AB Emerging Markets Multi-Asset Portfolio
Portfolio of Investments
December 31, 2019 (unaudited)
Company | Shares | U.S. $ Value | ||||||
COMMON STOCKS - 54.3% | ||||||||
Financials - 14.5% | ||||||||
Banks - 10.3% | ||||||||
Abu Dhabi Islamic Bank PJSC | 5,581 | $ | 8,190 | |||||
Agricultural Bank of China Ltd.-Class H | 1,336,000 | 588,056 | ||||||
AMMB Holdings Bhd | 24,100 | 23,051 | ||||||
Banco do Brasil SA | 8,500 | 112,187 | ||||||
Banco Macro SA (ADR) | 852 | 30,885 | ||||||
Banco Santander Chile | 3,104,851 | 177,550 | ||||||
Banco Santander Mexico SA Institucion de Banca Multiple Grupo Financiero Santand | 50,145 | 68,425 | ||||||
Bancolombia SA (Sponsored ADR) | 3,098 | 169,739 | ||||||
Bangkok Bank PCL | 10,800 | 57,509 | ||||||
Bank for Foreign Trade of Vietnam JSC | 92,230 | 359,379 | ||||||
Bank of China Ltd.-Class A | 125,500 | 66,564 | ||||||
Bank of China Ltd.-Class H | 1,051,000 | 449,280 | ||||||
Bank of Communications Co., Ltd.-Class A | 91,100 | 73,731 | ||||||
Bank Polska Kasa Opieki SA | 2,808 | 74,310 | ||||||
China CITIC Bank Corp., Ltd.-Class H | 3,757,000 | 2,252,720 | ||||||
China Construction Bank Corp.-Class H | 1,536,000 | 1,331,777 | ||||||
China Everbright Bank Co., Ltd.-Class H | 181,000 | 84,066 | ||||||
China Minsheng Banking Corp., Ltd.-Class H | 1,091,400 | 824,849 | ||||||
Commercial Bank of Ceylon PLC | 148,463 | 77,761 | ||||||
Commercial Bank PSQC (The) | 67,576 | 87,368 | ||||||
Credicorp Ltd. | 415 | 88,449 | ||||||
CTBC Financial Holding Co., Ltd. | 278,000 | 207,984 | ||||||
Dubai Islamic Bank PJSC | 21,650 | 32,495 | ||||||
Grupo Financiero Banorte SAB de CV-Class O | 8,583 | 47,919 | ||||||
Halyk Savings Bank of Kazakhstan JSC (GDR) (a) | 23,950 | 319,732 | ||||||
Hana Financial Group, Inc. | 59,414 | 1,889,841 | ||||||
HDFC Bank Ltd. (ADR) | 21,151 | 1,340,339 | ||||||
Industrial & Commercial Bank of China Ltd.-Class H | 113,000 | 87,183 | ||||||
Industrial Bank Co., Ltd.-Class A (Nth SSE-SEHK) | 95,360 | 271,439 | ||||||
Industrial Bank of Korea | 36,790 | 375,012 | ||||||
KB Financial Group, Inc. | 18,580 | 765,458 | ||||||
Komercni banka as | 1,677 | 61,414 | ||||||
Masraf Al Rayan QSC | 42,099 | 45,787 | ||||||
MCB Bank Ltd. | 10,716 | 14,600 | ||||||
Metropolitan Bank & Trust Co. | 35,000 | 45,819 | ||||||
Moneta Money Bank AS (a) | 94,927 | 356,180 | ||||||
OTP Bank Nyrt | 1,670 | 87,441 | ||||||
Postal Savings Bank of China Co., Ltd. (a) | 121,000 | 82,291 | ||||||
Powszechna Kasa Oszczednosci Bank Polski SA | 6,468 | 58,721 | ||||||
Sberbank of Russia PJSC (Sponsored ADR) | 69,073 | 1,132,797 | ||||||
Shinhan Financial Group Co., Ltd. | 1,774 | 66,512 | ||||||
SinoPac Financial Holdings Co., Ltd. | 194,000 | 84,161 | ||||||
TCS Group Holding PLC (GDR) (a) | 34,630 | 744,545 | ||||||
Turkiye Is Bankasi AS-Class C (b) | 506,670 | 545,649 | ||||||
Woori Financial Group, Inc. | 12,180 | 121,947 | ||||||
|
| |||||||
15,791,112 | ||||||||
|
| |||||||
Capital Markets - 1.2% | ||||||||
B3SA - Brasil Bolsa Balcao | 30,200 | 324,427 | ||||||
China Everbright Ltd. | 668,000 | 1,247,572 | ||||||
HDFC Asset Management Co., Ltd. (a) | 1,612 | 72,062 | ||||||
Samsung Securities Co., Ltd. (b) | 2,534 | 84,395 |
Company | Shares | U.S. $ Value | ||||||
Yuanta Financial Holding Co., Ltd. | 125,000 | $ | 84,269 | |||||
|
| |||||||
1,812,725 | ||||||||
|
| |||||||
Consumer Finance - 0.4% | ||||||||
Manappuram Finance Ltd. | 68,617 | 170,284 | ||||||
Muthoot Finance Ltd. | 12,694 | 135,408 | ||||||
Samsung Card Co., Ltd. (b) | 10,341 | 345,162 | ||||||
|
| |||||||
650,854 | ||||||||
|
| |||||||
Diversified Financial Services - 1.1% | ||||||||
Fubon Financial Holding Co., Ltd. | 492,000 | 761,928 | ||||||
Haci Omer Sabanci Holding AS | 282,699 | 453,407 | ||||||
REC Ltd. | 270,206 | 541,493 | ||||||
|
| |||||||
1,756,828 | ||||||||
|
| |||||||
Insurance - 1.5% | ||||||||
BB Seguridade Participacoes SA | 20,500 | 192,727 | ||||||
China Pacific Insurance Group Co., Ltd.-Class H | 19,800 | 78,012 | ||||||
IRB Brasil Resseguros S/A | 9,200 | 89,377 | ||||||
Liberty Holdings Ltd. | 10,384 | 82,036 | ||||||
Momentum Metropolitan Holdings | 40,641 | 63,373 | ||||||
Orange Life Insurance Ltd. (a) | 10,410 | 254,028 | ||||||
PICC Property & Casualty Co., Ltd.-Class H | 152,000 | 183,208 | ||||||
Ping An Insurance Group Co. of China Ltd.-Class H | 68,000 | 804,676 | ||||||
Powszechny Zaklad Ubezpieczen SA | 8,353 | 88,220 | ||||||
Ruentex Industries Ltd. (b) | 167,200 | 410,440 | ||||||
|
| |||||||
2,246,097 | ||||||||
|
| |||||||
22,257,616 | ||||||||
|
| |||||||
Information Technology - 11.2% | ||||||||
Electronic Equipment, Instruments & Components - 1.9% | ||||||||
Hon Hai Precision Industry Co., Ltd. | 407,000 | 1,234,641 | ||||||
Tripod Technology Corp. | 132,000 | 554,031 | ||||||
Walsin Technology Corp. | 43,000 | 343,233 | ||||||
Yageo Corp. | 14,000 | 203,966 | ||||||
Zhen Ding Technology Holding Ltd. | 114,000 | 546,980 | ||||||
|
| |||||||
2,882,851 | ||||||||
|
| |||||||
IT Services - 0.3% | ||||||||
Infosys Ltd. | 15,692 | 161,785 | ||||||
Infosys Ltd. (Sponsored ADR) | 34,360 | 354,595 | ||||||
|
| |||||||
516,380 | ||||||||
|
| |||||||
Semiconductors & Semiconductor Equipment - 4.4% | ||||||||
Globalwafers Co., Ltd. | 22,000 | 281,741 | ||||||
MediaTek, Inc. | 49,000 | 726,037 | ||||||
Nanya Technology Corp. | 397,000 | 1,111,040 | ||||||
Novatek Microelectronics Corp. | 135,000 | 989,144 | ||||||
Phison Electronics Corp. | 4,000 | 45,500 | ||||||
Realtek Semiconductor Corp. | 68,000 | 534,361 | ||||||
SK Hynix, Inc. | 7,190 | 584,819 | ||||||
Taiwan Semiconductor Manufacturing Co., Ltd. | 219,000 | 2,423,854 | ||||||
United Microelectronics Corp. | 151,000 | 82,740 | ||||||
|
| |||||||
6,779,236 | ||||||||
|
|
Company | Shares | U.S. $ Value | ||||||
Technology Hardware, Storage & Peripherals - 4.6% |
| |||||||
Asustek Computer, Inc. | 59,000 | $ | 455,353 | |||||
Lite-On Technology Corp. | 50,000 | 82,323 | ||||||
Pegatron Corp. | 35,000 | 80,042 | ||||||
Quanta Computer, Inc. | 39,000 | 83,776 | ||||||
Samsung Electronics Co., Ltd. | 78,887 | 3,801,318 | ||||||
Samsung Electronics Co., Ltd. (Preference Shares) | 56,016 | 2,193,131 | ||||||
Wistron Corp. | 316,000 | 299,166 | ||||||
|
| |||||||
6,995,109 | ||||||||
|
| |||||||
17,173,576 | ||||||||
|
| |||||||
Consumer Discretionary - 6.5% | ||||||||
Automobiles - 0.2% | ||||||||
Bajaj Auto Ltd. | 1,813 | 80,802 | ||||||
Great Wall Motor Co., Ltd.-Class H | 112,500 | 83,239 | ||||||
Hero MotoCorp Ltd. | 2,507 | 85,931 | ||||||
Kia Motors Corp. (b) | 1,720 | 65,688 | ||||||
|
| |||||||
315,660 | ||||||||
|
| |||||||
Diversified Consumer Services - 1.6% | ||||||||
Cogna Educacao | 700 | 1,999 | ||||||
Fu Shou Yuan International Group Ltd. | 410,000 | 347,299 | ||||||
New Oriental Education & Technology Group, Inc. (Sponsored ADR) (b) | 12,213 | 1,480,826 | ||||||
YDUQS Part | 50,300 | 596,987 | ||||||
|
| |||||||
2,427,111 | ||||||||
|
| |||||||
Hotels, Restaurants & Leisure - 0.8% | ||||||||
Kangwon Land, Inc. (b) | 3,052 | 78,076 | ||||||
OPAP SA | 85,908 | 1,117,710 | ||||||
Yum China Holdings, Inc. | 1,757 | 84,354 | ||||||
|
| |||||||
1,280,140 | ||||||||
|
| |||||||
Household Durables - 0.2% | ||||||||
Hisense Home Appliances Group Co., Ltd.-Class A | 109,000 | 193,389 | ||||||
Nien Made Enterprise Co., Ltd. | 9,000 | 83,254 | ||||||
Woongjin Coway Co., Ltd. | 1,026 | 82,598 | ||||||
|
| |||||||
359,241 | ||||||||
|
| |||||||
Internet & Direct Marketing Retail - 2.5% | ||||||||
Alibaba Group Holding Ltd. (ADR) (b) | 17,916 | 3,799,984 | ||||||
JD.com, Inc. (ADR) (b) | 1,602 | 56,438 | ||||||
Meituan Dianping-Class B (a)(b) | 6,700 | 87,543 | ||||||
Naspers Ltd.-Class N | 42 | 6,873 | ||||||
|
| |||||||
3,950,838 | ||||||||
|
| |||||||
Multiline Retail - 0.1% | ||||||||
Lojas Americanas SA | 16,900 | 83,117 | ||||||
|
| |||||||
