AB Multi-Manager Alternative Fund
Consolidated Portfolio of Investments
December 31, 2019 (unaudited)
Underlying Portfolios | Shares | Fair Value ($) | % Net Assets | Liquidity* | ||||||||||
Long/Short Equity | ||||||||||||||
Coatue Offshore Fund, Ltd. | 144,099 | $ | 35,420,413 | 3.6 | % | Quarterly | ||||||||
Darsana Overseas Fund Ltd. | 13,038 | 24,394,086 | 2.5 | Quarterly | ||||||||||
Janchor PartnersPan-Asian Fund | 264,641 | 34,048,037 | 3.5 | Triennially | ||||||||||
Nokota LC, LLC | 1,317 | 1,218,187 | 0.1 | At Fund’s Discretion | ||||||||||
PFM Healthcare Offshore Fund, Ltd. | 1,285 | 1,781,857 | 0.2 | At Fund’s Discretion | ||||||||||
Schonfeld Fundamental Equity Offshore Fund Ltd. | 35,000 | 38,724,428 | 3.9 | Quarterly | ||||||||||
The Children’s Investment Fund | 156,000 | 26,251,680 | 2.7 | Triennially | ||||||||||
Think Investments Offshore Ltd. | 22,315 | 40,763,617 | 4.2 | Semi-Annual | ||||||||||
Two Creeks Capital Offshore Fund, Ltd. | 7,839 | 11,080,658 | 1.1 | Quarterly | ||||||||||
Tybourne Equity (Offshore) Fund | 4,978 | 7,521,588 | 0.8 | Quarterly | ||||||||||
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Total | 221,204,551 | 22.6 | ||||||||||||
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Global Macro | ||||||||||||||
Alphadyne International Partners, LP | 62,221 | 79,226,251 | 8.1 | Quarterly | ||||||||||
Autonomy Global Macro Fund LP | 210,557 | 32,045,997 | 3.3 | Monthly | ||||||||||
Brevan Howard AS Macro Fund Limited | 280,000 | 29,391,600 | 3.0 | Monthly | ||||||||||
Rokos Global Macro Fund LP | 198,453 | 18,859,102 | 1.9 | Monthly | ||||||||||
Tudor BVI Global Fund LP | 15,205 | 49,484,031 | 5.1 | Quarterly | ||||||||||
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Total | 209,006,981 | 21.4 | ||||||||||||
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Multi-Strategy | ||||||||||||||
Elliott International Limited | 38,377 | 49,898,164 | 5.1 | Quarterly | ||||||||||
LMR Fund Limited | 400,000 | 41,623,433 | 4.2 | Quarterly | ||||||||||
Myriad Opportunities US Fund Limited | 20,569 | 23,160,407 | 2.4 | Quarterly | ||||||||||
Renaissance Institutional Diversified Global Equities Onshore Fund LP | 45,443 | 47,507,855 | 4.9 | Monthly | ||||||||||
Schonfeld Strategic Partners Offshore Fund Ltd. | 20,000 | 22,313,093 | 2.3 | Monthly | ||||||||||
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Total | 184,502,952 | 18.9 | ||||||||||||
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Event Driven | ||||||||||||||
Empyrean Capital Overseas Fund, Ltd. | 34,984 | 38,483,209 | 3.9 | Quarterly | ||||||||||
Governors Lane Offshore Fund Ltd. | 6,887 | 7,771,879 | 0.8 | Quarterly | ||||||||||
Indaba Capital Partners (Cayman), LP | 31,293 | 41,003,540 | 4.2 | Quarterly | ||||||||||
Lion Point International, Ltd. | 29,565 | 35,909,217 | 3.7 | Semi-Annual | ||||||||||
Luxor Capital Partners Liquidating SPV, LLC | 2,317 | 2,593,608 | 0.2 | At Fund’s Discretion | ||||||||||
Senator Global Opportunity Fund LP | 22,431 | 28,031,168 | 2.9 | Quarterly | ||||||||||
Starboard Leaders Fund LP | 796 | 688,610 | 0.1 | At Fund’s Discretion | ||||||||||
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Total | 154,481,231 | 15.8 | ||||||||||||
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Credit/Distressed | ||||||||||||||
Caius Capital International Fund | 30,036 | 34,815,044 | 3.6 | Quarterly | ||||||||||
King Street Capital, Ltd. | 174,482 | 17,883,997 | 1.8 | Quarterly | ||||||||||
Silver Point Capital Offshore Fund, Ltd. | 2,685 | 41,362,370 | 4.2 | Annual | ||||||||||
Waterfall Eden Fund, LP | 30,000 | 31,542,127 | 3.2 | Quarterly | ||||||||||
Wingspan Overseas Fund, Ltd. | 953 | 628,568 | 0.1 | Fund in Liquidation | ||||||||||
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Total | 126,232,106 | 12.9 | ||||||||||||
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Total Underlying Portfolios | 895,427,821 | 91.6 | ||||||||||||
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Underlying Portfolios | Shares | Fair Value ($) | % Net Assets | |||||||||||
Short-Term Investments | ||||||||||||||
Investment Companies | ||||||||||||||
AB Fixed Income Shares, Inc. - Government Money Market | 43,500,000 | $ | 43,500,000 | 4.5 | % | |||||||||
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Total Investments | 938,927,821 | 96.1 | ||||||||||||
Other assets less liabilities | 38,372,155 | 3.9 | ||||||||||||
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Net Assets | $ | 977,299,976 | 100.0 | % | ||||||||||
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TOTAL RETURN SWAPS
Counterparty & Referenced Obligation | Rate Paid/ Received | Payment Frequency | Current Notional (000) | Maturity Date | Unrealized Appreciation/ (Depreciation) | |||||||||||||||
Receive Total Return on Reference Obligation | ||||||||||||||||||||
Barclays Bank PLC | ||||||||||||||||||||
Barclays Commodity Hedging Insights 2 | 0.02% | Maturity | 3,638 | 1/15/20 | $ | (72,806 | ) | |||||||||||||
Barclays Commodity Strategy 1673 Index | 0.30% | Maturity | 2,486 | 1/15/20 | (19,859 | ) | ||||||||||||||
Credit Suisse International | ||||||||||||||||||||
Credit Suisse Managed Futures Liquid Index (Net Excess) | 0.35% | Quarterly | 7,183 | 3/16/20 | 17,012 | |||||||||||||||
Goldman Sachs & Co. | ||||||||||||||||||||
Advanced Disposal Services | | 1 Month LIBOR Plus 0.35% | | Maturity | 2,147 | 1/05/21 | (14,838 | ) | ||||||||||||
Audentes Therapeutics Inc. | | 1 Month LIBOR Plus 0.35% | | Maturity | 367 | 1/05/21 | 6,286 | |||||||||||||
Care.com Inc. | | 1 Month LIBOR Plus 0.35% | | Maturity | 66 | 1/05/21 | 368 | |||||||||||||
