AB Multi-Manager Alternative Fund
Consolidated Portfolio of Investments
June 30, 2022 (unaudited)
| | | | | | | | | | | | | | | | |
| Underlying Portfolios | | Shares | | | Fair Value ($) | | | % Net
Assets | | | Liquidity* | |
| | | | |
Multi-Strategy | | | | | | | | | | | | | | | | |
Elliott International Limited | | | 48,511 | | | $ | 96,746,620 | | | | 9.4 | % | | | Quarterly | |
Hudson Bay International Fund, Ltd. | | | 54,803 | | | | 54,968,673 | | | | 5.4 | | | | Quarterly | |
LMR Fund Limited | | | 206,673 | | | | 46,514,903 | | | | 4.5 | | | | Quarterly | |
Millennium International, Ltd. | | | 7,000 | | | | 7,424,350 | | | | 0.7 | | | | Quarterly | |
Myriad Opportunities Offshore Fund Limited | | | 32 | | | | 0 | | | | 0.0 | | | | At Fund’s Discretion | |
Point72 Capital International, Ltd. | | | 420,000 | | | | 43,919,960 | | | | 4.3 | | | | Quarterly | |
Schonfeld Strategic Partners Offshore Fund, Ltd. | | | 39,700 | | | | 55,952,792 | | | | 5.4 | | | | Monthly | |
| | | | | | | | | | | | | | | | |
Total | | | | | | | 305,527,298 | | | | 29.7 | | | | | |
| | | | | | | | | | | | | | | | |
| | | | |
Global Macro | | | | | | | | | | | | | | | | |
Alphadyne International Fund, Ltd. | | | 38,194 | | | | 47,215,066 | | | | 4.6 | | | | Quarterly | |
Brevan Howard Alpha Strategies Fund Limited | | | 483,136 | | | | 55,580,731 | | | | 5.4 | | | | Quarterly | |
Brevan Howard AS Macro Fund Limited | | | 179,206 | | | | 22,210,793 | | | | 2.2 | | | | Monthly | |
Capula Tactical Macro Fund Limited | | | 170,000 | | | | 16,460,306 | | | | 1.6 | | | | Monthly | |
John Street Systematic Fund Limited | | | 129,970 | | | | 29,263,867 | | | | 2.9 | | | | Monthly | |
Pharo Macro Fund, Ltd. | | | 5,995 | | | | 24,763,266 | | | | 2.4 | | | | Quarterly | |
The Tudor BVI Global Fund, Ltd. | | | 4,327 | | | | 74,380,342 | | | | 7.2 | | | | Quarterly | |
| | | | | | | | | | | | | | | | |
Total | | | | | | | 269,874,371 | | | | 26.3 | | | | | |
| | | | | | | | | | | | | | | | |
| | | | |
Long/Short Equity | | | | | | | | | | | | | | | | |
Coatue Offshore Fund, Ltd. | | | 95,477 | | | | 32,184,832 | | | | 3.1 | | | | Quarterly | |
Janchor Partners Pan-Asian Fund | | | 170,721 | | | | 22,540,080 | | | | 2.2 | | | | Triennially | |
Nokota LC, LLC | | | 1,166 | | | | 235,747 | | | | 0.0 | | | | At Fund’s Discretion | |
PFM Healthcare Offshore Fund, Ltd. | | | 344 | | | | 231,902 | | | | 0.0 | | | | At Fund’s Discretion | |
Schonfeld Fundamental Equity Offshore Fund, Ltd. | | | 39,203 | | | | 53,875,371 | | | | 5.3 | | | | Quarterly | |
The Children’s Investment Fund | | | 116,611 | | | | 22,347,371 | | | | 2.2 | | | | Biennial | |
Think Investments Offshore, Ltd. | | | 17,535 | | | | 40,944,175 | | | | 4.0 | | | | Semi-Annual | |
Two Creeks Capital Offshore Fund, Ltd. | | | 21,269 | | | | 35,173,587 | | | | 3.4 | | | | Quarterly | |
| | | | | | | | | | | | | | | | |
Total | | | | | | | 207,533,065 | | | | 20.2 | | | | | |
| | | | | | | | | | | | | | | | |
| | | | |
Event Driven | | | | | | | | | | | | | | | | |
