporate Sectors – 0.2% | ||||||||||||
Agencies - Government Sponsored – 0.2% | ||||||||||||
Equate Petrochemical BV | 569 | 551,930 | ||||||||||
|
| |||||||||||
Total Corporates - Investment Grade | 58,532,129 | |||||||||||
|
| |||||||||||
INFLATION-LINKED SECURITIES – 6.3% | ||||||||||||
Japan – 2.6% | ||||||||||||
Japanese Government CPI Linked Bond | JPY | 664,069 | 6,247,902 | |||||||||
|
| |||||||||||
United States – 3.7% | ||||||||||||
U.S. Treasury Inflation Index | U.S.$ | 4,563 | 4,646,208 | |||||||||
0.25%, 1/15/25 (TIPS) | 3,892 | 3,882,867 | ||||||||||
0.375%, 7/15/25 (TIPS) | 634 | 640,058 | ||||||||||
|
| |||||||||||
9,169,133 | ||||||||||||
|
| |||||||||||
Total Inflation-Linked Securities | 15,417,035 | |||||||||||
|
| |||||||||||
COLLATERALIZED MORTGAGE OBLIGATIONS – 5.1% | ||||||||||||
Risk Share Floating Rate – 5.0% | ||||||||||||
Federal Home Loan Mortgage Corp. Structured Agency Credit Risk Debt Notes | 718 | 735,984 | ||||||||||
Series 2014-DN3, Class M2 | 99 | 99,762 |
90 | • AB POOLING PORTFOLIOS |
AB Global Core Bond Portfolio—Portfolio of Investments
Principal Amount (000) | U.S. $ Value | |||||||||||
| ||||||||||||
Series 2014-HQ1, Class M2 | U.S.$ | 560 | $ | 566,546 | ||||||||
Series 2014-HQ2, Class M1 | 254 | 255,111 | ||||||||||
Series 2015-DNA1, Class M2 | 356 | 361,970 | ||||||||||
Series 2015-DNA2, Class M2 | 727 | 744,694 | ||||||||||
Series 2015-DNA3, Class M2 | 364 | 376,404 | ||||||||||
Series 2015-HQ1, Class M2 | 367 | 371,328 | ||||||||||
Series 2015-HQ2, Class M1 | 132 | 131,894 | ||||||||||
Series 2015-HQA1, Class M2 | 635 | 650,038 | ||||||||||
Series 2015-HQA2, Class M2 | 505 | 519,478 | ||||||||||
Series 2016-DNA1, Class M2 | 279 | 289,606 | ||||||||||
Series 2016-DNA2, Class M2 | 250 | 254,084 | ||||||||||
Series 2016-DNA3, Class M1 | 324 | 324,499 | ||||||||||
Series 2016-DNA4, Class M1 | 303 | 303,653 | ||||||||||
Series 2016-HQA1, Class M2 | 306 | 317,569 | ||||||||||
Federal National Mortgage Association Connecticut Avenue Securities | 100 | 100,581 |
AB POOLING PORTFOLIOS • | 91 |
AB Global Core Bond Portfolio—Portfolio of Investments
Principal Amount (000) | U.S. $ Value | |||||||||||
| ||||||||||||
Series 2014-C01, Class M1 | U.S.$ | 320 | $ | 322,690 | ||||||||
Series 2014-C04, Class 1M1 | 120 | 120,020 | ||||||||||
Series 2015-C02, Class 2M1 | 28 | 28,225 | ||||||||||
Series 2015-C03, Class 1M1 | 19 | 19,207 | ||||||||||
Series 2015-C03, Class 2M1 | 246 | 246,812 | ||||||||||
Series 2016-C01, Class 1M1 | 698 | 705,475 | ||||||||||
Series 2016-C01, Class 2M1 | 252 | 254,415 | ||||||||||
Series 2016-C02, Class 1M1 | 770 | 779,967 | ||||||||||
Series 2016-C03, Class 1M1 | 312 | 317,131 | ||||||||||
Series 2016-C03, Class 2M1 | 646 | 653,957 | ||||||||||
Series 2016-C04, Class 1M1 | 395 | 398,957 | ||||||||||
Series 2016-C05, Class 2M1 | 371 | 373,682 | ||||||||||
Series 2016-C06, Class 1M1 | 1,121 | 1,128,102 | ||||||||||
Series 2016-C07, Class 2M1 | 330 | 331,629 | ||||||||||
|
| |||||||||||
12,083,470 | ||||||||||||
|
| |||||||||||
Non-Agency Fixed Rate – 0.1% | ||||||||||||
Citigroup Mortgage Loan Trust, Inc. | 189 | 176,110 | ||||||||||
|
|
92 | • AB POOLING PORTFOLIOS |
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 | $ | 114,538 | ||||||||
|
| |||||||||||
Total Collateralized Mortgage Obligations | 12,374,118 | |||||||||||
|
| |||||||||||
GOVERNMENTS - SOVEREIGN AGENCIES – 4.1% | ||||||||||||
Canada – 3.3% | ||||||||||||
Canada Housing Trust No. 1 | CAD | 3,010 | 2,216,255 | |||||||||
3.80%, 6/15/21(a) | 7,000 | 5,795,264 | ||||||||||
|
| |||||||||||
8,011,519 | ||||||||||||
|
| |||||||||||
Colombia – 0.3% | ||||||||||||
Ecopetrol SA | U.S.$ | 241 | 219,009 | |||||||||
Oleoducto Central SA | 340 | 346,800 | ||||||||||
Ecopetrol SA | 239 | 255,969 | ||||||||||
|
| |||||||||||
821,778 | ||||||||||||
|
| |||||||||||
France – 0.4% | ||||||||||||
Dexia Credit Local SA/New York NY | 880 | 880,036 | ||||||||||
|
| |||||||||||
Morocco – 0.1% | ||||||||||||
OCP SA | 214 | 226,039 | ||||||||||
|
| |||||||||||
Total Governments - Sovereign Agencies | 9,939,372 | |||||||||||
|
| |||||||||||
COVERED BONDS – 3.8% | ||||||||||||
AIB Mortgage Bank | EUR | 217 | 233,803 | |||||||||
Banco de Sabadell SA | 300 | 327,814 | ||||||||||
Bank of Scotland PLC | 1,040 | 1,365,143 | ||||||||||
Credit Suisse AG/Guernsey | 654 | 739,781 |
AB POOLING PORTFOLIOS • | 93 |
AB Global Core Bond Portfolio—Portfolio of Investments
Principal Amount (000) | U.S. $ Value | |||||||||||
| ||||||||||||
Danske Bank A/S | EUR | 307 | $ | 343,073 | ||||||||
DNB Boligkreditt AS | 581 | 718,969 | ||||||||||
Nationwide Building Society | 550 | 705,993 | ||||||||||
Nordea Hypotek AB | SEK | 7,700 | 867,323 | |||||||||
Santander UK PLC | EUR | 615 | 692,316 | |||||||||
Skandinaviska Enskilda Banken AB | SEK | 7,500 | 866,667 | |||||||||
Stadshypotek AB | 8,000 | 925,911 | ||||||||||
Swedbank Hypotek AB | 7,700 | 871,185 | ||||||||||
UBS AG/London | EUR | 667 | 745,863 | |||||||||
|
| |||||||||||
Total Covered Bonds | 9,403,841 | |||||||||||
|
| |||||||||||
COMMERCIAL MORTGAGE-BACKED SECURITIES – 3.5% | ||||||||||||
Non-Agency Fixed Rate CMBS – 2.0% | ||||||||||||
BHMS Mortgage Trust | U.S.$ | 840 | 848,429 | |||||||||
Commercial Mortgage Loan Trust | 1,096 | 1,114,670 | ||||||||||
Commercial Mortgage Trust | 1,772 | 1,781,395 | ||||||||||
GS Mortgage Securities Trust | 380 | 367,249 | ||||||||||
Series 2013-G1, Class A2 | 528 | 525,212 |
94 | • AB POOLING PORTFOLIOS |
AB Global Core Bond Portfolio—Portfolio of Investments
Principal Amount (000) | U.S. $ Value | |||||||||||
| ||||||||||||
JP Morgan Chase Commercial Mortgage Securities Trust | U.S.$ | 298 | $ | 295,921 | ||||||||
|
| |||||||||||
4,932,876 | ||||||||||||
|
| |||||||||||
Non-Agency Floating Rate CMBS – 0.8% | ||||||||||||
CGBAM Commercial Mortgage Trust | 383 | 383,171 | ||||||||||
JP Morgan Chase Commercial Mortgage Securities Trust | 874 | 874,821 | ||||||||||
Resource Capital Corp., Ltd. | 112 | 112,159 | ||||||||||
Starwood Retail Property Trust | 563 | 557,958 | ||||||||||
|
| |||||||||||
1,928,109 | ||||||||||||
|
| |||||||||||
Agency CMBS – 0.7% | ||||||||||||
Federal Home Loan Mortgage Corp. Multifamily Structured Pass-Through Certificates | 1,522 | 1,590,331 | ||||||||||
|
| |||||||||||
Total Commercial Mortgage-Backed Securities | 8,451,316 | |||||||||||
|
| |||||||||||
AGENCIES – 3.0% | ||||||||||||
Agency Debentures – 2.8% | ||||||||||||
Residual Funding Corp. Principal Strip | 7,199 | 6,786,137 | ||||||||||
|
| |||||||||||
Agency Subordinated – 0.2% | ||||||||||||
Federal National Mortgage Association | 715 | 681,452 | ||||||||||
|
| |||||||||||
Total Agencies | 7,467,589 | |||||||||||
|
|
AB POOLING PORTFOLIOS • | 95 |
AB Global Core Bond Portfolio—Portfolio of Investments
Principal Amount (000) | U.S. $ Value | |||||||||||
| ||||||||||||
MORTGAGE PASS-THROUGHS – 2.8% | ||||||||||||
Agency ARMs – 0.2% | ||||||||||||
Federal Home Loan Mortgage Corp. | U.S.$ | 256 | $ | 270,978 | ||||||||
Federal National Mortgage Association | 158 | 167,086 | ||||||||||
|
| |||||||||||
438,064 | ||||||||||||
|
| |||||||||||
Agency Fixed Rate 30-Year – 2.1% | ||||||||||||
Federal Home Loan Mortgage Corp. Gold | 180 | 200,935 | ||||||||||
Federal National Mortgage Association | 147 | 164,117 | ||||||||||
Series 2004 | 143 | 159,611 | ||||||||||
Series 2005 | 108 | 121,074 | ||||||||||
Series 2006 | 4,320 | 4,541,063 | ||||||||||
5.00%, 1/01/36 | – 0 | –** | 309 | |||||||||
|
| |||||||||||
5,187,109 | ||||||||||||
|
| |||||||||||
Other Agency Fixed Rate Programs – 0.5% | ||||||||||||
Canadian Mortgage Pools | CAD | 1,314 | 1,187,973 | |||||||||
|
| |||||||||||
Total Mortgage Pass-Throughs | 6,813,146 | |||||||||||
|
| |||||||||||
QUASI-SOVEREIGNS – 1.4% | ||||||||||||
Quasi-Sovereign Bonds – 1.4% | ||||||||||||
Chile – 0.4% | ||||||||||||
Empresa de Transporte de Pasajeros Metro SA | U.S.$ | 849 | 918,147 | |||||||||
|
| |||||||||||
Kazakhstan – 0.1% | ||||||||||||
KazMunayGas National Co. JSC | 325 | 356,688 | ||||||||||
|
| |||||||||||
Mexico – 0.8% | ||||||||||||
Petroleos Mexicanos | 974 | 917,995 | ||||||||||
4.625%, 9/21/23 | 267 | 267,531 | ||||||||||
4.875% PEMEX, 1/18/24 | 665 | 667,527 | ||||||||||
|
| |||||||||||
1,853,053 | ||||||||||||
|
|
96 | • AB POOLING PORTFOLIOS |
AB Global Core Bond Portfolio—Portfolio of Investments
Principal Amount (000) | U.S. $ Value | |||||||||||
| ||||||||||||
Peru – 0.1% | ||||||||||||
Fondo MIVIVIENDA SA | U.S.$ | 200 | $ | 200,500 | ||||||||
|
| |||||||||||
Total Quasi-Sovereigns | 3,328,388 | |||||||||||
|
| |||||||||||
ASSET-BACKED SECURITIES – 1.2% | ||||||||||||
Other ABS - Fixed Rate – 0.6% | ||||||||||||
SBA Tower Trust | 408 | 410,377 | ||||||||||
Series 2014-2A, Class C | 337 | 335,411 | ||||||||||
SoFi Consumer Loan Program LLC | 609 | 607,984 | ||||||||||
TAGUS-Sociedade de Titularizacao de Creditos SA/Volta II Electricity Receivables | EUR | 109 | 116,762 | |||||||||
|
| |||||||||||
1,470,534 | ||||||||||||
|
| |||||||||||
Autos - Fixed Rate – 0.6% | ||||||||||||
Hertz Vehicle Financing LLC | U.S.$ | 655 | 652,352 | |||||||||
Santander Drive Auto Receivables Trust | 750 | 755,552 | ||||||||||
|
| |||||||||||
1,407,904 | ||||||||||||
|
| |||||||||||
Home Equity Loans - Floating Rate – 0.0% | ||||||||||||
ABFC Trust | 70 | 68,193 | ||||||||||
|
| |||||||||||
Total Asset-Backed Securities | 2,946,631 | |||||||||||
|
| |||||||||||
LOCAL GOVERNMENTS - MUNICIPAL BONDS – 0.4% | ||||||||||||
United States – 0.4% |
| |||||||||||
State of California | 650 | 958,379 | ||||||||||
|
|
AB POOLING PORTFOLIOS • | 97 |
AB Global Core Bond Portfolio—Portfolio of Investments
Principal Amount (000) | U.S. $ Value | |||||||||||
| ||||||||||||
SUPRANATIONALS – 0.3% | ||||||||||||
International Bank for Reconstruction & Development | U.S.$ | 765 | $ | 789,234 | ||||||||
|
| |||||||||||
CORPORATES - NON-INVESTMENT GRADE – 0.3% | ||||||||||||
Financial Institutions – 0.2% | ||||||||||||
Banking – 0.2% | ||||||||||||
Societe Generale SA | 495 | 496,841 | ||||||||||
|
| |||||||||||
Industrial – 0.1% | ||||||||||||
Basic – 0.1% | ||||||||||||
CF Industries, Inc. | 211 | 181,460 | ||||||||||
|
| |||||||||||
Total Corporates - Non-Investment Grade | 678,301 | |||||||||||
|
| |||||||||||
Total Investments – 97.9% | 238,930,309 | |||||||||||
Other assets less liabilities – 2.1% | 5,067,825 | |||||||||||
|
| |||||||||||
Net Assets – 100.0% | $ | 243,998,134 | ||||||||||
|
|
FUTURES (see Note C)
Type | Number of Contracts | Expiration Month | Original Value | Value at February 28, 2017 | Unrealized Appreciation/ (Depreciation) | |||||||||||||
Purchased Contracts |
| |||||||||||||||||
10 Yr Japan Bond (OSE) Futures | 5 | March 2017 | $ | 6,683,904 | $ | 6,701,678 | $ | 17,774 | ||||||||||
Sold Contracts | ||||||||||||||||||
10 Yr Canadian Bond Futures | 17 | June 2017 | 1,744,510 | 1,757,981 | (13,471 | ) | ||||||||||||
Euro Buxl 30 Yr Bond Futures | 2 | March 2017 | 361,168 | 367,866 | (6,698 | ) | ||||||||||||
Euro-OAT Futures | 29 | March 2017 | 4,598,487 | 4,606,851 | (8,364 | ) | ||||||||||||
U.S. Long Bond (CBT) Futures | 16 | June 2017 | 2,392,984 | 2,426,500 | (33,516 | ) | ||||||||||||
U.S. T-Note 10 Yr (CBT) Futures | 54 | June 2017 | 6,707,265 | 6,727,219 | (19,954 | ) | ||||||||||||
|
| |||||||||||||||||
$ | (64,229 | ) | ||||||||||||||||
|
|
98 | • AB POOLING PORTFOLIOS |
AB Global Core Bond 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 | GBP | 12,540 | USD | 15,452 | 3/09/17 | $ | (109,827 | ) | ||||||||||||||||
BNP Paribas SA | USD | 4,967 | SGD | 7,095 | 3/14/17 | 96,627 | ||||||||||||||||||
BNP Paribas SA | JPY | 537,670 | USD | 4,695 | 3/16/17 | (93,227 | ) | |||||||||||||||||
BNP Paribas SA | USD | 594 | EUR | 550 | 4/12/17 | (10,997 | ) | |||||||||||||||||
Citibank, NA | USD | 1,464 | GBP | 1,177 | 3/09/17 | (3,305 | ) | |||||||||||||||||
Citibank, NA | RUB | 42,689 | USD | 716 | 4/28/17 | (6,937 | ) | |||||||||||||||||
Credit Suisse International | USD | 565 | ZAR | 7,348 | 3/27/17 | (7,655 | ) | |||||||||||||||||
Goldman Sachs Bank USA | USD | 1,653 | GBP | 1,319 | 3/09/17 | (15,659 | ) | |||||||||||||||||
Goldman Sachs Bank USA | NZD | 1,649 | USD | 1,204 | 3/31/17 | 17,718 | ||||||||||||||||||
Goldman Sachs Bank USA | NZD | 785 | USD | 563 | 4/06/17 | (1,394 | ) | |||||||||||||||||
Goldman Sachs Bank USA | CAD | 24,751 | USD | 18,941 | 4/07/17 | 301,308 | ||||||||||||||||||
Goldman Sachs Bank USA | EUR | 567 | USD | 609 | 4/12/17 | 6,852 | ||||||||||||||||||
Goldman Sachs Bank USA | USD | 641 | EUR | 597 | 4/12/17 | (7,044 | ) | |||||||||||||||||
HSBC Bank USA | SGD | 7,408 | USD | 5,194 | 3/14/17 | (92,287 | ) | |||||||||||||||||
HSBC Bank USA | PLN | 8,185 | USD | 2,049 | 3/16/17 | 36,432 | ||||||||||||||||||
HSBC Bank USA | MXN | 18,794 | USD | 916 | 4/04/17 | (14,674 | ) | |||||||||||||||||
HSBC Bank USA | SEK | 42,908 | USD | 4,794 | 5/11/17 | 24,299 | ||||||||||||||||||
JPMorgan Chase Bank, NA | AUD | 8,641 | USD | 6,508 | 4/06/17 | (112,211 | ) | |||||||||||||||||
JPMorgan Chase Bank, NA | NZD | 1,549 | USD | 1,108 | 4/06/17 | (6,617 | ) | |||||||||||||||||
Morgan Stanley & Co., Inc. | EUR | 41,845 | USD | 45,042 | 4/12/17 | 626,248 | ||||||||||||||||||
Royal Bank of Scotland PLC | GBP | 6,700 | USD | 8,358 | 3/09/17 | 43,105 | ||||||||||||||||||
Royal Bank of Scotland PLC | USD | 8,670 | CAD | 11,347 | 4/07/17 | (125,342 | ) | |||||||||||||||||
Standard Chartered Bank | JPY | 2,284,144 | USD | 20,237 | 3/16/17 | (105,060 | ) | |||||||||||||||||
State Street Bank & Trust Co. | USD | 304 | GBP | 243 | 3/09/17 | (2,368 | ) | |||||||||||||||||
State Street Bank & Trust Co. | PLN | 1,817 | USD | 455 | 3/16/17 | 8,226 | ||||||||||||||||||
State Street Bank & Trust Co. | PLN | 4,747 | USD | 1,121 | 3/16/17 | (46,117 | ) | |||||||||||||||||
State Street Bank & Trust Co. | ZAR | 4,513 | USD | 344 | 3/27/17 | 1,401 | ||||||||||||||||||
State Street Bank & Trust Co. | ZAR | 5,512 | USD | 405 | 3/27/17 | (13,541 | ) | |||||||||||||||||
State Street Bank & Trust Co. | NZD | 458 | USD | 329 | 4/06/17 | (484 | ) | |||||||||||||||||
State Street Bank & Trust Co. | CAD | 591 | USD | 450 | 4/07/17 | 4,623 | ||||||||||||||||||
State Street Bank & Trust Co. | EUR | 191 | USD | 203 | 4/12/17 | 41 | ||||||||||||||||||
State Street Bank & Trust Co. | EUR | 109 | USD | 116 | 4/12/17 | (260 | ) | |||||||||||||||||
State Street Bank & Trust Co. | USD | 2,432 | EUR | 2,250 | 4/12/17 | (43,084 | ) | |||||||||||||||||
State Street Bank & Trust Co. | MXN | 9,355 | USD | 472 | 4/26/17 | 10,481 | ||||||||||||||||||
|
| |||||||||||||||||||||||
$ | 359,271 | |||||||||||||||||||||||
|
|
** | 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 February 28, 2017, the aggregate market value of these securities amounted to $71,058,743 or 29.1% of net assets. |
(b) | Variable rate coupon, rate shown as of February 28, 2017. |
(c) | Floating Rate Security. Stated interest/floor rate was in effect at February 28, 2017. |
(d) | Securities are perpetual and, thus, do not have a predetermined maturity date. The date shown, if applicable, reflects the next call date. |
Currency | Abbreviations: |
AUD – Australian Dollar
CAD – Canadian Dollar
EUR – Euro
GBP – Great British Pound
JPY – Japanese Yen
MXN – Mexican Peso
NZD – New Zealand Dollar
AB POOLING PORTFOLIOS • | 99 |
AB Global Core Bond Portfolio—Portfolio of Investments
PLN – Polish Zloty
RUB – Russian Ruble
SEK – Swedish Krona
SGD – Singapore 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
JSC – Joint Stock Company
LIBOR – London Interbank Offered Rates
OAT – Obligations Assimilables du Trésor
OSE – Osaka Securities Exchange
TBA – To Be Announced
TIPS – Treasury Inflation Protected Security
See notes to financial statements.
100 | • AB POOLING PORTFOLIOS |
AB Global Core Bond Portfolio—Portfolio of Investments
AB BOND INFLATION PROTECTION PORTFOLIO
PORTFOLIO OF INVESTMENTS
February 28, 2017 (unaudited)
Principal Amount (000) | U.S. $ Value | |||||||||||
| ||||||||||||
INFLATION-LINKED | ||||||||||||
United States – 91.9% | ||||||||||||
U.S. Treasury Inflation Index | U.S.$ | 21,175 | $ | 21,361,618 | ||||||||
0.125%, 4/15/20-7/15/22 (TIPS)(a) | 12,687 | 12,893,059 | ||||||||||
0.25%, 1/15/25 (TIPS)(a) | 6,421 | 6,406,426 | ||||||||||
0.375%, 7/15/23-7/15/25 (TIPS)(a) | 16,635 | 16,864,371 | ||||||||||
0.625%, 7/15/21 (TIPS)(a)(b) | 9,662 | 10,067,331 | ||||||||||
0.625%, 1/15/24 (TIPS)(a) | 6,719 | 6,926,055 | ||||||||||
1.375%, 1/15/20 (TIPS) | 5,534 | 5,860,346 | ||||||||||
2.00%, 1/15/26 (TIPS) | 2,741 | 3,134,032 | ||||||||||
2.375%, 1/15/27 (TIPS) | 5,604 | 6,680,601 | ||||||||||
|
| |||||||||||
Total Inflation-Linked Securities | 90,193,839 | |||||||||||
|
| |||||||||||
CORPORATES - INVESTMENT GRADE – 13.9% | ||||||||||||
Industrial – 7.9% | ||||||||||||
Basic – 0.6% | ||||||||||||
Barrick Gold Corp. | 16 | 17,180 | ||||||||||
Dow Chemical Co. (The) | 104 | 118,715 | ||||||||||
Eastman Chemical Co. | 78 | 79,853 | ||||||||||
Sociedad Quimica y Minera de Chile SA | 200 | 195,800 | ||||||||||
Vale Overseas Ltd. | 145 | 158,413 | ||||||||||
|
| |||||||||||
569,961 | ||||||||||||
|
| |||||||||||
Capital Goods – 0.3% | ||||||||||||
Embraer Netherlands Finance BV | 150 | 155,400 | ||||||||||
Yamana Gold, Inc. | 131 | 133,455 | ||||||||||
|
| |||||||||||
288,855 | ||||||||||||
|
| |||||||||||
Communications - Media – 0.5% | ||||||||||||
CBS Corp. | 103 | 102,243 | ||||||||||
Cox Communications, Inc. | 57 | 54,360 | ||||||||||
Discovery Communications LLC | 66 | 63,155 | ||||||||||
S&P Global, Inc. | 210 | 223,468 |
AB POOLING PORTFOLIOS • | 101 |
AB Bond Inflation Protection Portfolio—Portfolio of Investments
Principal Amount (000) | U.S. $ Value | |||||||||||
| ||||||||||||
Viacom, Inc. | U.S.$ | 115 | $ | 100,914 | ||||||||
|
| |||||||||||
544,140 | ||||||||||||
|
| |||||||||||
Communications - Telecommunications – 0.9% | ||||||||||||
AT&T, Inc. | 281 | 271,663 | ||||||||||
3.80%, 3/15/22 | 77 | 79,463 | ||||||||||
Rogers Communications, Inc. | CAD | 25 | 20,436 | |||||||||
Sprint Spectrum Co. LLC/Sprint Spectrum Co. II LLC/Sprint Spectrum Co. III LLC | U.S.$ | 205 | 205,779 | |||||||||
Verizon Communications, Inc. | 163 | 149,264 | ||||||||||
3.50%, 11/01/24 | 145 | 145,323 | ||||||||||
|
| |||||||||||
871,928 | ||||||||||||
|
| |||||||||||
Consumer Cyclical - Automotive – 0.4% | ||||||||||||
Ford Motor Credit Co. LLC | 200 | 223,759 | ||||||||||
General Motors Co. | 127 | 129,942 | ||||||||||
|
| |||||||||||
353,701 | ||||||||||||
|
| |||||||||||
Consumer Cyclical - Retailers – 0.3% | ||||||||||||
Kohl’s Corp. | 64 | 61,998 | ||||||||||
Walgreens Boots Alliance, Inc. | 206 | 210,319 | ||||||||||
|
| |||||||||||
272,317 | ||||||||||||
|
| |||||||||||
Consumer Non-Cyclical – 1.2% | ||||||||||||
AbbVie, Inc. | 159 | 158,331 | ||||||||||
Baxalta, Inc. | 247 | 251,116 | ||||||||||
Bunge Ltd., Finance Corp. | 2 | 2,280 | ||||||||||
Grupo Bimbo SAB de CV | 208 | 208,574 | ||||||||||
Laboratory Corp. of America Holdings | 94 | 92,665 | ||||||||||
Mylan NV | 63 | 61,536 | ||||||||||
Teva Pharmaceutical Finance Netherlands III BV | 137 | 126,813 |
102 | • AB POOLING PORTFOLIOS |
AB Bond Inflation Protection Portfolio—Portfolio of Investments
Principal Amount (000) | U.S. $ Value | |||||||||||
| ||||||||||||
Tyson Foods, Inc. | U.S.$ | 60 | $ | 60,779 | ||||||||
3.95%, 8/15/24 | 198 | 202,650 | ||||||||||
|
| |||||||||||
1,164,744 | ||||||||||||
|
| |||||||||||
Energy – 2.7% | ||||||||||||
EnLink Midstream Partners LP | 123 | 117,256 | ||||||||||
Enterprise Products Operating LLC | 269 | 272,366 | ||||||||||
5.20%, 9/01/20 | 118 | 128,939 | ||||||||||
Hess Corp. | 182 | 182,052 | ||||||||||
Kinder Morgan Energy Partners LP | 102 | 106,245 | ||||||||||
Marathon Petroleum Corp. | 97 | 105,740 | ||||||||||
MPLX LP | 78 | 78,773 | ||||||||||
4.50%, 7/15/23 | 135 | 141,747 | ||||||||||
Nabors Industries, Inc. | 193 | 199,152 | ||||||||||
Noble Energy, Inc. | 163 | 166,635 | ||||||||||
8.25%, 3/01/19 | 224 | 250,209 | ||||||||||
Plains All American Pipeline LP/PAA Finance Corp. | 217 | 211,884 | ||||||||||
Sabine Pass Liquefaction LLC | 132 | 139,725 | ||||||||||
Schlumberger Holdings Corp. | 269 | 274,964 | ||||||||||
Spectra Energy Capital LLC | 74 | 83,906 | ||||||||||
Valero Energy Corp. | 164 | 181,604 | ||||||||||
|
| |||||||||||
2,641,197 | ||||||||||||
|
| |||||||||||
Technology – 0.8% | ||||||||||||
Broadcom Corp./Broadcom Cayman Finance Ltd. | 50 | 50,557 | ||||||||||
3.875%, 1/15/27(c) | 109 | 109,759 | ||||||||||
Diamond 1 Finance Corp./Diamond 2 Finance Corp. | 47 | 51,680 | ||||||||||
KLA-Tencor Corp. | 216 | 231,555 |
AB POOLING PORTFOLIOS • | 103 |
AB Bond Inflation Protection Portfolio—Portfolio of Investments
Principal Amount (000) | U.S. $ Value | |||||||||||
| ||||||||||||
Seagate HDD Cayman | U.S.$ | 121 | $ | 117,064 | ||||||||
Total System Services, Inc. | 87 | 87,462 | ||||||||||
Western Digital Corp. | 146 | 160,235 | ||||||||||
|
| |||||||||||
808,312 | ||||||||||||
|
| |||||||||||
Transportation - Services – 0.2% | ||||||||||||
Adani Ports & Special Economic Zone Ltd. | 200 | 201,840 | ||||||||||
|
| |||||||||||
7,716,995 | ||||||||||||
|
| |||||||||||
Financial Institutions – 5.6% | ||||||||||||
Banking – 5.1% | ||||||||||||
Bank of America Corp. | 245 | 246,894 | ||||||||||
5.625%, 7/01/20 | 115 | 126,767 | ||||||||||
Barclays Bank PLC | EUR | 75 | 99,093 | |||||||||
Barclays PLC | U.S.$ | 200 | 201,796 | |||||||||
BNP Paribas SA | EUR | 195 | 197,286 | |||||||||
Citigroup, Inc. | U.S.$ | 224 | 222,266 | |||||||||
Cooperatieve Rabobank UA | 250 | 255,043 | ||||||||||
Credit Suisse Group Funding Guernsey Ltd. | 265 | 265,491 | ||||||||||
Goldman Sachs Group, Inc. (The) | 120 | 117,383 | ||||||||||
2.654% (LIBOR 3 Month + 1.60%), 11/29/23(d) | 127 | 130,705 | ||||||||||
JPMorgan Chase & Co. | 105 | 103,819 | ||||||||||
3.782%, 2/01/28 | 128 | 129,936 | ||||||||||
Lloyds Banking Group PLC | 200 | 204,714 | ||||||||||
Mizuho Financial Group Cayman 3 Ltd. | 280 | 296,375 | ||||||||||
Morgan Stanley | 260 | 287,649 | ||||||||||
Murray Street Investment Trust I | 30 | 30,023 |
104 | • AB POOLING PORTFOLIOS |
AB Bond Inflation Protection Portfolio—Portfolio of Investments
Principal Amount (000) | U.S. $ Value | |||||||||||
| ||||||||||||
Nationwide Building Society | U.S.$ | 265 | $ | 256,058 | ||||||||
PNC Bank NA | 316 | 331,322 | ||||||||||
Santander Bank, NA | 306 | 306,728 | ||||||||||
Santander Issuances SAU | EUR | 200 | 217,399 | |||||||||
Santander UK PLC | U.S.$ | 200 | 208,563 | |||||||||
UBS AG/Stamford CT | 250 | 287,100 | ||||||||||
UBS Group Funding Jersey Ltd. | 200 | 203,421 | ||||||||||
US Bancorp | 104 | 105,960 | ||||||||||
Wells Fargo & Co. | 192 | 192,904 | ||||||||||
|
| |||||||||||
5,024,695 | ||||||||||||
|
| |||||||||||
Finance – 0.1% | ||||||||||||
International Lease Finance Corp. | 88 | 94,468 | ||||||||||
|
| |||||||||||
Insurance – 0.2% | ||||||||||||
Lincoln National Corp. | 28 | 32,150 | ||||||||||
Nationwide Mutual Insurance Co. | 90 | 140,064 | ||||||||||
|
| |||||||||||
172,214 | ||||||||||||
|
| |||||||||||
REITS – 0.2% | ||||||||||||
Host Hotels & Resorts LP | 4 | 4,011 | ||||||||||
Welltower, Inc. | 253 | 259,763 | ||||||||||
|
| |||||||||||
263,774 | ||||||||||||
|
| |||||||||||
5,555,151 | ||||||||||||
|
| |||||||||||
Utility – 0.4% | ||||||||||||
Electric – 0.4% | ||||||||||||
CMS Energy Corp. | 110 | 121,019 | ||||||||||
Constellation Energy Group, Inc. | 43 | 46,476 |
AB POOLING PORTFOLIOS • | 105 |
AB Bond Inflation Protection Portfolio—Portfolio of Investments
Principal Amount (000) | U.S. $ Value | |||||||||||
| ||||||||||||
Entergy Corp. | U.S.$ | 214 | $ | 224,727 | ||||||||
|
| |||||||||||
392,222 | ||||||||||||
|
| |||||||||||
Total Corporates - Investment Grade | 13,664,368 | |||||||||||
|
| |||||||||||
COMMERCIAL MORTGAGE-BACKED SECURITIES – 7.4% | ||||||||||||
Non-Agency Fixed Rate CMBS – 5.1% | ||||||||||||
Banc of America Commercial Mortgage Trust | 101 | 102,722 | ||||||||||
Bear Stearns Commercial Mortgage Securities Trust | 18 | 18,489 | ||||||||||
BHMS Mortgage Trust | 319 | 322,524 | ||||||||||
CGRBS Commercial Mortgage Trust | 323 | 332,162 | ||||||||||
Citigroup Commercial Mortgage Trust | 163 | 153,653 | ||||||||||
Series 2013-GC11, Class D | 147 | 135,103 | ||||||||||
Series 2015-GC27, Class A5 | 242 | 241,695 | ||||||||||
COBALT CMBS Commercial Mortgage Trust | 203 | 203,627 | ||||||||||
Commercial Mortgage Trust | 7 | 7,112 | ||||||||||
Series 2013-SFS, Class A1 | 109 | 106,598 | ||||||||||
Credit Suisse Commercial Mortgage Trust | 155 | 155,857 | ||||||||||
CSAIL Commercial Mortgage Trust | 136 | 141,769 | ||||||||||
DBUBS Mortgage Trust | 125 | 130,671 |
106 | • AB POOLING PORTFOLIOS |
AB Bond Inflation Protection Portfolio—Portfolio of Investments
Principal Amount (000) | U.S. $ Value | |||||||||||
| ||||||||||||
GS Mortgage Securities Corp. II | U.S.$ | 295 | $ | 299,033 | ||||||||
GS Mortgage Securities Trust | 104 | 103,926 | ||||||||||
Series 2013-G1, Class A1 | 203 | 196,627 | ||||||||||
JP Morgan Chase Commercial Mortgage Securities Trust | 76 | 76,275 | ||||||||||
Series 2006-LDP9, Class AM | 85 | 85,062 | ||||||||||
Series 2007-CB19, Class AM | 115 | 115,219 | ||||||||||
Series 2007-LD12, Class AM | 98 | 99,648 | ||||||||||
Series 2007-LDPX, Class A1A | 113 | 113,261 | ||||||||||
Series 2011-C5, Class D | 100 | 102,422 | ||||||||||
JPMBB Commercial Mortgage Securities Trust | 132 | 137,985 | ||||||||||
Series 2015-C32, Class C | 186 | 177,817 | ||||||||||
LB-UBS Commercial Mortgage Trust | 83 | 73,450 | ||||||||||
LSTAR Commercial Mortgage Trust | 119 | 118,892 | ||||||||||
Series 2015-3, Class A2 | 236 | 237,245 | ||||||||||
Morgan Stanley Capital I Trust | 105 | 105,694 | ||||||||||
UBS-Barclays Commercial Mortgage Trust | 104 | 105,619 | ||||||||||
Wachovia Bank Commercial Mortgage Trust | 10 | 10,201 |
AB POOLING PORTFOLIOS • | 107 |
AB Bond Inflation Protection Portfolio—Portfolio of Investments
Principal Amount (000) | U.S. $ Value | |||||||||||
| ||||||||||||
Wells Fargo Commercial Mortgage Trust | U.S.$ | 198 | $ | 196,616 | ||||||||
Series 2016-LC25, Class C | 100 | 98,939 | ||||||||||
Series 2016-NXS6, Class C | 165 | 162,697 | ||||||||||
WF-RBS Commercial Mortgage Trust | 166 | 170,434 | ||||||||||
Series 2014-C20, Class A2 | 200 | 204,093 | ||||||||||
|
| |||||||||||
5,043,137 | ||||||||||||
|
| |||||||||||
Non-Agency Floating Rate CMBS – 2.0% | ||||||||||||
CGBAM Commercial Mortgage Trust | 103 | 102,548 | ||||||||||
Series 2016-IMC, Class C | 103 | 103,081 | ||||||||||
CSMC Mortgage-Backed Trust | 100 | 100,022 | ||||||||||
H/2 Asset Funding NRE | 222 | 220,419 | ||||||||||
JP Morgan Chase Commercial Mortgage Securities Trust | 326 | 326,306 | ||||||||||
Series 2015-SGP, Class A | 291 | 292,816 | ||||||||||
Morgan Stanley Capital I Trust | 100 | 99,650 | ||||||||||
Series 2015-XLF2, Class SNMA | 100 | 100,351 | ||||||||||
Resource Capital Corp., Ltd. | 42 | 41,982 |
108 | • AB POOLING PORTFOLIOS |
AB Bond Inflation Protection Portfolio—Portfolio of Investments
Principal Amount (000) | U.S. $ Value | |||||||||||
| ||||||||||||
Starwood Retail Property Trust | U.S.$ | 352 | $ | 349,127 | ||||||||
Waldorf Astoria Boca Raton Trust | 178 | 178,630 | ||||||||||
|
| |||||||||||
1,914,932 | ||||||||||||
|
| |||||||||||
Agency CMBS – 0.3% | ||||||||||||
FHLMC Multifamily Structured Pass Through Certificates | 315 | 317,500 | ||||||||||
|
| |||||||||||
Total Commercial Mortgage-Backed Securities | 7,275,569 | |||||||||||
|
| |||||||||||
ASSET-BACKED SECURITIES – 7.2% | ||||||||||||
Autos - Fixed Rate – 4.2% | ||||||||||||
Ally Auto Receivables Trust | 117 | 117,090 | ||||||||||
Ally Master Owner Trust | 258 | 257,962 | ||||||||||
Americredit Automobile Receivables Trust | 208 | 207,817 | ||||||||||
ARI Fleet Lease Trust | 4 | 4,325 | ||||||||||
Avis Budget Rental Car Funding AESOP LLC | 514 | 521,665 | ||||||||||
Bank of The West Auto Trust | 231 | 230,371 | ||||||||||
California Republic Auto Receivables Trust | 207 | 207,503 | ||||||||||
Series 2015-2, Class A3 | 132 | 132,316 | ||||||||||
Capital Auto Receivables Asset Trust | 66 | 66,219 |
AB POOLING PORTFOLIOS • | 109 |
AB Bond Inflation Protection Portfolio—Portfolio of Investments
Principal Amount (000) | U.S. $ Value | |||||||||||
| ||||||||||||
CPS Auto Receivables Trust | U.S.$ | 53 | $ | 52,509 | ||||||||
Series 2014-B, Class A | 12 | 12,344 | ||||||||||
Enterprise Fleet Financing LLC | 104 | 103,755 | ||||||||||
Exeter Automobile Receivables Trust | 89 | 89,110 | ||||||||||
First Investors Auto Owner Trust | 145 | 144,791 | ||||||||||
Flagship Credit Auto Trust | 100 | 98,322 | ||||||||||
Ford Credit Auto Owner Trust | 225 | 227,111 | ||||||||||
GM Financial Automobile Leasing Trust | 282 | 282,542 | ||||||||||
GMF Floorplan Owner Revolving Trust | 120 | 119,605 | ||||||||||
Harley-Davidson Motorcycle Trust | 62 | 61,892 | ||||||||||
Hertz Vehicle Financing II LP | 145 | 144,468 | ||||||||||
Series 2015-2A, Class A | 147 | 146,180 | ||||||||||
Hertz Vehicle Financing LLC | 140 | 139,756 | ||||||||||
Series 2016-1A, Class A | 135 | 134,454 | ||||||||||
Hyundai Auto Lease Securitization Trust | 195 | 195,068 | ||||||||||
Mercedes Benz Auto Lease Trust | 108 | 108,040 | ||||||||||
Nissan Auto Lease Trust | 163 | 162,827 |
110 | • AB POOLING PORTFOLIOS |
AB Bond Inflation Protection Portfolio—Portfolio of Investments
Principal Amount (000) | U.S. $ Value | |||||||||||
| ||||||||||||
Santander Drive Auto Receivables Trust | U.S.$ | 111 | $ | 110,929 | ||||||||
Westlake Automobile Receivables Trust | 26 | 25,665 | ||||||||||
|
| |||||||||||
4,104,636 | ||||||||||||
|
| |||||||||||
Autos - Floating Rate – 1.1% | ||||||||||||
BMW Floorplan Master Owner Trust | 365 | 365,270 | ||||||||||
Ford Credit Floorplan Master Owner Trust | 234 | 235,078 | ||||||||||
Hertz Fleet Lease Funding LP | 29 | 29,363 | ||||||||||
Volkswagen Credit Auto Master Trust | 111 | 111,000 | ||||||||||
Wells Fargo Dealer Floorplan Master Note Trust | 163 | 163,079 | ||||||||||
Series 2015-1, Class A | 211 | 211,384 | ||||||||||
|
| |||||||||||
1,115,174 | ||||||||||||
|
| |||||||||||
Other ABS - Fixed Rate – 0.9% | ||||||||||||
CNH Equipment Trust | 167 | 167,538 | ||||||||||
Dell Equipment Finance Trust | 29 | 29,028 | ||||||||||
Marlette Funding Trust | 64 | 63,479 | ||||||||||
SBA Tower Trust | 258 | 259,316 |
AB POOLING PORTFOLIOS • | 111 |
AB Bond Inflation Protection Portfolio—Portfolio of Investments
Principal Amount (000) | U.S. $ Value | |||||||||||
| ||||||||||||
SoFi Consumer Loan Program LLC | U.S.$ | 100 | $ | 100,134 | ||||||||
Series 2016-3, Class A | 139 | 138,681 | ||||||||||
Series 2017-2, Class A | 155 | 154,742 | ||||||||||
|
| |||||||||||
912,918 | ||||||||||||
|
| |||||||||||
Credit Cards - Fixed Rate – 0.7% | ||||||||||||
Synchrony Credit Card Master Note Trust | 372 | 375,155 | ||||||||||
Series 2016-1, Class A | 100 | 100,496 | ||||||||||
World Financial Network Credit Card Master Trust | 133 | 133,130 | ||||||||||
Series 2016-B, Class A | 109 | 108,626 | ||||||||||
|
| |||||||||||
717,407 | ||||||||||||
|
| |||||||||||
Credit Cards - Floating Rate – 0.3% | ||||||||||||
Cabela’s Credit Card Master Note Trust | 98 | 98,000 | ||||||||||
World Financial Network Credit Card Master Trust | 139 | 139,283 | ||||||||||
|
| |||||||||||
237,283 | ||||||||||||
|
| |||||||||||
Total Asset-Backed Securities | 7,087,418 | |||||||||||
|
| |||||||||||
COLLATERALIZED MORTGAGE OBLIGATIONS – 4.8% | ||||||||||||
Risk Share Floating Rate – 4.8% | ||||||||||||
Federal Home Loan Mortgage Corp. Structured Agency Credit Risk Debt Notes | 318 | 339,838 | ||||||||||
Series 2014-DN3, Class M3 | 322 | 342,161 |
112 | • AB POOLING PORTFOLIOS |
AB Bond Inflation Protection Portfolio—Portfolio of Investments
Principal Amount (000) | U.S. $ Value | |||||||||||
| ||||||||||||
Series 2014-HQ3, Class M2 | U.S.$ | 112 | $ | 112,466 | ||||||||
Series 2014-HQ3, Class M3 | 250 | 272,550 | ||||||||||
Series 2015-DN1, Class M3 | 250 | 267,126 | ||||||||||
Series 2015-DNA2, Class M2 | 283 | 290,171 | ||||||||||
Series 2015-DNA3, Class M3 | 250 | 274,838 | ||||||||||
Series 2015-HQA1, Class M2 | 259 | 265,533 | ||||||||||
Federal National Mortgage Association Connecticut Avenue Securities | 26 | 26,050 | ||||||||||
Series 2014-C04, Class 1M2 | 182 | 201,811 | ||||||||||
Series 2014-C04, Class 2M2 | ||||||||||||
5.778% (LIBOR 1 Month + 5.00%), | 65 | 71,100 | ||||||||||
Series 2015-C01, Class 1M2 | 127 | 134,321 | ||||||||||
Series 2015-C01, Class 2M2 | 177 | 187,096 | ||||||||||
Series 2015-C02, Class 2M2 | 147 | 154,027 | ||||||||||
Series 2015-C03, Class 1M1 | 8 | 7,719 | ||||||||||
Series 2015-C03, Class 1M2 | 256 | 277,933 | ||||||||||
Series 2015-C03, Class 2M2 | 279 | 302,484 |
AB POOLING PORTFOLIOS • | 113 |
AB Bond Inflation Protection Portfolio—Portfolio of Investments
Principal Amount (000) | U.S. $ Value | |||||||||||
| ||||||||||||
Series 2015-C04, Class 1M2 | U.S.$ | 268 | $ | 298,525 | ||||||||
Series 2015-C04, Class 2M2 | 105 | 115,785 | ||||||||||
Series 2016-C01, Class 2M2 | 300 | 351,428 | ||||||||||
Series 2016-C03, Class 2M2 | 250 | 280,523 | ||||||||||
Wells Fargo Credit Risk Transfer Securities Trust | 36 | 35,624 | ||||||||||
Series 2015-WF1, Class 2M1 | 60 | 60,038 | ||||||||||
|
| |||||||||||
Total Collateralized Mortgage Obligations | 4,669,147 | |||||||||||
|
| |||||||||||
CORPORATES - NON-INVESTMENT GRADE – 2.3% | ||||||||||||
Industrial – 1.4% | ||||||||||||
Capital Goods – 0.0% | ||||||||||||
SPX FLOW, Inc. | 30 | 30,825 | ||||||||||
5.875%, 8/15/26(c) | 9 | 9,135 | ||||||||||
|
| |||||||||||
39,960 | ||||||||||||
|
| |||||||||||
Communications - Media – 0.1% | ||||||||||||
CSC Holdings LLC | 45 | 49,388 | ||||||||||
|
| |||||||||||
Communications - Telecommunications – 0.5% | ||||||||||||
CenturyLink, Inc. | 79 | 84,185 | ||||||||||
Series Y | 70 | 75,250 | ||||||||||
Sprint Capital Corp. | 355 | 378,188 | ||||||||||
|
| |||||||||||
537,623 | ||||||||||||
|
|
114 | • AB POOLING PORTFOLIOS |
AB Bond Inflation Protection Portfolio—Portfolio of Investments
Principal Amount (000) | U.S. $ Value | |||||||||||
| ||||||||||||
Consumer Cyclical - Automotive – 0.2% | ||||||||||||
Allison Transmission, Inc. | U.S.$ | 155 | $ | 157,712 | ||||||||
|
| |||||||||||
Consumer Cyclical - Other – 0.1% | ||||||||||||
KB Home | 104 | 106,470 | ||||||||||
|
| |||||||||||
Consumer Non-Cyclical – 0.2% | ||||||||||||
HCA, Inc. | 17 | 16,958 | ||||||||||
5.25%, 6/15/26 | 31 | 32,744 | ||||||||||
Lamb Weston Holdings, Inc. | 26 | 26,455 | ||||||||||
4.875%, 11/01/26(c) | 26 | 26,403 | ||||||||||
Valeant Pharmaceuticals International, Inc. | 130 | 103,512 | ||||||||||
|
| |||||||||||
206,072 | ||||||||||||
|
| |||||||||||
Energy – 0.1% | ||||||||||||
Cenovus Energy, Inc. | 51 | 54,876 | ||||||||||
Diamond Offshore Drilling, Inc. | 107 | 79,447 | ||||||||||
SM Energy Co. | 12 | 12,030 | ||||||||||
|
| |||||||||||
146,353 | ||||||||||||
|
| |||||||||||
Technology – 0.1% | ||||||||||||
Diamond 1 Finance Corp./Diamond 2 Finance Corp. | 57 | 62,980 | ||||||||||
|
| |||||||||||
Transportation - Services – 0.1% | ||||||||||||
Avis Budget Car Rental LLC/Avis Budget Finance, Inc. | 90 | 86,175 | ||||||||||
|
| |||||||||||
1,392,733 | ||||||||||||
|
| |||||||||||
Financial Institutions – 0.8% | ||||||||||||
Banking – 0.6% | ||||||||||||
Bank of America Corp. | 79 | 86,282 | ||||||||||
Barclays Bank PLC | 42 | 47,775 | ||||||||||
Intesa Sanpaolo SpA | 224 | 210,398 |
AB POOLING PORTFOLIOS • | 115 |
AB Bond Inflation Protection Portfolio—Portfolio of Investments
Principal Amount (000) | U.S. $ Value | |||||||||||
| ||||||||||||
Royal Bank of Scotland Group PLC | U.S.$ | 200 | $ | 211,300 | ||||||||
Royal Bank of Scotland PLC (The) | 13 | 13,040 | ||||||||||
|
| |||||||||||
568,795 | ||||||||||||
|
| |||||||||||
Finance – 0.2% | ||||||||||||
Navient Corp. | 160 | 166,800 | ||||||||||
|
| |||||||||||
735,595 | ||||||||||||
|
| |||||||||||
Non Corporate Sectors – 0.1% | ||||||||||||
Agencies - Not Government Guaranteed – 0.1% | ||||||||||||
NOVA Chemicals Corp. | 120 | 123,600 | ||||||||||
|
| |||||||||||
Total Corporates - Non-Investment Grade | 2,251,928 | |||||||||||
|
| |||||||||||
EMERGING MARKETS - TREASURIES – 0.9% | ||||||||||||
Brazil – 0.9% | ||||||||||||
Brazil Notas do Tesouro Nacional | BRL | 2,640 | 841,466 | |||||||||
|
| |||||||||||
GOVERNMENTS - SOVEREIGN AGENCIES – 0.4% | ||||||||||||
Brazil – 0.1% | ||||||||||||
Petrobras Global Finance BV | U.S.$ | 112 | 115,080 | |||||||||
|
| |||||||||||
Colombia – 0.1% | ||||||||||||
Ecopetrol SA | 90 | 81,788 | ||||||||||
|
| |||||||||||
Israel – 0.2% | ||||||||||||
Israel Electric Corp., Ltd. | 226 | 236,572 | ||||||||||
|
| |||||||||||
Total Governments - Sovereign Agencies | 433,440 | |||||||||||
|
| |||||||||||
116 | • AB POOLING PORTFOLIOS |
AB Bond Inflation Protection Portfolio—Portfolio of Investments
Principal Amount (000) | U.S. $ Value | |||||||||||
| ||||||||||||
QUASI-SOVEREIGNS – 0.2% | ||||||||||||
Quasi-Sovereign Bonds – 0.2% | ||||||||||||
Mexico – 0.2% | ||||||||||||
Petroleos Mexicanos | U.S.$ | 205 | $ | 205,408 | ||||||||
|
| |||||||||||
EMERGING MARKETS - SOVEREIGNS – 0.2% | ||||||||||||
Turkey – 0.2% | ||||||||||||
Turkey Government International Bond | 200 | 204,500 | ||||||||||
|
| |||||||||||
EMERGING MARKETS - CORPORATE BONDS – 0.1% | ||||||||||||
Industrial – 0.1% | ||||||||||||
Capital Goods – 0.1% | ||||||||||||
Odebrecht Finance Ltd. | 200 | 86,510 | ||||||||||
|
| |||||||||||
Consumer Non-Cyclical – 0.0% | ||||||||||||
Virgolino de Oliveira Finance SA | 200 | 16,000 | ||||||||||
|
| |||||||||||
Total Emerging Markets - Corporate Bonds | 102,510 | |||||||||||
|
| |||||||||||
GOVERNMENTS - SOVEREIGN BONDS – 0.1% | ||||||||||||
Mexico – 0.1% | ||||||||||||
Mexico Government International Bond | 57 | 61,874 | ||||||||||
|
| |||||||||||
Notional Amount (000) | ||||||||||||
OPTIONS PURCHASED - PUTS – 0.0% | ||||||||||||
Swaptions – 0.0% | ||||||||||||
IRS Swaption, Goldman Sachs International | JPY | 540,000 | 1 | |||||||||
|
| |||||||||||
Total Investments – 129.4% | 126,991,468 | |||||||||||
Other assets less liabilities – (29.4)% | (28,846,568 | ) | ||||||||||
|
| |||||||||||
Net Assets – 100.0% | $ | 98,144,900 | ||||||||||
|
|
AB POOLING PORTFOLIOS • | 117 |
AB Bond Inflation Protection Portfolio—Portfolio of Investments
FUTURES (see Note C)
Type | Number of Contracts | Expiration Month | Original Value | Value at February 28, 2017 | Unrealized Appreciation/ (Depreciation) | |||||||||||||||
Purchased Contracts |
| |||||||||||||||||||
10 Yr Japan Bond (OSE) Futures | 5 | March 2017 | $ | 6,691,471 | $ | 6,701,678 | $ | 10,207 | ||||||||||||
U.S. T-Note 5 Yr (CBT) Futures | 10 | June 2017 | 1,175,484 | 1,177,031 | 1,547 | |||||||||||||||
U.S. Ultra Bond (CBT) Futures | 9 | June 2017 | 1,433,898 | 1,456,031 | 22,133 | |||||||||||||||
Sold Contracts | ||||||||||||||||||||
U.S. T-Note 2 Yr (CBT) Futures | 27 | June 2017 | 5,835,758 | 5,842,969 | (7,211 | ) | ||||||||||||||
U.S. T-Note 10 Yr (CBT) Futures | 25 | June 2017 | 3,105,215 | 3,114,453 | (9,238 | ) | ||||||||||||||
|
| |||||||||||||||||||
$ | 17,438 | |||||||||||||||||||
|
|
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 | 306 | COP | 927,201 | 3/03/17 | $ | 10,269 | |||||||||||||
Bank of America, NA | USD | 356 | KRW | 403,429 | 3/14/17 | (403 | ) | |||||||||||||
Bank of America, NA | KRW | 403,429 | USD | 356 | 3/31/17 | 412 | ||||||||||||||
Citibank, NA | KRW | 403,429 | USD | 344 | 3/14/17 | (11,890 | ) | |||||||||||||
Citibank, NA | EUR | 519 | USD | 560 | 4/12/17 | 8,791 | ||||||||||||||
Goldman Sachs Bank USA | USD | 343 | IDR | 4,616,062 | 3/14/17 | 2,504 | ||||||||||||||
Goldman Sachs Bank USA | CAD | 2,027 | USD | 1,551 | 4/07/17 | 24,676 | ||||||||||||||
HSBC Bank USA | SGD | 1,426 | USD | 1,000 | 3/14/17 | (17,760 | ) | |||||||||||||
HSBC Bank USA | BRL | 2,582 | USD | 806 | 4/04/17 | (17,293 | ) | |||||||||||||
Royal Bank of Scotland PLC | COP | 922,443 | USD | 322 | 3/03/17 | 6,790 | ||||||||||||||
Royal Bank of Scotland PLC | GBP | 777 | USD | 970 | 3/09/17 | 5,001 | ||||||||||||||
Royal Bank of Scotland PLC | USD | 1,042 | CAD | 1,363 | 4/07/17 | (15,057 | ) | |||||||||||||
Standard Chartered Bank | USD | 358 | TWD | 10,980 | 3/10/17 | (37 | ) | |||||||||||||
Standard Chartered Bank | IDR | 4,616,062 | USD | 346 | 3/14/17 | 632 | ||||||||||||||
Standard Chartered Bank | TWD | 10,980 | USD | 358 | 3/31/17 | (54 | ) | |||||||||||||
Standard Chartered Bank | USD | 346 | IDR | 4,616,062 | 3/31/17 | (495 | ) | |||||||||||||
State Street Bank & Trust Co. | USD | 1,006 | SGD | 1,426 | 3/14/17 | 11,684 | ||||||||||||||
State Street Bank & Trust Co. | JPY | 530,190 | USD | 4,733 | 3/24/17 | 8,975 | ||||||||||||||
State Street Bank & Trust Co. | USD | 210 | MXN | 4,301 | 3/24/17 | 2,917 | ||||||||||||||
State Street Bank & Trust Co. | AUD | 1,316 | USD | 991 | 4/06/17 | (17,199 | ) | |||||||||||||
UBS AG | TWD | 10,980 | USD | 343 | 3/10/17 | (14,819 | ) | |||||||||||||
|
| |||||||||||||||||||
$ | (12,356 | ) | ||||||||||||||||||
|
|
118 | • AB POOLING PORTFOLIOS |
AB Bond Inflation Protection Portfolio—Portfolio of Investments
INTEREST RATE SWAPTIONS WRITTEN (see Note C)
Description | Index | Counter- Party | Strike Rate | Expiration Date | Notional Amount (000) | Premiums | Market Value | |||||||||||||||||
Put – OTC -1 Year Interest Rate Swap | 3 Month LIBOR | JPMorgan Chase Bank, NA | 1.84 | % | 5/16/17 | $ | 6,830 | $ | 5,874 | $ | (6,142 | ) |
CENTRALLY CLEARED CREDIT DEFAULT SWAPS (see Note C)
Clearing Broker/(Exchange) & Referenced Obligation | Fixed Rate (Pay) Receive | Implied Credit Spread at February 28, 2017 | Notional Amount (000) | Market Value | Unrealized Appreciation/ (Depreciation) | |||||||||||||||
Buy Contracts | ||||||||||||||||||||
Morgan Stanley & Co., LLC/(INTRCONX) | ||||||||||||||||||||
CDX-NAHY | (5.00 | )% | 1.31 | % | $ | 2,955 | $ | (222,364 | ) | $ | (118,722 | ) | ||||||||
CDX-NAIG | (1.00 | ) | 0.30 | 3,901 | (70,074 | ) | (44,657 | ) | ||||||||||||
|
|
|
| |||||||||||||||||
$ | (292,438 | ) | $ | (163,379 | ) | |||||||||||||||
|
|
|
|
* | Termination date |
CENTRALLY CLEARED INTEREST RATE SWAPS (see Note C)
Rate Type | ||||||||||||||||
Clearing Broker /(Exchange) | Notional | Termination Date | Payments made by the Fund | Payments received by the Fund | Unrealized Appreciation/ (Depreciation) | |||||||||||
Morgan Stanley & Co., LLC/(CME Group) | NOK | 47,298 | 5/12/18 | 0.954% | 6 Month NIBOR | $ | 282 | |||||||||
Morgan Stanley & Co., LLC/(CME Group) | MXN | 17,510 | 12/12/18 | 4 Week TIIE | 6.840% | (6,066 | ) | |||||||||
Morgan Stanley & Co., LLC/(CME Group) | 11,670 | 12/13/18 | 4 Week TIIE | 6.845% | (4,011 | ) | ||||||||||
Morgan Stanley & Co., LLC/(CME Group) | 10,470 | 12/17/18 | 4 Week TIIE | 7.035% | (2,055 | ) | ||||||||||
Morgan Stanley & Co., LLC/(CME Group) | GBP | 6,070 | 2/23/19 | 0.606% | 6 Month LIBOR | (5,998 | ) | |||||||||
Morgan Stanley & Co., LLC/(CME Group) | USD | 5,600 | 2/27/19 | 3 Month LIBOR | 1.544% | (2,900 | ) | |||||||||
Morgan Stanley & Co., LLC/(CME Group) | 2,388 | 5/18/20 | 3 Month LIBOR | 1.663% | 1,534 | |||||||||||
Morgan Stanley & Co., LLC/(CME Group) | 1,977 | 8/11/20 | 3 Month LIBOR | 1.712% | (6,550 | ) | ||||||||||
Morgan Stanley & Co., LLC/(CME Group) | 1,194 | 4/27/21 | 3 Month LIBOR | 1.341% | (23,364 | ) | ||||||||||
Morgan Stanley & Co., LLC/(CME Group) | 2,160 | 8/31/21 | 1.256% | 3 Month LIBOR | 65,379 | |||||||||||
Morgan Stanley & Co., LLC/(CME Group) | 804 | 1/14/24 | 2.980% | 3 Month LIBOR | (44,295 | ) |
AB POOLING PORTFOLIOS • | 119 |
AB Bond Inflation Protection Portfolio—Portfolio of Investments
Rate Type | ||||||||||||||||||||
Clearing Broker /(Exchange) | Notional | Termination Date | Payments made by the Fund | Payments received by the Fund | Unrealized Appreciation/ (Depreciation) | |||||||||||||||
Morgan Stanley & Co., LLC/(CME Group) | USD | 709 | 2/14/24 | 2.889% | 3 Month LIBOR | $ | (33,946 | ) | ||||||||||||
Morgan Stanley & Co., LLC/(CME Group) | 1,003 | 4/28/24 | 2.817% | 3 Month LIBOR | (51,302 | ) | ||||||||||||||
Morgan Stanley & Co., LLC/(CME Group) | 1,451 | 7/02/24 | 2.632% | 3 Month LIBOR | (46,920 | ) | ||||||||||||||
Morgan Stanley & Co., LLC/(CME Group) | 727 | 7/10/24 | 2.674% | 3 Month LIBOR | (25,408 | ) | ||||||||||||||
Morgan Stanley & Co., LLC/(CME Group) | 696 | 4/21/25 | 1.991% | 3 Month LIBOR | 9,748 | |||||||||||||||
Morgan Stanley & Co., LLC/(CME Group) | 410 | 6/09/25 | 2.488% | 3 Month LIBOR | (8,541 | ) | ||||||||||||||
Morgan Stanley & Co., LLC/(CME Group) | 745 | 8/04/25 | 2.293% | 3 Month LIBOR | (1,924 | ) | ||||||||||||||
Morgan Stanley & Co., LLC/(CME Group) | NZD | 1,460 | 7/28/26 | 3 Month BKBM | 2.473% | (80,960 | ) | |||||||||||||
Morgan Stanley & Co., LLC/(CME Group) | USD | 920 | 10/04/26 | 1.487% | 3 Month LIBOR | 64,697 | ||||||||||||||
Morgan Stanley & Co., LLC/(CME Group) | MXN | 4,320 | 12/02/26 | 7.762% | 4 Week TIIE | 554 | ||||||||||||||
Morgan Stanley & Co., LLC/(CME Group) | 2,880 | 12/03/26 | 7.760% | 4 Week TIIE | 394 | |||||||||||||||
Morgan Stanley & Co., LLC/(CME Group) | 2,630 | 12/07/26 | 7.830% | 4 Week TIIE | (228 | ) | ||||||||||||||
Morgan Stanley & Co., LLC/(CME Group) | USD | 340 | 12/21/26 | 3 Month LIBOR | 2.497% | 5,579 | ||||||||||||||
Morgan Stanley & Co., LLC/(CME Group) | 565 | 11/10/35 | 2.631% | 3 Month LIBOR | (8,903 | ) | ||||||||||||||
Morgan Stanley & Co., LLC/(CME Group) | 898 | 2/21/42 | 2.813% | 3 Month LIBOR | (34,886 | ) | ||||||||||||||
Morgan Stanley & Co., LLC/(CME Group) | 654 | 3/06/42 | 2.804% | 3 Month LIBOR | (31,506 | ) | ||||||||||||||
Morgan Stanley & Co., LLC/(CME Group) | 172 | 8/06/45 | 2.692% | 3 Month LIBOR | (2,839 | ) | ||||||||||||||
Morgan Stanley & Co., LLC/(LCH Group) | NOK | 46,740 | 9/06/18 | 1.143% | 6 Month NIBOR | 10,977 | ||||||||||||||
Morgan Stanley & Co., LLC/(LCH Group) | NZD | 2,770 | 12/21/21 | 3 Month BKBM | 3.059% | 15,401 | ||||||||||||||
Morgan Stanley & Co., LLC/(LCH Group) | USD | 450 | 11/07/26 | 1.675% | 3 Month LIBOR | 23,606 | ||||||||||||||
Morgan Stanley & Co., LLC/(LCH Group) | 330 | 11/08/26 | 1.657% | 3 Month LIBOR | 17,867 | |||||||||||||||
Morgan Stanley & Co., LLC/(LCH Group) | 330 | 11/09/26 | 1.672% | 3 Month LIBOR | 17,430 | |||||||||||||||
|
| |||||||||||||||||||
$ | (189,154 | ) | ||||||||||||||||||
|
|
120 | • AB POOLING PORTFOLIOS |
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 February 28, 2017 | Notional Amount (000) | Market Value | Upfront Premiums Paid (Received) | Unrealized Appreciation/ (Depreciation) | ||||||||||||||||||
Buy Contracts |
| |||||||||||||||||||||||
Citibank, NA | ||||||||||||||||||||||||
Sprint Communications, Inc., | (5.00 | )% | 1.38 | % | $ | 165 | $ | (14,756 | ) | $ | (4,672 | ) | $ | (10,084 | ) | |||||||||
Sprint Communications, Inc., | (5.00 | ) | 1.38 | 189 | (16,902 | ) | (5,549 | ) | (11,353 | ) | ||||||||||||||
Sale Contracts |
| |||||||||||||||||||||||
Bank of America, NA |
| |||||||||||||||||||||||
Societe Generale SA, | 3.00 | 0.40 | EUR | 229 | 6,594 | (1,877 | ) | 8,471 | ||||||||||||||||
Credit Suisse International |
| |||||||||||||||||||||||
Anadarko Petroleum Corp., | 1.00 | 0.15 | $ | 351 | 2,378 | (1,373 | ) | 3,751 | ||||||||||||||||
CDX-CMBX.NA.BBB Series 6, 5/11/63* | 3.00 | 5.86 | 520 | (67,167 | ) | (32,978 | ) | (34,189 | ) | |||||||||||||||
Deutsche Bank AG | ||||||||||||||||||||||||
CDX-CMBX.NA.BBB Series 6, 5/11/63* | 3.00 | 5.86 | 44 | (5,570 | ) | (5,905 | ) | 335 | ||||||||||||||||
CDX-CMBX.NA.BBB Series 6, 5/11/63* | 3.00 | 5.86 | 7 | (904 | ) | (874 | ) | (30 | ) | |||||||||||||||
CDX-CMBX.NA.BBB Series 6, 5/11/63* | 3.00 | 5.86 | 145 | (18,729 | ) | (12,700 | ) | (6,029 | ) | |||||||||||||||
CDX-CMBX.NA.A | 2.00 | 2.99 | 230 | (11,610 | ) | (4,791 | ) | (6,819 | ) | |||||||||||||||
Goldman Sachs International |
| |||||||||||||||||||||||
CDX-CMBX.NA.BBB Series 6, 5/11/63* | 3.00 | 5.86 | 14 | (1,773 | ) | (1,610 | ) | (163 | ) | |||||||||||||||
CDX-CMBX.NA.BBB Series 6, 5/11/63* | 3.00 | 5.86 | 6 | (775 | ) | (631 | ) | (144 | ) | |||||||||||||||
CDX-CMBX.NA.BBB Series 6, 5/11/63* | 3.00 | 5.86 | 7 | (904 | ) | (680 | ) | (224 | ) | |||||||||||||||
CDX-CMBX.NA.BBB Series 6, 5/11/63* | 3.00 | 5.86 | 4 | (517 | ) | (382 | ) | (135 | ) |
AB POOLING PORTFOLIOS • | 121 |
AB Bond Inflation Protection Portfolio—Portfolio of Investments
Swap Counterparty & Referenced Obligation | Fixed Rate (Pay) Receive | Implied Credit Spread at February 28, 2017 | Notional Amount (000) | Market Value | Upfront Premiums Paid (Received) | Unrealized Appreciation/ (Depreciation) | ||||||||||||||||||
CDX-CMBX.NA.BBB Series 6, 5/11/63* | 3.00 | % | 5.86 | % | $ | 42 | $ | (5,425 | ) | $ | (3,865 | ) | $ | (1,560 | ) | |||||||||
CDX-CMBX.NA.A Series 6, 5/11/63* | 2.00 | 2.99 | 300 | (15,143 | ) | (5,785 | ) | (9,358 | ) | |||||||||||||||
CDX-CMBX.NA.BBB Series 6, 5/11/63* | 3.00 | 5.86 | 210 | (27,125 | ) | (17,803 | ) | (9,322 | ) | |||||||||||||||
CDX-CMBX.NA.BBB Series 6, 5/11/63* | 3.00 | 5.86 | 155 | (20,021 | ) | (12,618 | ) | (7,403 | ) | |||||||||||||||
CDX-CMBX.NA.BBB Series 6, 5/11/63* | 3.00 | 5.86 | 60 | (7,750 | ) | (4,236 | ) | (3,514 | ) | |||||||||||||||
|
|
|
|
|
| |||||||||||||||||||
$ | (206,099 | ) | $ | (118,329 | ) | $ | (87,770 | ) | ||||||||||||||||
|
|
|
|
|
|
* | Termination date |
INFLATION (CPI) SWAPS (see Note C)
Rate Type | ||||||||||||||||||||
Swap Counterparty | Notional Amount (000) | Termination Date | Payments made by the Fund | Payments received by the Fund | Unrealized Appreciation/ (Depreciation) | |||||||||||||||
Barclays Bank PLC | $ | 6,902 | 7/15/20 | 1.527 | % | CPI | # | $ | 166,271 | |||||||||||
Barclays Bank PLC | 2,313 | 1/15/21 | 1.490 | % | CPI | # | 57,676 | |||||||||||||
|
| |||||||||||||||||||
$ | 223,947 | |||||||||||||||||||
|
|
# | Variable interest rate based on the rate of inflation as determined by the Consumer Price Index (CPI). |
REVERSE REPURCHASE AGREEMENTS (see Note C)
Broker | Interest Rate | Maturity | U.S. $ Value at February 28, 2017 | |||||||||
HSBC Bank USA+ | 0.56 | % | — | $ | 5,251,955 | |||||||
HSBC Bank USA | 0.75 | % | 4/13/17 | 18,519,501 | ||||||||
JPMorgan Chase Bank+ | 0.59 | % | — | 3,190,360 | ||||||||
JPMorgan Chase Bank | 0.59 | % | 2/01/19 | 4,252,113 | ||||||||
JPMorgan Chase Bank | 0.72 | % | 4/06/17 | 5,042,638 | ||||||||
|
| |||||||||||
$ | 36,256,567 | |||||||||||
|
|
+ | The reverse repurchase agreement matures on demand. Interest rate resets daily and the rate shown is the rate in effect on February 28, 2017 |
122 | ��� AB POOLING PORTFOLIOS |
AB Bond Inflation Protection Portfolio—Portfolio of Investments
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:
Overnight and Continuous | Up to 30 Days | 31-90 Days | Greater than 90 Days | Total | ||||||||||||||||
Governments – Treasuries | $ | 8,442,315 | $ | – 0 | – | $ | – 0 | – | $ | 27,814,252 | $ | 36,256,567 |
(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 margin requirements for open futures contracts. |
(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 February 28, 2017, the aggregate market value of these securities amounted to $12,273,630 or 12.5% of net assets. |
(d) | Floating Rate Security. Stated interest/floor rate was in effect at February 28, 2017. |
(e) | Securities are perpetual and, thus, do not have a predetermined maturity date. The date shown, if applicable, reflects the next call date. |
(f) | Security is exempt from registration under Rule 144A of the Securities Act of 1933. These securities, which represent 0.30% of net assets as of February 28, 2017, are considered illiquid and restricted. Additional information regarding such securities follows: |
144A/Restricted & Illiquid Securities | Acquisition Date | Cost | Market Value | Percentage of Net Assets | ||||||||||||
H/2 Asset Funding NRE | ||||||||||||||||
2.429%, 6/24/49 | 6/19/15 | $ | 221,973 | $ | 220,419 | 0.22 | % | |||||||||
Virgolino de Oliveira Finance SA | ||||||||||||||||
10.50%, 1/28/18 | 1/24/14 | 110,320 | 16,000 | 0.02 | % | |||||||||||
Wells Fargo Credit Risk Transfer Securities Trust | ||||||||||||||||
3.628%, 11/25/25 | 9/28/15 | 60,025 | 60,038 | 0.06 | % |
(g) | Non-income producing security. |
(h) | Defaulted. |
Currency Abbreviations:
AUD – Australian Dollar
BRL – Brazilian Real
CAD – Canadian Dollar
COP – Colombian Peso
EUR – Euro
GBP – Great British Pound
IDR – Indonesian Rupiah
JPY – Japanese Yen
KRW – South Korean Won
MXN – Mexican Peso
NOK – Norwegian Krone
NZD – New Zealand Dollar
SGD – Singapore Dollar
TWD – New Taiwan Dollar
USD – United States Dollar
AB POOLING PORTFOLIOS • | 123 |
AB Bond Inflation Protection Portfolio—Portfolio of Investments
Glossary:
ABS | – Asset-Backed Securities |
BKBM | – Bank Bill Benchmark (New Zealand) |
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 |
FHLMC | – Federal Home Loan Mortgage Corporation |
INTRCONX | – Inter-Continental Exchange |
IRS | – Interest Rate Swaption |
LCH | – London Clearing House |
LIBOR | – London Interbank Offered Rates |
NIBOR | – Norwegian Interbank Offered Rate |
OSE | – Osaka Securities Exchange |
REIT | – Real Estate Investment Trust |
TIIE | – Banco de México Equilibrium Interbank Interest Rate |
TIPS | – Treasury Inflation Protected Security |
See notes to financial statements.