Carolina Financial Corp. | | 1 Month LIBOR Plus 0.35% | | Maturity | 1,499 | 1/05/21 | 5,513 | |||||||||||||
Continental Building Product | | 1 Month LIBOR Plus 0.35% | | Maturity | 1,429 | 1/05/21 | 7,350 | |||||||||||||
Continental Gold Inc. | | 1 Month CDOR Plus 0.35% | | Maturity | 1,896 | 1/05/21 | (8,587 | ) | ||||||||||||
Fitbit Inc. | | 1 Month LIBOR Plus 0.35% | | Maturity | 1,385 | 1/05/21 | (141,531 | ) | ||||||||||||
Iberiabank Corp. | | 1 Month LIBOR Plus 0.35% | | Maturity | 1,791 | 1/05/21 | 1,202 | |||||||||||||
Kemet Corp. | | 1 Month LIBOR Plus 0.35% | | Maturity | 1,872 | 1/05/21 | 74,747 | |||||||||||||
Redde PLC | | 1 Month LIBOR Plus 0.35% | | Maturity | 311 | 1/05/21 | (6,138 | ) | ||||||||||||
TD Ameritrade Holding Corp. | | 1 Month LIBOR Plus 0.35% | | Maturity | 2,045 | 1/05/21 | (75,839 | ) |
Counterparty & Referenced Obligation | Rate Paid/ Received | Payment Frequency | Current Notional (000) | Maturity Date | Unrealized Appreciation/ (Depreciation) | |||||||||||||||
Tiffany & Co. | | 1 Month LIBOR Plus 0.35% | | Maturity | 1,425 | 1/05/21 | $ | 7,437 | ||||||||||||
William Lyon Homes - Class A | | 1 Month LIBOR Plus 0.35% | | Maturity | 793 | 1/05/21 | (5,196 | ) | ||||||||||||
Wright Medical Group NV | | 1 Month LIBOR Plus 0.35% | | Maturity | 1,882 | 1/05/21 | 95,151 | |||||||||||||
Goldman Sachs International |
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Cross Asset Trend Basket Series 2 10% Volatility Target ER Strategy (1) | 0.00% | Quarterly | 11,802 | 10/15/20 | (153,182 | ) | ||||||||||||||
GSISM49E (2) | 0.00% | Quarterly | 17,570 | 10/15/20 | (683,645 | ) | ||||||||||||||
Mellanox Technologies Ltd. | | 1 Month LIBOR Plus 0.35% | | Maturity | 952 | 1/05/21 | 34,724 | |||||||||||||
RP Equity Carry Series 1 Excess Return Strategy | 0.30% | Maturity | 1,734 | 1/15/20 | (47,560 | ) | ||||||||||||||
Wabco Holdings Inc. | | 1 Month LIBOR Plus 0.35% | | Maturity | 2,183 | 1/05/21 | 5,987 | |||||||||||||
Wellcare Health Plans Inc. | | 1 Month LIBOR Plus 0.35% | | Maturity | 2,326 | 1/05/21 | 209,705 | |||||||||||||
JPMorgan Chase Bank, NA |
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AVON Products Inc. | | 1 Month LIBOR Plus 0.40% | | Maturity | 2,483 | 8/14/20 | 696,117 | |||||||||||||
Cobham PLC | | 1 Month LIBOR Plus 0.40% | | Maturity | 1,460 | 8/14/20 | 68,813 | |||||||||||||
Grandvision NV | | 1 Month LIBOR Plus 0.40% | | Maturity | 1,366 | 8/14/20 | 3,470 | |||||||||||||
J.P.Morgan RCI - 24 Alpha | 0.50% | Maturity | 2,241 | 1/15/20 | (25,490 | ) | ||||||||||||||
JMABRCX4 | 0.72% | Quarterly | 3,097 | 3/16/20 | 7,625 | |||||||||||||||
JMABRG34 (3) | 0.60% | Maturity | 2,196 | 1/15/20 | 2,441 | |||||||||||||||
JPABGERP (4) | 0.43% | Maturity | 12,282 | 3/16/20 | (266,219 | ) | ||||||||||||||
JPABSAA1 (5) | | 1 Month LIBOR Plus 0.11% | | Maturity | 22,418 | 1/31/20 | (33,788 | ) | ||||||||||||
JPMorgan Alternative FX Mean Reversion JPM 2RM1 Index | 0.00 | % | Quarterly | 3,991 | 10/15/20 | 501 | ||||||||||||||
Liberty Property Trust | | 1 Month LIBOR Plus 0.40% | | Maturity | 58 | 8/14/20 | 1,388 | |||||||||||||
Sophos Group PLC | | 1 Month LIBOR Plus 0.50% | | Maturity | 1,217 | 8/14/20 | 12,646 | |||||||||||||
Transat A.T. Inc. | | 1 Month CDOR Plus 0.40% | | Maturity | 1,205 | 8/14/20 | (53,035 | ) | ||||||||||||
United Community Financial | | 1 Month LIBOR Plus 0.40% | | Maturity | 139 | 8/14/20 | 14,843 | |||||||||||||
Morgan Stanley Capital Services, LLC |
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Acacia Communications Inc. | | 1 Month LIBOR Plus 0.30% | | Maturity | 2,095 | 12/11/20 | 70,115 | |||||||||||||
Achillion Pharmaceuticals | | 1 Month LIBOR Plus 0.30% | | Maturity | 1,042 | 12/11/20 | (45,693 | ) | ||||||||||||
Allergan PLC | | 1 Month LIBOR Plus 0.30% | | Maturity | 2,135 | 12/11/20 | 177,682 |
Counterparty & Referenced Obligation | Rate Paid/ | Payment Frequency | Current Notional (000) | Maturity Date | Unrealized Appreciation/ (Depreciation) | |||||||||||
Altran Technologies SA | 1 Month EURIBOR Plus 0.50% | Maturity | 293 | 12/11/20 | $ | 4,278 | ||||||||||
Caesars Entertainment Corp. | 1 Month LIBOR Plus 0.30% | Maturity | 2,230 | 12/11/20 | 215,919 | |||||||||||
Cypress Semiconductor Corp. | 1 Month LIBOR Plus 0.30% | Maturity | 2,219 | 12/11/20 | 7,393 | |||||||||||
Jagged Peak Energy Inc. | 1 Month LIBOR Plus 0.30% | Maturity | 1,094 | 12/11/20 | 134,448 | |||||||||||
Mellanox Technologies Ltd. | 1 Month LIBOR Plus 0.30% | Maturity | 1,112 | 12/11/20 | 55,694 | |||||||||||
Morgan Stanley Volume B3U Index | 0.50% | Quarterly | 4,100 | 3/16/20 | 15,324 | |||||||||||
MSABFLSU | 0.65% | Maturity | 4,235 | 3/16/20 | (47,090 | ) | ||||||||||
MSCBRMF4 (6) | 0.60% | Maturity | 4,189 | 1/15/20 | (150,250 | ) | ||||||||||
MSUSABDM (7) | 0.00% | Quarterly | 33,290 | 10/15/20 | (109,923 | ) | ||||||||||
MSUSABEM (8) | 0.00% | Quarterly | 37,274 | 10/15/20 | 264,382 | |||||||||||
MSUSABEQ | 0.00% | Quarterly | 10,574 | 10/15/20 | 21,802 | |||||||||||
OMNOVA Solutions Inc. | 1 Month LIBOR Plus 0.30% | Maturity | 1,333 | 12/11/20 | (4,711 | ) | ||||||||||
Pacific Biosciences of California Inc. | 1 Month LIBOR Plus 0.30% | Maturity | 898 | 12/11/20 | 77,474 | |||||||||||
Ra Pharmaceuticals Inc. | 1 Month LIBOR Plus 0.30% | Maturity | 1,688 | 12/11/20 | 4,762 | |||||||||||
Sophos Group PLC | 1 Month LIBOR Plus 0.50% | Maturity | 173 | 12/11/20 | (693 | ) | ||||||||||
Sophos Group PLC - W/I | 1 Month LIBOR Plus 0.35% | Maturity | 270 | 1/15/21 | (13,659 | ) | ||||||||||