Antara Capital Offshore Fund, Ltd. | | | 31,848 | | | | 27,727,500 | | | | 2.7 | | | | Quarterly | |
Indaba Capital Partners (Cayman), L.P. | | | 25,248 | | | | 31,317,088 | | | | 3.1 | | | | Quarterly | |
Lion Point International, Ltd. | | | 10,730 | | | | 13,943,987 | | | | 1.4 | | | | Semi-Annual | |
Luxor Capital Partners Offshore Liquidating SPV, Ltd. | | | 2,317 | | | | 2,332,306 | | | | 0.2 | | | | At Fund’s Discretion | |
Senator Global Opportunity Offshore Fund II, Ltd. | | | 18,521 | | | | 21,859,403 | | | | 2.1 | | | | Quarterly | |
Senator Global Opportunity Offshore Fund, Ltd. | | | 11,871 | | | | 13,680,287 | | | | 1.3 | | | | Quarterly | |
| | | | | | | | | | | | | | | | |
Total | | | | | | | 110,860,571 | | | | 10.8 | | | | | |
| | | | | | | | | | | | | | | | |
| | | | |
Credit/Distressed | | | | | | | | | | | | | | | | |
King Street Capital, Ltd. | | | 21,012 | | | | 2,401,665 | | | | 0.2 | | | | At Fund’s Discretion | |
LMR CCSA Fund Limited | | | 185,763 | | | | 20,460,412 | | | | 2.0 | | | | Quarterly | |
Theorem Prime+ Yield Fund Offshore LP | | | 10,000 | | | | 10,000,000 | | | | 1.0 | | | | Quarterly | |
| | | | | | | | | | | | | | | | |
Total | | | | | | | 32,862,077 | | | | 3.2 | | | | | |
| | | | | | | | | | | | | | | | |
| | | | |
Total Underlying Portfolios
(cost $723,822,720) | | | | | | | 926,657,382 | | | | 90.2 | | | | | |
| | | | | | | | | | | | | | | | |
| | | | |
Common Stocks | | | | | | | | | | | | | | | | |
Special Purpose Acquisition Company | | | | | | | | | | | | | | | | |
BlueRiver Acquisition Corp. - Class A(a) | | | 100,000 | | | | 983,000 | | | | 0.1 | | | | | |
Churchill Capital Corp. VII - Class A(a) | | | 24,402 | | | | 238,408 | | | | 0.0 | | | | | |
Climate Real Impact Solutions II Acquisition Corp. - Class A(a) | | | 57,556 | | | | 565,776 | | | | 0.1 | | | | | |
1
| | | | | | | | | | | | | | | | |
| Company | | Shares | | | Fair Value ($) | | | % Net
Assets | | | | |
| | | | |
Compute Health Acquisition Corp. - Class A(a) | | | 100,000 | | | $ | 981,000 | | | | 0.1 | % | | | | |
Constellation Acquisition Corp. I - Class A(a) | | | 45,223 | | | | 444,542 | | | | 0.0 | | | | | |
D & Z Media Acquisition Corp. - Class A(a) | | | 15,000 | | | | 147,150 | | | | 0.0 | | | | | |
DiamondHead Holdings Corp. - Class A(a) | | | 51,562 | | | | 506,854 | | | | 0.1 | | | | | |
Elliott Opportunity II Corp. - Class A(a) | | | 535,800 | | | | 5,207,976 | | | | 0.5 | | | | | |
EQ Health Acquisition Corp. - Class A(a) | | | 93,458 | | | | 918,692 | | | | 0.1 | | | | | |
Hudson Executive Investment Corp. II(a) | | | 97,230 | | | | 956,743 | | | | 0.1 | | | | | |
Kernel Group Holdings, Inc. - Class A(a) | | | 50,000 | | | | 491,000 | | | | 0.1 | | | | | |
Lazard Growth Acquisition Corp. I(a) | | | 110,655 | | | | 1,082,206 | | | | 0.1 | | | | | |
Music Acquisition Corp. (The) - Class A(a) | | | 76,500 | | | | 749,700 | | | | 0.1 | | | | | |
New Vista Acquisition Corp. - Class A(a) | | | 97,916 | | | | 961,535 | | | | 0.1 | | | | | |
Pivotal Investment Corp. III - Class A(a) | | | 109,130 | | | | 1,070,565 | | | | 0.1 | | | | | |