124 | • AB POOLING PORTFOLIOS |
AB Bond Inflation Protection Portfolio—Portfolio of Investments
AB SMALL-MID CAP VALUE PORTFOLIO
PORTFOLIO OF INVESTMENTS
February 28, 2017 (unaudited)
Company | Shares | U.S. $ Value | ||||||
| ||||||||
COMMON STOCKS – 97.2% | ||||||||
Financials – 20.0% | ||||||||
Banks – 11.5% | ||||||||
Associated Banc-Corp. | 41,220 | $ | 1,061,415 | |||||
Comerica, Inc. | 21,240 | 1,513,987 | ||||||
Fulton Financial Corp. | 53,370 | 1,020,701 | ||||||
Huntington Bancshares, Inc./OH | 118,400 | 1,674,176 | ||||||
Synovus Financial Corp. | 25,750 | 1,087,165 | ||||||
Texas Capital Bancshares, Inc.(a) | 12,440 | 1,109,026 | ||||||
Webster Financial Corp. | 23,487 | 1,290,141 | ||||||
Zions Bancorporation | 36,120 | 1,621,788 | ||||||
|
| |||||||
10,378,399 | ||||||||
|
| |||||||
Consumer Finance – 0.7% | ||||||||
OneMain Holdings, Inc.(a) | 24,350 | 682,287 | ||||||
|
| |||||||
Insurance – 6.5% | ||||||||
American Financial Group, Inc./OH | 14,880 | 1,399,613 | ||||||
First American Financial Corp. | 23,660 | 924,396 | ||||||
Hanover Insurance Group, Inc. (The) | 5,990 | 539,220 | ||||||
Reinsurance Group of America, Inc. – Class A | 10,520 | 1,368,231 | ||||||
Selective Insurance Group, Inc. | 14,700 | 651,210 | ||||||
Validus Holdings Ltd. | 17,320 | 998,671 | ||||||
|
| |||||||
5,881,341 | ||||||||
|
| |||||||
Thrifts & Mortgage Finance – 1.3% | ||||||||
Essent Group Ltd.(a) | 34,880 | 1,214,173 | ||||||
|
| |||||||
18,156,200 | ||||||||
|
| |||||||
Information Technology – 18.3% | ||||||||
Communications Equipment – 1.4% | ||||||||
Infinera Corp.(a) | 54,920 | 595,882 | ||||||
NETGEAR, Inc.(a) | 12,224 | 669,875 | ||||||
|
| |||||||
1,265,757 | ||||||||
|
| |||||||
Electronic Equipment, Instruments & Components – 6.1% | ||||||||
Anixter International, Inc.(a) | 15,710 | 1,308,643 | ||||||
Avnet, Inc. | 26,460 | 1,219,277 | ||||||
CDW Corp./DE | 22,910 | 1,349,399 | ||||||
VeriFone Systems, Inc.(a) | 40,300 | 833,001 | ||||||
Vishay Intertechnology, Inc. | 49,250 | 780,612 | ||||||
|
| |||||||
5,490,932 | ||||||||
|
| |||||||
IT Services – 3.9% | ||||||||
Amdocs Ltd. | 21,780 | 1,320,957 | ||||||
Booz Allen Hamilton Holding Corp. | 35,640 | 1,274,843 | ||||||
Genpact Ltd.(a) | 37,360 | 905,606 | ||||||
|
| |||||||
3,501,406 | ||||||||
|
|
AB POOLING PORTFOLIOS • | 125 |
AB Small-Mid Cap Value Portfolio—Portfolio of Investments
Company | Shares | U.S. $ Value | ||||||
| ||||||||
Semiconductors & Semiconductor Equipment – 4.5% | ||||||||
Cypress Semiconductor Corp. | 118,480 | $ | 1,572,230 | |||||
Integrated Device Technology, Inc.(a) | 28,010 | 669,719 | ||||||
Mellanox Technologies Ltd.(a) | 12,100 | 585,640 | ||||||
Qorvo, Inc.(a) | 19,620 | 1,296,882 | ||||||
|
| |||||||
4,124,471 | ||||||||
|
| |||||||
Software – 1.1% | ||||||||
Verint Systems, Inc.(a) | 27,370 | 1,033,218 | ||||||
|
| |||||||
Technology Hardware, Storage & Peripherals – 1.3% | ||||||||
NCR Corp.(a) | 23,730 | 1,140,701 | ||||||
|
| |||||||
16,556,485 | ||||||||
|
| |||||||
Industrials – 17.0% | ||||||||
Aerospace & Defense – 1.1% | ||||||||
Esterline Technologies Corp.(a) | 11,440 | 1,017,016 | ||||||
|
| |||||||
Air Freight & Logistics – 1.0% | ||||||||
Atlas Air Worldwide Holdings, Inc.(a) | 15,770 | 896,525 | ||||||
|
| |||||||
Airlines – 1.2% | ||||||||
SkyWest, Inc. | 31,600 | 1,110,740 | ||||||
|
| |||||||
Commercial Services & Supplies – 0.7% | ||||||||
ABM Industries, Inc. | 15,830 | 645,706 | ||||||
|
| |||||||
Construction & Engineering – 4.0% | ||||||||
AECOM(a) | 34,664 | 1,260,036 | ||||||
Quanta Services, Inc.(a) | 29,410 | 1,097,581 | ||||||
Tutor Perini Corp.(a) | 41,250 | 1,256,063 | ||||||
|
| |||||||
3,613,680 | ||||||||
|
| |||||||
Electrical Equipment – 2.5% | ||||||||
EnerSys | 13,180 | 1,011,301 | ||||||
Regal Beloit Corp. | 16,620 | 1,237,359 | ||||||
|
| |||||||
2,248,660 | ||||||||
|
| |||||||
Machinery – 4.6% | ||||||||
ITT, Inc. | 17,590 | 720,662 | ||||||
Oshkosh Corp. | 18,410 | 1,249,855 | ||||||
SPX FLOW, Inc.(a) | 31,630 | 1,075,420 | ||||||
Terex Corp. | 35,250 | 1,101,210 | ||||||
|
| |||||||
4,147,147 | ||||||||
|
| |||||||
Road & Rail – 1.9% | ||||||||
Ryder System, Inc. | 10,730 | 817,089 | ||||||
Werner Enterprises, Inc. | 31,680 | 887,040 | ||||||
|
| |||||||
1,704,129 | ||||||||
|
| |||||||
15,383,603 | ||||||||
|
|
126 | • AB POOLING PORTFOLIOS |
AB Small-Mid Cap Value Portfolio—Portfolio of Investments
Company | Shares | U.S. $ Value | ||||||
| ||||||||
Consumer Discretionary – 16.2% | ||||||||
Auto Components – 3.6% | ||||||||
Dana, Inc. | 64,100 | $ | 1,210,849 | |||||
Lear Corp. | 6,170 | 876,078 | ||||||
Tenneco, Inc.(a) | 17,980 | 1,156,294 | ||||||
|
| |||||||
3,243,221 | ||||||||
|
| |||||||
Diversified Consumer Services – 1.4% | ||||||||
Sotheby’s(a) | 28,790 | 1,299,293 | ||||||
|
| |||||||
Hotels, Restaurants & Leisure – 2.3% | ||||||||
Bloomin’ Brands, Inc. | 63,650 | 1,087,778 | ||||||
Brinker International, Inc. | 22,999 | 971,478 | ||||||
|
| |||||||
2,059,256 | ||||||||
|
| |||||||
Household Durables – 2.1% | ||||||||
CalAtlantic Group, Inc. | 31,530 | 1,113,955 | ||||||
PulteGroup, Inc. | 34,360 | 757,638 | ||||||
|
| |||||||
1,871,593 | ||||||||
|
| |||||||
Media – 2.1% | ||||||||
Regal Entertainment Group – Class A | 52,150 | 1,125,397 | ||||||
Scholastic Corp. | 17,450 | 786,297 | ||||||
|
| |||||||
1,911,694 | ||||||||
|
| |||||||
Multiline Retail – 0.6% | ||||||||
Big Lots, Inc. | 10,574 | 542,869 | ||||||
|
| |||||||
Specialty Retail – 3.6% | ||||||||
Burlington Stores, Inc.(a) | 7,834 | 697,304 | ||||||
Caleres, Inc. | 26,773 | 799,710 | ||||||
Children’s Place, Inc. (The) | 6,787 | 687,523 | ||||||
Michaels Cos., Inc. (The)(a) | 52,990 | 1,064,569 | ||||||
|
| |||||||
3,249,106 | ||||||||
|
| |||||||
Textiles, Apparel & Luxury Goods – 0.5% | ||||||||
Crocs, Inc.(a) | 73,500 | 488,775 | ||||||
|
| |||||||
14,665,807 | ||||||||
|
| |||||||
Energy – 8.8% | ||||||||
Energy Equipment & Services – 3.4% | ||||||||
Helmerich & Payne, Inc. | 12,970 | 886,759 | ||||||
Oil States International, Inc.(a) | 31,760 | 1,168,768 | ||||||
RPC, Inc. | 51,900 | 1,038,000 | ||||||
|
| |||||||
3,093,527 | ||||||||
|
| |||||||
Oil, Gas & Consumable Fuels – 5.4% | ||||||||
Gulfport Energy Corp.(a) | 25,680 | 445,291 | ||||||
Oasis Petroleum, Inc.(a) | 70,170 | 993,607 | ||||||
QEP Resources, Inc.(a) | 71,920 | 989,619 |
AB POOLING PORTFOLIOS • | 127 |
AB Small-Mid Cap Value Portfolio—Portfolio of Investments
Company | Shares | U.S. $ Value | ||||||
| ||||||||
SM Energy Co. | 41,380 | $ | 1,020,017 | |||||
Synergy Resources Corp.(a) | 177,560 | 1,450,666 | ||||||
|
| |||||||
4,899,200 | ||||||||
|
| |||||||
7,992,727 | ||||||||
|
| |||||||
Health Care – 5.8% | ||||||||
Health Care Providers & Services – 3.6% | ||||||||
LifePoint Health, Inc.(a) | 20,118 | 1,288,558 | ||||||
Molina Healthcare, Inc.(a) | 19,690 | 955,162 | ||||||
WellCare Health Plans, Inc.(a) | 6,960 | 982,752 | ||||||
|
| |||||||
3,226,472 | ||||||||
|
| |||||||
Life Sciences Tools & Services – 1.5% | ||||||||
ICON PLC(a) | 16,060 | 1,345,346 | ||||||
|
| |||||||
Pharmaceuticals – 0.7% | ||||||||
Horizon Pharma PLC(a) | 41,600 | 667,680 | ||||||
|
| |||||||
5,239,498 | ||||||||
|
| |||||||
Materials – 4.0% | ||||||||
Chemicals – 2.6% | ||||||||
Huntsman Corp. | 33,210 | 750,546 | ||||||
Ingevity Corp.(a) | 11,983 | 646,723 | ||||||
Trinseo SA | 14,400 | 995,760 | ||||||
|
| |||||||
2,393,029 | ||||||||
|
| |||||||
Containers & Packaging – 1.4% | ||||||||
Graphic Packaging Holding Co. | 92,270 | 1,231,804 | ||||||
|
| |||||||
3,624,833 | ||||||||
|
| |||||||
Real Estate – 3.7% | ||||||||
Equity Real Estate Investment Trusts (REITs) – 3.7% | ||||||||
Education Realty Trust, Inc. | 28,330 | 1,194,110 | ||||||
Empire State Realty Trust, Inc. – Class A | 32,890 | 717,331 | ||||||
Gramercy Property Trust | 50,322 | 1,407,003 | ||||||
|
| |||||||
3,318,444 | ||||||||
|
| |||||||
Utilities – 2.8% | ||||||||
Electric Utilities – 2.2% | ||||||||
PNM Resources, Inc. | 30,430 | 1,104,609 | ||||||
Portland General Electric Co. | 19,240 | 872,149 | ||||||
|
| |||||||
1,976,758 | ||||||||
|
| |||||||
Gas Utilities – 0.6% | ||||||||
Southwest Gas Holdings, Inc. | 6,630 | 567,064 | ||||||
|
| |||||||
2,543,822 | ||||||||
|
| |||||||
Consumer Staples – 0.6% | ||||||||
Food Products – 0.6% | ||||||||
Ingredion, Inc. | 4,375 | 528,894 | ||||||
|
| |||||||
Total Common Stocks | 88,010,313 | |||||||
|
|
128 | • AB POOLING PORTFOLIOS |
AB Small-Mid Cap Value Portfolio—Portfolio of Investments
Company | Shares | U.S. $ Value | ||||||
| ||||||||
SHORT-TERM INVESTMENTS – 2.8% | ||||||||
Investment Companies – 2.8% | ||||||||
AB Fixed Income Shares, Inc. – Government Money Market Portfolio – Class AB, 0.39%(b)(c) | 2,565,150 | $ | 2,565,150 | |||||
|
| |||||||
Total Investments – 100.0% | 90,575,463 | |||||||
Other assets less liabilities – 0.0% | 24,590 | |||||||
|
| |||||||
Net Assets – 100.0% | $ | 90,600,053 | ||||||
|
|
(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 • | 129 |
AB Small-Mid Cap Value Portfolio—Portfolio of Investments
AB SMALL-MID CAP GROWTH PORTFOLIO
PORTFOLIO OF INVESTMENTS
February 28, 2017 (unaudited)
Company | Shares | U.S. $ Value | ||||||
| ||||||||
COMMON STOCKS – 98.4% | ||||||||
Information Technology – 22.9% | ||||||||
Communications Equipment – 1.5% | ||||||||
Arista Networks, Inc.(a) | 9,260 | $ | 1,101,848 | |||||
Infinera Corp.(a) | 22,366 | 242,671 | ||||||
|
| |||||||
1,344,519 | ||||||||
|
| |||||||
Electronic Equipment, Instruments & Components – 1.0% | ||||||||
Coherent, Inc.(a) | 4,850 | 885,513 | ||||||
|
| |||||||
Internet Software & Services – 5.3% | ||||||||
2U, Inc.(a) | 1,770 | 64,693 | ||||||
CoStar Group, Inc.(a) | 5,858 | 1,190,228 | ||||||
GrubHub, Inc.(a) | 25,160 | 882,110 | ||||||
LogMeIn, Inc. | 11,980 | 1,099,165 | ||||||
Pandora Media, Inc.(a) | 61,023 | 755,465 | ||||||
Trade Desk, Inc. (The) – Class A(a) | 18,651 | 787,259 | ||||||
|
| |||||||
4,778,920 | ||||||||
|
| |||||||
IT Services – 1.2% |
| |||||||
Vantiv, Inc. – Class A(a) | 16,876 | 1,103,353 | ||||||
|
| |||||||
Semiconductors & Semiconductor Equipment – 2.5% | ||||||||
Microsemi Corp.(a) | 19,800 | 1,026,036 | ||||||
ON Semiconductor Corp.(a) | 83,179 | 1,258,498 | ||||||
|
| |||||||
2,284,534 | ||||||||
|
| |||||||
Software – 11.4% | ||||||||
8x8, Inc.(a) | 60,440 | 912,644 | ||||||
Aspen Technology, Inc.(a) | 19,009 | 1,105,183 | ||||||
CyberArk Software Ltd.(a) | 20,240 | 1,023,739 | ||||||
Ellie Mae, Inc.(a) | 9,590 | 916,420 | ||||||
Guidewire Software, Inc.(a) | 16,025 | 875,606 | ||||||
HubSpot, Inc.(a) | 13,200 | 785,400 | ||||||
Splunk, Inc.(a) | 19,550 | 1,206,821 | ||||||
Take-Two Interactive Software, Inc.(a) | 26,072 | 1,485,583 | ||||||
Tyler Technologies, Inc.(a) | 6,950 | 1,053,968 | ||||||
Ultimate Software Group, Inc. (The)(a) | 5,458 | 1,055,523 | ||||||
|
| |||||||
10,420,887 | ||||||||
|
| |||||||
20,817,726 | ||||||||
|
| |||||||
Industrials – 22.0% | ||||||||
Aerospace & Defense – 3.0% | ||||||||
Hexcel Corp. | 27,597 | 1,517,283 | ||||||
TransDigm Group, Inc. | 4,904 | 1,246,597 | ||||||
|
| |||||||
2,763,880 | ||||||||
|
|
130 | • AB POOLING PORTFOLIOS |
AB Small-Mid Cap Growth Portfolio—Portfolio of Investments
Company | Shares | U.S. $ Value | ||||||
| ||||||||
Air Freight & Logistics – 1.3% | ||||||||
Expeditors International of Washington, Inc. | 20,477 | $ | 1,154,493 | |||||
|
| |||||||
Building Products – 3.1% | ||||||||
AO Smith Corp. | 26,010 | 1,309,864 | ||||||
Lennox International, Inc. | 9,470 | 1,558,951 | ||||||
|
| |||||||
2,868,815 | ||||||||
|
| |||||||
Commercial Services & Supplies – 1.9% | ||||||||
Advanced Disposal Services, Inc.(a) | 18,601 | 406,990 | ||||||
Copart, Inc.(a) | 21,740 | 1,285,703 | ||||||
|
| |||||||
1,692,693 | ||||||||
|
| |||||||
Construction & Engineering – 1.0% | ||||||||
Dycom Industries, Inc.(a) | 10,850 | 891,653 | ||||||
|
| |||||||
Electrical Equipment – 1.0% | ||||||||
AMETEK, Inc. | 16,088 | 868,269 | ||||||
|
| |||||||
Industrial Conglomerates – 1.3% | ||||||||
Carlisle Cos., Inc. | 11,837 | 1,222,762 | ||||||
|
| |||||||
Machinery – 7.0% | ||||||||
IDEX Corp. | 15,919 | 1,467,573 | ||||||
Kennametal, Inc. | 8,380 | 310,814 | ||||||
Lincoln Electric Holdings, Inc. | 16,381 | 1,379,444 | ||||||
Middleby Corp. (The)(a) | 11,170 | 1,549,391 | ||||||
Nordson Corp. | 13,630 | 1,636,145 | ||||||
|
| |||||||
6,343,367 | ||||||||
|
| |||||||
Road & Rail – 1.2% | ||||||||
Genesee & Wyoming, Inc. – Class A(a) | 15,034 | 1,114,621 | ||||||
|
| |||||||
Trading Companies & Distributors – 1.2% | ||||||||
Watsco, Inc. | 7,610 | 1,128,335 | ||||||
|
| |||||||
20,048,888 | ||||||||
|
| |||||||
Consumer Discretionary – 20.6% | ||||||||
Diversified Consumer Services – 3.1% | ||||||||
Bright Horizons Family Solutions, Inc.(a) | 19,571 | 1,352,552 | ||||||
Grand Canyon Education, Inc.(a) | 23,256 | 1,427,453 | ||||||
|
| |||||||
2,780,005 | ||||||||
|
| |||||||
Hotels, Restaurants & Leisure – 8.2% | ||||||||
Buffalo Wild Wings, Inc.(a) | 6,801 | 1,054,155 | ||||||
Dave & Buster’s Entertainment, Inc.(a) | 21,725 | 1,242,453 | ||||||
Panera Bread Co. – Class A(a) | 6,410 | 1,479,428 | ||||||
Planet Fitness, Inc. | 61,957 | 1,332,695 | ||||||
Texas Roadhouse, Inc. – Class A | 12,560 | 531,288 | ||||||
Vail Resorts, Inc. | 10,160 | 1,840,789 | ||||||
|
| |||||||
7,480,808 | ||||||||
|
| |||||||
Household Durables – 0.2% | ||||||||
Tempur Sealy International, Inc.(a) | 3,567 | 164,760 | ||||||
|
|
AB POOLING PORTFOLIOS • | 131 |
AB Small-Mid Cap Growth Portfolio—Portfolio of Investments
Company | Shares | U.S. $ Value | ||||||
| ||||||||
Internet & Direct Marketing Retail – 1.0% | ||||||||
Expedia, Inc. | 7,973 | $ | 949,106 | |||||
|
| |||||||
Media – 1.4% | ||||||||
IMAX Corp.(a) | 38,423 | 1,242,984 | ||||||
|
| |||||||
Multiline Retail – 1.3% | ||||||||
Ollie’s Bargain Outlet Holdings, Inc.(a) | 36,978 | 1,159,260 | ||||||
|
| |||||||
Specialty Retail – 5.4% | ||||||||
Burlington Stores, Inc.(a) | 15,370 | 1,368,084 | ||||||
Five Below, Inc.(a) | 33,206 | 1,280,091 | ||||||
Lithia Motors, Inc. – Class A | 11,454 | 1,095,804 | ||||||
Ulta Salon Cosmetics & Fragrance, Inc.(a) | 4,382 | 1,198,170 | ||||||
|
| |||||||
4,942,149 | ||||||||
|
| |||||||
18,719,072 | ||||||||
|
| |||||||
Health Care – 17.8% | ||||||||
Biotechnology – 4.9% | ||||||||
Alder Biopharmaceuticals, Inc.(a) | 15,845 | 362,058 | ||||||
Blueprint Medicines Corp.(a) | 9,460 | 332,803 | ||||||
Clovis Oncology, Inc.(a) | 7,620 | 440,512 | ||||||
DBV Technologies SA (Sponsored ADR)(a) | 12,306 | 448,308 | ||||||
Loxo Oncology, Inc.(a) | 2,811 | 124,921 | ||||||
Neurocrine Biosciences, Inc.(a) | 12,590 | 555,974 | ||||||
Prothena Corp. PLC(a) | 9,250 | 542,513 | ||||||
Sage Therapeutics, Inc.(a) | 8,005 | 539,537 | ||||||
TESARO, Inc.(a) | 3,482 | 655,904 | ||||||
Ultragenyx Pharmaceutical, Inc.(a) | 5,740 | 488,359 | ||||||
|
| |||||||
4,490,889 | ||||||||
|
| |||||||
Health Care Equipment & Supplies – 7.4% | ||||||||
Align Technology, Inc.(a) | 13,255 | 1,362,084 | ||||||
DENTSPLY SIRONA, Inc. | 10,931 | 694,337 | ||||||
DexCom, Inc.(a) | 14,492 | 1,132,695 | ||||||
Nevro Corp.(a) | 13,442 | 1,290,297 | ||||||
Penumbra, Inc.(a) | 14,880 | 1,142,784 | ||||||
Zeltiq Aesthetics, Inc.(a) | 20,590 | 1,139,862 | ||||||
|
| |||||||
6,762,059 | ||||||||
|
| |||||||
Health Care Providers & Services – 2.6% | ||||||||
Envision Healthcare Corp.(a) | 17,619 | 1,233,330 | ||||||
Premier, Inc. – Class A(a) | 10,796 | 339,318 | ||||||
Teladoc, Inc.(a) | 35,315 | 778,696 | ||||||
|
| |||||||
2,351,344 | ||||||||
|
| |||||||
Life Sciences Tools & Services – 1.0% | ||||||||
ICON PLC(a) | 11,148 | 933,868 | ||||||
|
|
132 | • AB POOLING PORTFOLIOS |
AB Small-Mid Cap Growth Portfolio—Portfolio of Investments
Company | Shares | U.S. $ Value | ||||||
| ||||||||
Pharmaceuticals – 1.9% | ||||||||
Akorn, Inc.(a) | 31,365 | $ | 652,706 | |||||
GW Pharmaceuticals PLC (ADR)(a) | 3,336 | 416,266 | ||||||
Medicines Co. (The)(a) | 12,431 | 651,633 | ||||||
|
| |||||||
1,720,605 | ||||||||
|
| |||||||
16,258,765 | ||||||||
|
| |||||||
Financials – 8.2% | ||||||||
Banks – 4.5% | ||||||||
First Republic Bank/CA | 13,285 | 1,246,532 | ||||||
Signature Bank/New York NY(a) | 7,526 | 1,185,420 | ||||||
SVB Financial Group(a) | 8,808 | 1,681,359 | ||||||
|
| |||||||
4,113,311 | ||||||||
|
| |||||||
Capital Markets – 3.7% | ||||||||
Affiliated Managers Group, Inc. | 6,305 | 1,058,799 | ||||||
Lazard Ltd. – Class A | 27,722 | 1,193,709 | ||||||
Stifel Financial Corp.(a) | 20,059 | 1,082,384 | ||||||
|
| |||||||
3,334,892 | ||||||||
|
| |||||||
7,448,203 | ||||||||
|
| |||||||
Materials – 2.7% | ||||||||
Chemicals – 1.3% | ||||||||
PolyOne Corp. | 35,915 | 1,209,617 | ||||||
|
| |||||||
Construction Materials – 1.4% | ||||||||
Martin Marietta Materials, Inc. | 5,745 | 1,240,633 | ||||||
|
| |||||||
2,450,250 | ||||||||
|
| |||||||
Energy – 2.5% | ||||||||
Energy Equipment & Services – 0.9% | ||||||||
Oceaneering International, Inc. | 3,220 | 91,190 | ||||||
Superior Energy Services, Inc.(a) | 41,910 | 691,515 | ||||||
|
| |||||||
782,705 | ||||||||
|
| |||||||
Oil, Gas & Consumable Fuels – 1.6% | ||||||||
Parsley Energy, Inc. – Class A(a) | 24,225 | 736,198 | ||||||
PDC Energy, Inc.(a) | 10,900 | 736,731 | ||||||
|
| |||||||
1,472,929 | ||||||||
|
| |||||||
2,255,634 | ||||||||
|
| |||||||
Consumer Staples – 0.9% | ||||||||
Food Products – 0.9% | ||||||||
AdvancePierre Foods Holdings, Inc. | 28,082 | 813,255 | ||||||
|
| |||||||
Telecommunication Services – 0.8% | ||||||||
Diversified Telecommunication Services – 0.8% | ||||||||
Vonage Holdings Corp.(a) | 120,360 | 724,567 | ||||||
|
| |||||||
Total Common Stocks | 89,536,360 | |||||||
|
| |||||||
AB POOLING PORTFOLIOS • | 133 |
AB Small-Mid Cap Growth Portfolio—Portfolio of Investments
Company | Shares | U.S. $ Value | ||||||
| ||||||||
SHORT-TERM INVESTMENTS – 2.3% | ||||||||
Investment Companies – 2.3% | ||||||||
AB Fixed Income Shares, Inc. – Government Money Market Portfolio – Class AB, 0.39%(b)(c) | 2,106,856 | $ | 2,106,856 | |||||
|
| |||||||
Total Investments – 100.7% | 91,643,216 | |||||||
Other assets less liabilities – (0.7)% | (642,199 | ) | ||||||
|
| |||||||
Net Assets – 100.0% | $ | 91,001,017 | ||||||
|
|
(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.
134 | • AB POOLING PORTFOLIOS |
AB Small-Mid Cap Growth Portfolio—Portfolio of Investments
AB MULTI-ASSET REAL RETURN PORTFOLIO
CONSOLIDATED PORTFOLIO OF INVESTMENTS
February 28, 2017 (unaudited)
Company | Shares | U.S. $ Value | ||||||||||
| ||||||||||||
COMMON STOCKS – 41.9% | ||||||||||||
Real Estate – 18.3% | ||||||||||||
Diversified Real Estate Activities – 1.6% | ||||||||||||
Ayala Land, Inc. | 1,454,882 | $ | 1,021,923 | |||||||||
City Developments Ltd. | 177,200 | 1,196,111 | ||||||||||
DLF Ltd. | 16,357 | 37,180 | ||||||||||
LendLease Group | 128,210 | 1,495,866 | ||||||||||
Mitsubishi Estate Co., Ltd. | 37,000 | 721,357 | ||||||||||
Mitsui Fudosan Co., Ltd. | 150,000 | 3,394,031 | ||||||||||
Pakuwon Jati Tbk PT | 3,731,500 | 164,519 | ||||||||||
Shenzhen Investment Ltd. | 484,000 | 207,539 | ||||||||||
Sumitomo Realty & Development Co., Ltd. | 79,000 | 2,180,220 | ||||||||||
Wharf Holdings Ltd. (The) | 321,000 | 2,543,094 | ||||||||||
|
| |||||||||||
12,961,840 | ||||||||||||
|
| |||||||||||
Diversified REITs – 2.7% | ||||||||||||
Armada Hoffler Properties, Inc. | 98,940 | 1,380,213 | ||||||||||
Empire State Realty Trust, Inc. – Class A | 81,910 | 1,786,457 | ||||||||||
Fibra Uno Administracion SA de CV | 423,339 | 612,942 | ||||||||||
Gecina SA(a) | 7,190 | 914,784 | ||||||||||
GPT Group (The) | 355,707 | 1,343,556 | ||||||||||
Gramercy Property Trust | 62,637 | 1,751,330 | ||||||||||
Growthpoint Properties Ltd.(a) | 754,565 | 1,521,689 | ||||||||||
H&R Real Estate Investment Trust | 48,350 | 859,103 | ||||||||||
Hankyu Reit, Inc.(a) | 299 | 412,307 | ||||||||||
Hispania Activos Inmobiliarios SOCIMI SA | 63,750 | 828,327 | ||||||||||
Hulic Reit, Inc.(a) | 578 | 956,431 | ||||||||||
ICADE | 15,100 | 1,076,766 | ||||||||||
Kenedix Office Investment Corp. – Class A | 160 | 951,360 | ||||||||||
KLCCP Stapled Group | 71,200 | 125,005 | ||||||||||
Liberty Property Trust | 39,310 | 1,550,386 | ||||||||||
Mapletree Greater China Commercial Trust(b) | 299,000 | 210,081 | ||||||||||
Merlin Properties Socimi SA | 127,139 | 1,440,703 | ||||||||||
Premier Investment Corp.(a) | 591 | 678,069 | ||||||||||
Redefine Properties Ltd. | 787,322 | 652,207 | ||||||||||
SA Corporate Real Estate Ltd. | 627,608 | 268,411 | ||||||||||
Spirit Realty Capital, Inc. | 106,720 | 1,172,853 | ||||||||||
Washington Real Estate Investment Trust | 48,720 | 1,593,631 | ||||||||||
|
| |||||||||||
22,086,611 | ||||||||||||
|
| |||||||||||
Health Care REITs – 0.6% | ||||||||||||
HCP, Inc. | 13,930 | 456,765 | ||||||||||
Healthcare Realty Trust, Inc. | 53,490 | 1,709,540 | ||||||||||
Ventas, Inc. | 44,140 | 2,871,307 | ||||||||||
|
| |||||||||||
5,037,612 | ||||||||||||
|
| |||||||||||
Hotel & Resort REITs – 0.5% | ||||||||||||
Apple Hospitality REIT, Inc. | 67,400 | 1,323,736 | ||||||||||
DiamondRock Hospitality Co. | 111,870 | 1,216,027 |
AB POOLING PORTFOLIOS • | 135 |
AB Multi-Asset Real Return Portfolio—Consolidated Portfolio of Investments
Company | Shares | U.S. $ Value | ||||||||||
| ||||||||||||
Park Hotels & Resorts, Inc. | 31,810 | $ | 812,428 | |||||||||
Summit Hotel Properties, Inc. | 49,229 | 757,634 | ||||||||||
|
| |||||||||||
4,109,825 | ||||||||||||
|
| |||||||||||
Industrial REITs – 1.1% | ||||||||||||
Goodman Group | 238,198 | 1,377,771 | ||||||||||
LaSalle Logiport REIT(a) | 738 | 700,860 | ||||||||||
Macquarie Mexico Real Estate Management SA de CV(c) | 126,858 | 131,079 | ||||||||||
Mapletree Logistics Trust | 1,958,500 | 1,501,918 | ||||||||||
Monmouth Real Estate Investment Corp. – Class A | 70,620 | 1,031,052 | ||||||||||
Prologis, Inc. | 22,340 | 1,140,457 | ||||||||||
Pure Industrial Real Estate Trust | 149,710 | 674,044 | ||||||||||
Rexford Industrial Realty, Inc. | 66,390 | 1,525,642 | ||||||||||
Segro PLC | 167,380 | 1,025,127 | ||||||||||
|
| |||||||||||
9,107,950 | ||||||||||||
|
| |||||||||||
Office REITs – 2.3% | ||||||||||||
Alexandria Real Estate Equities, Inc. | 14,109 | 1,683,345 | ||||||||||
Allied Properties Real Estate Investment Trust | 34,625 | 912,940 | ||||||||||
Axiare Patrimonio SOCIMI SA(a) | 55,670 | 807,097 | ||||||||||
Boston Properties, Inc. | 24,939 | 3,467,269 | ||||||||||
Brandywine Realty Trust | 57,050 | 950,453 | ||||||||||
Columbia Property Trust, Inc. | 70,250 | 1,622,073 | ||||||||||
Concentradora Hipotecaria SAPI de CV | 791,370 | 897,659 | ||||||||||
Corporate Office Properties Trust | 40,350 | 1,375,532 | ||||||||||
Derwent London PLC | 39,450 | 1,380,823 | ||||||||||
Hudson Pacific Properties, Inc. | 51,990 | 1,901,794 | ||||||||||
Investa Office Fund | 241,110 | 863,234 | ||||||||||
MCUBS MidCity Investment Corp.(a) | 179 | 541,757 | ||||||||||
Parkway, Inc.(c) | 31,830 | 667,793 | ||||||||||
Workspace Group PLC | 120,720 | 1,189,376 | ||||||||||
|
| |||||||||||
18,261,145 | ||||||||||||
|
| |||||||||||
Real Estate Development – 1.6% | ||||||||||||
AP Thailand PCL | 364,400 | 74,547 | ||||||||||
Bumi Serpong Damai Tbk PT | 1,186,000 | 162,247 | ||||||||||
Cheung Kong Property Holdings Ltd. | 308,000 | 2,094,187 | ||||||||||
China Evergrande Group(a) | 548,750 | 411,882 | ||||||||||
China Jinmao Holdings Group Ltd. | 772,000 | 239,694 | ||||||||||
China Overseas Land & Investment Ltd. | 1,330,650 | 4,092,351 | ||||||||||
China Resources Land Ltd. | 442,966 | 1,208,538 | ||||||||||
China Vanke Co., Ltd. – Class H | 217,600 | 546,198 | ||||||||||
CIFI Holdings Group Co., Ltd. | 1,488,000 | 498,131 | ||||||||||
Ciputra Development Tbk PT | 1,676,845 | 171,981 | ||||||||||
Country Garden Holdings Co., Ltd. | 1,195,000 | 855,665 | ||||||||||
Guangzhou R&F Properties Co., Ltd. – Class H | 149,600 | 206,553 | ||||||||||
IOI Properties Group Bhd | 282,000 | 134,013 |
136 | • AB POOLING PORTFOLIOS |
AB Multi-Asset Real Return Portfolio—Consolidated Portfolio of Investments
Company | Shares | U.S. $ Value | ||||||||||
| ||||||||||||
Kaisa Group Holdings Ltd.(a)(c)(d)(e) | 1,057,000 | $ | 313,169 | |||||||||
Longfor Properties Co., Ltd. | 224,450 | 359,046 | ||||||||||
Mah Sing Group Bhd | 246,275 | 82,092 | ||||||||||
Oberoi Realty Ltd. | 3,322 | 16,112 | ||||||||||
Quality Houses PCL | 1,046,383 | 78,541 | ||||||||||
Shimao Property Holdings Ltd. | 193,500 | 277,734 | ||||||||||
Sino-Ocean Group Holding Ltd. | 463,850 | 230,399 | ||||||||||
Summarecon Agung Tbk PT | 1,641,900 | 168,249 | ||||||||||
Sunac China Holdings Ltd. | 283,400 | 294,705 | ||||||||||
Supalai PCL | 161,300 | 115,064 | ||||||||||
UEM Sunrise Bhd | 249,300 | 63,975 | ||||||||||
|
| |||||||||||
12,695,073 | ||||||||||||
|
| |||||||||||
Real Estate Operating Companies – 1.8% | ||||||||||||
Ascendas India Trust | 109,500 | 85,168 | ||||||||||
BR Malls Participacoes SA(c) | 123,183 | 588,817 | ||||||||||
CA Immobilien Anlagen AG(c) | 58,838 | 1,153,160 | ||||||||||
Central Pattana PCL | 404,600 | 637,521 | ||||||||||
Entra ASA(b) | 101,685 | 1,157,992 | ||||||||||
Fabege AB | 72,580 | 1,222,691 | ||||||||||
Hongkong Land Holdings Ltd. | 207,400 | 1,415,319 | ||||||||||
Iguatemi Empresa de Shopping Centers SA | 12,800 | 127,736 | ||||||||||
Inmobiliaria Colonial SA | 95,064 | 694,070 | ||||||||||
Kungsleden AB | 28,384 | 162,821 | ||||||||||
LEG Immobilien AG(c) | 14,010 | 1,153,763 | ||||||||||
Multiplan Empreendimentos Imobiliarios SA | 17,350 | 357,082 | ||||||||||
Parque Arauco SA | 266,130 | 669,157 | ||||||||||
SM Prime Holdings, Inc. | 1,592,050 | 930,970 | ||||||||||
TLG Immobilien AG | 21,030 | 405,523 | ||||||||||
UNITE Group PLC (The) | 151,452 | 1,174,558 | ||||||||||
Vonovia SE | 62,169 | 2,164,213 | ||||||||||
|
| |||||||||||
14,100,561 | ||||||||||||
|
| |||||||||||
Residential REITs – 1.8% | ||||||||||||
AvalonBay Communities, Inc. | 20,792 | 3,821,154 | ||||||||||
Education Realty Trust, Inc. | 43,294 | 1,824,842 | ||||||||||
Emlak Konut Gayrimenkul Yatirim Ortakligi AS | 312,809 | 268,382 | ||||||||||
Independence Realty Trust, Inc. | 115,090 | 1,057,677 | ||||||||||
Japan Rental Housing Investments, Inc. | 1,103 | 820,110 | ||||||||||
Kenedix Residential Investment Corp.(a) | 243 | 681,504 | ||||||||||
Killam Apartment Real Estate Investment Trust | 76,690 | 732,141 | ||||||||||
Mid-America Apartment Communities, Inc. | 30,420 | 3,125,047 | ||||||||||
Sun Communities, Inc. | 22,991 | 1,904,344 | ||||||||||
|
| |||||||||||
14,235,201 | ||||||||||||
|
| |||||||||||
Retail REITs – 3.2% | ||||||||||||
Brixmor Property Group, Inc. | 89,690 | 2,093,365 | ||||||||||
Frontier Real Estate Investment Corp. | 176 | 802,299 | ||||||||||
Fukuoka REIT Corp. | 521 | 821,301 |
AB POOLING PORTFOLIOS • | 137 |
AB Multi-Asset Real Return Portfolio—Consolidated Portfolio of Investments
Company | Shares | U.S. $ Value | ||||||||||
| ||||||||||||
GGP, Inc. | 27,910 | $ | 693,843 | |||||||||
Hyprop Investments Ltd. | 68,776 | 657,743 | ||||||||||
IGB Real Estate Investment Trust | 256,200 | 95,786 | ||||||||||
Klepierre | 42,474 | 1,577,527 | ||||||||||
Link REIT | 512,878 | 3,536,560 | ||||||||||
Lippo Malls Indonesia Retail Trust | 308,300 | 85,798 | ||||||||||
Mercialys SA | 62,670 | 1,131,895 | ||||||||||
National Retail Properties, Inc. | 46,782 | 2,116,418 | ||||||||||
Ramco-Gershenson Properties Trust | 72,044 | 1,128,209 | ||||||||||
Realty Income Corp. | 38,570 | 2,363,569 | ||||||||||
Resilient REIT Ltd. | 41,817 | 382,545 | ||||||||||
Scentre Group | 370,026 | 1,236,591 | ||||||||||
Simon Property Group, Inc. | 29,621 | 5,462,112 | ||||||||||
Urban Edge Properties | 57,690 | 1,599,744 | ||||||||||
|
| |||||||||||
25,785,305 | ||||||||||||
|
| |||||||||||
Specialized REITs – 1.1% | ||||||||||||
Digital Realty Trust, Inc. | 24,730 | 2,670,840 | ||||||||||
Equinix, Inc. | 2,620 | 985,303 | ||||||||||
Extra Space Storage, Inc. | 19,153 | 1,516,726 | ||||||||||
National Storage Affiliates Trust | 93,850 | 2,273,047 | ||||||||||
Public Storage | 4,800 | 1,091,808 | ||||||||||
|
| |||||||||||
8,537,724 | ||||||||||||
|
| |||||||||||
146,918,847 | ||||||||||||
|
| |||||||||||
Energy – 16.5% | ||||||||||||
Integrated Oil & Gas – 9.7% | ||||||||||||
BP PLC | 1,719,830 | 9,697,544 | ||||||||||
Chevron Corp. | 55,390 | 6,231,375 | ||||||||||
Eni SpA | 461,670 | 7,122,288 | ||||||||||
Exxon Mobil Corp. | 161,470 | 13,130,740 | ||||||||||
Galp Energia SGPS SA | 119,380 | 1,757,153 | ||||||||||
LUKOIL PJSC (Sponsored ADR)(a) | 55,900 | 2,956,005 | ||||||||||
PetroChina Co., Ltd. – Class H | 3,890,000 | 2,954,766 | ||||||||||
Petroleo Brasileiro SA (Preference Shares)(c) | 434,700 | 2,110,994 | ||||||||||
Royal Dutch Shell PLC – Class A | 231,658 | 6,002,272 | ||||||||||
Royal Dutch Shell PLC – Class B | 682,454 | 18,473,068 | ||||||||||
TOTAL SA | 103,204 | 5,149,460 | ||||||||||
YPF SA (Sponsored ADR) | 102,120 | 2,118,990 | ||||||||||
|
| |||||||||||
77,704,655 | ||||||||||||
|
| |||||||||||
Oil & Gas Drilling – 0.2% | ||||||||||||
Helmerich & Payne, Inc. | 25,290 | 1,729,077 | ||||||||||
|
| |||||||||||
Oil & Gas Equipment & Services – 0.7% | ||||||||||||
Aker Solutions ASA(b)(c) | 181,410 | 1,048,832 | ||||||||||
Halliburton Co. | 32,700 | 1,748,142 | ||||||||||
Petrofac Ltd. | 163,120 | 1,806,899 | ||||||||||
Petroleum Geo-Services ASA(c) | 302,370 | 848,684 | ||||||||||
RPC, Inc.(a) | 34,340 | 686,800 | ||||||||||
|
| |||||||||||
6,139,357 | ||||||||||||
|
|
138 | • AB POOLING PORTFOLIOS |
AB Multi-Asset Real Return Portfolio—Consolidated Portfolio of Investments
Company | Shares | U.S. $ Value | ||||||||||
| ||||||||||||
Oil & Gas Exploration & Production – 5.1% | ||||||||||||
Aker BP ASA | 94,574 | $ | 1,663,262 | |||||||||
Anadarko Petroleum Corp. | 59,778 | 3,864,648 | ||||||||||
Canadian Natural Resources Ltd. | 136,970 | 3,928,013 | ||||||||||
CNOOC Ltd. | 1,804,000 | 2,134,116 | ||||||||||
Concho Resources, Inc.(c) | 16,350 | 2,165,557 | ||||||||||
Devon Energy Corp. | 69,610 | 3,018,290 | ||||||||||
EOG Resources, Inc. | 85,627 | 8,304,963 | ||||||||||
Gran Tierra Energy, Inc.(c) | 319,900 | 852,617 | ||||||||||
Hess Corp. | 108,688 | 5,590,911 | ||||||||||
Inpex Corp. | 127,200 | 1,264,774 | ||||||||||
Occidental Petroleum Corp. | 73,965 | 4,848,406 | ||||||||||
SM Energy Co. | 66,510 | 1,639,471 | ||||||||||
Southwestern Energy Co.(c) | 229,280 | 1,721,893 | ||||||||||
|
| |||||||||||
40,996,921 | ||||||||||||
|
| |||||||||||
Oil & Gas Refining & Marketing – 0.8% | ||||||||||||
Cosan SA Industria e Comercio | 79,400 | 1,014,965 | ||||||||||
HollyFrontier Corp. | 29,160 | 853,805 | ||||||||||
JX Holdings, Inc. | 553,700 | 2,639,553 | ||||||||||
Tupras Turkiye Petrol Rafinerileri AS | 74,420 | 1,738,276 | ||||||||||
|
| |||||||||||
6,246,599 | ||||||||||||
|
| |||||||||||
132,816,609 | ||||||||||||
|
| |||||||||||
Materials – 5.9% | ||||||||||||
Construction Materials – 0.2% | ||||||||||||
Fletcher Building Ltd. | 99,490 | 691,186 | ||||||||||
Grupo Cementos de Chihuahua SAB de CV | 241,008 | 1,043,730 | ||||||||||
|
| |||||||||||
1,734,916 | ||||||||||||
|
| |||||||||||
Copper – 0.5% | ||||||||||||
Antofagasta PLC | 168,860 | 1,696,866 | ||||||||||
First Quantum Minerals Ltd. | 160,090 | 1,665,746 | ||||||||||
Lundin Mining Corp.(c) | 137,940 | 829,800 | ||||||||||
|
| |||||||||||
4,192,412 | ||||||||||||
|
| |||||||||||
Diversified Chemicals – 0.2% | ||||||||||||
Arkema SA | 17,596 | 1,705,754 | ||||||||||
|
| |||||||||||
Diversified Metals & Mining – 1.9% | ||||||||||||
Boliden AB | 70,280 | 2,140,080 | ||||||||||
Glencore PLC(c) | 1,272,420 | 5,072,582 | ||||||||||
Korea Zinc Co., Ltd. | 4,740 | 1,743,159 | ||||||||||
MMC Norilsk Nickel PJSC (ADR) | 158,820 | 2,536,183 | ||||||||||
Orocobre Ltd.(c) | 144,920 | 341,673 | ||||||||||
Rio Tinto PLC | 48,990 | 2,007,913 | ||||||||||
Syrah Resources Ltd.(a)(c) | 357,730 | 799,213 | ||||||||||
Vedanta Resources PLC | 73,670 | 785,395 | ||||||||||
|
| |||||||||||
15,426,198 | ||||||||||||
|
|
AB POOLING PORTFOLIOS • | 139 |
AB Multi-Asset Real Return Portfolio—Consolidated Portfolio of Investments
Company | Shares | U.S. $ Value | ||||||||||
| ||||||||||||
Fertilizers & Agricultural Chemicals – 1.3% | ||||||||||||
Agrium, Inc. (Toronto) | 6,585 | $ | 634,851 | |||||||||
Monsanto Co. | 38,404 | 4,371,527 | ||||||||||
Mosaic Co. (The) | 16,690 | 520,561 | ||||||||||
Potash Corp. of Saskatchewan, Inc. | 42,094 | 730,196 | ||||||||||
Syngenta AG (REG) | 4,644 | 2,001,653 | ||||||||||
UPL Ltd. | 161,870 | 1,734,980 | ||||||||||
|
| |||||||||||
9,993,768 | ||||||||||||
|
| |||||||||||
Forest Products – 0.0% | ||||||||||||
West Fraser Timber Co., Ltd. | 3,293 | 136,684 | ||||||||||
|
| |||||||||||
Gold – 0.8% | ||||||||||||
Agnico Eagle Mines Ltd. | 67,371 | 2,832,910 | ||||||||||
Barrick Gold Corp. | 155,520 | 2,889,562 | ||||||||||
Detour Gold Corp.(c) | 66,400 | 827,875 | ||||||||||
Real Gold Mining Ltd.(c)(d)(e) | 686,500 | – 0 | – | |||||||||
|
| |||||||||||
6,550,347 | ||||||||||||
|
| |||||||||||
Paper Products – 0.3% | ||||||||||||
Fibria Celulose SA (Sponsored ADR)(a) | 98,200 | 839,610 | ||||||||||
Mondi PLC | 18,436 | 429,700 | ||||||||||
Oji Holdings Corp. | 41,000 | 196,384 | ||||||||||
Stora Enso Oyj – Class R | 27,663 | 296,668 | ||||||||||
UPM-Kymmene Oyj | 26,784 | 635,227 | ||||||||||
|
| |||||||||||
2,397,589 | ||||||||||||
|
| |||||||||||
Precious Metals & Minerals – 0.1% | ||||||||||||
Industrias Penoles SAB de CV | 33,830 | 801,487 | ||||||||||
|
| |||||||||||
Specialty Chemicals – 0.1% | ||||||||||||
Johnson Matthey PLC | 22,905 | 870,973 | ||||||||||
|
| |||||||||||
Steel – 0.5% | ||||||||||||
APERAM SA | 16,770 | 852,489 | ||||||||||
Fortescue Metals Group Ltd. | 169,880 | 860,030 | ||||||||||
Novolipetsk Steel PJSC (GDR)(b) | 62,870 | 1,204,948 | ||||||||||
Severstal PJSC (GDR)(b) | 56,620 | 806,485 | ||||||||||
|
| |||||||||||
3,723,952 | ||||||||||||
|
| |||||||||||
47,534,080 | ||||||||||||
|
| |||||||||||
Food Beverage & Tobacco – 0.6% | ||||||||||||
Agricultural Products – 0.5% | ||||||||||||
Archer-Daniels-Midland Co. | 67,774 | 3,183,345 | ||||||||||
Bunge Ltd. | 7,001 | 573,032 | ||||||||||
Ingredion, Inc. | 3,624 | 438,105 | ||||||||||
|
| |||||||||||
4,194,482 | ||||||||||||
|
| |||||||||||
Packaged Foods & Meats – 0.1% | ||||||||||||
Tyson Foods, Inc. – Class A | 13,650 | 853,944 | ||||||||||
|
| |||||||||||
5,048,426 | ||||||||||||
|
|
140 | • AB POOLING PORTFOLIOS |
AB Multi-Asset Real Return Portfolio—Consolidated Portfolio of Investments
Company | Shares | U.S. $ Value | ||||||||||
| ||||||||||||
Transportation – 0.3% | ||||||||||||
Highways & Railtracks – 0.2% | ||||||||||||
Transurban Group | 162,730 | $ | 1,376,187 | |||||||||
|
| |||||||||||
Railroads – 0.1% | ||||||||||||
East Japan Railway Co. | 9,200 | 832,305 | ||||||||||
|
| |||||||||||
2,208,492 | ||||||||||||
|
| |||||||||||
Media – 0.1% | ||||||||||||
Movies & Entertainment – 0.1% | ||||||||||||
Regal Entertainment Group – Class A | 32,510 | 701,566 | ||||||||||
|
| |||||||||||
Diversified Financials – 0.1% | ||||||||||||
Mortgage REITs – 0.1% | ||||||||||||
Blackstone Mortgage Trust, Inc. – Class A | 22,390 | 697,224 | ||||||||||
|
| |||||||||||
Consumer Durables & Apparel – 0.1% | ||||||||||||
Homebuilding – 0.1% | ||||||||||||
Corp. GEO SAB de CV Series B(a)(c) | 1,085 | 135 | ||||||||||
Cyrela Brazil Realty SA Empreendimentos e Participacoes | 60,520 | 251,807 | ||||||||||
Desarrolladora Homex SAB de CV(c) | 130 | 6 | ||||||||||
MRV Engenharia e Participacoes SA | 61,200 | 279,981 | ||||||||||
Urbi Desarrollos Urbanos SAB de CV(c) | 52 | 12 | ||||||||||
|
| |||||||||||
531,941 | ||||||||||||
|
| |||||||||||
Total Common Stocks | 336,457,185 | |||||||||||
|
| |||||||||||
| Principal Amount (000) | |||||||||||
INFLATION-LINKED SECURITIES – 30.1% | ||||||||||||
United States – 20.3% | ||||||||||||
U.S. Treasury Inflation Index | $ | 36,512 | 37,093,527 | |||||||||
1.125%, 1/15/21 (TIPS) | 32,450 | 34,306,394 | ||||||||||
1.375%, 7/15/18 (TIPS) | 16,575 | 17,231,838 | ||||||||||
1.625%, 1/15/18 (TIPS) | 44,317 | 45,547,519 | ||||||||||
2.125%, 1/15/19 (TIPS) | 14,651 | 15,520,617 | ||||||||||
2.625%, 7/15/17 (TIPS) | 12,588 | 12,864,135 | ||||||||||
|
| |||||||||||
162,564,030 | ||||||||||||
|
| |||||||||||
Japan – 9.8% | ||||||||||||
Japanese Government CPI Linked Bond | JPY | 8,396,479 | 78,998,431 | |||||||||
|
| |||||||||||
Total Inflation-Linked Securities | 241,562,461 | |||||||||||
|
|
AB POOLING PORTFOLIOS • | 141 |
AB Multi-Asset Real Return Portfolio—Consolidated Portfolio of Investments
Company | Shares | U.S. $ Value | ||||||||||
| ||||||||||||
INVESTMENT COMPANIES – 23.7% | ||||||||||||
Funds and Investment Trusts – 23.7%(f) | ||||||||||||
BB Progressivo II FII | 11,814 | $ | 516,269 | |||||||||
Global X MLP ETF | 677,773 | 7,950,277 | ||||||||||
iShares Global Financials ETF | 130,234 | 7,903,901 | ||||||||||
iShares MSCI Europe Financials ETF(a) | 1,234,217 | 23,659,940 | ||||||||||
iShares MSCI Global Gold Miners ETF | 364,491 | 6,903,460 | ||||||||||
iShares MSCI Global Metals & Mining Producers ETF(a) | 765,182 | 21,830,643 | ||||||||||
Kinea Renda Imobiliaria FII | 10,767 | 515,681 | ||||||||||
SPDR S&P Dividend ETF(a) | 118,518 | 10,520,843 | ||||||||||
SPDR S&P Oil & Gas Exploration & Production ETF(a) | 104,068 | 3,940,015 | ||||||||||
VanEck Vectors Oil Services ETF(a) | 364,539 | 11,705,347 | ||||||||||
Vanguard Dividend Appreciation ETF | 60,342 | 5,456,727 | ||||||||||
Vanguard Global ex-U.S. Real Estate ETF(a) | 800,932 | 42,129,023 | ||||||||||
Vanguard Total World Stock ETF | 738,706 | 47,661,311 | ||||||||||
|
| |||||||||||
Total Investment Companies | 190,693,437 | |||||||||||
|
| |||||||||||
RIGHTS – 0.0% | ||||||||||||
Real Estate – 0.0% | ||||||||||||
Real Estate Development – 0.0% | ||||||||||||
IOI Properties Group Bhd, expiring 3/17/17(c) | 70,500 | 11,591 | ||||||||||
|
| |||||||||||
SHORT-TERM INVESTMENTS – 4.7% | ||||||||||||
Investment Companies – 4.7% | ||||||||||||
AB Fixed Income Shares, Inc. – Government Money Market Portfolio – Class AB, 0.39%(f)(g) | 37,533,511 | 37,533,511 | ||||||||||
|
| |||||||||||
Total Investments Before Security Lending Collateral for Securities Loaned – 100.4% | 806,258,185 | |||||||||||
|
| |||||||||||
INVESTMENTS OF CASH COLLATERAL FOR SECURITIES LOANED – 2.9% | ||||||||||||
Investment Companies – 2.9% | ||||||||||||
AB Fixed Income Shares, Inc. – Government Money Market Portfolio – Class AB, 0.39%(f)(g) | 23,294,918 | 23,294,918 | ||||||||||
|
| |||||||||||
Total Investments – 103.3% | 829,553,103 | |||||||||||
Other assets less liabilities – (3.3)% | (26,189,812 | ) | ||||||||||
|
| |||||||||||
Net Assets – 100.0% | $ | 803,363,291 | ||||||||||
|
|
142 | • AB POOLING PORTFOLIOS |
AB Multi-Asset Real Return Portfolio—Consolidated Portfolio of Investments
FUTURES (see Note C)
Type | Number of Contracts | Expiration Month | Original Value | Value at February 28, 2017 | Unrealized Appreciation/ (Depreciation) | |||||||||||||
Purchased Contracts |
| |||||||||||||||||
Brent Crude Futures | 140 | March 2017 | $ | 7,830,399 | $ | 7,911,400 | $ | 81,001 | ||||||||||
Cattle Feeder Futures | 30 | April 2017 | 1,884,081 | 1,870,500 | (13,581 | ) | ||||||||||||
Copper Futures | 191 | May 2017 | 13,153,946 | 12,959,350 | (194,596 | ) | ||||||||||||
Corn Futures | 275 | May 2017 | 5,246,440 | 5,139,063 | (107,377 | ) | ||||||||||||
Cotton No. 2 Futures | 35 | December 2017 | 1,263,070 | 1,301,650 | 38,580 | |||||||||||||
Gold 100 OZ Futures | 151 | April 2017 | 18,390,375 | 18,933,890 | 543,515 | |||||||||||||
Lean Hogs Futures | 56 | April 2017 | 1,606,985 | 1,514,240 | (92,745 | ) | ||||||||||||
LME Nickel Futures | 22 | March 2017 | 1,312,138 | 1,443,750 | 131,612 | |||||||||||||
LME Zinc Futures | 57 | March 2017 | 4,032,924 | 4,022,775 | (10,149 | ) | ||||||||||||
Natural Gas Futures | 201 | September 2017 | 5,945,506 | 6,146,580 | 201,074 | |||||||||||||
Soybean Futures | 106 | May 2017 | 5,595,789 | 5,489,475 | (106,314 | ) | ||||||||||||
Sugar 11 (World) Futures | 43 | April 2017 | 975,862 | 926,117 | (49,745 | ) | ||||||||||||
TOPIX Index Futures | 148 | March 2017 | 20,352,411 | 20,208,465 | (143,946 | ) | ||||||||||||
WTI Crude Futures | 146 | November 2018 | 7,525,587 | 7,989,120 | 463,533 | |||||||||||||
WTI Crude Futures | 370 | November 2019 | 20,288,987 | 20,076,200 | (212,787 | ) | ||||||||||||
Sold Contracts |
| |||||||||||||||||
10 Yr Mini Japan Government Bond Futures | 124 | March 2017 | 16,553,084 | 16,616,850 | (63,766 | ) | ||||||||||||
Coffee Robusta Futures | 49 | May 2017 | 1,069,691 | 1,050,070 | 19,621 | |||||||||||||
Coffee ‘C’ Futures | 20 | May 2017 | 1,093,044 | 1,069,500 | 23,544 | |||||||||||||
Live Cattle Futures | 40 | April 2017 | 1,906,627 | 1,886,800 | 19,827 | |||||||||||||
LME Nickel Futures | 22 | March 2017 | 1,357,694 | 1,443,750 | (86,056 | ) | ||||||||||||
NY Harbor ULSD Futures | 114 | April 2017 | 7,849,746 | 7,896,370 | (46,624 | ) | ||||||||||||
Palladium Futures | 45 | June 2017 | 3,468,024 | 3,472,650 | (4,626 | ) | ||||||||||||
S&P 500 E-Mini Futures | 134 | March 2017 | 15,156,291 | 15,830,760 | (674,469 | ) | ||||||||||||
Soybean Oil Futures | 235 | May 2017 | 4,849,704 | 4,784,130 | 65,574 | |||||||||||||
U.S. T-Note 5 Yr (CBT) Futures | 158 | June 2017 | 18,572,189 | 18,597,093 | (24,904 | ) | ||||||||||||
Wheat (CBT) Futures | 33 | May 2017 | 763,440 | 732,188 | 31,252 | |||||||||||||
|
| |||||||||||||||||
$ | (212,552 | ) | ||||||||||||||||
|
|
AB POOLING PORTFOLIOS • | 143 |
AB Multi-Asset Real Return Portfolio—Consolidated Portfolio of Investments
FORWARD CURRENCY EXCHANGE CONTRACTS (see Note C)
Counterparty | Contracts to Deliver (000) | In Exchange For (000) | Settlement Date | Unrealized Appreciation/ (Depreciation) | ||||||||||||||||
Australia & New Zealand Banking Group Ltd. | TWD | 19,578 | USD | 638 | 3/16/17 | $ | (470 | ) | ||||||||||||
Australia & New Zealand Banking Group Ltd. | USD | 21,751 | TWD | 667,970 | 3/16/17 | 16,019 | ||||||||||||||
Australia & New Zealand Banking Group Ltd. | TWD | 667,970 | USD | 21,868 | 6/15/17 | (16,479 | ) | |||||||||||||
Australia & New Zealand Banking Group Ltd. | USD | 641 | TWD | �� | 19,578 | 6/15/17 | 483 | |||||||||||||
Bank of America, NA | RUB | 329,586 | USD | 5,397 | 3/16/17 | (232,996 | ) | |||||||||||||
Bank of America, NA | USD | 15,441 | EUR | 14,328 | 3/16/17 | (252,852 | ) | |||||||||||||
Bank of America, NA | USD | 2,389 | HKD | 18,508 | 3/16/17 | (3,952 | ) | |||||||||||||
Bank of America, NA | USD | 2,771 | RUB | 168,503 | 3/16/17 | 106,868 | ||||||||||||||
Barclays Bank PLC | INR | 903,482 | USD | 13,475 | 3/16/17 | (41,526 | ) | |||||||||||||
Barclays Bank PLC | USD | 7,678 | RUB | 496,413 | 3/16/17 | 801,351 | ||||||||||||||
Barclays Bank PLC | USD | 3,277 | SGD | 4,623 | 3/16/17 | 21,875 | ||||||||||||||
Barclays Bank PLC | CHF | 9,809 | USD | 9,842 | 6/15/17 | 13,953 | ||||||||||||||
Barclays Bank PLC | CNY | 132,302 | USD | 19,098 | 6/15/17 | (14,794 | ) | |||||||||||||
Barclays Bank PLC | USD | 24,190 | EUR | 22,706 | 6/15/17 | (16,857 | ) | |||||||||||||
Barclays Bank PLC | USD | 13,344 | INR | 903,482 | 6/15/17 | 48,476 | ||||||||||||||
BNP Paribas SA | CNY | 138,380 | USD | 20,073 | 3/16/17 | (66,224 | ) | |||||||||||||
BNP Paribas SA | USD | 19,527 | GBP | 15,678 | 3/16/17 | (67,364 | ) | |||||||||||||
BNP Paribas SA | USD | 7,809 | JPY | 883,036 | 3/16/17 | 54,971 | ||||||||||||||
BNP Paribas SA | PEN | 9,228 | USD | 2,800 | 6/15/17 | 4,675 | ||||||||||||||
BNP Paribas SA | USD | 22,207 | CAD | 29,275 | 6/15/17 | (143,939 | ) | |||||||||||||
BNP Paribas SA | USD | 19,899 | CNY | 138,380 | 6/15/17 | 92,168 | ||||||||||||||
BNP Paribas SA | USD | 5,256 | GBP | 4,210 | 6/15/17 | (18,308 | ) | |||||||||||||
Citibank, NA | CAD | 4,740 | USD | 3,539 | 3/16/17 | (29,839 | ) | |||||||||||||
Citibank, NA | CAD | 4,918 | USD | 3,724 | 3/16/17 | 20,521 | ||||||||||||||
Citibank, NA | CHF | 1,306 | USD | 1,289 | 3/16/17 | (11,887 | ) | |||||||||||||
Citibank, NA | EUR | 32,882 | USD | 35,039 | 3/16/17 | 183,446 | ||||||||||||||
Citibank, NA | GBP | 1,846 | USD | 2,328 | 3/16/17 | 36,361 | ||||||||||||||
Citibank, NA | PLN | 9,957 | USD | 2,449 | 3/16/17 | 423 | ||||||||||||||
Citibank, NA | USD | 2,298 | GBP | 1,846 | 3/16/17 | (6,433 | ) | |||||||||||||
Citibank, NA | USD | 3,217 | JPY | 366,123 | 3/16/17 | 43,333 | ||||||||||||||
Citibank, NA | USD | 7,993 | NOK | 67,577 | 3/16/17 | 68,540 | ||||||||||||||
Citibank, NA | USD | 4,434 | ZAR | 61,761 | 3/16/17 | 262,637 | ||||||||||||||
Citibank, NA | USD | 9,312 | MXN | 188,929 | 6/15/17 | (45,064 | ) | |||||||||||||
Credit Suisse International | CHF | 5,601 | USD | 5,544 | 3/16/17 | (37,541 | ) | |||||||||||||
Credit Suisse International | JPY | 8,072,948 | USD | 71,115 | 3/16/17 | (779,589 | ) | |||||||||||||
Credit Suisse International | NOK | 83,444 | USD | 9,640 | 3/16/17 | (314,130 | ) | |||||||||||||
Credit Suisse International | NZD | 14,110 | USD | 10,157 | 3/16/17 | (1,742 | ) | |||||||||||||
Credit Suisse International | USD | 19,283 | AUD | 26,250 | 3/16/17 | 836,477 | ||||||||||||||