Specialty Retail - 0.1% | ||||||||
Abu Dhabi National Oil Co. for Distribution PJSC | 17,975 | 14,485 | ||||||
Home Product Center PCL | 141,300 | 75,477 | ||||||
|
| |||||||
89,962 | ||||||||
|
|
Company | Shares | U.S. $ Value | ||||||
Textiles, Apparel & Luxury Goods - 1.0% |
| |||||||
Fila Korea Ltd. (b) | 463 | $ | 21,156 | |||||
Li Ning Co., Ltd. | 315,000 | 944,775 | ||||||
Yue Yuen Industrial Holdings Ltd. | 193,500 | 571,075 | ||||||
|
| |||||||
1,537,006 | ||||||||
|
| |||||||
10,043,075 | ||||||||
|
| |||||||
Materials - 6.0% | ||||||||
Chemicals - 1.2% | ||||||||
Advanced Petrochemical Co. | 2,194 | 28,931 | ||||||
Formosa Chemicals & Fibre Corp. | 151,000 | 441,161 | ||||||
Kumho Petrochemical Co., Ltd. (b) | 2,720 | 181,905 | ||||||
Mitsubishi Gas Chemical Co., Inc. | 7,700 | 117,303 | ||||||
Nan Ya Plastics Corp. | 74,000 | 179,831 | ||||||
PhosAgro PJSC (GDR) (a) | 6,773 | 86,017 | ||||||
Sinopec Shanghai Petrochemical Co., Ltd. | 15,000 | 8,345 | ||||||
Tosoh Corp. | 56,200 | 865,805 | ||||||
|
| |||||||
1,909,298 | ||||||||
|
| |||||||
Construction Materials - 3.0% | ||||||||
Anhui Conch Cement Co., Ltd.-Class A | 202,119 | 1,592,351 | ||||||
Anhui Conch Cement Co., Ltd.-Class H | 76,386 | 556,558 | ||||||
Asia Cement Corp. | 467,000 | 747,526 | ||||||
China Resources Cement Holdings Ltd. | 890,000 | 1,132,948 | ||||||
Huaxin Cement Co., Ltd. | 50,280 | 191,062 | ||||||
Taiwan Cement Corp. | 237,198 | 345,992 | ||||||
|
| |||||||
4,566,437 | ||||||||
|
| |||||||
Metals & Mining - 1.8% | ||||||||
Anglo American Platinum Ltd. | 910 | 84,940 | ||||||
Baoshan Iron & Steel Co., Ltd. | 107,000 | 88,336 | ||||||
China Zhongwang Holdings Ltd. | 72,400 | 28,924 | ||||||
Eregli Demir ve Celik Fabrikalari TAS | 57,523 | 87,361 | ||||||
Glencore PLC (b) | 220,890 | 687,790 | ||||||
Industrias Penoles SAB de CV | 516 | 5,404 | ||||||
Iskenderun Demir ve Celik AS | 62,224 | 83,731 | ||||||
Jiangxi Copper Co., Ltd.-Class H | 297,000 | 408,485 | ||||||
Kumba Iron Ore Ltd. | 7,420 | 220,762 | ||||||
Maanshan Iron & Steel Co., Ltd.-Class H (c) | 212,000 | 85,958 | ||||||
Nanjing Iron & Steel Co., Ltd. | 169,700 | 84,188 | ||||||
Polyus PJSC (GDR) (a) | 2,945 | 166,981 | ||||||
POSCO | 1,150 | 233,753 | ||||||
Sansteel Minguang Co., Ltd. Fujian-Class A | 65,296 | 87,904 | ||||||
Vedanta Ltd. | 161,864 | 345,770 | ||||||
|
| |||||||
2,700,287 | ||||||||
|
| |||||||
9,176,022 | ||||||||
|
| |||||||
Energy - 4.2% | ||||||||
Oil, Gas & Consumable Fuels - 4.2% | ||||||||
Adaro Energy Tbk PT | 789,500 | 88,228 | ||||||
Bukit Asam Tbk PT | 463,000 | 88,559 | ||||||
China Coal Energy Co., Ltd.-Class H | 41,000 | 16,271 | ||||||
China Petroleum & Chemical Corp. | 105,400 | 77,539 | ||||||
China Petroleum & Chemical Corp.-Class H | 382,000 | 230,014 | ||||||
CNOOC Ltd. | 53,000 | 88,130 |
Company | Shares | U.S. $ Value | ||||||
Coal India Ltd. | 28,041 | $ | 83,173 | |||||
Cosan SA | 3,300 | 57,344 | ||||||
Exxaro Resources Ltd. | 8,507 | 79,652 | ||||||
Hindustan Petroleum Corp., Ltd. | 21,976 | 81,178 | ||||||
LUKOIL PJSC (Sponsored ADR) | 29,100 | 2,872,461 | ||||||
Oil & Gas Development Co., Ltd. | 93,292 | 85,805 | ||||||
Petroleo Brasileiro SA (Preference Shares) | 104,600 | 790,048 | ||||||
Petronet LNG Ltd. | 43,808 | 164,570 | ||||||
Polski Koncern Naftowy ORLEN SA | 3,903 | 88,284 | ||||||
PTT Exploration & Production PCL | 21,500 | 89,363 | ||||||
Surgutneftegas PJSC (Sponsored ADR) (c) | 91,000 | 739,439 | ||||||
Tatneft PJSC (Sponsored ADR) (d) | 2,530 | 186,865 | ||||||
Tupras Turkiye Petrol Rafinerileri AS | 1,368 | 29,148 | ||||||
Yanzhou Coal Mining Co., Ltd. | 58,500 | 88,810 | ||||||
Yanzhou Coal Mining Co., Ltd.-Class H | 554,000 | 497,738 | ||||||
|
| |||||||
6,522,619 | ||||||||
|
| |||||||
Industrials - 3.2% | ||||||||
Aerospace & Defense - 0.0% | ||||||||
Korea Aerospace Industries Ltd. (b) | 968 | 28,490 | ||||||
|
| |||||||
Commercial Services & Supplies - 0.2% | ||||||||
Sunny Friend Environmental Technology Co., Ltd. | 42,000 | 327,464 | ||||||
|
| |||||||
Construction & Engineering - 0.4% | ||||||||
China Communications Services Corp., Ltd.-Class H | 294,000 | 214,321 | ||||||
Daelim Industrial Co., Ltd. (b) | 4,961 | 388,097 | ||||||
|
| |||||||
602,418 | ||||||||
|
| |||||||
Electrical Equipment - 0.0% | ||||||||
ElSewedy Electric Co. | 12,415 | 8,671 | ||||||
|
| |||||||
Industrial Conglomerates - 0.1% | ||||||||
NWS Holdings Ltd. | 138,000 | 193,416 | ||||||
Sime Darby Bhd | 56,400 | 30,615 | ||||||
|
| |||||||
224,031 | ||||||||
|
| |||||||
Machinery - 1.6% | ||||||||
China Yuchai International Ltd. | 22,580 | 300,991 | ||||||
Sinotruk Hong Kong Ltd. | 397,500 | 848,379 | ||||||
Weichai Power Co., Ltd.-Class A (Nth SZ-SEHK) | 105,104 | 240,254 | ||||||
Weichai Power Co., Ltd.-Class H | 94,000 | 198,408 | ||||||
Zoomlion Heavy Industry Science and Technology Co., Ltd. | 364,400 | 305,456 | ||||||
Zoomlion Heavy Industry Science and Technology Co., Ltd.-Class A | 554,414 | 533,167 | ||||||
|
| |||||||
2,426,655 | ||||||||
|
| |||||||
Marine - 0.1% | ||||||||
MISC Bhd | 39,800 | 81,318 | ||||||
|
| |||||||
Road & Rail - 0.3% | ||||||||
Daqin Railway Co., Ltd.-Class A | 296,300 | 349,628 | ||||||
Rumo SA (b) | 13,200 | 85,924 | ||||||
|
| |||||||
435,552 | ||||||||
|
|
Company | Shares | U.S. $ Value | ||||||
Trading Companies & Distributors - 0.3% |
| |||||||
BOC Aviation Ltd. (a) | 42,400 | $ | 431,218 | |||||
|
| |||||||
Transportation Infrastructure - 0.2% | ||||||||
Jiangsu Expressway Co., Ltd.-Class H | 64,000 | 87,700 | ||||||
TAV Havalimanlari Holding AS | 17,507 | 85,811 | ||||||
Westports Holdings Bhd | 76,500 | 78,819 | ||||||
Zhejiang Expressway Co., Ltd.-Class H | 116,000 | 105,755 | ||||||
|
| |||||||
358,085 | ||||||||
|
| |||||||
4,923,902 | ||||||||
|
| |||||||
Communication Services - 2.4% | ||||||||
Diversified Telecommunication Services - 0.4% | ||||||||
Emirates Telecommunications Group Co. PJSC | 17,806 | 79,307 | ||||||
KT Corp. (Sponsored ADR) | 43,211 | 501,248 | ||||||
|
| |||||||
580,555 | ||||||||
|
| |||||||
Interactive Media & Services - 1.5% | ||||||||
Info Edge India Ltd. | 1,776 | 63,192 | ||||||
Tencent Holdings Ltd. | 29,600 | 1,426,014 | ||||||
Yandex NV-Class A (b) | 19,760 | 859,362 | ||||||
|
| |||||||
2,348,568 | ||||||||
|
| |||||||
Media - 0.1% | ||||||||
Cheil Worldwide, Inc. (b) | 1,150 | 23,916 | ||||||
Zee Entertainment Enterprises Ltd. | 20,606 | 84,297 | ||||||
|
| |||||||
108,213 | ||||||||
|
| |||||||
Wireless Telecommunication Services - 0.4% | ||||||||
Advanced Info Service PCL | 11,100 | 78,932 | ||||||
China Mobile Ltd. | 24,500 | 207,021 | ||||||
DiGi.Com Bhd | 75,800 | 82,736 | ||||||
Globe Telecom, Inc. | 1,500 | 59,828 | ||||||
MTN Group Ltd. | 11,895 | 70,123 | ||||||
PLDT, Inc. | 2,085 | 40,896 | ||||||
Vodacom Group Ltd. | 5,428 | 44,684 | ||||||
|
| |||||||
584,220 | ||||||||
|
| |||||||
3,621,556 | ||||||||
|
| |||||||
Consumer Staples - 2.0% | ||||||||
Beverages - 1.3% | ||||||||
Becle SAB de CV | 15,027 | 27,936 | ||||||
Tsingtao Brewery Co., Ltd.-Class A (Nth SSE-SEHK) | 69,700 | 511,274 | ||||||
Wuliangye Yibin Co., Ltd.-Class A (Nth SZ-SEHK) | 76,058 | 1,456,447 | ||||||
|
| |||||||
1,995,657 | ||||||||
|
| |||||||
Food & Staples Retailing - 0.1% | ||||||||
Raia Drogasil SA | 3,300 | 91,925 | ||||||
SPAR Group Ltd. (The) | 5,722 | 80,835 | ||||||
|
| |||||||
172,760 | ||||||||
|
|
Company | Shares | U.S. $ Value | ||||||
Food Products - 0.2% | ||||||||
Charoen Pokphand Foods PCL | 75,800 | $ | 69,591 | |||||
Hebei Yangyuan Zhihui Beverage Co., Ltd.-Class A | 2,900 | 12,108 | ||||||
Indofood Sukses Makmur Tbk PT | 154,500 | 88,094 | ||||||
Orion Corp./Republic of Korea (b) | 879 | 80,165 | ||||||
|
| |||||||
249,958 | ||||||||
|
| |||||||
Household Products - 0.1% | ||||||||
Hindustan Unilever Ltd. | 2,809 | 75,593 | ||||||
Kimberly-Clark de Mexico SAB de CV-Class A (b) | 37,694 | 75,019 | ||||||