RMG Acquisition Corp. III - Class A(a) | | | 15,344 | | | | 150,985 | | | | 0.0 | | | | | |
Social Leverage Acquisition Corp. I - Class A(a) | | | 34,012 | | | | 334,338 | | | | 0.0 | | | | | |
Thunder Bridge Capital Partners III, Inc. - Class A(a) | | | 25,572 | | | | 250,861 | | | | 0.0 | | | | | |
TLG Acquisition One Corp. - Class A(a) | | | 97,161 | | | | 952,178 | | | | 0.1 | | | | | |
| | | | | | | | | | | | | | | | |
| | | | |
Total Common Stocks
(cost $16,878,961) | | | | | | | 16,993,509 | | | | 1.7 | | | | | |
| | | | | | | | | | | | | | | | |
| | | | |
Warrants | | | | | | | | | | | | | | | | |
Special Purpose Acquisition Company | | | | | | | | | | | | | | | | |
BlueRiver Acquisition Corp. - Class A, expiring 01/04/2026(a) | | | 33,333 | | | | 3,333 | | | | 0.0 | | | | | |
Churchill Capital Corp. VII, expiring 02/29/2028(a) | | | 4,887 | | | | 1,699 | | | | 0.0 | | | | | |
Climate Real Impact Solutions II Acquisition Corp. , expiring 12/31/2027(a) | | | 11,511 | | | | 1,957 | | | | 0.0 | | | | | |
Compute Health Acquisition Corp. - Class A, expiring 12/31/2027(a) | | | 25,000 | | | | 5,500 | | | | 0.0 | | | | | |
Constellation Acquisition Corp. I - Class A, expiring 12/31/2027(a) | | | 15,074 | | | | 1,966 | | | | 0.0 | | | | | |
D & Z Media Acquisition Corp. - Class A, expiring 12/31/2027(a) | | | 5,000 | | | | 500 | | | | 0.0 | | | | | |
DiamondHead Holdings Corp. - Class A, expiring 01/28/2028(a) | | | 12,890 | | | | 1,289 | | | | 0.0 | | | | | |
Elliott Opportunity II Corp. , expiring 02/19/2023(a) | | | 133,950 | | | | 34,894 | | | | 0.0 | | | | | |
EQ Health Acquisition Corp. - Class A, expiring 02/02/2028(a) | | | 46,729 | | | | 4,397 | | | | 0.0 | | | | | |
Hudson Executive Investment Corp. II, expiring 01/31/2027(a) | | | 24,307 | | | | 4,857 | | | | 0.0 | | | | | |
Kernel Group Holdings, Inc. - Class A, expiring 01/31/2027(a) | | | 25,000 | | | | 2,623 | | | | 0.0 | | | | | |
Lazard Growth Acquisition Corp. I, expiring 12/31/2027(a) | | | 22,131 | | | | 5,533 | | | | 0.0 | | | | | |
Music Acquisition Corp. (The) - Class A, expiring 02/05/2028(a) | | | 38,250 | | | | 3,404 | | | | 0.0 | | | | | |
New Vista Acquisition Corp. - Class A, expiring 12/31/2027(a) | | | 32,638 | | | | 3,623 | | | | 0.0 | | | | | |
Pivotal Investment Corp. III - Class A, expiring 12/31/2027(a) | | | 21,826 | | | | 2,429 | | | | 0.0 | | | | | |
RMG Acquisition Corp. III - Class A, expiring 12/31/2027(a) | | | 3,068 | | | | 245 | | | | 0.0 | | | | | |
Social Leverage Acquisition Corp. I - Class A, expiring 12/31/2027(a) | | | 8,503 | | | | 1,276 | | | | 0.0 | | | | | |
Thunder Bridge Capital Partners III, Inc. - Class A, expiring 02/15/2028(a) | | | 5,114 | | | | 1,176 | | | | 0.0 | | | | | |
TLG Acquisition One Corp. - Class A, expiring 12/31/2027(a) | | | 32,387 | | | | 2,591 | | | | 0.0 | | | | | |
| | | | | | | | | | | | | | | | |
| | | | |
Total Warrants
(cost $488,604) | | | | | | | 83,292 | | | | 0.0 | | | | | |
| | | | | | | | | | | | | | | | |
| | | | |
Short-Term Investments | | | | | | | | | | | | | | | | |
