AB Multi-Manager Alternative Fund
Consolidated Portfolio of Investments
December 31, 2021 (unaudited)
| | | | | | | | | | | | | | | | |
| Underlying Portfolios | | Shares | | | Fair Value ($) | | | % Net
Assets | | | Liquidity* | |
|
Global Macro | |
Alphadyne International Fund, Ltd. | | | 49,005 | | | $ | 59,173,879 | | | | 5.8 | % | | | Quarterly | |
Brevan Howard Alpha Strategies Fund Limited | | | 372,799 | | | | 47,815,936 | | | | 4.7 | | | | Monthly | |
Brevan Howard AS Macro Fund Limited | | | 179,206 | | | | 20,060,321 | | | | 2.0 | | | | Monthly | |
John Street Systematic Fund Limited | | | 125,924 | | | | 22,134,109 | | | | 2.2 | | | | Monthly | |
Pharo Macro Fund, Ltd. | | | 7,851 | | | | 33,849,394 | | | | 3.3 | | | | Quarterly | |
The Tudor BVI Global Fund, Ltd. | | | 4,327 | | | | 69,403,668 | | | | 6.9 | | | | Quarterly | |
| | | | | | | | | | | | | | | | |
Total | | | | | | | 252,437,307 | | | | 24.9 | | | | | |
| | | | | | | | | | | | | | | | |
|
Multi-Strategy | |
Elliott International Limited - Capital Commitment | | | 55,422 | | | | 92,117,606 | | | | 9.1 | | | | Quarterly | |
Hudson Bay International Fund, Ltd. | | | 46,000 | | | | 54,800,344 | | | | 5.4 | | | | Quarterly | |
LMR Fund Limited | | | 206,673 | | | | 45,090,317 | | | | 4.4 | | | | Quarterly | |
Myriad Opportunities Offshore Fund Limited | | | 32 | | | | 35,127 | | | | 0.0 | | | | At Fund’s Discretion | |
Schonfeld Strategic Partners Offshore Fund, Ltd. | | | 39,700 | | | | 53,392,009 | | | | 5.3 | | | | Monthly | |
| | | | | | | | | | | | | | | | |
Total | | | | | | | 245,435,403 | | | | 24.2 | | | | | |
| | | | | | | | | | | | | | | | |
|
Long/Short Equity | |
Coatue Offshore Fund, Ltd. | | | 101,112 | | | | 43,132,371 | | | | 4.2 | | | | Quarterly | |
Janchor Partners Pan-Asian Fund | | | 202,641 | | | | 30,439,767 | | | | 3.0 | | | | Triennially | |
Nokota LC, LLC | | | 1,166 | | | | 235,747 | | | | 0.0 | | | | At Fund’s Discretion | |
PFM Healthcare Offshore Fund, Ltd. | | | 344 | | | | 233,168 | | | | 0.0 | | | | At Fund’s Discretion | |
Schonfeld Fundamental Equity Offshore Fund, Ltd. | | | 39,203 | | | | 52,422,811 | | | | 5.2 | | | | Quarterly | |
The Children’s Investment Fund | | | 128,700 | | | | 30,204,603 | | | | 3.0 | | | | Biennial | |
Think Investments Offshore, Ltd. | | | 16,953 | | | | 51,595,269 | | | | 5.1 | | | | Semi-Annual | |
Two Creeks Capital Offshore Fund, Ltd. | | | 21,269 | | | | 35,236,215 | | | | 3.5 | | | | Quarterly | |
| | | | | | | | | | | | | | | | |
Total | | | | | | | 243,499,951 | | | | 24.0 | | | | | |
| | | | | | | | | | | | | | | | |
|
Event Driven | |
Antara Capital Offshore Fund, Ltd. | | | 32,000 | | | | 31,907,801 | | | | 3.2 | | | | Quarterly | |
Indaba Capital Partners (Cayman), LP | | | 25,898 | | | | 42,267,414 | | | | 4.2 | | | | Quarterly | |
Lion Point International, Ltd. | | | 16,666 | | | | 21,738,623 | | | | 2.1 | | | | Semi-Annual | |
Luxor Capital Partners Offshore Liquidating SPV, Ltd. | | | 2,317 | | | | 2,326,655 | | | | 0.2 | | | | At Fund’s Discretion | |
Senator Global Opportunity Offshore Fund II, Ltd. | | | 22,834 | | | | 31,763,992 | | | | 3.1 | | | | Quarterly | |
Senator Global Opportunity Offshore Fund, Ltd. | | | 11,871 | | | | 16,127,662 | | | | 1.6 | | | | Quarterly | |
| | | | | | | | | | | | | | | | |
Total | | | | | | | 146,132,147 | | | | 14.4 | | | | | |
| | | | | | | | | | | | | | | | |
|
Credit/Distressed | |
King Street Capital, Ltd. | | | 23,212 | | | | 2,394,456 | | | | 0.2 | | | | At Fund’s Discretion | |
LMR CCSA Fund Limited - Mutual Fund | | | 200,000 | | | | 21,330,648 | | | | 2.1 | | | | Quarterly | |
Wingspan Overseas Fund, Ltd. | | | 26 | | | | 20,422 | | | | 0.0 | | | | Fund in Liquidation | |
| | | | | | | | | | | | | | | | |
Total | | | | | | | 23,745,526 | | | | 2.3 | | | | | |
| | | | | | | | | | | | | | | | |
| | | |
Total Underlying Portfolios
(cost $681,370,874) | | | | 911,250,334 | | | | 89.8 | | | | | |
| | | | | | | | | | | | | | | | |
|
Common Stocks | |
Special Purpose Acquisition Company | |
BlueRiver Acquisition Corp. - Class A(a) | | | 100,000 | | | | 972,000 | | | | 0.1 | | | | | |
Broadscale Acquisition Corp. - Class A(a) | | | 68,022 | | | | 676,139 | | | | 0.1 | | | | | |
CC Neuberger Principal Holdings III - Class A(a) | | | 100,000 | | | | 988,000 | | | | 0.1 | | | | | |
Churchill Capital Corp. VII - Class A(a) | | | 24,490 | | | | 240,737 | | | | 0.0 | | | | | |
Climate Real Impact Solutions II Acquisition Corp. - Class A(a) | | | 57,556 | | | | 561,747 | | | | 0.1 | | | | | |