Credit Suisse International | USD | 14,515 | CAD | 19,358 | 3/16/17 | 60,539 | ||||||||||||||
Credit Suisse International | USD | 8,849 | CLP | 5,702,940 | 3/16/17 | (85,386 | ) | |||||||||||||
Credit Suisse International | USD | 1,145 | IDR | 15,459,459 | 3/16/17 | 11,484 | ||||||||||||||
Credit Suisse International | USD | 6,065 | JPY | 688,516 | 3/16/17 | 66,489 | ||||||||||||||
Credit Suisse International | USD | 22,465 | SEK | 202,688 | 3/16/17 | 4,282 | ||||||||||||||
Credit Suisse International | USD | 618 | TWD | 19,578 | 3/16/17 | 19,599 | ||||||||||||||
Credit Suisse International | CLP | 5,702,940 | USD | 8,798 | 6/15/17 | 81,743 | ||||||||||||||
Credit Suisse International | HUF | 5,847,073 | USD | 20,186 | 6/15/17 | 13,294 | ||||||||||||||
Credit Suisse International | KRW | 14,936,117 | USD | 13,235 | 6/15/17 | 53,567 | ||||||||||||||
Credit Suisse International | NZD | 17,631 | USD | 12,659 | 6/15/17 | (2,317 | ) | |||||||||||||
Credit Suisse International | USD | 4,850 | COP | 14,298,030 | 6/15/17 | (38,629 | ) | |||||||||||||
Credit Suisse International | USD | 6,483 | NOK | 54,180 | 6/15/17 | (14,475 | ) |
144 | • AB POOLING PORTFOLIOS |
AB Multi-Asset Real Return Portfolio—Consolidated Portfolio of Investments
Counterparty | Contracts to Deliver (000) | In Exchange For (000) | Settlement Date | Unrealized Appreciation/ (Depreciation) | ||||||||||||||||
Credit Suisse International | USD | 10,153 | SEK | 91,186 | 6/15/17 | $ | 1,502 | |||||||||||||
Credit Suisse International | USD | 10,547 | TRY | 39,271 | 6/15/17 | (59,997 | ) | |||||||||||||
Credit Suisse International | ZAR | 132,716 | USD | 10,019 | 6/15/17 | 86,001 | ||||||||||||||
Credit Suisse International | USD | 20,247 | PLN | 82,450 | 6/16/17 | 4,802 | ||||||||||||||
Goldman Sachs Bank USA | CNY | 33,474 | USD | 4,836 | 3/16/17 | (35,660 | ) | |||||||||||||
Goldman Sachs Bank USA | USD | 2,035 | MXN | 41,213 | 3/16/17 | 12,378 | ||||||||||||||
Goldman Sachs Bank USA | TWD | 630,552 | USD | 20,698 | 6/15/17 | 38,653 | ||||||||||||||
HSBC Bank USA | USD | 3,723 | BRL | 11,923 | 4/04/17 | 79,841 | ||||||||||||||
JPMorgan Chase Bank, NA | AUD | 5,900 | USD | 4,458 | 3/16/17 | (64,250 | ) | |||||||||||||
JPMorgan Chase Bank, NA | CAD | 25,433 | USD | 19,417 | 3/16/17 | 267,018 | ||||||||||||||
JPMorgan Chase Bank, NA | CNY | 43,010 | USD | 6,157 | 3/16/17 | (102,742 | ) | |||||||||||||
JPMorgan Chase Bank, NA | HUF | 1,578,940 | USD | 5,423 | 3/16/17 | (6,901 | ) | |||||||||||||
JPMorgan Chase Bank, NA | JPY | 1,087,485 | USD | 9,572 | 3/16/17 | (112,605 | ) | |||||||||||||
JPMorgan Chase Bank, NA | MXN | 201,169 | USD | 9,686 | 3/16/17 | (305,448 | ) | |||||||||||||
JPMorgan Chase Bank, NA | NOK | 88,322 | USD | 10,580 | 3/16/17 | 43,619 | ||||||||||||||
JPMorgan Chase Bank, NA | SEK | 97,296 | USD | 11,011 | 3/16/17 | 224,513 | ||||||||||||||
JPMorgan Chase Bank, NA | TRY | 13,174 | USD | 3,745 | 3/16/17 | 140,026 | ||||||||||||||
JPMorgan Chase Bank, NA | USD | 9,672 | CHF | 9,917 | 3/16/17 | 209,384 | ||||||||||||||
JPMorgan Chase Bank, NA | USD | 164 | COP | 501,081 | 3/16/17 | 6,509 | ||||||||||||||
JPMorgan Chase Bank, NA | USD | 11,817 | MXN | 247,631 | 3/16/17 | 481,997 | ||||||||||||||
JPMorgan Chase Bank, NA | USD | 5,231 | TRY | 20,383 | 3/16/17 | 346,659 | ||||||||||||||
Morgan Stanley & Co., Inc. | AUD | 31,927 | USD | 24,489 | 3/16/17 | 18,555 | ||||||||||||||
Morgan Stanley & Co., Inc. | BRL | 8,641 | USD | 2,778 | 3/16/17 | 10,454 | ||||||||||||||
Morgan Stanley & Co., Inc. | CAD | 9,330 | USD | 7,129 | 3/16/17 | 104,223 | ||||||||||||||
Morgan Stanley & Co., Inc. | COP | 3,763,153 | USD | 1,290 | 3/16/17 | 7,512 | ||||||||||||||
Morgan Stanley & Co., Inc. | EUR | 1,803 | USD | 1,920 | 3/16/17 | 8,439 | ||||||||||||||
Morgan Stanley & Co., Inc. | RUB | 52,793 | USD | 909 | 3/16/17 | 7,378 | ||||||||||||||
Morgan Stanley & Co., Inc. | USD | 7,508 | PEN | 24,462 | 3/16/17 | (25,970 | ) | |||||||||||||
Morgan Stanley & Co., Inc. | USD | 2,965 | RUB | 172,156 | 3/16/17 | (24,058 | ) | |||||||||||||
Morgan Stanley & Co., Inc. | USD | 2,780 | BRL | 8,641 | 4/04/17 | (23,761 | ) | |||||||||||||
Morgan Stanley & Co., Inc. | AUD | 35,581 | USD | 27,239 | 6/15/17 | 19,284 | ||||||||||||||
Morgan Stanley & Co., Inc. | PEN | 24,462 | USD | 7,431 | 6/15/17 | 21,411 | ||||||||||||||
Morgan Stanley & Co., Inc. | RUB | 172,156 | USD | 2,906 | 6/15/17 | 16,678 | ||||||||||||||
Morgan Stanley & Co., Inc. | RUB | 26,073 | USD | 437 | 6/15/17 | (517 | ) | |||||||||||||
Morgan Stanley & Co., Inc. | USD | 1,271 | COP | 3,763,153 | 6/15/17 | (4,777 | ) | |||||||||||||
Morgan Stanley & Co., Inc. | USD | 5,160 | IDR | 69,562,582 | 6/15/17 | (10,598 | ) | |||||||||||||
Morgan Stanley & Co., Inc. | USD | 891 | RUB | 52,793 | 6/15/17 | (5,114 | ) | |||||||||||||
Nomura Global Financial Products, Inc. | GBP | 3,872 | USD | 4,828 | 3/16/17 | 22,071 | ||||||||||||||
Nomura Global Financial Products, Inc. | JPY | 1,483,243 | USD | 13,228 | 3/16/17 | 18,912 | ||||||||||||||
Nomura Global Financial Products, Inc. | PHP | 661,644 | USD | 13,238 | 3/16/17 | 87,199 | ||||||||||||||
Nomura Global Financial Products, Inc. | USD | 9,764 | CNY | 68,760 | 3/16/17 | 242,525 | ||||||||||||||
Nomura Global Financial Products, Inc. | USD | 26,757 | INR | 1,828,351 | 3/16/17 | 595,853 | ||||||||||||||
Nomura Global Financial Products, Inc. | USD | 14,511 | INR | 977,723 | 6/15/17 | (17,728 | ) | |||||||||||||
Nomura Global Financial Products, Inc. | USD | 34,692 | PHP | 1,758,367 | 6/15/17 | (62,210 | ) | |||||||||||||
Royal Bank of Scotland PLC | COP | 22,540,915 | USD | 7,606 | 3/16/17 | (76,255 | ) | |||||||||||||
Royal Bank of Scotland PLC | GBP | 14,699 | USD | 18,592 | 3/16/17 | 347,030 | ||||||||||||||
Royal Bank of Scotland PLC | INR | 671,321 | USD | 9,800 | 3/16/17 | (242,794 | ) | |||||||||||||
Royal Bank of Scotland PLC | PEN | 7,408 | USD | 2,227 | 3/16/17 | (38,623 | ) |
AB POOLING PORTFOLIOS • | 145 |
AB Multi-Asset Real Return Portfolio—Consolidated Portfolio of Investments
Counterparty | Contracts to Deliver (000) | In Exchange For (000) | Settlement Date | Unrealized Appreciation/ (Depreciation) | ||||||||||||||||
Royal Bank of Scotland PLC | RUB | 612,123 | USD | 9,747 | 3/16/17 | $ | (708,852 | ) | ||||||||||||
Royal Bank of Scotland PLC | USD | 4,566 | CLP | 2,956,417 | 3/16/17 | (23,011 | ) | |||||||||||||
Royal Bank of Scotland PLC | USD | 7,838 | CZK | 197,566 | 3/16/17 | (87,064 | ) | |||||||||||||
Royal Bank of Scotland PLC | USD | 8,372 | NZD | 11,578 | 3/16/17 | (35,872 | ) | |||||||||||||
Royal Bank of Scotland PLC | BRL | 9,847 | USD | 3,074 | 4/04/17 | (66,659 | ) | |||||||||||||
Royal Bank of Scotland PLC | CLP | 8,721,408 | USD | 13,368 | 6/15/17 | 37,973 | ||||||||||||||
Standard Chartered Bank | IDR | 92,195,203 | USD | 6,888 | 3/16/17 | (9,812 | ) | |||||||||||||
Standard Chartered Bank | USD | 843 | IDR | 11,306,440 | 3/16/17 | 3,406 | ||||||||||||||
Standard Chartered Bank | USD | 134 | KRW | 155,631 | 3/16/17 | 3,603 | ||||||||||||||
Standard Chartered Bank | USD | 6,809 | IDR | 92,195,203 | 6/15/17 | 16,764 | ||||||||||||||
State Street Bank & Trust Co. | BRL | 1,530 | USD | 462 | 3/02/17 | (30,265 | ) | |||||||||||||
State Street Bank & Trust Co. | USD | 460 | BRL | 1,530 | 3/02/17 | 31,791 | ||||||||||||||
State Street Bank & Trust Co. | AUD | 11,108 | USD | 8,246 | 3/16/17 | (267,603 | ) | |||||||||||||
State Street Bank & Trust Co. | CHF | 29,422 | USD | 28,931 | 3/16/17 | (386,672 | ) | |||||||||||||
State Street Bank & Trust Co. | CLP | 8,659,357 | USD | 12,738 | 3/16/17 | (568,181 | ) | |||||||||||||
State Street Bank & Trust Co. | CZK | 197,566 | USD | 7,678 | 3/16/17 | (73,657 | ) | |||||||||||||
State Street Bank & Trust Co. | EUR | 10,124 | USD | 10,615 | 3/16/17 | (116,948 | ) | |||||||||||||
State Street Bank & Trust Co. | GBP | 16,267 | USD | 20,348 | 3/16/17 | 156,637 | ||||||||||||||
State Street Bank & Trust Co. | HUF | 3,921,322 | USD | 13,166 | 3/16/17 | (319,571 | ) | |||||||||||||
State Street Bank & Trust Co. | IDR | 116,181,171 | USD | 8,508 | 3/16/17 | (183,993 | ) | |||||||||||||
State Street Bank & Trust Co. | INR | 614,851 | USD | 8,982 | 3/16/17 | (215,814 | ) | |||||||||||||
State Street Bank & Trust Co. | KRW | 15,696,188 | USD | 13,088 | 3/16/17 | (753,004 | ) | |||||||||||||
State Street Bank & Trust Co. | MXN | 52,394 | USD | 2,505 | 3/16/17 | (96,973 | ) | |||||||||||||
State Street Bank & Trust Co. | NOK | 26,527 | USD | 3,044 | 3/16/17 | (120,697 | ) | |||||||||||||
State Street Bank & Trust Co. | NZD | 186 | USD | 133 | 3/16/17 | (1,144 | ) | |||||||||||||
State Street Bank & Trust Co. | PEN | 23,232 | USD | 6,740 | 3/16/17 | (366,317 | ) | |||||||||||||
State Street Bank & Trust Co. | PHP | 730,653 | USD | 14,411 | 3/16/17 | (111,311 | ) |
146 | • AB POOLING PORTFOLIOS |
AB Multi-Asset Real Return Portfolio—Consolidated Portfolio of Investments
Counterparty | Contracts to Deliver (000) | In Exchange For (000) | Settlement Date | Unrealized Appreciation/ (Depreciation) | ||||||||||||||||
State Street Bank & Trust Co. | RUB | 175,333 | USD | 2,823 | 3/16/17 | $ | (171,569 | ) | ||||||||||||
State Street Bank & Trust Co. | SEK | 108,324 | USD | 11,641 | 3/16/17 | (367,737 | ) | |||||||||||||
State Street Bank & Trust Co. | THB | 663,477 | USD | 18,415 | 3/16/17 | (589,896 | ) | |||||||||||||
State Street Bank & Trust Co. | TWD | 667,970 | USD | 20,709 | 3/16/17 | (1,057,496 | ) | |||||||||||||
State Street Bank & Trust Co. | USD | 23,598 | AUD | 31,927 | 3/16/17 | 872,435 | ||||||||||||||
State Street Bank & Trust Co. | USD | 2,502 | BRL | 8,641 | 3/16/17 | 265,903 | ||||||||||||||
State Street Bank & Trust Co. | USD | 19,008 | CAD | 25,433 | 3/16/17 | 142,051 | ||||||||||||||
State Street Bank & Trust Co. | USD | 1,954 | CHF | 1,992 | 3/16/17 | 30,591 | ||||||||||||||
State Street Bank & Trust Co. | USD | 20,717 | CNY | 146,104 | 3/16/17 | 546,194 | ||||||||||||||
State Street Bank & Trust Co. | USD | 8,465 | COP | 25,802,987 | 3/16/17 | 329,009 | ||||||||||||||
State Street Bank & Trust Co. | USD | 7,817 | GBP | 6,209 | 3/16/17 | (110,040 | ) | |||||||||||||
State Street Bank & Trust Co. | USD | 1,133 | HKD | 8,780 | 3/16/17 | (1,541 | ) | |||||||||||||
State Street Bank & Trust Co. | USD | 13,404 | IDR | 181,610,475 | 3/16/17 | 183,561 | ||||||||||||||
State Street Bank & Trust Co. | USD | 5,274 | INR | 361,303 | 3/16/17 | 130,671 | ||||||||||||||
State Street Bank & Trust Co. | USD | 12,025 | JPY | 1,397,567 | 3/16/17 | 421,592 | ||||||||||||||
State Street Bank & Trust Co. | USD | 9,102 | MXN | 187,656 | 3/16/17 | 218,319 | ||||||||||||||
State Street Bank & Trust Co. | USD | 20,894 | NOK | 180,826 | 3/16/17 | 677,790 | ||||||||||||||
State Street Bank & Trust Co. | USD | 1,754 | NZD | 2,532 | 3/16/17 | 68,542 | ||||||||||||||
State Street Bank & Trust Co. | USD | 1,800 | PEN | 6,178 | 3/16/17 | 89,580 | ||||||||||||||
State Street Bank & Trust Co. | USD | 35,095 | PHP | 1,772,673 | 3/16/17 | 138,536 | ||||||||||||||
State Street Bank & Trust Co. | USD | 20,743 | PLN | 87,823 | 3/16/17 | 852,835 | ||||||||||||||
State Street Bank & Trust Co. | USD | 5,283 | RUB | 332,763 | 3/16/17 | 401,330 | ||||||||||||||
State Street Bank & Trust Co. | USD | 206 | SGD | 294 | 3/16/17 | 3,337 | ||||||||||||||
State Street Bank & Trust Co. | USD | 18,704 | THB | 663,477 | 3/16/17 | 300,383 | ||||||||||||||
State Street Bank & Trust Co. | USD | 8,394 | TRY | 30,104 | 3/16/17 | (155,740 | ) | |||||||||||||
State Street Bank & Trust Co. | ZAR | 143,296 | USD | 10,005 | 3/16/17 | (892,832 | ) | |||||||||||||
State Street Bank & Trust Co. | EUR | 5,958 | USD | 6,393 | 6/15/17 | 49,519 |
AB POOLING PORTFOLIOS • | 147 |
AB Multi-Asset Real Return Portfolio—Consolidated Portfolio of Investments
Counterparty | Contracts to Deliver (000) | In Exchange For (000) | Settlement Date | Unrealized Appreciation/ (Depreciation) | ||||||||||||||||
State Street Bank & Trust Co. | THB | 319,151 | USD | 9,094 | 6/15/17 | $ | (41,813 | ) | ||||||||||||
State Street Bank & Trust Co. | THB | 41,303 | USD | 1,183 | 6/15/17 | 995 | ||||||||||||||
State Street Bank & Trust Co. | USD | 1,588 | EUR | 1,489 | 6/15/17 | (3,037 | ) | |||||||||||||
State Street Bank & Trust Co. | USD | 1,648 | THB | 57,820 | 6/15/17 | 7,575 | ||||||||||||||
UBS AG | EUR | 4,282 | USD | 4,534 | 3/16/17 | (4,575 | ) | |||||||||||||
UBS AG | KRW | 155,631 | USD | 136 | 3/16/17 | (809 | ) | |||||||||||||
UBS AG | PHP | 380,376 | USD | 7,544 | 3/16/17 | (16,284 | ) | |||||||||||||
UBS AG | USD | 10,839 | EUR | 10,124 | 3/16/17 | (107,208 | ) | |||||||||||||
UBS AG | USD | 13,759 | KRW | 15,696,188 | 3/16/17 | 81,590 | ||||||||||||||
UBS AG | KRW | 15,696,188 | USD | 13,780 | 6/15/17 | (72,896 | ) | |||||||||||||
UBS AG | USD | 137 | KRW | 155,631 | 6/15/17 | 723 | ||||||||||||||
UBS AG | USD | 7,480 | PHP | 380,376 | 6/15/17 | 10,894 | ||||||||||||||
|
| |||||||||||||||||||
$ | 868,435 | |||||||||||||||||||
|
|
INFLATION (CPI) SWAPS (see Note C)
Rate Type | ||||||||||||||||||||
Swap Counterparty | Notional Amount (000) | Termination Date | Payments by the Fund | Payments by the Fund | Unrealized Appreciation/ (Depreciation) | |||||||||||||||
Citibank, NA | $ | 95,400 | 10/16/20 | 1.780 | % | CPI | # | $ | 978,280 | |||||||||||
Deutsche Bank AG | 49,075 | 7/30/25 | 2.278 | % | CPI | # | (61,071 | ) | ||||||||||||
Deutsche Bank AG | 111,900 | 8/09/26 | 1.955 | % | CPI | # | 1,965,406 | |||||||||||||
Goldman Sachs International | 114,800 | 8/12/26 | 1.924 | % | CPI | # | 2,169,826 | |||||||||||||
JPMorgan Chase Bank, NA | 209,400 | 7/26/26 | 1.933 | % | CPI | # | 3,861,154 | |||||||||||||
|
| |||||||||||||||||||
$ | 8,913,595 | |||||||||||||||||||
|
|
# | Variable interest rate based on the rate of inflation as determined by the Consumer Price Index (CPI). |
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 Industrial Metals Subindex 3 Month Forward | 215,952 | 0.12 | % | $ | 40,114 | 6/15/17 | $ | 15,230 | ||||||||||||
Bloomberg Petroleum Subindex 3 Month Forward | 52,888 | 0.11 | % | 19,761 | 6/15/17 | 176,853 | ||||||||||||||
Bloomberg Precious Metals Subindex 3 Month Forward | 171,110 | 0.11 | % | 30,817 | 6/15/17 | 576,859 | ||||||||||||||
Bloomberg Softs Subindex 3 Month Forward | 43,534 | 0.17 | % | 4,256 | 6/15/17 | (40 | ) |
148 | • AB POOLING PORTFOLIOS |
AB Multi-Asset Real Return Portfolio—Consolidated Portfolio of Investments
Counterparty & Obligation | # of Shares or Units | Rate Paid/ Received | Notional Amount (000) | Maturity Date | Unrealized Appreciation/ (Depreciation) | |||||||||||||||
Bloomberg Softs Subindex 3 Month Forward | 193,118 | 0.17 | % | $ | 20,100 | 6/15/17 | $ | (926,795 | ) | |||||||||||
J.P. Morgan F3R Congestion Index | 88,567 | 0.15 | % | 18,146 | 3/15/17 | 90,498 | ||||||||||||||
J.P. Morgan F3R Congestion Index | 220,890 | 0.15 | % | 44,939 | 12/15/17 | 533,788 | ||||||||||||||
Morgan Stanley Capital Services LLC |
| |||||||||||||||||||
Bloomberg Grains Subindex 3 Month Forward | 636,721 | 0.15 | % | 44,381 | 6/15/17 | (453,433 | ) | |||||||||||||
Bloomberg Livestock Subindex 3 Month Forward | 87,706 | 0.16 | % | 12,100 | 6/15/17 | 39,024 | ||||||||||||||
Bloomberg Livestock Subindex 3 Month Forward | 11,130 | 0.16 | % | 1,530 | 6/15/17 | – 0 | – | |||||||||||||
|
| |||||||||||||||||||
$ | 51,984 | |||||||||||||||||||
|
|
(a) | Represents entire or partial securities out on loan. See Note D for securities lending information. |
(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 February 28, 2017, the aggregate market value of these securities amounted to $4,428,338 or 0.6% of net assets. |
(c) | Non-income producing security. |
(d) | Fair valued by the Adviser. |
(e) | Illiquid security. |
(f) | Investment in affiliated money market mutual fund. The rate shown represents the 7-day yield as of period end. |
(g) | To obtain a copy of the fund’s shareholder report, please go to the Securities and Exchange Commission’s website at www.sec.gov. Additionally, shareholder reports for AB funds can be obtained by calling AB at (800) 227-4618. |
AB POOLING PORTFOLIOS • | 149 |
AB Multi-Asset Real Return Portfolio—Consolidated Portfolio of Investments
Currency Abbreviations:
AUD – Australian Dollar
BRL – Brazilian Real
CAD – Canadian Dollar
CHF – Swiss Franc
CLP – Chilean Peso
CNY – Chinese Yuan Renminbi
COP – Colombian Peso
CZK – Czech Koruna
EUR – Euro
GBP – Great British Pound
HKD – Hong Kong Dollar
HUF – Hungarian Forint
IDR – Indonesian Rupiah
INR – Indian Rupee
JPY – Japanese Yen
KRW – South Korean Won
MXN – Mexican Peso
NOK – Norwegian Krone
NZD – New Zealand Dollar
PEN – Peruvian Sol
PHP – Philippine Peso
PLN – Polish Zloty
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 |
CBT | – Chicago Board of Trade |
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 |
TOPIX | – Tokyo Price Index |
ULSD | – Ultra-Low Sulfur Diesel |
WTI | – West Texas Intermediate |
See notes to consolidated financial statements.
150 | • AB POOLING PORTFOLIOS |
AB Multi-Asset Real Return Portfolio—Consolidated Portfolio of Investments
AB VOLATILITY MANAGEMENT PORTFOLIO
PORTFOLIO OF INVESTMENTS
February 28, 2017 (unaudited)
Company | Shares | U.S. $ Value | ||||||
| ||||||||
COMMON STOCKS – 61.2% | ||||||||
Financials – 9.7% | ||||||||
Banks – 5.1% | ||||||||
ABN AMRO Group NV (GDR)(a) | 2,615 | $ | 59,917 | |||||
Aozora Bank Ltd. | 10,000 | 37,507 | ||||||
Australia & New Zealand Banking Group Ltd. | 27,142 | 642,401 | ||||||
Banco Bilbao Vizcaya Argentaria SA | 60,996 | 397,387 | ||||||
Banco de Sabadell SA | 48,206 | 70,762 | ||||||
Banco Espirito Santo SA (REG)(b)(c)(d) | 54,936 | – 0 | – | |||||
Banco Popular Espanol SA(b) | 27,868 | 24,630 | ||||||
Banco Santander SA | 135,375 | 736,247 | ||||||
Bank Hapoalim BM | 9,810 | 60,470 | ||||||
Bank Leumi Le-Israel BM(b) | 13,315 | 58,379 | ||||||
Bank of America Corp. | 78,052 | 1,926,323 | ||||||
Bank of East Asia Ltd. (The)(e) | 11,000 | 45,445 | ||||||
Bank of Ireland(b) | 249,302 | 59,098 | ||||||
Bank of Kyoto Ltd. (The) | 2,000 | 16,293 | ||||||
Bank of Queensland Ltd. | 3,141 | 28,505 | ||||||
Bankia SA(e) | 38,469 | 37,922 | ||||||
Bankinter SA | 5,629 | 43,370 | ||||||
Barclays PLC | 155,612 | 437,376 | ||||||
BB&T Corp. | 6,200 | 298,964 | ||||||
Bendigo & Adelaide Bank Ltd.(e) | 3,814 | 35,700 | ||||||
BNP Paribas SA | 9,836 | 575,508 | ||||||
BOC Hong Kong Holdings Ltd. | 34,000 | 134,314 | ||||||
CaixaBank SA(b) | 30,558 | 106,488 | ||||||
Chiba Bank Ltd. (The) | 6,000 | 41,946 | ||||||
Chugoku Bank Ltd. (The) | 1,000 | 15,966 | ||||||
Citigroup, Inc. | 22,299 | 1,333,703 | ||||||
Citizens Financial Group, Inc. | 3,983 | 148,845 | ||||||
Comerica, Inc. | 1,300 | 92,664 | ||||||
Commerzbank AG | 9,647 | 73,539 | ||||||
Commonwealth Bank of Australia | 15,903 | 1,002,823 | ||||||
Concordia Financial Group Ltd. | 9,843 | 52,407 | ||||||
Credit Agricole SA | 10,419 | 126,031 | ||||||
Danske Bank A/S | 6,399 | 213,286 | ||||||
DBS Group Holdings Ltd. | 16,000 | 213,681 | ||||||
DNB ASA | 9,189 | 150,659 | ||||||
Erste Group Bank AG | 2,769 | 80,534 | ||||||
Fifth Third Bancorp | 5,800 | 159,152 | ||||||
Fukuoka Financial Group, Inc. | 7,000 | 32,669 | ||||||
Hachijuni Bank Ltd. (The) | 3,000 | 18,942 | ||||||
Hang Seng Bank Ltd. | 7,100 | 145,494 | ||||||
Hiroshima Bank Ltd. (The) | 4,000 | 18,900 | ||||||
HSBC Holdings PLC | 184,440 | 1,481,437 | ||||||
Huntington Bancshares, Inc./OH | 6,050 | 85,547 | ||||||
ING Groep NV | 36,047 | 496,605 |
AB POOLING PORTFOLIOS • | 151 |
AB Volatility Management Portfolio—Portfolio of Investments
Company | Shares | U.S. $ Value | ||||||
| ||||||||
Intesa Sanpaolo SpA | 117,640 | $ | 273,912 | |||||
Intesa Sanpaolo SpA – RSP | 7,786 | 17,307 | ||||||
Japan Post Bank Co., Ltd. | 3,793 | 47,525 | ||||||
JPMorgan Chase & Co. | 27,800 | 2,519,236 | ||||||
KBC Group NV | 2,357 | 144,244 | ||||||
KeyCorp | 6,400 | 120,128 | ||||||
Kyushu Financial Group, Inc. | 2,902 | 19,860 | ||||||
Lloyds Banking Group PLC | 591,187 | 503,994 | ||||||
M&T Bank Corp. | 1,200 | 200,364 | ||||||
Mebuki Financial Group, Inc. | 8,700 | 38,313 | ||||||
Mediobanca SpA | 4,727 | 37,886 | ||||||
Mitsubishi UFJ Financial Group, Inc. | 118,200 | 781,984 | ||||||
Mizrahi Tefahot Bank Ltd. | 1,162 | 19,399 | ||||||
Mizuho Financial Group, Inc.(e) | 223,600 | 417,266 | ||||||
National Australia Bank Ltd. | 24,635 | 604,248 | ||||||
Natixis SA | 7,836 | 42,782 | ||||||
Nordea Bank AB | 28,163 | 329,280 | ||||||
Oversea-Chinese Banking Corp., Ltd. | 29,000 | 195,585 | ||||||
People’s United Financial, Inc. | 2,350 | 45,120 | ||||||
PNC Financial Services Group, Inc. (The) | 3,800 | 483,474 | ||||||
Raiffeisen Bank International AG(b) | 978 | 21,690 | ||||||
Regions Financial Corp. | 9,600 | 146,592 | ||||||
Resona Holdings, Inc. | 20,400 | 113,930 | ||||||
Royal Bank of Scotland Group PLC(b) | 31,606 | 93,022 | ||||||
Seven Bank Ltd.(e) | 5,523 | 17,155 | ||||||
Shinsei Bank Ltd. | 16,000 | 29,191 | ||||||
Shizuoka Bank Ltd. (The) | 4,000 | 35,127 | ||||||
Skandinaviska Enskilda Banken AB – Class A | 13,766 | 157,296 | ||||||
Societe Generale SA | 7,195 | 319,800 | ||||||
Standard Chartered PLC(b) | 30,441 | 272,861 | ||||||
Sumitomo Mitsui Financial Group, Inc. | 12,500 | 486,965 | ||||||
Sumitomo Mitsui Trust Holdings, Inc. | 3,000 | 107,656 | ||||||
SunTrust Banks, Inc. | 3,800 | 226,062 | ||||||
Suruga Bank Ltd. | 2,152 | 47,736 | ||||||
Svenska Handelsbanken AB – Class A | 13,946 | 193,635 | ||||||
Swedbank AB – Class A | 8,424 | 207,563 | ||||||
UniCredit SpA(e) | 17,377 | 233,081 | ||||||
United Overseas Bank Ltd. | 12,000 | 183,870 | ||||||
US Bancorp | 12,300 | 676,500 | ||||||
Wells Fargo & Co. | 35,100 | 2,031,588 | ||||||
Westpac Banking Corp. | 31,026 | 801,266 | ||||||
Yamaguchi Financial Group, Inc. | 1,000 | 11,539 | ||||||
Zions Bancorporation | 1,550 | 69,595 | ||||||
|
| |||||||
25,143,463 | ||||||||
|
| |||||||
Capital Markets – 1.4% | ||||||||
3i Group PLC | 8,814 | 75,313 | ||||||
Aberdeen Asset Management PLC | 7,703 | 26,454 |
152 | • AB POOLING PORTFOLIOS |
AB Volatility Management Portfolio—Portfolio of Investments
Company | Shares | U.S. $ Value | ||||||
| ||||||||
Affiliated Managers Group, Inc. | 437 | $ | 73,385 | |||||
Ameriprise Financial, Inc. | 1,250 | 164,375 | ||||||
ASX Ltd. | 1,766 | 69,299 | ||||||
Bank of New York Mellon Corp. (The) | 8,150 | 384,191 | ||||||
BlackRock, Inc. – Class A | 990 | 383,585 | ||||||
CBOE Holdings, Inc. | 716 | 55,884 | ||||||
Charles Schwab Corp. (The) | 9,100 | 367,731 | ||||||
CME Group, Inc. – Class A | 2,550 | 309,723 | ||||||
Credit Suisse Group AG (REG)(b) | 18,409 | 277,738 | ||||||
Daiwa Securities Group, Inc. | 15,000 | 95,090 | ||||||
Deutsche Bank AG (REG)(b) | 12,812 | 252,443 | ||||||
Deutsche Boerse AG | 1,612 | 136,823 | ||||||
E*TRADE Financial Corp.(b) | 2,100 | 72,471 | ||||||
Franklin Resources, Inc. | 2,800 | 120,512 | ||||||
Goldman Sachs Group, Inc. (The) | 2,950 | 731,777 | ||||||
Hargreaves Lansdown PLC | 2,435 | 40,310 | ||||||
Hong Kong Exchanges & Clearing Ltd.(e) | 10,700 | 265,611 | ||||||
Intercontinental Exchange, Inc. | 4,725 | 269,939 | ||||||
Invesco Ltd. | 3,150 | 101,398 | ||||||
Investec PLC | 6,086 | 43,644 | ||||||
Japan Exchange Group, Inc. | 4,769 | 65,890 | ||||||
Julius Baer Group Ltd.(b) | 2,145 | 104,907 | ||||||
London Stock Exchange Group PLC | 2,980 | 113,812 | ||||||
Macquarie Group Ltd. | 2,857 | 189,451 | ||||||
Moody’s Corp. | 1,300 | 144,781 | ||||||
Morgan Stanley | 11,450 | 522,921 | ||||||
Nasdaq, Inc. | 850 | 60,444 | ||||||
Nomura Holdings, Inc. | 33,600 | 217,144 | ||||||
Northern Trust Corp. | 1,600 | 139,760 | ||||||
Partners Group Holding AG | 169 | 88,406 | ||||||
S&P Global, Inc. | 2,000 | 258,940 | ||||||
SBI Holdings, Inc./Japan | 1,978 | 27,674 | ||||||
Schroders PLC | 1,265 | 48,204 | ||||||
Singapore Exchange Ltd. | 7,000 | 37,430 | ||||||
State Street Corp. | 3,000 | 239,130 | ||||||
T. Rowe Price Group, Inc. | 1,900 | 135,299 | ||||||
UBS Group AG | 33,975 | 523,753 | ||||||
|
| |||||||
7,235,642 | ||||||||
|
| |||||||
Consumer Finance – 0.3% | ||||||||
Acom Co., Ltd.(b) | 3,700 | 15,470 | ||||||
AEON Financial Service Co., Ltd. | 1,000 | 19,352 | ||||||
American Express Co. | 6,150 | 492,369 | ||||||
Capital One Financial Corp. | 3,885 | 364,646 | ||||||
Credit Saison Co., Ltd. | 1,400 | 26,596 | ||||||
Discover Financial Services | 3,100 | 220,534 | ||||||
Navient Corp. | 2,500 | 38,525 |
AB POOLING PORTFOLIOS • | 153 |
AB Volatility Management Portfolio—Portfolio of Investments
Company | Shares | U.S. $ Value | ||||||
| ||||||||
Provident Financial PLC | 1,353 | $ | 48,993 | |||||
Synchrony Financial | 6,306 | 228,530 | ||||||
|
| |||||||
1,455,015 | ||||||||
|
| |||||||
Diversified Financial Services – 0.7% | ||||||||
AMP Ltd. | 26,804 | 100,190 | ||||||
Berkshire Hathaway, Inc. – Class B(b) | 14,235 | 2,440,164 | ||||||
Challenger Ltd./Australia | 4,764 | 41,740 | ||||||
Eurazeo SA | 418 | 25,813 | ||||||
EXOR NV | 1,060 | 50,202 | ||||||
First Pacific Co., Ltd./Hong Kong | 17,800 | 13,035 | ||||||
Groupe Bruxelles Lambert SA | 791 | 67,029 | ||||||
Industrivarden AB – Class C | 1,642 | 32,462 | ||||||
Investor AB – Class B | 4,269 | 169,054 | ||||||
Kinnevik AB | 2,174 | 58,687 | ||||||
L E Lundbergforetagen AB – Class B | 353 | 22,867 | ||||||
Leucadia National Corp. | 2,500 | 66,550 | ||||||
Mitsubishi UFJ Lease & Finance Co., Ltd. | 4,150 | 22,944 | ||||||
ORIX Corp. | 12,280 | 191,078 | ||||||
Pargesa Holding SA | 366 | 24,126 | ||||||
Wendel SA | 287 | 31,763 | ||||||
|
| |||||||
3,357,704 | ||||||||
|
| |||||||
Insurance – 2.2% | ||||||||
Admiral Group PLC | 1,937 | 43,933 | ||||||
Aegon NV | 16,539 | 87,756 | ||||||
Aflac, Inc. | 3,150 | 227,903 | ||||||
Ageas | 1,826 | 69,419 | ||||||
AIA Group Ltd. | 111,700 | 705,044 | ||||||
Allianz SE (REG) | 4,238 | 738,121 | ||||||
Allstate Corp. (The) | 2,850 | 234,156 | ||||||
American International Group, Inc. | 7,872 | 503,178 | ||||||
Aon PLC | 2,000 | 231,300 | ||||||
Arthur J Gallagher & Co. | 1,335 | 76,028 | ||||||
Assicurazioni Generali SpA | 10,582 | 151,362 | ||||||
Assurant, Inc. | 450 | 44,550 | ||||||
Aviva PLC | 37,627 | 232,267 | ||||||
AXA SA | 18,089 | 427,226 | ||||||
Baloise Holding AG (REG) | 461 | 59,998 | ||||||
Chubb Ltd. | 3,519 | 486,220 | ||||||
Cincinnati Financial Corp. | 1,100 | 80,256 | ||||||
CNP Assurances | 1,718 | 31,836 | ||||||
Dai-ichi Life Holdings, Inc. | 10,074 | 189,429 | ||||||
Direct Line Insurance Group PLC | 12,461 | 53,110 | ||||||
Gjensidige Forsikring ASA | 1,955 | 30,567 | ||||||
Hannover Rueck SE (REG) | 598 | 67,464 | ||||||
Hartford Financial Services Group, Inc. (The) | 2,950 | 144,226 | ||||||
Insurance Australia Group Ltd. | 22,034 | 101,299 | ||||||
Japan Post Holdings Co., Ltd. | 4,162 | 53,384 |
154 | • AB POOLING PORTFOLIOS |
AB Volatility Management Portfolio—Portfolio of Investments
Company | Shares | U.S. $ Value | ||||||
| ||||||||
Legal & General Group PLC | 53,912 | $ | 166,179 | |||||
Lincoln National Corp. | 1,800 | 126,288 | ||||||
Loews Corp. | 2,000 | 93,960 | ||||||
Mapfre SA | 9,000 | 27,810 | ||||||
Marsh & McLennan Cos., Inc. | 3,950 | 290,246 | ||||||
Medibank Pvt Ltd. | 22,997 | 49,683 | ||||||
MetLife, Inc. | 8,350 | 437,874 | ||||||
MS&AD Insurance Group Holdings, Inc. | 4,700 | 159,174 | ||||||
Muenchener Rueckversicherungs-Gesellschaft AG in Muenchen (REG) | 1,511 | 285,423 | ||||||
NN Group NV | 3,028 | 94,227 | ||||||
Old Mutual PLC | 44,666 | 120,904 | ||||||
Poste Italiane SpA(a) | 4,362 | 28,019 | ||||||
Principal Financial Group, Inc. | 2,000 | 125,080 | ||||||
Progressive Corp. (The) | 4,400 | 172,392 | ||||||
Prudential Financial, Inc. | 3,350 | 370,309 | ||||||
Prudential PLC | 23,931 | 478,262 | ||||||
QBE Insurance Group Ltd. | 12,427 | 117,220 | ||||||
RSA Insurance Group PLC | 9,217 | 68,554 | ||||||
Sampo Oyj – Class A | 4,165 | 189,594 | ||||||
SCOR SE | 1,521 | 54,986 | ||||||
Sompo Holdings, Inc. | 3,066 | 114,613 | ||||||
Sony Financial Holdings, Inc. | 1,613 | 28,342 | ||||||
St James’s Place PLC | 4,765 | 62,440 | ||||||
Standard Life PLC | 17,853 | 81,823 | ||||||
Suncorp Group Ltd. | 11,660 | 118,464 | ||||||
Swiss Life Holding AG(b) | 311 | 97,834 | ||||||
Swiss Re AG | 3,005 | 268,784 | ||||||
T&D Holdings, Inc. | 5,350 | 82,046 | ||||||
Tokio Marine Holdings, Inc. | 6,311 | 276,567 | ||||||
Torchmark Corp. | 825 | 63,962 | ||||||
Travelers Cos., Inc. (The) | 2,250 | 275,040 | ||||||
Tryg A/S | 967 | 17,967 | ||||||
UnipolSai SpA | 9,451 | 20,056 | ||||||
Unum Group | 1,800 | 87,894 | ||||||
Willis Towers Watson PLC | 1,076 | 138,191 | ||||||
XL Group Ltd. | 2,150 | 87,054 | ||||||
Zurich Insurance Group AG | 1,405 | 387,742 | ||||||
|
| |||||||
10,735,035 | ||||||||
|
| |||||||
47,926,859 | ||||||||
|
| |||||||
Information Technology – 8.1% | ||||||||
Communications Equipment – 0.4% | ||||||||
Cisco Systems, Inc. | 38,190 | 1,305,334 | ||||||
F5 Networks, Inc.(b) | 490 | 70,202 | ||||||
Harris Corp. | 940 | 103,306 | ||||||
Juniper Networks, Inc. | 2,680 | 75,040 | ||||||
Motorola Solutions, Inc. | 1,190 | 93,974 |
AB POOLING PORTFOLIOS • | 155 |
AB Volatility Management Portfolio—Portfolio of Investments
Company | Shares | U.S. $ Value | ||||||
| ||||||||
Nokia Oyj | 53,703 | $ | 274,957 | |||||
Telefonaktiebolaget LM Ericsson – Class B | 27,580 | 178,949 | ||||||
|
| |||||||
2,101,762 | ||||||||
|
| |||||||
Electronic Equipment, Instruments & Components – 0.5% | ||||||||
Alps Electric Co., Ltd. | 1,806 | 53,612 | ||||||
Amphenol Corp. – Class A | 2,320 | 160,567 | ||||||
Corning, Inc. | 8,130 | 224,469 | ||||||
FLIR Systems, Inc. | 1,010 | 37,077 | ||||||
Hamamatsu Photonics KK | 1,300 | 38,294 | ||||||
Hexagon AB – Class B | 2,462 | 99,267 | ||||||
Hirose Electric Co., Ltd. | 300 | 40,253 | ||||||
Hitachi High-Technologies Corp. | 700 | 29,158 | ||||||
Hitachi Ltd.(e) | 44,000 | 242,212 | ||||||
Ingenico Group SA | 571 | 51,250 | ||||||
Keyence Corp. | 1,000 | 386,682 | ||||||
Kyocera Corp. | 3,000 | 164,944 | ||||||
Murata Manufacturing Co., Ltd. | 1,800 | 258,544 | ||||||
Nippon Electric Glass Co., Ltd. | 3,000 | 18,637 | ||||||
Omron Corp. | 1,800 | 77,285 | ||||||
Shimadzu Corp. | 2,000 | 32,584 | ||||||
TDK Corp. | 1,200 | 81,576 | ||||||
TE Connectivity Ltd. | 2,700 | 201,069 | ||||||
Yaskawa Electric Corp. | 2,000 | 37,454 | ||||||
Yokogawa Electric Corp. | 2,100 | 32,698 | ||||||
|
| |||||||
2,267,632 | ||||||||
|
| |||||||
Internet Software & Services – 1.4% | ||||||||
Akamai Technologies, Inc.(b) | 1,310 | 82,006 | ||||||
Alphabet, Inc. – Class A(b) | 2,269 | 1,917,146 | ||||||
Alphabet, Inc. – Class C(b) | 2,273 | 1,871,156 | ||||||
DeNA Co., Ltd. | 979 | 22,040 | ||||||
eBay, Inc.(b) | 8,030 | 272,217 | ||||||
Facebook, Inc. – Class A(b) | 17,572 | 2,381,709 | ||||||
Kakaku.com, Inc. | 1,315 | 19,006 | ||||||
Mixi, Inc. | 510 | 22,136 | ||||||
United Internet AG | 1,142 | 47,008 | ||||||
VeriSign, Inc.(b) | 740 | 61,028 | ||||||
Yahoo Japan Corp. | 13,201 | 61,287 | ||||||
Yahoo!, Inc.(b) | 6,600 | 301,356 | ||||||
|
| |||||||
7,058,095 | ||||||||
|
| |||||||
IT Services – 1.3% | ||||||||
Accenture PLC – Class A | 4,770 | 584,325 | ||||||
Alliance Data Systems Corp. | 460 | 111,771 | ||||||
Amadeus IT Group SA – Class A | 4,084 | 189,664 | ||||||
Atos SE | 848 | 100,314 | ||||||
Automatic Data Processing, Inc. | 3,450 | 354,039 |
156 | • AB POOLING PORTFOLIOS |
AB Volatility Management Portfolio—Portfolio of Investments
Company | Shares | U.S. $ Value | ||||||
| ||||||||
Capgemini SA | 1,534 | $ | 131,390 | |||||
Cognizant Technology Solutions Corp. – Class A(b) | 4,570 | 270,864 | ||||||
Computershare Ltd. | 3,893 | 40,306 | ||||||
CSRA, Inc. | 1,030 | 30,715 | ||||||
Fidelity National Information Services, Inc. | 2,090 | 171,944 | ||||||
Fiserv, Inc.(b) | 1,700 | 196,180 | ||||||
Fujitsu Ltd. | 17,000 | 98,733 | ||||||
Global Payments, Inc. | 1,140 | 90,847 | ||||||
International Business Machines Corp. | 6,719 | 1,208,210 | ||||||
Mastercard, Inc. – Class A | 7,400 | 817,404 | ||||||
Nomura Research Institute Ltd. | 1,200 | 41,460 | ||||||
NTT Data Corp. | 1,171 | 55,280 | ||||||
Obic Co., Ltd. | 600 | 27,948 | ||||||
Otsuka Corp. | 500 | 25,431 | ||||||
Paychex, Inc. | 2,420 | 148,636 | ||||||
PayPal Holdings, Inc.(b) | 8,380 | 351,960 | ||||||
Teradata Corp.(b) | 970 | 30,167 | ||||||
Total System Services, Inc. | 1,280 | 69,734 | ||||||
Visa, Inc. – Class A | 14,480 | 1,273,371 | ||||||
Western Union Co. (The) – Class W(e) | 3,720 | 73,061 | ||||||
Worldpay Group PLC(a) | 16,689 | 56,192 | ||||||
|
| |||||||
6,549,946 | ||||||||
|
| |||||||
Semiconductors & Semiconductor Equipment – 1.3% | ||||||||
Analog Devices, Inc. | 2,300 | 188,439 | ||||||
Applied Materials, Inc. | 8,250 | 298,815 | ||||||
ASM Pacific Technology Ltd. | 2,200 | 27,367 | ||||||
ASML Holding NV | 3,440 | 418,168 | ||||||
Broadcom Ltd. | 2,821 | 595,034 | ||||||
Infineon Technologies AG | 10,556 | 187,641 | ||||||
Intel Corp. | 35,850 | 1,297,770 | ||||||
KLA-Tencor Corp. | 1,200 | 108,144 | ||||||
Lam Research Corp. | 1,188 | 140,826 | ||||||
Linear Technology Corp. | 1,800 | 116,244 | ||||||
Microchip Technology, Inc. | 1,600 | 116,032 | ||||||
Micron Technology, Inc.(b) | 7,850 | 184,004 | ||||||
NVIDIA Corp. | 3,850 | 390,698 | ||||||
NXP Semiconductors NV(b) | 2,723 | 279,952 | ||||||
Qorvo, Inc.(b) | 955 | 63,125 | ||||||
QUALCOMM, Inc. | 11,160 | 630,317 | ||||||
Rohm Co., Ltd. | 900 | 58,132 | ||||||
Skyworks Solutions, Inc. | 1,445 | 137,000 | ||||||
STMicroelectronics NV | 5,909 | 90,118 | ||||||
Texas Instruments, Inc. | 7,600 | 582,312 | ||||||
Tokyo Electron Ltd. | 1,500 | 149,647 | ||||||
Xilinx, Inc. | 1,900 | 111,758 | ||||||
|
| |||||||
6,171,543 | ||||||||
|
|
AB POOLING PORTFOLIOS • | 157 |
AB Volatility Management Portfolio—Portfolio of Investments
Company | Shares | U.S. $ Value | ||||||
| ||||||||
Software – 1.7% | ||||||||
Activision Blizzard, Inc. | 5,279 | $ | 238,241 | |||||
Adobe Systems, Inc.(b) | 3,820 | 452,059 | ||||||
Autodesk, Inc.(b) | 1,680 | 144,984 | ||||||
CA, Inc. | 2,220 | 71,639 | ||||||
Check Point Software Technologies Ltd.(b) | 1,189 | 117,604 | ||||||
Citrix Systems, Inc.(b)(e) | 1,170 | 92,372 | ||||||
Dassault Systemes SE | 1,223 | 98,801 | ||||||
Electronic Arts, Inc.(b) | 2,300 | 198,950 | ||||||
Gemalto NV | 753 | 45,350 | ||||||
Intuit, Inc. | 1,960 | 245,862 | ||||||
Konami Holdings Corp. | 900 | 37,980 | ||||||
LINE Corp.(b)(e) | 403 | 13,857 | ||||||
Microsoft Corp. | 59,720 | 3,820,886 | ||||||
Mobileye NV(b) | 1,692 | 77,020 | ||||||
Nexon Co., Ltd. | 1,450 | 24,100 | ||||||
Nice Ltd. | 587 | 40,716 | ||||||
Nintendo Co., Ltd. | 1,100 | 229,763 | ||||||
Oracle Corp. | 23,630 | 1,006,402 | ||||||
Oracle Corp. Japan | 400 | 23,317 | ||||||
Red Hat, Inc.(b) | 1,370 | 113,450 | ||||||
Sage Group PLC (The) | 9,781 | 78,387 | ||||||
salesforce.com, Inc.(b) | 4,840 | 393,734 | ||||||
SAP SE | 9,113 | 848,897 | ||||||
Symantec Corp. | 4,620 | 131,993 | ||||||
Trend Micro, Inc./Japan | 1,100 | 48,193 | ||||||
|
| |||||||
8,594,557 | ||||||||
|
| |||||||
Technology Hardware, Storage & Peripherals – 1.5% | ||||||||
Apple, Inc. | 41,627 | 5,702,483 | ||||||
Brother Industries Ltd. | 2,200 | 41,433 | ||||||
Canon, Inc. | 9,900 | 288,739 | ||||||
FUJIFILM Holdings Corp. | 4,100 | 158,598 | ||||||
Hewlett Packard Enterprise Co. | 12,630 | 288,216 | ||||||
HP, Inc. | 12,980 | 225,463 | ||||||
Konica Minolta, Inc. | 4,000 | 38,581 | ||||||
NEC Corp. | 24,000 | 59,818 | ||||||
NetApp, Inc. | 2,150 | 89,934 | ||||||
Ricoh Co., Ltd. | 6,000 | 52,340 | ||||||
Seagate Technology PLC | 2,250 | 108,427 | ||||||
Seiko Epson Corp. | 2,600 | 58,154 | ||||||
Western Digital Corp. | 2,120 | 162,986 | ||||||
Xerox Corp. | 7,210 | 53,642 | ||||||
|
| |||||||
7,328,814 | ||||||||
|
| |||||||
40,072,349 | ||||||||
|
|
158 | • AB POOLING PORTFOLIOS |
AB Volatility Management Portfolio—Portfolio of Investments
Company | Shares | U.S. $ Value | ||||||
| ||||||||
Real Estate – 7.8% | ||||||||
Diversified Real Estate Activities – 0.8% | ||||||||
Allreal Holding AG (REG)(b) | 200 | $ | 31,241 | |||||
CapitaLand Ltd. | 77,450 | 200,873 | ||||||
City Developments Ltd. | 16,000 | 108,001 | ||||||
D Carnegie & Co. AB(b) | 950 | 11,524 | ||||||
DIC Asset AG | 880 | 8,839 | ||||||
Hang Lung Properties Ltd. | 62,900 | 158,751 | ||||||
Henderson Land Development Co., Ltd. | 34,092 | 197,987 | ||||||
Kerry Properties Ltd. | 18,550 | 56,846 | ||||||
Mitsubishi Estate Co., Ltd. | 36,440 | 710,438 | ||||||
Mitsui Fudosan Co., Ltd. | 28,040 | 634,457 | ||||||
Mobimo Holding AG (REG)(b) | 126 | 33,465 | ||||||
New World Development Co., Ltd. | 164,200 | 214,926 | ||||||
Nomura Real Estate Holdings, Inc. | 3,730 | 63,271 | ||||||
Sumitomo Realty & Development Co., Ltd. | 11,990 | 330,897 | ||||||
Sun Hung Kai Properties Ltd. | 43,150 | 630,425 | ||||||
Tokyo Tatemono Co., Ltd. | 6,100 | 86,108 | ||||||
UOL Group Ltd. | 14,350 | 67,413 | ||||||
Wharf Holdings Ltd. (The) | 37,650 | 298,279 | ||||||
|
| |||||||
3,843,741 | ||||||||
|
| |||||||
Diversified REITs – 0.8% | ||||||||
Activia Properties, Inc. | 12 | 59,282 | ||||||
Affine SA | 130 | 2,132 | ||||||
American Assets Trust, Inc. | 830 | 36,520 | ||||||
ANF Immobilier | 152 | 3,349 | ||||||
Artis Real Estate Investment Trust | 3,180 | 31,101 | ||||||
Canadian Real Estate Investment Trust | 1,600 | 59,991 | ||||||
Cofinimmo SA | 450 | 49,934 | ||||||
Cominar Real Estate Investment Trust | 3,855 | 43,043 | ||||||
Daiwa House REIT Investment Corp.(e) | 42 | 109,219 | ||||||
Dream Global Real Estate Investment Trust | 2,630 | 19,544 | ||||||
Empire State Realty Trust, Inc. – Class A | 2,589 | 56,466 | ||||||
First Potomac Realty Trust | 1,230 | 12,288 | ||||||
Fonciere Des Regions | 1,113 | 91,648 | ||||||
Forest City Realty Trust, Inc. – Class A | 5,040 | 115,164 | ||||||
Gecina SA(e) | 1,279 | 162,727 | ||||||
GPT Group (The) | 54,800 | 206,987 | ||||||
Gramercy Property Trust | 2,984 | 83,433 | ||||||
H&R Real Estate Investment Trust | 6,086 | 108,139 | ||||||
Hamborner REIT AG(e) | 1,600 | 15,872 | ||||||
Hibernia REIT PLC | 14,640 | 18,767 | ||||||
Hispania Activos Inmobiliarios SOCIMI SA | 1,900 | 24,687 | ||||||
Hulic Reit, Inc.(e) | 18 | 29,785 | ||||||
ICADE | 1,129 | 80,508 | ||||||
Investors Real Estate Trust | 2,557 | 16,620 | ||||||
Kenedix Office Investment Corp. – Class A | 8 | 47,568 |
AB POOLING PORTFOLIOS • | 159 |
AB Volatility Management Portfolio—Portfolio of Investments
Company | Shares | U.S. $ Value | ||||||
| ||||||||
Land Securities Group PLC | 24,074 | $ | 318,376 | |||||
Lar Espana Real Estate Socimi SA | 1,850 | 14,405 | ||||||
Lexington Realty Trust | 5,060 | 56,470 | ||||||
Liberty Property Trust | 3,160 | 124,630 | ||||||
LondonMetric Property PLC | 12,498 | 24,038 | ||||||
Merlin Properties Socimi SA(e) | 6,981 | 79,107 | ||||||
Mirvac Group | 113,466 | 186,867 | ||||||
Nomura Real Estate Master Fund, Inc.(e) | 123 | 184,348 | ||||||
NSI NV | 2,942 | 11,890 | ||||||
Premier Investment Corp. | 27 | 30,978 | ||||||
PS Business Parks, Inc. | 440 | 51,132 | ||||||
Redefine International PLC/Isle of Man | 25,750 | 11,864 | ||||||
Sekisui House Reit, Inc. | 50 | 68,033 | ||||||
Sekisui House SI Residential Investment Corp. | 21 | 23,570 | ||||||
Select Income REIT | 1,435 | 37,310 | ||||||
Spirit Realty Capital, Inc. | 9,836 | 108,098 | ||||||
Stockland | 72,975 | 263,946 | ||||||
STORE Capital Corp. | 3,301 | 82,228 | ||||||
Suntec Real Estate Investment Trust | 73,500 | 90,672 | ||||||
Tokyu REIT, Inc. | 19 | 24,073 | ||||||
United Urban Investment Corp. | 84 | 130,530 | ||||||
VEREIT, Inc. | 20,670 | 187,477 | ||||||
Washington Real Estate Investment Trust | 1,564 | 51,158 | ||||||
WP Carey, Inc. | 1,939 | 122,331 | ||||||
|
| |||||||
3,768,305 | ||||||||
|
| |||||||
Equity Real Estate Investment Trusts (REITs) – 0.3% | ||||||||
American Tower Corp. | 3,220 | 369,624 | ||||||
Crown Castle International Corp. | 2,580 | 241,307 | ||||||
Equinix, Inc. | 524 | 197,061 | ||||||
Iron Mountain, Inc. | 1,780 | 64,703 | ||||||
Vornado Realty Trust | 4,990 | 548,251 | ||||||
Weyerhaeuser Co. | 5,660 | 190,855 | ||||||
|
| |||||||
1,611,801 | ||||||||
|
| |||||||
Health Care REITs – 0.5% | ||||||||
Aedifica SA | 247 | 18,861 | ||||||
Assura PLC | 35,410 | 25,704 | ||||||
Care Capital Properties, Inc. | 1,746 | 45,902 | ||||||
CareTrust REIT, Inc. | 1,300 | 20,514 | ||||||
HCP, Inc. | 13,510 | 442,993 | ||||||
Healthcare Realty Trust, Inc. | 2,470 | 78,941 | ||||||
Healthcare Trust of America, Inc. – Class A | 2,995 | 96,349 | ||||||
LTC Properties, Inc. | 860 | 41,487 | ||||||
Medical Properties Trust, Inc. | 6,847 | 91,887 | ||||||
National Health Investors, Inc. | 814 | 61,636 | ||||||
New Senior Investment Group, Inc. | 1,690 | 17,914 | ||||||
Omega Healthcare Investors, Inc. | 3,678 | 120,050 |
160 | • AB POOLING PORTFOLIOS |
AB Volatility Management Portfolio—Portfolio of Investments
Company | Shares | U.S. $ Value | ||||||
| ||||||||
Physicians Realty Trust | 2,853 | $ | 56,832 | |||||
Primary Health Properties PLC | 12,240 | 16,669 | ||||||
Quality Care Properties, Inc.(b) | 1,984 | 37,656 | ||||||
Sabra Health Care REIT, Inc. | 1,380 | 37,536 | ||||||
Senior Housing Properties Trust | 5,090 | 104,345 | ||||||
Target Healthcare REIT Ltd. | 5,080 | 7,123 | ||||||
Universal Health Realty Income Trust | 279 | 17,906 | ||||||
Ventas, Inc. | 10,197 | 663,315 | ||||||
Welltower, Inc. | 10,470 | 736,879 | ||||||
|
| |||||||
2,740,499 | ||||||||
|
| |||||||
Hotel & Resort REITs – 0.2% | ||||||||
Apple Hospitality REIT, Inc. | 4,530 | 88,969 | ||||||
Ashford Hospitality Trust, Inc. | 1,940 | 12,746 | ||||||
CDL Hospitality Trusts | 13,658 | 13,791 | ||||||
Chatham Lodging Trust | 780 | 15,623 | ||||||
Chesapeake Lodging Trust | 1,264 | 30,538 | ||||||
DiamondRock Hospitality Co. | 4,300 | 46,741 | ||||||
FelCor Lodging Trust, Inc. | 2,970 | 21,533 | ||||||
Hersha Hospitality Trust | 755 | 14,730 | ||||||
Hospitality Properties Trust | 3,490 | 110,912 | ||||||
Host Hotels & Resorts, Inc. | 21,710 | 390,563 | ||||||
Japan Hotel REIT Investment Corp. | 71 | 50,939 | ||||||
LaSalle Hotel Properties | 2,400 | 69,360 | ||||||
Pebblebrook Hotel Trust | 1,530 | 43,987 | ||||||
RLJ Lodging Trust | 2,630 | 59,859 | ||||||
Ryman Hospitality Properties, Inc. | 1,030 | 66,404 | ||||||
Summit Hotel Properties, Inc. | 1,780 | 27,394 | ||||||
Sunstone Hotel Investors, Inc. | 4,633 | 68,337 | ||||||
Xenia Hotels & Resorts, Inc. | 2,280 | 40,060 | ||||||
|
| |||||||
1,172,486 | ||||||||
|
| |||||||
Industrial REITs – 0.5% | ||||||||
Ascendas Real Estate Investment Trust | 71,350 | 127,191 | ||||||
DCT Industrial Trust, Inc. | 1,940 | 92,810 | ||||||
Duke Realty Corp. | 7,588 | 194,556 | ||||||
EastGroup Properties, Inc. | 733 | 54,491 | ||||||
First Industrial Realty Trust, Inc. | 2,460 | 66,174 | ||||||
GLP J-Reit | 47 | 53,716 | ||||||
Goodman Group | 54,279 | 313,957 | ||||||
Granite Real Estate Investment Trust (Toronto) | 1,000 | 34,633 | ||||||
Hansteen Holdings PLC | 15,953 | 23,220 | ||||||
Industrial & Infrastructure Fund Investment Corp. | 7 | 32,711 | ||||||
Japan Logistics Fund, Inc. | 18 | 38,833 | ||||||
Mapletree Industrial Trust | 27,012 | 32,093 | ||||||
Mapletree Logistics Trust | 31,585 | 24,222 | ||||||
Monmouth Real Estate Investment Corp. – Class A | 1,350 | 19,710 |
AB POOLING PORTFOLIOS • | 161 |
AB Volatility Management Portfolio—Portfolio of Investments
Company | Shares | U.S. $ Value | ||||||
| ||||||||
Nippon Prologis REIT, Inc. | 49 | $ | 105,271 | |||||
Prologis, Inc. | 15,235 | 777,746 | ||||||
Pure Industrial Real Estate Trust | 5,210 | 23,457 | ||||||
Rexford Industrial Realty, Inc. | 1,350 | 31,023 | ||||||
Segro PLC | 25,447 | 155,852 | ||||||
STAG Industrial, Inc. | 1,585 | 40,941 | ||||||
Terreno Realty Corp. | 950 | 26,315 | ||||||
Tritax Big Box REIT PLC | 23,677 | 42,865 | ||||||
Warehouses De Pauw CVA | 349 | 32,444 | ||||||
|
| |||||||
2,344,231 | ||||||||
|
| |||||||
Office REITs – 0.8% |
| |||||||
Alexandria Real Estate Equities, Inc. | 1,916 | 228,598 | ||||||
Allied Properties Real Estate Investment Trust | 1,817 | 47,908 | ||||||
alstria office REIT-AG(b)(e) | 2,800 | 33,898 | ||||||
Axiare Patrimonio SOCIMI SA(e) | 1,260 | 18,267 | ||||||
Befimmo SA | 420 | 23,191 | ||||||
Beni Stabili SpA SIIQ | 22,857 | 14,287 | ||||||
Boston Properties, Inc. | 4,450 | 618,683 | ||||||
Brandywine Realty Trust | 3,751 | 62,492 | ||||||
CapitaLand Commercial Trust | 61,050 | 67,901 | ||||||
Champion REIT | 50,650 | 29,093 | ||||||
Columbia Property Trust, Inc. | 2,600 | 60,034 | ||||||
Corporate Office Properties Trust | 2,030 | 69,203 | ||||||
Cousins Properties, Inc. | 7,300 | 62,415 | ||||||
Cromwell Property Group | 31,586 | 23,846 | ||||||
Daiwa Office Investment Corp. | 6 | 31,789 | ||||||
Derwent London PLC | 2,140 | 74,904 | ||||||
Dexus Property Group | 29,723 | 215,021 | ||||||
Douglas Emmett, Inc. | 2,990 | 120,617 | ||||||
Dream Office Real Estate Investment Trust | 2,330 | 32,857 | ||||||
Equity Commonwealth(b) | 2,704 | 84,527 | ||||||
Franklin Street Properties Corp. | 2,120 | 26,267 | ||||||