Investment Companies | | | | | | | | | | | | | | | | |
AB Fixed Income Shares, Inc. - Government Money Market Portfolio - Class AB, 1.30%(b) (c) (d)
(cost $78,374,336) | | | 78,374,336 | | | | 78,374,336 | | | | 7.6 | | | | | |
| | | | | | | | | | | | | | | | |
| | | | |
Total Investments
(cost $819,564,621)(e) | | | | | | | 1,022,108,519 | | | | 99.5 | | | | | |
Other assets less liabilities | | | | | | | 5,362,902 | | | | 0.5 | | | | | |
| | | | | | | | | | | | | | | | |
| | | | |
Net Assets | | | | | | $ | 1,027,471,421 | | | | 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 International | | | | | |
Activision Blizzard, Inc. | | | 1 Month SOFR Plus 0.35 | % | | | Maturity | | | | USD | | | | 292 | | | | 07/15/2025 | | | $ | (292,203 | ) |
American Campus Communities | | | 1 Month SOFR Plus 0.35 | % | | | Maturity | | | | USD | | | | 2 | | | | 07/15/2025 | | | | (2,028 | ) |
Change Healthcare, Inc. | | | 1 Month SOFR Plus 0.35 | % | | | Maturity | | | | USD | | | | 138 | | | | 01/05/2023 | | | | (137,689 | ) |
CMC Materials, Inc. | | | 1 Month SOFR Plus 0.35 | % | | | Maturity | | | | USD | | | | 196 | | | | 07/15/2025 | | | | (195,817 | ) |
Coherent, Inc. | | | 1 Month SOFR Plus 0.35 | % | | | Maturity | | | | USD | | | | 1,001 | | | | 01/05/2023 | | | | 1,000,602 | |
EMIS Group PLC | | | 1 Month SONIA Plus 0.35 | % | | | Maturity | | | | GBP | | | | 0 | ** | | | 07/15/2025 | | | | 256 | |
Flagstar Bancorp, Inc. | | | 1 Month SOFR Plus 0.35 | % | | | Maturity | | | | USD | | | | 878 | | | | 07/15/2025 | | | | (878,173 | ) |
GCP Applied Technologies | | | 1 Month SOFR Plus 0.35 | % | | | Maturity | | | | USD | | | | 1 | | | | 07/15/2025 | | | | 587 | |
PS Business Parks, Inc. | | | 1 Month SOFR Plus 0.35 | % | | | Maturity | | | | USD | | | | 0 | ** | | | 07/15/2025 | | | | (88 | ) |
Sanne Group PLC | | | 1 Month SONIA Plus 0.35 | % | | | Maturity | | | | GBP | | | | 9 | | | | 07/15/2025 | | | | 11,081 | |
Shaw Communications, Inc. | | | 1 Month CDOR Plus 0.35 | % | | | Maturity | | | | CAD | | | | 738 | | | | 01/05/2023 | | | | 572,166 | |
Umpqua Holdings Corp. | | | 1 Month SOFR Plus 0.35 | % | | | Maturity | | | | USD | | | | 758 | | | | 07/15/2025 | | | | (757,789 | ) |
Vivo Energy PLC | | | 1 Month SOFR Plus 0.35 | % | | | Maturity | | | | USD | | | | 8 | | | | 07/15/2025 | | | | 7,952 | |
Welbilt, Inc. | | | 1 Month SOFR Plus 0.35 | % | | | Maturity | | | | USD | | | | 620 | | | | 07/15/2025 | | | | 619,596 | |
Zendesk, Inc. | | | 1 Month SOFR Plus 0.35 | % | | | Maturity | | | | USD | | | | 5 | | | | 07/15/2025 | | | | (5,422 | ) |
| JPMorgan Chase Bank, NA | |
Alleghany Corp. | | | 1 Month OBFR Plus 0.40 | % | | | Maturity | | | | USD | | | | 11 | | | | 08/12/2022 | | | | (11,060 | ) |
Atotech, Ltd. | | | 1 Month OBFR Plus 0.40 | % | | | Maturity | | | | USD | | | | 801 | | | | 08/12/2022 | | | | (801,063 | ) |
Biohaven Pharmaceutical Holding Co., Ltd. | | | 1 Month OBFR Plus 0.40 | % | | | Maturity | | | | USD | | | | 116 | | | | 08/12/2022 | | | | 115,791 | |