|
| |||||||
150,612 | ||||||||
|
| |||||||
Personal Products - 0.0% | ||||||||
Colgate-Palmolive India Ltd. | 1,609 | 32,856 | ||||||
|
| |||||||
Tobacco - 0.3% | ||||||||
Eastern Co. SAE | 89,288 | 84,114 | ||||||
ITC Ltd. | 58,649 | 195,432 | ||||||
KT&G Corp. | 1,933 | 156,395 | ||||||
|
| |||||||
435,941 | ||||||||
|
| |||||||
3,037,784 | ||||||||
|
| |||||||
Real Estate - 1.9% | ||||||||
Equity Real Estate Investment Trusts (REITs) - 0.8% | ||||||||
Fibra Uno Administracion SA de CV | 749,970 | 1,161,397 | ||||||
Fortress REIT Ltd.-Class A | 58,074 | 79,859 | ||||||
|
| |||||||
1,241,256 | ||||||||
|
| |||||||
Real Estate Management & Development - 1.1% | ||||||||
Agile Group Holdings Ltd. | 58,000 | 87,157 | ||||||
Aldar Properties PJSC | 1,387,960 | 816,944 | ||||||
BR Malls Participacoes SA | 19,900 | 89,738 | ||||||
China Aoyuan Group Ltd. | 55,000 | 89,745 | ||||||
Guangzhou R&F Properties Co., Ltd.-Class H (c) | 46,000 | 84,943 | ||||||
Highwealth Construction Corp. | 13,000 | 20,091 | ||||||
KWG Group Holdings Ltd. (b) | 63,000 | 88,268 | ||||||
Logan Property Holdings Co., Ltd. | 50,000 | 83,896 | ||||||
Powerlong Real Estate Holdings Ltd. | 297,000 | 198,319 | ||||||
Shenzhen Investment Ltd. | 86,000 | 34,467 | ||||||
Times China Holdings Ltd. | 41,000 | 81,702 | ||||||
Yuzhou Properties Co., Ltd. | 45,000 | 24,757 | ||||||
|
| |||||||
1,700,027 | ||||||||
|
| |||||||
2,941,283 | ||||||||
|
| |||||||
Utilities - 1.7% | ||||||||
Electric Utilities - 0.8% | ||||||||
Centrais Eletricas Brasileiras SA (Preference Shares) | 81,900 | 781,705 | ||||||
CEZ AS | 1,555 | 34,948 | ||||||
Cia Energetica de Minas Gerais | 4,900 | 19,060 | ||||||
EDP - Energias de Portugal SA | 19,603 | 85,065 | ||||||
Enel Americas SA | 382,865 | 85,038 | ||||||
Manila Electric Co. | 7,900 | 49,448 | ||||||
Power Grid Corp. of India Ltd. | 61,697 | 164,749 | ||||||
|
| |||||||
1,220,013 | ||||||||
|
|
Company | Shares | U.S. $ Value | ||||||
Gas Utilities - 0.1% | ||||||||
Empresa De Energia De Bogota (b) | 63,885 | $ | 43,179 | |||||
Kunlun Energy Co., Ltd. | 92,000 | 81,277 | ||||||
Petronas Gas Bhd | 16,900 | 68,666 | ||||||
|
| |||||||
193,122 | ||||||||
|
| |||||||
Independent Power and Renewable Electricity Producers - 0.2% | ||||||||
Colbun SA | 218,657 | 34,895 | ||||||
Engie Brasil Energia SA | 14,800 | 187,334 | ||||||
NTPC Ltd. | 50,332 | 83,912 | ||||||
|
| |||||||
306,141 | ||||||||
|
| |||||||
Water Utilities - 0.6% | ||||||||
Beijing Enterprises Water Group Ltd. (b) | 164,000 | 82,949 | ||||||
Cia de Saneamento Basico do Estado de Sao Paulo | 59,100 | 893,033 | ||||||
|
| |||||||
975,982 | ||||||||
|
| |||||||
2,695,258 | ||||||||
|
| |||||||
Health Care - 0.7% | ||||||||
Health Care Providers & Services - 0.6% | ||||||||
Hapvida Participacoes e Investimentos SA (a) | 4,600 | 73,270 | ||||||
Jinxin Fertility Group Ltd. (a)(b)(c) | 568,000 | 759,830 | ||||||
Notre Dame Intermedica Participacoes SA | 5,600 | 95,280 | ||||||
|
| |||||||
928,380 | ||||||||
|
| |||||||
Pharmaceuticals - 0.1% | ||||||||
Richter Gedeon Nyrt | 10,310 | 224,156 | ||||||
|
| |||||||
1,152,536 | ||||||||
|
| |||||||
Total Common Stocks | 83,545,227 | |||||||
|
| |||||||
Principal Amount (000) | ||||||||
FIXED INCOME - 37.1% | ||||||||
Sovereign Bonds - 21.5% | ||||||||
Abu Dhabi Government International Bond | ||||||||
2.125%, 9/30/24 (a) | U.S.$ | 310 | 308,837 | |||||
3.125%, 9/30/49 (a) | 500 | 487,656 | ||||||
Angolan Government International Bond | ||||||||
8.25%, 5/09/28 (a) | 200 | 215,625 | ||||||
9.125%, 11/26/49 (a) | 290 | 309,937 | ||||||
9.50%, 11/12/25 (a) | 200 | 233,687 | ||||||
Argentine Republic Government International Bond | ||||||||
5.625%, 1/26/22 | 151 | 78,473 | ||||||
5.875%, 1/11/28 | 285 | 133,861 | ||||||
6.625%, 7/06/28 | 300 | 141,750 | ||||||
6.875%, 1/26/27-1/11/48 | 3,450 | 1,697,953 | ||||||
7.125%, 6/28/2117 | 50 | 25,000 | ||||||
7.50%, 4/22/26 | 540 | 279,619 |
Principal Amount (000) | U.S. $ Value | |||||||
7.82%, 12/31/33 | EUR | 33 | $ | 21,519 | ||||
Series NY | ||||||||
3.75%, 12/31/38 | U.S.$ | 483 | 236,670 | |||||
Bahrain Government International Bond | ||||||||
5.625%, 9/30/31 (a) | 200 | 214,000 | ||||||
6.00%, 9/19/44 (a) | 203 | 213,023 | ||||||
6.75%, 9/20/29 (a) | 244 | 283,650 | ||||||
7.00%, 10/12/28 (a) | 334 | 394,329 | ||||||
Bermuda Government International Bond | ||||||||
4.75%, 2/15/29 (a) | 275 | 312,595 | ||||||
Colombia Government International Bond | ||||||||
5.00%, 6/15/45 | 302 | 350,886 | ||||||
Costa Rica Government International Bond | ||||||||
7.00%, 4/04/44 (a) | 200 | 210,875 | ||||||
7.158%, 3/12/45 (a) | 670 | 713,341 | ||||||
Dominican Republic International Bond | ||||||||
6.00%, 7/19/28 (a) | 716 | 797,669 | ||||||
6.40%, 6/05/49 (a) | 300 | 329,250 | ||||||
6.50%, 2/15/48 (a) | 298 | 329,197 | ||||||
6.85%, 1/27/45 (a) | 309 | 353,419 | ||||||
Dubai DOF Sukuk Ltd. | ||||||||
5.00%, 4/30/29 (a) | 313 | 358,380 | ||||||
Ecuador Government International Bond | ||||||||
7.875%, 1/23/28 (a) | 805 | 713,431 | ||||||
9.65%, 12/13/26 (a) | 366 | 347,357 | ||||||
Egypt Government International Bond | ||||||||
5.875%, 6/11/25 (a) | 530 | 562,131 | ||||||
6.125%, 1/31/22 (a) | 200 | 207,750 | ||||||
7.903%, 2/21/48 (a) | 500 | 523,750 | ||||||
8.15%, 11/20/59 (a) | 280 | 299,600 | ||||||
8.70%, 3/01/49 (a) | 200 | 223,312 | ||||||
El Salvador Government International Bond | ||||||||
5.875%, 1/30/25 (a) | 40 | 42,100 | ||||||
6.375%, 1/18/27 (a) | 86 | 91,671 | ||||||
7.125%, 1/20/50 (a) | 197 | 209,620 | ||||||
7.75%, 1/24/23 (a) | 63 | 69,123 | ||||||
8.625%, 2/28/29 (a) | 200 | 240,250 | ||||||
Gabon Government International Bond | ||||||||
6.375%, 12/12/24 (a) | 365 | 381,539 | ||||||
Ghana Government International Bond | ||||||||
8.125%, 3/26/32 (a) | 200 | 204,000 | ||||||
8.95%, 3/26/51 (a) | 200 | 204,688 | ||||||
Guatemala Government Bond | ||||||||
4.375%, 6/05/27 (a) | 200 | 207,313 | ||||||
4.50%, 5/03/26 (a) | 200 | 210,937 | ||||||
Honduras Government International Bond | ||||||||
6.25%, 1/19/27 (a) | 180 | 196,425 | ||||||
7.50%, 3/15/24 (a) | 290 | 322,897 |
Principal Amount (000) | U.S. $ Value | |||||||
Indonesia Government International Bond | ||||||||
3.375%, 4/15/23 (a) | U.S.$ | 450 | $ | 463,922 | ||||
4.125%, 1/15/25 (a) | 380 | 407,061 | ||||||
5.875%, 1/15/24 (a) | 200 | 226,375 | ||||||
Iraq International Bond | ||||||||
6.752%, 3/09/23 (a) | 300 | 307,312 | ||||||
Ivory Coast Government International Bond | ||||||||
5.875%, 10/17/31 (a) | EUR | 425 | 494,600 | |||||
6.625%, 3/22/48 (a) | 164 | 185,109 | ||||||
Jamaica Government International Bond | ||||||||
6.75%, 4/28/28 | U.S.$ | 200 | 237,625 | |||||
7.875%, 7/28/45 | 460 | 621,575 | ||||||
8.00%, 3/15/39 | 108 | 147,015 | ||||||
Kazakhstan Government International Bond | ||||||||
5.125%, 7/21/25 (a) | 200 | 229,500 | ||||||
Kenya Government International Bond | ||||||||
8.00%, 5/22/32 (a) | 346 | 376,816 | ||||||
Lebanon Government International Bond | ||||||||
6.00%, 1/27/23 (a) | 36 | 16,684 | ||||||
6.65%, 4/22/24 (a) | 57 | 25,561 | ||||||
6.85%, 3/23/27 (a) | 481 | 213,744 | ||||||
Series E | ||||||||
6.10%, 10/04/22 (a) | 216 | 105,300 | ||||||
Series G | ||||||||
6.20%, 2/26/25 (a) | 206 | 91,606 | ||||||
6.60%, 11/27/26 (a) | 170 | 75,756 | ||||||
Mexico Government International Bond | ||||||||
4.75%, 3/08/44 | 140 | 154,656 | ||||||
Mongolia Government International Bond | ||||||||
5.625%, 5/01/23 (a) | 200 | 206,500 | ||||||
Nigeria Government International Bond | ||||||||
5.625%, 6/27/22 | 163 | 169,826 | ||||||
7.625%, 11/28/47 (a) | 688 | 670,370 | ||||||
7.696%, 2/23/38 (a) | 240 | 240,525 | ||||||
Oman Government International Bond | ||||||||
4.75%, 6/15/26 (a) | 260 | 263,981 | ||||||
4.875%, 2/01/25 (a) | 440 | 454,850 | ||||||
6.75%, 1/17/48 (a) | 230 | 231,653 | ||||||