Government Properties Income Trust(e) | 1,508 | 31,080 | ||||||
Great Portland Estates PLC | 7,391 | 59,444 | ||||||
Green REIT PLC | 14,640 | 20,938 | ||||||
Highwoods Properties, Inc. | 2,160 | 113,378 | ||||||
Hudson Pacific Properties, Inc. | 3,129 | 114,459 | ||||||
Intervest Offices & Warehouses NV | 280 | 7,000 | ||||||
Investa Office Fund | 12,110 | 43,357 | ||||||
Japan Excellent, Inc. | 25 | 32,432 | ||||||
Japan Prime Realty Investment Corp. | 26 | 103,278 | ||||||
Japan Real Estate Investment Corp. | 40 | 220,467 | ||||||
Keppel REIT | 40,870 | 30,171 | ||||||
Kilroy Realty Corp. | 1,984 | 153,066 | ||||||
Mack-Cali Realty Corp. | 1,907 | 55,589 | ||||||
Mori Hills REIT Investment Corp.(e) | 31 | 42,577 | ||||||
Mori Trust Sogo Reit, Inc. | 22 | 36,065 |
162 | • AB POOLING PORTFOLIOS |
AB Volatility Management Portfolio—Portfolio of Investments
Company | Shares | U.S. $ Value | ||||||
| ||||||||
Nippon Building Fund, Inc. | 42 | $ | 234,963 | |||||
Orix JREIT, Inc.(e) | 52 | 81,834 | ||||||
Paramount Group, Inc. | 3,171 | 55,270 | ||||||
Parkway, Inc.(b) | 900 | 18,882 | ||||||
Piedmont Office Realty Trust, Inc. – Class A | 3,100 | 71,114 | ||||||
Regional REIT Ltd.(a) | 4,800 | 6,254 | ||||||
SL Green Realty Corp. | 2,980 | 335,787 | ||||||
Tier REIT, Inc. | 1,000 | 18,080 | ||||||
Workspace Group PLC | 2,547 | 25,094 | ||||||
|
| |||||||
3,856,377 | ||||||||
|
| |||||||
Real Estate Development – 0.2% |
| |||||||
ADLER Real Estate AG(b)(e) | 550 | 8,850 | ||||||
Cheung Kong Property Holdings Ltd. | 84,844 | 576,880 | ||||||
Conwert Immobilien Invest SE(b) | 625 | 10,859 | ||||||
Helical PLC | 2,100 | 8,397 | ||||||
Sino Land Co., Ltd. | 92,810 | 161,539 | ||||||
TAG Immobilien AG | 3,020 | 41,235 | ||||||
|
| |||||||
807,760 | ||||||||
|
| |||||||
Real Estate Management & Development – 0.1% |
| |||||||
CBRE Group, Inc. – Class A(b) | 2,190 | 78,008 | ||||||
Daito Trust Construction Co., Ltd. | 700 | 97,929 | ||||||
Daiwa House Industry Co., Ltd. | 5,000 | 137,216 | ||||||
Global Logistic Properties Ltd. | 22,200 | 42,093 | ||||||
Hang Lung Group Ltd. | 8,000 | 33,215 | ||||||
LendLease Group | 5,091 | 59,398 | ||||||
Swire Pacific Ltd. – Class A | 5,000 | 51,468 | ||||||
Tokyu Fudosan Holdings Corp. | 4,280 | 24,403 | ||||||
Wheelock & Co., Ltd. | 7,000 | 45,463 | ||||||
|
| |||||||
569,193 | ||||||||
|
| |||||||
Real Estate Operating Companies – 0.5% |
| |||||||
ADO Properties SA(a) | 658 | 24,298 | ||||||
Aeon Mall Co., Ltd. | 3,532 | 54,261 | ||||||
Azrieli Group Ltd. | 1,404 | 69,824 | ||||||
BUWOG AG(b) | 1,948 | 48,642 | ||||||
CA Immobilien Anlagen AG(b) | 1,523 | 29,849 | ||||||
Capital & Counties Properties PLC(e) | 15,761 | 57,488 | ||||||
Castellum AB | 5,656 | 76,563 | ||||||
Citycon Oyj | 8,390 | 19,893 | ||||||
Daejan Holdings PLC | 105 | 8,847 | ||||||
Deutsche EuroShop AG | 995 | 41,193 | ||||||
Deutsche Wohnen AG | 10,333 | 354,630 | ||||||
Dios Fastigheter AB | 989 | 4,916 | ||||||
Entra ASA(a) | 1,998 | 22,753 | ||||||
Fabege AB | 2,840 | 47,843 | ||||||
Fastighets AB Balder – Class B(b) | 2,030 | 44,349 | ||||||
First Capital Realty, Inc. | 2,080 | 32,761 |
AB POOLING PORTFOLIOS • | 163 |
AB Volatility Management Portfolio—Portfolio of Investments
Company | Shares | U.S. $ Value | ||||||
| ||||||||
Grainger PLC | 8,775 | $ | 27,580 | |||||
Grand City Properties SA | 2,160 | 41,114 | ||||||
Hemfosa Fastigheter AB | 2,048 | 19,012 | ||||||
Hongkong Land Holdings Ltd. | 35,750 | 243,962 | ||||||
Hufvudstaden AB – Class A | 2,380 | 36,920 | ||||||
Hulic Co., Ltd. | 10,119 | 96,345 | ||||||
Hysan Development Co., Ltd. | 18,250 | 85,092 | ||||||
Inmobiliaria Colonial SA(e) | 5,032 | 36,739 | ||||||
Klovern AB – Class B | 11,930 | 12,353 | ||||||
Kungsleden AB | 3,404 | 19,526 | ||||||
LEG Immobilien AG(b)(e) | 1,350 | 111,176 | ||||||
Norwegian Property ASA | 3,647 | 4,551 | ||||||
NTT Urban Development Corp. | 2,329 | 21,448 | ||||||
PSP Swiss Property AG (REG) | 860 | 80,161 | ||||||
Sponda Oyj | 5,258 | 22,003 | ||||||
Swire Properties Ltd. | 34,780 | 104,583 | ||||||
Swiss Prime Site AG (REG)(b) | 2,090 | 181,502 | ||||||
Technopolis Oyj | 3,007 | 9,677 | ||||||
TLG Immobilien AG | 1,176 | 22,677 | ||||||
UNITE Group PLC (The) | 4,783 | 37,094 | ||||||
Vonovia SE | 14,380 | 500,594 | ||||||
Wallenstam AB – Class B(e) | 4,180 | 34,158 | ||||||
WCM Beteiligungs & Grundbesitz-AG(b) | 1,850 | 5,739 | ||||||
Wihlborgs Fastigheter AB | 1,420 | 28,202 | ||||||
|
| |||||||
2,720,318 | ||||||||
|
| |||||||
Residential REITs – 0.8% |
| |||||||
Advance Residence Investment Corp. | 26 | 70,269 | ||||||
American Campus Communities, Inc. | 2,850 | 145,635 | ||||||
American Homes 4 Rent – Class A | 4,789 | 113,835 | ||||||
Apartment Investment & Management Co. – Class A | 4,520 | 210,315 | ||||||
AvalonBay Communities, Inc. | 3,981 | 731,628 | ||||||
Boardwalk Real Estate Investment Trust | 850 | 28,459 | ||||||
Camden Property Trust | 1,900 | 160,835 | ||||||
Canadian Apartment Properties REIT | 2,900 | 70,218 | ||||||
Colony Starwood Homes | 1,000 | 32,900 | ||||||
Education Realty Trust, Inc. | 1,543 | 65,038 | ||||||
Empiric Student Property PLC | 10,750 | 14,740 | ||||||
Equity LifeStyle Properties, Inc. | 1,649 | 131,293 | ||||||
Equity Residential | 10,460 | 659,713 | ||||||
Essex Property Trust, Inc. | 1,918 | 450,155 | ||||||
Invincible Investment Corp. | 63 | 27,053 | ||||||
Invitation Homes, Inc.(b) | 1,627 | 35,452 | ||||||
Irish Residential Properties REIT PLC | 7,500 | 9,535 | ||||||
Japan Rental Housing Investments, Inc. | 32 | 23,793 | ||||||
Killam Apartment Real Estate Investment Trust | 1,400 | 13,366 | ||||||
Mid-America Apartment Communities, Inc. | 3,346 | 343,735 |
164 | • AB POOLING PORTFOLIOS |
AB Volatility Management Portfolio—Portfolio of Investments
Company | Shares | U.S. $ Value | ||||||
| ||||||||
Milestone Apartments Real Estate Investment Trust | 1,700 | $ | 27,723 | |||||
Monogram Residential Trust, Inc. | 3,600 | 37,044 | ||||||
Nippon Accommodations Fund, Inc. | 10 | 43,297 | ||||||
Northview Apartment Real Estate Investment Trust | 1,050 | 17,155 | ||||||
Silver Bay Realty Trust Corp. | 680 | 14,640 | ||||||
Sun Communities, Inc. | 1,416 | 117,287 | ||||||
UDR, Inc. | 7,692 | 280,758 | ||||||
|
| |||||||
3,875,871 | ||||||||
|
| |||||||
Retail REITs – 1.8% |
| |||||||
Acadia Realty Trust | 1,700 | 54,451 | ||||||
AEON REIT Investment Corp.(e) | 22 | 24,368 | ||||||
Agree Realty Corp. | 508 | 25,212 | ||||||
Alexander’s, Inc. | 55 | 24,043 | ||||||
British Land Co. PLC (The) | 30,861 | 236,356 | ||||||
Brixmor Property Group, Inc. | 6,499 | 151,687 | ||||||
BWP Trust | 10,468 | 22,865 | ||||||
Capital & Regional PLC | 11,400 | 8,346 | ||||||
CapitaLand Mall Trust | 78,550 | 110,324 | ||||||
CBL & Associates Properties, Inc. | 3,600 | 36,108 | ||||||
Cedar Realty Trust, Inc. | 1,830 | 10,742 | ||||||
Charter Hall Retail REIT | 7,230 | 23,779 | ||||||
Crombie Real Estate Investment Trust | 1,850 | 19,194 | ||||||
DDR Corp. | 6,660 | 96,304 | ||||||
Equity One, Inc. | 2,006 | 63,510 | ||||||
Eurocommercial Properties NV | 928 | 32,855 | ||||||
Federal Realty Investment Trust | 2,106 | 296,377 | ||||||
Fortune Real Estate Investment Trust | 28,510 | 31,983 | ||||||
Frontier Real Estate Investment Corp. | 10 | 45,585 | ||||||
Fukuoka REIT Corp. | 14 | 22,070 | ||||||
Getty Realty Corp. | 536 | 14,145 | ||||||
GGP, Inc. | 15,180 | 377,375 | ||||||
Hammerson PLC | 24,285 | 177,300 | ||||||
Immobiliare Grande Distribuzione SIIQ SpA | 7,864 | 6,165 | ||||||
Intu Properties PLC(e) | 26,486 | 94,215 | ||||||
Japan Retail Fund Investment Corp.(e) | 79 | 158,905 | ||||||
Kenedix Retail REIT Corp. | 9 | 21,295 | ||||||
Kimco Realty Corp. | 12,246 | 296,965 | ||||||
Kite Realty Group Trust | 1,742 | 39,456 | ||||||
Kiwi Property Group Ltd. | 27,581 | 28,396 | ||||||
Klepierre | 6,496 | 241,268 | ||||||
Link REIT | 68,800 | 474,412 | ||||||
Macerich Co. (The) | 4,070 | 274,237 | ||||||
Mapletree Commercial Trust | 40,594 | 43,450 | ||||||
Mercialys SA | 870 | 15,713 | ||||||
National Retail Properties, Inc. | 3,135 | 141,827 |
AB POOLING PORTFOLIOS • | 165 |
AB Volatility Management Portfolio—Portfolio of Investments
Company | Shares | U.S. $ Value | ||||||
| ||||||||
NewRiver REIT PLC | 5,000 | $ | 20,840 | |||||
Pennsylvania Real Estate Investment Trust | 1,410 | 23,265 | ||||||
Ramco-Gershenson Properties Trust | 1,659 | 25,980 | ||||||
Realty Income Corp.(e) | 7,470 | 457,762 | ||||||
Regency Centers Corp. | 2,252 | 158,428 | ||||||
Retail Opportunity Investments Corp. | 2,315 | 50,930 | ||||||
Retail Properties of America, Inc. – Class A | 5,030 | 77,512 | ||||||
RioCan Real Estate Investment Trust (Toronto) | 6,972 | 140,049 | ||||||
Saul Centers, Inc. | 297 | 19,020 | ||||||
Scentre Group | 157,918 | 527,746 | ||||||
Seritage Growth Properties – Class A(e) | 550 | 25,564 | ||||||
Shaftesbury PLC | 5,113 | 58,063 | ||||||
Shopping Centres Australasia Property Group | 15,730 | 26,883 | ||||||
Simon Property Group, Inc. | 9,113 | 1,680,437 | ||||||
Smart Real Estate Investment Trust | 2,400 | 60,407 | ||||||
Tanger Factory Outlet Centers, Inc. | 2,040 | 69,095 | ||||||
Taubman Centers, Inc. | 1,300 | 90,688 | ||||||
Unibail-Rodamco SE | 3,067 | 698,860 | ||||||
Urban Edge Properties | 1,890 | 52,410 | ||||||
Urstadt Biddle Properties, Inc. – Class A | 600 | 13,368 | ||||||
Vastned Retail NV | 390 | 13,882 | ||||||
Vicinity Centres | 100,940 | 223,545 | ||||||
Washington Prime Group, Inc. | 3,938 | 36,505 | ||||||
Weingarten Realty Investors | 2,428 | 86,121 | ||||||
Wereldhave Belgium NV | 50 | 5,549 | ||||||
Wereldhave NV | 850 | 37,133 | ||||||
Westfield Corp. | 59,376 | 400,422 | ||||||
|
| |||||||
8,821,747 | ||||||||
|
| |||||||
Specialized REITs – 0.5% |
| |||||||
Big Yellow Group PLC(e) | 3,054 | 27,659 | ||||||
CubeSmart | 3,818 | 104,041 | ||||||
Digital Realty Trust, Inc. | 4,575 | 494,100 | ||||||
DuPont Fabros Technology, Inc. | 1,598 | 82,281 | ||||||
EPR Properties | 1,347 | 103,665 | ||||||
Extra Space Storage, Inc. | 3,510 | 277,957 | ||||||
Four Corners Property Trust, Inc. | 1,250 | 27,725 | ||||||
Gaming and Leisure Properties, Inc. | 4,384 | 140,288 | ||||||
Life Storage, Inc. | 984 | 87,212 | ||||||
Public Storage | 4,285 | 974,666 | ||||||
QTS Realty Trust, Inc. – Class A | 980 | 51,548 | ||||||
Safestore Holdings PLC | 4,430 | 21,108 | ||||||
|
| |||||||
2,392,250 | ||||||||
|
| |||||||
38,524,579 | ||||||||
|
| |||||||
Health Care – 7.0% |
| |||||||
Biotechnology – 1.1% |
| |||||||
AbbVie, Inc. | 12,257 | 757,973 | ||||||
Actelion Ltd. (REG)(b) | 900 | 242,173 |
166 | • AB POOLING PORTFOLIOS |
AB Volatility Management Portfolio—Portfolio of Investments
Company | Shares | U.S. $ Value | ||||||
| ||||||||
Alexion Pharmaceuticals, Inc.(b) | 1,690 | $ | 221,813 | |||||
Amgen, Inc. | 5,700 | 1,006,221 | ||||||
Biogen, Inc.(b) | 1,700 | 490,620 | ||||||
Celgene Corp.(b) | 5,900 | 728,709 | ||||||
CSL Ltd. | 4,258 | 384,558 | ||||||
Genmab A/S(b) | 546 | 107,979 | ||||||
Gilead Sciences, Inc. | 10,107 | 712,341 | ||||||
Grifols SA | 2,724 | 59,528 | ||||||
Incyte Corp.(b) | 1,374 | 182,879 | ||||||
Regeneron Pharmaceuticals, Inc.(b) | 600 | 224,100 | ||||||
Vertex Pharmaceuticals, Inc.(b) | 1,855 | 168,100 | ||||||
|
| |||||||
5,286,994 | ||||||||
|
| |||||||
Health Care Equipment & Supplies – 1.0% |
| |||||||
Abbott Laboratories | 13,022 | 587,032 | ||||||
Baxter International, Inc. | 4,150 | 211,318 | ||||||
Becton Dickinson and Co. | 1,628 | 298,005 | ||||||
Boston Scientific Corp.(b) | 10,300 | 252,865 | ||||||
Cochlear Ltd. | 534 | 53,419 | ||||||
Coloplast A/S – Class B | 1,099 | 77,487 | ||||||
Cooper Cos., Inc. (The) | 377 | 75,076 | ||||||
CR Bard, Inc. | 550 | 134,882 | ||||||
CYBERDYNE, Inc.(b)(e) | 839 | 13,139 | ||||||
Danaher Corp. | 4,550 | 389,252 | ||||||
DENTSPLY SIRONA, Inc. | 1,755 | 111,478 | ||||||
Edwards Lifesciences Corp.(b) | 1,600 | 150,464 | ||||||
Essilor International SA | 1,951 | 223,968 | ||||||
Getinge AB – Class B | 1,914 | 32,440 | ||||||
Hologic, Inc.(b) | 1,843 | 74,789 | ||||||
Hoya Corp. | 3,700 | 167,518 | ||||||
IDEXX Laboratories, Inc.(b) | 701 | 101,603 | ||||||
Intuitive Surgical, Inc.(b) | 330 | 243,210 | ||||||
Medtronic PLC | 10,681 | 864,200 | ||||||
Olympus Corp. | 2,700 | 95,603 | ||||||
Smith & Nephew PLC | 8,116 | 121,872 | ||||||
Sonova Holding AG (REG) | 522 | 68,574 | ||||||
Stryker Corp. | 2,400 | 308,544 | ||||||
Sysmex Corp. | 1,500 | 86,729 | ||||||
Terumo Corp. | 3,200 | 110,972 | ||||||
Varian Medical Systems, Inc.(b) | 700 | 58,723 | ||||||
William Demant Holding A/S(b) | 1,023 | 20,935 | ||||||
Zimmer Biomet Holdings, Inc. | 1,350 | 158,058 | ||||||
|
| |||||||
5,092,155 | ||||||||
|
| |||||||
Health Care Providers & Services – 1.0% |
| |||||||
Aetna, Inc. | 2,659 | 342,373 | ||||||
Alfresa Holdings Corp. | 1,700 | 30,625 | ||||||
AmerisourceBergen Corp. – Class A | 1,400 | 128,114 | ||||||
Anthem, Inc. | 2,000 | 329,640 |
AB POOLING PORTFOLIOS • | 167 |
AB Volatility Management Portfolio—Portfolio of Investments
Company | Shares | U.S. $ Value | ||||||
| ||||||||
Cardinal Health, Inc. | 2,450 | $ | 199,357 | |||||
Centene Corp.(b) | 1,295 | 91,298 | ||||||
Cigna Corp. | 1,950 | 290,355 | ||||||
DaVita, Inc.(b) | 1,250 | 86,763 | ||||||
Envision Healthcare Corp.(b) | 912 | 63,840 | ||||||
Express Scripts Holding Co.(b) | 4,783 | 337,919 | ||||||
Fresenius Medical Care AG & Co. KGaA | 2,042 | 169,894 | ||||||
Fresenius SE & Co. KGaA | 3,849 | 305,584 | ||||||
HCA Holdings, Inc.(b) | 2,268 | 197,860 | ||||||
Healthscope Ltd. | 14,488 | 24,961 | ||||||
Henry Schein, Inc.(b) | 620 | 106,367 | ||||||
Humana, Inc. | 1,150 | 242,937 | ||||||
Laboratory Corp. of America Holdings(b) | 800 | 113,808 | ||||||
McKesson Corp. | 1,700 | 255,221 | ||||||
Mediclinic International PLC(e) | 2,874 | 26,427 | ||||||
Medipal Holdings Corp. | 1,600 | 26,403 | ||||||
Miraca Holdings, Inc. | 600 | 28,692 | ||||||
Patterson Cos., Inc.(e) | 600 | 27,270 | ||||||
Quest Diagnostics, Inc. | 1,050 | 102,312 | ||||||
Ramsay Health Care Ltd. | 1,364 | 72,897 | ||||||
Ryman Healthcare Ltd. | 3,131 | 20,004 | ||||||
Sonic Healthcare Ltd. | 3,595 | 59,272 | ||||||
Suzuken Co., Ltd./Aichi Japan | 700 | 23,696 | ||||||
UnitedHealth Group, Inc. | 7,250 | 1,199,005 | ||||||
Universal Health Services, Inc. – Class B | 700 | 87,920 | ||||||
|
| |||||||
4,990,814 | ||||||||
|
| |||||||
Health Care Technology – 0.0% |
| |||||||
Cerner Corp.(b) | 2,250 | 123,840 | ||||||
M3, Inc. | 1,801 | 45,727 | ||||||
|
| |||||||
169,567 | ||||||||
|
| |||||||
Life Sciences Tools & Services – 0.3% |
| |||||||
Agilent Technologies, Inc. | 2,450 | 125,685 | ||||||
Eurofins Scientific SE | 102 | 43,579 | ||||||
Illumina, Inc.(b) | 1,112 | 186,149 | ||||||
Lonza Group AG (REG)(b) | 507 | 93,369 | ||||||
Mettler-Toledo International, Inc.(b) | 206 | 98,101 | ||||||
PerkinElmer, Inc. | 800 | 43,408 | ||||||
QIAGEN NV(b) | 2,006 | 57,051 | ||||||
Thermo Fisher Scientific, Inc. | 3,000 | 473,040 | ||||||
Waters Corp.(b) | 600 | 92,994 | ||||||
|
| |||||||
1,213,376 | ||||||||
|
| |||||||
Pharmaceuticals – 3.6% |
| |||||||
Allergan PLC | 3,000 | 734,460 | ||||||
Astellas Pharma, Inc. | 20,000 | 269,407 | ||||||
AstraZeneca PLC | 11,737 | 676,404 | ||||||
Bayer AG (REG) | 7,668 | 844,000 |
168 | • AB POOLING PORTFOLIOS |
AB Volatility Management Portfolio—Portfolio of Investments
Company | Shares | U.S. $ Value | ||||||
| ||||||||
Bristol-Myers Squibb Co. | 12,700 | $ | 720,217 | |||||
Chugai Pharmaceutical Co., Ltd. | 2,100 | 70,089 | ||||||
Daiichi Sankyo Co., Ltd. | 5,600 | 127,697 | ||||||
Eisai Co., Ltd. | 2,400 | 134,729 | ||||||
Eli Lilly & Co. | 7,400 | 612,794 | ||||||
Endo International PLC(b) | 1,526 | 20,830 | ||||||
Galenica AG (REG) | 37 | 43,401 | ||||||
GlaxoSmithKline PLC | 45,199 | 924,903 | ||||||
Hikma Pharmaceuticals PLC(e) | 1,355 | 36,150 | ||||||
Hisamitsu Pharmaceutical Co., Inc.(e) | 600 | 32,274 | ||||||
Johnson & Johnson | 20,900 | 2,554,189 | ||||||
Kyowa Hakko Kirin Co., Ltd. | 2,000 | 29,971 | ||||||
Mallinckrodt PLC(b) | 805 | 42,198 | ||||||
Merck & Co., Inc. | 21,000 | 1,383,270 | ||||||
Merck KGaA | 1,219 | 133,085 | ||||||
Mitsubishi Tanabe Pharma Corp. | 2,000 | 41,173 | ||||||
Mylan NV(b) | 3,200 | 133,920 | ||||||
Novartis AG (REG) | 20,705 | 1,616,893 | ||||||
Novo Nordisk A/S – Class B | 17,745 | 628,296 | ||||||
Ono Pharmaceutical Co., Ltd. | 3,800 | 84,147 | ||||||
Orion Oyj – Class B | 983 | 48,445 | ||||||
Otsuka Holdings Co., Ltd. | 3,653 | 166,499 | ||||||
Perrigo Co. PLC | 1,089 | 81,425 | ||||||
Pfizer, Inc. | 46,057 | 1,571,465 | ||||||
Roche Holding AG | 6,515 | 1,585,779 | ||||||
Sanofi | 10,778 | 929,688 | ||||||
Santen Pharmaceutical Co., Ltd. | 3,400 | 48,745 | ||||||
Shionogi & Co., Ltd. | 2,800 | 137,129 | ||||||
Shire PLC | 8,357 | 503,915 | ||||||
Sumitomo Dainippon Pharma Co., Ltd.(e) | 1,500 | 26,497 | ||||||
Taisho Pharmaceutical Holdings Co., Ltd. | 352 | 28,688 | ||||||
Takeda Pharmaceutical Co., Ltd. | 6,600 | 306,931 | ||||||
Taro Pharmaceutical Industries Ltd.(b)(e) | 161 | 19,305 | ||||||
Teva Pharmaceutical Industries Ltd. (Sponsored ADR) | 8,567 | 300,016 | ||||||
UCB SA | 1,207 | 85,898 | ||||||
Zoetis, Inc. | 3,464 | 184,666 | ||||||
|
| |||||||
17,919,588 | ||||||||
|
| |||||||
34,672,494 | ||||||||
|
| |||||||
Consumer Discretionary – 6.8% |
| |||||||
Auto Components – 0.4% |
| |||||||
Aisin Seiki Co., Ltd. | 1,800 | 89,432 | ||||||
BorgWarner, Inc. | 1,650 | 69,614 | ||||||
Bridgestone Corp. | 6,100 | 243,423 | ||||||
Cie Generale des Etablissements Michelin – Class B | 1,696 | 190,960 | ||||||
Continental AG | 1,021 | 206,940 |
AB POOLING PORTFOLIOS • | 169 |
AB Volatility Management Portfolio—Portfolio of Investments
Company | Shares | U.S. $ Value | ||||||
| ||||||||
Delphi Automotive PLC | 2,071 | $ | 157,665 | |||||
Denso Corp. | 4,400 | 195,629 | ||||||
GKN PLC | 15,533 | 69,399 | ||||||
Goodyear Tire & Rubber Co. (The) | 2,000 | 70,100 | ||||||
Koito Manufacturing Co., Ltd. | 1,000 | 51,567 | ||||||
NGK Spark Plug Co., Ltd. | 2,000 | 45,308 | ||||||
NOK Corp. | 900 | 20,590 | ||||||
Nokian Renkaat Oyj | 1,091 | 42,880 | ||||||
Schaeffler AG (Preference Shares) | 1,386 | 21,831 | ||||||
Stanley Electric Co., Ltd. | 1,400 | 39,441 | ||||||
Sumitomo Electric Industries Ltd. | 7,000 | 114,030 | ||||||
Sumitomo Rubber Industries Ltd. | 1,600 | 26,391 | ||||||
Toyoda Gosei Co., Ltd. | 600 | 15,305 | ||||||
Toyota Industries Corp. | 1,500 | 73,153 | ||||||
Valeo SA | 2,254 | 138,809 | ||||||
Yokohama Rubber Co., Ltd. (The) | 1,500 | 29,810 | ||||||
|
| |||||||
1,912,277 | ||||||||
|
| |||||||
Automobiles – 1.1% |
| |||||||
Bayerische Motoren Werke AG | 3,118 | 278,425 | ||||||
Bayerische Motoren Werke AG (Preference Shares) | 526 | 39,196 | ||||||
Daimler AG (REG) | 8,938 | 649,318 | ||||||
Ferrari NV | 1,144 | 74,617 | ||||||
Fiat Chrysler Automobiles NV(b) | 8,304 | 90,812 | ||||||
Ford Motor Co. | 29,650 | 371,514 | ||||||
Fuji Heavy Industries Ltd. | 6,000 | 224,504 | ||||||
General Motors Co. | 10,615 | 391,056 | ||||||
Harley-Davidson, Inc. | 1,350 | 76,113 | ||||||
Honda Motor Co., Ltd. | 15,100 | 467,758 | ||||||
Isuzu Motors Ltd. | 5,500 | 73,505 | ||||||
Mazda Motor Corp. | 5,400 | 75,508 | ||||||
Mitsubishi Motors Corp. | 5,300 | 34,251 | ||||||
Nissan Motor Co., Ltd. | 22,300 | 219,419 | ||||||
Peugeot SA(b) | 4,397 | 83,810 | ||||||
Porsche Automobil Holding SE (Preference Shares) | 1,486 | 82,010 | ||||||
Renault SA | 1,802 | 159,950 | ||||||
Suzuki Motor Corp. | 3,200 | 125,071 | ||||||
Toyota Motor Corp. | 24,800 | 1,403,005 | ||||||
Volkswagen AG | 305 | 46,197 | ||||||
Volkswagen AG (Preference Shares) | 1,718 | 253,914 | ||||||
Yamaha Motor Co., Ltd. | 2,600 | 60,069 | ||||||
|
| |||||||
5,280,022 | ||||||||
|
| |||||||
Distributors – 0.1% |
| |||||||
Genuine Parts Co. | 1,140 | 109,110 | ||||||
Jardine Cycle & Carriage Ltd. | 1,000 | 30,470 | ||||||
LKQ Corp.(b) | 2,314 | 73,076 | ||||||
|
| |||||||
212,656 | ||||||||
|
|
170 | • AB POOLING PORTFOLIOS |
AB Volatility Management Portfolio—Portfolio of Investments
Company | Shares | U.S. $ Value | ||||||
| ||||||||
Diversified Consumer Services – 0.0% |
| |||||||
Benesse Holdings, Inc. | 600 | $ | 18,439 | |||||
H&R Block, Inc. | 1,700 | 34,952 | ||||||
|
| |||||||
53,391 | ||||||||
|
| |||||||
Hotels, Restaurants & Leisure – 0.8% |
| |||||||
Accor SA | 1,600 | 63,236 | ||||||
Aristocrat Leisure Ltd. | 4,984 | 63,386 | ||||||
Carnival Corp. | 3,300 | 184,635 | ||||||
Carnival PLC | 1,826 | 99,519 | ||||||
Chipotle Mexican Grill, Inc. – Class A(b) | 250 | 104,685 | ||||||
Compass Group PLC | 15,157 | 281,586 | ||||||
Crown Resorts Ltd. | 3,041 | 29,504 | ||||||
Darden Restaurants, Inc. | 850 | 63,478 | ||||||
Domino’s Pizza Enterprises Ltd.(e) | 611 | 26,083 | ||||||
Flight Centre Travel Group Ltd.(e) | 464 | 10,249 | ||||||
Galaxy Entertainment Group Ltd. | 21,200 | 101,476 | ||||||
Genting Singapore PLC | 56,000 | 39,507 | ||||||
InterContinental Hotels Group PLC | 1,809 | 85,241 | ||||||
Marriott International, Inc./MD – Class A | 2,450 | 213,126 | ||||||
McDonald’s Corp. | 6,700 | 855,255 | ||||||
McDonald’s Holdings Co. Japan Ltd.(e) | 600 | 17,087 | ||||||
Melco Crown Entertainment Ltd. (ADR) | 1,856 | 30,383 | ||||||
Merlin Entertainments PLC(a) | 5,925 | 36,164 | ||||||
MGM China Holdings Ltd. | 7,900 | 14,372 | ||||||
Oriental Land Co., Ltd./Japan | 2,100 | 118,043 | ||||||
Paddy Power Betfair PLC | 762 | 83,419 | ||||||
Royal Caribbean Cruises Ltd. | 1,274 | 122,431 | ||||||
Sands China Ltd. | 21,900 | 91,330 | ||||||
Shangri-La Asia Ltd. | 10,000 | 12,719 | ||||||
SJM Holdings Ltd. | 16,500 | 13,538 | ||||||
Sodexo SA | 868 | 95,259 | ||||||
Starbucks Corp. | 11,100 | 631,257 | ||||||
Tabcorp Holdings Ltd. | 6,943 | 22,670 | ||||||
Tatts Group Ltd. | 12,229 | 38,037 | ||||||
TUI AG | 4,520 | 63,814 | ||||||
Whitbread PLC | 1,743 | 82,790 | ||||||
William Hill PLC | 7,386 | 24,186 | ||||||
Wyndham Worldwide Corp. | 850 | 70,754 | ||||||
Wynn Macau Ltd.(e) | 13,000 | 23,166 | ||||||
Wynn Resorts Ltd. | 600 | 57,690 | ||||||
Yum! Brands, Inc. | 3,100 | 202,492 | ||||||
|
| |||||||
4,072,567 | ||||||||
|
| |||||||
Household Durables – 0.4% |
| |||||||
Auto Trader Group PLC(a) | 8,359 | 40,982 | ||||||
Barratt Developments PLC | 9,083 | 57,681 | ||||||
Berkeley Group Holdings PLC | 1,191 | 43,528 | ||||||
Casio Computer Co., Ltd.(e) | 2,100 | 28,325 |
AB POOLING PORTFOLIOS • | 171 |
AB Volatility Management Portfolio—Portfolio of Investments
Company | Shares | U.S. $ Value | ||||||
| ||||||||
DR Horton, Inc. | 2,500 | $ | 80,000 | |||||
Electrolux AB – Class B | 2,189 | 57,964 | ||||||
Garmin Ltd. | 880 | 45,417 | ||||||
Harman International Industries, Inc. | 550 | 61,391 | ||||||
Husqvarna AB – Class B | 3,476 | 29,737 | ||||||
Iida Group Holdings Co., Ltd. | 1,470 | 24,881 | ||||||
Leggett & Platt, Inc. | 1,000 | 49,180 | ||||||
Lennar Corp. – Class A | 1,350 | 65,867 | ||||||
Mohawk Industries, Inc.(b) | 500 | 113,180 | ||||||
Newell Brands, Inc. | 3,449 | 169,104 | ||||||
Nikon Corp. | 3,100 | 47,394 | ||||||
Panasonic Corp. | 20,400 | 223,854 | ||||||
Persimmon PLC | 2,788 | 71,294 | ||||||
PulteGroup, Inc. | 2,350 | 51,818 | ||||||
Rinnai Corp. | 400 | 32,260 | ||||||
SEB SA | 210 | 27,703 | ||||||
Sekisui Chemical Co., Ltd. | 4,000 | 66,074 | ||||||
Sekisui House Ltd. | 6,000 | 95,947 | ||||||
Sharp Corp./Japan(b)(e) | 13,744 | 40,616 | ||||||
Sony Corp. | 11,700 | 361,526 | ||||||
Taylor Wimpey PLC | 29,537 | 65,947 | ||||||
Techtronic Industries Co., Ltd. | 12,700 | 45,445 | ||||||
Whirlpool Corp. | 600 | 107,154 | ||||||
|
| |||||||
2,104,269 | ||||||||
|
| |||||||
Internet & Direct Marketing Retail – 0.8% |
| |||||||
Amazon.com, Inc.(b) | 3,045 | 2,573,147 | ||||||
Expedia, Inc. | 890 | 105,946 | ||||||
Netflix, Inc.(b) | 3,270 | 464,765 | ||||||
Priceline Group, Inc. (The)(b) | 410 | 706,893 | ||||||
Rakuten, Inc. | 8,629 | 85,568 | ||||||
Start Today Co., Ltd. | 1,439 | 30,098 | ||||||
TripAdvisor, Inc.(b) | 850 | 35,250 | ||||||
Zalando SE(a) (b) | 891 | 35,564 | ||||||
|
| |||||||
4,037,231 | ||||||||
|
| |||||||
Leisure Products – 0.1% |
| |||||||
Bandai Namco Holdings, Inc. | 1,900 | 54,732 | ||||||
Hasbro, Inc. | 850 | 82,339 | ||||||
Mattel, Inc. | 2,550 | 65,612 | ||||||
Sankyo Co., Ltd. | 400 | 14,159 | ||||||
Sega Sammy Holdings, Inc. | 1,700 | 25,021 | ||||||
Shimano, Inc. | 700 | 103,548 | ||||||
Yamaha Corp. | 1,600 | 41,737 | ||||||
|
| |||||||
387,148 | ||||||||
|
| |||||||
Media – 1.3% |
| |||||||
Altice NV – Class A(b) | 3,402 | 71,831 | ||||||
Altice NV – Class B(b) | 912 | 19,266 |
172 | • AB POOLING PORTFOLIOS |
AB Volatility Management Portfolio—Portfolio of Investments
Company | Shares | U.S. $ Value | ||||||
| ||||||||
Axel Springer SE | 451 | $ | 23,569 | |||||
CBS Corp. – Class B | 3,150 | 207,648 | ||||||
Charter Communications, Inc. – Class A(b) | 1,665 | 537,895 | ||||||
Comcast Corp. – Class A | 36,686 | 1,372,790 | ||||||
Dentsu, Inc. | 2,000 | 110,974 | ||||||
Discovery Communications, Inc. – Class A(b) | 1,100 | 31,636 | ||||||
Discovery Communications, Inc. – Class C(b) | 1,800 | 50,526 | ||||||
Eutelsat Communications SA | 1,690 | 33,255 | ||||||
Hakuhodo DY Holdings, Inc. | 1,980 | 24,373 | ||||||
Interpublic Group of Cos., Inc. (The) | 3,050 | 73,505 | ||||||
ITV PLC | 32,885 | 82,643 | ||||||
JCDecaux SA | 748 | 23,917 | ||||||
Lagardere SCA | 1,200 | 30,177 | ||||||
News Corp. – Class A | 2,875 | 36,858 | ||||||
News Corp. – Class B | 802 | 10,586 | ||||||
Omnicom Group, Inc. | 1,800 | 153,180 | ||||||
Pearson PLC | 7,446 | 62,201 | ||||||
ProSiebenSat.1 Media SE | 2,245 | 89,927 | ||||||
Publicis Groupe SA | 1,782 | 120,226 | ||||||
REA Group Ltd.(e) | 557 | 24,107 | ||||||
RTL Group SA (London)(b) | 380 | 29,167 | ||||||
Schibsted ASA(e) | 798 | 21,045 | ||||||
Schibsted ASA – Class B | 919 | 22,298 | ||||||
Scripps Networks Interactive, Inc. – Class A | 700 | 56,539 | ||||||
SES SA | 3,301 | 67,408 | ||||||
Singapore Press Holdings Ltd.(e) | 14,000 | 34,937 | ||||||
Sky PLC | 9,357 | 115,834 | ||||||
TEGNA, Inc. | 1,650 | 42,290 | ||||||
Telenet Group Holding NV(b) | 550 | 31,061 | ||||||
Time Warner, Inc. | 5,950 | 584,349 | ||||||
Toho Co., Ltd./Tokyo | 1,100 | 31,171 | ||||||
Twenty-First Century Fox, Inc. – Class A | 8,314 | 248,755 | ||||||
Twenty-First Century Fox, Inc. – Class B | 3,257 | 95,593 | ||||||
Viacom, Inc. – Class B | 2,600 | 112,970 | ||||||
Vivendi SA | 9,544 | 168,044 | ||||||
Walt Disney Co. (The) | 11,338 | 1,248,200 | ||||||
WPP PLC | 11,945 | 281,023 | ||||||
|
| |||||||
6,381,774 | ||||||||
|
| |||||||
Multiline Retail – 0.2% |
| |||||||
Dollar General Corp. | 2,180 | 159,184 | ||||||
Dollar Tree, Inc.(b) | 1,767 | 135,494 | ||||||
Don Quijote Holdings Co., Ltd. | 1,100 | 38,990 | ||||||
Harvey Norman Holdings Ltd. | 4,640 | 18,320 | ||||||
Isetan Mitsukoshi Holdings Ltd. | 3,100 | 39,702 | ||||||
J Front Retailing Co., Ltd. | 2,000 | 30,732 | ||||||
Kohl’s Corp. | 1,360 | 57,963 | ||||||
Macy’s, Inc. | 2,310 | 76,738 |
AB POOLING PORTFOLIOS • | 173 |
AB Volatility Management Portfolio—Portfolio of Investments
Company | Shares | U.S. $ Value | ||||||
| ||||||||
Marks & Spencer Group PLC | 14,701 | $ | 61,029 | |||||
Marui Group Co., Ltd. | 1,900 | 26,250 | ||||||
Next PLC | 1,298 | 61,667 | ||||||
Nordstrom, Inc.(e) | 970 | 45,260 | ||||||
Ryohin Keikaku Co., Ltd.(e) | 237 | 50,118 | ||||||
Takashimaya Co., Ltd. | 2,392 | 21,523 | ||||||
Target Corp. | 4,470 | 262,702 | ||||||
|
| |||||||
1,085,672 | ||||||||
|
| |||||||
Specialty Retail – 1.0% |
| |||||||
ABC-Mart, Inc. | 300 | 18,096 | ||||||
Advance Auto Parts, Inc. | 558 | 87,388 | ||||||
AutoNation, Inc.(b) | 530 | �� | 24,327 | |||||
AutoZone, Inc.(b) | 260 | 191,503 | ||||||
Bed Bath & Beyond, Inc. | 1,150 | 46,460 | ||||||
Best Buy Co., Inc. | 2,140 | 94,438 | ||||||
CarMax, Inc.(b) | 1,470 | 94,874 | ||||||
Dixons Carphone PLC | 8,172 | 30,733 | ||||||
Dufry AG (REG)(b) | 422 | 60,859 | ||||||
Fast Retailing Co., Ltd. | 500 | 158,094 | ||||||
Foot Locker, Inc. | 1,006 | 76,124 | ||||||
Gap, Inc. (The) | 1,690 | 41,946 | ||||||
Hennes & Mauritz AB – Class B | 8,767 | 231,145 | ||||||
Hikari Tsushin, Inc. | 200 | 19,573 | ||||||
Home Depot, Inc. (The) | 9,440 | 1,367,950 | ||||||
Industria de Diseno Textil SA | 10,188 | 326,483 | ||||||
Kingfisher PLC | 20,670 | 84,311 | ||||||
L Brands, Inc. | 1,900 | 99,978 | ||||||
Lowe’s Cos., Inc. | 6,740 | 501,254 | ||||||
Nitori Holdings Co., Ltd.(e) | 750 | 87,448 | ||||||
O’Reilly Automotive, Inc.(b) | 730 | 198,348 | ||||||
Ross Stores, Inc. | 3,020 | 207,112 | ||||||
Shimamura Co., Ltd. | 200 | 25,897 | ||||||
Signet Jewelers Ltd. | 606 | 38,536 | ||||||
Staples, Inc. | 4,890 | 43,961 | ||||||
Tiffany & Co. | 820 | 75,333 | ||||||
TJX Cos., Inc. (The) | 5,020 | 393,819 | ||||||
Tractor Supply Co. | 1,023 | 72,541 | ||||||
Ulta Salon Cosmetics & Fragrance, Inc.(b) | 514 | 140,543 | ||||||
Urban Outfitters, Inc.(b) | 630 | 16,399 | ||||||
USS Co., Ltd. | 2,030 | 34,791 | ||||||
Yamada Denki Co., Ltd.(e) | 5,820 | 29,712 | ||||||
|
| |||||||
4,919,976 | ||||||||
|
| |||||||
Textiles, Apparel & Luxury Goods – 0.6% | ||||||||
adidas AG | 1,773 | 297,428 | ||||||
Asics Corp. | 2,000 | 35,275 | ||||||
Burberry Group PLC | 4,033 | 86,354 | ||||||
Christian Dior SE | 524 | 111,098 |
174 | • AB POOLING PORTFOLIOS |
AB Volatility Management Portfolio—Portfolio of Investments
Company | Shares | U.S. $ Value | ||||||
| ||||||||
Cie Financiere Richemont SA (REG) | 4,892 | $ | 360,341 | |||||
Coach, Inc. | 2,100 | 79,989 | ||||||
Hanesbrands, Inc.(e) | 2,845 | 56,928 | ||||||
Hermes International(e) | 252 | 110,113 | ||||||
HUGO BOSS AG | 640 | 44,011 | ||||||
Kering | 713 | 173,486 | ||||||
Li & Fung Ltd. | 54,000 | 24,057 | ||||||
Luxottica Group SpA | 1,638 | 86,400 | ||||||
LVMH Moet Hennessy Louis Vuitton SE | 2,595 | 521,285 | ||||||
Michael Kors Holdings Ltd.(b) | 1,310 | 47,815 | ||||||
NIKE, Inc. – Class B | 10,100 | 577,316 | ||||||
Pandora A/S | 1,053 | 119,859 | ||||||
PVH Corp. | 611 | 55,968 | ||||||
Ralph Lauren Corp. | 450 | 35,699 | ||||||
Swatch Group AG (The) | 299 | 99,453 | ||||||
Swatch Group AG (The) (REG) | 499 | 32,330 | ||||||
Under Armour, Inc. – Class A(b)(e) | 1,375 | 28,353 | ||||||
Under Armour, Inc. – Class C(b) | 1,403 | 26,040 | ||||||
VF Corp. | 2,500 | 131,125 | ||||||
Yue Yuen Industrial Holdings Ltd. | 6,500 | 24,198 | ||||||
|
| |||||||
3,164,921 | ||||||||
|
| |||||||
33,611,904 | ||||||||
|
| |||||||
Industrials – 6.6% | ||||||||
Aerospace & Defense – 1.0% | ||||||||
Airbus SE | 5,422 | 398,389 | ||||||
Arconic, Inc. | 3,316 | 95,468 | ||||||
BAE Systems PLC | 29,430 | 230,394 | ||||||
Boeing Co. (The) | 4,550 | 820,046 | ||||||
Cobham PLC | 14,261 | 21,213 | ||||||
Dassault Aviation SA | 22 | 24,914 | ||||||
Elbit Systems Ltd. | 218 | 25,739 | ||||||
General Dynamics Corp. | 2,200 | 417,582 | ||||||
L3 Technologies, Inc. | 600 | 100,992 | ||||||
Leonardo SpA(b) | 3,766 | 51,786 | ||||||
Lockheed Martin Corp. | 2,000 | 533,160 | ||||||
Meggitt PLC | 6,473 | 37,836 | ||||||
Northrop Grumman Corp. | 1,400 | 345,926 | ||||||
Raytheon Co. | 2,250 | 346,837 | ||||||
Rockwell Collins, Inc. | 1,000 | 95,590 | ||||||
Rolls-Royce Holdings PLC(b) | 16,663 | 162,742 | ||||||
Safran SA | 2,905 | 206,830 | ||||||
Singapore Technologies Engineering Ltd. | 14,000 | 36,747 | ||||||
Textron, Inc. | 2,000 | 94,600 | ||||||
Thales SA | 1,012 | 99,693 | ||||||
TransDigm Group, Inc. | 441 | 112,102 | ||||||
United Technologies Corp. | 5,900 | 664,045 | ||||||
Zodiac Aerospace | 1,891 | 55,505 | ||||||
|
| |||||||
4,978,136 | ||||||||
|
|
AB POOLING PORTFOLIOS • | 175 |
AB Volatility Management Portfolio—Portfolio of Investments
Company | Shares | U.S. $ Value | ||||||
| ||||||||
Air Freight & Logistics – 0.3% | ||||||||
Bollore SA | 7,246 | $ | 28,109 | |||||
CH Robinson Worldwide, Inc.(e) | 1,100 | 88,407 | ||||||
Deutsche Post AG (REG) | 8,949 | 306,694 | ||||||
Expeditors International of Washington, Inc. | 1,350 | 76,113 | ||||||
FedEx Corp. | 1,900 | 366,662 | ||||||
Kuehne & Nagel International AG (REG) | 526 | 74,890 | ||||||
Royal Mail PLC | 8,282 | 42,625 | ||||||
United Parcel Service, Inc. – Class B | 5,250 | 555,240 | ||||||
Yamato Holdings Co., Ltd.(e) | 3,200 | 69,851 | ||||||
|
| |||||||
1,608,591 | ||||||||
|
| |||||||
Airlines – 0.3% | ||||||||
Alaska Air Group, Inc. | 918 | 89,799 | ||||||
American Airlines Group, Inc. | 4,358 | 202,037 | ||||||
ANA Holdings, Inc. | 10,000 | 29,897 | ||||||
Cathay Pacific Airways Ltd. | 10,000 | 14,679 | ||||||
Delta Air Lines, Inc. | 5,833 | 291,242 | ||||||
Deutsche Lufthansa AG (REG) | 1,939 | 28,389 | ||||||
easyJet PLC | 1,552 | 18,311 | ||||||
International Consolidated Airlines Group SA | 7,864 | 52,242 | ||||||
Japan Airlines Co., Ltd. | 1,153 | 37,679 | ||||||
Qantas Airways Ltd. | 4,305 | 12,376 | ||||||
Ryanair Holdings PLC (Sponsored ADR)(b) | 799 | 65,318 | ||||||
Singapore Airlines Ltd. | 5,000 | 35,472 | ||||||
Southwest Airlines Co. | 4,850 | 280,330 | ||||||
United Continental Holdings, Inc.(b) | 2,525 | 187,077 | ||||||
|
| |||||||
1,344,848 | ||||||||
|
| |||||||
Building Products – 0.3% | ||||||||
Allegion PLC | 700 | 50,813 | ||||||
Asahi Glass Co., Ltd. | 9,000 | 73,463 | ||||||
Assa Abloy AB – Class B | 9,329 | 181,027 | ||||||
Cie de Saint-Gobain | 4,672 | 224,058 | ||||||
Daikin Industries Ltd. | 2,200 | 208,792 | ||||||
Fortune Brands Home & Security, Inc. | 1,174 | 67,892 | ||||||
Geberit AG (REG) | 355 | 153,652 | ||||||
Johnson Controls International PLC | 7,150 | 299,871 | ||||||
LIXIL Group Corp. | 2,500 | 61,243 | ||||||
Masco Corp. | 2,500 | 84,450 | ||||||
TOTO Ltd. | 1,500 | 57,711 | ||||||
|
| |||||||
1,462,972 | ||||||||
|
| |||||||
Commercial Services & Supplies – 0.2% | ||||||||
Babcock International Group PLC | 2,105 | 24,748 | ||||||
Brambles Ltd. | 14,309 | 102,132 | ||||||
Cintas Corp. | 650 | 76,707 | ||||||
Dai Nippon Printing Co., Ltd. | 4,000 | 43,547 | ||||||
Edenred | 1,992 | 45,093 |
176 | • AB POOLING PORTFOLIOS |
AB Volatility Management Portfolio—Portfolio of Investments
Company | Shares | U.S. $ Value | ||||||
| ||||||||
G4S PLC | 12,956 | $ | 42,158 | |||||
ISS A/S | 1,526 | 59,379 | ||||||
Park24 Co., Ltd. | 1,000 | 28,099 | ||||||
Republic Services, Inc. – Class A | 1,800 | 111,510 | ||||||
Secom Co., Ltd. | 2,000 | 145,867 | ||||||
Securitas AB – Class B | 2,946 | 44,884 | ||||||
Societe BIC SA | 277 | 34,280 | ||||||
Sohgo Security Services Co., Ltd. | 700 | 26,514 | ||||||
Stericycle, Inc.(b) | 650 | 53,872 | ||||||
Toppan Printing Co., Ltd. | 4,000 | 40,325 | ||||||
Waste Management, Inc. | 3,150 | 230,958 | ||||||
|
| |||||||
1,110,073 | ||||||||
|
| |||||||
Construction & Engineering – 0.2% | ||||||||
ACS Actividades de Construccion y Servicios SA | 1,783 | 55,897 | ||||||
Boskalis Westminster | 875 | 31,926 | ||||||
Bouygues SA | 1,888 | 72,823 | ||||||
CIMIC Group Ltd. | 1,022 | 29,588 | ||||||
Eiffage SA | 548 | 39,138 | ||||||
Ferrovial SA | 4,672 | 88,508 | ||||||
Fluor Corp. | 1,050 | 58,159 | ||||||
HOCHTIEF AG | 213 | 32,442 | ||||||
Jacobs Engineering Group, Inc. | 900 | 50,769 | ||||||
JGC Corp. | 2,361 | 42,331 | ||||||
Kajima Corp. | 8,000 | 52,141 | ||||||
Obayashi Corp. | 6,000 | 55,823 | ||||||
Quanta Services, Inc.(b) | 1,100 | 41,052 | ||||||
Shimizu Corp. | 5,000 | 45,863 | ||||||
Skanska AB – Class B | 3,082 | 73,355 | ||||||
Taisei Corp. | 9,000 | 63,151 | ||||||
Vinci SA | 4,727 | 340,791 | ||||||
|
| |||||||
1,173,757 | ||||||||
|
| |||||||
Electrical Equipment – 0.5% | ||||||||
ABB Ltd. (REG) | 17,455 | 394,313 | ||||||
Acuity Brands, Inc. | 356 | 75,223 | ||||||
AMETEK, Inc. | 1,739 | 93,854 | ||||||
Eaton Corp. PLC | 3,459 | 248,979 | ||||||
Emerson Electric Co. | 4,850 | 291,485 | ||||||
First Solar, Inc.(b)(e) | 550 | 19,904 | ||||||
Fuji Electric Co., Ltd. | 5,000 | 27,617 | ||||||
Legrand SA | 2,502 | 141,273 | ||||||
Mabuchi Motor Co., Ltd. | 500 | 26,978 | ||||||
Mitsubishi Electric Corp. | 18,000 | 263,896 | ||||||
Nidec Corp. | 2,300 | 214,860 | ||||||
OSRAM Licht AG | 837 | 49,694 | ||||||
Prysmian SpA | 1,838 | 46,786 | ||||||
Rockwell Automation, Inc. | 1,000 | 151,100 |
AB POOLING PORTFOLIOS • | 177 |
AB Volatility Management Portfolio—Portfolio of Investments
Company | Shares | U.S. $ Value | ||||||
| ||||||||
Schneider Electric SE (Paris) | 5,224 | $ | 353,954 | |||||
Vestas Wind Systems A/S | 2,091 | 154,838 | ||||||
|
| |||||||
2,554,754 | ||||||||
|
| |||||||
Industrial Conglomerates – 1.2% | ||||||||
3M Co. | 4,600 | 857,210 | ||||||
CK Hutchison Holdings Ltd. | 24,304 | 300,194 | ||||||
DCC PLC | 857 | 73,011 | ||||||
General Electric Co. | 69,354 | 2,067,443 | ||||||
Honeywell International, Inc. | 5,800 | 722,100 | ||||||
Jardine Matheson Holdings Ltd. | 2,500 | 155,135 | ||||||
Keihan Holdings Co., Ltd.(e) | 4,000 | 25,283 | ||||||
Keppel Corp., Ltd. | 13,000 | 63,088 | ||||||
Koninklijke Philips NV | 8,794 | 266,456 | ||||||
NWS Holdings Ltd. | 14,000 | 25,499 | ||||||
Roper Technologies, Inc. | 800 | 167,360 | ||||||
Seibu Holdings, Inc. | 1,708 | 29,252 | ||||||
Sembcorp Industries Ltd. | 9,000 | 20,529 | ||||||
Siemens AG (REG) | 7,094 | 922,225 | ||||||
Smiths Group PLC | 3,600 | 66,801 | ||||||
Toshiba Corp.(b)(e) | 37,000 | 67,971 | ||||||
|
| |||||||
5,829,557 | ||||||||
|
| |||||||
Machinery – 1.1% | ||||||||
Alfa Laval AB | 2,767 | 49,983 | ||||||
Alstom SA(b) | 1,488 | 40,379 | ||||||
Amada Holdings Co., Ltd. | 3,000 | 33,893 | ||||||
ANDRITZ AG | 710 | 37,090 | ||||||
Atlas Copco AB – Class A | 6,260 | 204,492 | ||||||
Atlas Copco AB – Class B | 3,723 | 109,872 | ||||||
Caterpillar, Inc. | 4,450 | 430,137 | ||||||
CNH Industrial NV | 9,212 | 85,314 | ||||||
Cummins, Inc. | 1,200 | 178,188 | ||||||
Deere & Co. | 2,250 | 246,352 | ||||||
Dover Corp. | 1,150 | 92,115 | ||||||
FANUC Corp. | 1,800 | 353,511 | ||||||
Flowserve Corp. | 950 | 44,127 | ||||||
Fortive Corp. | 2,275 | 131,154 | ||||||
GEA Group AG | 1,750 | 68,018 | ||||||
Hino Motors Ltd. | 2,000 | 23,198 | ||||||
Hitachi Construction Machinery Co., Ltd. | 1,000 | 23,235 | ||||||
Hoshizaki Corp. | 500 | 39,642 | ||||||
IHI Corp.(b) | 13,000 | 40,421 | ||||||
Illinois Tool Works, Inc. | 2,450 | 323,424 | ||||||
IMI PLC | 2,618 | 40,331 | ||||||
Ingersoll-Rand PLC | 1,950 | 154,752 | ||||||
JTEKT Corp. | 2,100 | 35,644 | ||||||
Kawasaki Heavy Industries Ltd. | 13,000 | 40,738 | ||||||
Komatsu Ltd. | 8,600 | 206,734 |
178 | • AB POOLING PORTFOLIOS |
AB Volatility Management Portfolio—Portfolio of Investments
Company | Shares | U.S. $ Value | ||||||
| ||||||||
Kone Oyj – Class B(e) | 3,153 | $ | 141,022 | |||||
Kubota Corp. | 10,000 | 159,125 | ||||||
Kurita Water Industries Ltd. | 900 | 21,477 | ||||||
Makita Corp. | 1,100 | 76,157 | ||||||
MAN SE | 344 | 35,311 | ||||||
Metso Oyj | 1,152 | 33,969 | ||||||
MINEBEA MITSUMI, Inc. | 3,000 | 36,920 | ||||||
Mitsubishi Heavy Industries Ltd. | 29,000 | 114,464 | ||||||
Nabtesco Corp. | 1,000 | 27,792 | ||||||
NGK Insulators Ltd. | 2,000 | 43,059 | ||||||
NSK Ltd. | 4,000 | 57,029 | ||||||
PACCAR, Inc. | 2,650 | 177,046 | ||||||
Parker-Hannifin Corp. | 1,050 | 162,582 | ||||||
Pentair PLC | 1,384 | 80,355 | ||||||
Sandvik AB | 9,663 | 131,170 | ||||||
Schindler Holding AG | 378 | 73,100 | ||||||
Schindler Holding AG (REG) | 199 | 38,105 | ||||||
SKF AB – Class B | 3,608 | 68,558 | ||||||
SMC Corp./Japan | 600 | 169,811 | ||||||
Snap-on, Inc. | 450 | 76,351 | ||||||
Stanley Black & Decker, Inc. | 1,150 | 146,222 | ||||||
Sumitomo Heavy Industries Ltd. | 5,000 | 35,338 | ||||||
THK Co., Ltd. | 1,100 | 28,359 | ||||||
Volvo AB – Class B | 13,972 | 182,051 | ||||||
Wartsila Oyj Abp(e) | 1,353 | 69,472 | ||||||
Weir Group PLC (The) | 2,040 | 47,659 | ||||||
Xylem, Inc./NY | 1,350 | 64,962 | ||||||
Yangzijiang Shipbuilding Holdings Ltd. | 16,000 | 10,555 | ||||||
Zardoya Otis SA | 1,511 | 12,043 | ||||||
|
| |||||||
5,352,808 | ||||||||
|
| |||||||
Marine – 0.1% | ||||||||
AP Moller - Maersk A/S – Class A | 37 | 57,342 | ||||||
AP Moller - Maersk A/S – Class B | 63 | 102,439 | ||||||
Mitsui OSK Lines Ltd. | 10,000 | 32,963 | ||||||
Nippon Yusen KK | 14,000 | 30,860 | ||||||
|
| |||||||
223,604 | ||||||||
|
| |||||||
Professional Services – 0.3% |
| |||||||
Adecco Group AG (REG) | 1,507 | 108,363 | ||||||
Bureau Veritas SA | 2,444 | 46,641 | ||||||
Capita PLC | 6,023 | 42,095 | ||||||
Dun & Bradstreet Corp. (The) | 300 | 31,662 | ||||||
Equifax, Inc. | 900 | 117,999 | ||||||
Experian PLC | 8,943 | 177,161 | ||||||
Intertek Group PLC | 1,569 | 68,693 | ||||||
Nielsen Holdings PLC | 2,738 | 121,458 | ||||||
Randstad Holding NV | 1,092 | 63,598 | ||||||
Recruit Holdings Co., Ltd. | 3,407 | 167,210 |
AB POOLING PORTFOLIOS • | 179 |
AB Volatility Management Portfolio—Portfolio of Investments
Company | Shares | U.S. $ Value | ||||||
| ||||||||
RELX NV | 9,329 | $ | 165,193 | |||||
RELX PLC | 10,034 | 187,402 | ||||||
Robert Half International, Inc. | 950 | 45,828 | ||||||
SEEK Ltd. | 2,732 | 32,845 | ||||||
SGS SA (REG) | 53 | 112,607 | ||||||
Verisk Analytics, Inc. – Class A(b) | 1,190 | 98,675 | ||||||
Wolters Kluwer NV | 2,853 | 116,934 | ||||||
|
| |||||||
1,704,364 | ||||||||
|
| |||||||
Road & Rail – 0.6% |
| |||||||
Aurizon Holdings Ltd. | 19,023 | 74,640 | ||||||
Central Japan Railway Co. | 1,337 | 218,867 | ||||||
ComfortDelGro Corp., Ltd. | 19,000 | 33,427 | ||||||
CSX Corp. | 7,250 | 352,060 | ||||||
DSV A/S | 1,745 | 85,800 | ||||||
East Japan Railway Co. | 3,100 | 280,451 | ||||||
Hankyu Hanshin Holdings, Inc. | 2,000 | 67,006 | ||||||
JB Hunt Transport Services, Inc. | 682 | 66,952 | ||||||
Kansas City Southern | 800 | 70,904 | ||||||
Keikyu Corp. | 4,000 | 44,048 | ||||||
Keio Corp. | 5,000 | 39,327 | ||||||
Keisei Electric Railway Co., Ltd. | 1,000 | 23,718 | ||||||
Kintetsu Group Holdings Co., Ltd. | 16,000 | 59,450 | ||||||
MTR Corp., Ltd. | 13,500 | 71,368 | ||||||
Nagoya Railroad Co., Ltd.(e) | 8,000 | 36,698 | ||||||
Nippon Express Co., Ltd. | 7,000 | 36,117 | ||||||
Norfolk Southern Corp. | 2,250 | 272,317 | ||||||
Odakyu Electric Railway Co., Ltd. | 2,500 | 49,424 | ||||||
Ryder System, Inc. | 400 | 30,460 | ||||||
Tobu Railway Co., Ltd. | 8,000 | 40,970 | ||||||
Tokyu Corp. | 9,000 | 66,724 | ||||||
Union Pacific Corp. | 6,400 | 690,816 | ||||||
West Japan Railway Co. | 1,527 | 101,130 | ||||||
|
| |||||||
2,812,674 | ||||||||
|
| |||||||
Trading Companies & Distributors – 0.4% |
| |||||||
AerCap Holdings NV(b) | 1,553 | 70,351 | ||||||
Ashtead Group PLC | 4,562 | 93,876 | ||||||
Brenntag AG | 1,492 | 85,500 | ||||||
Bunzl PLC | 3,196 | 89,452 | ||||||
Fastenal Co. | 2,150 | 107,565 | ||||||
ITOCHU Corp. | 14,000 | 202,740 | ||||||
Marubeni Corp. | 15,000 | 97,108 | ||||||
MISUMI Group, Inc. | 2,500 | 43,674 | ||||||
Mitsubishi Corp. | 14,000 | 316,038 | ||||||
Mitsui & Co., Ltd. | 15,800 | 241,859 | ||||||
Rexel SA | 2,873 | 46,484 | ||||||
Sumitomo Corp. | 11,000 | 147,853 | ||||||
Toyota Tsusho Corp. | 2,000 | 59,642 |
180 | • AB POOLING PORTFOLIOS |
AB Volatility Management Portfolio—Portfolio of Investments
Company | Shares | U.S. $ Value | ||||||
| ||||||||
Travis Perkins PLC | 2,270 | $ | 42,922 | |||||
United Rentals, Inc.(b) | 650 | 83,220 | ||||||
Wolseley PLC | 2,399 | 146,377 | ||||||
WW Grainger, Inc.(e) | 450 | 111,582 | ||||||
|
| |||||||
1,986,243 | ||||||||
|
| |||||||
Transportation Infrastructure – 0.1% |
| |||||||
Abertis Infraestructuras SA | 5,925 | 86,805 | ||||||
Aena SA(a) | 647 | 92,422 | ||||||
Aeroports de Paris | 292 | 33,126 | ||||||
Atlantia SpA | 3,742 | 87,616 | ||||||
Auckland International Airport Ltd. | 7,954 | 42,003 | ||||||
Fraport AG Frankfurt Airport Services Worldwide | 439 | 27,465 | ||||||
Groupe Eurotunnel SE (REG) | 4,297 | 40,089 | ||||||
Hutchison Port Holdings Trust – Class U | 43,600 | 16,558 | ||||||
Japan Airport Terminal Co., Ltd. | 500 | 17,487 | ||||||
Kamigumi Co., Ltd. | 2,039 | 19,132 | ||||||
Mitsubishi Logistics Corp. | 1,000 | 14,361 | ||||||
SATS Ltd. | 6,200 | 22,121 | ||||||
Sydney Airport | 9,122 | 42,375 | ||||||
Transurban Group | 18,447 | 156,004 | ||||||
|
| |||||||
697,564 | ||||||||
|
| |||||||
32,839,945 | ||||||||
|
| |||||||
Consumer Staples – 5.7% |
| |||||||
Beverages – 1.2% |
| |||||||
Anheuser-Busch InBev SA/NV | 7,065 | 772,816 | ||||||
Asahi Group Holdings Ltd. | 3,600 | 127,267 | ||||||
Brown-Forman Corp. – Class B | 1,500 | 73,140 | ||||||
Carlsberg A/S – Class B | 1,022 | 89,704 | ||||||
Coca-Cola Amatil Ltd. | 4,782 | 37,547 | ||||||
Coca-Cola Co. (The) | 29,550 | 1,239,918 | ||||||
Coca-Cola European Partners PLC | 2,091 | 72,993 | ||||||
Coca-Cola HBC AG(b) | 1,750 | 42,243 | ||||||
Constellation Brands, Inc. – Class A | 1,350 | 214,394 | ||||||
Diageo PLC | 23,368 | 658,857 | ||||||
Dr Pepper Snapple Group, Inc. | 1,400 | 130,816 | ||||||
Heineken Holding NV | 975 | 74,098 | ||||||
Heineken NV | 2,144 | 177,067 | ||||||
Kirin Holdings Co., Ltd. | 7,400 | 127,663 | ||||||
Molson Coors Brewing Co. – Class B | 1,400 | 140,546 | ||||||
Monster Beverage Corp.(b) | 3,180 | 131,779 | ||||||
PepsiCo, Inc. | 11,000 | 1,214,180 | ||||||
Pernod Ricard SA | 1,967 | 225,113 | ||||||