Sprint Nextel Corp. | 1 Month LIBOR Plus 0.30% | Maturity | 1,027 | 12/11/20 | (197,496 | ) | ||||||||||
Stars Group Inc./The | 1 Month LIBOR Plus 0.30% | Maturity | 2,328 | 12/11/20 | 519,212 | |||||||||||
The Medicines Company | 1 Month LIBOR Plus 0.30% | Maturity | 1,800 | 12/11/20 | 18,595 | |||||||||||
Pay Total Return on Reference Obligation |
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Goldman Sachs & Co. | ||||||||||||||||
First Horizon National Corp. | 1 Month LIBOR Minus 0.30% | Maturity | 1,818 | 1/05/21 | (5,207 | ) | ||||||||||
Northgate PLC | 1 Month LIBOR Minus 0.40% | Maturity | 335 | 1/05/21 | (3,337 | ) | ||||||||||
Schwab (Charles) Corp. | 1 Month LIBOR Minus 0.30% | Maturity | 2,121 | 1/05/21 | 65,281 | |||||||||||
Taylor Morrison Home Corp. - Class A | 1 Month LIBOR Minus 0.29% | Maturity | 694 | 1/05/21 | 11,321 | |||||||||||
United Bankshares Inc. | 1 Month LIBOR Minus 0.29% | Maturity | 1,515 | 1/05/21 | 312 |
Counterparty & Referenced Obligation | Rate Paid/ | Payment Frequency | Current Notional (000) | Maturity Date | Unrealized Appreciation/ (Depreciation) | |||||||||||
Goldman Sachs International |
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Centene Corp. | 1 Month LIBOR Minus 0.29% | Maturity | 1,497 | 1/05/21 | $ | (207,070 | ) | |||||||||
JPMorgan Chase Bank, NA | ||||||||||||||||
First Defiance FINL Corp. | 1 Month LIBOR Minus 0.29% | Maturity | 139 | 8/14/20 | (14,465 | ) | ||||||||||
Natura & Co. Holding SA | 1 Month LIBOR Plus 0.75% | Maturity | 2,539 | 8/14/20 | (532,172 | ) | ||||||||||
Prologis Inc. | 1 Month LIBOR Minus 0.28% | Maturity | 58 | 8/14/20 | (821 | ) | ||||||||||
Morgan Stanley Capital Services, LLC | ||||||||||||||||
Abbvie Inc. | 1 Month LIBOR Minus 2.40% | Maturity | 856 | 12/11/20 | (98,114 | ) | ||||||||||
Eldorado Resorts Inc. | 1 Month LIBOR Minus 0.30% | Maturity | 879 | 12/11/20 | (215,387 | ) | ||||||||||
Flutter Entertainment PLC | 1 Month LIBOR Minus 0.30% | Maturity | 1,854 | 12/11/20 | (405,706 | ) | ||||||||||
Parsley Energy Inc. - Class A | 1 Month LIBOR Minus 0.28% | Maturity | 1,089 | 12/11/20 | (135,764 | ) | ||||||||||
T-Mobile US Inc. | 1 Month LIBOR Minus 0.60% | Maturity | 1,585 | 12/11/20 | 72,437 | |||||||||||
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$ | (785,514 | ) | ||||||||||||||
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(a) | Affiliated investments. |
(b) | The rate shown represents the7-day yield as of period end. |
(c) | To obtain a copy of the fund’s shareholder report, please go to the Securities and Exchange Commission’s website at www.sec.gov, or call AB at (800)227-4618. |
(d) | As of December 31, 2019, the cost basis of investment securities owned was substantially identical for both book and tax purposes. Gross unrealized appreciation of investments was $144,274,817 and gross unrealized depreciation of investments was $(7,466,731), resulting in net unrealized appreciation of $136,808,086. |
* | The investment strategies and liquidity of the Underlying Portfolios in which the Fund invests are as follows: |
Long/Short Equity Underlying Portfolios seek to buy securities with the expectation that they will increase in value (called “going long”) and sell securities short in the expectation that they will decrease in value (“going short”). Underlying Portfolios within this strategy are generally subject to 45 - 120 day redemption notice periods. The majority of the Underlying Portfolios are no longer subject to initial lockups. Certain Underlying Portfolios have lock up periods of up to three years.
Global Macro Underlying Portfolios aim to identify and exploit imbalances in global economics and asset classes, typically utilizing macroeconomic and technical market factors rather than“bottom-up” individual security analysis. The Underlying Portfolios within this strategy are subject to 30 - 90 day redemption notice periods. Certain Underlying Portfolios have lock up periods of up to one year.
Multi-Strategy Underlying Portfolios invest across multiple strategies, including long/short equity, event driven, global macro, credit/distressed and emerging markets, in which the investment process is predicated on movements in underlying economic variables and the impact these variables have on equity, fixed income, currency, commodity and other financial instrument markets. Underlying Portfolios within this strategy are generally subject to 45 - 90 day redemption notice periods. Certain Underlying Portfolios may have lock up periods of one years.
Event Driven Underlying Portfolios seek to take advantage of information inefficiencies resulting from a particular corporate event, such as a takeover, liquidation, bankruptcy, tender offer, buyback, spin(off, exchange offer, merger or other type of corporate reorganization. Underlying Portfolios within this strategy are generally subject to 60 - 90 day redemption notice periods. The majority of the Underlying Portfolios are no longer subject to initial lockups. Certain Underlying Portfolios have lock up periods of up to one year.
Credit/Distressed Underlying Portfolios invest in a variety of fixed income and other securities, including bonds (corporate and government), bank debt, asset-backed financial instruments, mortgage-backed securities and mezzanine and distressed securities, as well as securities of distressed companies and high yield securities. Underlying Portfolios within this strategy are generally subject to 60 - 90 day redemption notice periods. The majority of the Underlying Portfolios are no longer subject to initial lockups. Certain Underlying Portfolios may have lock up periods of two years.