Black Knight, Inc. | | | 1 Month OBFR Plus 0.40 | % | | | Maturity | | | | USD | | | | 202 | | | | 08/12/2022 | | | | (202,019 | ) |
Catchmark Timber Trust, Inc. | | | 1 Month OBFR Plus 0.40 | % | | | Maturity | | | | USD | | | | 24 | | | | 08/12/2022 | | | | (24,418 | ) |
3
| | | | | | | | | | | | | | | | | | | | | | | | |
Counterparty &
Referenced Obligation | | Rate Paid/
Received | | | Payment
Frequency | | | Current
Notional
(000) | | | Maturity
Date | | | Unrealized
Appreciation/
(Depreciation) | |
Contourglobal PLC | | | 1 Month SONIA Plus 0.35 | % | | | Maturity | | | | GBP | | | | 0 | ** | | | 08/12/2022 | | | $ | 20 | |
Cornerstone Building Brands | | | 1 Month OBFR Plus 0.40 | % | | | Maturity | | | | USD | | | | 12 | | | | 08/12/2022 | | | | 12,243 | |
Duke Realty Corp. | | | 1 Month OBFR Plus 0.40 | % | | | Maturity | | | | USD | | | | 309 | | | | 08/12/2022 | | | | 308,762 | |
First Horizon Corp. | | | 1 Month OBFR Plus 0.40 | % | | | Maturity | | | | USD | | | | 281 | | | | 08/12/2022 | | | | (281,385 | ) |
Healthcare Trust of America | | | 1 Month OBFR Plus 0.40 | % | | | Maturity | | | | USD | | | | 470 | | | | 08/12/2022 | | | | (470,054 | ) |
Hibernia REIT PLC | | | 1 Month ESTR Plus 0.30 | % | | | Maturity | | | | EUR | | | | 11 | | | | 08/12/2022 | | | | (11,693 | ) |
Homeserve PLC | | | 1 Month SONIA Plus 0.35 | % | | | Maturity | | | | GBP | | | | 14 | | | | 08/12/2022 | | | | 16,849 | |
Ideagen PLC | | | 1 Month SONIA Plus 0.35 | % | | | Maturity | | | | GBP | | | | 4 | | | | 08/12/2022 | | | | 4,637 | |
Leovegas AB | | | 1 Month STIBOR Plus 0.35 | % | | | Maturity | | | | SEK | | | | 90 | | | | 08/12/2022 | | | | 8,766 | |
LHC Group, Inc. | | | 1 Month OBFR Plus 0.40 | % | | | Maturity | | | | USD | | | | 321 | | | | 08/12/2022 | | | | (320,505 | ) |
Mandiant, Inc. | | | 1 Month OBFR Plus 0.40 | % | | | Maturity | | | | USD | | | | 51 | | | | 08/12/2022 | | | | (51,032 | ) |
Menzies (John) PLC | | | 1 Month SONIA Plus 0.35 | % | | | Maturity | | | | GBP | | | | 2 | | | | 08/12/2022 | | | | (1,921 | ) |
Meritor, Inc. | | | 1 Month OBFR Plus 0.40 | % | | | Maturity | | | | USD | | | | 88 | | | | 08/12/2022 | | | | 88,004 | |
Neophotonics Corp. | | | 1 Month OBFR Plus 0.40 | % | | | Maturity | | | | USD | | | | 115 | | | | 08/12/2022 | | | | 114,725 | |
Nielsen Holdings PLC | | | 1 Month OBFR Plus 0.40 | % | | | Maturity | | | | USD | | | | 253 | | | | 08/12/2022 | | | | (252,924 | ) |
Plantronics, Inc. | | | 1 Month OBFR Plus 0.40 | % | | | Maturity | | | | USD | | | | 11 | | | | 08/12/2022 | | | | 10,697 | |
PNM Resources, Inc. | | | 1 Month OBFR Plus 0.40 | % | | | Maturity | | | | USD | | | | 146 | | | | 08/12/2022 | | | | (146,335 | ) |
Rogers Corp. | | | 1 Month OBFR Plus 0.40 | % | | | Maturity | | | | USD | | | | 148 | | | | 08/12/2022 | | | | (148,238 | ) |
Sailpoint Technologies Holdings, Inc. | | | 1 Month OBFR Plus 0.40 | % | | | Maturity | | | | USD | | | | 21 | | | | 08/12/2022 | | | | (21,279 | ) |
Sierra Oncology, Inc. | | | 1 Month OBFR Plus 0.40 | % | | | Maturity | | | | USD | | | | 24 | | | | 08/12/2022 | | | | 24,389 | |