Remy Cointreau SA | 244 | 21,692 | ||||||
Suntory Beverage & Food Ltd. | 1,267 | 53,168 | ||||||
Treasury Wine Estates Ltd.(e) | 6,793 | 62,059 | ||||||
|
| |||||||
5,687,060 | ||||||||
|
|
AB POOLING PORTFOLIOS • | 181 |
AB Volatility Management Portfolio—Portfolio of Investments
Company | Shares | U.S. $ Value | ||||||
| ||||||||
Food & Staples Retailing – 1.0% |
| |||||||
Aeon Co., Ltd.(e) | 6,000 | $ | 89,459 | |||||
Carrefour SA | 5,214 | 124,556 | ||||||
Casino Guichard Perrachon SA | 561 | 29,674 | ||||||
Colruyt SA | 645 | 30,242 | ||||||
Costco Wholesale Corp. | 3,350 | 593,553 | ||||||
CVS Health Corp. | 8,150 | 656,727 | ||||||
Distribuidora Internacional de Alimentacion SA | 5,197 | 28,805 | ||||||
FamilyMart UNY Holdings Co., Ltd.(e) | 800 | 48,825 | ||||||
ICA Gruppen AB(e) | 823 | 26,703 | ||||||
J Sainsbury PLC | 15,093 | 50,101 | ||||||
Jeronimo Martins SGPS SA | 2,415 | 38,856 | ||||||
Koninklijke Ahold Delhaize NV | 11,809 | 251,379 | ||||||
Kroger Co. (The) | 7,250 | 230,550 | ||||||
Lawson, Inc. | 600 | 41,409 | ||||||
METRO AG(e) | 1,646 | 51,011 | ||||||
Seven & i Holdings Co., Ltd. | 7,000 | 274,122 | ||||||
Sundrug Co., Ltd. | 400 | 26,335 | ||||||
Sysco Corp. | 3,950 | 208,244 | ||||||
Tesco PLC(b) | 75,791 | 177,111 | ||||||
Tsuruha Holdings, Inc. | 400 | 37,008 | ||||||
Wal-Mart Stores, Inc. | 11,600 | 822,788 | ||||||
Walgreens Boots Alliance, Inc. | 6,550 | 565,789 | ||||||
Wesfarmers Ltd. | 10,527 | 344,559 | ||||||
Whole Foods Market, Inc. | 2,400 | 73,608 | ||||||
Wm Morrison Supermarkets PLC | 20,416 | 61,352 | ||||||
Woolworths Ltd.(e) | 11,793 | 232,751 | ||||||
|
| |||||||
5,115,517 | ||||||||
|
| |||||||
Food Products – 1.2% |
| |||||||
Ajinomoto Co., Inc. | 5,000 | 101,372 | ||||||
Archer-Daniels-Midland Co. | 4,450 | 209,016 | ||||||
Aryzta AG(b) | 855 | 27,656 | ||||||
Associated British Foods PLC | 3,349 | 108,842 | ||||||
Barry Callebaut AG (REG)(b) | 24 | 31,045 | ||||||
Calbee, Inc. | 800 | 27,182 | ||||||
Campbell Soup Co. | 1,350 | 80,123 | ||||||
Chocoladefabriken Lindt & Spruengli AG | 10 | 56,703 | ||||||
Chocoladefabriken Lindt & Spruengli AG (REG) | 1 | 64,778 | ||||||
Conagra Brands, Inc. | 3,300 | 135,993 | ||||||
Danone SA | 5,514 | 364,795 | ||||||
General Mills, Inc. | 4,500 | 271,665 | ||||||
Golden Agri-Resources Ltd. | 65,000 | 17,594 | ||||||
Hershey Co. (The) | 1,050 | 113,767 | ||||||
Hormel Foods Corp. | 2,050 | 72,263 | ||||||
JM Smucker Co. (The) | 900 | 127,557 | ||||||
Kellogg Co. | 1,900 | 140,733 | ||||||
Kerry Group PLC – Class A | 1,493 | 114,672 |
182 | • AB POOLING PORTFOLIOS |
AB Volatility Management Portfolio—Portfolio of Investments
Company | Shares | U.S. $ Value | ||||||
| ||||||||
Kikkoman Corp. | 2,000 | $ | 60,274 | |||||
Kraft Heinz Co. (The) | 4,550 | 416,370 | ||||||
Marine Harvest ASA(b) | 3,482 | 60,820 | ||||||
McCormick & Co., Inc./MD | 900 | 88,578 | ||||||
Mead Johnson Nutrition Co. – Class A | 1,400 | 122,906 | ||||||
MEIJI Holdings Co., Ltd. | 1,100 | 88,068 | ||||||
Mondelez International, Inc. – Class A | 11,750 | 516,060 | ||||||
Nestle SA (REG) | 28,856 | 2,129,519 | ||||||
NH Foods Ltd. | 2,000 | 53,415 | ||||||
Nisshin Seifun Group, Inc. | 2,000 | 30,125 | ||||||
Nissin Foods Holdings Co., Ltd. | 600 | 33,610 | ||||||
Orkla ASA | 7,387 | 64,938 | ||||||
Tate & Lyle PLC | 3,894 | 35,967 | ||||||
Toyo Suisan Kaisha Ltd. | 1,000 | 36,724 | ||||||
Tyson Foods, Inc. – Class A | 2,250 | 140,760 | ||||||
WH Group Ltd.(a) | 74,700 | 58,321 | ||||||
Wilmar International Ltd. | 17,000 | 44,080 | ||||||
Yakult Honsha Co., Ltd. | 800 | 43,740 | ||||||
Yamazaki Baking Co., Ltd. | 1,000 | 20,080 | ||||||
|
| |||||||
6,110,111 | ||||||||
|
| |||||||
Household Products – 0.8% |
| |||||||
Church & Dwight Co., Inc. | 1,968 | 98,085 | ||||||
Clorox Co. (The) | 1,000 | 136,810 | ||||||
Colgate-Palmolive Co. | 6,800 | 496,264 | ||||||
Henkel AG & Co. KGaA | 987 | 106,503 | ||||||
Henkel AG & Co. KGaA (Preference Shares) | 1,653 | 206,511 | ||||||
Kimberly-Clark Corp. | 2,750 | 364,513 | ||||||
Lion Corp. | 2,000 | 34,564 | ||||||
Procter & Gamble Co. (The) | 20,250 | 1,844,167 | ||||||
Reckitt Benckiser Group PLC | 5,902 | 535,900 | ||||||
Svenska Cellulosa AB SCA – Class B | 5,651 | 173,339 | ||||||
Unicharm Corp. | 3,700 | 83,258 | ||||||
|
| |||||||
4,079,914 | ||||||||
|
| |||||||
Personal Products – 0.5% |
| |||||||
Beiersdorf AG | 968 | 88,266 | ||||||
Coty, Inc. – Class A(e) | 3,652 | 68,585 | ||||||
Estee Lauder Cos., Inc. (The) – Class A | 1,700 | 140,845 | ||||||
Kao Corp. | 4,700 | 242,777 | ||||||
Kose Corp. | 309 | 26,508 | ||||||
L’Oreal SA | 2,362 | 439,742 | ||||||
Pola Orbis Holdings, Inc. | 250 | 23,894 | ||||||
Shiseido Co., Ltd. | 3,500 | 92,071 | ||||||
Unilever NV | 15,121 | 715,799 | ||||||
Unilever PLC | 11,940 | 566,452 | ||||||
|
| |||||||
2,404,939 | ||||||||
|
|
AB POOLING PORTFOLIOS • | 183 |
AB Volatility Management Portfolio—Portfolio of Investments
Company | Shares | U.S. $ Value | ||||||
| ||||||||
Tobacco – 1.0% |
| |||||||
Altria Group, Inc. | 14,850 | $ | 1,112,562 | |||||
British American Tobacco PLC | 17,286 | 1,091,862 | ||||||
Imperial Brands PLC | 8,943 | 420,994 | ||||||
Japan Tobacco, Inc. | 10,199 | 341,210 | ||||||
Philip Morris International, Inc. | 11,800 | 1,290,330 | ||||||
Reynolds American, Inc. | 6,288 | 387,152 | ||||||
Swedish Match AB | 1,789 | 55,658 | ||||||
|
| |||||||
4,699,768 | ||||||||
|
| |||||||
28,097,309 | ||||||||
|
| |||||||
Energy – 3.2% |
| |||||||
Energy Equipment & Services – 0.4% |
| |||||||
Baker Hughes, Inc. | 3,300 | 198,924 | ||||||
Halliburton Co. | 6,500 | 347,490 | ||||||
Helmerich & Payne, Inc. | 800 | 54,696 | ||||||
National Oilwell Varco, Inc. | 2,850 | 115,197 | ||||||
Petrofac Ltd. | 2,166 | 23,993 | ||||||
Saipem SpA(b)(e) | 50,853 | 23,216 | ||||||
Schlumberger Ltd. | 10,543 | 847,235 | ||||||
TechnipFMC PLC(b) | 3,676 | 118,808 | ||||||
Tenaris SA | 4,292 | 70,280 | ||||||
Transocean Ltd.(b)(e) | 2,565 | 35,448 | ||||||
|
| |||||||
1,835,287 | ||||||||
|
| |||||||
Oil, Gas & Consumable Fuels – 2.8% |
| |||||||
Anadarko Petroleum Corp. | 3,850 | 248,902 | ||||||
Apache Corp. | 2,850 | 149,882 | ||||||
BP PLC | 174,163 | 982,047 | ||||||
Cabot Oil & Gas Corp. | 3,500 | 76,650 | ||||||
Caltex Australia Ltd. | 2,467 | 53,207 | ||||||
Chesapeake Energy Corp.(b)(e) | 4,400 | 23,980 | ||||||
Chevron Corp. | 14,350 | 1,614,375 | ||||||
Cimarex Energy Co. | 733 | 92,153 | ||||||
Concho Resources, Inc.(b) | 997 | 132,053 | ||||||
ConocoPhillips | 9,400 | 447,158 | ||||||
Devon Energy Corp. | 3,950 | 171,272 | ||||||
Enagas SA | 2,060 | 50,540 | ||||||
Eni SpA | 23,412 | 361,182 | ||||||
EOG Resources, Inc. | 4,200 | 407,358 | ||||||
EQT Corp. | 1,300 | 77,857 | ||||||
Exxon Mobil Corp. | 31,503 | 2,561,824 | ||||||
Galp Energia SGPS SA | 4,648 | 68,414 | ||||||
Hess Corp. | 2,000 | 102,880 | ||||||
Idemitsu Kosan Co., Ltd. | 800 | 25,777 | ||||||
Inpex Corp. | 8,813 | 87,629 | ||||||
JX Holdings, Inc. | 19,000 | 90,575 | ||||||
Kinder Morgan, Inc./DE | 13,863 | 295,421 |
184 | • AB POOLING PORTFOLIOS |
AB Volatility Management Portfolio—Portfolio of Investments
Company | Shares | U.S. $ Value | ||||||
| ||||||||
Koninklijke Vopak NV | 688 | $ | 29,137 | |||||
Lundin Petroleum AB(b) | 1,830 | 37,458 | ||||||
Marathon Oil Corp. | 6,400 | 102,400 | ||||||
Marathon Petroleum Corp. | 4,000 | 198,400 | ||||||
Murphy Oil Corp. | 1,200 | 33,948 | ||||||
Neste Oyj | 1,217 | 42,360 | ||||||
Newfield Exploration Co.(b) | 1,450 | 52,867 | ||||||
Noble Energy, Inc. | 3,250 | 118,333 | ||||||
Occidental Petroleum Corp. | 5,800 | 380,190 | ||||||
Oil Search Ltd.(e) | 12,612 | 67,356 | ||||||
OMV AG | 1,407 | 53,783 | ||||||
ONEOK, Inc. | 1,550 | 83,778 | ||||||
Origin Energy Ltd.(b) | 15,858 | 79,388 | ||||||
Phillips 66 | 3,550 | 277,574 | ||||||
Pioneer Natural Resources Co. | 1,250 | 232,463 | ||||||
Range Resources Corp. | 1,250 | 34,525 | ||||||
Repsol SA | 10,051 | 148,687 | ||||||
Royal Dutch Shell PLC – Class A | 40,110 | 1,037,957 | ||||||
Royal Dutch Shell PLC – Class B | 34,728 | 940,038 | ||||||
Santos Ltd.(b) | 14,813 | 43,061 | ||||||
Showa Shell Sekiyu KK | 1,700 | 17,143 | ||||||
Snam SpA | 22,207 | 88,431 | ||||||
Southwestern Energy Co.(b) | 2,900 | 21,779 | ||||||
Statoil ASA | 10,407 | 183,488 | ||||||
Tesoro Corp. | 900 | 76,671 | ||||||
TonenGeneral Sekiyu KK | 2,000 | 23,973 | ||||||
TOTAL SA | 20,888 | 1,042,226 | ||||||
Valero Energy Corp. | 3,550 | 241,222 | ||||||
Williams Cos., Inc. (The) | 5,150 | 145,951 | ||||||
Woodside Petroleum Ltd. | 6,978 | 167,381 | ||||||
|
| |||||||
14,123,104 | ||||||||
|
| |||||||
15,958,391 | ||||||||
|
| |||||||
Materials – 2.8% |
| |||||||
Chemicals – 1.6% |
| |||||||
Air Liquide SA | 3,615 | 390,677 | ||||||
Air Products & Chemicals, Inc. | 1,500 | 210,705 | ||||||
Air Water, Inc. | 1,000 | 19,009 | ||||||
Akzo Nobel NV | 2,317 | 155,345 | ||||||
Albemarle Corp. | 861 | 87,400 | ||||||
Arkema SA | 676 | 65,531 | ||||||
Asahi Kasei Corp. | 11,000 | 107,192 | ||||||
BASF SE | 8,517 | 792,369 | ||||||
CF Industries Holdings, Inc. | 1,750 | 54,985 | ||||||
Chr Hansen Holding A/S | 905 | 53,961 | ||||||
Covestro AG(a) | 698 | 52,524 | ||||||
Croda International PLC | 1,214 | 52,849 | ||||||
Daicel Corp. | 2,000 | 24,278 |
AB POOLING PORTFOLIOS • | 185 |
AB Volatility Management Portfolio—Portfolio of Investments
Company | Shares | U.S. $ Value | ||||||
| ||||||||
Dow Chemical Co. (The) | 8,500 | $ | 529,210 | |||||
Eastman Chemical Co. | 1,100 | 88,275 | ||||||
Ecolab, Inc. | 2,000 | 247,940 | ||||||
EI du Pont de Nemours & Co. | 6,650 | 522,291 | ||||||
EMS-Chemie Holding AG (REG) | 79 | 44,950 | ||||||
Evonik Industries AG | 1,501 | 48,136 | ||||||
FMC Corp. | 1,000 | 57,620 | ||||||
Frutarom Industries Ltd. | 356 | 20,191 | ||||||
FUCHS PETROLUB SE (Preference Shares) | 705 | 32,613 | ||||||
Givaudan SA (REG) | 87 | 157,990 | ||||||
Hitachi Chemical Co., Ltd. | 1,000 | 28,217 | ||||||
Incitec Pivot Ltd. | 14,088 | 39,609 | ||||||
International Flavors & Fragrances, Inc. | 600 | 75,420 | ||||||
Israel Chemicals Ltd. | 4,259 | 18,147 | ||||||
Johnson Matthey PLC | 1,868 | 71,032 | ||||||
JSR Corp. | 1,800 | 30,787 | ||||||
K&S AG (REG)(e) | 1,810 | 42,271 | ||||||
Kaneka Corp. | 2,000 | 15,645 | ||||||
Kansai Paint Co., Ltd.(e) | 2,000 | 38,936 | ||||||
Koninklijke DSM NV | 1,715 | 112,734 | ||||||
Kuraray Co., Ltd. | 3,000 | 45,578 | ||||||
LANXESS AG | 872 | 59,167 | ||||||
Linde AG | 1,744 | 283,195 | ||||||
LyondellBasell Industries NV – Class A | 2,590 | 236,312 | ||||||
Mitsubishi Chemical Holdings Corp. | 12,500 | 96,115 | ||||||
Mitsubishi Gas Chemical Co., Inc. | 1,500 | 31,621 | ||||||
Mitsui Chemicals, Inc. | 8,000 | 40,710 | ||||||
Monsanto Co. | 3,300 | 375,639 | ||||||
Mosaic Co. (The) | 2,650 | 82,654 | ||||||
Nippon Paint Holdings Co., Ltd. | 2,000 | 64,597 | ||||||
Nissan Chemical Industries Ltd. | 1,000 | 32,248 | ||||||
Nitto Denko Corp. | 1,600 | 134,702 | ||||||
Novozymes A/S – Class B | 2,115 | 81,314 | ||||||
Orica Ltd. | 3,503 | 49,075 | ||||||
PPG Industries, Inc. | 2,000 | 204,860 | ||||||
Praxair, Inc. | 2,150 | 255,227 | ||||||
Sherwin-Williams Co. (The) | 600 | 185,124 | ||||||
Shin-Etsu Chemical Co., Ltd. | 3,600 | 304,910 | ||||||
Sika AG | 20 | 112,555 | ||||||
Solvay SA | 717 | 83,436 | ||||||
Sumitomo Chemical Co., Ltd. | 14,000 | 78,099 | ||||||
Symrise AG | 1,185 | 73,643 | ||||||
Syngenta AG (REG) | 869 | 374,556 | ||||||
Taiyo Nippon Sanso Corp. | 1,000 | 12,423 | ||||||
Teijin Ltd. | 1,600 | 30,618 | ||||||
Toray Industries, Inc. | 13,000 | 116,412 | ||||||
Umicore SA | 891 | 46,905 | ||||||
Yara International ASA | 1,645 | 62,450 | ||||||
|
| |||||||
7,842,984 | ||||||||
|
|
186 | • AB POOLING PORTFOLIOS |
AB Volatility Management Portfolio—Portfolio of Investments
Company | Shares | U.S. $ Value | ||||||
| ||||||||
Construction Materials – 0.2% |
| |||||||
Boral Ltd. | 9,006 | $ | 40,433 | |||||
CRH PLC | 7,787 | 263,252 | ||||||
Fletcher Building Ltd. | 5,766 | 40,058 | ||||||
HeidelbergCement AG | 1,390 | 129,775 | ||||||
Imerys SA | 373 | 30,113 | ||||||
James Hardie Industries PLC | 4,050 | 60,435 | ||||||
LafargeHolcim Ltd. (REG)(b) | 4,219 | 239,966 | ||||||
Martin Marietta Materials, Inc. | 498 | 107,543 | ||||||
Taiheiyo Cement Corp. | 11,000 | 38,624 | ||||||
Vulcan Materials Co. | 1,000 | 120,610 | ||||||
|
| |||||||
1,070,809 | ||||||||
|
| |||||||
Containers & Packaging – 0.1% |
| |||||||
Amcor Ltd./Australia | 10,496 | 112,971 | ||||||
Avery Dennison Corp. | 650 | 52,462 | ||||||
Ball Corp. | 1,050 | 77,206 | ||||||
International Paper Co. | 3,100 | 163,370 | ||||||
Sealed Air Corp. | 1,450 | 67,396 | ||||||
Toyo Seikan Group Holdings Ltd. | 1,500 | 27,186 | ||||||
WestRock Co. | 1,910 | 102,605 | ||||||
|
| |||||||
603,196 | ||||||||
|
| |||||||
Metals & Mining – 0.8% |
| |||||||
Alumina Ltd.(e) | 20,440 | 28,846 | ||||||
Anglo American PLC(b) | 13,033 | 204,637 | ||||||
Antofagasta PLC | 3,292 | 33,081 | ||||||
ArcelorMittal (Euronext Amsterdam)(b) | 16,670 | 146,684 | ||||||
BHP Billiton Ltd. | 29,822 | 564,473 | ||||||
BHP Billiton PLC | 19,516 | 314,558 | ||||||
Boliden AB | 2,552 | 77,710 | ||||||
Fortescue Metals Group Ltd. | 14,328 | 72,537 | ||||||
Freeport-McMoRan, Inc.(b) | 9,500 | 127,300 | ||||||
Fresnillo PLC | 2,126 | 39,011 | ||||||
Glencore PLC(b) | 113,447 | 452,264 | ||||||
Hitachi Metals Ltd. | 2,000 | 28,468 | ||||||
JFE Holdings, Inc. | 4,800 | 90,737 | ||||||
Kobe Steel Ltd.(b) | 2,800 | 27,169 | ||||||
Maruichi Steel Tube Ltd. | 500 | 15,837 | ||||||
Mitsubishi Materials Corp. | 1,000 | 33,201 | ||||||
Newcrest Mining Ltd. | 6,947 | 117,679 | ||||||
Newmont Mining Corp. | 4,000 | 136,960 | ||||||
Nippon Steel & Sumitomo Metal Corp. | 7,200 | 176,988 | ||||||
Norsk Hydro ASA | 12,469 | 70,595 | ||||||
Nucor Corp. | 2,400 | 150,168 | ||||||
Randgold Resources Ltd. | 898 | 82,584 | ||||||
Rio Tinto Ltd. | 3,983 | 188,836 | ||||||
Rio Tinto PLC | 11,517 | 472,038 | ||||||
South32 Ltd. | 48,996 | 93,282 |
AB POOLING PORTFOLIOS • | 187 |
AB Volatility Management Portfolio—Portfolio of Investments
Company | Shares | U.S. $ Value | ||||||
| ||||||||
Sumitomo Metal Mining Co., Ltd. | 4,000 | $ | 55,570 | |||||
thyssenkrupp AG(e) | 3,334 | 83,221 | ||||||
voestalpine AG | 1,089 | 45,756 | ||||||
|
| |||||||
3,930,190 | ||||||||
|
| |||||||
Paper & Forest Products – 0.1% |
| |||||||
Mondi PLC | 3,328 | 77,568 | ||||||
Oji Holdings Corp. | 7,000 | 33,529 | ||||||
Stora Enso Oyj – Class R | 5,117 | 54,877 | ||||||
UPM-Kymmene Oyj | 5,056 | 119,911 | ||||||
|
| |||||||
285,885 | ||||||||
|
| |||||||
13,733,064 | ||||||||
|
| |||||||
Telecommunication Services – 1.8% | ||||||||
Diversified Telecommunication | ||||||||
AT&T, Inc. | 46,792 | 1,955,438 | ||||||
Bezeq The Israeli Telecommunication Corp., Ltd. | 17,319 | 30,931 | ||||||
BT Group PLC | 78,241 | 316,177 | ||||||
CenturyLink, Inc.(e) | 4,150 | 100,679 | ||||||
Deutsche Telekom AG (REG) | 30,355 | 524,149 | ||||||
Elisa Oyj | 1,320 | 43,977 | ||||||
Frontier Communications Corp.(e) | 8,890 | 26,048 | ||||||
HKT Trust & HKT Ltd. – Class SS | 22,100 | 29,480 | ||||||
Iliad SA | 245 | 50,808 | ||||||
Inmarsat PLC | 3,757 | 33,196 | ||||||
Koninklijke KPN NV | 31,440 | 88,848 | ||||||
Level 3 Communications, Inc.(b) | 2,189 | 125,320 | ||||||
Nippon Telegraph & Telephone Corp. | 6,400 | 270,716 | ||||||
Orange SA | 18,333 | 276,232 | ||||||
PCCW Ltd. | 39,000 | 23,776 | ||||||
Proximus SADP | 1,432 | 42,102 | ||||||
SFR Group SA(b) | 817 | 23,819 | ||||||
Singapore Telecommunications Ltd. | 73,000 | 204,600 | ||||||
Spark New Zealand Ltd. | 15,278 | 39,483 | ||||||
Swisscom AG (REG) | 246 | 108,285 | ||||||
TDC A/S(b) | 6,780 | 36,431 | ||||||
Telecom Italia SpA/Milano (ordinary shares)(b) | 91,758 | 74,050 | ||||||
Telecom Italia SpA/Milano (savings shares)(b) | 50,334 | 33,369 | ||||||
Telefonica Deutschland Holding AG | 6,209 | 27,226 | ||||||
Telefonica SA | 43,177 | 439,540 | ||||||
Telenor ASA | 6,804 | 110,942 | ||||||
Telia Co. AB | 23,545 | 94,535 | ||||||
Telstra Corp., Ltd. | 38,778 | 143,225 | ||||||
TPG Telecom Ltd.(e) | 2,834 | 13,542 | ||||||
Verizon Communications, Inc. | 30,970 | 1,537,041 | ||||||
Vocus Group Ltd.(e) | 4,201 | 14,092 | ||||||
|
| |||||||
6,838,057 | ||||||||
|
|
188 | • AB POOLING PORTFOLIOS |
AB Volatility Management Portfolio—Portfolio of Investments
Company | Shares | U.S. $ Value | ||||||
| ||||||||
Wireless Telecommunication | ||||||||
KDDI Corp. | 17,008 | $ | 444,462 | |||||
Millicom International Cellular SA | 637 | 34,702 | ||||||
NTT DOCOMO, Inc. | 12,846 | 305,194 | ||||||
SoftBank Group Corp. | 8,900 | 663,984 | ||||||
StarHub Ltd. | 5,000 | 10,262 | ||||||
Tele2 AB – Class B | 3,355 | 29,957 | ||||||
Vodafone Group PLC | 246,710 | 617,852 | ||||||
|
| |||||||
2,106,413 | ||||||||
|
| |||||||
8,944,470 | ||||||||
|
| |||||||
Utilities – 1.7% |
| |||||||
Electric Utilities – 1.0% |
| |||||||
Alliant Energy Corp. | 1,741 | 68,735 | ||||||
American Electric Power Co., Inc. | 3,700 | 247,789 | ||||||
AusNet Services | 14,770 | 18,337 | ||||||
Cheung Kong Infrastructure Holdings Ltd. | 6,000 | 49,402 | ||||||
Chubu Electric Power Co., Inc. | 6,000 | 79,141 | ||||||
Chugoku Electric Power Co., Inc. (The) | 2,500 | 27,566 | ||||||
CLP Holdings Ltd. | 15,000 | 152,565 | ||||||
Contact Energy Ltd. | 6,015 | 21,174 | ||||||
DONG Energy A/S(a)(b) | 780 | 28,672 | ||||||
Duke Energy Corp. | 5,208 | 429,920 | ||||||
Edison International | 2,450 | 195,363 | ||||||
EDP – Energias de Portugal SA | 20,987 | 64,882 | ||||||
Electricite de France SA(e) | 2,084 | 20,431 | ||||||
Endesa SA | 2,904 | 61,766 | ||||||
Enel SpA | 70,699 | 303,418 | ||||||
Entergy Corp. | 1,350 | 103,491 | ||||||
Eversource Energy | 2,400 | 140,784 | ||||||
Exelon Corp. | 6,982 | 256,309 | ||||||
FirstEnergy Corp. | 3,200 | 103,776 | ||||||
Fortum Oyj | 4,025 | 61,718 | ||||||
HK Electric Investments & HK Electric Investments Ltd. – Class SS(a)(e) | 22,100 | 19,362 | ||||||
Hokuriku Electric Power Co.(e) | 1,500 | 14,838 | ||||||
Iberdrola SA | 50,140 | 332,918 | ||||||
Kansai Electric Power Co., Inc. (The)(b) | 6,500 | 72,086 | ||||||
Kyushu Electric Power Co., Inc. | 3,900 | 43,465 | ||||||
Mercury NZ Ltd.(e) | 5,845 | 13,262 | ||||||
NextEra Energy, Inc. | 3,500 | 458,500 | ||||||
PG&E Corp. | 3,750 | 250,312 | ||||||
Pinnacle West Capital Corp. | 850 | 69,862 | ||||||
Power Assets Holdings Ltd. | 12,500 | 112,139 | ||||||
PPL Corp. | 5,100 | 188,088 | ||||||
Red Electrica Corp. SA | 3,924 | 70,836 | ||||||
Southern Co. (The) | 7,100 | 360,822 | ||||||
SSE PLC | 9,361 | 178,854 |
AB POOLING PORTFOLIOS • | 189 |
AB Volatility Management Portfolio—Portfolio of Investments
Company | Shares | U.S. $ Value | ||||||
| ||||||||
Terna Rete Elettrica Nazionale SpA | 13,661 | $ | 63,250 | |||||
Tohoku Electric Power Co., Inc. | 4,200 | 53,982 | ||||||
Tokyo Electric Power Co. Holdings, Inc.(b) | 13,400 | 51,463 | ||||||
Xcel Energy, Inc. | 3,850 | 168,284 | ||||||
|
| |||||||
4,957,562 | ||||||||
|
| |||||||
Gas Utilities – 0.1% |
| |||||||
APA Group | 10,098 | 65,481 | ||||||
Gas Natural SDG SA | 3,178 | 61,770 | ||||||
Hong Kong & China Gas Co., Ltd. | 70,387 | 135,303 | ||||||
Osaka Gas Co., Ltd. | 17,000 | 65,655 | ||||||
Toho Gas Co., Ltd. | 3,000 | 21,623 | ||||||
Tokyo Gas Co., Ltd. | 18,000 | 81,929 | ||||||
|
| |||||||
431,761 | ||||||||
|
| |||||||
Independent Power and Renewable Electricity Producers – 0.0% | ||||||||
AES Corp./VA | 5,000 | 57,600 | ||||||
Electric Power Development Co., Ltd. | 1,400 | 32,922 | ||||||
Meridian Energy Ltd. | 10,701 | 20,814 | ||||||
NRG Energy, Inc. | 2,350 | 38,916 | ||||||
|
| |||||||
150,252 | ||||||||
|
| |||||||
Multi-Utilities – 0.6% |
| |||||||
AGL Energy Ltd. | 6,115 | 113,022 | ||||||
Ameren Corp. | 1,800 | 98,442 | ||||||
CenterPoint Energy, Inc. | 3,250 | 88,790 | ||||||
Centrica PLC | 49,169 | 138,509 | ||||||
CMS Energy Corp. | 2,100 | 93,492 | ||||||
Consolidated Edison, Inc. | 2,300 | 177,192 | ||||||
Dominion Resources, Inc./VA | 4,700 | 364,908 | ||||||
DTE Energy Co. | 1,350 | 136,863 | ||||||
DUET Group | 22,392 | 47,172 | ||||||
E.ON SE | 18,134 | 140,658 | ||||||
Engie SA | 13,547 | 165,751 | ||||||
Innogy SE(a)(b) | 1,277 | 45,862 | ||||||
National Grid PLC | 34,924 | 424,270 | ||||||
NiSource, Inc. | 2,400 | 57,384 | ||||||
Public Service Enterprise Group, Inc. | 3,800 | 174,724 | ||||||
RWE AG(b) | 4,435 | 63,160 | ||||||
SCANA Corp. | 1,100 | 76,285 | ||||||
Sempra Energy | 1,800 | 198,522 | ||||||
Suez | 3,029 | 45,418 | ||||||
United Utilities Group PLC | 6,180 | 75,098 | ||||||
Veolia Environnement SA | 4,440 | 72,762 | ||||||
WEC Energy Group, Inc. | 2,395 | 144,347 | ||||||
|
| |||||||
2,942,631 | ||||||||
|
|
190 | • AB POOLING PORTFOLIOS |
AB Volatility Management Portfolio—Portfolio of Investments
Company | Shares | U.S. $ Value | ||||||
| ||||||||
Water Utilities – 0.0% |
| |||||||
American Water Works Co., Inc. | 1,354 | $ | 105,612 | |||||
Severn Trent PLC | 2,132 | 61,873 | ||||||
|
| |||||||
167,485 | ||||||||
|
| |||||||
8,649,691 | ||||||||
|
| |||||||
Health Care Equipment & Services – 0.0% | ||||||||
Health Care Facilities – 0.0% | ||||||||
Chartwell Retirement Residences | 4,060 | 47,900 | ||||||
|
| |||||||
Consumer Services – 0.0% | ||||||||
Hotels, Resorts & Cruise Lines – 0.0% | ||||||||
Pandox AB | 1,126 | 17,763 | ||||||
|
| |||||||
Total Common Stocks | 303,096,718 | |||||||
|
| |||||||
INVESTMENT COMPANIES – 10.0% | ||||||||
Funds and Investment Trusts – 10.0% | ||||||||
F&C Commercial Property Trust Ltd. | 11,273 | 19,429 | ||||||
F&C UK Real Estate Investment Ltd. | 5,110 | 6,531 | ||||||
iShares International Developed Real Estate ETF(e)(f) | 354,899 | 9,766,820 | ||||||
Kennedy Wilson Europe Real Estate PLC | 2,150 | 25,878 | ||||||
MedicX Fund Ltd. | 8,425 | 9,226 | ||||||
Picton Property Income Ltd. (The) | 11,582 | 11,785 | ||||||
Schroder Real Estate Investment Trust Ltd. | 11,079 | 8,283 | ||||||
SPDR S&P MidCap 400 ETF Trust(f) | 95,010 | 29,895,847 | ||||||
Standard Life Investment Property Income Trust Ltd. | 8,122 | 8,718 | ||||||
UK Commercial Property Trust Ltd./fund(e) | 14,183 | 14,563 | ||||||
Vanguard REIT ETF(e)(f) | 115,888 | 9,880,611 | ||||||
|
| |||||||
Total Investment Companies | 49,647,691 | |||||||
|
| |||||||
SHORT-TERM INVESTMENTS – 28.4% | ||||||||
Investment Companies – 24.4% | ||||||||
AB Fixed Income Shares, Inc. – | 120,927,510 | 120,927,510 | ||||||
|
|
AB POOLING PORTFOLIOS • | 191 |
AB Volatility Management Portfolio—Portfolio of Investments
Principal Amount (000) | U.S. $ Value | |||||||
| ||||||||
U.S. Treasury Bills – 4.0% | ||||||||
U.S. Treasury Bill | $ | 10,000 | $ | 9,994,900 | ||||
Zero Coupon, 5/04/17(i) | 10,000 | 9,991,262 | ||||||
|
| |||||||
Total U.S. Treasury Bills | 19,986,162 | |||||||
|
| |||||||
Total Short-Term Investments | 140,913,672 | |||||||
|
| |||||||
Shares | ||||||||
Total Investments Before Security Lending Collateral – 99.6% | 493,658,081 | |||||||
|
| |||||||
INVESTMENTS OF CASH COLLATERAL FOR SECURITIES LOANED – 2.0% | ||||||||
Investment Companies – 2.0% | ||||||||
AB Fixed Income Shares, Inc. – Government Money Market Portfolio – Class AB, 0.39%(f)(g) | 9,742,323 | 9,742,323 | ||||||
|
| |||||||
Total Investments – 101.6% | 503,400,404 | |||||||
Other assets less liabilities – (1.6)% | (7,995,412 | ) | ||||||
|
| |||||||
Net Assets – 100.0% | $ | 495,404,992 | ||||||
|
|
FUTURES (see Note C)
Type | Number of Contracts | Expiration Month | Original Value | Value at February 28, 2017 | Unrealized Appreciation/ (Depreciation) | |||||||||||||||
Purchased Contracts | ||||||||||||||||||||
Euro STOXX 50 Index Futures | 700 | March 2017 | $ | 23,795,336 | $ | 24,650,107 | $ | 854,771 | ||||||||||||
FTSE 100 Index Futures | 182 | March 2017 | 15,580,486 | 16,408,024 | 827,538 | |||||||||||||||
MINI MSCI EAFE Futures | 6 | March 2017 | 509,183 | 523,650 | 14,467 | |||||||||||||||
S&P 500 E-Mini Futures | 397 | March 2017 | 46,405,934 | 46,901,580 | 495,646 | |||||||||||||||
TOPIX Index Futures | 65 | March 2017 | 8,921,743 | 8,875,339 | (46,404 | ) | ||||||||||||||
Sold Contracts | ||||||||||||||||||||
Hang Seng Index Futures | 32 | March 2017 | 4,974,444 | 4,893,429 | 81,015 | |||||||||||||||
SPI 200 Futures | 92 | March 2017 | 9,778,654 | 10,023,223 | (244,569 | ) | ||||||||||||||
|
| |||||||||||||||||||
$ | 1,982,464 | |||||||||||||||||||
|
|
192 | • 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) | ||||||||||||||||||||
Barclays Bank PLC | USD | 1,442 | GBP | 1,164 | 3/16/17 | $ | 3,068 | |||||||||||||||||
Barclays Bank PLC | USD | 16,393 | CAD | 21,437 | 6/15/17 | (236,117 | ) | |||||||||||||||||
BNP Paribas SA | AUD | 15,287 | USD | 11,176 | 3/16/17 | (540,674 | ) | |||||||||||||||||
BNP Paribas SA | GBP | 9,156 | USD | 11,429 | 3/16/17 | 63,877 | ||||||||||||||||||
BNP Paribas SA | JPY | 84,584 | USD | 768 | 3/16/17 | 15,224 | ||||||||||||||||||
BNP Paribas SA | USD | 12,267 | AUD | 15,968 | 3/16/17 | (27,935 | ) | |||||||||||||||||
BNP Paribas SA | USD | 11,112 | CHF | 11,263 | 3/16/17 | 110,573 | ||||||||||||||||||
BNP Paribas SA | USD | 11,040 | JPY | 1,156,933 | 3/16/17 | (736,817 | ) | |||||||||||||||||
BNP Paribas SA | USD | 12,863 | JPY | 1,496,069 | 3/16/17 | 460,660 | ||||||||||||||||||
BNP Paribas SA | USD | 6,353 | NOK | 54,460 | 3/16/17 | 143,987 | ||||||||||||||||||
BNP Paribas SA | USD | 16,274 | SEK | 147,105 | 3/16/17 | 33,888 | ||||||||||||||||||
BNP Paribas SA | USD | 4,695 | AUD | 6,123 | 6/15/17 | (10,502 | ) | |||||||||||||||||
Brown Brothers Harriman & Co. | JPY | 1,176,301 | USD | 10,629 | 3/16/17 | 153,186 | ||||||||||||||||||
Brown Brothers Harriman & Co. | USD | 5,673 | JPY | 595,996 | 3/16/17 | (365,485 | ) | |||||||||||||||||
Citibank, NA | CHF | 2,875 | USD | 2,869 | 3/16/17 | 3,984 | ||||||||||||||||||
Credit Suisse International | CHF | 20,724 | USD | 20,511 | 3/16/17 | (138,902 | ) | |||||||||||||||||
Credit Suisse International | EUR | 11,314 | USD | 11,996 | 3/16/17 | 2,651 | ||||||||||||||||||
Credit Suisse International | NOK | 54,460 | USD | 6,521 | 3/16/17 | 24,534 | ||||||||||||||||||
Credit Suisse International | SEK | 73,093 | USD | 8,096 | 3/16/17 | (7,502 | ) | |||||||||||||||||
Credit Suisse International | USD | 12,778 | CAD | 16,954 | 3/16/17 | (12,298 | ) | |||||||||||||||||
Credit Suisse International | USD | 922 | SEK | 8,387 | 3/16/17 | 7,684 | ||||||||||||||||||
Goldman Sachs Bank USA | JPY | 1,532,113 | USD | 13,887 | 3/16/17 | 242,213 | ||||||||||||||||||
Goldman Sachs Bank USA | USD | 1,788 | EUR | 1,679 | 3/16/17 | (8,877 | ) | |||||||||||||||||
Goldman Sachs Bank USA | USD | 12,836 | GBP | 10,224 | 3/16/17 | (145,739 | ) | |||||||||||||||||
JPMorgan Chase Bank, NA | GBP | 5,759 | USD | 7,123 | 3/16/17 | (24,825 | ) | |||||||||||||||||
JPMorgan Chase Bank, NA | SEK | 48,710 | USD | 5,321 | 3/16/17 | (78,976 | ) | |||||||||||||||||
JPMorgan Chase Bank, NA | USD | 776 | CHF | 780 | 3/16/17 | 1,697 | ||||||||||||||||||
JPMorgan Chase Bank, NA | USD | 1,793 | EUR | 1,679 | 3/16/17 | (13,169 | ) | |||||||||||||||||
JPMorgan Chase Bank, NA | USD | 5,557 | NZD | 7,730 | 6/15/17 | (6,113 | ) | |||||||||||||||||
Morgan Stanley & Co., Inc. | USD | 8,366 | EUR | 7,508 | 3/16/17 | (407,411 | ) | |||||||||||||||||
Morgan Stanley & Co., Inc. | USD | 563 | GBP | 463 | 3/16/17 | 11,226 | ||||||||||||||||||
Morgan Stanley & Co., Inc. | USD | 3,956 | GBP | 3,173 | 3/16/17 | (17,846 | ) | |||||||||||||||||
Royal Bank of Scotland PLC | EUR | 2,463 | USD | 2,606 | 3/16/17 | (5,008 | ) | |||||||||||||||||
Royal Bank of Scotland PLC | EUR | 4,130 | USD | 4,385 | 6/15/17 | (12,383 | ) | |||||||||||||||||
Standard Chartered Bank | USD | 1,822 | EUR | 1,708 | 3/16/17 | (11,759 | ) | |||||||||||||||||
Standard Chartered Bank | USD | 1,568 | JPY | 174,935 | 6/15/17 | (3,508 | ) | |||||||||||||||||
State Street Bank & Trust Co. | AUD | 1,432 | USD | 1,055 | 3/16/17 | (42,766 | ) | |||||||||||||||||
State Street Bank & Trust Co. | EUR | 1,116 | USD | 1,192 | 3/16/17 | 9,241 | ||||||||||||||||||
State Street Bank & Trust Co. | GBP | 843 | USD | 1,071 | 3/16/17 | 24,758 | ||||||||||||||||||
State Street Bank & Trust Co. | JPY | 327,005 | USD | 2,856 | 3/16/17 | (56,370 | ) | |||||||||||||||||
State Street Bank & Trust Co. | USD | 576 | AUD | 751 | 3/16/17 | (691 | ) | |||||||||||||||||
State Street Bank & Trust Co. | USD | 597 | CHF | 602 | 3/16/17 | 2,217 | ||||||||||||||||||
State Street Bank & Trust Co. | USD | 2,470 | EUR | 2,320 | 3/16/17 | (10,851 | ) | |||||||||||||||||
State Street Bank & Trust Co. | USD | 1,874 | JPY | 219,290 | 3/16/17 | 79,006 | ||||||||||||||||||
State Street Bank & Trust Co. | EUR | 4,787 | USD | 5,082 | 6/15/17 | (14,616 | ) | |||||||||||||||||
|
| |||||||||||||||||||||||
$ | (1,543,466 | ) | ||||||||||||||||||||||
|
|
AB POOLING PORTFOLIOS • | 193 |
AB Volatility Management Portfolio—Portfolio of Investments
TOTAL RETURN SWAPS (see Note C)
Counterparty & Referenced Obligation | # of Shares or Units | Rate Paid/ Received | Notional Amount (000) | Maturity Date | Unrealized Appreciation/ (Depreciation) | |||||||||||||||
Receive Total Return on Reference Obligation |
| |||||||||||||||||||
Goldman Sachs International | ||||||||||||||||||||
MSCI Emerging Markets Index | 101,521 | | LIBOR Plus 0.38% | | $ | 42,138 | 11/15/17 | $ | (234,259 | ) | ||||||||||
UBS AG | ||||||||||||||||||||
Russell 2000 Total Return Index | 3,266 | | LIBOR Minus 0.40% | | 22,291 | 2/15/18 | (273,559 | ) | ||||||||||||
|
| |||||||||||||||||||
$ | (507,818 | ) | ||||||||||||||||||
|
|
(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 February 28, 2017, the aggregate market value of these securities amounted to $607,306 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) | To obtain a copy of the Underlying Portfolios’ shareholder report, please go to the Securities and Exchange Commission’s website at www.sec.gov. Additionally, shareholder reports for AB funds can be obtained by calling AB at (800) 227-4618. |
(g) | Investment in affiliated money market mutual fund. The rate shown represents the 7-day yield as of period end. |
(h) | Position, or a portion thereof, has been segregated to collateralize margin requirements for open futures contracts. |
(i) | Position, or a portion thereof, has been segregated to collateralize OTC derivatives outstanding. |
Currency Abbreviations:
AUD – Australian Dollar
CAD – Canadian Dollar
CHF – Swiss Franc
EUR – Euro
GBP – Great British Pound
JPY – Japanese Yen
NOK – Norwegian Krone
NZD – New Zealand Dollar
SEK – Swedish Krona
USD – United States Dollar
Glossary:
ADR – American Depositary Receipt
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)
SPDR – Standard & Poor’s Depository Receipt
SPI – Share Price Index
TOPIX – Tokyo Price Index
See notes to financial statements.
194 | • AB POOLING PORTFOLIOS |
AB Volatility Management Portfolio—Portfolio of Investments
STATEMENT OF ASSETS & LIABILITIES
February 28, 2017 (unaudited)
AB U.S. Value | AB U.S. Large Cap Growth | AB International Value | ||||||||||
Assets | ||||||||||||
Investments in securities, at value | ||||||||||||
Unaffiliated issuers (cost $244,536,130, $198,860,771 and $230,772,257, respectively)(a) | $ | 309,200,732 | $ | 293,308,084 | $ | 254,871,833 | ||||||
Affiliated issuers (cost $0, $17,869,810 and $4,589,026,—including investment of cash collateral for securities loaned of $0, $0 and $1,683,950, respectively) | – 0 | – | 17,869,810 | 4,589,026 | ||||||||
Foreign currencies, at value (cost $0, $0 and $552,175, respectively) | – 0 | – | – 0 | – | 550,355 | |||||||
Receivable for investment securities sold | 1,858,016 | 823,623 | 7,324,309 | |||||||||
Unaffiliated dividends and interest receivable | 708,272 | 73,472 | 1,404,020 | |||||||||
Due from custodian | 62,428 | 59,353 | 44,059 | |||||||||
Other receivable | 23,273 | – 0 | – | 4,525 | ||||||||
Receivable due from Adviser | 1,089 | 9,623 | 2,362 | |||||||||
Affiliated dividends receivable | 156 | 5,626 | 699 | |||||||||
Unrealized appreciation of forward currency exchange contracts | – 0 | – | – 0 | – | 285,514 | |||||||
|
|
|
|
|
| |||||||
Total assets | 311,853,966 | 312,149,591 | 269,076,702 | |||||||||
|
|
|
|
|
| |||||||
Liabilities | ||||||||||||
Due to custodian | 618,814 | – 0 | – | – 0 | – | |||||||
Payable for shares of beneficial interest redeemed | 479,723 | – 0 | – | – 0 | – | |||||||
Administrative fee payable | 5,189 | 5,189 | 4,851 | |||||||||
Payable for investment securities purchased and foreign currency transactions | – 0 | – | 1,374,196 | 7,494,271 | ||||||||
Payable for collateral received on securities loaned | – 0 | – | – 0 | – | 1,683,950 | |||||||
Unrealized depreciation of forward currency exchange contracts | – 0 | – | – 0 | – | 319,453 | |||||||
Accrued expenses | 58,567 | 52,959 | 82,311 | |||||||||
|
|
|
|
|
| |||||||
Total liabilities | 1,162,293 | 1,432,344 | 9,584,836 | |||||||||
|
|
|
|
|
| |||||||
Net Assets | $ | 310,691,673 | $ | 310,717,247 | $ | 259,491,866 | ||||||
|
|
|
|
|
|
See notes to financial statements.
AB POOLING PORTFOLIOS • | 195 |
Statement of Assets & Liabilities
AB U.S. Value | AB U.S. Large Cap Growth | AB International Value | ||||||||||
Composition of Net Assets | ||||||||||||
Paid-in capital | $ | 516,927,216 | $ | 210,278,375 | $ | 686,370,165 | ||||||
Undistributed net investment income | 1,073,099 | 267,953 | 1,670,685 | |||||||||
Accumulated net realized gain (loss) on investment and foreign currency transactions | (271,973,244 | ) | 5,723,606 | (452,589,657 | ) | |||||||
Net unrealized appreciation on investments and foreign currency denominated assets and liabilities | 64,664,602 | 94,447,313 | 24,040,673 | |||||||||
|
|
|
|
|
| |||||||
Net Assets | $ | 310,691,673 | $ | 310,717,247 | $ | 259,491,866 | ||||||
|
|
|
|
|
| |||||||
Shares of beneficial interest outstanding—unlimited shares authorized, without par value | 21,285,670 | 33,937,719 | 35,387,409 | |||||||||
|
|
|
|
|
| |||||||
Net Asset Value | $ | 14.60 | $ | 9.16 | $ | 7.33 | ||||||
|
|
|
|
|
|
(a) | Includes securities on loan with a value of $0, $0 and $1,564,144, respectively (see Note D). |
See notes to financial statements.
196 | • AB POOLING PORTFOLIOS |
Statement of Assets & Liabilities
AB International Growth | AB Short Duration Bond | AB Global Core Bond | ||||||||||
Assets | ||||||||||||
Investments in securities, at value | ||||||||||||
Unaffiliated issuers (cost $220,212,004, $65,133,749 and $240,930,539, respectively)(a) | $ | 254,839,998 | $ | 64,981,398 | $ | 238,930,309 | ||||||
Affiliated issuers (cost $2,293,871, $0 and $0,—including investment of cash collateral for securities loaned of $1,748,351, $0 and $0, respectively) | 2,293,871 | – 0 | – | – 0 | – | |||||||
Cash | – 0 | – | 2,011,060 | 7,019,691 | ||||||||
Cash collateral due from broker | – 0 | – | 73,633 | 300,489 | ||||||||
Foreign currencies, at value (cost—$5,751,767 and $35,856, respectively) | – 0 | – | 5,739,669 | 35,668 | ||||||||
Receivable for investment securities sold | 1,200,647 | – 0 | – | 1,662,178 | ||||||||
Unrealized appreciation of forward currency exchange contracts | 1,120,213 | 8,081 | 1,177,361 | |||||||||
Unaffiliated dividends and interest receivable | 1,032,848 | 160,940 | 1,910,657 | |||||||||
Due from custodian | 45,998 | 44,802 | 62,179 | |||||||||
Receivable due from Adviser | 3,312 | 147,304 | – 0 | – | ||||||||
Affiliated dividends receivable | 330 | – 0 | – | – 0 | – | |||||||
Other receivable | – 0 | – | 2,899 | 1,901 | ||||||||
|
|
|
|
|
| |||||||
Total assets | 260,537,217 | 73,169,786 | 251,100,433 | |||||||||
|
|
|
|
|
| |||||||
Liabilities | ||||||||||||
Due to custodian | 861,329 | – 0 | – | – 0 | – | |||||||
Payable for collateral received on securities loaned | 1,748,351 | – 0 | – | – 0 | – | |||||||
Unrealized depreciation of forward currency exchange contracts | 404,099 | 22,466 | 818,090 | |||||||||
Administrative fee payable | 6,194 | 4,066 | 6,573 | |||||||||
Payable for investment securities purchased and foreign currency transactions | – 0 | – | 1,433,735 | 6,047,830 | ||||||||
Upfront premiums received on credit default swaps | – 0 | – | 55,994 | – 0 | – | |||||||
Payable for variation margin on exchange-traded derivatives | – 0 | – | 1,973 | 5,235 | ||||||||
Payable for shares of beneficial interest redeemed | – 0 | – | 246,913 | 133,265 | ||||||||
Swaptions written, at value (premiums received $0, $4,291 and $0, respectively) | – 0 | – | 4,488 | – 0 | – | |||||||
Unrealized depreciation on credit default swaps | – 0 | – | 42,746 | – 0 | – | |||||||
Accrued expenses | 72,749 | 51,479 | 91,306 | |||||||||
|
|
|
|
|
| |||||||
Total liabilities | 3,092,722 | 1,863,860 | 7,102,299 | |||||||||
|
|
|
|
|
| |||||||
Net Assets | $ | 257,444,495 | $ | 71,305,926 | $ | 243,998,134 | ||||||
|
|
|
|
|
|
See notes to financial statements.
AB POOLING PORTFOLIOS • | 197 |
Statement of Assets & Liabilities
AB International Growth | AB Short Duration Bond | AB Global Core Bond | ||||||||||
Composition of Net Assets | ||||||||||||
Paid-in capital | $ | 579,346,695 | $ | 142,101,398 | $ | 258,495,988 | ||||||
Distributions in excess of net investment income | (2,528,436 | ) | (97,667 | ) | (14,208,646 | ) | ||||||
Accumulated net realized gain (loss) on investment and foreign currency transactions | (354,685,253 | ) | (70,498,780 | ) | 1,467,711 | |||||||
Net unrealized appreciation/ (depreciation) on investments and foreign currency denominated assets and liabilities | 35,311,489 | (199,025 | ) | (1,756,919 | ) | |||||||
|
|
|
|
|
| |||||||
Net Assets | $ | 257,444,495 | $ | 71,305,926 | $ | 243,998,134 | ||||||
|
|
|
|
|
| |||||||
Shares of beneficial interest outstanding—unlimited shares authorized, without par value | 30,959,279 | 7,636,996 | 24,900,692 | |||||||||
|
|
|
|
|
| |||||||
Net Asset Value | $ | 8.32 | $ | 9.34 | $ | 9.80 | ||||||
|
|
|
|
|
|
(a) Includes securities on loan with a value of $1,631,307 for the AB International Growth
See notes to financial statements.
198 | • AB POOLING PORTFOLIOS |
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 $125,769,210, $68,214,139 and $66,690,601, respectively) | $ | 126,991,468 | $ | 88,010,313 | $ | 89,536,360 | ||||||
Affiliated issuers (cost $0, $2,565,150 and $2,106,856, respectively) | – 0 | – | 2,565,150 | 2,106,856 | ||||||||
Cash | 2,268,303 | – 0 | – | – 0 | – | |||||||
Cash collateral due from broker | 72,164 | – 0 | – | – 0 | – | |||||||
Foreign currencies, at value (cost $4,688,534, $0 and $0, respectively) | 4,714,552 | – 0 | – | – 0 | – | |||||||
Interest receivable | 375,366 | 43,165 | 12,913 | |||||||||
Unrealized appreciation on inflation swaps | 223,947 | – 0 | – | – 0 | – | |||||||
Receivable due from Adviser | 185,328 | 581 | 589 | |||||||||
Unrealized appreciation of forward currency exchange contracts | 82,651 | – 0 | – | – 0 | – | |||||||
Due from custodian | 36,022 | 27,085 | 27,197 | |||||||||
Unrealized appreciation on credit default swaps | 12,557 | – 0 | – | – 0 | – | |||||||
Receivable for variation margin on exchange-traded derivatives | 4,326 | – 0 | – | – 0 | – | |||||||
Receivable for investment securities sold | 6 | – 0 | – | 470,921 | ||||||||
Affiliated dividends receivable | – 0 | – | 448 | 365 | ||||||||
|
|
|
|
|
| |||||||
Total assets | 134,966,690 | 90,646,742 | 92,155,201 | |||||||||
|
|
|
|
|
| |||||||
Liabilities | ||||||||||||
Payable reverse repurchase agreements | 36,256,567 | – 0 | – | – 0 | – | |||||||
Upfront premiums received on credit default swaps | 118,329 | – 0 | – | – 0 | – | |||||||
Payable for shares of beneficial interest redeemed | 112,955 | – 0 | – | 65,943 | ||||||||
Unrealized depreciation on credit default swaps | 100,327 | – 0 | – | – 0 | – | |||||||
Unrealized depreciation of forward currency exchange contracts | 95,007 | – 0 | – | – 0 | – | |||||||
Custody fee payable | 53,884 | 11,908 | 18,750 | |||||||||
Payable for variation margin on exchange-traded derivatives | 26,992 | – 0 | – | – 0 | – | |||||||
Legal fee payable | 17,938 | 18,168 | 18,934 | |||||||||
Audit and tax fee payable | 12,534 | 5,976 | 5,976 | |||||||||
Administrative fee payable | 8,126 | 6,126 | 10,307 | |||||||||
Printing fee payable | 1,676 | 2,492 | 2,216 | |||||||||
Payable for investment securities purchased | – 0 | – | – 0 | – | 1,027,661 | |||||||
Swaptions written, at value (premiums received $5,874, $0 and $0, respectively) | 6,142 | – 0 | – | – 0 | – | |||||||
Accrued expenses | 11,313 | 2,019 | 4,397 | |||||||||
|
|
|
|
|
| |||||||
Total liabilities | 36,821,790 | 46,689 | 1,154,184 | |||||||||
|
|
|
|
|
| |||||||
Net Assets | $ | 98,144,900 | $ | 90,600,053 | $ | 91,001,017 | ||||||
|
|
|
|
|
|
See notes to financial statements.
AB POOLING PORTFOLIOS • | 199 |
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 | $ | 107,437,069 | $ | 65,991,191 | $ | 66,314,528 | ||||||
Undistributed net investment income | 1,218,638 | 21,508 | 18,540 | |||||||||
Accumulated net realized gain (loss) on investment and foreign currency transactions | (11,548,091 | ) | 4,791,180 | 1,822,190 | ||||||||
Net unrealized appreciation on investments and foreign currency denominated assets and liabilities | 1,037,284 | 19,796,174 | 22,845,759 | |||||||||
|
|
|
|
|
| |||||||
Net Assets | $ | 98,144,900 | $ | 90,600,053 | $ | 91,001,017 | ||||||
|
|
|
|
|
| |||||||
Shares of beneficial interest outstanding—unlimited shares authorized, without par value | 10,364,122 | 8,458,678 | 9,860,942 | |||||||||
|
|
|
|
|
| |||||||
Net Asset Value | $ | 9.47 | $ | 10.71 | $ | 9.23 | ||||||
|
|
|
|
|
|
See notes to financial statements.
200 | • AB POOLING PORTFOLIOS |
Statement of Assets & Liabilities
AB Multi-Asset Real Return* | AB Volatility Management | |||||||
Assets | ||||||||
Investments in securities, at value | ||||||||
Unaffiliated issuers (cost | $ | 768,724,674 | $ | 372,730,571 | ||||
Affiliated issuers (cost | 60,828,429 | 130,669,833 | ||||||
Cash collateral due from broker | 6,798,886 | 5,838,818 | ||||||
Foreign currencies, at value (cost | 11,899,592 | 2,255,242 | ||||||
Unrealized appreciation of forward currency exchange contracts | 12,468,129 | 1,393,674 | ||||||
Unrealized appreciation on inflation swaps | 8,974,666 | – 0 | – | |||||
Receivable for investment securities sold and foreign currency transactions | 6,548,362 | 2,047,418 | ||||||
Unaffiliated dividends and interest receivable | 2,181,969 | 1,415,911 | ||||||
Unrealized appreciation on total return swaps | 1,432,252 | – 0 | – | |||||
Receivable for variation margin on exchange-traded derivatives | 713,428 | – 0 | – | |||||
Receivable for terminated total return swaps | 567,672 | – 0 | – | |||||
Receivable for shares of beneficial interest sold | 58,219 | 128,410 | ||||||
Due from custodian | 51,281 | 35,002 | ||||||
Receivable due from Adviser | 27,097 | 23,147 | ||||||
Affiliated dividends receivable | 10,734 | 44,293 | ||||||
Other receivable | 9,114 | 11 | ||||||
|
|
|
| |||||
Total assets | 881,294,504 | 516,582,330 | ||||||
|
|
|
| |||||
Liabilities | ||||||||
Due to custodian | 28,596,346 | – 0 | – | |||||
Payable for collateral received on securities loaned | 23,294,918 | 9,742,323 | ||||||
Unrealized depreciation of forward currency exchange contracts | 11,599,694 | 2,937,140 | ||||||
Cash collateral due to broker | 6,973,206 | 230,000 | ||||||
Payable for investment securities purchased and foreign currency transactions | 5,197,160 | 239,993 | ||||||
Unrealized depreciation on total return swaps | 1,380,268 | 507,818 | ||||||
Payable for terminated total return swaps | 490,957 | 54,513 | ||||||
Unrealized depreciation on inflation swaps | 61,071 | – 0 | – | |||||
Administrative fee payable | 6,670 | 8,826 | ||||||
Transfer Agent fee payable | 904 | – 0 | – | |||||
Payable for variation margin on exchange-traded derivatives | – 0 | – | 5,757,385 | |||||
Payable for shares of beneficial interest redeemed | – 0 | – | 1,463,563 | |||||
Accrued expenses and other liabilities | 330,019 | 235,777 | ||||||
|
|
|
| |||||
Total liabilities | 77,931,213 | 21,177,338 | ||||||
|
|
|
| |||||
Net Assets | $ | 803,363,291 | $ | 495,404,992 | ||||
|
|
|
|
See notes to financial statements.
AB POOLING PORTFOLIOS • | 201 |
Statement of Assets & Liabilities
AB Multi-Asset Real Return* | AB Volatility Management | |||||||
Composition of Net Assets | ||||||||
Paid-in capital | $ | 1,170,975,627 | $ | 398,231,062 | ||||
Distributions in excess of net investment income | (3,474,502 | ) | 334,766 | |||||
Accumulated net realized gain (loss) on investment and foreign currency transactions | (385,378,838 | ) | 10,035,869 | |||||
Net unrealized appreciation on investments and foreign currency denominated assets and liabilities | 21,241,004 | 86,803,295 | ||||||
|
|
|
| |||||
Net Assets | $ | 803,363,291 | $ | 495,404,992 | ||||
|
|
|
| |||||
Shares of beneficial interest outstanding—unlimited shares authorized, without par value | 181,435,078 | 53,243,463 | ||||||
|
|
|
| |||||
Net Asset Value | $ | 4.43 | $ | 9.30 | ||||
|
|
|
|
* | Consolidated (see Note A). |
(a) | Includes securities on loan with a value of $22,471,468 and $9,296,324, respectively (see Note D). |
See notes to financial statements.