Pakistan Government International Bond | ||||||||
8.25%, 9/30/25 (a) | 200 | 223,437 | ||||||
Panama Government International Bond | ||||||||
3.16%, 1/23/30 | 447 | 460,410 | ||||||
4.00%, 9/22/24 | 200 | 214,125 | ||||||
Panama Notas del Tesoro | ||||||||
3.75%, 4/17/26 (a) | 113 | 118,961 | ||||||
Perusahaan Penerbit SBSN Indonesia III | ||||||||
4.15%, 3/29/27 (a) | 200 | 215,125 | ||||||
Qatar Government International Bond | ||||||||
4.50%, 4/23/28 (a) | 300 | 343,875 | ||||||
5.103%, 4/23/48 (a) | 200 | 257,000 |
Principal Amount (000) | U.S. $ Value | |||||||
Republic of Azerbaijan International Bond | ||||||||
4.75%, 3/18/24 (a) | U.S.$ | 400 | $ | 428,000 | ||||
Republic of South Africa Government International Bond | ||||||||
5.00%, 10/12/46 | 358 | 328,801 | ||||||
5.65%, 9/27/47 | 380 | 369,550 | ||||||
5.75%, 9/30/49 | 430 | 418,583 | ||||||
Russian Foreign Bond - Eurobond | ||||||||
5.25%, 6/23/47 (a) | 800 | 1,000,000 | ||||||
Saudi Government International Bond | ||||||||
3.625%, 3/04/28 (a) | 798 | 841,092 | ||||||
5.25%, 1/16/50 (a) | 401 | 498,994 | ||||||
Senegal Government International Bond | ||||||||
4.75%, 3/13/28 (a) | EUR | 510 | 603,709 | |||||
6.25%, 7/30/24-5/23/33 (a) | U.S.$ | 480 | 520,650 | |||||
6.75%, 3/13/48 (a) | 200 | 201,563 | ||||||
Sri Lanka Government International Bond | ||||||||
5.75%, 4/18/23 (a) | 467 | 462,012 | ||||||
6.20%, 5/11/27 (a) | 200 | 186,813 | ||||||
6.25%, 7/27/21 (a) | 433 | 439,901 | ||||||
6.85%, 11/03/25 (a) | 260 | 260,162 | ||||||
7.85%, 3/14/29 (a) | 240 | 242,980 | ||||||
Tanzania Government International Bond | 22 | 22,378 | ||||||
Turkey Government International Bond | ||||||||
4.875%, 4/16/43 | 423 | 348,066 | ||||||
5.75%, 5/11/47 | 400 | 353,750 | ||||||
7.00%, 6/05/20 | 95 | 96,752 | ||||||
Ukraine Government International Bond | ||||||||
6.75%, 6/20/26 (a) | EUR | 173 | 217,583 | |||||
7.75%, 9/01/22-9/01/24 (a) | U.S.$ | 1,562 | 1,685,689 | |||||
Series GDP | ||||||||
Zero Coupon, 5/31/40 (a) | 308 | 292,889 | ||||||
Uruguay Government International Bond | ||||||||
4.375%, 1/23/31 | 98 | 109,668 | ||||||
4.975%, 4/20/55 | 17 | 20,538 | ||||||
5.10%, 6/18/50 | 49 | 58,831 | ||||||
Venezuela Government International Bond | ||||||||
11.95%, 8/05/31 (b)(f)(g) | 265 | 30,418 | ||||||
12.75%, 8/23/22 (b)(f)(g) | 564 | 64,872 | ||||||
Zambia Government International Bond | ||||||||
8.50%, 4/14/24 (a) | 400 | 275,375 | ||||||
|
| |||||||
Total Sovereign Bonds | 33,119,569 | |||||||
|
| |||||||
Corporate Bonds - 5.7% | ||||||||
Abu Dhabi National Energy Co. PJSC | ||||||||
4.00%, 10/03/49 (a) | 200 | 207,625 | ||||||
AES Gener SA | ||||||||
6.35%, 10/07/79 (a) | 200 | 204,500 |
Principal Amount (000) | U.S. $ Value | |||||||
AngloGold Ashanti Holdings PLC | ||||||||
5.125%, 8/01/22 | U.S.$ | 140 | $ | 147,175 | ||||
Bangkok Bank PCL/Hong Kong | ||||||||
3.733%, 9/25/34 (a) | 200 | 202,250 | ||||||
Braskem Netherlands Finance BV | ||||||||
4.50%, 1/10/28 (a) | 200 | 199,431 | ||||||
5.875%, 1/31/50 (a) | 200 | 199,264 | ||||||
BRF SA | ||||||||
4.875%, 1/24/30 (a) | 208 | 214,175 | ||||||
Celulosa Arauco y Constitucion SA | ||||||||
4.20%, 1/29/30 (a) | 200 | 201,063 | ||||||
Colbun SA | ||||||||
3.95%, 10/11/27 (a) | 263 | 274,342 | ||||||
Cosan Ltd. | ||||||||
5.50%, 9/20/29 (a) | 200 | 209,111 | ||||||
CSN Resources SA | ||||||||
7.625%, 2/13/23 (a) | 200 | 213,143 | ||||||
Digicel Group One Ltd. | ||||||||
8.25%, 12/30/22 (g) | 234 | 131,205 | ||||||
Digicel Group Two Ltd. | ||||||||
8.25%, 9/30/22 (a) | 292 | 68,073 | ||||||
Ecopetrol SA | ||||||||
5.875%, 9/18/23 | 56 | 62,149 | ||||||
Empresa Electrica Cochrane SpA | ||||||||
5.50%, 5/14/27 (a) | 200 | 209,313 | ||||||
Empresas Publicas de Medellin ESP | ||||||||
4.25%, 7/18/29 (a) | 200 | 208,250 | ||||||
8.375%, 11/08/27 | COP | 418,000 | 134,025 | |||||
Enel Americas SA | ||||||||
4.00%, 10/25/26 | U.S.$ | 144 | 148,905 | |||||
Enel Chile SA | ||||||||
4.875%, 6/12/28 | 50 | 55,531 | ||||||
Enel Generacion Chile SA | ||||||||
4.25%, 4/15/24 | 40 | 42,138 | ||||||
Gerdau Trade, Inc. | ||||||||
4.875%, 10/24/27 (a) | 200 | 214,937 | ||||||
GNL Quintero SA | ||||||||
4.634%, 7/31/29 (a) | 200 | 212,313 | ||||||
Gold Fields Orogen Holdings BVI Ltd. | ||||||||
5.125%, 5/15/24 (a) | 200 | 213,500 | ||||||
Gran Tierra Energy International Holdings Ltd. | ||||||||
6.25%, 2/15/25 (a) | 400 | 358,094 | ||||||
GUSAP III LP | ||||||||
4.25%, 1/21/30 (a) | 200 | 204,250 | ||||||
Industrias Penoles SAB de CV | ||||||||
4.15%, 9/12/29 (a) | 200 | 207,063 |
Principal Amount (000) | U.S. $ Value | |||||||
Infraestructura Energetica Nova SAB de CV | ||||||||
3.75%, 1/14/28 (a) | U.S.$ | 334 | $ | 324,919 | ||||
Intercorp Financial Services, Inc. | ||||||||
4.125%, 10/19/27 (a) | 200 | 204,000 | ||||||
Inversiones CMPC SA | ||||||||
4.375%, 4/04/27 (a) | 220 | 231,962 | ||||||
KOC Holding AS | ||||||||
5.25%, 3/15/23 (a) | 200 | 204,188 | ||||||
Lima Metro Line 2 Finance Ltd. | ||||||||
4.35%, 4/05/36 (a) | 346 | 366,821 | ||||||
Minerva Luxembourg SA | ||||||||
6.50%, 9/20/26 (a) | 200 | 212,875 | ||||||
MV24 Capital BV | ||||||||
6.748%, 6/01/34 (a) | 197 | 207,512 | ||||||
Nexa Resources SA | ||||||||
5.375%, 5/04/27 (a) | 200 | 214,328 | ||||||
Odebrecht Finance Ltd. | ||||||||
7.125%, 6/26/42 (a)(b)(f) | 200 | 9,000 | ||||||
Orbia Advance Corp SAB de CV | ||||||||
4.00%, 10/04/27 (a) | 393 | 403,218 | ||||||
Petkim Petrokimya Holding AS | ||||||||
5.875%, 1/26/23 (a) | 200 | 200,375 | ||||||
PTTEP Treasury Center Co., Ltd. | ||||||||
3.903%, 12/06/59 (a) | 210 | 207,900 | ||||||
Rumo Luxembourg SARL | ||||||||
7.375%, 2/09/24 (a) | 200 | 215,437 | ||||||
Stillwater Mining Co. | ||||||||
7.125%, 6/27/25 (a) | 200 | 208,969 | ||||||
Tonon Luxembourg SA | ||||||||
6.50% (0.50% Cash and 6.00% PIK), 10/31/24 (g)(h)(i)(j) | 104 | 3,143 | ||||||
Transportadora de Gas Internacional SA ESP | ||||||||
5.55%, 11/01/28 (a) | 200 | 228,312 | ||||||
Turkiye Sise ve Cam Fabrikalari AS | ||||||||
6.95%, 3/14/26 (a) | 200 | 212,250 | ||||||
Usiminas International SARL | ||||||||
5.875%, 7/18/26 (a) | 200 | 208,542 | ||||||
Virgolino de Oliveira Finance SA | ||||||||
11.75%, 2/09/22 (b)(f)(g) | 202 | 8,015 | ||||||
Wijaya Karya Persero Tbk PT | ||||||||
7.70%, 1/31/21 (a) | IDR | 2,000,000 | 136,464 | |||||
|
| |||||||
Total Corporate Bonds | 8,750,055 | |||||||
|
|
Principal Amount (000) | U.S. $ Value | |||||||
Quasi-Sovereign Bonds - 4.7% | ||||||||
Aeropuerto Internacional de Tocumen SA | ||||||||
6.00%, 11/18/48 (a) | U.S.$ | 200 | $ | 246,000 | ||||
Corp. Nacional del Cobre de Chile | ||||||||
4.375%, 2/05/49 (a) | 280 | 300,300 | ||||||
Empresa de Transmision Electrica SA | ||||||||
5.125%, 5/02/49 (a) | 200 | 226,813 | ||||||
Export-Import Bank of China (The) | ||||||||
3.625%, 7/31/24 (a) | 310 | 326,042 | ||||||
MDGH - GMTN BV | ||||||||
2.875%, 11/07/29 (a) | 612 | 617,367 | ||||||
NAK Naftogaz Ukraine via Kondor Finance PLC | ||||||||
7.625%, 11/08/26 (a) | 200 | 204,010 | ||||||
Oil and Gas Holding Co. BSCC (The) | ||||||||
7.625%, 11/07/24 (a) | 200 | 232,063 | ||||||
Pertamina Persero PT | ||||||||
5.625%, 5/20/43 (a) | 200 | 233,687 | ||||||
Perusahaan Listrik Negara PT | ||||||||
3.375%, 2/05/30 (a) | 1,399 | 1,399,000 | ||||||
3.875%, 7/17/29 (a) | 200 | 208,500 | ||||||
4.875%, 7/17/49 (a) | 200 | 216,000 | ||||||
5.45%, 5/21/28 (a) | 220 | 253,275 | ||||||
Petroleos de Venezuela SA | ||||||||
5.375%, 4/12/27 (b)(f)(g) | 226 | 17,492 | ||||||
6.00%, 11/15/26 (b)(f)(g) | 220 | 17,050 | ||||||
9.00%, 11/17/21 (b)(f)(g) | 128 | 9,954 | ||||||
Petroleos Mexicanos | ||||||||
6.50%, 3/13/27 | 154 | 163,159 | ||||||
6.75%, 9/21/47 | 255 | 257,231 | ||||||
6.84%, 1/23/30 (a) | 52 | 55,635 | ||||||
6.875%, 8/04/26 | 60 | 65,880 | ||||||
7.69%, 1/23/50 (a) | 78 | 85,465 | ||||||
Petroliam Nasional Bhd | ||||||||
7.625%, 10/15/26 (a) | 469 | 610,188 | ||||||