The Fund may also make direct investments in securities (other than securities of Underlying Portfolios), options, futures, options on futures, swap contracts, or other derivative or financial instruments.
Currency Abbreviations: | ||||
AUD | - | Australian Dollar | ||
BRL | - | Brazilian Real | ||
CAD | - | Canadian Dollar | ||
CHF | - | Swiss Franc | ||
CLP | - | Chilean Peso | ||
CNH | - | Chinese Yuan Renminbi (Offshore) | ||
CNY | - | Chinese Yuan Renminbi | ||
COP | - | Colombian Peso | ||
CZK | - | Czech Koruna | ||
EUR | - | Euro | ||
GBP | - | Great British Pound | ||
HUF | - | Hungarian Forint | ||
IDR | - | Indonesian Rupiah | ||
ILS | - | Israeli Shekel | ||
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: | ||||
BOBL | - | Bundesobligationen | ||
CBT | - | Chicago Board of Trade | ||
EAFE | - | Europe, Australia, and Far East | ||
EURIBOR | - | Euro Interbank Offered Rate | ||
KC HRW | - | Kansas City Hard Red Winter | ||
LIBOR | - | London Interbank Offered Rates | ||
LME | - | London Metal Exchange | ||
MSCI | - | Morgan Stanley Capital International | ||
OAT | - | Obligations Assimables du Trésor | ||
OSE | - | Osaka Securities Exchange | ||
RBOB | - | Reformulated Gasoline Blend-Stock for Oxygen Blending (Unleaded Gas) | ||
TOPIX | - | Tokyo Price Index | ||
TSX | - | Toronto Stock Exchange | ||
ULSD | - | Ultra-Low Sulfur Diesel | ||
WTI | - | West Texas Intermediate |
(1) | The following table represents the 50 largest (long/(short)) basket holdings underlying the total return swap in Cross Asset Trend Basket Series 2 10% Volatility Target ER Strategy as of December 31, 2019. |
Security Description | Current Notional | Percent of Basket’s Value | ||||||
Euro-Schatz Futures | $ | (7,971,364 | ) | (67.5 | )% | |||
3 Month Euro EURIBOR 9/20 | (6,015,521 | ) | (51.0 | )% | ||||
3 Month Euro EURIBOR 6/20 | (6,015,512 | ) | (51.0 | )% | ||||
3 Month Euro EURIBOR 3/21 | (6,014,996 | ) | (51.0 | )% | ||||
90 Day Euro$ Futures 6/21 | 5,825,635 | 49.4 | % | |||||
90 Day Euro$ Futures 3/21 | 5,825,460 | 49.4 | % | |||||
90 Day Euro$ Futures 9/20 | 5,823,003 | 49.3 | % | |||||
90 Day Euro$ Futures 6/20 | 5,819,106 | 49.3 | % | |||||
90 Day Sterling Futures 3/21 | 5,407,863 | 45.8 | % | |||||
90 Day Sterling Futures 9/20 | 4,840,061 | 41.0 | % | |||||
90 Day Sterling Futures 6/21 | 4,837,880 | 41.0 | % | |||||
Euro-BOBL Futures 3/20 | (2,867,375 | ) | (24.3 | )% | ||||
Japan 10 Yr Bond (OSE) Futures 3/20 | (2,346,299 | ) | (19.9 | )% | ||||
90 Day Sterling Futures 6/20 | 2,134,977 | 18.1 | % | |||||
U.S. 5 Yr Note (CBT) Futures 3/20 | 2,131,053 | 18.1 | % | |||||
USD/TWD 1/20 | 1,789,979 | 15.2 | % | |||||
USD/SGD 1/20 | 1,751,894 | 14.8 | % | |||||
U.S. 10 Yr Note (CBT) Futures 3/20 | 1,561,623 | 13.2 | % | |||||
USD/IDR 1/20 | 1,447,217 | 12.3 | % | |||||
Long Gilt Futures 3/20 | 1,288,360 | 10.9 | % | |||||
USD/INR 1/20 | 1,256,794 | 10.6 | % | |||||
USD/EUR 1/20 | (1,247,527 | ) | (10.6 | )% | ||||
UDS/ILS 1/20 | 1,145,890 | 9.7 | % | |||||
USD/JPY 1/20 | (1,118,473 | ) | (9.5 | )% | ||||
3 Month Euro EURIBOR 6/21 | (1,087,018 | ) | (9.2 | )% | ||||
USD/PHP 12/19 | 1,065,049 | 9.0 | % | |||||
Euro-Bund Futures 3/20 | 1,001,315 | 8.5 | % | |||||
U.S. Long Bond (CBT) Futures 3/20 | 778,348 | 6.6 | % | |||||
USD/RUB 12/19 | 717,196 | 6.1 | % | |||||
USD/MXN 1/20 | 716,182 | 6.1 | % | |||||
USD/CHF 1/20 | (688,291 | ) | (5.8 | )% | ||||
USD/CNH 1/20 | (685,524 | ) | (5.8 | )% | ||||
USD/HUF 1/20 | (668,436 | ) | (5.7 | )% | ||||
Live Cattle Futures 2/20 | 602,126 | 5.1 | % | |||||
Soybean Futures 3/20 | 590,031 | 5.0 | % | |||||
Gold 100 Oz. Futures 2/20 | 589,922 | 5.0 | % | |||||
USD/NOK 1/20 | (559,236 | ) | (4.7 | )% | ||||
LME Copper Futures 2/20 | 535,108 | 4.5 | % | |||||
USD/TRY 1/20 | 525,200 | 4.5 | % | |||||
USD/AUD 1/20 | (516,218 | ) | (4.4 | )% | ||||
S&P 500E-Mini Index Futures 3/20 | 473,802 | 4.0 | % | |||||
S&P/TSX 60 Index Futures 3/20 | 472,041 | 4.0 | % | |||||
Cattle Feeder Futures 3/20 | 456,602 | 3.9 | % | |||||
Swiss Market Index Futures 3/20 | 449,974 | 3.8 | % | |||||
Sugar #11 (World) Futures 3/20 | 437,548 | 3.7 | % | |||||
USD/NZD 1/20 | 430,182 | 3.6 | % | |||||
USD/GBP 1/20 | 430,182 | 3.6 | % | |||||
USD/BRL 1/20 | (429,709 | ) | (3.6 | )% | ||||
TOPIX Index Futures 3/20 | 423,367 | 3.6 | % | |||||
SET50 Futures 3/20 | (414,934 | ) | (3.5 | )% | ||||
Other Long | 9,556,747 | 81.0 | % | |||||
Other (Short) | (2,387,395 | ) | (20.2 | )% |
(2) | The following table represents the 50 largest (long/(short)) equity basket holdings underlying the total return swap in GSISM49E as of December 31, 2019. |
Security Description | Shares | Current Notional | Percent of Basket’s Value | |||||||||
Apple, Inc. | (2,835 | ) | $ | (832,515 | ) | (4.7 | )% | |||||
Microsoft Corp. | (4,131 | ) | (651,422 | ) | (3.7 | )% | ||||||
Amazon.com, Inc. | (294 | ) | (543,793 | ) | (3.1 | )% | ||||||
Johnson & Johnson | (1,669 | ) | (243,508 | ) | (1.4 | )% | ||||||