Compute Health Acquisition Corp. - Class A(a) | | | 100,000 | | | | 973,000 | | | | 0.1 | | | | | |
1
| | | | | | | | | | | | | | | | |
| Underlying Portfolios | | Shares | | | Fair Value ($) | | | % Net
Assets | | | | |
| | | | |
Constellation Acquisition Corp. I - Class A(a) | | | 45,223 | | | $ | 441,376 | | | | 0.0 | % | | | | |
D & Z Media Acquisition Corp. - Class A(a) | | | 15,000 | | | | 146,250 | | | | 0.0 | | | | | |
DiamondHead Holdings Corp. - Class A(a) | | | 51,562 | | | | 502,214 | | | | 0.1 | | | | | |
Elliott Opportunity II Corp. - Class A(a) | | | 535,800 | | | | 5,234,766 | | | | 0.5 | | | | | |
EQ Health Acquisition Corp. - Class A(a) | | | 93,458 | | | | 907,477 | | | | 0.1 | | | | | |
Hudson Executive Investment Corp. II(a) | | | 97,230 | | | | 950,909 | | | | 0.1 | | | | | |
Jaws Mustang Acquisition Corp. - Class A(a) | | | 42,280 | | | | 412,230 | | | | 0.0 | | | | | |
Kernel Group Holdings, Inc. - Class A(a) | | | 50,000 | | | | 487,500 | | | | 0.0 | | | | | |
Lazard Growth Acquisition Corp. I(a) | | | 110,655 | | | | 1,076,673 | | | | 0.1 | | | | | |
Music Acquisition Corp. (The) - Class A(a) | | | 76,500 | | | | 746,640 | | | | 0.1 | | | | | |
New Vista Acquisition Corp. - Class A(a) | | | 97,916 | | | | 952,723 | | | | 0.1 | | | | | |
North Atlantic Acquisition Corp. - Class A(a) | | | 97,230 | | | | 952,854 | | | | 0.1 | | | | | |
Pivotal Investment Corp. III - Class A(a) | | | 109,130 | | | | 1,062,926 | | | | 0.1 | | | | | |
RMG Acquisition Corp. III - Class A(a) | | | 15,344 | | | | 149,604 | | | | 0.0 | | | | | |
Social Leverage Acquisition Corp. I - Class A(a) | | | 34,012 | | | | 333,658 | | | | 0.0 | | | | | |
Thunder Bridge Capital Partners III, Inc. - Class A(a) | | | 25,572 | | | | 249,838 | | | | 0.0 | | | | | |
TLG Acquisition One Corp. - Class A(a) | | | 97,161 | | | | 945,376 | | | | 0.1 | | | | | |
| | | | | | | | | | | | | | | | |
| | | | |
Total Common Stocks (cost $19,881,213) | | | | | | | 19,964,637 | | | | 1.9 | | | | | |
| | | | | | | | | | | | | | | | |
| |
Warrants | | | | | |
Special Purpose Acquisition Company | | | | | |
BlueRiver Acquisition Corp., Class A, expiring 01/04/2026(a) | | | 33,333 | | | | 20,166 | | | | 0.0 | | | | | |
Broadscale Acquisition Corp., Class A, expiring 02/02/2026(a) | | | 17,005 | | | | 15,985 | | | | 0.0 | | | | | |
CC Neuberger Principal Holdings III, expiring 12/31/2027(a) | | | 20,000 | | | | 21,800 | | | | 0.0 | | | | | |
Churchill Capital Corp. VII, expiring 02/29/2028(a) | | | 4,898 | | | | 4,898 | | | | 0.0 | | | | | |
Climate Real Impact Solutions II Acquisition Corp., expiring 12/31/2027(a) | | | 11,511 | | | | 13,123 | | | | 0.0 | | | | | |
Compute Health Acquisition Corp., Class A, expiring 12/31/2027(a) | | | 25,000 | | | | 22,083 | | | | 0.0 | | | | | |
Constellation Acquisition Corp. I, Class A, expiring 12/31/2027(a) | | | 15,074 | | | | 9,497 | | | | 0.0 | | | | | |
D & Z Media Acquisition Corp., Class A, expiring 12/31/2027(a) | | | 5,000 | | | | 2,900 | | | | 0.0 | | | | | |
DiamondHead Holdings Corp., Class A, expiring 01/28/2028(a) | | | 12,890 | | | | 7,694 | | | | 0.0 | | | | | |
Elliott Opportunity II Corp., expiring 02/19/2023(a) | | | 133,950 | | | | 143,326 | | | | 0.1 | | | | | |
EQ Health Acquisition Corp., Class A, expiring 02/02/2028(a) | | | 46,729 | | | | 24,299 | | | | 0.0 | | | | | |
Hudson Executive Investment Corp. II, expiring 01/31/2027(a) | | | 24,307 | | | | 16,288 | | | | 0.0 | | | | | |
Jaws Mustang Acquisition Corp., expiring 01/30/2026(a) | | | 10,570 | | | | 10,886 | | | | 0.0 | | | | | |
Kernel Group Holdings, Inc., Class A, expiring 01/31/2027(a) | | | 25,000 | | | | 12,500 | | | | 0.0 | | | | | |
Lazard Growth Acquisition Corp. I, expiring 12/31/2027(a) | | | 22,131 | | | | 19,362 | | | | 0.0 | | | | | |
Music Acquisition Corp. (The), Class A, expiring 02/05/2028(a) | | | 38,250 | | | | 21,420 | | | | 0.0 | | | | | |
New Vista Acquisition Corp., Class A, expiring 12/31/2027(a) | | | 32,638 | | | | 24,635 | | | | 0.0 | | | | | |
North Atlantic Acquisition Corp., expiring 10/20/2025(a) | | | 32,410 | | | | 23,682 | | | | 0.0 | | | | | |
Pivotal Investment Corp. III, Class A, expiring 12/31/2027(a) | | | 21,826 | | | | 20,833 | | | | 0.0 | | | | | |
RMG Acquisition Corp. III, Class A, expiring 12/31/2027(a) | | | 3,068 | | | | 2,697 | | | | 0.0 | | | | | |
Social Leverage Acquisition Corp. I, Class A, expiring 12/31/2027(a) | | | 8,503 | | | | 7,057 | | | | 0.0 | | | | | |