Silicon Motion Technology | | | 1 Month OBFR Plus 0.40 | % | | | Maturity | | | | USD | | | | 364 | | | | 08/12/2022 | | | | (364,331 | ) |
South Jersey Industries, Inc. | | | 1 Month OBFR Plus 0.40 | % | | | Maturity | | | | USD | | | | 33 | | | | 08/12/2022 | | | | 32,882 | |
4
| | | | | | | | | | | | | | | | | | | | | | | | |
Counterparty &
Referenced Obligation | | Rate Paid/
Received | | | Payment
Frequency | | | Current
Notional
(000) | | | Maturity
Date | | | Unrealized
Appreciation/
(Depreciation) | |
Swedish Match AB | | | 1 Month STIBOR Plus 0.35 | % | | | Maturity | | | | SEK | | | | 566 | | | | 08/12/2022 | | | $ | 55,206 | |
Tenneco, Inc. | | | 1 Month OBFR Plus 0.40 | % | | | Maturity | | | | USD | | | | 151 | | | | 08/12/2022 | | | | (151,130 | ) |
Vifor Pharma Group | | | 1 Month OBFR Plus 0.40 | % | | | Maturity | | | | USD | | | | 95 | | | | 08/12/2022 | | | | (94,857 | ) |
VMware, Inc. | | | 1 Month OBFR Plus 0.40 | % | | | Maturity | | | | USD | | | | 416 | | | | 08/12/2022 | | | | (416,169 | ) |
Vonage Holdings Corp. | | | 1 Month OBFR Plus 0.40 | % | | | Maturity | | | | USD | | | | 205 | | | | 08/12/2022 | | | | (204,844 | ) |
Yamana Gold, Inc. | | | 1 Month OBFR Plus 0.40 | % | | | Maturity | | | | USD | | | | 652 | | | | 08/12/2022 | | | | (651,921 | ) |
| Morgan Stanley Capital Services LLC | | | | | |
Avast PLC | | | 1 Month SONIA Plus 0.54 | % | | | Maturity | | | | GBP | | | | 680 | | | | 10/18/2023 | | | | (826,014 | ) |
Brewin Dolphin Holdings PLC | | | 1 Month SONIA Plus 0.54 | % | | | Maturity | | | | GBP | | | | 1 | | | | 10/18/2023 | | | | 1,419 | |
Citrix Systems, Inc. | | | 1 Month FedFundEffective Plus 0.38 | % | | | Maturity | | | | USD | | | | 55 | | | | 10/18/2023 | | | | (55,168 | ) |
Intertrust NV | | | 1 Month EURIBOR Plus 0.50 | % | | | Maturity | | | | EUR | | | | 66 | | | | 10/18/2023 | | | | (68,749 | ) |
Meggitt PLC | | | 1 Month SONIA Plus 0.54 | % | | | Maturity | | | | GBP | | | | 244 | | | | 10/18/2023 | | | | 295,859 | |
Moneygram International, Inc. | | | 1 Month FedFundEffective Plus 0.38 | % | | | Maturity | | | | USD | | | | 83 | | | | 10/18/2023 | | | | (82,659 | ) |
Progenics Pharmaceuticals CVR | | | 1 Month FedFundEffective Plus 0.08 | % | | | Maturity | | | | USD | | | | 0 | ** | | | 10/18/2023 | | | | 0 | |
Sanderson Farms, Inc. | | | 1 Month FedFundEffective Plus 0.38 | % | | | Maturity | | | | USD | | | | 151 | | | | 10/18/2023 | | | | 150,642 | |
Spirit Airlines, Inc. | | | 1 Month FedFundEffective Plus 0.38 | % | | | Maturity | | | | USD | | | | 56 | | | | 10/18/2023 | | | | (55,638 | ) |
Terminix Global Holdings, Inc. | | | 1 Month FedFundEffective Plus 0.38 | % | | | Maturity | | | | USD | | | | 115 | | | | 10/18/2023 | | | | (114,894 | ) |
Tower Semiconductor, Ltd. | | | 1 Month FedFundEffective Plus 0.38 | % | | | Maturity | | | | USD | | | | 90 | | | | 10/18/2023 | | | | (89,625 | ) |
Turning Point Therapeutics, Inc. | | | 1 Month FedFundEffective Plus 0.38 | % | | | Maturity | | | | USD | | | | 44 | | | | 10/18/2023 | | | | 43,840 | |