Visa, Inc. | (1,209 | ) | (227,122 | ) | (1.3 | )% | ||||||
Nestle SA | (2,052 | ) | (222,072 | ) | (1.3 | )% | ||||||
Procter & Gamble Co./The | (1,752 | ) | (218,780 | ) | (1.2 | )% | ||||||
Berkshire Hathaway, Inc. | (922 | ) | (208,785 | ) | (1.2 | )% | ||||||
Exxon Mobil Corp. | (2,961 | ) | (206,648 | ) | (1.2 | )% | ||||||
Facebook, Inc. | (980 | ) | (201,145 | ) | (1.1 | )% | ||||||
UnitedHealth Group, Inc. | (663 | ) | (194,996 | ) | (1.1 | )% | ||||||
Mastercard, Inc. | (632 | ) | (188,675 | ) | (1.1 | )% | ||||||
Intel Corp. | (3,101 | ) | (185,573 | ) | (1.1 | )% | ||||||
Walt Disney Co./The | (1,261 | ) | (182,352 | ) | (1.0 | )% | ||||||
JPMorgan Chase & Co. | (1,257 | ) | (175,207 | ) | (1.0 | )% | ||||||
Alphabet, Inc. | (125 | ) | (167,549 | ) | (1.0 | )% | ||||||
Home Dopt Inc./The | (767 | ) | (167,392 | ) | (1.0 | )% | ||||||
Caesars Entertainment Corp. | 11,864 | 161,352 | 0.9 | % | ||||||||
Wells Fargo & Co. | (2,930 | ) | (157,619 | ) | (0.9 | )% | ||||||
Coca-Cola Co./The | (2,843 | ) | (157,372 | ) | (0.9 | )% | ||||||
Cypress Semiconductor Corp. | 6,716 | 156,682 | 0.9 | % | ||||||||
Leidos Holdings, Inc. | 1,597 | 156,357 | 0.9 | % | ||||||||
Liberty Broadband Corp. | 1,221 | 153,563 | 0.9 | % | ||||||||
Zayo Group Holdings, Inc. | 4,412 | 152,863 | 0.9 | % | ||||||||
Discovery, Inc. | 4,961 | 151,273 | 0.9 | % | ||||||||
Jazz Pharmaceuticals PLC | 1,013 | 151,252 | 0.9 | % | ||||||||
Kimco Realty Corp. | 7,297 | 151,120 | 0.9 | % | ||||||||
Jacobs Engineering Group, Inc. | 1,672 | 150,192 | 0.9 | % | ||||||||
Seagate Technology PLC | 2,515 | 149,671 | 0.9 | % | ||||||||
Delta Air Lines, Inc. | 2,555 | 149,413 | 0.9 | % | ||||||||
Carlisle Cos., Inc. | 921 | 149,123 | 0.8 | % | ||||||||
Universal Health Services, Inc. | 1,038 | 148,932 | 0.8 | % | ||||||||
WellCare Health Plans, Inc. | 450 | 148,550 | 0.8 | % | ||||||||
Old Dominion Freight Line, Inc. | 781 | 148,126 | 0.8 | % | ||||||||
Copart, Inc. | 1,620 | 147,278 | 0.8 | % | ||||||||
Citizens Financial Group, Inc. | 3,617 | 146,884 | 0.8 | % | ||||||||
Teledyne Technologies, Inc. | 422 | 146,165 | 0.8 | % | ||||||||
Arconic, Inc. | 4,708 | 144,873 | 0.8 | % | ||||||||
Chipotle Mexican Grill, Inc. | 172 | 143,968 | 0.8 | % | ||||||||
Cicso Systems, Inc. | (2,996 | ) | (143,696 | ) | (0.8 | )% | ||||||
United Airlines Holdings, Inc. | 1,630 | 143,545 | 0.8 | % | ||||||||
Hormel Foods Corp. | 3,175 | 143,222 | 0.8 | % | ||||||||
Bio-Rad Laboratories, Inc. | 387 | 143,117 | 0.8 | % | ||||||||
ANSYS, Inc. | 553 | 142,432 | 0.8 | % | ||||||||
Hershey Co./The | 965 | 141,886 | 0.8 | % | ||||||||
Tyson Foods, Inc. | 1,558 | 141,856 | 0.8 | % | ||||||||
Cadence Design Systems, Inc. | 2,045 | 141,819 | 0.8 | % | ||||||||
Novartis AG | (1,493 | ) | (141,655 | ) | (0.8 | )% | ||||||
Nucor Corp. | 2,506 | 141,055 | 0.8 | % | ||||||||
Fifth Third Bancop | 4,581 | 140,815 | 0.8 | % | ||||||||
Other Long | 1,112,477 | 24,538,535 | 124.1 | % | ||||||||
Other (Short) | (478,936 | ) | (18,598,660 | ) | (90.3 | )% |
(3) | The following table represents the (long/(short)) basket holdings underlying the total return swap in JMABRG34 as of December 31, 2019. |
Security Description | Current Notional | Percent of Basket’s Value | ||||||
Brent Crude Futures 3/20 | $ | (673,391 | ) | (30.7 | )% | |||
WTI Crude Futures 3/20 | (671,845 | ) | (30.6 | )% | ||||
WTI Crude Futures 7/20 | 667,448 | 30.4 | % | |||||
Brent Crude Futures 7/20 | 665,146 | 30.3 | % | |||||
NY Harbor ULSD Futures 7/20 | 660,310 | 30.1 | % | |||||
NY Harbor ULSD Futures 3/20 | (659,878 | ) | (30.1 | )% | ||||
Gasoline RBOB Futures 3/20 | (658,615 | ) | (30.0 | )% | ||||
Gasoline RBOB Futures 7/20 | 656,597 | 29.9 | % | |||||
Natural Gas Futures 7/20 | 614,530 | 28.0 | % | |||||
Natural Gas Futures 5/20 | (602,899 | ) | (27.5 | )% | ||||
Soybean Futures 3/20 | (569,051 | ) | (25.9 | )% | ||||
Soybean Futures 7/20 | 566,353 | 25.8 | % | |||||
Coffee ‘C’ Futures 3/20 | (559,976 | ) | (25.5 | )% | ||||
Coffee ‘C’ Futures 7/20 | 559,591 | 25.5 | % | |||||
Sugar #11 (World) Futures 7/20 | 557,946 | 25.4 | % | |||||
Copper Futures 7/20 | 556,177 | 25.3 | % | |||||
Copper Futures 3/20 | (555,846 | ) | (25.3 | )% | ||||
Sugar #11 (World) Futures 3/20 | (554,411 | ) | (25.2 | )% | ||||
LME Nickel Futures 7/20 | 538,611 | 24.5 | % | |||||
Corn Futures 7/20 | 538,574 | 24.5 | % | |||||
LME Nickel Futures 3/20 | (537,903 | ) | (24.5 | )% | ||||
LME Zinc Futures 7/20 | 536,095 | 24.4 | % | |||||
Corn Futures 3/20 | (534,660 | ) | (24.3 | )% | ||||
LME Zinc Futures 3/20 | (532,970 | ) | (24.3 | )% | ||||
LME PRI Aluminum Futures 7/20 | 531,580 | 24.2 | % | |||||
LME PRI Aluminum Futures 3/20 | (529,256 | ) | (24.1 | )% | ||||
Live Cattle Futures 6/20 | 354,509 | 16.1 | % | |||||
Live Cattle Futures 2/20 | (351,504 | ) | (16.0 | )% | ||||
Lean Hogs Futures 2/20 | (284,368 | ) | (13.0 | )% | ||||
Lean Hogs Futures 6/20 | 279,046 | 12.7 | % | |||||
Soybean Oil Futures 3/20 | (200,676 | ) | (9.1 | )% | ||||