Thunder Bridge Capital Partners III, Inc., Class A, expiring 02/15/2028(a) | | | 5,114 | | | | 4,246 | | | | 0.0 | | | | | |
TLG Acquisition One Corp., Class A, expiring 12/31/2027(a) | | | 32,387 | | | | 16,838 | | | | 0.0 | | | | | |
| | | | | | | | | | | | | | | | |
| | | | |
Total Warrants (cost $562,543) | | | | | | | 466,215 | | | | 0.1 | | | | | |
| | | | | | | | | | | | | | | | |
| |
Short-Term Investments | | | | | |
Investment Companies | | | | | |
AB Fixed Income Shares, Inc. - Government Money Market Portfolio - Class AB, 0.01%(b) (c) (d) (cost $37,499,000) | | | 37,499,000 | | | | 37,499,000 | | | | 3.7 | | | | | |
| | | | | | | | | | | | | | | | |
| | | | |
Total Investments
(cost $739,313,630)(e) | | | | | | | 969,180,186 | | | | 95.5 | | | | | |
| Other assets less liabilities | | | | | | | 45,931,280 | | | | 4.5 | | | | | |
| | | | | | | | | | | | | | | | |
| | | | |
Net Assets | | | | | | $ | 1,015,111,466 | | | | 100.0 | % | | | | |
| | | | | | | | | | | | | | | | |
2
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 | |
| Goldman Sachs & Co. | | | | | |
Arena Pharmaceuticals, Inc. | | | 1 Month SOFR Plus 0.35 | % | | | Maturity | | | | USD | | | | 2,820 | | | | 07/15/2025 | | | $ | 42,360 | |
Cerner Corp. | | | 1 Month SOFR Plus 0.35 | % | | | Maturity | | | | USD | | | | 3,407 | | | | 07/15/2025 | | | | 92,790 | |
Change Healthcare, Inc. | | | 1 Month SOFR Plus 0.35 | % | | | Maturity | | | | USD | | | | 4,577 | | | | 01/05/2023 | | | | (524,067 | ) |
CMC Materials, Inc. | | | 1 Month SOFR Plus 0.35 | % | | | Maturity | | | | USD | | | | 84 | | | | 07/15/2025 | | | | 3,263 | |
Coherent, Inc. | | | 1 Month SOFR Plus 0.35 | % | | | Maturity | | | | USD | | | | 5,052 | | | | 01/05/2023 | | | | 1,262,355 | |
DSP Group, Inc. | | | 1 Month SOFR Plus 0.35 | % | | | Maturity | | | | USD | | | | 1,457 | | | | 07/15/2025 | | | | 13,553 | |
Flagstar Bancorp, Inc. | | | 1 Month SOFR Plus 0.35 | % | | | Maturity | | | | USD | | | | 4,358 | | | | 07/15/2025 | | | | 174,175 | |
Forterra, Inc. | | | 1 Month SOFR Plus 0.35 | % | | | Maturity | | | | USD | | | | 3,265 | | | | 07/15/2025 | | | | 61,337 | |
GCP Applied Technologies, Inc. | | | 1 Month SOFR Plus 0.35 | % | | | Maturity | | | | USD | | | | 504 | | | | 07/15/2025 | | | | 5,273 | |
Mimecast, Ltd. | | | 1 Month SOFR Plus 0.35 | % | | | Maturity | | | | USD | | | | 1,465 | | | | 07/15/2025 | | | | 6,233 | |
Nuance Communications, Inc. | | | 1 Month SOFR Minus 0.35 | % | | | Maturity | | | | USD | | | | 4,939 | | | | 01/05/2023 | | | | 193,598 | |
Ortho Clinical Diagnostics Holdings PLC | | | 1 Month SOFR Plus 0.35 | % | | | Maturity | | | | USD | | | | 72 | | | | 07/15/2025 | | | | 1,419 | |
People’s United Financial, Inc. | | | 1 Month SOFR Plus 0.35 | % | | | Maturity | | | | USD | | | | 4,217 | | | | 07/15/2025 | | | | 35,696 | |
Sanne Group PLC | | | 1 Month SOFR Plus 0.35 | % | | | Maturity | | | | GBP | | | | 1,722 | | | | 07/15/2025 | | | | 17,415 | |
Shaw Communications, Inc. | | | 1 Month CDOR Plus 0.35 | % | | | Maturity | | | | CAD | | | | 6,346 | | | | 01/05/2023 | | | | 633,152 | |
Siltronic AG | | | 1 Month ESTR Plus 0.30 | % | | | Maturity | | | | EUR | | | | 4,137 | | | | 01/05/2023 | | | | 44,059 | |
Vifor Pharma AG | | | 1 Month SOFR Plus 0.35 | % | | | Maturity | | | | USD | | | | 122 | | | | 07/15/2025 | | | | 4,996 | |
Vivo Energy PLC | | | 1 Month SOFR Plus 0.35 | % | | | Maturity | | | | USD | | | | 1,458 | | | | 07/15/2025 | | | | 24,522 | |
Welbilt, Inc. | | | 1 Month SOFR Plus 0.35 | % | | | Maturity | | | | USD | | | | 4,859 | | | | 07/15/2025 | | | | 610,052 | |
| JPMorgan Chase Bank, NA | | | | | | | | | | | | | | | | | | | | | | | | |
Atotech, Ltd. | | | 1 Month OBFR Plus 0.40 | % | | | Maturity | | | | USD | | | | 3,786 | | | | 08/12/2022 | | | | 106,302 | |
BHP Group PLC | | | 1 Month SONIA Plus 0.35 | % | | | Maturity | | | | GBP | | | | 3,751 | | | | 08/12/2022 | | | | 444,549 | |
Blue Prism Group PLC | | | 1 Month SONIA Plus 0.35 | % | | | Maturity | | | | GBP | | | | 573 | | | | 08/12/2022 | | | | 16,553 | |
CIT Group, Inc. | | | 1 Month OBFR Plus 0.40 | % | | | Maturity | | | | USD | | | | 5,095 | | | | 08/12/2022 | | | | 30,340 | |
3
| | | | | | | | | | | | | | | | | | | | | | | | |
Counterparty &
Referenced Obligation | | Rate Paid/
Received | | | Payment
Frequency | | | Current
Notional
(000) | | | Maturity
Date | | | Unrealized
Appreciation/
(Depreciation) | |