Petronas Capital Ltd. | ||||||||
3.50%, 3/18/25 (a) | 264 | 277,035 | ||||||
Sinopec Group Overseas Development Ltd. | ||||||||
Series 2012 | ||||||||
3.90%, 5/17/22 (a) | 271 | 280,949 | ||||||
State Grid Overseas Investment Ltd. | ||||||||
Series 2013 | ||||||||
3.125%, 5/22/23 (a) | 260 | 265,931 | ||||||
State Oil Co. of the Azerbaijan Republic | ||||||||
6.95%, 3/18/30 (a) | 321 | 392,021 |
Principal Amount (000) | U.S. $ Value | |||||||
Trinidad Generation UnLtd. | ||||||||
5.25%, 11/04/27 (a) | U.S.$ | 200 | $ | 211,063 | ||||
|
| |||||||
Total Quasi-Sovereign Bonds | 7,172,110 | |||||||
|
| |||||||
Inflation-Linked Securities - 2.5% | ||||||||
U.S. Treasury Inflation Index | ||||||||
0.25%, 7/15/29 (TIPS) | 2,142 | 2,163,798 | ||||||
1.00%, 2/15/49 (TIPS) | 1,492 | 1,659,171 | ||||||
|
| |||||||
Total Inflation-Linked Securities | 3,822,969 | |||||||
|
| |||||||
Treasury Bonds - 2.2% | ||||||||
Indonesia Treasury Bond | ||||||||
Series FR65 | ||||||||
6.625%, 5/15/33 | IDR | 1,535,000 | 102,886 | |||||
Series FR68 | ||||||||
8.375%, 3/15/34 | 14,852,000 | 1,152,214 | ||||||
Mexican Bonos | ||||||||
Series M 20 | ||||||||
8.50%, 5/31/29 | MXN | 11,821 | 694,861 | |||||
Peru Government Bond | ||||||||
5.94%, 2/12/29 (a) | PEN | 2,030 | 688,286 | |||||
Russian Federal Bond - OFZ | ||||||||
Series 6215 | ||||||||
7.00%, 8/16/23 | RUB | 8,298 | 139,120 | |||||
Series 6222 | ||||||||
7.10%, 10/16/24 | 2,662 | 44,903 | ||||||
Series 6227 | ||||||||
7.40%, 7/17/24 | 37,543 | 638,880 | ||||||
|
| |||||||
Total Treasury Bonds | 3,461,150 | |||||||
|
| |||||||
Emerging Markets - Treasuries - 0.5% | ||||||||
Argentine Bonos del Tesoro | ||||||||
15.50%, 10/17/26 (d) | ARS | 77 | 348 | |||||
Republic of South Africa Government Bond | ||||||||
Series 2032 | ||||||||
8.25%, 3/31/32 | ZAR | 12,000 | 785,572 | |||||
|
| |||||||
Total Emerging Markets - Treasuries | 785,920 | |||||||
|
| |||||||
Regional Bonds - 0.0% | ||||||||
Provincia de Neuquen Argentina | ||||||||
7.50%, 4/27/25 (a) | U.S.$ | 68 | 50,022 | |||||
|
| |||||||
Total Fixed Income | 57,161,795 | |||||||
|
|
Company | Shares | U.S. $ Value | ||||||
EQUITY LINKED NOTES - 0.6% | ||||||||
Information Technology - 0.6% | ||||||||
Electronic Equipment, Instruments & Components - 0.6% | ||||||||
FPT Corp., Macquarie Bank Ltd., | 352,463 | $ | 886,766 | |||||
|
| |||||||
INVESTMENT COMPANIES - 0.1% | ||||||||
Funds and Investment Trusts - 0.1% | ||||||||
VFMVN30 ETF Fund (b)(k) | 239,030 | 152,359 | ||||||
|
| |||||||
Notional Amount | ||||||||
OPTIONS PURCHASED - PUTS - 0.0% | ||||||||
Options on Forward Contracts - 0.0% | ||||||||
CNH/USD Expiration: Jan 2020; Contracts: 54,237,250; Exercise Price: CNH 7.25; Counterparty: HSBC Bank USA (b) | CNH | 54,237,250 | 577 | |||||
|
| |||||||
Shares | ||||||||
SHORT-TERM INVESTMENTS - 5.9% | ||||||||
Investment Companies - 4.7% | ||||||||
AB Fixed Income Shares, Inc.-Government Money Market Portfolio-Class AB, 1.53% (k)(l)(m) | 7,253,164 | 7,253,164 | ||||||
|
| |||||||
Principal Amount (000) | ||||||||
Time Deposits - 0.4% | ||||||||
BBH Grand Cayman | ||||||||
(7.75)%, 1/02/20 | SEK | 9 | 996 | |||||
(1.00)%, 1/02/20 | ZAR | 30 | 2,136 | |||||
(0.68)%, 1/02/20 | EUR | 16 | 17,750 | |||||
0.32%, 1/02/20 | AUD | 6 | 4,233 | |||||
0.63%, 1/02/20 | SGD | 1 | 669 | |||||
0.66%, 1/02/20 | NOK | 2 | 197 | |||||
0.82%, 1/02/20 | CAD | 1 | 605 | |||||
1.66%, 1/02/20 | HKD | 73 | 9,432 | |||||
Citibank, London | ||||||||
0.36%, 1/02/20 | GBP | 24 | 31,146 | |||||
Sumitomo, London | ||||||||
1.56%, 1/02/20 | U.S.$ | 393 | 392,875 | |||||
Sumitomo, Tokyo | ||||||||
(0.24)%, 1/06/20 | JPY | 13,992 | 128,774 | |||||
|
| |||||||
Total Time Deposits | 588,813 | |||||||
|
|
Principal Amount (000) | U.S. $ Value | |||||||
Treasury Bills - 0.8% | ||||||||
Egypt Treasury Bills | EGP | 12,275 | $ | 743,258 | ||||
Nigeria Treasury Bills | NGN | 159,365 | 427,175 | |||||
|
| |||||||
Total Treasury Bills | 1,170,433 | |||||||
|
| |||||||
Total Short-Term Investments | 9,012,410 | |||||||
|
| |||||||
Total Investments Before Security Lending Collateral for Securities Loaned - 98.0% | 150,759,134 | |||||||
|
| |||||||
Shares | ||||||||
INVESTMENTS OF CASH COLLATERAL FOR SECURITIES LOANED -0.7% |
| |||||||
Investment Companies - 0.7% | ||||||||
AB Fixed Income Shares, Inc.-Government Money | 1,048,247 | 1,048,247 | ||||||
|
| |||||||
Total Investments - 98.7% | 151,807,381 | |||||||
Other assets less liabilities - 1.3% | 2,017,337 | |||||||
|
| |||||||
Net Assets - 100.0% | $ | 153,824,718 | ||||||
|
|
FUTURES | ||||||||||||||||
Description | Number of Contracts | Expiration Month | Current Notional | Value and Unrealized Appreciation/ (Depreciation) | ||||||||||||
Purchased Contracts |
| |||||||||||||||
FTSE China A50 Futures | 118 | January 2020 | $ | 1,702,333 | $ | 14,343 | ||||||||||
MSCI Emerging Markets Index Futures | 416 | March 2020 | 23,300,160 | 729,171 | ||||||||||||
U.S. T-Note 10 Yr (CBT) Futures | 7 | March 2020 | 898,953 | (8,117 | ) | |||||||||||
U.S. Ultra Bond (CBT) Futures | 3 | March 2020 | 544,969 | (15,399 | ) | |||||||||||
|
| |||||||||||||||
$ | 719,998 | |||||||||||||||
|
|
FORWARD CURRENCY EXCHANGE CONTRACTS
Counterparty | Contracts to Deliver (000) | In Exchange For (000) | Settlement Date | Unrealized Appreciation/ (Depreciation) | ||||||||||||||||
Bank of America, NA | RUB | 68,954 | USD | 1,073 | 1/17/20 | $ | (36,310 | ) | ||||||||||||
Bank of America, NA | MXN | 11,040 | USD | 572 | 1/07/20 | (11,606 | ) | |||||||||||||
Bank of America, NA | USD | 1,083 | PLN | 4,169 | 1/09/20 | 15,708 | ||||||||||||||
Bank of America, NA | USD | 238 | RUB | 15,152 | 1/17/20 | 6,038 | ||||||||||||||
Barclays Bank PLC | IDR | 14,940,808 | USD | 1,056 | 2/27/20 | (19,918 | ) | |||||||||||||
Barclays Bank PLC | KRW | 2,978,137 | USD | 2,507 | 2/06/20 | (71,311 | ) | |||||||||||||
Barclays Bank PLC | TWD | 97,820 | USD | 3,232 | 2/20/20 | (50,378 | ) | |||||||||||||
Barclays Bank PLC | INR | 56,636 | USD | 786 | 1/16/20 | (8,167 | ) | |||||||||||||
Barclays Bank PLC | RUB | 13,966 | USD | 223 | 1/17/20 | (1,283 | ) | |||||||||||||
Barclays Bank PLC | MYR | 16,113 | USD | 3,869 | 2/13/20 | (78,254 | ) | |||||||||||||
Barclays Bank PLC | USD | 3,004 | MYR | 12,501 | 2/13/20 | 57,949 | ||||||||||||||
Barclays Bank PLC | USD | 1,067 | INR | 76,199 | 1/16/20 | 1,955 | ||||||||||||||
Barclays Bank PLC | USD | 1,987 | INR | 141,132 | 1/16/20 | (7,366 | ) | |||||||||||||
Barclays Bank PLC | USD | 1,234 | KRW | 1,443,851 | 2/06/20 | 15,763 | ||||||||||||||
Barclays Bank PLC | USD | 388 | IDR | 5,470,895 | 2/27/20 | 5,387 | ||||||||||||||
BNP Paribas SA | COP | 3,488,600 | USD | 1,049 | 1/15/20 | (12,004 | ) | |||||||||||||
BNP Paribas SA | KRW | 562,679 | USD | 473 | 2/06/20 | (14,170 | ) | |||||||||||||
BNP Paribas SA | CNH | 74,397 | USD | 10,617 | 2/20/20 | (58,536 | ) | |||||||||||||
BNP Paribas SA | THB | 64,759 | USD | 2,134 | 1/16/20 | (28,466 | ) | |||||||||||||
BNP Paribas SA | CZK | 16,761 | USD | 716 | 1/09/20 | (23,788 | ) | |||||||||||||
BNP Paribas SA | TWD | 9,360 | USD | 309 | 2/20/20 | (4,796 | ) | |||||||||||||
BNP Paribas SA | USD | 756 | PLN | 2,923 | 1/09/20 | 14,115 | ||||||||||||||
BNP Paribas SA | USD | 1,451 | EUR | 1,313 | 1/16/20 | 23,072 | ||||||||||||||
BNP Paribas SA | USD | 1,098 | CZK | 25,420 | 1/09/20 | 22,910 | ||||||||||||||
BNP Paribas SA | USD | 2,375 | ZAR | 34,759 | 1/23/20 | 99,921 | ||||||||||||||
BNP Paribas SA | USD | 666 | KRW | 770,920 | 2/06/20 | 1,900 | ||||||||||||||
Brown Brothers Harriman & Co. | HUF | 73,377 | USD | 247 | 1/09/20 | (1,361 | ) | |||||||||||||
Brown Brothers Harriman & Co. | THB | 42,632 | USD | 1,409 | 1/16/20 | (14,834 | ) | |||||||||||||
Brown Brothers Harriman & Co. | JPY | 20,370 | USD | 188 | 1/30/20 | 553 | ||||||||||||||
Brown Brothers Harriman & Co. | ZAR | 15,307 | USD | 1,033 | 1/23/20 | (57,152 | ) | |||||||||||||