202 | • AB POOLING PORTFOLIOS |
Statement of Assets & Liabilities
STATEMENT OF OPERATIONS
Six Months Ended February 28, 2017 (unaudited)
AB U.S. Value | AB U.S. Large Cap Growth | AB International Value | ||||||||||
Investment Income | ||||||||||||
Dividends | ||||||||||||
Unaffiliated issuers (net of foreign taxes withheld of $17,386, $0 and $233,116, respectively) | $ | 3,329,837 | $ | 1,078,962 | $ | 2,284,419 | ||||||
Affiliated issuers | 7,422 | 34,838 | 9,233 | |||||||||
Securities lending income | 5,362 | 0 | 69,402 | |||||||||
Other income(a) | 62,428 | 59,353 | 44,059 | |||||||||
|
|
|
|
|
| |||||||
Total income | 3,405,049 | 1,173,153 | 2,407,113 | |||||||||
|
|
|
|
|
| |||||||
Expenses | ||||||||||||
Custodian | 38,159 | 38,721 | 47,252 | |||||||||
Legal | 21,325 | 21,385 | 14,834 | |||||||||
Administrative | 19,724 | 19,724 | 16,601 | |||||||||
Trustees’ fees | 12,900 | 12,900 | 7,911 | |||||||||
Audit and tax | 6,059 | 6,059 | 2,790 | |||||||||
Printing | 1,424 | 1,503 | 2,090 | |||||||||
Registration fees | – 0 | – | 128 | – 0 | – | |||||||
Miscellaneous | 1,323 | 1,429 | 4,355 | |||||||||
|
|
|
|
|
| |||||||
Total expenses | 100,914 | 101,849 | 95,833 | |||||||||
Less: expenses waived and reimbursed by the Adviser (see Notes B and D) | (4,195 | ) | (20,730 | ) | (4,484 | ) | ||||||
|
|
|
|
|
| |||||||
Net expenses | 96,719 | 81,119 | 91,349 | |||||||||
|
|
|
|
|
| |||||||
Net investment income | 3,308,330 | 1,092,034 | 2,315,764 | |||||||||
|
|
|
|
|
| |||||||
Realized and Unrealized Gain (Loss) on Investment and Foreign Currency Transactions | ||||||||||||
Net realized gain on: | ||||||||||||
Investment transactions | 17,276,910 | 13,824,595 | 3,033,215 | |||||||||
Futures | – 0 | – | – 0 | – | 29,585 | |||||||
Foreign currency transactions | – 0 | – | – 0 | – | 741,784 | |||||||
Net change in unrealized appreciation/depreciation of: | ||||||||||||
Investments | 13,416,418 | 9,572,618 | 11,888,658 | |||||||||
Futures | – 0 | – | – 0 | – | (24,720 | ) | ||||||
Foreign currency denominated assets and liabilities | – 0 | – | – 0 | – | (173,632 | ) | ||||||
|
|
|
|
|
| |||||||
Net gain on investment and foreign currency transactions | 30,693,328 | 23,397,213 | 15,494,890 | |||||||||
|
|
|
|
|
| |||||||
Net Increase in Net Assets from Operations | $ | 34,001,658 | $ | 24,489,247 | $ | 17,810,654 | ||||||
|
|
|
|
|
|
(a) Other income represents a non-recurring refund for overbilling of prior years’ custody out-of-pocket fees.
See notes to financial statements.
AB POOLING PORTFOLIOS • | 203 |
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 $171,869, $0 and $0, respectively) | $ | 1,268,335 | $ | – 0 | – | $ | – 0 | – | ||||
Affiliated issuers | 16,184 | – 0 | – | – 0 | – | |||||||
Interest (net of foreign taxes withheld of $0, $X and $X, respectively) | – 0 | – | 395,682 | 3,139,828 | ||||||||
Securities lending income | 150,598 | – 0 | – | – 0 | – | |||||||
Other income(a) | 45,998 | 44,802 | 62,544 | |||||||||
|
|
|
|
|
| |||||||
Total income | 1,481,115 | 440,484 | 3,202,372 | |||||||||
|
|
|
|
|
| |||||||
Expenses | ||||||||||||
Custodian | 55,581 | 37,886 | 81,888 | |||||||||
Legal | 21,245 | 21,133 | 22,578 | |||||||||
Administrative | 21,205 | 20,690 | 23,856 | |||||||||
Trustees’ fees | 12,901 | 13,147 | 13,165 | |||||||||
Audit and tax | 8,760 | 6,944 | 6,941 | |||||||||
Printing | 1,465 | 62 | – 0 | – | ||||||||
Registration fees | – 0 | – | – 0 | – | 105 | |||||||
Miscellaneous | 2,722 | 9,632 | 17,482 | |||||||||
|
|
|
|
|
| |||||||
Total expenses | 123,879 | 109,494 | 166,015 | |||||||||
Less: expenses waived and reimbursed by the Adviser (see Notes B and D) | (8,116 | ) | (83,655 | ) | – 0 | – | ||||||
|
|
|
|
|
| |||||||
Net expenses | 115,763 | 25,839 | 166,015 | |||||||||
|
|
|
|
|
| |||||||
Net investment income | 1,365,352 | 414,645 | 3,036,357 | |||||||||
|
|
|
|
|
| |||||||
Realized and Unrealized Gain (Loss) on Investment and Foreign Currency Transactions | ||||||||||||
Net realized gain (loss) on: | ||||||||||||
Investment transactions | 2,427,585 | (b) | 422,404 | 1,262,335 | ||||||||
Futures | – 0 | – | (111,409 | ) | 1,090,038 | |||||||
Swaptions written | – 0 | – | 1,498 | – 0 | – | |||||||
Swaps | – 0 | – | 10,188 | – 0 | – | |||||||
Foreign currency transactions | 1,949,116 | 64,474 | 1,095,115 | |||||||||
Net change in unrealized appreciation/depreciation of: | ||||||||||||
Investments | (4,161,624 | )(c) | (277,645 | ) | (11,255,367 | ) | ||||||
Futures | – 0 | – | 38,233 | 132,263 | ||||||||
Swaptions written | – 0 | – | (197 | ) | – 0 | – | ||||||
Swaps | – 0 | – | (35,859 | ) | – 0 | – | ||||||
Foreign currency denominated assets and liabilities | (1,525,156 | ) | 65,021 | 540,224 | ||||||||
Net gain (loss) on investment and foreign currency transactions | (1,310,079 | ) | 176,708 | (7,135,392 | ) | |||||||
Contributions from Affiliates (see Note B) | – 0 | – | 1,859 | 9,284 | ||||||||
|
|
|
|
|
| |||||||
Net Increase (Decrease) in Net Assets from Operations | $ | 55,273 | $ | 593,212 | $ | (4,089,751 | ) | |||||
|
|
|
|
|
|
(a) | Other income represents a non-recurring refund for overbilling of prior years’ custody out-of-pocket fees. |
(b) | Net of foreign capital gains taxes of $110,739. |
(c) | Net of decrease in accrued foreign capital gains taxes of $106,538. |
See notes to financial statements.
204 | • AB POOLING PORTFOLIOS |
Statement of Operations
AB Bond Inflation Protection | AB Small-Mid Cap Value | AB Small-Mid Cap Growth | ||||||||||
Investment Income | ||||||||||||
Interest | $ | 929,631 | $ | – 0 | – | $ | – 0 | – | ||||
Dividends | ||||||||||||
Unaffiliated issuers | – 0 | – | 527,150 | 476,052 | ||||||||
Affiliated issuers | – 0 | – | 2,174 | 2,462 | ||||||||
Other income(a) | 36,022 | 27,085 | 27,197 | |||||||||
|
|
|
|
|
| |||||||
Total income | 965,653 | 556,409 | 505,711 | |||||||||
|
|
|
|
|
| |||||||
Expenses | ||||||||||||
Custodian | 62,753 | 28,443 | 32,305 | |||||||||
Administrative | 27,858 | 22,654 | 33,842 | |||||||||
Legal | 20,027 | 20,257 | 21,789 | |||||||||
Audit and tax | 14,153 | 6,343 | 6,287 | |||||||||
Trustees’ fees | 13,184 | 13,165 | 16,296 | |||||||||
Registration fees | 77 | – 0 | – | 63 | ||||||||
Printing | – 0 | – | 980 | 1,808 | ||||||||
Miscellaneous | 33,003 | 12 | 206 | |||||||||
|
|
|
|
|
| |||||||
Total expenses before interest expense | 171,055 | 91,854 | 112,596 | |||||||||
Interest expense | 144,551 | – 0 | – | – 0 | – | |||||||
|
|
|
|
|
| |||||||
Total expenses | 315,606 | 91,854 | 112,596 | |||||||||
Less: expenses waived and reimbursed by the Adviser (see Notes B and D) | (121,322 | ) | (1,342 | ) | (1,545 | ) | ||||||
|
|
|
|
|
| |||||||
Net expenses | 194,284 | 90,512 | 111,051 | |||||||||
|
|
|
|
|
| |||||||
Net investment income | 771,369 | 465,897 | 394,660 | |||||||||
|
|
|
|
|
| |||||||
Realized and Unrealized Gain (Loss) on Investment and Foreign Currency Transactions | ||||||||||||
Net realized gain (loss) on: | ||||||||||||
Investment transactions | 448,130 | 7,566,822 | 4,139,643 | |||||||||
Futures | (224,116 | ) | – 0 | – | – 0 | – | ||||||
Options written | 3,000 | – 0 | – | – 0 | – | |||||||
Swaptions written | 7,795 | – 0 | – | – 0 | – | |||||||
Swaps | 100,981 | – 0 | – | – 0 | – | |||||||
Foreign currency transactions | (778,047 | ) | – 0 | – | – 0 | – | ||||||
Net change in unrealized appreciation/depreciation of: | ||||||||||||
Investments | (541,374 | ) | 4,439,797 | 3,976,401 | ||||||||
Futures | 47,644 | – 0 | – | – 0 | – | |||||||
Swaptions written | (268 | ) | – 0 | – | – 0 | – | ||||||
Swaps | 880,461 | – 0 | – | – 0 | – | |||||||
Foreign currency denominated assets and liabilities | 570,246 | – 0 | – | – 0 | – | |||||||
|
|
|
|
|
| |||||||
Net gain on investment and foreign currency transactions | 514,452 | 12,006,619 | 8,116,044 | |||||||||
|
|
|
|
|
| |||||||
Contributions from Affiliates (see Note B) | 718 | – 0 | – | – 0 | – | |||||||
|
|
|
|
|
| |||||||
Net Increase in Net Assets from Operations | $ | 1,286,539 | $ | 12,472,516 | $ | 8,510,704 | ||||||
|
|
|
|
|
|
(a) | Other income represents a non-recurring refund for overbilling of prior years’ custody out-of-pocket fees. |
See notes to financial statements.
AB POOLING PORTFOLIOS • | 205 |
Statement of Operations
AB Multi-Asset Real Return* | AB Volatility Management | |||||||
Investment Income | ||||||||
Dividends | ||||||||
Unaffiliated issuers (net of foreign taxes withheld of $375,589 and $94,000, respectively) | $ | 10,740,175 | $ | 4,164,678 | ||||
Affiliated issuers | 101,153 | 276,384 | ||||||
Interest | (133,130 | )** | 30,341 | |||||
Securities lending income | 323,942 | 53,945 | ||||||
Other income(a) | – 0 | – | 35,002 | |||||
|
|
|
| |||||
Total income | 11,032,140 | 4,560,350 | ||||||
|
|
|
| |||||
Expenses | ||||||||
Custodian | 238,164 | 130,751 | ||||||
Audit and tax | 38,387 | 45,745 | ||||||
Administrative | 23,106 | 22,963 | ||||||
Legal | 20,751 | 19,575 | ||||||
Printing | 20,227 | 3,253 | ||||||
Trustees’ fees | 13,179 | 12,450 | ||||||
Transfer agency | 5,904 | – 0 | – | |||||
Miscellaneous | 88,467 | 924 | ||||||
|
|
|
| |||||
Total expenses | 448,185 | 235,661 | ||||||
Less: expenses waived and reimbursed by the Adviser (see Note B and D) | (51,468 | ) | (164,995 | ) | ||||
|
|
|
| |||||
Net expenses | 396,717 | 70,666 | ||||||
|
|
|
| |||||
Net investment income | 10,635,423 | 4,489,684 | ||||||
|
|
|
| |||||
Realized and Unrealized Gain (Loss) on Investment and Foreign Currency Transactions | ||||||||
Net realized gain (loss) on: | ||||||||
Investment transactions | 5,327,905 | (b) | 650,474 | |||||
Futures | (1,213,224 | ) | 3,480,769 | |||||
Options written | 1,818,700 | – 0 | – | |||||
Swaps | 11,496,704 | 11,455,811 | ||||||
Foreign currency transactions | 13,288,592 | (3,811,579 | ) | |||||
Net change in unrealized appreciation/depreciation of: | ||||||||
Investments | 1,898,306 | (c) | 13,580,003 | |||||
Futures | 1,044,205 | 2,961,354 | ||||||
Options written | (94,126 | ) | – 0 | – | ||||
Swaps | 21,487,031 | (3,138,971 | ) | |||||
Foreign currency denominated assets and liabilities | (2,217,716 | ) | (524,698 | ) | ||||
|
|
|
| |||||
Net gain on investment and foreign currency transactions | 52,836,377 | 24,653,163 | ||||||
|
|
|
| |||||
Contributions from Affiliates (see Note B) | 2,306 | – 0 | – | |||||
|
|
|
| |||||
Net Increase in Net Assets from Operations | $ | 63,474,106 | $ | 29,142,847 | ||||
|
|
|
|
* | 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) | Other income represents a non-recurring refund for overbilling of prior years’ custody out-of-pocket fees |
(b) | Net of foreign capital gains taxes of $1,667 |
(c) | Net of decrease in accrued foreign capital gains taxes of $2,836. |
See notes to financial statements.
206 | • AB POOLING PORTFOLIOS |
Statement of Operations
STATEMENT OF CHANGES IN NET ASSETS
AB U.S. Value | ||||||||
Six Months Ended February 28, 2017 (unaudited) | Year Ended August 31, 2016 | |||||||
Increase in Net Assets from Operations | ||||||||
Net investment income | $ | 3,308,330 | $ | 7,863,709 | ||||
Net realized gain on investment transactions | 17,276,910 | 16,614,475 | ||||||
Net change in unrealized appreciation/depreciation of investments | 13,416,418 | 3,990,533 | ||||||
|
|
|
| |||||
Net increase in net assets from operations | 34,001,658 | 28,468,717 | ||||||
Dividends to Shareholders from | ||||||||
Net investment income | (3,685,167 | ) | (8,840,609 | ) | ||||
Transactions in Shares of Beneficial Interest | ||||||||
Net decrease | (40,110,194 | ) | (148,615,817 | ) | ||||
|
|
|
| |||||
Total decrease | (9,793,703 | ) | (128,987,709 | ) | ||||
Net Assets | ||||||||
Beginning of period | 320,485,376 | 449,473,085 | ||||||
|
|
|
| |||||
End of period (including undistributed net investment income of $1,073,099 and $1,449,936, respectively) | $ | 310,691,673 | $ | 320,485,376 | ||||
|
|
|
|
See notes to financial statements.
AB POOLING PORTFOLIOS • | 207 |
Statement of Changes in Net Assets
AB U.S. Large Cap Growth | ||||||||
Six Months Ended February 28, 2017 (unaudited) | Year Ended August 31, 2016 | |||||||
Increase (Decrease) in Net Assets from Operations | ||||||||
Net investment income | $ | 1,092,034 | $ | 2,601,092 | ||||
Net realized gain on investment transactions | 13,824,595 | 56,445,569 | ||||||
Net change in unrealized appreciation/depreciation of investments | 9,572,618 | (18,306,376 | ) | |||||
|
|
|
| |||||
Net increase in net assets from operations | 24,489,247 | 40,740,285 | ||||||
Dividends and Distributions to Shareholders from | ||||||||
Net investment income | (1,189,545 | ) | (3,015,819 | ) | ||||
Net realized gain on investment transactions | (53,602,844 | ) | (87,350,839 | ) | ||||
Transactions in Shares of Beneficial Interest | ||||||||
Net increase (decrease) | 22,161,697 | (85,100,105 | ) | |||||
|
|
|
| |||||
Total decrease | (8,141,445 | ) | (134,726,478 | ) | ||||
Net Assets | ||||||||
Beginning of period | 318,858,692 | 453,585,170 | ||||||
|
|
|
| |||||
End of period (including undistributed net investment income of $267,953 and $365,464, respectively) | $ | 310,717,247 | $ | 318,858,692 | ||||
|
|
|
|
See notes to financial statements.
208 | • AB POOLING PORTFOLIOS |
Statement of Changes in Net Assets
AB International Value | ||||||||
Six Months Ended February 28, 2017 (unaudited) | Year Ended August 31, 2016 | |||||||
Increase (Decrease) in Net Assets from Operations | ||||||||
Net investment income | $ | 2,315,764 | $ | 8,021,817 | ||||
Net realized gain (loss) on investment and foreign currency transactions | 3,804,584 | (29,822,613 | ) | |||||
Net change in unrealized appreciation/depreciation of investments and foreign currency denominated assets and liabilities | 11,690,306 | 38,161,135 | ||||||
|
|
|
| |||||
Net increase in net assets from operations | 17,810,654 | 16,360,339 | ||||||
Dividends to Shareholders from | ||||||||
Net investment income | (4,466,008 | ) | (15,426,120 | ) | ||||
Transactions in Shares of Beneficial Interest | ||||||||
Net decrease | (24,230,280 | ) | (102,945,995 | ) | ||||
|
|
|
| |||||
Total decrease | (10,885,634 | ) | (102,011,776 | ) | ||||
Net Assets | ||||||||
Beginning of period | 270,377,500 | 372,389,276 | ||||||
|
|
|
| |||||
End of period (including undistributed net investment income of $1,670,685 and $3,820,929, respectively) | $ | 259,491,866 | $ | 270,377,500 | ||||
|
|
|
|
See notes to financial statements.
AB POOLING PORTFOLIOS • | 209 |
Statement of Changes in Net Assets
AB International Growth | ||||||||
Six Months Ended February 28, 2017 (unaudited) | Year Ended August 31, 2016 | |||||||
Increase (Decrease) in Net Assets from Operations | ||||||||
Net investment income | $ | 1,365,352 | $ | 5,458,453 | ||||
Net realized gain (loss) on investment and foreign currency transactions | 4,376,701 | (14,327,144 | ) | |||||
Net change in unrealized appreciation/depreciation of investments and foreign currency denominated assets and liabilities | (5,686,780 | ) | 30,509,817 | |||||
|
|
|
| |||||
Net increase in net assets from operations | 55,273 | 21,641,126 | ||||||
Dividends to Shareholders from | ||||||||
Net investment income | (10,520,257 | ) | (5,100,976 | ) | ||||
Transactions in Shares of Beneficial Interest | ||||||||
Net decrease | (1,335,821 | ) | (122,545,024 | ) | ||||
|
|
|
| |||||
Total decrease | (11,800,805 | ) | (106,004,874 | ) | ||||
Net Assets | ||||||||
Beginning of period | 269,245,300 | 375,250,174 | ||||||
|
|
|
| |||||
End of period (including distributions in excess of net investment income of ($2,528,436) and undistributed net investment income of $6,626,469, respectively) | $ | 257,444,495 | $ | 269,245,300 | ||||
|
|
|
|
See notes to financial statements.
210 | • AB POOLING PORTFOLIOS |
Statement of Changes in Net Assets
AB Short Duration Bond | ||||||||
Six Months Ended February 28, 2017 (unaudited) | Year Ended August 31, 2016 | |||||||
Increase (Decrease) in Net Assets from Operations | ||||||||
Net investment income | $ | 414,645 | $ | 7,418,619 | ||||
Net realized gain (loss) on investment transactions | 387,155 | (768,263 | ) | |||||
Net change in unrealized appreciation/depreciation of investments and foreign currency denominated assets and liabilities | (210,447 | ) | 1,364,175 | |||||
Contributions from Affiliates (see Note B) | 1,859 | – 0 | – | |||||
|
|
|
| |||||
Net increase in net assets from operations | 593,212 | 8,014,531 | ||||||
Dividends to Shareholders from | ||||||||
Net investment income | (973,258 | ) | (8,834,321 | ) | ||||
Transactions in Shares of Beneficial Interest | ||||||||
Net decrease | (6,568,703 | ) | (819,330,972 | ) | ||||
|
|
|
| |||||
Total decrease | (6,948,749 | ) | (820,150,762 | ) | ||||
Net Assets | ||||||||
Beginning of period | 78,254,675 | 898,405,437 | ||||||
|
|
|
| |||||
End of period (including distributions in excess of net investment income of ($97,667) and undistributed net investment income of $460,946, respectively) | $ | 71,305,926 | $ | 78,254,675 | ||||
|
|
|
|
See notes to financial statements.
AB POOLING PORTFOLIOS • | 211 |
Statement of Changes in Net Assets
AB Global Core Bond | ||||||||
Six Months Ended February 28, 2017 (unaudited) | Year Ended August 31, 2016 | |||||||
Increase (Decrease) in Net Assets from Operations | ||||||||
Net investment income | $ | 3,036,357 | $ | 18,050,396 | ||||
Net realized gain on investment and foreign currency transactions | 3,447,488 | 6,289,828 | ||||||
Net change in unrealized appreciation/depreciation of investments and foreign currency denominated assets and liabilities | (10,582,880 | ) | 23,520,039 | |||||
Contributions from Affiliates (see Note B) | 9,284 | – 0 | – | |||||
|
|
|
| |||||
Net increase (decrease) in net assets from operations | (4,089,751 | ) | 47,860,263 | |||||
Dividends and Distributions to Shareholders from | ||||||||
Net investment income | (2,216,492 | ) | (40,864,714 | ) | ||||
Net realized gain on investment transactions | (5,741,100 | ) | – 0 | – | ||||
Transactions in Shares of Beneficial Interest | ||||||||
Net decrease | (4,268,915 | ) | (677,676,520 | ) | ||||
|
|
|
| |||||
Total decrease | (16,316,258 | ) | (670,680,971 | ) | ||||
Net Assets | ||||||||
Beginning of period | 260,314,392 | 930,995,363 | ||||||
|
|
|
| |||||
End of period (including distributions in excess of net investment income of ($14,208,646) and ($15,028,511), respectively) | $ | 243,998,134 | $ | 260,314,392 | ||||
|
|
|
|
See notes to financial statements.
212 | • AB POOLING PORTFOLIOS |
Statement of Changes in Net Assets
AB Bond Inflation Protection | ||||||||
Six Months Ended February 28, 2017 (unaudited) | Year Ended August 31, 2016 | |||||||
Increase (Decrease) in Net Assets from Operations | ||||||||
Net investment income | $ | 771,369 | $ | 6,994,050 | ||||
Net realized loss on investment and foreign currency transactions | (442,257 | ) | (3,967,984 | ) | ||||
Net change in unrealized appreciation/depreciation of investments and foreign currency denominated assets and liabilities | 956,709 | 20,603,086 | ||||||
Contributions from Affiliates (see Note B) | 718 | 314 | ||||||
|
|
|
| |||||
Net increase in net assets from operations | 1,286,539 | 23,629,466 | ||||||
Dividends to Shareholders from | ||||||||
Net investment income | (5,660,726 | ) | (16,335,075 | ) | ||||
Transactions in Shares of Beneficial Interest | ||||||||
Net decrease | (2,400,230 | ) | (619,393,342 | ) | ||||
|
|
|
| |||||
Total decrease | (6,774,417 | ) | (612,098,951 | ) | ||||
Net Assets | ||||||||
Beginning of period | 104,919,317 | 717,018,268 | ||||||
|
|
|
| |||||
End of period (including undistributed net investment income of $1,218,638 and $6,107,995, respectively) | $ | 98,144,900 | $ | 104,919,317 | ||||
|
|
|
|
See notes to financial statements.
AB POOLING PORTFOLIOS • | 213 |
Statement of Changes in Net Assets
AB Small-Mid Cap Value | ||||||||
Six Months Ended February 28, 2017 (unaudited) | Year Ended August 31, 2016 | |||||||
Increase (Decrease) in Net Assets from Operations | ||||||||
Net investment income | $ | 465,897 | $ | 2,738,650 | ||||
Net realized gain on investment transactions | 7,566,822 | 26,070,148 | ||||||
Net change in unrealized appreciation/depreciation of investments | 4,439,797 | (15,832,485 | ) | |||||
|
|
|
| |||||
Net increase in net assets from operations | 12,472,516 | 12,976,313 | ||||||
Dividends and Distributions to Shareholders from | ||||||||
Net investment income | (690,893 | ) | (3,408,270 | ) | ||||
Net realized gain on investment transactions | (11,775,718 | ) | (30,013,388 | ) | ||||
Transactions in Shares of Beneficial Interest | ||||||||
Net decrease | (3,263,968 | ) | (167,420,311 | ) | ||||
|
|
|
| |||||
Total decrease | (3,258,063 | ) | (187,865,656 | ) | ||||
Net Assets | ||||||||
Beginning of period | 93,858,116 | 281,723,772 | ||||||
|
|
|
| |||||
End of period (including undistributed net investment income of $21,508 and $246,504, respectively) | $ | 90,600,053 | $ | 93,858,116 | ||||
|
|
|
|
See notes to financial statements.
214 | • AB POOLING PORTFOLIOS |
Statement of Changes in Net Assets
AB Small-Mid Cap Growth | ||||||||
Six Months Ended February 28, 2017 (unaudited) | Year Ended August 31, 2016 | |||||||
Increase (Decrease) in Net Assets from Operations | ||||||||
Net investment income | $ | 394,660 | $ | 694,446 | ||||
Net realized gain on investment transactions | 4,139,643 | 34,976,529 | ||||||
Net change in unrealized appreciation/depreciation of investments | 3,976,401 | (45,603,605 | ) | |||||
|
|
|
| |||||
Net increase (decrease) in net assets from operations | 8,510,704 | (9,932,630 | ) | |||||
Dividends and Distributions to Shareholders from | ||||||||
Net investment income | (562,442 | ) | (601,209 | ) | ||||
Net realized gain on investment transactions | (9,895,701 | ) | (34,385,309 | ) | ||||
Transactions in Shares of Beneficial Interest | ||||||||
Net decrease | (667,562 | ) | (141,337,970 | ) | ||||
|
|
|
| |||||
Total decrease | (2,615,001 | ) | (186,257,118 | ) | ||||
Net Assets | ||||||||
Beginning of period | 93,616,018 | 279,873,136 | ||||||
|
|
|
| |||||
End of period (including undistributed net investment income of $18,540 and $186,322, respectively) | $ | 91,001,017 | $ | 93,616,018 | ||||
|
|
|
|
See notes to financial statements.
AB POOLING PORTFOLIOS • | 215 |
Statement of Changes in Net Assets
AB Multi-Asset Real Return* | ||||||||
Six Months Ended February 28, 2017 (unaudited) | Year Ended August 31, 2016 | |||||||
Increase (Decrease) in Net Assets from Operations | ||||||||
Net investment income | $ | 10,635,423 | $ | 14,682,835 | ||||
Net realized gain (loss) on investment and foreign currency transactions | 30,718,677 | (151,675,242 | ) | |||||
Net change in unrealized appreciation/depreciation of investments and foreign currency denominated assets and liabilities | 22,117,700 | 100,644,179 | ||||||
Contributions from Affiliates (see Note B) | 2,306 | 308 | ||||||
|
|
|
| |||||
Net increase (decrease) in net assets from operations | 63,474,106 | (36,347,920 | ) | |||||
Dividends to Shareholders from | ||||||||
Net investment income | (24,779,957 | ) | (24,008,166 | ) | ||||
Transactions in Shares of Beneficial Interest | ||||||||
Net increase (decrease) | (180,321,645 | ) | 172,520,241 | |||||
|
|
|
| |||||
Total increase (decrease) | (141,627,496 | ) | 112,164,155 | |||||
Net Assets | ||||||||
Beginning of period | 944,990,787 | 832,826,632 | ||||||
|
|
|
| |||||
End of period (including distributions in excess of net investment income of ($3,474,502) and undistributed net investment income of $10,670,032, respectively) | $ | 803,363,291 | $ | 944,990,787 | ||||
|
|
|
|
* | Consolidated (see Note A). |
See notes to financial statements.
216 | • AB POOLING PORTFOLIOS |
Statement of Changes in Net Assets
AB Volatility Management | ||||||||
Six Months Ended February 28, 2017 (unaudited) | Year Ended August 31, 2016 | |||||||
Increase (Decrease) in Net Assets from Operations | ||||||||
Net investment income | $ | 4,489,684 | $ | 20,831,509 | ||||
Net realized gain on investment and foreign currency transactions | 11,775,475 | 69,891,018 | ||||||
Net change in unrealized appreciation/depreciation of investments and foreign currency denominated assets and liabilities | 12,877,688 | (63,358,564 | ) | |||||
|
|
|
| |||||
Net increase in net assets from operations | 29,142,847 | 27,363,963 | ||||||
Dividends and Distributions to Shareholders from | ||||||||
Net investment income | (39,027,528 | ) | (27,908,683 | ) | ||||
Net realized gain on investment transactions | (63,566,942 | ) | (34,208,680 | ) | ||||
Transactions in Shares of Beneficial Interest | ||||||||
Net increase (decrease) | 54,954,444 | (729,328,486 | ) | |||||
|
|
|
| |||||
Total decrease | (18,497,179 | ) | (764,081,886 | ) | ||||
Net Assets | ||||||||
Beginning of period | 513,902,171 | 1,277,984,057 | ||||||
|
|
|
| |||||
End of period (including undistributed net investment income of $334,766 and $34,872,610, respectively) | $ | 495,404,992 | $ | 513,902,171 | ||||
|
|
|
|
See notes to financial statements.
AB POOLING PORTFOLIOS • | 217 |
Statement of Changes in Net Assets
STATEMENT OF CASH FLOWS
For the Six Months Ended February 28, 2017 (unaudited)
AB Bond Inflation Protection* | ||||||||
Cash Flows from Operating Activities | ||||||||
Net increase in net assets from operations | $ | 1,286,539 | ||||||
Reconciliation of Net Increase in Net Assets from Operations to Net Increase in Cash from Operating Activities: | ||||||||
Purchases of long-term investments | $ | (23,294,766 | ) | |||||
Purchases of short-term investments | (44,070 | ) | ||||||
Proceeds from disposition of long-term investments | 33,584,904 | |||||||
Proceeds from disposition of short-term investments | 905,557 | |||||||
Net realized loss on investment transactions and foreign currency transactions | 442,257 | |||||||
Net change in unrealized appreciation/depreciation of investments and foreign currency denominated assets and liabilities | (956,709 | ) | ||||||
Net accretion of bond discount and amortization of bond premium | 211,829 | |||||||
Inflation index adjustment | (144,585 | ) | ||||||
Decrease in receivable for investments sold | 1,250,279 | |||||||
Increase in interest receivable | (11,154 | ) | ||||||
Increase in receivable due from Adviser | (121,322 | ) | ||||||
Increase due from custodian | (36,022 | ) | ||||||
Increase in cash collateral due from broker | (72,164 | ) | ||||||
Decrease in payable for investments purchased | (1,153,401 | ) | ||||||
Decrease in administrative fee payable | (223 | ) | ||||||
Decrease in accrued expenses | (28,044 | ) | ||||||
Proceeds from options written, net | 3,000 | |||||||
Proceeds from swaptions written, net | 13,669 | |||||||
Proceeds on swaps, net | 46,977 | |||||||
Proceeds for exchange-traded derivatives settlements | 607,832 | |||||||
|
| |||||||
Total adjustments | 11,203,844 | |||||||
|
| |||||||
Net Increase in Cash from Operating Activities | $ | 12,490,383 | ||||||
|
| |||||||
Cash Flows from Financing Activities | ||||||||
Redemptions of beneficial interest stock, net | (7,948,001 | ) | ||||||
Cash dividends paid (net of dividend reinvestments)** | – 0 | – | ||||||
Repayment of reverse repurchase agreements | (3,281,141 | ) | ||||||
|
| |||||||
Net decrease in cash from financing activities | (11,229,142 | ) | ||||||
Effect of exchange rate on cash | (583,689 | ) | ||||||
|
| |||||||
Net increase in cash | 677,552 | |||||||
Net change in cash | ||||||||
Cash at beginning of period | 6,305,303 | |||||||
|
| |||||||
Cash at end of period | $ | 6,982,855 | ||||||
|
| |||||||
** Reinvestment of dividends | $ | 5,660,726 | ||||||
Supplemental disclosure of cash flow information: | ||||||||
Interest expense paid during the period | $ | 129,442 |
* | In accordance with U.S. GAAP, the Portfolio has included a Statement of Cash Flows as a result of its significant investments in reverse repurchase agreements throughout the period. |
See notes to financial statements.
218 | • AB POOLING PORTFOLIOS |
Statement of Cash Flows
NOTES TO FINANCIAL STATEMENTS
February 28, 2017 (unaudited)
NOTE A
Significant Accounting Policies
The AB Pooling Portfolios (the “Trust”) was organized as a Massachusetts business trust on November 11, 2004 and is registered under the Investment Company Act of 1940 as a diversified, open-end management investment company. The Trust is currently comprised of 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”). As part of AB Multi-Asset Real Return Portfolio’s investment strategy, the Portfolio seeks to gain exposure to commodities and commodities-related instruments and derivatives primarily through investments in AllianceBernstein Cayman Inflation Pooling Subsidiary, Ltd., a wholly-owned subsidiary of the Portfolio organized under the laws of the Cayman Islands (the “Subsidiary”). The Subsidiary was incorporated and commenced operations on October 18, 2010. The AB Multi-Asset Real Return Portfolio is the sole shareholder of the Subsidiary and it is intended that the Portfolio will remain the sole shareholder and will continue to control the Subsidiary. Under the Articles of Association of the Subsidiary, shares issued by the Subsidiary confer upon a shareholder the right to receive notice of, to attend and to vote at general meetings of the Subsidiary and shall confer upon the shareholder rights in a winding-up or repayment of capital and the right to participate in the profits or assets of the Subsidiary. As of February 28, 2017, net assets of the AB Multi-Asset Real Return Portfolio amounted to $803,363,291, of which $156,288,442, or 19%, represented the Portfolio’s ownership of all issued shares and voting rights of the Subsidiary. This report presents the consolidated financial statements and consolidated portfolio of investments of AB Multi-Asset Real Return Portfolio and the Subsidiary. All intercompany transactions and balances have been eliminated in consolidation. Each Portfolio is considered to be a separate entity for financial reporting and tax purposes. Shares of the Portfolios are offered exclusively to mutual funds advised by and certain other institutional clients of AllianceBernstein L.P. (the “Adviser”). A Portfolio’s shares may be purchased at the relevant net asset value without a sales charge or other fee. The financial statements have been prepared in conformity with U.S. generally accepted accounting principles (“U.S. GAAP”) which require management to make certain estimates and assumptions that affect the reported amounts of assets and liabilities in the financial statements and amounts of income and expenses during the reporting period. Actual results could differ from those estimates. Each Portfolio is an investment company under U.S. GAAP and follows
AB POOLING PORTFOLIOS • | 219 |
Notes to Financial Statements
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 where broker-dealer quotes are obtained, the Adviser may establish procedures whereby changes in
220 | • AB POOLING PORTFOLIOS |
Notes to Financial Statements
market yields or spreads are used to adjust, on a daily basis, a recently obtained quoted price on a security. Swaps and other derivatives are valued daily, primarily using independent pricing services, independent pricing models using market inputs, as well as third party broker-dealers or counterparties. Open end mutual funds are valued at the closing net asset value per share, while exchange traded funds are valued at the closing market price per share.
Securities for which market quotations are not readily available (including restricted securities) or are deemed unreliable are valued at fair value as deemed appropriate by the Adviser. Factors considered in making this determination may include, but are not limited to, information obtained by contacting the issuer, analysts, analysis of the issuer’s financial statements or other available documents. In addition, the Portfolios may use fair value pricing for securities primarily traded in non-U.S. markets because most foreign markets close well before the Portfolios value their securities at 4:00 p.m., Eastern Time. The earlier close of these foreign markets gives rise to the possibility that significant events, including broad market moves, may have occurred in the interim and may materially affect the value of those securities. To account for this, the Portfolios 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 |
• | Level 2—other significant observable inputs (including quoted prices for similar investments, interest rates, prepayment speeds, credit risk, etc.) |
AB POOLING PORTFOLIOS • | 221 |
Notes to Financial Statements
• | 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 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
222 | • AB POOLING PORTFOLIOS |
Notes to Financial Statements
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.
The following table summarizes the valuation of the Portfolios’ investments by the above fair value hierarchy levels as of February 28, 2017:
AB U.S. Value Portfolio | ||||||||||||||||
Investments in Securities: | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Assets: | ||||||||||||||||
Common Stocks(a) | $ | 309,200,732 | $ | – 0 | – | $ | – 0 | – | $ | 309,200,732 | ||||||
|
|
|
|
|
|
|
| |||||||||
Total Investments in Securities | 309,200,732 | – 0 | – | – 0 | – | 309,200,732 | ||||||||||
Other Financial Instruments(b) | – 0 | – | – 0 | – | – 0 | – | – 0 | – | ||||||||
|
|
|
|
|
|
|
| |||||||||
Total(c) | $ | 309,200,732 | $ | – 0 | – | $ | – 0 | – | $ | 309,200,732 | ||||||
|
|
|
|
|
|
|
|
AB POOLING PORTFOLIOS • | 223 |
Notes to Financial Statements
AB U.S. Large Cap Growth Portfolio | ||||||||||||||||
Investments in Securities: | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Assets: | ||||||||||||||||
Common Stocks(a) | $ | 293,308,084 | $ | – 0 | – | $ | – 0 | – | $ | 293,308,084 | ||||||
Short-Term Investments | 17,869,810 | – 0 | – | – 0 | – | 17,869,810 | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Investments in Securities | 311,177,894 | – 0 | – | – 0 | – | 311,177,894 | ||||||||||
Other Financial Instruments(b) | – 0 | – | – 0 | – | – 0 | – | – 0 | – | ||||||||
|
|
|
|
|
|
|
| |||||||||
Total(c) | $ | 311,177,894 | $ | – 0 | – | $ | – 0 | – | $ | 311,177,894 | ||||||
|
|
|
|
|
|
|
| |||||||||
AB International Value Portfolio | ||||||||||||||||
Investments in Securities: | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Assets: | ||||||||||||||||
Common Stocks: | ||||||||||||||||
Financials | $ | 6,050,193 | $ | 51,440,996 | $ | – 0 | – | $ | 57,491,189 | |||||||
Information Technology | – 0 | – | 29,636,424 | – 0 | – | 29,636,424 | ||||||||||
Consumer Staples | 4,036,470 | 25,094,370 | – 0 | – | 29,130,840 | |||||||||||
Consumer Discretionary | 6,631,273 | 19,794,318 | – 0 | – | 26,425,591 | |||||||||||
Materials | 1,637,268 | 23,259,148 | – 0 | – | 24,896,416 | |||||||||||
Industrials | 2,411,018 | 20,551,974 | – 0 | – | 22,962,992 | |||||||||||
Telecommunication Services | – 0 | – | 20,325,601 | – 0 | – | 20,325,601 | ||||||||||
Energy | 5,581,906 | 13,084,107 | – 0 | – | 18,666,013 | |||||||||||
Health Care | 4,436,069 | 12,892,675 | – 0 | – | 17,328,744 | |||||||||||
Utilities | – 0 | – | 5,671,375 | – 0 | – | 5,671,375 | ||||||||||
Real Estate | – 0 | – | 2,336,648 | – 0 | – | 2,336,648 | ||||||||||
Short-Term Investments | 2,905,076 | – 0 | – | – 0 | – | 2,905,076 | ||||||||||
Investments of Cash Collateral for Securities Loaned in Affiliated Money Market Fund | 1,683,950 | – 0 | – | – 0 | – | 1,683,950 | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Investments in Securities | 35,373,223 | 224,087,636 | (d) | – 0 | – | 259,460,859 | ||||||||||
Other Financial Instruments(b): | ||||||||||||||||
Assets: | ||||||||||||||||
Forward Currency Exchange Contracts | – 0 | – | 285,514 | – 0 | – | 285,514 | ||||||||||
Liabilities: | ||||||||||||||||
Forward Currency Exchange Contracts | – 0 | – | (319,453 | ) | – 0 | – | (319,453 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Total(e)(f) | $ | 35,373,223 | $ | 224,053,697 | $ | – 0 | – | $ | 259,426,920 | |||||||
|
|
|
|
|
|
|
|
224 | • AB POOLING PORTFOLIOS |
Notes to Financial Statements
AB International Growth Portfolio | ||||||||||||||||
Investments in Securities: | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Assets: | ||||||||||||||||
Common Stocks: | ||||||||||||||||
Financials | $ | 3,005,819 | $ | 51,739,575 | $ | – 0 | – | $ | 54,745,394 | |||||||
Information Technology | 15,224,155 | 38,181,657 | – 0 | – | 53,405,812 | |||||||||||
Consumer Staples | 2,436,621 | 27,060,144 | – 0 | – | 29,496,765 | |||||||||||
Health Care | 565,632 | 26,464,427 | – 0 | – | 27,030,059 | |||||||||||
Consumer Discretionary | 2,162,596 | 24,087,264 | – 0 | – | 26,249,860 | |||||||||||
Energy | 2,746,327 | 20,474,164 | – 0 | – | 23,220,491 | |||||||||||
Industrials | – 0 | – | 17,004,556 | – 0 | – | 17,004,556 | ||||||||||
Materials | – 0 | – | 11,939,702 | – 0 | – | 11,939,702 | ||||||||||
Real Estate | – 0 | – | 7,209,705 | – 0 | – | 7,209,705 | ||||||||||
Telecommunication Services | – 0 | – | 4,537,654 | – 0 | – | 4,537,654 | ||||||||||
Short-Term Investments | 545,520 | – 0 | – | – 0 | – | 545,520 | ||||||||||
Investments of Cash Collateral for Securities Loaned in Affiliated Money Market Fund | 1,748,351 | – 0 | – | – 0 | – | 1,748,351 | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Investments in Securities | 28,435,021 | 228,698,848 | (d) | – 0 | – | 257,133,869 | ||||||||||
Other Financial Instruments(b): | ||||||||||||||||
Assets: | ||||||||||||||||
Forward Currency Exchange Contracts | – 0 | – | 1,120,213 | – 0 | – | 1,120,213 | ||||||||||
Liabilities: | ||||||||||||||||
Forward Currency Exchange Contracts | – 0 | – | (404,099 | ) | – 0 | – | (404,099 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Total(g)(h) | $ | 28,435,021 | $ | 229,414,962 | $ | – 0 | – | $ | 257,849,983 | |||||||
|
|
|
|
|
|
|
|
AB POOLING PORTFOLIOS • | 225 |
Notes to Financial Statements
AB Short Duration Bond Portfolio | ||||||||||||||||
Investments in Securities: | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Assets: | ||||||||||||||||
Governments – Treasuries | $ | – 0 | – | $ | 26,232,546 | $ | – 0 | – | $ | 26,232,546 | ||||||
Corporates – Investment Grade | – 0 | – | 13,608,567 | – 0 | – | 13,608,567 | ||||||||||
Asset-Backed Securities | – 0 | – | 10,811,971 | 41,211 | (i) | 10,853,182 | ||||||||||
Commercial Mortgage-Backed Securities | – 0 | – | 5,269,969 | 269,032 | 5,539,001 | |||||||||||
Inflation-Linked Securities | – 0 | – | 4,496,147 | – 0 | – | 4,496,147 | ||||||||||
Collateralized Mortgage Obligations | – 0 | – | 2,934,230 | – 0 | – | 2,934,230 | ||||||||||
Mortgage Pass-Throughs | – 0 | – | 1,005,441 | – 0 | – | 1,005,441 | ||||||||||
Covered Bonds | – 0 | – | 312,284 | – 0 | – | 312,284 | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Investments in Securities | – 0 | – | 64,671,155 | 310,243 | 64,981,398 | |||||||||||
Other Financial Instruments(b): | ||||||||||||||||
Assets: | ||||||||||||||||
Futures | 24,703 | – 0 | – | – 0 | – | 24,703 | (j) | |||||||||
Forward Currency Exchange Contracts | – 0 | – | 8,081 | – 0 | – | 8,081 | ||||||||||
Liabilities: | ||||||||||||||||
Futures | (1,951 | ) | – 0 | – | – 0 | – | (1,951 | )(j) | ||||||||
Forward Currency Exchange Contracts | – 0 | – | (22,466 | ) | – 0 | – | (22,466 | ) | ||||||||
Interest Rate Swaptions | – 0 | – | (4,488 | ) | – 0 | – | (4,488 | ) | ||||||||
Credit Default Swaps | – 0 | – | (42,746 | ) | – 0 | – | (42,746 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Total(k) | $ | 22,752 | $ | 64,609,536 | $ | 310,243 | $ | 64,942,531 | ||||||||
|
|
|
|
|
|
|
|
226 | • 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 | – | $ | 101,830,830 | $ | – 0 | – | $ | 101,830,830 | ||||||
Corporates – Investment Grade | – 0 | – | 58,532,129 | – 0 | – | 58,532,129 | ||||||||||
Inflation-Linked Securities | – 0 | – | 15,417,035 | – 0 | – | 15,417,035 | ||||||||||
Collateralized Mortgage Obligations | – 0 | – | 12,374,118 | – 0 | – | 12,374,118 | ||||||||||
Governments – Sovereign Agencies | – 0 | – | 9,939,372 | – 0 | – | 9,939,372 | ||||||||||
Covered Bonds | – 0 | – | 9,403,841 | – 0 | – | 9,403,841 | ||||||||||
Commercial Mortgage-Backed Securities | – 0 | – | 6,657,554 | 1,793,762 | 8,451,316 | |||||||||||
Agencies | – 0 | – | 7,467,589 | – 0 | – | 7,467,589 | ||||||||||
Mortgage Pass-Throughs | – 0 | – | 6,813,146 | – 0 | – | 6,813,146 | ||||||||||
Quasi-Sovereigns | – 0 | – | 3,328,388 | – 0 | – | 3,328,388 | ||||||||||
Asset-Backed Securities | – 0 | – | 1,407,904 | 1,538,727 | 2,946,631 | |||||||||||
Local Governments – Municipal Bonds | – 0 | – | 958,379 | – 0 | – | 958,379 | ||||||||||
Supranationals | – 0 | – | 789,234 | – 0 | – | 789,234 | ||||||||||
Corporates – Non-Investment Grade | – 0 | – | 678,301 | – 0 | – | 678,301 | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Investments in Securities | – 0 | – | 235,597,820 | 3,332,489 | 238,930,309 | |||||||||||
Other Financial Instruments(b): | ||||||||||||||||
Assets: | ||||||||||||||||
Futures | 17,774 | – 0 | – | – 0 | – | 17,774 | (j) | |||||||||
Forward Currency Exchange Contracts | – 0 | – | 1,177,361 | – 0 | – | 1,177,361 | ||||||||||
Liabilities: | ||||||||||||||||
Futures | (82,003 | ) | – 0 | – | – 0 | – | (82,003 | )(j) | ||||||||
Forward Currency Exchange Contracts | – 0 | – | (818,090 | ) | – 0 | – | (818,090 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Total(c) | $ | (64,229 | ) | $ | 235,957,091 | $ | 3,332,489 | $ | 239,225,351 | |||||||
|
|
|
|
|
|
|
|
AB POOLING PORTFOLIOS • | 227 |
Notes to Financial Statements
AB Bond Inflation Protection Portfolio | ||||||||||||||||
Investments in Securities: | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Assets: | ||||||||||||||||
Inflation-Linked Securities | $ | – 0 | – | $ | 90,193,839 | $ | – 0 | – | $ | 90,193,839 | ||||||
Corporates – Investment Grade | – 0 | – | 13,664,368 | – 0 | – | 13,664,368 | ||||||||||
Commercial Mortgage-Backed Securities | – 0 | – | 4,826,950 | 2,448,619 | 7,275,569 | |||||||||||
Asset-Backed Securities | – 0 | – | 6,371,066 | 716,352 | 7,087,418 | |||||||||||
Collateralized Mortgage Obligations | – 0 | – | 4,669,147 | – 0 | – | 4,669,147 | ||||||||||
Corporates – Non-Investment Grade | – 0 | – | 2,251,928 | – 0 | – | 2,251,928 | ||||||||||
Emerging Markets – Treasuries | – 0 | – | 841,466 | – 0 | – | 841,466 | ||||||||||
Governments – Sovereign Agencies | – 0 | – | 433,440 | – 0 | – | 433,440 | ||||||||||
Quasi-Sovereigns | – 0 | – | 205,408 | – 0 | – | 205,408 | ||||||||||
Emerging Markets – Sovereigns | – 0 | – | 204,500 | – 0 | – | 204,500 | ||||||||||
Emerging Markets – Corporate Bonds | – 0 | – | 102,510 | – 0 | – | 102,510 | ||||||||||
Governments – Sovereign Bonds | – 0 | – | 61,874 | – 0 | – | 61,874 | ||||||||||
Options Purchased – Puts | – 0 | – | 1 | – 0 | – | 1 | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Investments in Securities | – 0 | – | 123,826,497 | 3,164,971 | 126,991,468 | |||||||||||
Other Financial Instruments(b): | ||||||||||||||||
Assets: | ||||||||||||||||
Futures | 33,887 | – 0 | – | – 0 | – | 33,887 | (j) | |||||||||
Forward Currency Exchange Contracts | – 0 | – | 82,651 | – 0 | – | 82,651 | ||||||||||
Centrally Cleared Interest Rate Swaps | – 0 | – | 233,448 | – 0 | – | 233,448 | (j) | |||||||||
Credit Default Swaps | – 0 | – | 12,557 | – 0 | – | 12,557 | ||||||||||
Inflation (CPI) Swaps | – 0 | – | 223,947 | – 0 | – | 223,947 | ||||||||||
Liabilities: | ||||||||||||||||
Futures | (16,449 | ) | – 0 | – | – 0 | – | (16,449 | )(j) | ||||||||
Forward Currency Exchange Contracts | – 0 | – | (95,007 | ) | – 0 | – | (95,007 | ) | ||||||||
Interest Rate Swaptions | – 0 | – | (6,142 | ) | – 0 | – | (6,142 | ) | ||||||||
Centrally Cleared Credit Default Swaps | – 0 | – | (163,379 | ) | – 0 | – | (163,379 | )(j) | ||||||||
Centrally Cleared Interest Rate Swaps | – 0 | – | (422,602 | ) | – 0 | – | (422,602 | )(j) | ||||||||
Credit Default Swaps | – 0 | – | (100,327 | ) | – 0 | – | (100,327 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Total(c) | $ | 17,438 | $ | 123,591,643 | $ | 3,164,971 | $ | 126,774,052 | ||||||||
|
|
|
|
|
|
|
|
228 | • 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) | $ | 88,010,313 | $ | – 0 | – | $ | – 0 | – | $ | 88,010,313 | ||||||
Short-Term Investments | 2,565,150 | – 0 | – | – 0 | – | 2,565,150 | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Investments in Securities | 90,575,463 | – 0 | – | – 0 | – | 90,575,463 | ||||||||||
Other Financial Instruments(b) | – 0 | – | – 0 | – | – 0 | – | – 0 | – | ||||||||
|
|
|
|
|
|
|
| |||||||||
Total(c) | $ | 90,575,463 | $ | – 0 | – | $ | – 0 | – | $ | 90,575,463 | ||||||
|
|
|
|
|
|
|
| |||||||||
AB Small-Mid Cap Growth Portfolio | ||||||||||||||||
Investments in Securities: | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Assets: | ||||||||||||||||
Common Stocks(a) | $ | 89,536,360 | $ | – 0 | – | $ | – 0 | – | $ | 89,536,360 | ||||||
Short-Term Investments | 2,106,856 | – 0 | – | – 0 | – | 2,106,856 | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Investments in Securities | 91,643,216 | – 0 | – | – 0 | – | 91,643,216 | ||||||||||
Other Financial Instruments(b) | – 0 | – | – 0 | – | – 0 | – | – 0 | – | ||||||||
|
|
|
|
|
|
|
| |||||||||
Total(c) | $ | 91,643,216 | $ | – 0 | – | $ | – 0 | – | $ | 91,643,216 | ||||||
|
|
|
|
|
|
|
| |||||||||
AB Multi-Asset Real Return Portfolio(l) | ||||||||||||||||
Investments in Securities: | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Assets: | ||||||||||||||||
Common Stocks: | ||||||||||||||||
Real Estate | $ | 82,858,309 | $ | 63,747,369 | $ | 313,169 | $ | 146,918,847 | ||||||||
Energy | 65,285,776 | 67,530,833 | – 0 | – | 132,816,609 | |||||||||||
Materials | 20,169,500 | 27,364,580 | – 0 | –(i) | 47,534,080 | |||||||||||
Food Beverage & Tobacco | 5,048,426 | – 0 | – | – 0 | – | 5,048,426 | ||||||||||
Transportation | – 0 | – | 2,208,492 | – 0 | – | 2,208,492 | ||||||||||
Media | 701,566 | – 0 | – | – 0 | – | 701,566 | ||||||||||
Diversified Financials | 697,224 | – 0 | – | – 0 | – | 697,224 | ||||||||||
Consumer Durables & Apparel | 153 | 531,788 | – 0 | – | 531,941 | |||||||||||
Inflation-Linked Securities | – 0 | – | 241,562,461 | – 0 | – | 241,562,461 | ||||||||||
Investment Companies | 190,693,437 | – 0 | – | – 0 | – | 190,693,437 | ||||||||||
Rights | – 0 | – | – 0 | – | 11,591 | 11,591 | ||||||||||
Short-Term Investments | 37,533,511 | – 0 | – | – 0 | – | 37,533,511 | ||||||||||
Investments of Cash Collateral for Securities Loaned in Affiliated Money Market Fund | 23,294,918 | – 0 | – | – 0 | – | 23,294,918 | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Investments in Securities | 426,282,820 | 402,945,523 | 324,760 | 829,553,103 |
AB POOLING PORTFOLIOS • | 229 |
Notes to Financial Statements
AB Multi-Asset Real Return Portfolio(l) | ||||||||||||||||
Investments in Securities: | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Other Financial Instruments(b): | ||||||||||||||||
Assets: | ||||||||||||||||
Futures | $ | 1,619,133 | $ | – 0 | – | $ | – 0 | – | $ | 1,619,133 | (j) | |||||
Forward Currency Exchange Contracts | – 0 | – | 12,468,129 | – 0 | – | 12,468,129 | ||||||||||
Inflation (CPI) Swaps | – 0 | – | 8,974,666 | – 0 | – | 8,974,666 | ||||||||||
Total Return Swaps | – 0 | – | 1,432,252 | – 0 | – | 1,432,252 | ||||||||||
Liabilities: | ||||||||||||||||
Futures | (1,687,739 | ) | (143,946 | ) | – 0 | – | (1,831,685 | )(j) | ||||||||
Forward Currency Exchange Contracts | – 0 | – | (11,599,694 | ) | – 0 | – | (11,599,694 | ) | ||||||||
Inflation (CPI) Swaps | – 0 | – | (61,071 | ) | – 0 | – | (61,071 | ) | ||||||||
Total Return Swaps | – 0 | – | (1,380,268 | ) | – 0 | – | (1,380,268 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Total(m) | $ | 426,214,214 | $ | 412,635,591 | $ | 324,760 | $ | 839,174,565 | ||||||||
|
|
|
|
|
|
|
| |||||||||
AB Volatility Management Portfolio | ||||||||||||||||
Investments in Securities: | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Assets: | ||||||||||||||||
Common Stocks: | ||||||||||||||||
Financials | $ | 23,247,528 | $ | 24,679,331 | $ | – 0 | –(i) | $ | 47,926,859 | |||||||
Information Technology | 33,917,701 | 6,154,648 | – 0 | – | 40,072,349 | |||||||||||
Real Estate | 22,564,852 | 15,959,727 | – 0 | – | 38,524,579 | |||||||||||
Health Care | 22,236,590 | 12,435,904 | – 0 | – | 34,672,494 | |||||||||||
Consumer Discretionary | 19,189,424 | 14,422,480 | – 0 | – | 33,611,904 | |||||||||||
Industrials | 16,251,021 | 16,588,924 | – 0 | – | 32,839,945 | |||||||||||
Consumer Staples | 14,842,511 | 13,254,798 | – 0 | – | 28,097,309 | |||||||||||
Energy | 10,119,665 | 5,838,727 | – 0 | – | 15,958,392 | |||||||||||
Materials | 4,319,282 | 9,413,781 | – 0 | – | 13,733,063 | |||||||||||
Telecommunication Services | 3,744,526 | 5,199,944 | – 0 | – | 8,944,470 | |||||||||||
Utilities | 4,900,974 | 3,748,717 | – 0 | – | 8,649,691 | |||||||||||
Health Care Equipment & Services | 47,900 | – 0 | – | – 0 | – | 47,900 | ||||||||||
Consumer Services | 17,763 | – 0 | – | – 0 | – | 17,763 | ||||||||||
Investment Companies | 49,647,691 | – 0 | – | – 0 | – | 49,647,691 |
230 | • AB POOLING PORTFOLIOS |
Notes to Financial Statements
AB Volatility Management Portfolio | ||||||||||||||||
Investments in Securities: | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Short-Term Investments: | ||||||||||||||||
Investment Companies | $ | 120,927,510 | $ | – 0 | – | $ | – 0 | – | $ | 120,927,510 | ||||||
U.S. Treasury Bills | – 0 | – | 19,986,162 | – 0 | – | 19,986,162 | ||||||||||
Investments of Cash Collateral for Securities Loaned in Affiliated Money Market Fund | 9,742,323 | – 0 | – | – 0 | – | 9,742,323 | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Investments in Securities | 355,717,261 | 147,683,143 | – 0 | – | 503,400,404 | |||||||||||
Other Financial Instruments(b): | ||||||||||||||||
Assets: | ||||||||||||||||
Futures | 510,113 | 1,763,324 | – 0 | – | 2,273,437 | (j) | ||||||||||
Forward Currency Exchange Contracts | – 0 | – | 1,393,674 | – 0 | – | 1,393,674 | ||||||||||
Liabilities: | ||||||||||||||||
Futures | – 0 | – | (290,973 | ) | – 0 | – | (290,973 | )(j) | ||||||||
Forward Currency Exchange Contracts | – 0 | – | (2,937,140 | ) | – 0 | – | (2,937,140 | ) | ||||||||
Total Return Swaps | – 0 | – | (507,818 | ) | – 0 | – | (507,818 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Total(m) | $ | 356,227,374 | $ | 147,104,210 | $ | – 0 | – | $ | 503,331,584 | |||||||
|
|
|
|
|
|
|
|
(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. |
(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) | An amount of $10,953,453 was transferred from Level 1 to Level 2 due to the above mentioned foreign equity fair valuation using third party vendor modeling tools during the reporting period. |
(f) | There were de minimis transfers under 1% of net assets from Level 2 to Level 1 during the reporting period. |
(g) | There were no transfers from Level 1 to Level 2 during the reporting period |
(h) | An amount of $2,857,416 was transferred from Level 2 to Level 1 as the above mentioned foreign equity fair valuation by the third party vendor was not applied during the reporting period. |
(i) | The Portfolio held securities with zero market value at period end. |
(j) | Only variation margin receivable/(payable) at period end is reported within the statement of assets and liabilities. This amount reflects cumulative unrealized appreciation/(depreciation) of exchange-traded derivatives as reported in the portfolio of investments. |
(k) | There were no transfers between Level 1 and Level 2 during the reporting period |
(l) | Consolidated (see Note A). |
(m) | There were de minimis transfers under 1% of net assets between Level 1 and Level 2 during the reporting period. |
AB POOLING PORTFOLIOS • | 231 |
Notes to Financial Statements
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 | Corporates - Investment Grade | Asset-Backed Securities(a) | Commercial Mortgage-Backed Securities | |||||||||
Balance as of 8/31/16 | $ | 314,190 | $ | 42,866 | $ | 314,262 | ||||||
Accrued discounts/(premiums) | – 0 | – | 25 | (273 | ) | |||||||
Realized gain (loss) | – 0 | – | 32 | (7,510 | ) | |||||||
Change in unrealized appreciation/depreciation | – 0 | – | (73 | ) | 1,059 | |||||||
Purchases/Payups | – 0 | – | – 0 | – | 147,964 | |||||||
Sales/Paydowns | – 0 | – | (1,639 | ) | (186,470 | ) | ||||||
Transfers in to Level 3 | – 0 | – | – 0 | – | – 0 | – | ||||||
Transfers out of Level 3 | (314,190 | ) | – 0 | – | – 0 | – | ||||||
|
|
|
|
|
| |||||||
Balance as of 2/28/17 | $ | – 0 | – | $ | 41,211 | $ | 269,032 | |||||
|
|
|
|
|
| |||||||
Net change in unrealized appreciation/depreciation from investments held as of 2/28/17(b) | $ | – 0 | – | $ | (73 | ) | $ | 1,059 | ||||
|
|
|
|
|
| |||||||
Total | ||||||||||||
Balance as of 8/31/16 | $ | 671,318 | ||||||||||
Accrued discounts/(premiums) | (248 | ) | ||||||||||
Realized gain (loss) | (7,478 | ) | ||||||||||
Change in unrealized appreciation/depreciation | 986 | |||||||||||
Purchases/Payups | 147,964 | |||||||||||
Sales/Paydowns | (188,109 | ) | ||||||||||
Transfers in to Level 3 | – 0 | – | ||||||||||
Transfers out of Level 3 | (314,190 | ) | ||||||||||
|
| |||||||||||
Balance as of 2/28/17 | $ | 310,243 | (c) | |||||||||
|
| |||||||||||
Net change in unrealized appreciation/depreciation from investments held as of 2/28/17(b) | $ | 986 | ||||||||||
|
|
232 | • AB POOLING PORTFOLIOS |
Notes to Financial Statements
AB Global Core Bond | Commercial Mortgage-Backed Securities | Asset-Backed Securities | Total | |||||||||
Balance as of 8/31/16 | $ | 1,456,207 | $ | 1,011,206 | $ | 2,467,413 | ||||||
Accrued discounts/(premiums) | (2,110 | ) | (483 | ) | (2,593 | ) | ||||||
Realized gain (loss) | (1,737 | ) | (2,648 | ) | (4,385 | ) | ||||||
Change in unrealized appreciation/depreciation | (27,866 | ) | (15,877 | ) | (43,743 | ) | ||||||
Purchases/Payups | 382,871 | 607,984 | 990,855 | |||||||||
Sales/Paydowns | (13,603 | ) | (61,455 | ) | (75,058 | ) | ||||||
Transfers in to Level 3 | – 0 | – | – 0 | – | – 0 | – | ||||||
Transfers out of Level 3 | – 0 | – | – 0 | – | – 0 | – | ||||||
|
|
|
|
|
| |||||||
Balance as of 2/28/17 | $ | 1,793,762 | $ | 1,538,727 | $ | 3,332,489 | ||||||
|
|
|
|
|
| |||||||
Net change in unrealized appreciation/depreciationfrom investments held as of 2/28/17(b) | $ | (27,866 | ) | $ | (15,877 | ) | $ | (43,743 | ) | |||
|
|
|
|
|
| |||||||
AB Bond Inflation | Commercial Mortgage-Backed Securities | Asset-Backed Securities | Collateralized Mortgage Obligations | |||||||||
Balance as of 8/31/16 | $ | 2,824,736 | $ | 490,854 | $ | 58,303 | ||||||
Accrued discounts/(premiums) | (935 | ) | 3 | – 0 | – | |||||||
Realized gain (loss) | (34,913 | ) | 14 | – 0 | – | |||||||
Change in unrealized appreciation/depreciation | (9,186 | ) | (6,248 | ) | (145 | ) | ||||||
Purchases/Payups | 461,640 | 309,739 | – 0 | – | ||||||||
Sales/Paydowns | (792,723 | ) | (78,010 | ) | (58,158 | ) | ||||||
Transfers in to Level 3 | – 0 | – | – 0 | – | – 0 | – | ||||||
Transfers out of Level 3 | – 0 | – | – 0 | – | – 0 | – | ||||||
|
|
|
|
|
| |||||||
Balance as of 2/28/17 | $ | 2,448,619 | $ | 716,352 | $ | – 0 | – | |||||
|
|
|
|
|
| |||||||
Net change in unrealized appreciation/depreciation from investments held as of 2/28/17(b) | $ | (14,191 | ) | $ | (6,248 | ) | $ | – 0 | – | |||
|
|
|
|
|
| |||||||
Total | ||||||||||||
Balance as of 8/31/16 | $ | 3,373,893 | ||||||||||
Accrued discounts/(premiums) | (932 | ) | ||||||||||
Realized gain (loss) | (34,899 | ) | ||||||||||
Change in unrealized appreciation/depreciation | (15,579 | ) | ||||||||||
Purchases/Payups | 771,379 | |||||||||||
Sales/Paydowns | (928,891 | ) | ||||||||||
Transfers in to Level 3 | – 0 | – | ||||||||||
Transfers out of Level 3 | – 0 | – | ||||||||||
|
| |||||||||||
Balance as of 2/28/17 | $ | 3,164,971 | ||||||||||
|
| |||||||||||
Net change in unrealized appreciation/depreciation from investments held as of 2/28/17(b) | $ | (20,439 | ) | |||||||||
|
|
AB POOLING PORTFOLIOS • | 233 |
Notes to Financial Statements
AB Multi-Asset Real Return | Common Stocks – Real Estate | Common Stocks – Materials(a) | Common Stocks – Residential | |||||||||
Balance as of 8/31/16 | $ | 192,119 | $ | – 0 | – | $ | – 0 | – | ||||
Accrued discounts/(premiums) | – 0 | – | – 0 | – | – 0 | – | ||||||
Realized gain (loss) | – 0 | – | – 0 | – | – 0 | – | ||||||
Change in unrealized appreciation/depreciation | 121,050 | – 0 | – | – 0 | – | |||||||
Purchases | – 0 | – | – 0 | – | – 0 | – | ||||||
Sales | – 0 | – | – 0 | – | – 0 | – | ||||||
Transfers in to Level 3 | – 0 | – | – 0 | – | – 0 | – | ||||||
Transfers out of Level 3 | – 0 | – | – 0 | – | – 0 | – | ||||||
|
|
|
|
|
| |||||||
Balance as of 2/28/17 | $ | 313,169 | $ | – 0 | – | $ | – 0 | –(e) | ||||
|
|
|
|
|
| |||||||
Net change in unrealized appreciation/depreciation from investments held as of 2/28/17(b) | $ | 121,050 | $ | – 0 | – | $ | – 0 | – | ||||
|
|
|
|
|
| |||||||
Rights | Total | |||||||||||
Balance as of 8/31/16 | $ | – 0 | – | $ | 192,119 | |||||||
Accrued discounts/(premiums) | – 0 | – | – 0 | – | ||||||||
Realized gain (loss) | – 0 | – | – 0 | – | ||||||||
Change in unrealized appreciation/depreciation | 11,591 | 132,641 | ||||||||||
Purchases | – 0 | – | – 0 | – | ||||||||
Sales | – 0 | – | – 0 | – | ||||||||
Transfers in to Level 3 | – 0 | – | – 0 | – | ||||||||
Transfers out of Level 3 | – 0 | – | – 0 | – | ||||||||
|
|
|
| |||||||||
Balance as of 2/28/17 | $ | 11,591 | $ | 324,760 | ||||||||
|
|
|
| |||||||||
Net change in unrealized appreciation/depreciation from investments held as of 2/28/17(b) | $ | 11,591 | $ | 132,641 | ||||||||
|
|
|
|
234 | • AB POOLING PORTFOLIOS |
Notes to Financial Statements
AB Volatility Management Portfolio | Common Stocks – Financials(a) | Common Stocks – Industrials | Common Stocks – Equity: Other | |||||||||
Balance as of 8/31/16 | $ | – 0 | – | $ | 43,432 | $ | 17,300 | |||||
Accrued discounts/(premiums) | – 0 | – | – 0 | – | – 0 | – | ||||||
Realized gain (loss) | – 0 | – | – 0 | – | 905 | |||||||
Change in unrealized appreciation/depreciation | – 0 | – | (12,445 | ) | 652 | |||||||
Purchases | – 0 | – | – 0 | – | – 0 | – | ||||||
Sales | – 0 | – | (30,987 | ) | (18,857 | ) | ||||||
Transfers in to Level 3 | – 0 | – | – 0 | – | – 0 | – | ||||||
Transfers out of Level 3 | – 0 | – | – 0 | – | – 0 | – | ||||||
|
|
|
|
|
| |||||||
Balance as of 2/28/17 | $ | – 0 | – | $ | – 0 | – | $ | – 0 | – | |||
|
|
|
|
|
| |||||||
Net change in unrealized appreciation/depreciation from investments held as of 2/28/17(b) | $ | – 0 | – | $ | – 0 | – | $ | – 0 | – | |||
|
|
|
|
|
| |||||||
Total | ||||||||||||
Balance as of 8/31/16 | $ | 60,732 | ||||||||||
Accrued discounts/(premiums) | – 0 | – | ||||||||||
Realized gain (loss) | 905 | |||||||||||
Change in unrealized appreciation/depreciation | (11,793 | ) | ||||||||||
Purchases | – 0 | – | ||||||||||
Sales | (49,844 | ) | ||||||||||
Transfers in to Level 3 | – 0 | – | ||||||||||
Transfers out of Level 3 | – 0 | – | ||||||||||
|
| |||||||||||
Balance as of 2/28/17 | $ | – 0 | – | |||||||||
|
| |||||||||||
Net change in unrealized appreciation/depreciation from investments held as of 2/28/17(b) | $ | – 0 | – | |||||||||
|
|
(a) | The Portfolio held securities with zero market value at period end. |
(b) | The unrealized appreciation/(depreciation) is included in net change in unrealized appreciation/(depreciation) on investments and other financial instruments in the accompanying statement of operations. |
(c) | There were de minimis transfers under 1% of net assets during the reporting period. |
(d) | Consolidated (see Note A). |
(e) | The Portfolio held securities with zero market value transferred out during the reporting period. |
AB POOLING PORTFOLIOS • | 235 |
Notes to Financial Statements
As of February 28, 2017, all Level 3 securities of the AB Bond Inflation Protection Portfolio and AB Global Core Bond Portfolio were priced by third party vendors or using prior transaction prices.