Cominar Real Estate Investment Trust | | | 1 Month CDOR Plus 0.40 | % | | | Maturity | | | | CAD | | | | 2,163 | | | | 08/12/2022 | | | $ | 15,314 | |
CorePoint Lodging, Inc. | | | 1 Month OBFR Plus 0.40 | % | | | Maturity | | | | USD | | | | 1,356 | | | | 08/12/2022 | | | | 14,883 | |
CyrusOne, Inc. | | | 1 Month OBFR Plus 0.40 | % | | | Maturity | | | | USD | | | | 1,878 | | | | 08/12/2022 | | | | 24,797 | |
Ferro Corp. | | | 1 Month OBFR Plus 0.40 | % | | | Maturity | | | | USD | | | | 902 | | | | 08/12/2022 | | | | 12,557 | |
IHS Markit, Ltd. | | | 1 Month OBFR Plus 0.40 | % | | | Maturity | | | | USD | | | | 5,567 | | | | 08/12/2022 | | | | 1,787,714 | |
Itamar Medical, Ltd. | | | 1 Month OBFR Plus 0.40 | % | | | Maturity | | | | USD | | | | 1,244 | | | | 08/12/2022 | | | | 24,304 | |
McAfee Corp. | | | 1 Month OBFR Plus 0.40 | % | | | Maturity | | | | USD | | | | 1,785 | | | | 08/12/2022 | | | | 15,027 | |
NeoPhotonics Corp. | | | 1 Month OBFR Plus 0.40 | % | | | Maturity | | | | USD | | | | 2,491 | | | | 08/12/2022 | | | | 27,888 | |
PAE, Inc. | | | 1 Month OBFR Plus 0.40 | % | | | Maturity | | | | USD | | | | 2,296 | | | | 08/12/2022 | | | | 4,890 | |
PNM Resources, Inc. | | | 1 Month OBFR Plus 0.40 | % | | | Maturity | | | | USD | | | | 4,612 | | | | 08/12/2022 | | | | (390,856 | ) |
Reliant Bancorp, Inc. | | | 1 Month OBFR Plus 0.40 | % | | | Maturity | | | | USD | | | | 677 | | | | 08/12/2022 | | | | 130,853 | |
Rogers Corp. | | | 1 Month OBFR Plus 0.40 | % | | | Maturity | | | | USD | | | | 4,633 | | | | 08/12/2022 | | | | 47,995 | |
State Auto Financial Corp. | | | 1 Month OBFR Plus 0.40 | % | | | Maturity | | | | USD | | | | 2,127 | | | | 08/12/2022 | | | | 58,346 | |
Sumo Group PLC | | | 1 Month SONIA Plus 0.35 | % | | | Maturity | | | | GBP | | | | 1,910 | | | | 08/12/2022 | | | | 101,511 | |
Teekay LNG Partners LP | | | 1 Month OBFR Plus 0.40 | % | | | Maturity | | | | USD | | | | 2,454 | | | | 08/12/2022 | | | | (30,166 | ) |
TriState Capital Holdings, Inc. | | | 1 Month OBFR Plus 0.40 | % | | | Maturity | | | | USD | | | | 2,572 | | | | 08/12/2022 | | | | 20,410 | |
Vonage Holdings Corp. | | | 1 Month OBFR Plus 0.40 | % | | | Maturity | | | | USD | | | | 3,385 | | | | 08/12/2022 | | | | 35,016 | |
| Macquarie Bank, Ltd. | | | | | | | | | | | | | | | | | | | | | | | | |
MQCP736E(1) | | | 0.00 | % | | | Quarterly | | | | USD | | | | 16,166 | | | | 04/19/2022 | | | | 99,324 | |
| Morgan Stanley Capital Services, LLC | | | | | | | | | | | | | | | | | |
Aerojet Rocketdyne Holdings, Inc. | | | 1 Month FedFundEffective Plus 0.38 | % | | | Maturity | | | | USD | | | | 4,762 | | | | 10/18/2023 | | | | (434,439 | ) |
American National Group, Inc. | | | 1 Month FedFundEffective Plus 0.38 | % | | | Maturity | | | | USD | | | | 2,503 | | | | 10/18/2023 | | | | 5,777 | |
Athene Holding, Ltd. | | | 1 Month FedFundEffective Plus 0.38 | % | | | Maturity | | | | USD | | | | 5,463 | | | | 10/18/2023 | | | | 1,618,067 | |
Atlantic Capital Bancshares, Inc. | | | 1 Month FedFundEffective Plus 0.38 | % | | | Maturity | | | | USD | | | | 935 | | | | 10/18/2023 | | | | 140,514 | |
Avast PLC | | | 1 Month SONIA Plus 0.35 | % | | | Maturity | | | | GBP | | | | 3,339 | | | | 10/18/2023 | | | | 147,942 | |
Golden Nugget Online Gaming, Inc. | | | 1 Month FedFundEffective Plus 0.38 | % | | | Maturity | | | | USD | | | | 482 | | | | 10/18/2023 | | | | (410,336 | ) |
Great Western Bancorp, Inc. | | | 1 Month FedFundEffective Plus 0.38 | % | | | Maturity | | | | USD | | | | 1,362 | | | | 10/18/2023 | | | | 19,503 | |
GreenSky, Inc. | | | 1 Month FedFundEffective Plus 0.38 | % | | | Maturity | | | | USD | | | | 3,300 | | | | 10/18/2023 | | | | (59,795 | ) |
Intersect ENT, Inc. | | | 1 Month FedFundEffective Plus 0.38 | % | | | Maturity | | | | USD | | | | 3,267 | | | | 10/18/2023 | | | | (8,267 | ) |
Intertrust NV | | | 1 Month EURIBOR Plus 0.50 | % | | | Maturity | | | | EUR | | | | 652 | | | | 10/18/2023 | | | | 1,616 | |
4
| | | | | | | | | | | | | | | | | | | | | | | | |
Counterparty &
Referenced Obligation | | Rate Paid/
Received | | | Payment
Frequency | | | Current
Notional
(000) | | | Maturity
Date | | | Unrealized
Appreciation/
(Depreciation) | |
Investors Bancorp, Inc. | | | 1 Month FedFundEffective Plus 0.38 | % | | | Maturity | | | | USD | | | | 4,487 | | | | 10/18/2023 | | | $ | 132,187 | |
Itamar Medical, Ltd. | | | 1 Month FedFundEffective Plus 0.38 | % | | | Maturity | | | | USD | | | | 1,672 | | | | 10/18/2023 | | | | 39,027 | |
Kraton Corp. | | | 1 Month FedFundEffective Plus 0.38 | % | | | Maturity | | | | USD | | | | 2,186 | | | | 10/18/2023 | | | | 55,256 | |