Brown Brothers Harriman & Co. | CZK | 15,616 | USD | 682 | 1/09/20 | (6,875 | ) | |||||||||||||
Brown Brothers Harriman & Co. | MXN | 28,545 | USD | 1,486 | 1/07/20 | (23,177 | ) | |||||||||||||
Brown Brothers Harriman & Co. | TRY | 3,787 | USD | 645 | 1/30/20 | 12,750 | ||||||||||||||
Brown Brothers Harriman & Co. | PLN | 1,215 | USD | 316 | 1/09/20 | (3,759 | ) | |||||||||||||
Brown Brothers Harriman & Co. | EUR | 757 | USD | 845 | 1/16/20 | (5,906 | ) | |||||||||||||
Brown Brothers Harriman & Co. | USD | 830 | EUR | 747 | 1/16/20 | 7,657 | ||||||||||||||
Brown Brothers Harriman & Co. | USD | 116 | PLN | 454 | 1/09/20 | 3,520 | ||||||||||||||
Brown Brothers Harriman & Co. | USD | 300 | TRY | 1,764 | 1/30/20 | (5,365 | ) | |||||||||||||
Brown Brothers Harriman & Co. | USD | 1,423 | CZK | 32,947 | 1/09/20 | 30,458 | ||||||||||||||
Brown Brothers Harriman & Co. | USD | 2,455 | MXN | 47,547 | 1/07/20 | 57,901 | ||||||||||||||
Brown Brothers Harriman & Co. | USD | 85 | JPY | 9,249 | 1/30/20 | 295 | ||||||||||||||
Brown Brothers Harriman & Co. | USD | 3,022 | THB | 91,457 | 1/16/20 | 32,364 | ||||||||||||||
Brown Brothers Harriman & Co. | USD | 2,577 | ZAR | 38,433 | 1/23/20 | 159,532 | ||||||||||||||
Citibank, NA | KRW | 4,595,284 | USD | 3,930 | 2/06/20 | (48,651 | ) | |||||||||||||
Citibank, NA | COP | 674,419 | USD | 203 | 1/15/20 | (1,985 | ) | |||||||||||||
Citibank, NA | CLP | 220,066 | USD | 292 | 1/15/20 | (466 | ) | |||||||||||||
Citibank, NA | BRL | 2,139 | USD | 531 | 1/03/20 | (1,055 | ) |
Counterparty | Contracts to Deliver (000) | In Exchange For (000) | Settlement Date | Unrealized Appreciation/ (Depreciation) | ||||||||||||||||
Citibank, NA | USD | 517 | BRL | 2,139 | 1/03/20 | $ | 14,238 | |||||||||||||
Citibank, NA | USD | 658 | BRL | 2,676 | 2/04/20 | 6,768 | ||||||||||||||
Citibank, NA | USD | 2,019 | TRY | 11,756 | 1/30/20 | (57,550 | ) | |||||||||||||
Citibank, NA | USD | 696 | COP | 2,422,603 | 1/15/20 | 40,259 | ||||||||||||||
Citibank, NA | USD | 823 | IDR | 11,679,548 | 2/27/20 | 17,345 | ||||||||||||||
Deutsche Bank AG | PEN | 2,668 | USD | 797 | 1/15/20 | (7,773 | ) | |||||||||||||
Goldman Sachs Bank USA | HUF | 269,176 | USD | 889 | 1/09/20 | (23,325 | ) | |||||||||||||
Goldman Sachs Bank USA | JPY | 312,601 | USD | 2,864 | 1/30/20 | (17,127 | ) | |||||||||||||
Goldman Sachs Bank USA | KRW | 178,349 | USD | 153 | 2/06/20 | (1,086 | ) | |||||||||||||
Goldman Sachs Bank USA | RUB | 94,497 | USD | 1,477 | 1/17/20 | (42,971 | ) | |||||||||||||
Goldman Sachs Bank USA | THB | 43,736 | USD | 1,449 | 1/16/20 | (11,133 | ) | |||||||||||||
Goldman Sachs Bank USA | MYR | 25,532 | USD | 6,121 | 2/13/20 | (133,827 | ) | |||||||||||||
Goldman Sachs Bank USA | PEN | 624 | USD | 184 | 1/15/20 | (4,280 | ) | |||||||||||||
Goldman Sachs Bank USA | USD | 5,886 | MYR | 24,612 | 2/13/20 | 143,823 | ||||||||||||||
Goldman Sachs Bank USA | USD | 266 | PLN | 1,041 | 1/09/20 | 8,680 | ||||||||||||||
Goldman Sachs Bank USA | USD | 411 | RUB | 26,412 | 1/17/20 | 14,185 | ||||||||||||||
Goldman Sachs Bank USA | USD | 451 | INR | 32,297 | 1/16/20 | 1,745 | ||||||||||||||
Goldman Sachs Bank USA | USD | 6,028 | JPY | 651,432 | 1/30/20 | (23,230 | ) | |||||||||||||
HSBC Bank USA | KRW | 923,287 | USD | 793 | 2/06/20 | (6,611 | ) | |||||||||||||
HSBC Bank USA | TWD | 33,828 | USD | 1,122 | 2/20/20 | (12,924 | ) | |||||||||||||
HSBC Bank USA | CNH | 18,693 | USD | 2,665 | 2/20/20 | (17,534 | ) | |||||||||||||
HSBC Bank USA | CZK | 28,007 | USD | 1,217 | 1/09/20 | (18,302 | ) | |||||||||||||
HSBC Bank USA | INR | 10,105 | USD | 142 | 1/16/20 | (150 | ) | |||||||||||||
HSBC Bank USA | BRL | 4,438 | USD | 1,039 | 1/03/20 | (64,626 | ) | |||||||||||||
HSBC Bank USA | USD | 608 | PLN | 2,361 | 1/09/20 | 14,307 | ||||||||||||||
HSBC Bank USA | USD | 1,101 | BRL | 4,438 | 1/03/20 | 2,190 | ||||||||||||||
HSBC Bank USA | USD | 257 | THB | 7,790 | 1/16/20 | 2,803 | ||||||||||||||
HSBC Bank USA | USD | 240 | INR | 17,012 | 1/16/20 | (1,114 | ) | |||||||||||||
HSBC Bank USA | USD | 515 | IDR | 7,259,971 | 2/27/20 | 7,988 | ||||||||||||||
JPMorgan Chase Bank, NA | IDR | 12,540,327 | USD | 880 | 2/27/20 | (22,904 | ) | |||||||||||||
JPMorgan Chase Bank, NA | COP | 594,415 | USD | 172 | 1/15/20 | (8,456 | ) | |||||||||||||
JPMorgan Chase Bank, NA | CLP | 234,431 | USD | 294 | 1/15/20 | (17,691 | ) | |||||||||||||
JPMorgan Chase Bank, NA | PHP | 28,940 | USD | 567 | 3/12/20 | (2,300 | ) | |||||||||||||
JPMorgan Chase Bank, NA | INR | 28,315 | USD | 392 | 1/16/20 | (5,274 | ) | |||||||||||||
JPMorgan Chase Bank, NA | CZK | 26,321 | USD | 1,141 | 1/09/20 | (19,556 | ) | |||||||||||||
JPMorgan Chase Bank, NA | TRY | 10,821 | USD | 1,854 | 1/30/20 | 48,364 | ||||||||||||||
JPMorgan Chase Bank, NA | PLN | 5,182 | USD | 1,340 | 1/09/20 | (25,963 | ) | |||||||||||||
JPMorgan Chase Bank, NA | BRL | 1,603 | USD | 383 | 1/03/20 | (15,424 | ) | |||||||||||||
JPMorgan Chase Bank, NA | USD | 662 | CZK | 15,212 | 1/09/20 | 9,113 | ||||||||||||||
JPMorgan Chase Bank, NA | USD | 398 | BRL | 1,603 | 1/03/20 | 791 | ||||||||||||||
JPMorgan Chase Bank, NA | USD | 452 | PLN | 1,725 | 1/09/20 | 2,477 | ||||||||||||||
JPMorgan Chase Bank, NA | USD | 757 | COP | 2,569,222 | 1/15/20 | 23,941 | ||||||||||||||
JPMorgan Chase Bank, NA | USD | 451 | IDR | 6,324,914 | 2/27/20 | 4,756 | ||||||||||||||
Morgan Stanley Capital Services LLC | CLP | 574,352 | USD | 776 | 1/15/20 | 12,404 | ||||||||||||||
Morgan Stanley Capital Services LLC | INR | 27,985 | USD | 390 | 1/16/20 | (2,769 | ) | |||||||||||||
Morgan Stanley Capital Services LLC | ZAR | 13,260 | USD | 898 | 1/23/20 | (46,084 | ) | |||||||||||||
Morgan Stanley Capital Services LLC | TRY | 6,219 | USD | 1,036 | 1/30/20 | (1,593 | ) | |||||||||||||
Morgan Stanley Capital Services LLC | MYR | 11,468 | USD | 2,730 | 2/13/20 | (79,088 | ) | |||||||||||||
Morgan Stanley Capital Services LLC | PLN | 4,887 | USD | 1,262 | 1/09/20 | (26,684 | ) | |||||||||||||
Morgan Stanley Capital Services LLC | PEN | 500 | USD | 148 | 1/15/20 | (3,147 | ) | |||||||||||||
Morgan Stanley Capital Services LLC | USD | 5,295 | MYR | 22,299 | 2/13/20 | 167,966 | ||||||||||||||
Morgan Stanley Capital Services LLC | USD | 716 | MXN | 14,034 | 1/07/20 | 25,875 | ||||||||||||||
Morgan Stanley Capital Services LLC | USD | 280 | INR | 20,022 | 1/16/20 | 749 | ||||||||||||||
Royal Bank of Scotland PLC | COP | 3,970,125 | USD | 1,143 | 1/15/20 | (63,675 | ) | |||||||||||||
Royal Bank of Scotland PLC | KRW | 1,396,971 | USD | 1,190 | 2/06/20 | (19,726 | ) | |||||||||||||
Royal Bank of Scotland PLC | RUB | 22,492 | USD | 351 | 1/17/20 | (10,852 | ) |
Counterparty | Contracts to Deliver (000) | In Exchange For (000) | Settlement Date | Unrealized Appreciation/ (Depreciation) | ||||||||||||||||
Royal Bank of Scotland PLC | PEN | 16,713 | USD | 4,951 | 1/15/20 | $ | (91,394 | ) | ||||||||||||
Royal Bank of Scotland PLC | EUR | 1,302 | USD | 1,435 | 1/16/20 | (26,535 | ) | |||||||||||||
Royal Bank of Scotland PLC | USD | 4,449 | PEN | 15,115 | 1/15/20 | 111,758 | ||||||||||||||
Royal Bank of Scotland PLC | USD | 1,116 | COP | 3,753,204 | 1/15/20 | 24,910 | ||||||||||||||
Standard Chartered Bank | JPY | 160,070 | USD | 1,469 | 1/30/20 | (6,747 | ) | |||||||||||||
Standard Chartered Bank | INR | 123,532 | USD | 1,733 | 1/16/20 | 227 | ||||||||||||||
Standard Chartered Bank | TWD | 57,080 | USD | 1,879 | 2/20/20 | (35,770 | ) | |||||||||||||
Standard Chartered Bank | USD | 1,103 | INR | 79,632 | 1/16/20 | 13,474 | ||||||||||||||
UBS AG | PHP | 29,072 | USD | 571 | 3/12/20 | (1,415 | ) | |||||||||||||
UBS AG | BRL | 45,848 | USD | 11,089 | 1/03/20 | (307,880 | ) | |||||||||||||
UBS AG | BRL | 24,875 | USD | 6,092 | 2/04/20 | (85,441 | ) | |||||||||||||
UBS AG | USD | 11,303 | BRL | 45,848 | 1/03/20 | 94,203 | ||||||||||||||
