AB Cap Fund, Inc.
AB All Market Income Portfolio
Portfolio of Investments
February 28, 2021 (unaudited)
Company | Shares | U.S. $ Value | ||||||
INVESTMENT COMPANIES – 37.5% |
| |||||||
Funds and Investment Trusts – 37.5%(a) |
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AB High Income Fund, Inc. - Class Z(b) | 4,070,007 | $ | 32,560,058 | |||||
Vanguard Global ex-U.S. Real Estate ETF | 8,796 | 480,701 | ||||||
Vanguard Real Estate ETF | 5,401 | 474,586 | ||||||
|
| |||||||
Total Investment Companies | 33,515,345 | |||||||
|
| |||||||
COMMON STOCKS – 35.0% |
| |||||||
Information Technology – 6.5% |
| |||||||
Communications Equipment – 0.1% |
| |||||||
Cisco Systems, Inc./Delaware | 1,119 | 50,210 | ||||||
Juniper Networks, Inc. | 125 | 2,910 | ||||||
Motorola Solutions, Inc. | 15 | 2,632 | ||||||
|
| |||||||
55,752 | ||||||||
|
| |||||||
Electronic Equipment, Instruments & Components – 0.0% |
| |||||||
Arrow Electronics, Inc.(c) | 125 | 12,533 | ||||||
Hitachi Ltd. | 256 | 11,807 | ||||||
Venture Corp., Ltd. | 104 | 1,484 | ||||||
|
| |||||||
25,824 | ||||||||
|
| |||||||
IT Services – 0.7% |
| |||||||
Amadeus IT Group SA - Class A(c) | 202 | 14,103 | ||||||
Automatic Data Processing, Inc. | 129 | 22,449 | ||||||
Booz Allen Hamilton Holding Corp. | 186 | 14,348 | ||||||
Broadridge Financial Solutions, Inc. | 1,377 | 196,209 | ||||||
Capgemini SE | 113 | 18,148 | ||||||
Computershare Ltd. | 184 | 1,883 | ||||||
Fidelity National Information Services, Inc.(d) | 159 | 21,942 | ||||||
Genpact Ltd. | 181 | 7,320 | ||||||
International Business Machines Corp. | 1,853 | 220,377 | ||||||
Mastercard, Inc. - Class A | 43 | 15,215 | ||||||
MongoDB, Inc.(c) | 92 | 35,505 | ||||||
Nomura Research Institute Ltd. | 200 | 6,205 | ||||||
Paychex, Inc. | 339 | 30,873 | ||||||
Visa, Inc. - Class A | 75 | 15,929 | ||||||
Western Union Co. (The) - Class W | 1,165 | 27,051 | ||||||
|
| |||||||
647,557 | ||||||||
|
| |||||||
Semiconductors & Semiconductor Equipment – 1.4% |
| |||||||
ASML Holding NV | 114 | 64,652 | ||||||
Broadcom, Inc. | 7 | 3,289 | ||||||
Intel Corp. | 3,959 | 240,627 | ||||||
KLA Corp. | 841 | 261,745 | ||||||
Maxim Integrated Products, Inc. | 100 | 9,317 | ||||||
QUALCOMM, Inc. | 1,930 | 262,847 | ||||||
STMicroelectronics NV | 3,663 | 142,261 | ||||||
Taiwan Semiconductor Manufacturing Co., Ltd. (Sponsored ADR) | 170 | 21,410 | ||||||
Texas Instruments, Inc. | 1,474 | 253,925 | ||||||
Tokyo Electron Ltd. | 40 | 16,681 | ||||||
|
| |||||||
1,276,754 | ||||||||
|
| |||||||
Software – 2.6% |
| |||||||
Activision Blizzard, Inc. | 187 | 17,879 |
1
Company | Shares | U.S. $ Value | ||||||
Adobe, Inc.(c) | 663 | $ | 304,761 | |||||
Autodesk, Inc.(c) | 272 | 75,072 | ||||||