Magellan Health, Inc. | | | 1 Month FedFundEffective Plus 0.38 | % | | | Maturity | | | | USD | | | | 4,211 | | | | 10/18/2023 | | | | 71,169 | |
Meggitt PLC | | | 1 Month SONIA Plus 0.35 | % | | | Maturity | | | | GBP | | | | 3,108 | | | | 10/18/2023 | | | | 30,909 | |
MGM Growth Properties LLC | | | 1 Month FedFundEffective Plus 0.38 | % | | | Maturity | | | | USD | | | | 34 | | | | 10/18/2023 | | | | 1,353 | |
MSUSABBD(2) | | | 0.00 | % | | | Quarterly | | | | USD | | | | 12,475 | | | | 06/15/2022 | | | | (36,549 | ) |
MSUSABDM(3) | | | 0.00 | % | | | Quarterly | | | | USD | | | | 35,689 | | | | 10/17/2022 | | | | (123,179 | ) |
MSUSABEE(4) | | | 0.00 | % | | | Quarterly | | | | USD | | | | 26,968 | | | | 06/15/2022 | | | | 112,528 | |
MSUSABEM(5) | | | 0.00 | % | | | Quarterly | | | | USD | | | | 42,339 | | | | 10/17/2022 | | | | 93,509 | |
MSUSABEQ(6) | | | 0.00 | % | | | Quarterly | | | | USD | | | | 17,287 | | | | 10/17/2022 | | | | 37,093 | |
Progenics Pharmaceuticals, Inc. | | | 1 Month FedFundEffective Plus 0.08 | % | | | Maturity | | | | USD | | | | 0 | ** | | | 10/18/2023 | | | | 0 | |
Sanderson Farms, Inc. | | | 1 Month FedFundEffective Plus 0.38 | % | | | Maturity | | | | USD | | | | 1,177 | | | | 10/18/2023 | | | | (26,742 | ) |
Sanne Group PLC | | | 1 Month SONIA Plus 0.54 | % | | | Maturity | | | | GBP | | | | 1,561 | | | | 10/18/2023 | | | | 15,581 | |
Suez SA | | | 1 Month EURIBOR Plus 0.50 | % | | | Maturity | | | | EUR | | | | 2,778 | | | | 10/18/2023 | | | | 19,079 | |
Terminix Global Holdings, Inc. | | | 1 Month FedFundEffective Plus 0.38 | % | | | Maturity | | | | USD | | | | 1,151 | | | | 10/18/2023 | | | | 18,987 | |
Triple-S Management Corp. | | | 1 Month FedFundEffective Plus 0.38 | % | | | Maturity | | | | USD | | | | 2,244 | | | | 10/18/2023 | | | | 37,860 | |
Ultra Electronics Holdings PLC | | | 1 Month SONIA Plus 0.54 | % | | | Maturity | | | | GBP | | | | 3,111 | | | | 10/18/2023 | | | | (161,657 | ) |
Veoneer, Inc. | | | 1 Month FedFundEffective Plus 0.38 | % | | | Maturity | | | | USD | | | | 4,631 | | | | 10/18/2023 | | | | 254,924 | |
Xilinx, Inc. | | | 1 Month FedFundEffective Plus 0.38 | % | | | Maturity | | | | USD | | | | 2,402 | | | | 10/18/2023 | | | | 1,044,697 | |
Pay Total Return on Reference Obligation | | | | | | | | | | | | | | | | | |
| Goldman Sachs & Co. | | | | | | | | | | | | | | | | | | | | | | | | |
Entegris, Inc. | | | 1 Month SOFR Minus 0.33 | % | | | Maturity | | | | USD | | | | 27 | | | | 07/15/2025 | | | | (1,325 | ) |
II-VI, Inc. | | | 1 Month SOFR Minus 0.31 | % | | | Maturity | | | | USD | | | | 1,179 | | | | 01/05/2023 | | | | (15,992 | ) |
M&T Bank Corp. | | | 1 Month SOFR Minus 0.32 | % | | | Maturity | | | | USD | | | | 4,289 | | | | 07/15/2025 | | | | 31,877 | |
New York Community Bancorp, Inc. | | | 1 Month SOFR Minus 0.30 | % | | | Maturity | | | | USD | | | | 4,457 | | | | 01/05/2023 | | | | 62,494 | |
Quidel Corp. | | | 1 Month SOFR Minus 0.32 | % | | | Maturity | | | | USD | | | | 48 | | | | 07/15/2025 | | | | 1,430 | |
| JPMorgan Chase Bank, NA | | | | | | | | | | | | | | | | | | | | | | | | |
BHP Billiton, Ltd. | | | 1 Month OBFR Minus 0.88 | % | | | Maturity | | | | USD | | | | 5,146 | | | | 08/12/2022 | | | | (445,727 | ) |
5
| | | | | | | | | | | | | | | | | | | | | | | | |
Counterparty &
Referenced Obligation | | Rate Paid/
Received | | | Payment
Frequency | | | Current
Notional
(000) | | | Maturity
Date | | | Unrealized
Appreciation/
(Depreciation) | |
First Citizens BancShares, Inc. | | | 1 Month OBFR Minus 0.40 | % | | | Maturity | | | | USD | | | | 5,104 | | | | 08/12/2022 | | | $ | (33,181 | ) |
MKS Instruments, Inc. | | | 1 Month OBFR Minus 0.40 | % | | | Maturity | | | | USD | | | | 1,426 | | | | 08/12/2022 | | | | (70,920 | ) |
Raymond James Financial, Inc. | | | 1 Month OBFR Minus 0.31 | % | | | Maturity | | | | USD | | | | 2,134 | | | | 08/12/2022 | | | | (22,715 | ) |
S&P Global, Inc. | | | 1 Month OBFR Minus 0.40 | % | | | Maturity | | | | USD | | | | 5,610 | | | | 08/12/2022 | | | | (1,707,972 | ) |
United Community Banks, Inc. | | | 1 Month OBFR Minus 0.40 | % | | | Maturity | | | | USD | | | | 675 | | | | 08/12/2022 | | | | (118,400 | ) |
| Morgan Stanley Capital Services, LLC | | | | | | | | | | | | | | | | | |
Advanced Micro Devices, Inc. | | | 1 Month FedFundEffective Minus 0.23 | % | | | Maturity | | | | USD | | | | 2,810 | | | | 10/18/2023 | | | | (1,201,104 | ) |