The Adviser established the Committee to oversee the pricing and valuation of all securities held in the Portfolios. The Committee operates under pricing and valuation policies and procedures established by the Adviser and approved by the Board, including pricing policies which set forth the mechanisms and processes to be employed on a daily basis to implement these policies and procedures. In particular, the pricing policies describe how to determine market quotations for securities and other instruments. The Committee’s responsibilities include: 1) fair value and liquidity determinations (and oversight of any third parties to whom any responsibility for fair value and liquidity determinations is delegated), and 2) regular monitoring of the Adviser’s pricing and valuation policies and procedures and modification or enhancement of these policies and procedures (or recommendation of the modification of these policies and procedures) as the Committee believes appropriate.
The Committee is also responsible for monitoring the implementation of the pricing policies by the Adviser’s Pricing Group (the “Pricing Group”) and any third party which performs certain pricing functions in accordance with the pricing policies. The Pricing Group is responsible for the oversight of the third party on a day-to-day basis. The Committee and the Pricing Group perform a series of activities to provide reasonable assurance of the accuracy of prices including: 1) periodic vendor due diligence meetings, review of methodologies, new developments and processes at vendors, 2) daily comparison of security valuation versus prior day for all securities that exceeded established thresholds, and 3) daily review of unpriced, stale, and variance reports with exceptions reviewed by senior management and the Committee.
In addition, several processes outside of the pricing process are used to monitor valuation issues including: 1) performance and performance attribution reports are monitored for anomalous impacts based upon benchmark performance, and 2) portfolio managers review all portfolios for performance and analytics (which are generated using the Adviser’s prices).
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
236 | • AB POOLING PORTFOLIOS |
Notes to Financial Statements
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’ 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.
AB POOLING PORTFOLIOS • | 237 |
Notes to 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. For the six months ended February 28, 2017, such waivers and reimbursement amounted to $83,655 and $121,322 for AB Short Duration Bond Portfolio and AB Bond Inflation Protection Portfolio, respectively. The Expense Caps may not be terminated before January 1, 2018 and then may be extended by the Adviser for additional one-year terms.
238 | • AB POOLING PORTFOLIOS |
Notes to Financial Statements
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.
During the six months ended February 28, 2017 and the year August 31, 2016, the Adviser reimbursed the Portfolios the following amounts for trading losses incurred due to a trade entry error:
Portfolio | 2017 | 2016 | ||||||
AB Short Duration Bond | $ | 1,859 | $ | – 0 | – | |||
AB Global Core Bond | 9,284 | – 0 | – | |||||
AB Bond Inflation Protection | 718 | 314 | ||||||
AB Multi-Asset Real Return | 2,306 | 308 |
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 six months ended February 28, 2017, such fees amounted to:
Portfolio | Administrative Fees | |||
AB U.S. Value | $ | 19,724 | ||
AB U.S. Large Cap Growth | 19,724 | |||
AB International Value | 16,601 | |||
AB International Growth | 21,205 | |||
AB Short Duration Bond | 20,690 | |||
AB Global Core Bond | 23,856 | |||
AB Bond Inflation Protection | 27,858 | |||
AB Small-Mid Cap Value | 22,654 | |||
AB Small-Mid Cap Growth | 33,842 | |||
AB Multi-Asset Real Return | 23,106 | |||
AB Volatility Management | 22,963 |
AB POOLING PORTFOLIOS • | 239 |
Notes to Financial Statements
AllianceBernstein Investor Services, Inc. (“ABIS”), a wholly-owned subsidiary of the Adviser, acts as the Portfolios’ registrar, transfer agent and dividend-disbursing agent. ABIS did not receive any fees for such services.
The Portfolios may invest in AB Government Money Market Portfolio (the “Government Money Market Portfolio”) which has a contractual annual advisory fee rate of .20% of the Portfolios’ average daily net assets invested in such Portfolio invested in such Portfolio and 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 the Portfolios’ pro rata share of the effective advisory fees of Government Money Market Portfolio, as borne indirectly by the Portfolios as an acquired fund fee and expense. For the six months ended February 28, 2017, such waivers amounted to:
Portfolio | Amount | Portfolio | Amount | |||||||
AB U.S. Value | $ | 1,955 | AB Small-Mid Cap Value | $ | 1,342 | |||||
AB U.S. Large Cap Growth | 19,046 | AB Small-Mid Cap Growth | 1,545 | |||||||
AB International Value | 1,381 | AB Multi-Asset Real Return | 25,863 | |||||||
AB International Growth | 1,479 | AB Volatility Management | 157,705 |
A summary of the Portfolios’ transactions in shares of the Government Money Market Portfolio for the six months ended February 28, 2017 is as follows:
Portfolio | Market Value 8/31/16 (000) | Purchases at Cost (000) | Sales Proceeds (000) | Market Value 2/28/17 (000) | Dividend Income (000) | |||||||||||||||
AB U.S. Value | $ | 4,681 | $ | 46,406 | $ | 51,087 | $ | – 0 | – | $ | 3 | |||||||||
AB U.S. Large Cap Growth | 19,405 | 95,393 | 96,928 | 17,870 | 31 | |||||||||||||||
AB International Value | 1,044 | 54,972 | 53,111 | �� | 2,905 | 2 | ||||||||||||||
AB International Growth | 914 | 66,596 | 66,964 | 546 | 2 | |||||||||||||||
AB Small-Mid Cap Value | 1,234 | 16,596 | 15,265 | 2,565 | 2 | |||||||||||||||
AB Small-Mid Cap Growth | 351 | 19,900 | 18,144 | 2,107 | 2 | |||||||||||||||
AB Multi-Asset Real Return | 24,001 | 316,483 | 302,950 | 37,534 | 44 | |||||||||||||||
AB Volatility Management | 173,449 | 188,462 | 240,983 | 120,928 | 260 |
240 | • AB POOLING PORTFOLIOS |
Notes to Financial Statements
Brokerage commissions paid on investment transactions and brokerage commissions paid to Sanford C. Bernstein & Co. LLC and Sanford C. Bernstein Limited, affiliates of the Adviser, for the six months ended February 28, 2017 were as follows:
Portfolio | Total Commissions | Sanford C. Bernstein & Co. LLC | Sanford C. Bernstein Limited | |||||||||
AB U.S. Value | $ | 73,066 | $ | – 0 | – | $ | – 0 | – | ||||
AB U.S. Large Cap Growth | 48,666 | – 0 | – | – 0 | – | |||||||
AB International Value | 171,075 | – 0 | – | – 0 | – | |||||||
AB International Growth | 77,225 | – 0 | – | – 0 | – | |||||||
AB Short Duration Bond | 747 | – 0 | – | – 0 | – | |||||||
AB Global Core Bond | 1,639 | – 0 | – | – 0 | – | |||||||
AB Bond Inflation Protection | 923 | – 0 | – | – 0 | – | |||||||
AB Small-Mid Cap Value | 33,374 | – 0 | – | – 0 | – | |||||||
AB Small-Mid Cap Growth | 38,078 | 111 | – 0 | – | ||||||||
AB Multi-Asset Real Return | 772,776 | – 0 | – | – 0 | – | |||||||
AB Volatility Management | 40,423 | – 0 | – | – 0 | – |
NOTE C
Investment Transactions
Purchases and sales of investment securities (excluding U.S. government securities and short-term investments) for the six months ended February 28, 2017, were as follows:
Portfolio | Purchases | Sales | ||||||
AB U.S. Value | $ | 61,431,068 | $ | 94,693,958 | ||||
AB U.S. Large Cap Growth | 87,851,811 | 117,999,956 | ||||||
AB International Value | 84,124,681 | 110,777,052 | ||||||
AB International Growth | 61,075,492 | 68,636,195 | ||||||
AB Short Duration Bond | 1,407,718 | 2,169,950 | ||||||
AB Global Core Bond | 79,343,374 | 74,802,140 | ||||||
AB Bond Inflation Protection | 9,452,674 | 14,067,001 | ||||||
AB Small-Mid Cap Value | 17,181,978 | 34,461,268 | ||||||
AB Small-Mid Cap Growth | 31,112,097 | 41,906,829 | ||||||
AB Multi-Asset Real Return | 509,493,635 | 613,551,317 | ||||||
AB Volatility Management | 39,637,435 | 6,125,580 |
Purchases and sales of U.S. government securities for the six months ended February 28, 2017, 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 | 7,171,470 | 7,108,154 | ||||||
AB Global Core Bond | 47,016,967 | 48,654,309 | ||||||
AB Bond Inflation Protection | 13,842,092 | 16,172,158 | ||||||
AB Small-Mid Cap Value | – 0 | – | – 0 | – | ||||
AB Small-Mid Cap Growth | – 0 | – | – 0 | – | ||||
AB Multi-Asset Real Return | 147,504,675 | 55,698,046 | ||||||
AB Volatility Management | – 0 | – | – 0 | – |
AB POOLING PORTFOLIOS • | 241 |
Notes to Financial Statements
The cost of investments for federal income tax purposes was substantially the same as the cost for financial reporting purposes. Accordingly, gross unrealized appreciation and unrealized depreciation (excluding futures, foreign currency, written options and swap transactions) are as follows:
Gross Unrealized | Net Unrealized Appreciation/ (Depreciation) | |||||||||||
Portfolio | Appreciation | (Depreciation) | ||||||||||
AB U.S. Value | $ | 69,951,948 | $ | (5,287,346 | ) | $ | 64,664,602 | |||||
AB U.S. Large Cap Growth | 95,425,442 | (978,129 | ) | 94,447,313 | ||||||||
AB International Value | 32,957,307 | (8,857,731 | ) | 24,099,576 | ||||||||
AB International Growth | 41,947,201 | (7,319,207 | ) | 34,627,994 | ||||||||
AB Short Duration Bond | 101,218 | (253,569 | ) | (152,351 | ) | |||||||
AB Global Core Bond | 5,625,873 | (7,626,103 | ) | (2,000,230 | ) | |||||||
AB Bond Inflation Protection | 1,802,846 | (580,588 | ) | 1,222,258 | ||||||||
AB Small-Mid Cap Value | 21,466,887 | (1,670,713 | ) | 19,796,174 | ||||||||
AB Small-Mid Cap Growth | 23,767,047 | (921,288 | ) | 22,845,759 | ||||||||
AB Multi-Asset Real Return | 31,461,993 | (19,802,293 | ) | 11,659,700 | ||||||||
AB Volatility Management | 96,979,332 | (10,057,925 | ) | 86,921,407 |
1. Derivative Financial Instruments
Certain Portfolios may use derivatives in an effort to earn income and enhance returns, to replace more traditional direct investments, to obtain exposure to otherwise inaccessible markets (collectively, “investment purposes”), or to hedge or adjust the risk profile of its portfolio.
The principal types of derivatives utilized by the Portfolios, as well as the methods in which they may be used are:
• | Futures |
Certain Portfolios may buy or sell futures for investment purposes or for the purpose of hedging their Portfolios against adverse effects of potential movements in the market or for investment purposes. The Portfolio bears the market risk that arises from changes in the value of these instruments and the imperfect correlation between movements in the price of the futures and movements in the price of the assets, reference rates or indices which they are designed to track. Among other things, the Portfolio may purchase or sell futures for foreign currencies or options thereon for non-hedging purposes as a means of making direct investment in foreign currencies, as described below under “Currency Transactions”.
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
242 | • AB POOLING PORTFOLIOS |
Notes to Financial Statements
Portfolio agrees to receive from or pay to the broker an amount of cash equal to the daily fluctuation in the value of the contract. Such receipts or payments are known as variation margin and are recorded by the Portfolio as unrealized gains or losses. Risks may arise from the potential inability of a counterparty to meet the terms of the contract. The credit/counterparty risk for exchange-traded futures is generally less than privately negotiated futures, since the clearinghouse, which is the issuer or counterparty to each exchange-traded future, has robust risk mitigation standards, including the requirement to provide initial and variation margin. When the contract is closed, the Portfolio records a realized gain or loss equal to the difference between the value of the contract at the time it was opened and the time it was closed.
Use of long futures subjects the Portfolio to risk of loss in excess of the amounts shown on the statement of assets and liabilities, up to the notional value of the futures. Use of short futures subjects the Portfolio to unlimited risk of loss. Under some circumstances, futures exchanges may establish daily limits on the amount that the price of futures can vary from the previous day’s settlement price, which could effectively prevent liquidation of unfavorable positions.
During the six months ended February 28, 2017, the AB Global Core Bond Portfolio, AB Short Duration Bond Portfolio, AB Bond Inflation Protection Portfolio, AB Multi-Asset Real Return Portfolio and AB Volatility Management Portfolio held futures for hedging and non-hedging purposes; the AB Global Core Bond Portfolio held futures for hedging purpose; the AB International Value Portfolio held futures for non-hedging purpose 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
AB POOLING PORTFOLIOS • | 243 |
Notes to Financial Statements
unrealized appreciation and/or depreciation by the Portfolio. Risks may arise from the potential inability of a counterparty to meet the terms of a contract and from unanticipated movements in the value of a foreign currency relative to the U.S. dollar.
During the six months ended February 28, 2017, the AB International Value Portfolio, AB Global Core Bond Portfolio, AB Bond Inflation Protection Portfolio, AB Multi-Asset Real Return Portfolio and AB Volatility Management Portfolio held forward currency exchange contracts for hedging and non-hedging purposes; the AB Short Duration Bond Portfolio and AB International Growth Portfolio held forward currency exchange contracts for hedging purposes.
• | Option Transactions |
For hedging and investment purposes, certain Portfolios may purchase and write (sell) put and call options on U.S. and foreign securities, including government securities, and foreign currencies that are traded on U.S. and foreign securities exchanges and over-the-counter markets. Among other things, the Portfolio may use options transactions for non-hedging purposes as a means of making direct investments in foreign currencies, as described below under “Currency Transactions” and may use options strategies involving the purchase and/or writing of various combinations of call and/or put options, for hedging and investment purposes.
The risk associated with purchasing an option is that the Portfolio pays a premium whether or not the option is exercised. Additionally, the Portfolio bears the risk of loss of the premium and change in market value should the counterparty not perform under the contract. Put and call options purchased are accounted for in the same manner as portfolio securities. The cost of securities acquired through the exercise of call options is increased by premiums paid. The proceeds from securities sold through the exercise of put options are decreased by the premiums paid.
When the Portfolio writes an option, the premium received by the Portfolio is recorded as a liability and is subsequently adjusted to the current market value of the option written. Premiums received from written options which expire unexercised are recorded by the Portfolio on the expiration date as realized gains from options written. The difference between the premium received and the amount paid on effecting a closing purchase transaction, including brokerage commissions, is also treated as a realized gain, or if the premium received is less than the amount paid for the closing purchase transaction, as a realized loss. If a call option is exercised, the premium received is added to the proceeds from the sale of the
244 | • AB POOLING PORTFOLIOS |
Notes to Financial Statements
underlying security or currency in determining whether the Portfolio has realized a gain or loss. If a put option is exercised, the premium received reduces the cost basis of the security or currency purchased by the Portfolio. In writing an option, the Portfolio bears the market risk of an unfavorable change in the price of the security or currency underlying the written option. Exercise of an option written by the Portfolio could result in the Portfolio selling or buying a security or currency at a price different from the current market value.
A Portfolio may also invest in options on swap agreements, also called “swaptions”. A swaption is an option that gives the buyer the right, but not the obligation, to enter into a swap on a future date in exchange for paying a market-based “premium”. A receiver swaption gives the owner the right to receive the total return of a specified asset, reference rate, or index. A payer swaption gives the owner the right to pay the total return on a specified asset, reference rate, or index. Swaptions also include options that allow an existing swap to be terminated or extended by one of the counterparties.
During the six months ended February 28, 2017, the AB Global Core Bond Portfolio, AB Multi-Asset Real Return Portfolio and AB Volatility Management Portfolio held purchased options for hedging and non-hedging purposes. The AB Global Core Bond Portfolio and AB Multi-Asset Real Return Portfolio and AB Volatility Management Portfolio held written options for hedging and non-hedging purposes. AB Bond Inflation Portfolio held purchased options and written options for hedging purposes.
For the six months ended February 28, 2017, the Portfolios had the following transactions in written options:
AB Short Duration Bond | Notional Amount | Premiums Received | ||||||
Swaptions written outstanding as of 8/31/16 | $ | – 0 | – | $ | – 0 | – | ||
Swaptions written | 8,650,000 | 6,913 | ||||||
Swaptions assigned | – 0 | – | – 0 | – | ||||
Swaptions expired | – 0 | – | – 0 | – | ||||
Swaptions bought back | (3,660,000 | ) | (2,622 | ) | ||||
Swaptions exercised | – 0 | – | – 0 | – | ||||
|
|
|
| |||||
Swaptions written outstanding as of 2/28/17 | $ | 4,990,000 | $ | 4,291 | ||||
|
|
|
|
AB POOLING PORTFOLIOS • | 245 |
Notes to Financial Statements
AB Bond Inflation Protection | Number of Contracts | Premiums Received | ||||||
Options written outstanding as of 8/31/16 | – 0 | – | $ | – 0 | – | |||
Options written | 1,000 | 7,900 | ||||||
Options expired | (500 | ) | (4,200 | ) | ||||
Options bought back | (500 | ) | (3,700 | ) | ||||
Options exercised | – 0 | – | – 0 | – | ||||
|
|
|
| |||||
Options written outstanding as of 2/28/17 | – 0 | – | $ | – 0 | – | |||
|
|
|
| |||||
Notional Amount | Premiums Received | |||||||
Swaptions written outstanding as of 8/31/16 | $ | – 0 | – | $ | – 0 | – | ||
Swaptions written | 14,010,000 | 28,949 | ||||||
Swaptions assigned | – 0 | – | – 0 | – | ||||
Swaptions expired | – 0 | – | – 0 | – | ||||
Swaptions bought back | (7,180,000 | ) | (23,075 | ) | ||||
Swaptions exercised | – 0 | – | – 0 | – | ||||
|
|
|
| |||||
Swaptions written outstanding as of 2/28/17 | $ | 6,830,000 | $ | 5,874 | ||||
|
|
|
| |||||
AB Multi-Asset Real Return*** | Number of Contracts | Premiums Received | ||||||
Options written outstanding as of 8/31/16 | 8,088 | $ | 226,197 | |||||
Options written | 35,554 | 1,592,503 | ||||||
Options expired | (43,642 | ) | (1,818,700 | ) | ||||
Options bought back | – 0 | – | – 0 | – | ||||
Options exercised | – 0 | – | – 0 | – | ||||
|
|
|
| |||||
Options written outstanding as of 2/28/17 | – 0 | – | $ | – 0 | – | |||
|
|
|
|
• | Swaps |
Certain Portfolios may enter into swaps to hedge their exposure to interest rates, credit risk, equity markets, currencies or other underlying asset classes. The Portfolio may also enter into swaps for non-hedging purposes as a means of gaining market exposures, including by making direct investments in foreign currencies, as described below under “Currency Transactions” or in order to take a “long” or “short” position with respect to an underlying referenced asset described below under “Total Return Swaps”. A swap is an agreement that obligates two parties to exchange a series of cash flows at specified intervals based upon or calculated by reference to changes in specified prices or rates for a specified amount of an underlying asset. The payment flows are usually netted against each other, with the difference being paid by one party to the other. In addition, collateral may be pledged or received by the Portfolio in accordance with the terms of the respective swaps to provide value and recourse to the Portfolio or its counterparties in the event of default, bankruptcy or insolvency by one of the parties to the swap.
246 | • AB POOLING PORTFOLIOS |
Notes to Financial Statements
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.
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
AB POOLING PORTFOLIOS • | 247 |
Notes to Financial Statements
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 increase in the price of securities the Portfolio anticipates purchasing at a later date. Interest rate swaps involve the exchange by a Portfolio with another party of their respective commitments to pay or receive interest (e.g., an exchange of floating rate payments for fixed rate payments) computed based on a contractually-based principal (or “notional”) amount. Interest rate swaps are entered into on a net basis (i.e., the two payment streams are netted out, with the Portfolio receiving or paying, as the case may be, only the net amount of the two payments).
During the six months ended February 28, 2017, the AB Bond Inflation Protection Portfolio and AB Multi-Asset Real Return Portfolio held interest rate swaps for hedging and non-hedging purposes.
Inflation (CPI) Swaps:
Inflation swap agreements are contracts in which one party agrees to pay the cumulative percentage increase in a price index (the Consumer Price Index with respect to CPI swaps) over the term of the swap (with some lag on the inflation index), and the other pays
248 | • AB POOLING PORTFOLIOS |
Notes to Financial Statements
a compounded fixed rate. Inflation swaps may be used to protect the net asset value, or NAV, of a Portfolio against an unexpected change in the rate of inflation measured by an inflation index since the value of these agreements is expected to increase if unexpected inflation increases.
During the six months ended February 28, 2017, the AB Bond Inflation Protection Portfolio and 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/(pay) a net settlement amount in the form of cash or securities equal to the notional amount of the swap less the recovery value of the referenced obligation.
In certain circumstances Maximum Payout Amounts may be partially offset by recovery values of the respective referenced obligations, upfront premium received upon entering into the agreement, or net amounts received from settlement of buy protection credit default swaps entered into by the Portfolio for the same reference obligation with the same counterparty. As of February 28, 2017, 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
AB POOLING PORTFOLIOS • | 249 |
Notes to Financial Statements
counterparty. If the Portfolio is a seller of protection and a credit event occurs, the value of the referenced obligation received by the Portfolio coupled with the periodic payments previously received, may be less than the Maximum Payout Amount it pays to the buyer, resulting in a net loss to the Portfolio.
Implied credit spreads over U.S. Treasuries of comparable maturity over U.S. Treasuries of comparable maturity utilized in determining the market value of credit default swaps on issuers as of period end are disclosed in the portfolio of investments. The implied spreads serve as an indicator of the current status of the payment/ performance risk and typically reflect the likelihood of default by the issuer of the referenced obligation. The implied credit spread of a particular reference obligation also reflects the cost of buying/selling protection and may reflect upfront payments required to be made to enter into the agreement. Widening credit spreads typically represent a deterioration of the referenced obligation’s credit soundness and greater likelihood of default or other credit event occurring as defined under the terms of the agreement. A credit spread identified as “Defaulted” indicates a credit event has occurred for the referenced obligation.
During the six months ended February 28, 2017, the AB Bond Inflation Protection Portfolio held credit default swaps for hedging and non-hedging purposes; the AB Short Duration Bond Portfolio held credit default swaps for non-hedging purpose.
Total Return Swaps:
The Portfolio may enter into total return swaps in order to take a “long” or “short” position with respect to an underlying referenced asset. The Portfolio is subject to market price volatility of the underlying referenced asset. A total return swap involves commitments to pay interest in exchange for a market linked return based on a notional amount. To the extent that the total return of the security, group of securities or index underlying the transaction exceeds or falls short of the offsetting interest obligation, the Portfolio will receive a payment from or make a payment to the counterparty.
During the six months ended February 28, 2017, the AB Multi-Asset Real Return Portfolio and AB Volatility Management Portfolio held total return swaps for hedging and 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,
250 | • AB POOLING PORTFOLIOS |
Notes to Financial Statements
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 instruments’ payables and/or receivables with collateral held and/or posted and create one single net payment (close-out netting) in the event of default or termination.
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 Portfolio’s net liability, held by the defaulting party, may be delayed or denied.
The Portfolio’s Master Agreements may contain provisions for early termination of OTC derivative transactions in the event the net assets of the Portfolio decline below specific levels (“net asset contingent features”). If these levels are triggered, the Portfolio’s 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.
During the six months ended February 28, 2017, 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 | ||||||||||
Foreign exchange contracts | Unrealized appreciation on forward currency exchange contracts | $ | 285,514 | | Unrealized depreciation on forward currency exchange contracts | | $ | 319,453 | ||||||
|
|
|
| |||||||||||
Total | $ | 285,514 | $ | 319,453 | ||||||||||
|
|
|
|
AB POOLING PORTFOLIOS • | 251 |
Notes to Financial Statements
Derivative Type | Location of | Realized Gain or (Loss) on Derivatives | Change in Unrealized Appreciation or (Depreciation) | |||||||
Equity contracts | Net realized gain (loss) on futures; Net change in unrealized appreciation/depreciation of futures | $ | 29,585 | $ | (24,720 | ) | ||||
Foreign exchange contracts | Net realized gain (loss) on foreign currency transactions; Net change in unrealized appreciation/depreciation of foreign currency denominated assets and liabilities | 816,842 | (170,059 | ) | ||||||
|
|
|
| |||||||
Total | $ | 846,427 | $ | (194,779 | ) | |||||
|
|
|
|
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 | $ | 1,120,213 |
| Unrealized depreciation on forward currency exchange contracts | $ | 404,099 |
| ||||
|
|
|
| |||||||||
Total | $ | 1,120,213 | $ | 404,099 | ||||||||
|
|
|
|
Derivative Type | Location of | Realized Gain or (Loss) on Derivatives | Change in Unrealized Appreciation or (Depreciation) | |||||||
Foreign exchange contracts | Net realized gain (loss) on foreign currency transactions; Net change in unrealized appreciation/depreciation of foreign currency denominated assets and liabilities | $ | 1,970,746 | $ | (1,521,923 | ) | ||||
|
|
|
| |||||||
Total | $ | 1,970,746 | $ | (1,521,923 | ) | |||||
|
|
|
|
252 | • AB POOLING PORTFOLIOS |
Notes to Financial Statements
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 | $ | 24,703 | * | Receivable/Payable for variation margin on exchange-traded derivatives | $ | 1,951 | * | ||||
Foreign exchange contracts | Unrealized appreciation on forward currency exchange contracts |
| 8,081 |
| Unrealized depreciation on forward currency exchange contracts |
| 22,466 |
| ||||
Interest rate contracts | Swaptions written, at value | 4,488 | ||||||||||
Credit contracts | Unrealized depreciation on credit default swaps | 42,746 | ||||||||||
|
|
|
| |||||||||
Total | $ | 32,784 | $ | 71,651 | ||||||||
|
|
|
|
* | 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 | 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 | $ | (111,409 | ) | $ | 38,233 | ||||
Foreign exchange contracts | Net realized gain (loss) on foreign currency transactions; Net change in unrealized appreciation/depreciation of foreign currency denominated assets and liabilities | 211,964 | 77,119 | |||||||
Interest rate contracts | Net realized gain (loss) on swaptions written; Net change in unrealized appreciation/depreciation of swaptions written | 1,498 | (197 | ) |
AB POOLING PORTFOLIOS • | 253 |
Notes to Financial Statements
Derivative Type | Location of | Realized Gain or (Loss) on Derivatives | Change in Unrealized Appreciation or (Depreciation) | |||||||
Credit contracts | Net realized gain (loss) on swaps; Net change in unrealized appreciation/depreciation of swaps | $ | 10,188 | $ | (35,859 | ) | ||||
|
|
|
| |||||||
Total | $ | 112,241 | $ | 79,296 | ||||||
|
|
|
|
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 | $ | 17,774 | * | Receivable/Payable for variation margin on exchange-traded derivatives | $ | 82,003 | * | ||||
Foreign exchange contracts | Unrealized appreciation on forward currency exchange contracts |
| 1,177,361 |
| Unrealized depreciation on forward currency exchange contracts |
| 818,090 |
| ||||
|
|
|
| |||||||||
Total | $ | 1,195,135 | $ | 900,093 | ||||||||
|
|
|
|
* | 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. |
254 | • 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 | $ | 1,090,038 | $ | 132,263 | |||||
Foreign exchange contracts | Net realized gain (loss) on foreign currency transactions; Net change in unrealized appreciation/depreciation of foreign currency denominated assets and liabilities | (656,194 | ) | 549,977 | ||||||
|
|
|
| |||||||
Total | $ | 433,844 | $ | 682,240 | ||||||
|
|
|
|
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 | $ | 267,335 | * | Receivable/Payable for variation margin on exchange-traded derivatives | $ | 439,051 | * | ||||
Credit contracts | Receivable/Payable for variation margin on exchange-traded derivatives | Receivable/Payable for variation margin on exchange-traded derivatives | 163,379 | * | ||||||||
Foreign exchange contracts | Unrealized appreciation on forward currency exchange contracts |
| 82,651 |
| Unrealized depreciation on forward currency exchange contracts |
| 95,007 |
| ||||
Interest rate contracts | Investments in securities, at value |
| 1 |
| Swaptions written, at value |
| 6,142 |
| ||||
Interest rate contracts | Unrealized appreciation on inflation swaps |
| 223,947 |
| ||||||||
Credit contracts | Unrealized appreciation on credit default swaps | 12,557 | Unrealized depreciation on credit default swaps | 100,327 | ||||||||
|
|
|
| |||||||||
Total | $ | 586,491 | $ | 803,906 | ||||||||
|
|
|
|
* | 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 • | 255 |
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 | $ | (224,116 | ) | $ | 47,644 | ||||
Foreign exchange contracts | Net realized gain (loss) on foreign currency transactions; Net change in unrealized appreciation/depreciation of foreign currency denominated assets and liabilities | (499,047 | ) | 375,888 | ||||||
Interest rate contracts | Net realized gain (loss) on investment transactions; Net change in unrealized appreciation/depreciation of investments | (7,691 | ) | (8,142 | ) | |||||
Equity contracts | Net realized gain (loss) on investment transactions; Net change in unrealized appreciation/depreciation of investments | (6,175 | ) | – 0 | – | |||||
Interest rate contracts | Net realized gain (loss) on swaptions written; Net change in unrealized appreciation/depreciation of swaptions written | 7,795 | (268 | ) | ||||||
Equity contracts | Net realized gain (loss) on options written; Net change in unrealized appreciation/depreciation of options written | 3,000 | – 0 | – | ||||||
Interest rate contracts | Net realized gain (loss) on swaps; Net change in unrealized appreciation/depreciation of swaps | 157,214 | 1,018,518 | |||||||
Credit contracts | Net realized gain (loss) on swaps; Net change in unrealized appreciation/depreciation of swaps | (56,233 | ) | (138,057 | ) | |||||
|
|
|
| |||||||
Total | $ | (625,253 | ) | $ | 1,295,583 | |||||
|
|
|
|
256 | • AB POOLING PORTFOLIOS |
Notes to Financial Statements
AB Multi-Asset Real Return Portfolio | ||||||||||||
Asset Derivatives | Liability Derivatives | |||||||||||
Derivative Type | Consolidated Statement of Assets and Liabilities Location | Fair Value | Consolidated Statement of Assets and Liabilities Location | Fair Value | ||||||||
Interest rate contracts | Receivable/Payable for variation margin on exchange-traded derivatives | $ | 88,670 | * | ||||||||
Equity contracts | Receivable/Payable for variation margin on exchange-traded derivatives |
| 818,415 | * | ||||||||
Commodity contracts | Receivable/Payable for variation margin on exchange-traded derivatives | $ | 1,619,133 | * | Receivable/Payable for variation margin on exchange-traded derivatives |
| 924,600 | * | ||||
Foreign exchange contracts | Unrealized appreciation on forward currency exchange contracts |
| 12,468,129 |
| Unrealized depreciation on forward currency exchange contracts |
| 11,599,694 |
| ||||
Interest rate contracts | Unrealized appreciation on inflation swaps |
| 8,974,666 |
| Unrealized depreciation on inflation swaps |
| 61,071 |
| ||||
Equity contracts | Unrealized appreciation on total return swaps |
| 1,432,252 |
| Unrealized depreciation on total return swaps |
| 1,380,268 |
| ||||
|
|
|
| |||||||||
Total | $ | 24,494,180 | $ | 14,872,718 | ||||||||
|
|
|
|
* | 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. |
AB POOLING PORTFOLIOS • | 257 |
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 | $ | 803,834 | $ | (94,903 | ) | ||||
Equity contracts | Net realized gain (loss) on futures; Net change in unrealized appreciation/depreciation of futures | (2,663,924 | ) | (454,647 | ) | |||||
Commodity contracts | Net realized gain (loss) on futures; Net change in unrealized appreciation/depreciation of futures | 646,866 | 1,593,755 | |||||||
Foreign exchange contracts | Net realized gain (loss) on foreign currency transactions; Net change in unrealized appreciation/depreciation of foreign currency denominated assets and liabilities | 13,027,837 | (2,199,441 | ) | ||||||
Equity contracts | Net realized gain (loss) on investment transactions; Net change in unrealized appreciation/depreciation of investments | (715,956 | ) | 101,248 | ||||||
Equity contracts | Net realized gain (loss) on options written; Net change in unrealized appreciation/depreciation of options written | 1,818,700 | (94,126 | ) | ||||||
Interest rate contracts | Net realized gain (loss) on swaps; Net change in unrealized appreciation/depreciation of swaps | 99,208 | 13,118,041 | |||||||
Equity contracts | Net realized gain (loss) on swaps; Net change in unrealized appreciation/depreciation of swaps | 11,397,496 | 8,368,990 | |||||||
|
|
|
| |||||||
Total | $ | 24,414,061 | $ | 20,338,917 | ||||||
|
|
|
|
258 | • AB POOLING PORTFOLIOS |
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 | $ | 2,273,437 | * | Receivable/Payable for variation margin on exchange-traded derivatives | $ | 290,973 | * | ||||
Foreign exchange contracts | Unrealized appreciation on forward currency exchange contracts |
| 1,393,674 |
| Unrealized depreciation on forward currency exchange contracts |
| 2,937,140 |
| ||||
Equity contracts | Unrealized depreciation on total return swaps |
| 507,818 |
| ||||||||
|
|
|
| |||||||||
Total | $ | 3,667,111 | $ | 3,735,931 | ||||||||
|
|
|
|
* | 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 | 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 | $ | (4,142 | ) | $ | – 0 | – | |||
Equity contracts | Net realized gain (loss) on futures; Net change in unrealized appreciation/depreciation of futures | 3,484,911 | 2,961,354 | |||||||
Foreign exchange contracts | Net realized gain (loss) on foreign currency transactions; Net change in unrealized appreciation/depreciation of foreign currency denominated assets and liabilities | (3,424,485 | ) | (498,819 | ) |
AB POOLING PORTFOLIOS • | 259 |
Notes to Financial Statements
Derivative Type | Location of | Realized Gain or (Loss) on Derivatives | Change in Unrealized Appreciation or (Depreciation) | |||||||
Equity contracts | Net realized gain (loss) on investment transactions; Net change in unrealized appreciation/depreciation of investments | $ | 147,285 | $ | 300,985 | |||||
Equity contracts | Net realized gain (loss) on swaps; Net change in unrealized appreciation/depreciation of swaps | 11,455,811 | (3,138,971 | ) | ||||||
|
|
|
| |||||||
Total | $ | 11,659,380 | $ | (375,451 | ) | |||||
|
|
|
|
The following tables represent the average monthly volume of the Portfolios’ derivative transactions during the six months ended February 28, 2017:
AB International Value Portfolio | ||||
Futures: | ||||
Average original value of buy contracts | $ | 313,261 | ||
Forward Currency Exchange Contracts: | ||||
Average principal amount of buy contracts | $ | 59,411,278 | ||
Average principal amount of sale contracts | $ | 66,319,917 | ||
AB International Growth Portfolio | ||||
Forward Currency Exchange Contracts: | ||||
Average principal amount of buy contracts | $ | 64,054,489 | ||
Average principal amount of sale contracts | $ | 68,892,706 | ||
AB Short Duration Bond Portfolio | ||||
Futures: | ||||
Average original value of buy contracts | $ | 25,021,028 | ||
Average original value of sale contracts | $ | 1,406,680 | ||
Forward Currency Exchange Contracts: | ||||
Average principal amount of sale contracts | $ | 5,082,007 | ||
Credit Default Swaps: | ||||
Average notional amount of sale contracts | $ | 649,429 | ||
AB Global Core Bond Portfolio | ||||
Futures: | ||||
Average original value of buy contracts | $ | 5,317,264 | ||
Average original value of sale contracts | $ | 30,669,305 | ||
Forward Currency Exchange Contracts: | ||||
Average principal amount of buy contracts | $ | 21,468,857 | ||
Average principal amount of sale contracts | $ | 142,332,932 |
260 | • AB POOLING PORTFOLIOS |
Notes to Financial Statements
AB Bond Inflation Protection Portfolio | ||||
Futures: | ||||
Average original value of buy contracts | $ | 7,563,847 | ||
Average original value of sale contracts | $ | 9,145,586 | ||
Forward Currency Exchange Contracts: | ||||
Average principal amount of buy contracts | $ | 5,420,310 | ||
Average principal amount of sale contracts | $ | 14,081,045 | ||
Purchased Options: | ||||
Average monthly cost | $ | 9,446 | (a) | |
Inflation Swaps: | ||||
Average notional amount | $ | 11,064,714 | ||
Centrally Cleared Interest Rate Swaps: | ||||
Average notional amount | $ | 47,084,740 | ||
Credit Default Swaps: | ||||
Average notional amount of buy contracts | $ | 424,714 | ||
Average notional amount of sale contracts | $ | 1,687,663 | ||
Centrally Cleared Credit Default Swaps: | ||||
Average notional amount of buy contracts | $ | 6,945,929 | ||
(a) Positions were open for five months during the period. |
| |||
AB Multi-Asset Real Return Portfolio* | ||||
Futures: | ||||
Average original value of buy contracts | $ | 89,026,099 | ||
Average original value of sale contracts | $ | 89,962,253 | ||
Forward Currency Exchange Contracts: | ||||
Average principal amount of buy contracts | $ | 309,448,723 | ||
Average principal amount of sale contracts | $ | 402,117,637 | ||
Purchased Options: | ||||
Average monthly cost | $ | 465,723 | (a) | |
Interest Rate Swaps: | ||||
Average notional amount | $ | 125,200,000 | ||
Inflation Swaps: | ||||
Average notional amount | $ | 512,693,929 | ||
Total Return Swaps: | ||||
Average notional amount | $ | 286,997,748 | ||
(a) Positions were open for five months during the period. |
| |||
* Consolidated (see Note A). |
|
AB POOLING PORTFOLIOS • | 261 |
Notes to Financial Statements
AB Volatility Management Portfolio | ||||
Futures: | ||||
Average original value of buy contracts | $ | 89,175,175 | ||
Average original value of sale contracts | $ | 28,221,629 | ||
Forward Currency Exchange Contracts: | ||||
Average principal amount of buy contracts | $ | 152,618,410 | ||
Average principal amount of sale contracts | $ | 154,903,451 | ||
Purchased Options: | ||||
Average monthly cost | $ | 2,479,261 | (a) | |
Total Return Swaps: | ||||
Average notional amount | $ | 99,736,270 | ||
(a) Positions were open for two months during the period. |
For financial reporting purposes, the Portfolios do not offset derivative assets and derivative liabilities that are subject to netting arrangements in the statement of assets and liabilities.
All derivatives held at period end were subject to netting arrangements. The following tables present the Portfolios’ derivative assets and liabilities by counterparty net of amounts available for offset under Master Agreements (“MA”) and net of the related collateral received/pledged by the Portfolios as of February 28, 2017:
International Value Portfolio
Counterparty | Derivative Assets Subject to a MA | Derivative Available for Offset | Cash Collateral Received | Security Collateral Received | Net Amount of | |||||||||||||||
OTC Derivatives: | ||||||||||||||||||||
Barclays Bank PLC | $ | 33,935 | $ | (33,935 | ) | $ | – 0 | – | $ | – 0 | – | $ | – 0 | – | ||||||
Citibank, NA | 8,975 | (8,975 | ) | – 0 | – | – 0 | – | – 0 | – | |||||||||||
Goldman Sachs Bank USA | 80,476 | – 0 | – | – 0 | – | – 0 | – | 80,476 | ||||||||||||
Nomura Global Financial Products, Inc. | 50,264 | – 0 | – | – 0 | – | – 0 | – | 50,264 | ||||||||||||
Northern Trust Co. | 74,432 | – 0 | – | – 0 | – | – 0 | – | 74,432 | ||||||||||||
Royal Bank of Scotland PLC | 19,686 | (19,686 | ) | – 0 | – | – 0 | – | – 0 | – | |||||||||||
Standard Chartered Bank | 451 | (451 | ) | – 0 | – | – 0 | – | – 0 | – | |||||||||||
State Street Bank & Trust Co. | 17,295 | (17,295 | ) | – 0 | – | – 0 | – | – 0 | – | |||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Total | $ | 285,514 | $ | (80,342 | ) | $ | – 0 | – | $ | – 0 | – | $ | 205,172 | ^ | ||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
262 | • 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 | |||||||||||||||
OTC Derivatives: | ||||||||||||||||||||
Barclays Bank PLC | $ | 108,779 | $ | (33,935 | ) | $ | – 0 | – | $ | – 0 | – | $ | 74,844 | |||||||
Citibank, NA | 33,609 | (8,975 | ) | – 0 | – | – 0 | – | 24,634 | ||||||||||||
HSBC Bank USA | 71,464 | – 0 | – | – 0 | – | – 0 | – | 71,464 | ||||||||||||
JPMorgan Chase Bank, NA | 11,474 | – 0 | – | – 0 | – | – 0 | – | 11,474 | ||||||||||||
Royal Bank of Scotland PLC | 45,592 | (19,686 | ) | – 0 | – | – 0 | – | 25,906 | ||||||||||||
Standard Chartered Bank | 2,855 | (451 | ) | – 0 | – | – 0 | – | 2,404 | ||||||||||||
State Street Bank & Trust Co. | 45,680 | (17,295 | ) | – 0 | – | – 0 | – | 28,385 | ||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Total | $ | 319,453 | $ | (80,342 | ) | $ | – 0 | – | $ | – 0 | – | $ | 239,111 | ^ | ||||||
|
|
|
|
|
|
|
|
|
|
^ | 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. |
International Growth Portfolio
Counterparty | Derivative Assets Subject to a MA | Derivative Available for Offset | Cash Collateral Received | Security Collateral Received | Net Amount of | |||||||||||||||
OTC Derivatives: | ||||||||||||||||||||
Barclays Bank PLC | $ | 1,825 | $ | – 0 | – | $ | – 0 | – | $ | – 0 | – | $ | 1,825 | |||||||
BNP Paribas SA | 7,987 | – 0 | – | – 0 | – | – 0 | – | 7,987 | ||||||||||||
Citibank, NA | 85,501 | (45,332 | ) | – 0 | – | – 0 | – | 40,169 | ||||||||||||
Credit Suisse International | 159,000 | (22,807 | ) | – 0 | – | – 0 | – | 136,193 | ||||||||||||
HSBC Bank USA | 38,524 | (38,524 | ) | – 0 | – | – 0 | – | – 0 | – | |||||||||||
JPMorgan Chase Bank, NA | 130,090 | – 0 | – | – 0 | – | – 0 | – | 130,090 | ||||||||||||
Morgan Stanley & Co., Inc. | 69,185 | (69,185 | ) | – 0 | – | – 0 | – | – 0 | – | |||||||||||
Nomura Global Financial Products, Inc. | 110,890 | – 0 | – | – 0 | – | – 0 | – | 110,890 | ||||||||||||
State Street Bank & Trust Co. | 504,172 | (57,521 | ) | – 0 | – | – 0 | – | 446,651 | ||||||||||||
UBS AG | 13,039 | (11,650 | ) | – 0 | – | – 0 | – | 1,389 | ||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Total | $ | 1,120,213 | $ | (245,019 | ) | $ | –0 | – | $ | – 0 | – | $ | 875,194 | ^ | ||||||
|
|
|
|
|
|
|
|
|
|
AB POOLING PORTFOLIOS • | 263 |
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: | ||||||||||||||||||||
Citibank, NA | $ | 45,332 | $ | (45,332 | ) | $ | – 0 | – | $ | – 0 | – | $ | – 0 | – | ||||||
Credit Suisse International | 22,807 | (22,807 | ) | – 0 | – | – 0 | – | – 0 | – | |||||||||||
HSBC Bank USA | 47,772 | (38,524 | ) | – 0 | – | – 0 | – | 9,248 | ||||||||||||
Morgan Stanley & Co., Inc. | 113,215 | (69,185 | ) | – 0 | – | – 0 | – | 44,030 | ||||||||||||
Standard Chartered Bank | 105,802 | – 0 | – | – 0 | – | – 0 | – | 105,802 | ||||||||||||
State Street Bank & Trust Co. | 57,521 | (57,521 | ) | – 0 | – | – 0 | – | – 0 | – | |||||||||||
UBS AG | 11,650 | (11,650 | ) | – 0 | – | – 0 | – | – 0 | – | |||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Total | $ | 404,099 | $ | (245,019 | ) | $ | – 0 | – | $ | – 0 | – | $ | 159,080 | ^ | ||||||
|
|
|
|
|
|
|
|
|
|
^ | Net amount represents the net receivable/payable that would be due from/to the counterparty in the event of default or termination. The net amount from OTC financial derivative instruments can only be netted across transactions governed under the same master agreement with the same counterparty. |
Short Duration Bond Portfolio
Counterparty | Derivative Assets Subject to a MA | Derivative Available for Offset | Cash Collateral Received | Security Collateral Received | Net Amount of | |||||||||||||||
OTC Derivatives: | ||||||||||||||||||||
Citibank, NA | $ | 8,081 | $ | – 0 | – | $ | – 0 | – | $ | – 0 | – | $ | 8,081 | |||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Total | $ | 8,081 | $ | – 0 | – | $ | – 0 | – | $ | – 0 | – | $ | 8,081 | ^ | ||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Counterparty | Derivative Liabilities Subject to a MA | Derivative Available for Offset | Cash Collateral Pledged* | Security Collateral Pledged | Net Amount of | |||||||||||||||
Exchange-Traded Derivatives: | ||||||||||||||||||||
Morgan Stanley & Co., Inc.** | $ | 1,973 | $ | – 0 | – | $ | (1,973 | ) | $ | – 0 | – | $ | – 0 | – | ||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Total | $ | 1,973 | $ | – 0 | – | $ | (1,973 | ) | $ | – 0 | – | $ | – 0 | – | ||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
OTC Derivatives: | ||||||||||||||||||||
BNP Paribas SA | $ | 22,466 | $ | – 0 | – | $ | – 0 | – | $ | – 0 | – | $ | 22,466 | |||||||
Credit Suisse International | 39,784 | – 0 | – | – 0 | – | – 0 | – | 39,784 | ||||||||||||
Deutsche Bank AG | 58,956 | – 0 | – | – 0 | – | – 0 | – | 58,956 | ||||||||||||
JPMorgan Chase Bank, NA | 4,488 | – 0 | – | – 0 | – | – 0 | – | 4,488 | ||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Total | $ | 125,694 | $ | – 0 | – | $ | – 0 | – | $ | – 0 | – | $ | 125,694 | ^ | ||||||
|
|
|
|
|
|
|
|
|
|
* | The actual collateral pledged is more than the amount reported due to over-collateralization. |
** | Cash has been posted for initial margin requirements for exchange-traded derivatives outstanding at February 28, 2017. |
^ | 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. |
264 | • AB POOLING PORTFOLIOS |
Notes to Financial Statements
Global Core Bond Portfolio
Counterparty | Derivative Assets Subject to a MA | Derivative Available for Offset | Cash Collateral Received | Security Collateral Received | Net Amount of Derivatives Assets | |||||||||||||||
OTC Derivatives: | ||||||||||||||||||||
BNP Paribas SA | $ | 96,627 | $ | (96,627 | ) | $ | – 0 | – | $ | – 0 | – | $ | – 0 | – | ||||||
Goldman Sachs Bank USA | 325,878 | (24,097 | ) | – 0 | – | – 0 | – | 301,781 | ||||||||||||
HSBC Bank USA | 60,731 | (60,731 | ) | – 0 | – | – 0 | – | – 0 | – | |||||||||||
Morgan Stanley & Co., Inc. | 626,248 | – 0 | – | – 0 | – | – 0 | – | 626,248 | ||||||||||||
Royal Bank of Scotland PLC | 43,105 | (43,105 | ) | – 0 | – | – 0 | – | – 0 | – | |||||||||||
State Street Bank & Trust Co. | 24,772 | (24,772 | ) | – 0 | – | – 0 | – | – 0 | – | |||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Total | $ | 1,177,361 | $ | (249,332 | ) | $ | – 0 | – | $ | – 0 | – | $ | 928,029^ | |||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Counterparty | Derivative Liabilities Subject to a MA | Derivative Available for Offset | Cash Collateral Pledged* | Security Collateral Pledged | Net Amount of Derivatives Liabilities | |||||||||||||||
Exchange-Traded Derivatives: | ||||||||||||||||||||
Morgan Stanley & Co., Inc.** | $ | 5,235 | $ | – 0 | – | $ | (5,235 | ) | $ | – 0 | – | $ | – 0 | – | ||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Total | $ | 5,235 | $ | – 0 | – | $ | (5,235 | ) | $ | – 0 | – | $ | – 0 | – | ||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
OTC Derivatives: | ||||||||||||||||||||
BNP Paribas SA | $ | 214,051 | $ | (96,627 | ) | $ | – 0 | – | $ | – 0 | – | $ | 117,424 | |||||||
Citibank, NA | 10,242 | – 0 | – | – 0 | – | – 0 | – | 10,242 | ||||||||||||
Credit Suisse International | 7,655 | – 0 | – | – 0 | – | – 0 | – | 7,655 | ||||||||||||
Goldman Sachs Bank USA | 24,097 | (24,097 | ) | – 0 | – | – 0 | – | – 0 | – | |||||||||||
HSBC Bank USA | 106,961 | (60,731 | ) | – 0 | – | – 0 | – | 46,230 | ||||||||||||
JPMorgan Chase Bank, NA | 118,828 | – 0 | – | – 0 | – | – 0 | – | 118,828 | ||||||||||||
Royal Bank of Scotland PLC | 125,342 | (43,105 | ) | – 0 | – | – 0 | – | 82,237 | ||||||||||||
Standard Chartered Bank | 105,060 | – 0 | – | – 0 | – | – 0 | – | 105,060 | ||||||||||||
State Street Bank & Trust Co. | 105,854 | (24,772 | ) | – 0 | – | – 0 | – | 81,082 | ||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Total | $ | 818,090 | $ | (249,332 | ) | $ | – 0 | – | $ | – 0 | – | $ | 568,758^ | |||||||
|
|
|
|
|
|
|
|
|
|
* | The actual collateral pledged is more than the amount reported due to over-collateralization. |
** | Cash has been posted for initial margin requirements for exchange-traded derivatives outstanding at February 28, 2017. |
^ | 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 • | 265 |
Notes to Financial Statements
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/ Morgan Stanley & Co., Inc.* | $ | 4,326 | $ | (4,326 | ) | $ | $ | – 0 | – | $ | – 0 | – | ||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Total | $ | 4,326 | $ | (4,326 | ) | $ | $ | – 0 | – | $ | – 0 | – | ||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
OTC Derivatives: | ||||||||||||||||||||
Bank of America, NA | $ | 17,275 | $ | (403 | ) | $ | – 0 | – | $ | – 0 | – | $ | 16,872 | |||||||
Barclays Bank PLC | 223,947 | – 0 | – | – 0 | – | – 0 | – | 223,947 | ||||||||||||
Citibank, NA | 8,791 | (8,791 | ) | – 0 | – | – 0 | – | – 0 | – | |||||||||||
Credit Suisse International | 2,378 | (2,378 | ) | – 0 | – | – 0 | – | – 0 | – | |||||||||||
Goldman Sachs Bank USA/Goldman Sachs International | 27,181 | (27,181 | ) | – 0 | – | – 0 | – | – 0 | – | |||||||||||
Royal Bank of Scotland PLC | 11,791 | (11,791 | ) | – 0 | – | – 0 | – | – 0 | – | |||||||||||
Standard Chartered Bank | 632 | (586 | ) | – 0 | – | – 0 | – | 46 | ||||||||||||
State Street Bank & Trust Co. | 23,576 | (17,199 | ) | – 0 | – | – 0 | – | 6,377 | ||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Total | $ | 315,571 | $ | (68,329 | ) | $ | – 0 | – | $ | – 0 | – | $ | 247,242 | ^ | ||||||
|
|
|
|
|
|
|
|
|
|
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/ Morgan Stanley & Co., Inc.* | $ | 26,992 | $ | (4,326 | ) | $ | (22,666 | ) | $ | – 0 | – | $ | – 0 | – | ||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Total | $ | 26,992 | $ | (4,326 | ) | $ | (22,666 | ) | $ | – 0 | – | $ | – 0 | – | ||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
OTC Derivatives: | ||||||||||||||||||||
Bank of America, NA | $ | 403 | $ | (403 | ) | $ | – 0 | – | $ | – 0 | – | $ | – 0 | – | ||||||
Citibank, NA | 43,548 | (8,791 | ) | – 0 | – | – 0 | – | 34,757 | ||||||||||||
Credit Suisse International | 67,167 | (2,378 | ) | – 0 | – | – 0 | – | 64,789 | ||||||||||||
Deutsche Bank AG | 36,813 | – 0 | – | – 0 | – | – 0 | – | 36,813 | ||||||||||||
Goldman Sachs Bank USA/Goldman Sachs International | 79,433 | (27,181 | ) | – 0 | – | – 0 | – | 52,252 | ||||||||||||
HSBC Bank USA | 35,053 | – 0 | – | – 0 | – | – 0 | – | 35,053 | ||||||||||||
JPMorgan Chase Bank, NA | 6,142 | – 0 | – | – 0 | – | – 0 | – | 6,142 | ||||||||||||
Royal Bank of Scotland PLC | 15,057 | (11,791 | ) | – 0 | – | – 0 | – | 3,266 | ||||||||||||
Standard Chartered Bank | 586 | (586 | ) | – 0 | – | – 0 | – | – 0 | – | |||||||||||
State Street Bank & Trust Co. | 17,199 | (17,199 | ) | – 0 | – | – 0 | – | – 0 | – | |||||||||||
UBS AG | 14,819 | – 0 | – | – 0 | – | – 0 | – | 14,819 | ||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Total | $ | 316,220 | $ | (68,329 | ) | $ | – 0 | – | $ | – 0 | – | $ | 247,891 | ^ | ||||||
|
|
|
|
|
|
|
|
|
|
* | Cash has been posted for initial margin requirements for exchange-traded derivatives outstanding at February 28, 2017. |
** | The actual collateral 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. |
266 | • AB POOLING PORTFOLIOS |
Notes to Financial Statements
AB Multi-Asset Real Return Portfolio | ||||||||||||||||||||
Counterparty | Derivative Assets Subject to a MA | Derivative Available for Offset | Cash Collateral Received | Security Collateral Received | Net Amount of Derivatives Assets | |||||||||||||||
Exchange-Traded Derivatives: | ||||||||||||||||||||
Morgan Stanley & Co., LLC* | $ | 10,158 | $ | – 0 | – | $ | – 0 | – | $ | – 0 | – | $ | 10,158 | |||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Total | $ | 10,158 | $ | – 0 | – | $ | – 0 | – | $ | – 0 | – | $ | 10,158 | |||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Counterparty | Derivative Assets Subject to a MA | Derivative Available for Offset | Cash Collateral Received* | Security Collateral Received** | Net Amount of Derivatives Assets | |||||||||||||||
OTC Derivatives: | ||||||||||||||||||||
Australia & New Zealand Banking Group Ltd. | $ | 16,502 | $ | (16,502 | ) | $ | – 0 | – | $ | – 0 | – | $ | – 0 | – | ||||||
Bank of America, NA | 106,868 | (106,868 | ) | – 0 | – | – 0 | – | – 0 | – | |||||||||||
Barclays Bank PLC | 885,655 | (73,177 | ) | – 0 | – | – 0 | – | 812,478 | ||||||||||||
BNP Paribas SA | 151,814 | (151,814 | ) | – 0 | – | – 0 | – | – 0 | – | |||||||||||
Citibank, NA | 1,593,541 | (93,223 | ) | (1,111,000 | ) | – 0 | – | 389,318 | ||||||||||||
Credit Suisse International | 1,239,779 | (1,239,779 | ) | – 0 | – | –0 | – | – 0 | – | |||||||||||
Deutsche Bank AG | 1,965,406 | (61,071 | ) | (1,894,206 | ) | – 0 | – | 10,129 | ||||||||||||
Goldman Sachs Bank USA/Goldman Sachs International | 2,220,857 | (35,660 | ) | – 0 | – | (2,185,197 | ) | – 0 | – | |||||||||||
HSBC Bank USA | 79,841 | – 0 | – | – 0 | – | – 0 | – | 79,841 | ||||||||||||
JPMorgan Chase Bank, NA | 5,580,879 | (591,946 | ) | (3,968,000 | ) | – 0 | – | 1,020,933 | ||||||||||||
Morgan Stanley & Co., Inc. | 213,934 | (94,795 | ) | – 0 | – | – 0 | – | 119,139 | ||||||||||||
Nomura Global Financial Products, Inc. | 966,560 | (79,938 | ) | – 0 | – | – 0 | – | 886,622 | ||||||||||||
Royal Bank of Scotland PLC | 385,003 | (385,003 | ) | – 0 | – | – 0 | – | – 0 | – | |||||||||||
Standard Chartered Bank | 23,773 | (9,812 | ) | – 0 | – | – 0 | – | 13,961 | ||||||||||||
State Street Bank & Trust Co. | 5,837,866 | (5,837,866 | ) | – 0 | – | – 0 | – | – 0 | – | |||||||||||
UBS AG | 93,207 | (93,207 | ) | – 0 | – | – 0 | – | – 0 | – | |||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Total | $ | 21,361,485 | $ | (8,870,661 | ) | $ | (6,973,206 | ) | $ | (2,185,197 | ) | $ | 3,332,421 | ^ | ||||||
|
|
|
|
|
|
|
|
|
|
AB POOLING PORTFOLIOS • | 267 |
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: |
| |||||||||||||||||||
Australia & New Zealand Banking Group Ltd. | $ | 16,949 | $ | (16,502 | ) | $ | – 0 | – | $ | – 0 | – | $ | 447 | |||||||
Bank of America, NA | 489,800 | (106,868 | ) | – 0 | – | – 0 | – | 382,932 | ||||||||||||
Barclays Bank PLC | 73,177 | (73,177 | ) | – 0 | – | – 0 | – | – 0 | – | |||||||||||
BNP Paribas SA | 295,835 | (151,814 | ) | – 0 | – | – 0 | – | 144,021 | ||||||||||||
Citibank, NA | 93,223 | (93,223 | ) | – 0 | – | – 0 | – | – 0 | – | |||||||||||
Credit Suisse International | 1,333,806 | (1,239,779 | ) | – 0 | – | – 0 | – | 94,027 | ||||||||||||
Deutsche Bank AG | 61,071 | (61,071 | ) | – 0 | – | – 0 | – | – 0 | – | |||||||||||
Goldman Sachs Bank USA/Goldman Sachs International | 35,660 | (35,660 | ) | – 0 | – | – 0 | – | – 0 | – | |||||||||||
JPMorgan Chase Bank, NA | 591,946 | (591,946 | ) | –0 | – | –0 | – | – 0 | – | |||||||||||
Morgan Stanley & Co., Inc. | 94,795 | (94,795 | ) | – 0 | – | – 0 | – | – 0 | – | |||||||||||
Nomura Global Financial Products, Inc. | 79,938 | (79,938 | ) | – 0 | – | – 0 | – | – 0 | – | |||||||||||
Royal Bank of Scotland PLC | 1,279,130 | (385,003 | ) | – 0 | – | – 0 | – | 894,127 | ||||||||||||
Standard Chartered Bank | 9,812 | (9,812 | ) | – 0 | – | – 0 | – | – 0 | – | |||||||||||
State Street Bank & Trust Co. | 6,970,549 | (5,837,866 | ) | – 0 | – | – 0 | – | 1,132,683 | ||||||||||||
UBS AG | 201,772 | (93,207 | ) | – 0 | – | – 0 | – | 108,565 | ||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Total | $ | 11,627,463 | $ | (8,870,661 | ) | $ | – 0 | – | $ | – 0 | – | $ | 2,756,802^ | |||||||
|
|
|
|
|
|
|
|
|
|
* | Cash has been posted for initial margin requirements for exchange-traded derivatives outstanding at February 28, 2017. |
** | The actual collateral 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. |
268 | • AB POOLING PORTFOLIOS |
Notes to Financial Statements
AllianceBernstein Cayman Inflation Pooling Subsidiary. Ltd.
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** | $ | 703,270 | $ | – 0 | – | $ | – 0 | – | $ | – 0 | – | $ | 703,270 | |||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Total | $ | 703,270 | $ | – 0 | – | $ | – 0 | – | $ | – 0 | – | $ | 703,270 | |||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
OTC Derivatives: | ||||||||||||||||||||
JPMorgan Chase Bank, NA | $ | 1,393,228 | $ | (926,835 | ) | $ | – 0 | – | $ | – 0 | – | $ | 466,393 | |||||||
Morgan Stanley Capital Services LLC | 39,024 | (39,024 | ) | – 0 | – | – 0 | – | – 0 | – | |||||||||||
State Street Bank & Trust Co. | 81,310 | (33,302 | ) | – 0 | – | – 0 | – | 48,008 | ||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Total | $ | 1,513,562 | $ | (999,161 | ) | $ | – 0 | – | $ | – 0 | – | $ | 514,401 | ^ | ||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Counterparty | Derivative Liabilities Subject to a MA | Derivative Available for Offset | Cash Collateral Pledged | Security Collateral Pledged* | Net Amount of Derivatives Liabilities | |||||||||||||||
OTC Derivatives: |
| |||||||||||||||||||
JPMorgan Chase Bank, NA | $ | 926,835 | $ | (926,835 | ) | $ | – 0 | – | $ | – 0 | – | $ | – 0 | – | ||||||
Morgan Stanley Capital Services LLC | 453,433 | (39,024 | ) | – 0 | – | (414,409 | ) | – 0 | – | |||||||||||
State Street Bank & Trust Co. | 33,302 | (33,302 | ) | – 0 | – | – 0 | – | – 0 | – | |||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Total | $ | 1,413,570 | $ | (999,161 | ) | $ | – 0 | – | $ | (414,409 | ) | $ | – 0 | – ^ | ||||||
|
|
|
|
|
|
|
|
|
|
* | The actual collateral pledged is more than the amount reported due to over-collateralization. |
** | Cash has been posted for initial margin requirements for exchange-traded derivatives outstanding at February 28, 2017. |
^ | 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 • | 269 |
Notes to Financial Statements
AB Volatility Management 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: |
| |||||||||||||||||||
Barclays Bank PLC | $ | 3,068 | $ | (3,068 | ) | $ | – 0 | – | $ | – 0 | – | $ | – 0 | – | ||||||
BNP Paribas SA | 828,209 | (828,209 | ) | – 0 | – | – 0 | – | – 0 | – | |||||||||||
Brown Brothers Harriman & Co. | 153,186 | (153,186 | ) | – 0 | – | – 0 | – | – 0 | – | |||||||||||
Citibank, NA | 3,984 | – 0 | – | – 0 | – | – 0 | – | 3,984 | ||||||||||||
Credit Suisse International | 34,869 | (34,869 | ) | – 0 | – | – 0 | – | – 0 | – | |||||||||||
Goldman Sachs Bank USA/Goldman Sachs International | 242,213 | (242,213 | ) | – 0 | – | – 0 | – | – 0 | – | |||||||||||
JPMorgan Chase Bank, NA | 1,697 | (1,697 | ) | – 0 | – | – 0 | – | – 0 | – | |||||||||||
Morgan Stanley & Co., Inc. | 11,226 | (11,226 | ) | – 0 | – | – 0 | – | – 0 | – | |||||||||||
State Street Bank & Trust Co. | 115,222 | (115,222 | ) | – 0 | – | – 0 | – | – 0 | – | |||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Total | $ | 1,393,674 | $ | (1,389,690 | ) | $ | – 0 | – | $ | – 0 | – | $ | 3,984 | ^ | ||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
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.** | $ | 5,757,385 | $ | – 0 | – | $ | (5,757,385 | ) | $ | –0 | – | $ | – 0 | – | ||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Total | $ | 5,757,385 | $ | – 0 | – | $ | (5,757,385 | ) | $ | –0 | – | $ | – 0 | – | ||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
OTC Derivatives: |
| |||||||||||||||||||
Barclays Bank PLC | $ | 236,117 | $ | (3,068 | ) | $ | – 0 | – | $ | – 0 | – | $ | 233,049 | |||||||
BNP Paribas SA | 1,315,928 | (828,209 | ) | – 0 | – | – 0 | – | 487,719 | ||||||||||||
Brown Brothers Harriman & Co. | 365,485 | (153,186 | ) | – 0 | – | – 0 | – | 212,299 | ||||||||||||
Credit Suisse International | 158,702 | (34,869 | ) | – 0 | – | – 0 | – | 123,833 | ||||||||||||
Goldman Sachs Bank USA/Goldman Sachs International | 388,875 | (242,213 | ) | – 0 | – | – 0 | – | 146,662 | ||||||||||||
JPMorgan Chase Bank, NA | 123,083 | (1,697 | ) | – 0 | – | – 0 | – | 121,386 | ||||||||||||
Morgan Stanley & Co., Inc. | 425,257 | (11,226 | ) | – 0 | – | – 0 | – | 414,031 |
270 | • 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 | |||||||||||||||
Royal Bank of Scotland PLC | $ | 17,391 | $ | – 0 | – | $ | – 0 | – | $ | – 0 | – | $ | 17,391 | |||||||
Standard Chartered Bank | 15,267 | – 0 | – | – 0 | – | – 0 | – | 15,267 | ||||||||||||
State Street Bank & Trust Co. | 125,294 | (115,222 | ) | – 0 | – | – 0 | – | 10,072 | ||||||||||||
UBS AG | 273,559 | – 0 | – | – 0 | – | – 0 | – | 273,559 | ||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Total | $ | 3,444,958 | $ | (1,389,690 | ) | $ | – 0 | – | $ | – 0 | – | $ | 2,055,268 | ^ | ||||||
|
|
|
|
|
|
|
|
|
|
^ | 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. |
* | 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 February 28, 2017. |
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).