Ultra Electronics Hldgs PLC | | | 1 Month SONIA Plus 0.54 | % | | | Maturity | | | | GBP | | | | 163 | | | | 10/18/2023 | | | | 198,274 | |
| Pay Total Return on Reference Obligation | |
| Goldman Sachs International | | | | | |
5
| | | | | | | | | | | | | | | | | | | | | | | | |
Counterparty &
Referenced Obligation | | Rate Paid/
Received | | | Payment
Frequency | | | Current
Notional
(000) | | | Maturity
Date | | | Unrealized
Appreciation/
(Depreciation) | |
Columbia Banking System, Inc. | | | 1 Month SOFR Minus 0.32 | % | | | Maturity | | | | USD | | | | 782 | | | | 07/15/2025 | | | $ | 782,045 | |
Entegris, Inc. | | | 1 Month SOFR Minus 0.32 | % | | | Maturity | | | | USD | | | | 364 | | | | 07/15/2025 | | | | 364,450 | |
II-VI, Inc. | | | 1 Month SOFR Minus 0.31 | % | | | Maturity | | | | USD | | | | 230 | | | | 01/05/2023 | | | | 229,538 | |
Lifeworks, Inc. | | | 1 Month CDOR Plus 0.35 | % | | | Maturity | | | | CAD | | | | 7 | | | | 07/15/2025 | | | | (5,803 | ) |
New York Community Bancorp, Inc. | | | 1 Month SOFR Minus 0.30 | % | | | Maturity | | | | USD | | | | 1,197 | | | | 07/15/2025 | | | | 1,197,194 | |
Telus Corp. | | | 1 Month CDOR Plus 1.10 | % | | | Maturity | | | | CAD | | | | 1 | | | | 07/15/2025 | | | | (836 | ) |
| JPMorgan Chase Bank, NA | | | | | |
Broadcom, Inc. | | | 1 Month OBFR Minus 0.28 | % | | | Maturity | | | | USD | | | | 259 | | | | 08/12/2022 | | | | 259,317 | |
Gold Fields, Ltd. | | | 1 Month OBFR Minus 0.25 | % | | | Maturity | | | | USD | | | | 285 | | | | 08/12/2022 | | | | 285,158 | |
Healthcare Realty Trust, Inc. | | | 1 Month OBFR Minus 0.30 | % | | | Maturity | | | | USD | | | | 38 | | | | 08/12/2022 | | | | (38,169 | ) |
Intercontinental Exchange, Inc. | | | 1 Month OBFR Minus 0.28 | % | | | Maturity | | | | USD | | | | 37 | | | | 08/12/2022 | | | | 36,898 | |
Maxlinear, Inc. | | | 1 Month OBFR Minus 0.28 | % | | | Maturity | | | | USD | | | | 109 | | | | 08/12/2022 | | | | 109,493 | |
MKS Instruments, Inc. | | | 1 Month OBFR Minus 0.40 | % | | | Maturity | | | | USD | | | | 517 | | | | 08/12/2022 | | | | 517,068 | |
PotlatchDeltic Corp. | | | 1 Month OBFR Minus 0.28 | % | | | Maturity | | | | USD | | | | 25 | | | | 08/12/2022 | | | | 24,674 | |
Prologis, Inc. | | | 1 Month OBFR Minus 0.28 | % | | | Maturity | | | | USD | | | | 291 | | | | 08/12/2022 | | | | (291,002 | ) |
| Morgan Stanley Capital Services LLC | | | | | |
Frontier Group Holdings, Inc. | | | 1 Month FedFundEffective Minus 1.57 | % | | | Maturity | | | | USD | | | | 258 | | | | 10/18/2023 | | | | 257,635 | |
NortonLifeLock, Inc. | | | 1 Month FedFundEffective Minus 0.29 | % | | | Maturity | | | | USD | | | | 117 | | | | 10/18/2023 | | | | 116,502 | |
6
| | | | | | | | | | | | | | | | | | | | | | | | |
Counterparty &
Referenced Obligation | | Rate Paid/
Received | | | Payment
Frequency | | | Current
Notional
(000) | | | Maturity
Date | | | Unrealized
Appreciation/
(Depreciation) | |
Rentokil Initial PLC | | | 1 Month FedFundEffective Minus 0.26 | % | | | Maturity | | | | USD | | | | 258 | | | | 10/18/2023 | | | $ | 258,323 | |
| | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | $ | (391,404 | ) |
| | | | | | | | | | | | | | | | | | | | | | | | |
| ** | 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 June 30, 2022, the cost basis of investment securities owned was substantially identical for both book and tax purposes. Gross unrealized appreciation of investments was $216,930,739 and gross unrealized depreciation of investments was $(14,778,245), resulting in net unrealized appreciation of $202,152,494. |
| * | The investment strategies and liquidity of the Underlying Portfolios in which the Fund invests are as follows: |
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.
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.
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 30-90 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.
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:
CAD – Canadian Dollar
EUR – Euro
GBP – Great British Pound
SEK – Swedish Krona
USD – United States Dollar
Glossary:
CDOR – Canadian Dealer Offered Rate
ESTR – Euro Short-Term Rate
EURIBOR – Euro Interbank Offered Rate
FedFundEffective – Federal Funds Effective Rate
OBFR – Overnight Bank Funding Rate
7
SOFR – Secured Overnight Financing Rate
SONIA – Sterling Overnight Index Average
STIBOR – Stockholm Interbank Offered Rate
8
AB Multi-Manager Alternative Fund
June 30, 2022 (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.
The following table summarizes the valuation of the Fund’s investments by the above fair value hierarchy levels as of June 30, 2022:
| | | | | | | | | | | | | | | | |
Investments in Securities: | | Level 1 | | | Level 2 | | | Level 3 | | | Total | |
| Assets: | |
| Common Stocks | | $ | 16,993,509 | | | $ | — | | | $ | — | | | $ | 16,993,509 | |
| Warants | | | 83,292 | | | | — | | | | — | | | | 83,292 | |
| Short-Term Investments | | | 78,374,336 | | | | — | | | | — | | | | 78,374,336 | |
| Investments valued at NAV | | | | | | | | | | | | | | | 926,657,382 | |
| | | | | | | | | | | | | | | | |
| Total Investments in Securities | | | 95,451,137 | | | | — | | | | — | | | | 1,022,108,519 | |
9
| | | | | | | | | | | | | | | | |
Investments in Securities: | | Level 1 | | | Level 2 | | | Level 3 | | | Total | |
| Other Financial Instruments(a): | | | | | | | | | | | | | | | | |
| Assets: | |
| Total Return Swaps | | $ | — | | | $ | 8,133,540 | | | $ | — | | | $ | 8,133,540 | |
| Liabilities: | |
| Total Return Swaps | | | — | | | | (8,524,944 | ) | | | — | | | | (8,524,944 | ) |
| | | | | | | | | | | | | | | | |
| Total | | $ | 95,451,137 | | | $ | (391,404 | ) | | $ | — | | | $ | 1,021,717,115 | |
| | | | | | | | | | | | | | | | |
| (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 three months ended June 30, 2022 is as follows:
| | | | | | | | | | | | | | | | | | | | |
| Fund | | Market Value
03/31/2022
(000) | | | Purchases
at Cost
(000) | | | Sales
Proceeds
(000) | | | Market Value
06/30/2022
(000) | | | Dividend
Income
(000) | |
| Government Money Market Portfolio | | $ | 110,999 | | | $ | 4,375 | | | $ | 37,000 | | | $ | 78,374 | | | $ | 62 | |
10