Cadence Design Systems, Inc.(c) | 1,796 | 253,398 | ||||||
Citrix Systems, Inc. | 186 | 24,846 | ||||||
Constellation Software, Inc./Canada | 14 | 18,127 | ||||||
Crowdstrike Holdings, Inc. - Class A(c) | 561 | 121,176 | ||||||
Electronic Arts, Inc.(c) | 1,303 | 174,563 | ||||||
Microsoft Corp. | 3,122 | 725,491 | ||||||
Nice Ltd.(c) | 17 | 3,927 | ||||||
NortonLifeLock, Inc. | 1,643 | 32,055 | ||||||
Oracle Corp. | 3,808 | 245,654 | ||||||
Oracle Corp./Japan | 100 | 10,149 | ||||||
Sage Group PLC (The) | 412 | 3,219 | ||||||
ServiceNow, Inc.(c) | 479 | 255,527 | ||||||
Trade Desk, Inc. (The) - Class A(c) | 14 | 11,275 | ||||||
Trend Micro, Inc./Japan | 50 | 2,417 | ||||||
Zoom Video Communications, Inc. - Class A(c) | 167 | 62,393 | ||||||
|
| |||||||
2,341,929 | ||||||||
|
| |||||||
Technology Hardware, Storage & Peripherals – 1.7% |
| |||||||
Apple, Inc.(d) | 9,984 | 1,210,660 | ||||||
Brother Industries Ltd. | 84 | 1,665 | ||||||
HP, Inc. | 358 | 10,371 | ||||||
Logitech International SA | 81 | 8,612 | ||||||
NetApp, Inc. | 3,364 | 210,586 | ||||||
Seagate Technology PLC | 728 | 53,311 | ||||||
|
| |||||||
1,495,205 | ||||||||
|
| |||||||
5,843,021 | ||||||||
|
| |||||||
Financials – 5.7% |
| |||||||
Banks – 1.4% |
| |||||||
Bank Leumi Le-Israel BM | 4,204 | 25,498 | ||||||
Bank of America Corp. | 159 | 5,519 | ||||||
BOC Hong Kong Holdings Ltd. | 1,400 | 4,652 | ||||||
Citigroup, Inc. | 2,067 | 136,174 | ||||||
Citizens Financial Group, Inc. | 3,779 | 164,159 | ||||||
Concordia Financial Group Ltd. | 389 | 1,507 | ||||||
DBS Group Holdings Ltd. | 824 | 16,327 | ||||||
Fifth Third Bancorp | 7,266 | 252,058 | ||||||
Hang Seng Bank Ltd. | 23 | 444 | ||||||
Huntington Bancshares, Inc./OH | 2,432 | 37,307 | ||||||
JPMorgan Chase & Co. | 91 | 13,392 | ||||||
KBC Group NV(c) | 117 | 8,397 | ||||||
KeyCorp | 103 | 2,074 | ||||||
M&T Bank Corp. | 48 | 7,245 | ||||||
Nordea Bank Abp | 27,529 | 249,325 | ||||||
Oversea-Chinese Banking Corp., Ltd. | 623 | 5,097 | ||||||
PNC Financial Services Group, Inc. (The) | 113 | 19,025 | ||||||
Regions Financial Corp. | 104 | 2,146 | ||||||
Royal Bank of Canada | 175 | 14,901 | ||||||
Sumitomo Mitsui Financial Group, Inc. | 7,200 | 254,199 | ||||||
SVB Financial Group(c) | 54 | 27,289 | ||||||
Toronto-Dominion Bank (The) | 78 | 4,728 | ||||||
Truist Financial Corp. | 357 | 20,335 | ||||||
United Overseas Bank Ltd. | 168 | 3,085 |
2
Company | Shares | U.S. $ Value | ||||||
US Bancorp | 202 | $ | 10,100 | |||||
|
| |||||||
1,284,983 | ||||||||
|
| |||||||
Capital Markets – 1.2% |
| |||||||
3i Group PLC | 52 | 807 | ||||||
Ameriprise Financial, Inc. | 46 | 10,177 | ||||||
ASX Ltd.(e) | 73 | 3,801 | ||||||
Bank of New York Mellon Corp. (The) | 182 | 7,673 | ||||||