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
AB POOLING PORTFOLIOS • | 271 |
Notes to Financial Statements
Mortgage Corporation, or FHLMC, are subsequently allocated to the TBA transactions.
Certain Portfolios may enter into dollar rolls. Dollar rolls involve sales by the Portfolio of securities for delivery in the current month and the Portfolio’s simultaneously contracting to repurchase substantially similar (same type and coupon) securities on a specified future date. During the roll period, the Portfolio forgoes principal and interest paid on the securities. The Portfolio is compensated by the difference between the current sales price and the lower forward price for the future purchase (often referred to as the “drop”) as well as by the interest earned on the cash proceeds of the initial sale. Dollar rolls involve the risk that the market value of the securities the Portfolio is obligated to repurchase under the agreement may decline below the repurchase price. Dollar rolls are speculative techniques. For the six months ended February 28, 2017, the AB Global Core Bond Portfolio earned drop income of $27,863, 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 six months ended February 28, 2017, the average amount of reverse repurchase agreements outstanding for AB Bond Inflation Protection Portfolio was $24,774,206, and the daily weighted average interest rate was 1.08%. At February 28, 2017, the AB Bond Inflation Protection Portfolio had reverse repurchase agreements outstanding in the amount of $36,256,567, as reported on the statements of assets and liabilities.
272 | • AB POOLING PORTFOLIOS |
Notes to Financial Statements
The following table presents the Portfolio’s RVP liabilities by counterparty net of the related collateral pledged by the Portfolios as of February 28, 2017:
AB Bond Inflation Protection Portfolio | ||||||||||||
Counterparty | RVP Liabilities Subject to a MRA | Securities Collateral Pledged†* | Net Amount of RVP Liabilities | |||||||||
HSBC Bank USA | $ | 23,771,456 | $ | (23,771,456 | ) | $ | – 0 | – | ||||
JPMorgan Chase Bank | 12,485,111 | (12,485,111 | ) | – 0 | – | |||||||
|
|
|
|
|
| |||||||
Total | $ | 36,256,567 | $ | (36,256,567 | ) | $ | – 0 | – | ||||
|
|
|
|
|
|
† | Including accrued interest. |
* | The actual collateral pledged may be more than the amount reported due to overcollateralization. |
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 be able to exercise voting rights with respect to 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. The collateral received on securities loaned is recorded as an asset as well as a corresponding liability in the statement of assets and liabilities. When the Portfolio lends securities, its investment performance will continue to reflect changes in the value of the securities loaned. As of February 28,
AB POOLING PORTFOLIOS • | 273 |
Notes to Financial Statements
2017, 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 International Value | $ | 1,564,144 | $ | 1,683,950 | ||||
AB International Growth | 1,631,307 | 1,748,351 | ||||||
AB Multi-Asset Real Return | 22,471,468 | 23,294,918 | ||||||
AB Volatility Management | 9,296,324 | 9,742,323 |
The cash collateral will be adjusted on the next business day to maintain the required collateral amount. The securities lending income earned for the six months ended February 28, 2017 from the borrowers and the Government Money Market Portfolio are as follows:
Portfolio | Borrowers | Government Money Market Portfolio | ||||||
AB U.S. Value | $ | 5,362 | $ | 4,508 | ||||
AB U.S. Large Cap Growth | – 0 | – | 3,528 | |||||
AB International Value | 69,402 | – 0 | – | |||||
AB International Growth | 150,598 | 13,852 | ||||||
AB Multi-Asset Real Return | 323,942 | 57,451 | ||||||
AB Volatility Management | 53,945 | 15,909 |
These amounts are reflected in the statement of operations. In connection with the cash collateral investment by certain Portfolios in the Government Money Market Portfolio, the Adviser has agreed to waive a portion of such Portfolios’ share of the advisory fees of Government Money Market Portfolio, as borne indirectly by such Portfolios as an acquired fund fee and expense. For the six months ended February 28, 2017, such waivers amounted to:
Portfolio | Amount | Portfolio | Amount | |||||||
AB U.S. Value | $ | 2,240 | AB International Growth | $ | 6,637 | |||||
AB U.S. Large Cap Growth | 1,684 | AB Multi-Asset Real Return | 25,605 | |||||||
AB International Value | 3,103 | AB Volatility Management | 7,290 |
274 | • AB POOLING PORTFOLIOS |
Notes to Financial Statements
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 Government Money Market Portfolio for the six months ended February 28, 2017 is as follows:
Portfolio | Market Value 8/31/16 (000) | Purchases at Cost (000) | Sales Proceeds (000) | Market Value 2/28/17 (000) | ||||||||||||
AB U.S. Value | $ | 3,321 | $ | 37,095 | $ | 40,416 | $ | – 0 | – | |||||||
AB U.S. Large Cap Growth | 585 | 13,175 | 13,760 | – 0 | – | |||||||||||
AB International Value | 2 | 66,453 | 64,771 | 1,684 | ||||||||||||
AB International Growth | 8,638 | 48,079 | 54,969 | 1,748 | ||||||||||||
AB Small-Mid Cap Growth | – 0 | – | 33 | 33 | – 0 | – | ||||||||||
AB Multi-Asset Real Return | 41,296 | 377,043 | 395,044 | 23,295 | ||||||||||||
AB Volatility Management | 5,295 | 93,114 | 88,667 | 9,742 |
NOTE E
Shares of Beneficial Interest
Transactions in shares of beneficial interest for each class were as follows:
Shares | Amount | |||||||||||||||||||||||
Six Months Ended February 28, 2017 (unaudited) | Year Ended August 31, 2016 | Six Months Ended February 28, 2017 (unaudited) | Year Ended August 31, 2016 | |||||||||||||||||||||
|
| |||||||||||||||||||||||
AB U.S. Value | ||||||||||||||||||||||||
Shares sold | 10,430 | 47,425 | $ | 134,943 | $ | 588,693 | ||||||||||||||||||
| ||||||||||||||||||||||||
Shares issued in reinvestment of dividends | 267,494 | 700,332 | 3,685,167 | 8,840,609 | ||||||||||||||||||||
| ||||||||||||||||||||||||
Shares redeemed | (3,176,151 | ) | (12,155,124 | ) | (43,930,304 | ) | (158,045,119 | ) | ||||||||||||||||
| ||||||||||||||||||||||||
Net decrease | (2,898,227 | ) | (11,407,367 | ) | $ | (40,110,194 | ) | $ | (148,615,817 | ) | ||||||||||||||
| ||||||||||||||||||||||||
AB U.S. Large Cap Growth | ||||||||||||||||||||||||
Shares sold | 2,694 | 28,533 | $ | 27,593 | $ | 306,704 | ||||||||||||||||||
| ||||||||||||||||||||||||
Shares issued in reinvestment of dividends and distributions | 6,473,783 | 8,933,019 | 54,792,389 | 90,366,658 | ||||||||||||||||||||
| ||||||||||||||||||||||||
Shares redeemed | (3,590,333 | ) | (13,944,858 | ) | (32,658,285 | ) | (175,773,467 | ) | ||||||||||||||||
| ||||||||||||||||||||||||
Net increase (decrease) | 2,886,144 | (4,983,306 | ) | $ | 22,161,697 | $ | (85,100,105 | ) | ||||||||||||||||
| ||||||||||||||||||||||||
AB POOLING PORTFOLIOS • | 275 |
Notes to Financial Statements
Shares | Amount | |||||||||||||||||||||||
Six Months Ended February 28, 2017 (unaudited) | Year Ended August 31, 2016 | Six Months Ended February 28, 2017 (unaudited) | Year Ended August 31, 2016 | |||||||||||||||||||||
|
| |||||||||||||||||||||||
AB International Value | ||||||||||||||||||||||||
Shares sold | 39 | 230,877 | $ | 275 | $ | 1,565,159 | ||||||||||||||||||
| ||||||||||||||||||||||||
Shares issued in reinvestment of dividends | 642,591 | 2,265,216 | 4,466,008 | 15,426,120 | ||||||||||||||||||||
| ||||||||||||||||||||||||
Shares redeemed | (4,028,423 | ) | (16,575,397 | ) | (28,696,563 | ) | (119,937,274 | ) | ||||||||||||||||
| ||||||||||||||||||||||||
Net decrease | (3,385,793 | ) | (14,079,304 | ) | $ | (24,230,280 | ) | $ | (102,945,995 | ) | ||||||||||||||
| ||||||||||||||||||||||||
AB International Growth | ||||||||||||||||||||||||
Shares sold | 376,201 | 361,396 | $ | 3,071,638 | $ | 2,770,032 | ||||||||||||||||||
| ||||||||||||||||||||||||
Shares issued in reinvestment of dividends | 1,335,058 | 597,304 | 10,520,257 | 5,100,976 | ||||||||||||||||||||
| ||||||||||||||||||||||||
Shares redeemed | (1,726,588 | ) | (15,050,611 | ) | (14,927,716 | ) | (130,416,032 | ) | ||||||||||||||||
| ||||||||||||||||||||||||
Net decrease | (15,329 | ) | (14,091,911 | ) | $ | (1,335,821 | ) | $ | (122,545,024 | ) | ||||||||||||||
| ||||||||||||||||||||||||
AB Short Duration Bond | ||||||||||||||||||||||||
Shares sold | 2,110 | 1,705,549 | $ | 19,715 | $ | 16,064,149 | ||||||||||||||||||
| ||||||||||||||||||||||||
Shares issued in reinvestment of dividends and distributions | 104,234 | 938,493 | 973,258 | 8,834,321 | ||||||||||||||||||||
| ||||||||||||||||||||||||
Shares redeemed | (805,727 | ) | (89,589,331 | ) | (7,561,676 | ) | (844,229,442 | ) | ||||||||||||||||
| ||||||||||||||||||||||||
Net decrease | (699,383 | ) | (86,945,289 | ) | $ | (6,568,703 | ) | $ | (819,330,972 | ) | ||||||||||||||
| ||||||||||||||||||||||||
AB Global Core Bond | ||||||||||||||||||||||||
Shares sold | 288,850 | 665,112 | $ | 2,852,297 | $ | 6,644,486 | ||||||||||||||||||
| ||||||||||||||||||||||||
Shares issued in reinvestment of dividends and distributions | 811,968 | 4,142,006 | 7,957,592 | 40,864,714 | ||||||||||||||||||||
| ||||||||||||||||||||||||
Shares redeemed | (1,499,442 | ) | (72,196,451 | ) | (15,078,804 | ) | (725,185,720 | ) | ||||||||||||||||
| ||||||||||||||||||||||||
Net decrease | (398,624 | ) | (67,389,333 | ) | $ | (4,268,915 | ) | $ | (677,676,520 | ) | ||||||||||||||
| ||||||||||||||||||||||||
AB Bond Inflation Protection | ||||||||||||||||||||||||
Shares sold | 24,410 | 1,093,982 | $ | 244,833 | $ | 10,438,327 | ||||||||||||||||||
| ||||||||||||||||||||||||
Shares issued in reinvestment of dividends and distributions | 607,374 | 1,743,338 | 5,660,726 | 16,335,075 | ||||||||||||||||||||
| ||||||||||||||||||||||||
Shares redeemed | (845,462 | ) | (66,603,970 | ) | (8,305,789 | ) | (646,166,744 | ) | ||||||||||||||||
| ||||||||||||||||||||||||
Net decrease | (213,678 | ) | (63,766,650 | ) | $ | (2,400,230 | ) | $ | (619,393,342 | ) | ||||||||||||||
| ||||||||||||||||||||||||
276 | • AB POOLING PORTFOLIOS |
Notes to Financial Statements
Shares | Amount | |||||||||||||||||||||||
Six Months Ended February 28, 2017 (unaudited) | Year Ended August 31, 2016 | Six Months Ended February 28, 2017 (unaudited) | Year Ended August 31, 2016 | |||||||||||||||||||||
|
| |||||||||||||||||||||||
AB Small-Mid Cap Value | ||||||||||||||||||||||||
Shares sold | – 0 | – | 82,942 | $ | – 0 | – | $ | 812,766 | ||||||||||||||||
| ||||||||||||||||||||||||
Shares issued in reinvestment of dividends and distributions | 1,151,112 | 3,407,853 | 12,466,610 | 33,421,658 | ||||||||||||||||||||
| ||||||||||||||||||||||||
Shares redeemed | (1,416,085 | ) | (19,759,654 | ) | (15,730,578 | ) | (201,654,735 | ) | ||||||||||||||||
| ||||||||||||||||||||||||
Net decrease | (264,973 | ) | (16,268,859 | ) | $ | (3,263,968 | ) | $ | (167,420,311 | ) | ||||||||||||||
| ||||||||||||||||||||||||
AB Small-Mid Cap Growth | ||||||||||||||||||||||||
Shares sold | – 0 | – | 208,852 | $ | – 0 | – | $ | 1,814,746 | ||||||||||||||||
| ||||||||||||||||||||||||
Shares issued in reinvestment of dividends and distributions | 1,172,196 | 3,730,644 | 10,458,143 | 34,986,518 | ||||||||||||||||||||
| ||||||||||||||||||||||||
Shares redeemed | (1,237,664 | ) | (19,602,180 | ) | (11,125,705 | ) | (178,139,234 | ) | ||||||||||||||||
| ||||||||||||||||||||||||
Net decrease | (65,468 | ) | (15,662,684 | ) | $ | (667,562 | ) | $ | (141,337,970 | ) | ||||||||||||||
| ||||||||||||||||||||||||
AB Multi-Asset Real Return* | ||||||||||||||||||||||||
Shares sold | 321,998 | 109,741,155 | $ | 2,051,350 | $ | 692,203,634 | ||||||||||||||||||
| ||||||||||||||||||||||||
Shares issued in reinvestment of dividends | 3,865,828 | 4,197,232 | 24,779,957 | 24,008,166 | ||||||||||||||||||||
| ||||||||||||||||||||||||
Shares redeemed | (31,943,934 | ) | (95,204,326 | ) | (207,152,952 | ) | (543,691,559 | ) | ||||||||||||||||
| ||||||||||||||||||||||||
Net increase (decrease) | (27,756,108 | ) | 18,734,061 | $ | (180,321,645 | ) | $ | 172,520,241 | ||||||||||||||||
|
* | Consolidated (see Note A). |
Shares | Amount | |||||||||||||||||||||||
Six Months Ended February 28, 2017 (unaudited) | Year Ended August 31, 2016 | Six Months Ended February 28, 2017 (unaudited) | Year Ended August 31, 2016 | |||||||||||||||||||||
|
| |||||||||||||||||||||||
AB Volatility Management | ||||||||||||||||||||||||
Shares sold | 227,524 | 2,368,191 | $ | 2,184,930 | $ | 25,231,236 | ||||||||||||||||||
| ||||||||||||||||||||||||
Shares issued in reinvestment of dividends and distributions | 11,514,531 | 5,719,831 | 102,594,470 | 62,117,362 | ||||||||||||||||||||
| ||||||||||||||||||||||||
Shares redeemed | (5,257,677 | ) | (75,246,747 | ) | (49,824,956 | ) | (816,677,084 | ) | ||||||||||||||||
| ||||||||||||||||||||||||
Net increase (decrease) | 6,484,378 | (67,158,725 | ) | $ | 54,954,444 | $ | (729,328,486 | ) | ||||||||||||||||
|
AB POOLING PORTFOLIOS • | 277 |
Notes to Financial Statements
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 Portfolio’s 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 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 Portfolio’s investments or reduce its returns.
278 | • AB POOLING PORTFOLIOS |
Notes to Financial Statements
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 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.
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 Portfolios’ investments. The Portfolios 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 other types of derivative instruments by the Portfolios, such as 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 occurs 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 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
AB POOLING PORTFOLIOS • | 279 |
Notes to Financial Statements
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.
Non-Diversification Risk—The Portfolios may have more risk because it is “non-diversified”, meaning that it can invest more of its assets in a smaller number of issuers. Accordingly, changes in the value of a single security may have a more significant effect, either negative or positive, on the Portfolios’ NAV.
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.
280 | • AB POOLING PORTFOLIOS |
Notes to Financial Statements
NOTE G
Distributions to Shareholders
The tax character of distributions to be paid for the year ending August 31, 2017 will be determined at the end of the current fiscal year. 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 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 POOLING PORTFOLIOS • | 281 |
Notes to Financial Statements
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 | ||||
|
|
|
| |||||
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 Other Gains (Losses)(a) | Unrealized Appreciation/ (Depreciation)(b) | 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 | ) |
282 | • AB POOLING PORTFOLIOS |
Notes to Financial Statements
Portfolio | Undistributed Ordinary Income | Undistributed Long-Term Gains | Accumulated Capital and Other Gains (Losses)(a) | Unrealized Appreciation/ (Depreciation)(b) | Total Accumulated Earnings/ (Deficit)(c) | |||||||||||||||
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 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.
AB POOLING PORTFOLIOS • | 283 |
Notes to Financial Statements
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 |
NOTE H
Other
In October 2016, the U.S. Securities and Exchange Commission adopted new rules and amended existing rules (together, “final rules”) intended to modernize the reporting and disclosure of information by registered investment companies. In part, the final rules amend Regulation S-X and require standardized, enhanced disclosure about derivatives in investment company financial statements, as well as other amendments. The compliance date for the amendments to Regulation S-X is August 1, 2017. Management is currently evaluating the impact that the adoption of the amendments to Regulation S-X will have on the financial statements and related disclosures.
NOTE I
Subsequent Events
On September 21, 2016, at the recommendation of the Adviser, the Board approved the liquidation and termination of each Portfolio, other than AB Volatility Management Portfolio. The Portfolios delivered securities in kind, cash and receivables to certain AB mutual funds as of the following dates:
March 3, 2017—AB U.S. Large Cap Growth Portfolio, AB Small-Mid Cap Value Portfolio, AB Small-Mid Cap Growth Portfolio and AB U.S. Value
March 10, 2017—AB International Value Portfolio and AB International Growth Portfolio
March 17, 2017—AB Multi-Asset Real Return Portfolio and its Subsidiary, AllianceBernstein Cayman Inflation Pooling Subsidiary,
284 | • AB POOLING PORTFOLIOS |
Notes to Financial Statements
March, 28, 2017—AB Short Duration Bond Portfolio
March 29, 2017—AB Bond Inflation Protection Portfolio
March 30, 2017—AB Global Core Bond Portfolio
The liquidation of the Portfolios may result in a taxable event for shareholders who are subject to federal income tax. Shareholders should consult their tax advisers.
Management has evaluated subsequent events for possible recognition or disclosure in the financial statements through the date the financial statements are issued. Management has determined that there are no other material events that would require disclosure in the Portfolios’ financial statements through this date.
AB POOLING PORTFOLIOS • | 285 |
Notes to Financial Statements
FINANCIAL HIGHLIGHTS
Selected Data For A Share Of Beneficial Interest Outstanding Throughout Each Period
AB U.S. Value | ||||||||||||||||||||||||
Six Months (unaudited) | Year Ended August 31, | |||||||||||||||||||||||
2016 | 2015 | 2014 | 2013 | 2012 | ||||||||||||||||||||
|
| |||||||||||||||||||||||
Net asset value, beginning of period | $ 13.25 | $ 12.63 | $ 13.46 | $ 10.96 | $ 8.73 | $ 7.97 | ||||||||||||||||||
|
| |||||||||||||||||||||||
Income From Investment Operations | ||||||||||||||||||||||||
Net investment income(a) | .14 | (b)† | .29 | (b) | .28 | .32 | .24 | .23 | ||||||||||||||||
Net realized and unrealized gain (loss) on investment transactions | 1.37 | .65 | (.83 | ) | 2.50 | 2.23 | .76 | |||||||||||||||||
|
| |||||||||||||||||||||||
Net increase (decrease) in net asset value from operations | 1.51 | .94 | (.55 | ) | 2.82 | 2.47 | .99 | |||||||||||||||||
|
| |||||||||||||||||||||||
Less: Dividends | ||||||||||||||||||||||||
Dividends from net investment income | (.16 | ) | (.32 | ) | (.28 | ) | (.32 | ) | (.24 | ) | (.23 | ) | ||||||||||||
|
| |||||||||||||||||||||||
Net asset value, end of period | $ 14.60 | $ 13.25 | $ 12.63 | $ 13.46 | $ 10.96 | $ 8.73 | ||||||||||||||||||
|
| |||||||||||||||||||||||
Total Return | ||||||||||||||||||||||||
Total investment return based on net asset value(c)* | 11.46 | %† | 7.55 | % | (4.21 | )% | 26.10 | % | 28.67 | % | 12.75 | % | ||||||||||||
Ratios/Supplemental Data | ||||||||||||||||||||||||
Net assets, end of period (000,000’s omitted) | $311 | $320 | $449 | $539 | $1,113 | $1,173 | ||||||||||||||||||
Ratio to average net assets of: | ||||||||||||||||||||||||
Expenses, net of waivers/reimbursements(d) | .06 | %^ | .08 | % | .05 | % | .03 | % | .02 | % | .02 | % | ||||||||||||
Expenses, before waivers/reimbursements(d) | .07 | %^ | .08 | % | .05 | % | .03 | % | .02 | % | .02 | % | ||||||||||||
Net investment income | 2.13 | %(b)†^ | 2.29 | %(b) | 2.06 | % | 2.65 | % | 2.44 | % | 2.75 | % | ||||||||||||
Portfolio turnover rate | 20 | % | 57 | % | 52 | % | 43 | % | 53 | % | 40 | % |
See footnote summary on pages 297-298.
286 | • AB POOLING PORTFOLIOS |
Financial Highlights
Selected Data For A Share Of Beneficial Interest Outstanding Throughout Each Period
AB U.S. Large Cap Growth | ||||||||||||||||||||||||
Six Months (unaudited) | Year Ended August 31, | |||||||||||||||||||||||
2016 | 2015 | 2014 | 2013 | 2012 | ||||||||||||||||||||
|
| |||||||||||||||||||||||
Net asset value, beginning of period | $ 10.27 | $ 12.59 | $ 16.78 | $ 14.53 | $ 12.30 | $ 10.66 | ||||||||||||||||||
|
| |||||||||||||||||||||||
Income From Investment Operations | ||||||||||||||||||||||||
Net investment income(a) | .03 | (b)† | .08 | (b) | .11 | .12 | .12 | .12 | ||||||||||||||||
Net realized and unrealized gain on investment transactions | .66 | 1.17 | 1.46 | 3.91 | 2.20 | 1.67 | ||||||||||||||||||
|
| |||||||||||||||||||||||
Net increase in net asset value from operations | .69 | 1.25 | 1.57 | 4.03 | 2.32 | 1.79 | ||||||||||||||||||
|
| |||||||||||||||||||||||
Less: Dividends and Distributions | ||||||||||||||||||||||||
Dividends from net investment income | (.04 | ) | (.10 | ) | (.13 | ) | (.14 | ) | (.09 | ) | (.15 | ) | ||||||||||||
Distributions from net realized gain on investment transactions | (1.76 | ) | (3.47 | ) | (5.63 | ) | (1.64 | ) | – 0 | – | – 0 | – | ||||||||||||
|
| |||||||||||||||||||||||
Total dividends and distributions | (1.80 | ) | (3.57 | ) | (5.76 | ) | (1.78 | ) | (.09 | ) | (.15 | ) | ||||||||||||
|
| |||||||||||||||||||||||
Net asset value, end of period | $ 9.16 | $ 10.27 | $ 12.59 | $ 16.78 | $ 14.53 | $ 12.30 | ||||||||||||||||||
|
| |||||||||||||||||||||||
Total Return | ||||||||||||||||||||||||
Total investment return based on net asset value(c) | 8.22 | %*† | 10.50 | %* | 11.22 | %* | 29.19 | % | 18.92 | % | 16.99 | %* | ||||||||||||
Ratios/Supplemental Data | ||||||||||||||||||||||||
Net assets, end of period (000,000’s omitted) | $311 | $319 | $454 | $538 | $1,123 | $1,173 | ||||||||||||||||||
Ratio to average net assets of: | ||||||||||||||||||||||||
Expenses, net of waivers/reimbursements(d) | .05 | %^ | .07 | % | .05 | % | .03 | % | .02 | % | .02 | % | ||||||||||||
Expenses, before waivers/reimbursements(d) | .07 | %^ | .08 | % | .05 | % | .03 | % | .02 | % | .02 | % | ||||||||||||
Net investment income | .71 | %(b)†^ | .76 | %(b) | .84 | % | .79 | % | .87 | % | 1.10 | % | ||||||||||||
Portfolio turnover rate | 30 | % | 49 | % | 56 | % | 59 | % | 57 | % | 85 | % |
See footnote summary on pages 297-298.
AB POOLING PORTFOLIOS • | 287 |
Financial Highlights
Selected Data For A Share Of Beneficial Interest Outstanding Throughout Each Period
AB International Value | ||||||||||||||||||||||||
Six Months (unaudited) | Year Ended August 31, | |||||||||||||||||||||||
2016 | 2015 | 2014 | 2013 | 2012 | ||||||||||||||||||||
|
| |||||||||||||||||||||||
Net asset value, beginning of period | $ 6.97 | $ 7.05 | $ 8.32 | $ 7.46 | $ 6.39 | $ 6.98 | ||||||||||||||||||
|
| |||||||||||||||||||||||
Income From Investment Operations | ||||||||||||||||||||||||
Net investment income(a) | .06 | (b)† | .19 | (b) | .20 | .31 | .23 | .23 | ||||||||||||||||
Net realized and unrealized gain (loss) on investment and foreign currency transactions | .42 | .13 | (.89 | ) | 1.01 | .98 | (.70 | ) | ||||||||||||||||
|
| |||||||||||||||||||||||
Net increase (decrease) in net asset value from operations | .48 | .32 | (.69 | ) | 1.32 | 1.21 | (.47 | ) | ||||||||||||||||
|
| |||||||||||||||||||||||
Less: Dividends | ||||||||||||||||||||||||
Dividends from net investment income | (.12 | ) | (.40 | ) | (.58 | ) | (.46 | ) | (.14 | ) | (.12 | ) | ||||||||||||
|
| |||||||||||||||||||||||
Net asset value, end of period | $ 7.33 | $ 6.97 | $ 7.05 | $ 8.32 | $ 7.46 | $ 6.39 | ||||||||||||||||||
|
| |||||||||||||||||||||||
Total Return | ||||||||||||||||||||||||
Total investment return based on net asset value(c) | 7.00 | %† | 4.66 | % | (8.59 | )% | 18.14 | % | 19.15 | % | (6.69 | )% | ||||||||||||
Ratios/Supplemental Data | ||||||||||||||||||||||||
Net assets, end of period (000,000’s omitted) | $259 | $270 | $372 | $450 | $947 | $986 | ||||||||||||||||||
Ratio to average net assets of: | ||||||||||||||||||||||||
Expenses, net of waivers/reimbursements(d) | .07 | %^ | .13 | % | .08 | % | .05 | %(e) | .05 | % | .04 | % | ||||||||||||
Expenses, before waivers/reimbursements(d) | .07 | %^ | .13 | % | .08 | % | .05 | %(e) | .05 | % | .04 | % | ||||||||||||
Net investment income | 1.79 | %(b)†^ | 2.81 | %(b) | 2.60 | % | 3.84 | % | 3.16 | % | 3.56 | % | ||||||||||||
Portfolio turnover rate | 33 | % | 50 | % | 69 | % | 65 | % | 58 | % | 61 | % |
See footnote summary on pages 297-298.
288 | • AB POOLING PORTFOLIOS |
Financial Highlights
Selected Data For A Share Of Beneficial Interest Outstanding Throughout Each Period
AB International Growth | ||||||||||||||||||||||||
Six Months (unaudited) | Year Ended August 31, | |||||||||||||||||||||||
2016 | 2015 | 2014 | 2013 | 2012 | ||||||||||||||||||||
|
| |||||||||||||||||||||||
Net asset value, beginning of period | $ 8.69 | $ 8.33 | $ 9.50 | $ 8.27 | $ 7.54 | $ 8.27 | ||||||||||||||||||
|
| |||||||||||||||||||||||
Income From Investment Operations | ||||||||||||||||||||||||
Net investment income(a) | .04 | (b)† | .16 | (b) | .15 | .19 | .20 | .18 | ||||||||||||||||
Net realized and unrealized gain (loss) on investment and foreign currency transactions | (.06 | ) | .36 | (1.18 | ) | 1.19 | .59 | (.78 | ) | |||||||||||||||
|
| |||||||||||||||||||||||
Net increase (decrease) in net asset value from operations | (.02 | ) | .52 | (1.03 | ) | 1.38 | .79 | (.60 | ) | |||||||||||||||
|
| |||||||||||||||||||||||
Less: Dividends | ||||||||||||||||||||||||
Dividends from net investment income | (.35 | ) | (.16 | ) | (.14 | ) | (.15 | ) | (.06 | ) | (.13 | ) | ||||||||||||
|
| |||||||||||||||||||||||
Net asset value, end of period | $ 8.32 | $ 8.69 | $ 8.33 | $ 9.50 | $ 8.27 | $ 7.54 | ||||||||||||||||||
|
| |||||||||||||||||||||||
Total Return | ||||||||||||||||||||||||
Total investment return based on net asset value(c) | – 0 | – %† | 6.23 | %(c) | (10.86 | )%(c) | 16.89 | %(c) | 10.53 | %(c) | (7.19 | )%(c) | ||||||||||||
Ratios/Supplemental Data | ||||||||||||||||||||||||
Net assets, end of period (000,000’s omitted) | $257 | $269 | $375 | $447 | $941 | $999 | ||||||||||||||||||
Ratio to average net assets of: | ||||||||||||||||||||||||
Expenses, net of waivers/reimbursements(d) | .09 | %^ | .12 | % | .09 | % | .05 | % | .04 | % | .04 | % | ||||||||||||
Expenses, before waivers/reimbursements(d) | .10 | %^ | .12 | % | .09 | % | .05 | % | .04 | % | .04 | % | ||||||||||||
Net investment income | 1.07 | %(b)†^ | 1.90 | %(b) | 1.72 | % | 2.13 | % | 2.40 | % | 2.36 | % | ||||||||||||
Portfolio turnover rate | 24 | % | 58 | % | 52 | % | 61 | % | 55 | % | 93 | % |
See footnote summary on pages 297-298.
AB POOLING PORTFOLIOS • | 289 |
Financial Highlights
Selected Data For A Share Of Beneficial Interest Outstanding Throughout Each Period
AB Short Duration Bond | ||||||||||||||||||||||||
Six Months (unaudited) | Year Ended August 31, | |||||||||||||||||||||||
2016 | 2015 | 2014 | 2013 | 2012 | ||||||||||||||||||||
|
| |||||||||||||||||||||||
Net asset value, beginning of period | $ 9.39 | $ 9.43 | $ 9.44 | $ 9.42 | $ 9.56 | $ 9.59 | ||||||||||||||||||
|
| |||||||||||||||||||||||
Income From Investment Operations | ||||||||||||||||||||||||
Net investment income(a) | .05 | (b)† | .11 | (b) | .09 | .10 | .09 | .12 | ||||||||||||||||
Net realized and unrealized gain (loss) on investment transactions | .02 | .02 | (.01 | ) | .04 | †† | (.08 | ) | – 0 | – | ||||||||||||||
Contributions from Affiliates | .00 | (f) | – 0 | – | – 0 | – | – 0 | – | – 0 | – | – 0 | – | ||||||||||||
|
| |||||||||||||||||||||||
Net increase in net asset value from operations | .07 | .13 | .08 | .14 | .01 | .12 | ||||||||||||||||||
|
| |||||||||||||||||||||||
Less: Dividends and Distributions | ||||||||||||||||||||||||
Dividends from net investment income | (.12 | ) | (.17 | ) | (.09 | ) | (.12 | ) | (.15 | ) | (.15 | ) | ||||||||||||
Tax return of capital | – 0 | – | – 0 | – | – 0 | – | (.00 | )(f) | – 0 | – | – 0 | – | ||||||||||||
|
| |||||||||||||||||||||||
Total dividends and distributions | (.12 | ) | (.17 | ) | (.09 | ) | (.12 | ) | (.15 | ) | (.15 | ) | ||||||||||||
|
| |||||||||||||||||||||||
Net asset value, end of period | $ 9.34 | $ 9.39 | $ 9.43 | $ 9.44 | $ 9.42 | $ 9.56 | ||||||||||||||||||
|
| |||||||||||||||||||||||
Total Return | ||||||||||||||||||||||||
Total investment return based on net asset value(d) | .79 | %*† | 1.40 | %* | .90 | % | 1.45 | % | .14 | %* | 1.24 | % | ||||||||||||
Ratios/Supplemental Data | ||||||||||||||||||||||||
Net assets, end of period (000,000’s omitted) | $71 | $78 | $898 | $962 | $936 | $933 | ||||||||||||||||||
Ratio to average net assets of: | ||||||||||||||||||||||||
Expenses, net of waivers/reimbursements(d) | .07 | %^ | .04 | % | .04 | % | .03 | %(e) | .03 | % | .03 | % | ||||||||||||
Expenses, before waivers/reimbursements(d) | .30 | %^ | .05 | % | .04 | % | .03 | %(e) | .03 | % | .03 | % | ||||||||||||
Net investment income | 1.12 | %(b)†^ | 1.12 | %(b) | .90 | % | 1.06 | % | .94 | % | 1.26 | % | ||||||||||||
Portfolio turnover rate | 13 | % | 37 | % | 71 | % | 47 | % | 114 | % | 129 | % |
See footnote summary on pages 297-298.
290 | • AB POOLING PORTFOLIOS |
Financial Highlights
Selected Data For A Share Of Beneficial Interest Outstanding Throughout Each Period
AB Global Core Bond | ||||||||||||||||||||||||
Six Months (unaudited) | Year Ended August 31, | |||||||||||||||||||||||
2016 | 2015 | 2014 | 2013 | 2012 | ||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Net asset value, beginning of period | $ 10.29 | $ 10.04 | $ 10.52 | $ 10.18 | $ 11.00 | $ 10.88 | ||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Income From Investment Operations | ||||||||||||||||||||||||
Net investment income(a) | .12† | .26 | (b) | .26 | .29 | .29 | .33 | |||||||||||||||||
Net realized and unrealized gain (loss) on investment and foreign currency transactions | (.29 | ) | .55 | (.04 | ) | .41 | (.38 | ) | .40 | |||||||||||||||
Contributions from Affiliates | .00 | (f) | – 0 | – | – 0 | – | – 0 | – | – 0 | – | – 0 | – | ||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Net increase (decrease) in net asset value from operations | (.17 | ) | .81 | .22 | .70 | (.09 | ) | .73 | ||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Less: Dividends and Distributions | ||||||||||||||||||||||||
Dividends from net investment income | (.09 | ) | (.56 | ) | (.52 | ) | (.34 | ) | (.37 | ) | (.34 | ) | ||||||||||||
Distributions from net realized gain on investment transactions | (.23 | ) | 0 | (.18 | ) | (.02 | ) | (.36 | ) | (.27 | ) | |||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Total dividends and distributions | (.32 | ) | (.56 | ) | (.70 | ) | (.36 | ) | (.73 | ) | (.61 | ) | ||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Net asset value, end of period | $ 9.80 | $ 10.29 | $ 10.04 | $ 10.52 | $ 10.18 | $ 11.00 | ||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Total Return | ||||||||||||||||||||||||
Total investment return based on net asset value(c) | (1.60 | )%*† | 8.39 | % | 2.15 | % | 7.05 | % | (.94 | )%* | 6.98 | % | ||||||||||||
Ratios/Supplemental Data | ||||||||||||||||||||||||
Net assets, end of period | $244 | $260 | $931 | $1,032 | $1,041 | $1,124 | ||||||||||||||||||
Ratio to average net assets of: | ||||||||||||||||||||||||
Expenses, net of waivers/reimbursements(d) | .13 | %^ | .06 | % | .04 | % | .03 | %(e) | .03 | % | .03 | % | ||||||||||||
Expenses, before waivers/reimbursements(d) | .13 | %^ | .06 | % | .04 | % | .03 | %(e) | .03 | % | .03 | % | ||||||||||||
Net investment income | 2.46 | %†^ | 2.62 | %(b) | 2.56 | % | 2.86 | % | 2.77 | % | 2.99 | % | ||||||||||||
Portfolio turnover rate | 50 | % | 105 | % | 150 | % | 169 | % | 116 | % | 163 | % |
See footnote summary on pages 297-298.
AB POOLING PORTFOLIOS • | 291 |
Financial Highlights
Selected Data For A Share Of Beneficial Interest Outstanding Throughout Each Period
AB Bond Inflation Protection | ||||||||||||||||||||||||
Six Months (unaudited) | �� | Year Ended August 31, | ||||||||||||||||||||||
2016 | 2015 | 2014 | 2013 | 2012 | ||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Net asset value, beginning of period | $ 9.92 | $ 9.64 | $ 10.25 | $ 10.15 | $ 11.22 | $ 11.46 | ||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Income From Investment Operations | ||||||||||||||||||||||||
Net investment income(a) | .07 | (b)† | .13 | (b) | .12 | .33 | .32 | .38 | ||||||||||||||||
Net realized and unrealized gain (loss) on investment and foreign currency transactions | .05 | .39 | (.40 | ) | .22 | (.69 | ) | .32 | ||||||||||||||||
Contributions from Affiliates | .00 | (f) | .00 | (f) | – 0 | – | – 0 | – | – 0 | – | – 0 | – | ||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Net increase (decrease) in net asset value from operations | .12 | .52 | (.28 | ) | .55 | (.37 | ) | .70 | ||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Less: Dividends and Distributions | ||||||||||||||||||||||||
Dividends from net investment income | (.57 | ) | (.24 | ) | (.33 | ) | (.14 | ) | (.52 | ) | (.72 | ) | ||||||||||||
Distributions from net realized gain on investment transactions | – 0 | – | – 0 | – | – 0 | – | (.31 | ) | (.18 | ) | (.22 | ) | ||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Total dividends and distributions | (.57 | ) | (.24 | ) | (.33 | ) | (.45 | ) | (.70 | ) | (.94 | ) | ||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Net asset value, end of | $ 9.47 | $ 9.92 | $ 9.64 | $ 10.25 | $ 10.15 | $ 11.22 | ||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Total Return | ||||||||||||||||||||||||
Total investment return based on net asset value(c) | 1.27 | %† | 5.53 | % | (2.73 | ) % | 5.63 | % | (3.70 | ) % | 6.59 | % | ||||||||||||
Ratios/Supplemental Data | ||||||||||||||||||||||||
Net assets, end of period (000’s omitted) | $98,145 | $104,919 | $717,018 | $776,378 | $753,515 | $792,721 | ||||||||||||||||||
Ratio to average net assets of: | ||||||||||||||||||||||||
Expenses, net of waivers/reimbursements(d)(e) | .39 | %^ | .23 | % | .13 | % | .08 | % | .13 | % | .11 | % | ||||||||||||
Expenses, before waivers/reimbursements(d)(e) | .63 | %^ | .25 | % | .13 | % | .08 | % | .13 | % | .11 | % | ||||||||||||
Net investment income | 1.55 | %(b)†^ | 1.35 | %(b) | 1.24 | % | 3.22 | % | 3.00 | % | 3.44 | % | ||||||||||||
Portfolio turnover rate | 18 | % | 42 | % | 56 | % | 72 | % | 49 | % | 52 | % |
See footnote summary on pages 297-298.
292 | • AB POOLING PORTFOLIOS |
Financial Highlights
Selected Data For A Share Of Beneficial Interest Outstanding Throughout Each Period
AB Small-Mid Cap Value | ||||||||||||||||||||||||
Six Months (unaudited) | Year Ended August 31, | |||||||||||||||||||||||
2016 | 2015 | 2014 | 2013 | 2012 | ||||||||||||||||||||
|
| |||||||||||||||||||||||
Net asset value, beginning of period | $ 10.76 | $ 11.27 | $ 14.28 | $ 13.09 | $ 11.72 | $ 10.38 | ||||||||||||||||||
|
| |||||||||||||||||||||||
Income From Investment Operations | ||||||||||||||||||||||||
Net investment income(a) | .05 | (b)† | .14 | (b) | .15 | .22 | .18 | .16 | ||||||||||||||||
Net realized and unrealized gain (loss) on investment transactions | 1.47 | .93 | (.35 | ) | 2.89 | 2.94 | 1.30 | |||||||||||||||||
|
| |||||||||||||||||||||||
Net increase (decrease) in net asset value from operations | 1.52 | 1.07 | (.20 | ) | 3.11 | 3.12 | 1.46 | |||||||||||||||||
|
| |||||||||||||||||||||||
Less: Dividends and Distributions | ||||||||||||||||||||||||
Dividends from net investment income | (.09 | ) | (.19 | ) | (.17 | ) | (.20 | ) | (.26 | ) | (.12 | ) | ||||||||||||
Distributions from net realized gain on investment transactions | (1.48 | ) | (1.39 | ) | (2.64 | ) | (1.72 | ) | (1.49 | ) | – 0 | – | ||||||||||||
|
| |||||||||||||||||||||||
Total dividends and distributions | (1.57 | ) | (1.58 | ) | (2.81 | ) | (1.92 | ) | (1.75 | ) | (.12 | ) | ||||||||||||
|
| |||||||||||||||||||||||
Net asset value, end of period | $ 10.71 | $ 10.76 | $ 11.27 | $ 14.28 | $ 13.09 | $ 11.72 | ||||||||||||||||||
|
| |||||||||||||||||||||||
Total Return | ||||||||||||||||||||||||
Total investment return based on net asset value(c) | 13.93 | %† | 10.98 | %* | (1.38 | )% | 25.46 | %* | 29.94 | % | 14.21 | % | ||||||||||||
Ratios/Supplemental Data | ||||||||||||||||||||||||
Net assets, end of period | $90,600 | $93,858 | $281,724 | $323,134 | $311,954 | $328,749 | ||||||||||||||||||
Ratio to average net assets of: | ||||||||||||||||||||||||
Expenses, net of waivers/reimbursements(d) | .20 | %^ | .14 | % | .08 | % | .06 | % | .06 | % | .05 | % | ||||||||||||
Expenses, before waivers/reimbursements(d) | .20 | %^ | .14 | % | .08 | % | .06 | % | .06 | % | .05 | % | ||||||||||||
Net investment income | 1.01 | %(b)†^ | 1.39 | %(b) | 1.23 | % | 1.62 | % | 1.48 | % | 1.47 | % | ||||||||||||
Portfolio turnover rate | 19 | % | 55 | % | 40 | % | 50 | % | 49 | % | 52 | % |
See footnote summary on pages 297-298.
AB POOLING PORTFOLIOS • | 293 |
Financial Highlights
Selected Data For A Share Of Beneficial Interest Outstanding Throughout Each Period
AB Small-Mid Cap Growth | ||||||||||||||||||||||||
Six Months (unaudited) | Year Ended August 31, | |||||||||||||||||||||||
2016 | 2015 | 2014 | 2013 | 2012 | ||||||||||||||||||||
|
| |||||||||||||||||||||||
Net asset value, beginning of period | $ 9.43 | $ 10.94 | $ 12.56 | $ 13.16 | $ 13.23 | $ 16.09 | ||||||||||||||||||
|
| |||||||||||||||||||||||
Income From Investment Operations | ||||||||||||||||||||||||
Net investment income(a) | .04 | (b)† | .03 | (b) | .00 | (f) | .06 | .09 | .08 | |||||||||||||||
Net realized and unrealized gain on investment transactions | .83 | .03†† | .42 | 2.03 | 2.62 | 2.15 | ||||||||||||||||||
|
| |||||||||||||||||||||||
Net increase in net asset value from operations | .87 | .06 | .42 | 2.09 | 2.71 | 2.23 | ||||||||||||||||||
|
| |||||||||||||||||||||||
Less: Dividends and Distributions | ||||||||||||||||||||||||
Dividends from net investment income | (.06 | ) | (.03 | ) | (.07 | ) | (.07 | ) | (.09 | ) | (.09 | ) | ||||||||||||
Distributions from net realized gain on investment transactions | (1.01 | ) | (1.54 | ) | (1.97 | ) | (2.62 | ) | (2.69 | ) | (5.00 | ) | ||||||||||||
|
| |||||||||||||||||||||||
Total dividends and distributions | (1.07 | ) | (1.57 | ) | (2.04 | ) | (2.69 | ) | (2.78 | ) | (5.09 | ) | ||||||||||||
|
| |||||||||||||||||||||||
Net asset value, end of period | $ 9.23 | $ 9.43 | $ 10.94 | $ 12.56 | $ 13.16 | $ 13.23 | ||||||||||||||||||
|
| |||||||||||||||||||||||
Total Return | ||||||||||||||||||||||||
Total investment return based on net asset value(c) | 9.53 | %*† | .74 | %* | 3.92 | % | 17.04 | %* | 25.85 | %* | 17.77 | %* | ||||||||||||
Ratios/Supplemental Data | ||||||||||||||||||||||||
Net assets, end of period | $91,001 | $93,616 | $279,873 | $322,200 | $316,708 | $328,634 | ||||||||||||||||||
Ratio to average net assets of: | ||||||||||||||||||||||||
Expenses, net of waivers/reimbursements(d) | .24 | %^ | .15 | % | .09 | % | .07 | % | .06 | % | .06 | % | ||||||||||||
Expenses, before waivers/reimbursements(d) | .24 | %^ | .15 | % | .09 | % | .07 | % | .06 | % | .06 | % | ||||||||||||
Net investment income | .86 | %(b)†^ | .36 | %(b) | .01 | % | .51 | % | .70 | % | .55 | % | ||||||||||||
Portfolio turnover rate | 34 | % | 61 | % | 55 | % | 65 | % | 72 | % | 68 | % |
See footnote summary on pages 297-298.
294 | • AB POOLING PORTFOLIOS |
Financial Highlights
Selected Data For A Share Of Beneficial Interest Outstanding Throughout Each Period
AB Multi-Asset Real Return** | ||||||||||||||||||||||||
Six Months (unaudited) | Year Ended August 31, | |||||||||||||||||||||||
2016 | 2015 | 2014 | 2013 | 2012 | ||||||||||||||||||||
|
| |||||||||||||||||||||||
Net asset value, beginning of period | $ 6.23 | $ 6.27 | $ 8.95 | $ 8.25 | $ 8.67 | $ 9.13 | ||||||||||||||||||
|
| |||||||||||||||||||||||
Income From Investment Operations | ||||||||||||||||||||||||
Net investment income(a) | .07 | (b) | .14 | (b) | .16 | .19 | .17 | .18 | ||||||||||||||||
Net realized and unrealized gain (loss) on investment and foreign currency transactions | (1.71 | )†† | .01†† | (2.58 | ) | .75 | (.31 | ) | (.25 | ) | ||||||||||||||
Contributions from Affiliates | .00 | (f) | .00 | (f) | .00 | (f) | .00 | (f) | .00 | (f) | – 0 | – | ||||||||||||
|
| |||||||||||||||||||||||
Net increase (decrease) in net asset value from operations | (1.64 | ) | .15 | (2.42 | ) | .94 | (.14 | ) | (.07 | ) | ||||||||||||||
|
| |||||||||||||||||||||||
Less: Dividends | ||||||||||||||||||||||||
Dividends from net investment income | (.16 | ) | (.19 | ) | (.26 | ) | (.24 | ) | (.28 | ) | (.39 | ) | ||||||||||||
|
| |||||||||||||||||||||||
Net asset value, end of period | $ 4.43 | $ 6.23 | $ 6.27 | $ 8.95 | $ 8.25 | $ 8.67 | ||||||||||||||||||
|
| |||||||||||||||||||||||
Total Return | ||||||||||||||||||||||||
Total investment return based on net asset value(c) | 6.84 | % | 2.70 | % | (27.40 | )% | 11.48 | % | (1.69 | )% | (.45 | )%* | ||||||||||||
Ratios/Supplemental Data | ||||||||||||||||||||||||
Net assets, end of period | $803,363 | $944,991 | $832,851 | $800,178 | $724,226 | $547,929 | ||||||||||||||||||
Ratio to average net assets of: | ||||||||||||||||||||||||
Expenses, net of waivers/reimbursements(d) | .08 | %^ | .09 | % | .07 | % | .07 | % | .06 | % | .06 | % | ||||||||||||
Expenses, before waivers/reimbursements(d) | .09 | %^ | .09 | % | .07 | % | .07 | % | .06 | % | .06 | % | ||||||||||||
Net investment income | 2.21 | %(b)^ | 2.36 | %(b) | 2.13 | % | 2.17 | % | 1.89 | % | 2.11 | % | ||||||||||||
Portfolio turnover rate | 80 | % | 194 | % | 45 | % | 76 | % | 126 | % | 110 | % |
See footnote summary on pages 297-298.
AB POOLING PORTFOLIOS • | 295 |
Financial Highlights
Selected Data For A Share Of Beneficial Interest Outstanding Throughout Each Period
AB Volatility Management | ||||||||||||||||||||||||
Six Months (unaudited) | Year Ended August 31, | |||||||||||||||||||||||
2016 | 2015 | 2014 | 2013 | 2012 | ||||||||||||||||||||
|
| |||||||||||||||||||||||
Net asset value, beginning of period | $ 10.99 | $ 11.22 | $ 12.53 | $ 11.38 | $ 10.24 | $ 10.27 | ||||||||||||||||||
|
| |||||||||||||||||||||||
Income From Investment Operations | ||||||||||||||||||||||||
Net investment income(a) | .09 | (b)† | .21 | (b) | .24 | .24 | .15 | .07 | ||||||||||||||||
Net realized and unrealized gain (loss) on investment and foreign currency transactions | .47 | .18 | (.63 | ) | 2.10 | 1.11 | .24 | |||||||||||||||||
|
| |||||||||||||||||||||||
Net increase (decrease) in net asset value from operations | .56 | .39 | (.39 | ) | 2.34 | 1.26 | .31 | |||||||||||||||||
|
| |||||||||||||||||||||||
Less: Dividends and Distributions | ||||||||||||||||||||||||
Dividends from net investment income | (.86 | ) | (.28 | ) | (.37 | ) | (.37 | ) | (.12 | ) | (.06 | ) | ||||||||||||
Distributions from net realized gain on investment transactions | (1.39 | ) | (.34 | ) | (.55 | ) | (.82 | ) | – 0 | – | (.28 | ) | ||||||||||||
|
| |||||||||||||||||||||||
Total dividends and distributions | (2.25 | ) | (.62 | ) | (.92 | ) | (1.19 | ) | (.12 | ) | (.34 | ) | ||||||||||||
|
| |||||||||||||||||||||||
Net asset value, end of period | $ 9.30 | $ 10.99 | $ 11.22 | $ 12.53 | $ 11.38 | $ 10.24 | ||||||||||||||||||
|
| |||||||||||||||||||||||
Total Return | ||||||||||||||||||||||||
Total investment return based on net asset value(c) | 5.97 | %† | 3.47 | % | (3.35 | )% | 21.69 | % | 12.40 | % | 3.10 | % | ||||||||||||
Ratios/Supplemental Data | ||||||||||||||||||||||||
Net assets, end of period | $495 | $514 | $1,278 | $1,494 | $1,590 | $1,688 | ||||||||||||||||||
Ratio to average net assets of: | ||||||||||||||||||||||||
Expenses, net of waivers/reimbursements(d) | .03 | %^ | .05 | % | .05 | % | .05 | % | .05 | % | .04 | % | ||||||||||||
Expenses, before waivers/reimbursements(d) | .10 | %^ | .06 | % | .05 | % | .05 | % | .05 | % | .04 | % | ||||||||||||
Net investment income | 1.81 | %(b)†^ | 1.97 | %(b) | 2.01 | % | 2.04 | % | 1.40 | % | .68 | % | ||||||||||||
Portfolio turnover rate | 2 | % | 32 | % | 13 | % | 41 | % | 80 | % | 130 | % |
See footnote summary on pages 297-298.
296 | • AB POOLING PORTFOLIOS |
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) | In connection with the Funds’ investments in affiliated underlying portfolios, the Funds incur no direct expenses, but bear proportionate shares of the acquired fund fees and expenses (i.e., operating, administrative and investment advisory fees) of the affiliated underlying portfolios. The Adviser has contractually agreed to waive its fees from the Funds in an amount equal to the Funds’ pro rata share of certain acquired fund fees and expenses, and for the period shown below, such waiver amounted to: |
Six Months Ended February 28, 2017 (unaudited) | ||||
AB U.S. Value | .00 | %^(g) | ||
AB U.S. Large Cap Growth | .01 | %^ | ||
AB International Value | .00 | %^(g) | ||
AB International Growth | .00 | %^(g) | ||
AB Short Duration Bond | .00 | %^(g) | ||
AB Global Core Bond | .00 | %^(g) | ||
AB Bond Inflation Protection | .00 | %^(g) | ||
AB Small-Mid Cap Value | .00 | %^(g) | ||
AB Small-Mid Growth | .00 | %^(g) | ||
AB Multi-Asset Real Return | .01 | %^ | ||
AB Volatility Management | .06 | %^ |
(e) | The expense ratios presented below exclude interest expense where applicable: |
Six Months Ended February 28, 2017 (unaudited) | Year Ended August 31, | |||||||||||||||||||||||
2016 | 2015 | 2014 | 2013 | 2012 | ||||||||||||||||||||
AB International Value Portfolio | ||||||||||||||||||||||||
Expenses, net of waivers/reimbursements | NA | NA | NA | .05 | % | NA | NA | |||||||||||||||||
Expenses, before waivers/reimbursements | NA | NA | NA | .05 | % | NA | NA | |||||||||||||||||
AB Short Duration Bond Portfolio | ||||||||||||||||||||||||
Expenses, net of waivers/reimbursements | NA | NA | NA | .03 | % | NA | NA | |||||||||||||||||
Expenses, before waivers/reimbursements | NA | NA | NA | .03 | % | NA | NA | |||||||||||||||||
AB Global Core Bond Portfolio | ||||||||||||||||||||||||
Expenses, net of waivers/reimbursements | NA | NA | NA | .03 | % | NA | NA | |||||||||||||||||
Expenses, before waivers/reimbursements | NA | NA | NA | .03 | % | NA | NA | |||||||||||||||||
AB Bond Inflation Protection Portfolio | ||||||||||||||||||||||||
Expenses, net of waivers/reimbursements | .10 | %^ | .07 | % | .05 | % | .04 | % | .04 | % | .04 | % | ||||||||||||
Expenses, before waivers/reimbursements | .34 | %^ | .08 | % | .05 | % | .04 | % | .04 | % | .04 | % |
AB POOLING PORTFOLIOS • | 297 |
Financial Highlights
(f) | Amount is less than $0.005. |
(g) | 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 six months ended February 28, 2017 and for the years ended August 31, 2016, August 31, 2015, August 31, 2014, August 31, 2013 and August 31, 2012 by 0.03%, 0.09%, 0.34%, 0.04%, 0.08% and 0.01%, respectively, AB U.S. Large Cap Growth Portfolio for the six months ended February 28, 2017 and for the years ended August 31, 2016, August 31, 2015, and August 31, 2012 by 0.01%, 0.37%, 0.01%, and 0.02%, respectively, AB Short Duration Bond Portfolio for the six months ended February 28, 2017 and for the year ended August 31, 2016, August 31, 2013 by 0.58% 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 the six months ended February 28, 2017 and for years ended August 31, 2016, August 31, 2014, August 31, 2013 and August 31, 2012 by 0.06%, 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) |
† | For the six months ended February 28, 2017 the amount includes a non-recurring refund for overbilling of prior years’ custody out of pocket fees as follows: |
Net Investment Income Per Share | Net Investment Income Ratio | Total Return | ||||||
AB U.S. Value | $ | .003 | .04% | .02% | ||||
AB U.S. Large Cap Growth | $ | .002 | .04% | .02% | ||||
AB International Value | $ | .001 | .03% | .02% | ||||
AB International Growth | $ | .001 | .04% | .02% | ||||
AB Short Duration Bond | $ | .006 | .12% | .06% | ||||
AB Global Core Bond | $ | .002 | .05% | .03% | ||||
AB Bond Inflation Protection | $ | .003 | .07% | .04% | ||||
AB Small-Mid Cap Value | $ | .003 | .06% | .03% | ||||
AB Small-Mid Growth | $ | .003 | .06% | .03% | ||||
AB Multi-Asset Real Return | $ | .0003 | .01% | .01% | ||||
AB Volatility Management | $ | .001 | .01% | .01% |
†† | Due to timing of sales and repurchase of capital shares, the net realized and unrealized gain (loss) per share is not in accord with the Portfolio change in net realized and unrealized gain (loss) on investment transactions for the period. |
††† | Includes the Adviser’s reimbursement in respect of the Lehman Bankruptcy Claim which contributed to the Portfolio’s performance by 0.09% for the year-ended August 31, 2012. |
^ | Annualized. |
See notes to financial statements.
298 | • AB POOLING PORTFOLIOS |
Financial Highlights
TRUSTEES
Marshall C. Turner, Jr.(1) , Chairman John H. Dobkin(1) Michael J. Downey(1) William H. Foulk, Jr.(1) D. James Guzy(1) Nancy P. Jacklin(1) | Robert M. Keith, President and Chief Executive Officer 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 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 |
AB POOLING PORTFOLIOS • | 299 |
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 Chathlani, 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 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 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.
300 | • AB POOLING PORTFOLIOS |
Trustees
Information Regarding the Review and Approval of the Advisory Agreement in Respect of Each Portfolio
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 November 1-3, 2016 (the “Meeting”):
• | AB Short Duration Bond Portfolio |
• | AB Global Core Bond Portfolio |
• | AB Bond Inflation Protection 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 they had approved the liquidation and termination of each Fund at a meeting held on September 21, 2016, and that they were approving continuance of the Advisory Agreement only until the Funds are terminated.
The directors noted that shares of the Funds are offered exclusively to registered investment companies advised 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 third parties (e.g., the Pooling Investors).
AB POOLING PORTFOLIOS • | 301 |
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 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
302 | • AB POOLING PORTFOLIOS |
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 and 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 12b-1 fees and sales charges received by the Funds’ principal underwriter (which is a wholly owned subsidiary of the Adviser) in respect of certain classes of shares of the Pooling Investors that are registered investment companies. The 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 is compensated by the Pooling Investors for providing advisory services to
AB POOLING PORTFOLIOS • | 303 |
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 July 31, 2016 and (in the case of comparisons with the broad-based securities market index) for the period from inception.
In reviewing the performance information the directors noted that the Funds had a relative performance advantage in that the performance of virtually all of the Funds’ competitors was negatively affected by the fact they pay advisory fees whereas the Funds do not. Based on their review, the directors concluded that each Fund’s investment performance was acceptable.
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. 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
304 | • AB POOLING PORTFOLIOS |
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 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 and the information included the pro forma expense ratio to reflect the impact of the withdrawal of an unaffiliated institutional investor from each Fund on July 1, 2016 and, in the case of AB Short Duration Bond Portfolio and AB Bond Inflation Protection Portfolio, the implementation of expense caps effective June 22, 2016. 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 pro forma 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 • | 305 |
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
306 | • 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 • | 307 |
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
308 | • 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 • | 309 |
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
310 | • 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 • | 311 |
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
Relative Value Fund*
Small Cap Value Portfolio
Value Fund
INTERNATIONAL/ GLOBAL EQUITY
International/Global Core
Global Core Equity Portfolio
International Portfolio
International Strategic Core Portfolio
Sustainable Global Thematic Fund*
Tax-Managed International Portfolio
International/Global Growth
Concentrated International Growth Portfolio
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
FIXED INCOME (continued)
Intermediate Diversified Municipal Portfolio
Intermediate New York Municipal Portfolio
Municipal Bond Inflation Strategy
Tax-Aware Fixed Income Portfolio
National Portfolio
Arizona Portfolio
California Portfolio
Massachusetts Portfolio
Minnesota Portfolio
New Jersey Portfolio
New York Portfolio
Ohio Portfolio
Pennsylvania Portfolio
Virginia Portfolio
Taxable
Bond Inflation Strategy
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
All Market Total Return Portfolio*
Conservative Wealth Strategy
Emerging Markets Multi-Asset Portfolio
Global Risk Allocation Fund
Tax-Managed All Market Income Portfolio*
Tax-Managed Wealth Appreciation Strategy
Wealth Appreciation Strategy
Target-Date
Multi-Manager Select Retirement Allocation Fund
Multi-Manager Select 2010 Fund
Multi-Manager Select 2015 Fund
Multi-Manager Select 2020 Fund
Multi-Manager Select 2025 Fund
Multi-Manager Select 2030 Fund
Multi-Manager Select 2035 Fund
Multi-Manager Select 2040 Fund
Multi-Manager Select 2045 Fund
Multi-Manager Select 2050 Fund
Multi-Manager Select 2055 Fund
CLOSED-END FUNDS
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.
* Prior to November 1, 2016, Sustainable Global Thematic Fund was named Global Thematic Growth Fund; prior to January 9, 2017, Relative Value Fund was named Growth & Income Fund; prior to April 17, 2017, Tax-Managed All Market Income Portfolio was named Tax-Managed Balanced Wealth Strategy; prior to April 24, 2017, All Market Total Return Portfolio was named Balanced Wealth Strategy.
312 | • AB POOLING PORTFOLIOS |
AB Family of Funds
AB POOLING PORTFOLIOS
1345 Avenue of the Americas
New York, NY 10105
800.221.5672
POOL-0152-0217
ITEM 2. | CODE OF ETHICS. |
Not applicable when filing a semi-annual report to shareholders.
ITEM 3. | AUDIT COMMITTEE FINANCIAL EXPERT. |
Not applicable when filing a semi-annual report to shareholders.
ITEM 4. | PRINCIPAL ACCOUNTANT FEES AND SERVICES. |
Not applicable when filing a semi-annual report to shareholders.
ITEM 5. | AUDIT COMMITTEE OF LISTED REGISTRANTS. |
Not applicable to the registrant.
ITEM 6. | SCHEDULE OF INVESTMENTS. |
Please see Schedule of Investments contained in the Report to Shareholders included under Item 1 of this Form N-CSR.
ITEM 7. | DISCLOSURE OF PROXY VOTING POLICIES AND PROCEDURES FOR CLOSED-END MANAGEMENT INVESTMENT COMPANIES. |
Not applicable to the registrant.
ITEM 8. | PORTFOLIO MANAGERS OF CLOSED-END MANAGEMENT INVESTMENT COMPANIES. |
Not applicable to the registrant.
ITEM 9. | PURCHASES OF EQUITY SECURITIES BY CLOSED-END MANAGEMENT INVESTMENT COMPANY AND AFFILIATED PURCHASERS. |
Not applicable to the registrant.
ITEM 10. | SUBMISSION OF MATTERS TO A VOTE OF SECURITY HOLDERS. |
There have been no material changes to the procedures by which shareholders may recommend nominees to the Fund’s Board of Directors since the Fund last provided disclosure in response to this item.
ITEM 11. | CONTROLS AND PROCEDURES. |
(a) The registrant’s principal executive officer and principal financial officer have concluded that the registrant’s disclosure controls and procedures (as defined in Rule 30a-2(c) under the Investment Company Act of 1940, as amended) are effective at the reasonable assurance level based on their evaluation of these controls and procedures as of a date within 90 days of the filing date of this document.
(b) There were no changes in the registrant’s internal controls over financial reporting that occurred during the second fiscal quarter of the period that has materially affected, or is reasonably likely to materially affect, the registrant’s internal control over financial reporting.
ITEM 12. | EXHIBITS. |
The following exhibits are attached to this Form N-CSR:
EXHIBIT NO. | DESCRIPTION OF EXHIBIT | |
12 (b) (1) | Certification of Principal Executive Officer Pursuant to Section 302 of the Sarbanes-Oxley Act of 2002 | |
12 (b) (2) | Certification of Principal Financial Officer Pursuant to Section 302 of the Sarbanes-Oxley Act of 2002 | |
12 (c) | Certification of Principal Executive Officer and Principal Financial Officer Pursuant to Section 906 of the Sarbanes-Oxley Act of 2002 |
SIGNATURES
Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, the registrant has duly caused this report to be signed on its behalf by the undersigned, thereunto duly authorized.
(Registrant): The AB Pooling Portfolios | ||
By: | /s/ Robert M. Keith | |
Robert M. Keith | ||
President |
Date: April 26, 2017
Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, this report has been signed below by the following persons on behalf of the registrant and in the capacities and on the dates indicated.
By: | /s/ Robert M. Keith | |
Robert M. Keith | ||
President |
Date: April 26, 2017
By: | /s/ Joseph J. Mantineo | |
Joseph J. Mantineo | ||
Treasurer and Chief Financial Officer |
Date: April 26, 2017