Apollo Global Management, Inc. | | | 1 Month FedFundEffective Minus 0.23 | % | | | Maturity | | | | USD | | | | 5,456 | | | | 10/18/2023 | | | | (1,257,855 | ) |
Citizens Financial Group, Inc. | | | 1 Month FedFundEffective Minus 0.23 | % | | | Maturity | | | | USD | | | | 4,156 | | | | 10/18/2023 | | | | (121,381 | ) |
DraftKings, Inc. | | | 1 Month FedFundEffective Minus 0.21 | % | | | Maturity | | | | USD | | | | 486 | | | | 10/18/2023 | | | | 435,814 | |
First Interstate BancSystem, Inc. | | | 1 Month FedFundEffective Minus 0.29 | % | | | Maturity | | | | USD | | | | 1,375 | | | | 10/18/2023 | | | | 14,424 | |
Goldman Sachs Group, Inc./The | | | 1 Month FedFundEffective Minus 0.29 | % | | | Maturity | | | | USD | | | | 3,334 | | | | 10/18/2023 | | | | 88,030 | |
NortonLifeLock, Inc. | | | 1 Month FedFundEffective Minus 0.29 | % | | | Maturity | | | | USD | | | | 431 | | | | 10/18/2023 | | | | (2,282 | ) |
Rentokil Initial PLC | | | 1 Month FedFundEffective Minus 0.26 | % | | | Maturity | | | | USD | | | | 1,069 | | | | 10/18/2023 | | | | (74,716 | ) |
SouthState Corp. | | | 1 Month FedFundEffective Minus 0.22 | % | | | Maturity | | | | USD | | | | 937 | | | | 10/18/2023 | | | | (108,598 | ) |
VICI Properties, Inc. | | | 1 Month FedFundEffective Minus 0.20 | % | | | Maturity | | | | USD | | | | 34 | | | | 10/18/2023 | | | | (268 | ) |
| | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | $ | 3,387,979 | |
| | | | | | | | | | | | | | | | | | | | | | | | |
| ** | Notional amount less than 500. |
| (a) | Non-income producing security. |
| (b) | Affiliated investments. |
| (c) | The rate shown represents the 7-day yield as of period end. |
| (d) | 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. |
| (e) | As of December 31, 2021, the cost basis of investment securities owned was substantially identical for both book and tax purposes. Gross unrealized appreciation of investments was $241,862,836 and gross unrealized depreciation of investments was $(8,608,301), resulting in net unrealized appreciation of $233,254,535. |
6
| * | The investment strategies and liquidity of the Underlying Portfolios in which the Fund invests are as follows: |
| | 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. The majority of the Underlying Portfolios are no longer subject to initial lockups. |
| | 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 two years. |
| | Long/Short Equity Underlying Portfolios seek to buy securities with the expectation that they will increase in value (“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. |
| | 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 90 day redemption notice periods. The majority of the Underlying Portfolios are no longer subject to initial lockups. |
| | 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
CNY – Chinese Yuan Renminbi
COP – Colombian Peso
CZK – Czech Koruna
EUR – Euro
GBP – Great British Pound
HUF – Hungarian Forint
IDR – Indonesian Rupiah
INR – Indian Rupee
JPY – Japanese Yen
KRW – South Korean Won
MXN – Mexican Peso
MYR – Malaysian Ringgit
NOK – Norwegian Krone
NZD – New Zealand Dollar
PEN – Peruvian Sol
PHP – Philippine Peso
PLN – Polish Zloty
RUB – Russian Ruble
SEK – Swedish Krona
THB – Thailand Baht
TRY – Turkish Lira
TWD – New Taiwan Dollar
USD – United States Dollar
ZAR – South African Rand
7
Glossary:
BIST – Borsa Istanbul Stock Exchange
CBT – Chicago Board of Trade
CDOR – Canadian Dealer Offered Rate
ESTR – Euro Short-Term Rate
ETS – Emission Trading Scheme
EURIBOR – Euro Interbank Offered Rate
FedFundEffective – Federal Funds Effective Rate
FTSE – Financial Times Stock Exchange
JSE – Johannesburg Stock Exchange
KC HRW – Kansas City Hard Red Winter
KLCI – Kuala Lumpur Composite Index
KOSPI – Korea Composite Stock Price Index
LME – London Metal Exchange
MSCI – Morgan Stanley Capital International
OBFR – Overnight Bank Funding Rate
OMXS – Stockholm Stock Exchange
OSE – Osaka Securities Exchange
RBOB – Reformulated Gasoline Blend-Stock for Oxygen Blending (Unleaded Gas)
RTS – Russian Trading System
SGX – Singapore Exchange
SOFR – Secured Overnight Financing Rate
SONIA – Sterling Overnight Index Average
SPI – Share Price Index
TOPIX – Tokyo Price Index
TSX – Toronto Stock Exchange
ULSD – Ultra-Low Sulfur Diesel
WIG – Warszawski Indeks Gieldowy
WTI – West Texas Intermediate
| | | | |
(1) The following table represents the (long/(short)) futures basket holdings underlying the total return swap in MQCP736E as of December 31, 2021. |
| | | | | | | | |