Soybean Oil Futures 7/20 | 199,947 | 9.1 | % | |||||
KC HRW Wheat Futures 3/20 | (194,264 | ) | (8.8 | )% | ||||
KC HRW Wheat Futures 7/20 | 193,721 | 8.8 | % | |||||
Cotton No. 2 Futures 3/20 | (187,093 | ) | (8.5 | )% | ||||
Cotton No. 2 Futures 7/20 | 186,947 | 8.5 | % | |||||
Wheat Futures (CBT) 3/20 | (183,286 | ) | (8.3 | )% | ||||
Wheat Futures (CBT) 7/20 | 182,907 | 8.3 | % | |||||
Soybean Meal Futures 7/20 | 180,135 | 8.2 | % | |||||
Soybean Meal Futures 3/20 | (179,928 | ) | (8.2 | )% |
(4) | The following table represents the 50 largest (long/(short)) equity basket holdings underlying the total return swap in JPABGERP as of December 31, 2019. |
Security Description | Shares | Current Notional | Percent of Basket’s Value | |||||||||
JPMorgan Cash USD Index | (11,965 | ) | $ | (3,620,733 | ) | (29.5 | )% | |||||
Delivery Hero SE | (2,485 | ) | (196,826 | ) | (1.6 | )% | ||||||
iA Financial Corp., Inc. | 2,953 | 162,418 | 1.3 | % | ||||||||
Uber Technologies, Inc. | (5,271 | ) | (156,774 | ) | (1.3 | )% | ||||||
Western Union Co./The | 5,833 | 156,218 | 1.3 | % | ||||||||
Concho Resources, Inc. | (1,782 | ) | (156,085 | ) | (1.3 | )% | ||||||
Hong Kong Land Holdings Ltd. | (25,745 | ) | (148,033 | ) | (1.2 | )% | ||||||
Jardine Matheson Holdings Ltd. | (2,605 | ) | (144,853 | ) | (1.2 | )% | ||||||
Jardine Strategic Holdings Ltd. | (4,670 | ) | (143,121 | ) | (1.2 | )% | ||||||
Tesla, Inc. | (334 | ) | (139,848 | ) | (1.1 | )% | ||||||
Dairy Farm International Holdings | (23,464 | ) | (133,982 | ) | (1.1 | )% |
Security Description | Shares | Current Notional | Percent of Basket’s Value | |||||||||
Mercari, Inc. | (6,045 | ) | $ | (124,322 | ) | (1.0 | )% | |||||
Diamondback Energy, Inc. | (1,277 | ) | (118,559 | ) | (1.0 | )% | ||||||
Sarepta Therapeutics, Inc. | (908 | ) | (117,171 | ) | (1.0 | )% | ||||||
Atco Ltd./Canada | 3,036 | 116,541 | 0.9 | % | ||||||||
EDP - Energias de Portugal SA | 26,688 | 115,757 | 0.9 | % | ||||||||
Aker BP ASA | (3,462 | ) | (113,473 | ) | (0.9 | )% | ||||||
EssilorLuxottica | (739 | ) | (112,664 | ) | (0.9 | )% | ||||||
Air Canada | 3,008 | 112,510 | 0.9 | % | ||||||||
Juniper Networks, Inc. | 4,484 | 110,451 | 0.9 | % | ||||||||
Iida Group Holdings Co., Ltd. | 6,251 | 110,386 | 0.9 | % | ||||||||
Continental Resources, Inc./OK | (3,109 | ) | (106,637 | ) | (0.9 | )% | ||||||
Lundin Petroleum AB | (3,122 | ) | (106,173 | ) | (0.9 | )% | ||||||
Linde PLC | (495 | ) | (105,329 | ) | (0.9 | )% | ||||||
Alcon, Inc. | (1,854 | ) | (104,941 | ) | (0.9 | )% | ||||||
Teijin Ltd. | 5,514 | 103,755 | 0.8 | % | ||||||||
ICADE | 941 | 102,470 | 0.8 | % | ||||||||
Nektar Therapeutics | (4,647 | ) | (100,299 | ) | (0.8 | )% | ||||||
Murata Manufacturing Co., Ltd. | (1,610 | ) | (99,919 | ) | (0.8 | )% | ||||||
Heineken Holding NV | 1,018 | 98,731 | 0.8 | % | ||||||||
Mitsubishi Materials Corp. | 3,595 | 98,488 | 0.8 | % | ||||||||
Mitsubishi Heavy Industries Ltd. | 2,479 | 96,917 | 0.8 | % | ||||||||
Intesa Sanpaolo SpA | (36,393 | ) | (95,939 | ) | (0.8 | )% | ||||||
Sumitomo Chemical Co., Ltd. | 20,616 | 94,471 | 0.8 | % | ||||||||
Cimarex Energy Co. | (1,793 | ) | (94,115 | ) | (0.8 | )% | ||||||
MongoDB, Inc. | (708 | ) | (93,116 | ) | (0.8 | )% | ||||||
Severn Trent PLC | 28 | 91,835 | 0.7 | % | ||||||||
Ryman Healthcare Ltd. | 8,257 | 90,970 | 0.7 | % | ||||||||
Zillow Group, Inc. | (1,957 | ) | (89,908 | ) | (0.7 | )% | ||||||
Bank of America Corp. | (2,510 | ) | (88,389 | ) | (0.7 | )% | ||||||
A2 Milk Co. Ltd. | 8,715 | 88,312 | 0.7 | % | ||||||||
G4S PLC | 302 | 87,299 | 0.7 | % | ||||||||
Advanced Micro Devices, Inc. | (1,887 | ) | (86,539 | ) | (0.7 | )% | ||||||
Anheuser-Busch InBev SA/NV | (1,054 | ) | (86,042 | ) | (0.7 | )% | ||||||
Fisher & Paykel Healthcare Corp. | 5,738 | 85,946 | 0.7 | % | ||||||||
UnitedHealth Group, Inc. | (291 | ) | (85,404 | ) | (0.7 | )% | ||||||
Verbund AG | (1,697 | ) | (85,246 | ) | (0.7 | )% | ||||||
NVIDIA Corp. | (358 | ) | (84,249 | ) | (0.7 | )% | ||||||
Grubhub, Inc. | (1,728 | ) | (84,041 | ) | (0.7 | )% | ||||||
SSE PLC | 44 | 83,702 | 0.7 | % | ||||||||
Other Long | 1,732,126 | 23,270,271 | 188.5 | % | ||||||||
Other (Short) | (903,544 | ) | (18,539,605 | ) | (149.9 | )% |
(5) | The following table represents the 50 largest (long/(short)) equity basket holdings underlying the total return swap in JPABSAA1 as of December 31, 2019. |
Security Description | Shares | Current Notional | Percent of Basket’s Value | |||||||||
S&P 500 Total Return Index | (1,575 | ) | $ | (10,322,170 | ) | (46.0 | )% | |||||
MSCI Daily TR Gross EAFE USD Index | (728 | ) | (6,291,181 | ) | (28.1 | )% | ||||||
JPMorgan Cash USD Index | (17,067 | ) | (5,164,797 | ) | (23.0 | )% | ||||||
Microsoft Corp. | 4,301 | 678,333 | 3.0 | % | ||||||||
MSCI Daily TR Gross Canada USD Index | (78 | ) | (630,621 | ) | (2.8 | )% | ||||||
Apple, Inc. | 1,801 | �� | 528,977 | 2.4 | % | |||||||
Roche Holding AG | 1,534 | 497,265 | 2.2 | % | ||||||||