UBS AG | USD | 306 | KRW | 355,808 | 2/06/20 | 1,895 | ||||||||||||||
|
| |||||||||||||||||||
$ | (579,888 | ) | ||||||||||||||||||
|
|
CENTRALLY CLEARED CREDIT DEFAULT SWAPS
Description | Fixed Rate (Pay) Receive | Payment Frequency | Implied Credit Spread at December 31, 2019 | Notional Amount (000) | Market Value | Upfront Premiums Paid (Received) | Unrealized Appreciation/ (Depreciation) | |||||||||||||||||||||
Buy Contracts |
| |||||||||||||||||||||||||||
Republic of Turkey, 11.875%, 1/15/30, 12/20/24* | (1.00 | )% | Quarterly | 2.79 | % | USD | 640 | $ | 51,197 | $ | 71,074 | $ | (19,877 | ) | ||||||||||||||
South Africa Government International Bond, 5.500%, 3/09/20,12/20/24* | (1.00 | ) | Quarterly | 1.62 | USD | 1,360 | 39,002 | 53,288 | (14,286 | ) | ||||||||||||||||||
|
|
|
|
|
| |||||||||||||||||||||||
$ | 90,199 | $ | 124,362 | $ | (34,163 | ) | ||||||||||||||||||||||
|
|
|
|
|
|
* | Termination date |
CENTRALLY CLEARED INTEREST RATE SWAPS
Rate Type | ||||||||||||||||||||||||||||||||
Notional Amount (000) | Termination Date | Payments made by the Fund | Payments received by the Fund | Payment Frequency Paid/Received | Market Value | Upfront Premiums Paid (Received) | Unrealized Appreciation/ (Depreciation) | |||||||||||||||||||||||||
BRL | 21,000 | 1/03/22 | 5.180% | 1 Day CDI | Maturity | $ | 3,880 | $ | – 0 | – | $ | 3,880 | ||||||||||||||||||||
BRL | 9,800 | 1/02/25 | 1 Day CDI | 6.173% | Maturity | (8,736 | ) | – 0 | – | (8,736 | ) | |||||||||||||||||||||
USD | 11,700 | 10/02/29 | 3 Month LIBOR | 1.589% | Quarterly/Semi-Annual | (343,819 | ) | – 0 | – | (343,819 | ) | |||||||||||||||||||||
|
|
|
|
|
| |||||||||||||||||||||||||||
$ | (348,675 | ) | $ | – 0 | – | $ | (348,675 | ) | ||||||||||||||||||||||||
|
|
|
|
|
|
TOTAL RETURN SWAPS
Counterparty & Referenced Obligation | Rate Paid/ Received | Payment Frequency | Current Notional (000) | Maturity Date | Unrealized Appreciation/ (Depreciation) | |||||||||||||||
Recieve Total Return on Reference Obligation |
| |||||||||||||||||||
Goldman Sachs International MSCI Emerging Markets Growth | LIBOR Plus 0.33 | % | Quarterly | USD | 14,453 | 12/15/20 | $ | 416,634 | ||||||||||||
Pay Total Return on Reference Obligation |
| |||||||||||||||||||
Citibank, NA iShares Trust JPMorgan USD Emerging Markets Bond Fund | LIBOR Plus 0.90 | % | Maturity | USD | 20,472 | 1/15/20 | (102,961 | ) | ||||||||||||
JPMorgan Chase Bank, NA iShares Trust JPMorgan USD Emerging Markets Bond Fund | LIBOR Plus 1.00 | % | Maturity | USD | 3,780 | 1/15/20 | (19,823 | ) | ||||||||||||
iShares Trust JPMorgan USD Emerging Markets Bond Fund | LIBOR Plus 0.85 | % | Maturity | USD | 5,384 | 1/15/20 | (30,895 | ) | ||||||||||||
|
| |||||||||||||||||||
$ | 262,955 | |||||||||||||||||||
|
|
VARIANCE SWAPS
Swap Counterparty & Referenced Obligation | Volatility Strike Rate | Payment Frequency | Notional Amount (000) | Market Value | Upfront Premiums (Paid) Received | Unrealized Appreciation/ (Depreciation) | ||||||||||||||||||||||
Buy Contracts |
| |||||||||||||||||||||||||||
JPMorgan Chase Bank, NA | ||||||||||||||||||||||||||||
Hang Seng China Enterprises Index 6/29/20* | 20.54 | % | Maturity | HKD | 39 | $ | (6,622 | ) | $ | – 0 | – | $ | (6,622 | ) | ||||||||||||||
Hang Seng China Enterprises Index 6/29/20* | 20.34 | Maturity | HKD | 54 | (5,164 | ) | – 0 | – | (5,164 | ) | ||||||||||||||||||
Hang Seng China Enterprises Index 6/29/20* | 20.94 | Maturity | HKD | 117 | (25,274 | ) | – 0 | – | (25,274 | ) | ||||||||||||||||||
Hang Seng China Enterprises Index 6/29/20* | 21.29 | Maturity | HKD | 115 | (29,696 | ) | – 0 | – | (29,696 | ) | ||||||||||||||||||
Sale Contracts |
| |||||||||||||||||||||||||||
JPMorgan Chase Bank, NA | ||||||||||||||||||||||||||||
Hang Seng China Enterprises Index 1/30/20* | 17.55 | Maturity | HKD | 45 | 2,585 | – 0 | – | 2,585 | ||||||||||||||||||||
|
|
|
|
|
| |||||||||||||||||||||||
$ | (64,171 | ) | $ | – 0 | – | $ | (64,171 | ) | ||||||||||||||||||||
|
|
|
|
|
|
* | Termination date |
(a) | Security is exempt from registration under Rule 144A of the Securities Act of 1933. These securities are considered restricted, but liquid and may be resold in transactions exempt from registration, normally to qualified institutional buyers. At December 31, 2019, the aggregate market value of these securities amounted to $44,779,895 or 29.1% of net assets. |
(b) | Non-income producing security. |
(c) | Represents entire or partial securities out on loan. |
(d) | Illiquid security. |
(e) | Floating Rate Security. Stated interest/floor/ceiling rate was in effect at December 31, 2019. |
(f) | Defaulted. |
(g) | Security is exempt from registration under Rule 144A of the Securities Act of 1933. These securities, which represent 0.19% of net assets as of December 31, 2019, are considered illiquid and restricted. Additional information regarding such securities follows: |
144A/Restricted & Illiquid Securities | Acquisition Date | Cost | Market Value | Percentage of Net Assets | ||||||||||||
Digicel Group One Ltd. | ||||||||||||||||
8.25%, 12/30/22 | 1/14/19 | $ | 258,659 | $ | 131,205 | 0.09 | % | |||||||||
Petroleos de Venezuela SA | ||||||||||||||||
9.00%, 11/17/21 | 6/12/17 | 185,816 | 44,496 | 0.03 | % | |||||||||||
Tonon Luxembourg SA | ||||||||||||||||
6.50%, 10/31/24 | 5/03/19 | 246,579 | 3,143 | 0.00 | % | |||||||||||
Venezuela Government International Bond | ||||||||||||||||
12.75%, 8/23/22 | 9/05/18 | 290,099 | 95,290 | 0.06 | % | |||||||||||
Virgolino de Oliveira Finance SA | ||||||||||||||||
11.75%, 2/09/22 | 7/12/13 | 172,628 | 8,015 | 0.01 | % |
(h) | Security in which significant unobservable inputs (Level 3) were used in determining fair value. |
(i) | Fair valued by the Adviser. |
(j) | Pay-In-Kind Payments (PIK). The issuer may pay cash interest and/or interest in additional debt securities. Rates shown are the rates in effect at December 31, 2019. |
(k) | To obtain a copy of the fund’s shareholder report, please go to the Securities and Exchange Commission’s website at www.sec.gov. Additionally, shareholder reports for AB funds can be obtained by calling AB at (800) 227-4618. |
(l) | The rate shown represents the 7-day yield as of period end. |
(m) | Affiliated investments. |
(n) | 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 $18,228,701 and gross unrealized depreciation of investments was $(5,796,519), resulting in net unrealized appreciation of $12,432,182. |
Currency Abbreviations:
ARS | - | Argentine Peso | ||
AUD | - | Australian Dollar | ||
BRL | - | Brazilian Real | ||
CAD | - | Canadian Dollar | ||
CLP | - | Chilean Peso | ||
CNH | - | Chinese Yuan Renminbi (Offshore) | ||
COP | - | Colombian Peso | ||
CZK | - | Czech Koruna | ||
EGP | - | Egyptian Pound | ||
EUR | - | Euro | ||
GBP | - | Great British Pound | ||
HKD | - | Hong Kong Dollar | ||
HUF | - | Hungarian Forint | ||
IDR | - | Indonesian Rupiah | ||
INR | - | Indian Rupee | ||
JPY | - | Japanese Yen | ||
KRW | - | South Korean Won | ||
MXN | - | Mexican Peso | ||
MYR | - | Malaysian Ringgit | ||
NGN | - | Nigerian Naira | ||
NOK | - | Norwegian Krone | ||
PEN | - | Peruvian Sol | ||
PHP | - | Philippine Peso | ||
PLN | - | Polish Zloty | ||
RUB | - | Russian Ruble | ||
SEK | - | Swedish Krona | ||
SGD | - | Singapore Dollar | ||
THB | - | Thailand Baht | ||
TRY | - | Turkish Lira | ||
TWD | - | New Taiwan Dollar | ||
USD | - | United States Dollar | ||
ZAR | - | South African Rand |
Glossary:
ADR | - | American Depositary Receipt | ||
CBT | - | Chicago Board of Trade | ||
CDI | - | Brazil CETIP Interbank Deposit Rate | ||
ETF | - | Exchange Traded Fund | ||
FTSE | - | Financial Times Stock Exchange | ||
GDR | - | Global Depositary Receipt | ||
JSC | - | Joint Stock Company | ||
LIBOR | - | London Interbank Offered Rates | ||
MSCI | - | Morgan Stanley Capital International | ||
PJSC | - | Public Joint Stock Company | ||