| Security Description | | Current Notional | | | Percent of
Basket’s Value | |
| Soybean Futures 05/2022 | | USD | 856,983 | | | | 5.3% | |
| Lean Hogs Futures 04/2022 | | | 842,209 | | | | 5.2% | |
| Cattle Feeder Futures 03/2022 | | | (727,804 | ) | | | (4.5)% | |
| Coffee ‘C’ Futures 05/2022 | | | (694,195 | ) | | | (4.3)% | |
| Live Cattle Futures 04/2022 | | | (685,137 | ) | | | (4.2)% | |
| LME Copper Futures 02/2022 | | | 657,843 | | | | 4.1% | |
| NY Harbor ULSD Futures 03/2022 | | | (470,113 | ) | | | (2.9)% | |
| LME Lead Futures 02/2022 | | | 463,355 | | | | 2.9% | |
| Silver Futures 03/2022 | | | 419,008 | | | | 2.6% | |
| Soybean Oil Futures 05/2022 | | | (359,554 | ) | | | (2.2)% | |
| Palladium Futures 03/2022 | | | (337,408 | ) | | | (2.1)% | |
| Gold 100 Oz. Futures 02/2022 | | | (295,404 | ) | | | (1.8)% | |
| Gasoline RBOB Futures 03/2022 | | | 289,749 | | | | 1.8% | |
| Brent Crude Futures 04/2022 | | | 289,327 | | | | 1.8% | |
| LME Primary Aluminum Futures 02/2022 | | | (288,533 | ) | | | (1.8)% | |
| Platinum Futures 04/2022 | | | 288,484 | | | | 1.8% | |
| Wheat Futures (CBT) 05/2022 | | | (287,166 | ) | | | (1.8)% | |
| KC HRW Wheat Futures 05/2022 | | | (284,993 | ) | | | (1.8)% | |
| Low Sulphur Gasoil Futures 03/2022 | | | 239,723 | | | | 1.5% | |
| LME Nickel Futures 02/2022 | | | 229,063 | | | | 1.4% | |
| Cotton No. 2 Futures 05/2022 | | | 201,605 | | | | 1.2% | |
| Corn Futures 05/2022 | | | (177,653 | ) | | | (1.1)% | |
| WTI Crude Futures 03/2022 | | | (172,126 | ) | | | (1.1)% | |
| LME Zinc Futures 02/2022 | | | (142,285 | ) | | | (0.9)% | |
| Cocoa Futures 05/2022 | | | 105,232 | | | | 0.7% | |
| Soybean Meal Futures 05/2022 | | | 42,233 | | | | 0.3% | |
| Natural Gas Futures 04/2022 | | | 27,864 | | | | 0.2% | |
| Sugar #11 (World) Futures 05/2022 | | | (21,202 | ) | | | (0.1)% | |
8
(2) The following table represents the (long/(short)) futures basket holdings underlying the total return swap in MSUSABBD as of December 31, 2021.
| | | | | | | | |
| Security Description | | Current Notional | | | Percent of
Basket’s Value | |
| U.S. T-Note 10 Yr (CBT) Futures 03/2022 | | | USD (2,625,913 | ) | | | (21.1)% | |
| Australian 10 Yr Bond Futures 03/2022 | | | 1,374,706 | | | | 11.0% | |
| Japan 10 Yr Bond (OSE) Futures 03/2022 | | | 936,846 | | | | 7.5% | |
| Long Gilt Futures 03/2022 | | | 743,489 | | | | 6.0% | |
| Canadian 10 Yr Bond Futures 03/2022 | | | (508,966 | ) | | | (4.1)% | |
| Euro-Bund Futures 03/2022 | | | 441,603 | | | | 3.5% | |
(3) The following table represents the (long/(short)) forwards basket holdings underlying the total return swap in MSUSABDM as of December 31, 2021.
| | | | | | | | |
| Security Description | | Current Notional | | | Percent of
Basket’s Value | |
| SEK/USD 01/31/2022 | | | USD 5,132,119 | | | | 14.4% | |
| NZD/USD 01/31/2022 | | | (4,346,955 | ) | | | (12.2)% | |
| CAD/USD 01/31/2022 | | | 4,332,679 | | | | 12.1% | |
| AUD/USD 01/31/2022 | | | (2,198,460 | ) | | | (6.2)% | |
| JPY/USD 01/31/2022 | | | (1,691,672 | ) | | | (4.7)% | |
| EUR/USD 01/31/2022 | | | (1,274,108 | ) | | | (3.6)% | |
| CHF/USD 01/31/2022 | | | (1,052,834 | ) | | | (3.0)% | |
| NOK/USD 01/31/2022 | | | 417,565 | | | | 1.2% | |
| GBP/USD 01/31/2022 | | | (367,600 | ) | | | (1.0)% | |
(4) The following table represents the (long/(short)) futures basket holdings underlying the total return swap in MSUSABEE as of December 31, 2021.
| | | | | | | | |
| Security Description | | Current Notional | | | Percent of
Basket’s Value | |
| SGX Nifty 50 Futures 01/2022 | | | USD (1,898,571 | ) | | | (7.0)% | |
| WIG 20 Index Futures 03/2022 | | | (1,310,661 | ) | | | (4.9)% | |
| Set50 Futures 03/2022 | | | 1,210,879 | | | | 4.5% | |
| KOSPI2 Index Futures 03/2022 | | | 1,186,607 | | | | 4.4% | |
| FTSE China A50 Index Futures 01/2022 | | | (1,167,729 | ) | | | (4.3)% | |
| FTSE Taiwan Index Futures 01/2022 | | | 1,003,222 | | | | 3.7% | |
| FTSE/JSE Top 40 Futures 03/2022 | | | 898,046 | | | | 3.3% | |
| FTSE KLCI Futures 01/2022 | | | 423,403 | | | | 1.6% | |
| Mexican Bolsa Index Futures 03/2022 | | | (418,009 | ) | | | (1.6)% | |
| RTS Index Futures 03/2022 | | | 275,077 | | | | 1.0% | |
| MSCI Russia Index Futures | | | (272,380 | ) | | | (1.0)% | |
| iBovespa Index Futures 02/2022 | | | 194,172 | | | | 0.7% | |
| BIST 30 Futures 02/2022 | | | (2,697 | ) | | | 0.0% | |
(5) The following table represents the (long/(short)) forwards basket holdings underlying the total return swap in MSUSABEM as of December 31, 2021.