Qantas Airways Ltd. | 83,833 | 418,996 | 1.9 | % | ||||||||
Walmart, Inc. | 3,322 | 394,815 | 1.8 | % | ||||||||
Oracle Corp. | 7,389 | 391,447 | 1.7 | % | ||||||||
Automatic Data Processing, Inc. | 2,178 | 371,304 | 1.7 | % | ||||||||
Ross Stores, Inc. | 3,175 | 369,613 | 1.6 | % | ||||||||
UnitedHealth Group, Inc. | 1,241 | 364,821 | 1.6 | % |
Security Description | Shares | Current Notional | Percent of Basket’s Value | |||||||||
Bank LeumiLe-Israel BM | 495 | $ | 360,301 | 1.6 | % | |||||||
Royal Dutch Shell PLC | 120 | 357,323 | 1.6 | % | ||||||||
Merck & Co., Inc. | 3,837 | 348,993 | 1.6 | % | ||||||||
Constellation Software, Inc./Canada | 344 | 334,840 | 1.5 | % | ||||||||
Oracle Corp./Japan | 3,613 | 330,803 | 1.5 | % | ||||||||
Paychex, Inc. | 3,854 | 327,793 | 1.5 | % | ||||||||
Auto Trader Group PLC | 412 | 324,868 | 1.4 | % | ||||||||
RELX PLC | 12,847 | 323,898 | 1.4 | % | ||||||||
PNC Financial Services Group, Inc. | 2,011 | 321,026 | 1.4 | % | ||||||||
Check Point Software Technology | 2,872 | 318,675 | 1.4 | % | ||||||||
adidas AG | 974 | 316,978 | 1.4 | % | ||||||||
Fidelity National Financial, Inc. | 6,814 | 309,007 | 1.4 | % | ||||||||
Philip Morris International, Inc. | 3,560 | 302,892 | 1.4 | % | ||||||||
Dollar General Corp. | 1,902 | 296,711 | 1.3 | % | ||||||||
Aristocrat Leisure Ltd. | 12,522 | 296,373 | 1.3 | % | ||||||||
Salmar ASA | 5,735 | 293,228 | 1.3 | % | ||||||||
Nice Ltd. | 19 | 292,449 | 1.3 | % | ||||||||
L3Harris Technologies, Inc. | 1,454 | 287,776 | 1.3 | % | ||||||||
KBC Group NV | 3,815 | 287,180 | 1.3 | % | ||||||||
Procter & Gamble Co./The | 2,272 | 283,742 | 1.3 | % | ||||||||
Comcast Corp. | 6,300 | 283,314 | 1.3 | % | ||||||||
Texas Instruments, Inc. | 2,192 | 281,207 | 1.3 | % | ||||||||
Sysco Corp. | 3,260 | 278,857 | 1.2 | % | ||||||||
Experian PLC | 82 | 276,096 | 1.2 | % | ||||||||
Wolters Kluwer NV | 3,745 | 273,300 | 1.2 | % | ||||||||
Enel SpA | 34,186 | 271,376 | 1.2 | % | ||||||||
Koninklijke Ahold Delhaize NV | 10,370 | 259,511 | 1.2 | % | ||||||||
AutoZone, Inc. | 215 | 256,293 | 1.1 | % | ||||||||
American Financial Group, Inc. | 2,327 | 255,189 | 1.1 | % | ||||||||
CH Robinson Worldwide, Inc. | 3,261 | 254,975 | 1.1 | % | ||||||||
Royal Bank of Canada | 3,184 | 252,315 | 1.1 | % | ||||||||
Home Depot, Inc./The | 1,145 | 249,962 | 1.1 | % | ||||||||
Partners Group Holding AG | 272 | 249,619 | 1.1 | % | ||||||||
Deckers Outdoor Corp. | 1,449 | 244,598 | 1.1 | % | ||||||||
Novo Nordisk A/S | 4,140 | �� | 240,458 | 1.1 | % | |||||||
Bristol-Myers Squibb Co. | 3,710 | 238,116 | 1.1 | % | ||||||||
Nippon Telegraph & Telephone Co. | 9,373 | 237,778 | 1.1 | % | ||||||||
Other Long | 245,531 | 7,636,573 | 34.1 | % |
(6) | The following table represents the (long/(short)) basket holdings underlying the total return swap in MSCBRMF4 as of December 31, 2019. |
Security Description | Current Notional | Percent of Basket’s Value | ||||||
Euro-Schatz Futures 3/20 | $ | 5,330,021 | 127.2 | % | ||||
Euro-BTP Futures 3/20 | 4,890,600 | 116.8 | % | |||||
U.S. 2 Yr Note (CBT) Futures 3/20 | (3,515,368 | ) | (83.9 | )% | ||||
Long Gilt Futures 3/20 | (2,395,661 | ) | (57.2 | )% | ||||
U.S. 10 Yr Note (CBT) Futures 3/20 | 2,287,586 | 54.6 | % | |||||
Euro-Bund Futures 3/20 | (1,966,713 | ) | (47.0 | )% | ||||
Euro-BOBL Futures 3/20 | 1,821,775 | 43.5 | % | |||||
Canadian 10 Yr Bond Futures 3/20 | (1,623,637 | ) | (38.8 | )% | ||||
Australian 10 Yr Bond Futures 3/20 | 1,371,044 | 32.7 | % | |||||
U.S. 5 Yr Note (CBT) Futures 3/20 | 882,193 | 21.1 | % | |||||
Euro-OAT Futures 3/20 | (793,387 | ) | (18.9 | )% | ||||
Euro-BUXL 30 Yr Bond Futures 3/20 | (199,394 | ) | (4.8 | )% | ||||
U.S. Long Bond (CBT) Futures 3/20 | (83,360 | ) | (2.0 | )% |
(7) | The following table represents the (long/(short)) basket holdings underlying the total return swap in MSUSABDM as of December 31, 2019. |
Security Description | Current Notional | Percent of Basket’s Value | ||||||
NOK/USD 1/20 | $ | (3,402,239 | ) | (10.2 | )% | |||
JPY/USD 1/20 | 2,799,690 | 8.4 | % | |||||
SEK/USD 1/20 | 2,370,249 | 7.1 | % | |||||
NZD/USD 1/20 | 1,521,354 | 4.6 | % | |||||
AUD/USD 1/20 | (1,461,432 | ) | (4.4 | )% | ||||
CHF/USD 1/20 | (1,035,319 | ) | (3.1 | )% | ||||
GBP/USD 1/20 | (679,116 | ) | (2.0 | )% | ||||
EUR/USD 1/20 | 632,510 | 1.9 | % | |||||
CAD/USD 1/20 | (519,324 | ) | (1.6 | )% |
(8) | The following table represents the (long/(short)) basket holdings underlying the total return swap in MSUSABEM as of December 31, 2019. |
Security Description | Current Notional | Percent of Basket’s Value | ||||||
BRL/USD 1/20 | $ | (2,694,922 | ) | (7.2 | )% | |||
HUF/USD 1/20 | (2,612,919 | ) | (7.0 | )% | ||||
CLP/USD 1/20 | (2,023,987 | ) | (5.4 | )% | ||||
PEN/USD 1/20 | (2,016,532 | ) | (5.4 | )% | ||||
RUB/USD 1/20 | 1,900,983 | 5.1 | % | |||||
CNY/USD 1/20 | 1,699,702 | 4.6 | % | |||||
PHP/USD 1/20 | (1,636,336 | ) | (4.4 | )% | ||||
INR/USD 1/20 | 1,446,238 | 3.9 | % | |||||