TIPS | - | Treasury Inflation Protected Security |
COUNTRY BREAKDOWN1
December 31, 2019 (unaudited)
20.3% | China | |||
9.1% | Taiwan | |||
8.2% | South Korea | |||
5.7% | Russia | |||
4.6% | Brazil | |||
3.5% | Indonesia | |||
2.9% | India | |||
2.5% | United States | |||
2.5% | Mexico | |||
2.2% | South Africa | |||
1.9% | United Arab Emirates | |||
1.8% | Turkey | |||
1.8% | Argentina | |||
27.0% | Other | |||
6.0% | Short-Term | |||
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100.0% | Total Investments | |||
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1 | All data are as of December 31, 2019. The Fund’s country breakdown is expressed as a percentage of total investments (excluding security lending collateral) and may vary over time. “Other” country weightings represent 1.6% or less in the following: Angola, Azerbaijan, Bahrain, Bermuda, Canada, Chile, Colombia, Costa Rica, Czech Republic, Dominican Republic, Ecuador, Egypt, El Salvador, Gabon, Ghana, Greece, Guatemala, Honduras, Hong Kong, Hungary, Iraq, Ivory Coast, Jamaica, Japan, Kazakhstan, Kenya, Lebanon, Luxembourg, Malaysia, Mongolia, Nigeria, Oman, Pakistan, Panama, Peru, Philippines, Poland, Portugal, Qatar, Saudi Arabia, Senegal, Sri Lanka, Thailand, Trinidad & Tobago, Ukraine, United Kingdom, United Republic of Tanzania, Uruguay, Venezuela, Vietnam and Zambia. |
AB Emerging Markets Multi-Asset Portfolio
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) |
The fair value of debt instruments, such as bonds, and over-the-counter derivatives is generally based on market price quotations, recently executed market transactions (where observable) or industry recognized modeling techniques and are generally classified as Level 2. Pricing vendor inputs to Level 2 valuations may include quoted prices for similar investments in active markets, interest rate curves, coupon rates, currency rates, yield curves, option adjusted spreads, default rates, credit spreads and other unique security features in order to estimate the relevant cash flows which are then discounted to calculate fair values. If these inputs are unobservable and significant to the fair value, these investments will be classified as Level 3.
Where readily available market prices or relevant bid prices are not available for certain equity investments, such investments may be valued based on similar publicly traded investments, movements in relevant indices since last available prices or based upon underlying company fundamentals and comparable company data (such as multiples to earnings or other multiples to equity). Where an investment is valued using an observable input, such as another publicly traded security, the investment will be classified as Level 2. If management determines that an adjustment is appropriate based on restrictions on resale, illiquidity or uncertainty, and such adjustment is a significant component of the valuation, the investment will be classified as Level 3. An investment will also be classified as Level 3 where management uses company fundamentals and other significant inputs to determine the valuation.
Other fixed income investments, including non-U.S. government and corporate debt, are generally valued using quoted market prices, if available, which are typically impacted by current interest rates, maturity dates and any perceived credit risk of the issuer. Additionally, in the absence of quoted market prices, these inputs are used by pricing vendors to derive a valuation based upon industry or proprietary models which incorporate issuer specific data with relevant yield/spread comparisons with more widely quoted bonds with similar key characteristics. Those investments for which there are observable inputs are classified as Level 2. Where the inputs are not observable, the investments are classified as Level 3.
The following table summarizes the valuation of the 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: | ||||||||||||||||
Common Stocks: | ||||||||||||||||
Financials | $ | 4,860,617 | $ | 17,396,999 | $ | – 0 | – | $ | 22,257,616 | |||||||
Information Technology | 354,595 | 16,818,981 | – 0 | – | 17,173,576 | |||||||||||
Consumer Discretionary | 5,518,685 | 4,524,390 | – 0 | – | 10,043,075 | |||||||||||
Materials | 343,342 | 8,832,680 | – 0 | – | 9,176,022 | |||||||||||
Energy | 3,878,417 | 2,644,202 | – 0 | – | 6,522,619 | |||||||||||
Industrials | 309,662 | 4,614,240 | – 0 | – | 4,923,902 | |||||||||||
Communication Services | 1,715,834 | 1,905,722 | – 0 | – | 3,621,556 | |||||||||||
Consumer Staples | 187,069 | 2,850,715 | – 0 | – | 3,037,784 | |||||||||||
Real Estate | 1,241,256 | 1,700,027 | – 0 | – | 2,941,283 | |||||||||||
Utilities | 436,618 | 2,258,640 | – 0 | – | 2,695,258 | |||||||||||
Health Care | 224,156 | 928,380 | – 0 | – | 1,152,536 | |||||||||||
Fixed Income Securities: | ||||||||||||||||
Sovereign Bonds | – 0 | – | 33,119,569 | – 0 | – | 33,119,569 | ||||||||||
Corporate Bonds | – 0 | – | 8,746,912 | 3,143 | 8,750,055 | |||||||||||
Quasi-Sovereign Bonds | – 0 | – | 7,172,110 | – 0 | – | 7,172,110 | ||||||||||
Inflation-Linked Securities | – 0 | – | 3,822,969 | – 0 | – | 3,822,969 | ||||||||||
Treasury Bonds | – 0 | – | 3,461,150 | – 0 | – | 3,461,150 | ||||||||||
Emerging Markets - Treasuries | – 0 | – | 785,920 | – 0 | – | 785,920 | ||||||||||
Regional Bonds | – 0 | – | 50,022 | – 0 | – | 50,022 | ||||||||||
Equity Linked Notes | – 0 | – | 886,766 | – 0 | – | 886,766 | ||||||||||
Investment Companies | – 0 | – | 152,359 | – 0 | – | 152,359 | ||||||||||
Options Purchased- Puts | – 0 | – | 577 | – 0 | – | 577 | ||||||||||
Short-Term Investments: | ||||||||||||||||
Investment Companies | 7,253,164 | – 0 | – | – 0 | – | 7,253,164 | ||||||||||
Time Deposits | – 0 | – | 588,813 | – 0 | – | 588,813 | ||||||||||
Treasury Bills | – 0 | – | 1,170,433 | – 0 | – | 1,170,433 | ||||||||||
Investments of Cash Collateral for | ||||||||||||||||
Securities Loaned in Affiliated | ||||||||||||||||
Money Market Fund | 1,048,247 | – 0 | – | – 0 | – | 1,048,247 | ||||||||||
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Total Investments in Securities | 27,371,662 | 124,432,576 | 3,143 | 151,807,381 | ||||||||||||
Other Financial Instruments*: | ||||||||||||||||
Assets | ||||||||||||||||
Futures | 729,171 | 14,343 | – 0 | – | 743,514 | |||||||||||
Forward Currency Exchange Contracts | – 0 | – | 1,386,982 | – 0 | – | 1,386,982 | ||||||||||
Centrally Cleared Credit Default Swaps | – 0 | – | 90,199 | – 0 | – | 90,199 | ||||||||||
Centrally Cleared Interest Rate Swaps | – 0 | – | 3,880 | – 0 | – | 3,880 | ||||||||||
Total Return Swaps | – 0 | – | 416,634 | – 0 | – | 416,634 | ||||||||||
Variance Swaps | – 0 | – | 2,585 | – 0 | – | 2,585 | ||||||||||
Liabilities | ||||||||||||||||
Futures | (23,516 | ) | – 0 | – | – 0 | – | (23,516 | ) | ||||||||
Forward Currency Exchange Contracts | – 0 | – | (1,966,870 | ) | – 0 | – | (1,966,870 | ) | ||||||||
Centrally Cleared Interest Rate Swaps | – 0 | – | (352,555 | ) | – 0 | – | (352,555 | ) | ||||||||
Total Return Swaps | – 0 | – | (153,679 | ) | – 0 | – | (153,679 | ) | ||||||||
Variance Swaps | – 0 | – | (66,756 | ) | – 0 | – | (66,756 | ) | ||||||||
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Total | $ | 28,077,317 | $ | 123,807,339 | $ | 3,143 | $ | 151,887,799 | ||||||||
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* | 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, 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 | $ | 19,689 | $ | 63,125 | $ | 75,561 | $ | 7,253 | $ | 224 | ||||||||||
Government Money Market Portfolio* | 755 | 12,696 | 12,403 | 1,048 | 6 | |||||||||||||||
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Total | $ | 8,301 | $ | 230 | ||||||||||||||||
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* | Investment of cash collateral for securities lending transactions. |