| | | | | | | | |
| Security Description | | Current Notional | | | Percent of
Basket’s Value | |
| COP/USD 01/31/2022 | | | USD (2,184,701 | ) | | | (5.2)% | |
| MYR/USD 01/31/2022 | | | 1,812,116 | | | | 4.3% | |
| BRL/USD 01/31/2022 | | | 1,752,841 | | | | 4.1% | |
| PEN/USD 01/31/2022 | | | (1,723,204 | ) | | | (4.1)% | |
| THB/USD 01/31/2022 | | | (1,718,970 | ) | | | (4.1)% | |
| ZAR/USD 01/31/2022 | | | (1,608,888 | ) | | | (3.8)% | |
| PHP/USD 01/31/2022 | | | 1,562,315 | | | | 3.7% | |
| HUF/USD 01/31/2022 | | | 1,545,379 | | | | 3.7% | |
| CZK/USD 01/31/2022 | | | (1,367,555 | ) | | | (3.2)% | |
| KRW/USD 01/28/2022 | | | 825,614 | | | | 2.0% | |
| CLP/USD 01/31/2022 | | | 715,532 | | | | 1.7% | |
| TWD/USD 01/28/2022 | | | (609,684 | ) | | | (1.4)% | |
| PLN/USD 01/31/2022 | | | 580,046 | | | | 1.4% | |
| MXN/USD 01/31/2022 | | | 554,643 | | | | 1.3% | |
| IDR/USD 01/31/2022 | | | (431,859 | ) | | | (1.0)% | |
| RUB/USD 01/31/2022 | | | 414,924 | | | | 1.0% | |
| INR/USD 01/31/2022 | | | (29,637 | ) | | | (0.1)% | |
| CNY/USD 01/28/2022 | | | (4,234 | ) | | | (0.0)% | |
| TRY/USD 01/31/2022 | | | 4,234 | | | | 0.0% | |
9
(6) The following table represents the 50 largest (long/(short)) futures basket holdings underlying the total return swap in MSUSABEQ as of December 31, 2021.
| | | | | | | | |
| Security Description | | Current Notional | | | Percent of
Basket’s Value | |
| S&P/TSX 60 Index Futures 03/2022 | | | USD (2,102,120 | ) | | | (12.2)% | |
| TOPIX Index Futures 03/2022 | | | 1,835,897 | | | | 10.6% | |
| SPI 200 Futures 03/2022 | | | 1,633,638 | | | | 9.5% | |
| Hang Seng Index Futures 01/2022 | | | (1,376,059 | ) | | | (8.0)% | |
| Euro STOXX 50 Index Futures 03/2022 | | | 968,081 | | | | 5.6% | |
| OMXS 30 Index Futures 01/2022 | | | (933,507 | ) | | | (5.4)% | |
| FTSE 100 Index Futures 03/2022 | | | 639,625 | | | | 3.7% | |
| S&P 500 E-Mini Futures 03/2022 | | | (414,892 | ) | | | (2.4)% | |
| Swiss Market Index Futures 03/2022 | | | (240,292 | ) | | | (1.4)% | |
| MSCI Singapore IX ETS Futures 01/2022 | | | (200,531 | ) | | | (1.2)% | |
10
AB Multi-Manager Alternative Fund
December 31, 2021 (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) |
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 is 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.
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.
Valuations reflected in this report are as of the report date. As a result, changes in valuation due to market events and/or issuer related events after the report date and prior to the issuance of the report are not reflected herein.
11
The following table summarizes the valuation of the Fund’s investments by the above fair value hierarchy levels as of December 31, 2021:
| | | | | | | | | | | | | | | | |
Investments in Securities: | | Level 1 | | | Level 2 | | | Level 3 | | | Total | |
| Assets: | |
| Common Stocks | | $ | 19,964,637 | | | $ | — | | | $ | — | | | $ | 19,964,637 | |
| Warrants | | | 466,215 | | | | — | | | | — | | | | 466,215 | |
| Short-Term Investments | | | 37,499,000 | | | | — | | | | — | | | | 37,499,000 | |
| Investments valued at NAV | | | | | | | | | | | | | | | 911,250,334 | |
| | | | | | | | | | | | | | | | |
| Total Investments in Securities | | | 57,929,852 | | | | — | | | | — | | | | 969,180,186 | |
| Other Financial Instruments(a): | | | | | | | | | | | | | | | | |
| Assets: | |
| Total Return Swaps | | | — | | | | 10,776,468 | | | | — | | | | 10,776,468 | |
| Liabilities: | |
| Total Return Swaps | | | — | | | | (7,388,489 | ) | | | — | | | | (7,388,489 | ) |
| | | | | | | | | | | | | | | | |
| Total | | $ | 57,929,852 | | | $ | 3,387,979 | | | $ | — | | | $ | 972,568,165 | |
| | | | | | | | | | | | | | | | |
| (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. |
A summary of the Fund’s transactions in AB mutual funds for the nine months ended December 31, 2021 is as follows:
| | | | | | | | | | | | | | | | | | | | |
| Fund | | Market Value 03/31/2021 (000) | | | Purchases at Cost (000) | | | Sales Proceeds (000) | | | Market Value 12/31/2021 (000) | | | Dividend Income (000) | |
| Government Money Market Portfolio | | $ | 28,399 | | | $ | 133,700 | | | $ | 124,600 | | | $ | 37,499 | | | $ | 4 | |
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