MXN/USD 1/20 | 1,379,144 | 3.7 | % | |||||
IDR/USD 1/20 | 1,263,594 | 3.4 | % | |||||
ZAR/USD 1/20 | 1,140,590 | 3.1 | % | |||||
TRY/USD 1/20 | 726,846 | 2.0 | % | |||||
COP/USD 1/20 | 659,753 | 1.8 | % | |||||
TWD/USD 1/20 | 544,203 | 1.5 | % | |||||
THB/USD 1/20 | (480,837 | ) | (1.3 | )% | ||||
PLN/USD 1/20 | 406,288 | 1.1 | % | |||||
CZK/USD 1/20 | 331,740 | 0.9 | % | |||||
KRW/USD 1/20 | (93,185 | ) | (0.3 | )% |
AB Multi-Manager Alternative Fund
December 31, 2019 (unaudited)
In accordance with U.S. GAAP regarding fair value measurements, fair value is defined as the price that the Fund 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). 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 Fund. Unobservable inputs reflect the Fund’s own assumptions about the assumptions that market participants would use in pricing the asset or liability based on the best information available in the circumstances. Each investment is assigned a level based upon the observability of the inputs which are significant to the overall valuation. The three-tier hierarchy of inputs is summarized below.
• | Level 1—quoted prices in active markets for identical investments |
• | Level 2—other significant observable inputs (including quoted prices for similar investments, interest rates, prepayment speeds, credit risk, etc.) |
• | Level 3—significant unobservable inputs (including the Fund’s own assumptions in determining the fair value of investments) |
Where readily available market prices or relevant bid prices are not available for certain equity investments, such investments may be valued based on similar publicly traded investments, movements in relevant indices since last available prices or based upon underlying company fundamentals and comparable company data (such as multiples to earnings or other multiples to equity). Where an investment is valued using an observable input, by pricing vendors, such as another publicly traded security, the investment will be classified as Level 2. If management determines that an adjustment is appropriate based on restrictions on resale, illiquidity or uncertainty, and such adjustment is a significant component of the valuation, the investment will be classified as Level 3. An investment will also be classified as Level 3 where management uses company fundamentals and other significant inputs to determine the valuation.
The following table summarizes the valuation of the Fund’s investments by the above fair value hierarchy levels as of December 31, 2019:
Investments in Securities: | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Assets: |
| |||||||||||||||
Short-Term Investments: | ||||||||||||||||
Investment Companies | $ | 43,500,000 | $ | – 0 | – | $ | – 0 | – | $ | 43,500,000 | ||||||
Investments valued at NAV* | 895,427,821 | |||||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Investments in Securities | 43,500,000 | – 0 | – | – 0 | – | 938,927,821 | ||||||||||
Other Financial Instruments(a): | ||||||||||||||||
Assets: |
| |||||||||||||||
Total Return Swaps | – 0 | – | 3,009,757 | – 0 | – | 3,009,757 | ||||||||||
Liabilities: |
| |||||||||||||||
Total Return Swaps | – 0 | – | (3,795,271 | ) | – 0 | – | (3,795,271 | ) | ||||||||
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Total | $ | 43,500,000 | $ | (785,514 | ) | $ | – 0 | – | $ | 938,142,307 | ||||||
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(a) | Other financial instruments are derivative instruments, such as futures, forwards and swaps, which are valued at the unrealized appreciation/(depreciation) on the instrument. Other financial instruments may also include swaps with upfront premiums, options written and swaptions written which are valued at market value. |
* | In May 2015, the Financial Accounting Standards Board issued an Accounting Standards Update, ASU2015-07 (the “ASU”) which removed the requirement to categorize within the fair value hierarchy all investments for which fair value is measured using the net asset value per share practical expedient. The ASU was effective for annual periods beginning after December 15, 2015 and interim periods within those annual periods, with application of the amendments noted above retrospectively to all periods presented. The retrospective approach requires that an investment for which fair value is measured using the net asset value per share practical expedient be removed from the fair value hierarchy in all periods presented herein. Accordingly, the total investments of the Underlying Portfolios with a fair value of $895,427,821 have not been categorized in the fair value hierarchy. |
A summary of the Fund’s transactions in AB mutual funds for the nine months ended December 31, 2019 is as follows:
Fund | Market Value 3/31/19 (000) | Purchases at Cost (000) | Sales Proceeds (000) | Market Value 12/31/19 (000) | Dividend Income (000) | |||||||||||||||
Government Money Market Portfolio | $ | 15,500 | $ | 233,500 | $ | 205,500 | $ | 43,500 | $ | 0 |