CME Group, Inc. - Class A | 218 | 43,535 | ||||||
Daiwa Securities Group, Inc. | 3,000 | 14,681 | ||||||
EQT AB | 480 | 13,306 | ||||||
Franklin Resources, Inc. | 3,548 | 92,851 | ||||||
Goldman Sachs Group, Inc. (The) | 556 | 177,631 | ||||||
Hargreaves Lansdown PLC | 125 | 2,643 | ||||||
IGM Financial, Inc.(e) | 7,653 | 208,795 | ||||||
Magellan Financial Group Ltd. | 48 | 1,604 | ||||||
Moody’s Corp. | 728 | 200,120 | ||||||
Morgan Stanley | 1,129 | 86,786 | ||||||
Northern Trust Corp. | 75 | 7,135 | ||||||
Partners Group Holding AG | 22 | 26,340 | ||||||
S&P Global, Inc. | 37 | 12,186 | ||||||
Schroders PLC | 47 | 2,300 | ||||||
Singapore Exchange Ltd. | 1,404 | 10,453 | ||||||
Standard Life Aberdeen PLC | 27,123 | 118,462 | ||||||
State Street Corp. | 64 | 4,657 | ||||||
T Rowe Price Group, Inc. | 305 | 49,453 | ||||||
|
| |||||||
1,095,396 | ||||||||
|
| |||||||
Consumer Finance – 0.1% |
| |||||||
Capital One Financial Corp. | 220 | 26,441 | ||||||
Discover Financial Services | 115 | 10,818 | ||||||
Synchrony Financial | 63 | 2,437 | ||||||
|
| |||||||
39,696 | ||||||||
|
| |||||||
Diversified Financial Services – 0.3% |
| |||||||
Kinnevik AB - Class B(c) (e) | 2,454 | �� | 113,874 | |||||
M&G PLC | 50,987 | 131,324 | ||||||
|
| |||||||
245,198 | ||||||||
|
| |||||||
Equity Real Estate Investment Trusts (REITs) – 0.3% |
| |||||||
Mapletree Logistics Trust | 56,500 | 77,953 | ||||||
Orix JREIT, Inc.(e) | 123 | 210,671 | ||||||
|
| |||||||
288,624 | ||||||||
|
| |||||||
Insurance – 1.9% |
| |||||||
Admiral Group PLC | 72 | 3,116 | ||||||
Aflac, Inc. | 149 | 7,136 | ||||||
Allianz SE | 142 | 34,273 | ||||||
Assicurazioni Generali SpA | 154 | 2,888 | ||||||
Baloise Holding AG | 18 | 3,148 | ||||||
CNP Assurances(c) | 625 | 11,247 | ||||||
Direct Line Insurance Group PLC | 516 | 2,307 | ||||||
Fidelity National Financial, Inc. | 104 | 3,981 | ||||||
Gjensidige Forsikring ASA | 75 | 1,720 | ||||||
Great-West Lifeco, Inc.(e) | 105 | 2,687 | ||||||
Hannover Rueck SE | 23 | 3,894 | ||||||
Hartford Financial Services Group, Inc. (The) | 35 | 1,774 |
3
Company | Shares | U.S. $ Value | ||||||
iA Financial Corp., Inc. | 2,359 | $ | 121,212 | |||||
Japan Post Holdings Co., Ltd. | 27,200 | 233,788 | ||||||
Legal & General Group PLC | 46,350 | 168,538 | ||||||
Lincoln National Corp. | 73 | 4,152 | ||||||
Manulife Financial Corp.(e) | 9,401 | 187,414 | ||||||
Medibank Pvt Ltd. | 1,042 | 2,224 | ||||||
MetLife, Inc. | 4,477 | 257,875 | ||||||
MS&AD Insurance Group Holdings, Inc. | 6 | 170 | ||||||
NN Group NV | 5,181 | 239,226 | ||||||
Power Corp. of Canada | 3 | 72 | ||||||
Principal Financial Group, Inc. | 102 | 5,771 | ||||||
Progressive Corp. (The) | 224 | 19,253 | ||||||
Prudential Financial, Inc. | 2,927 | 253,830 | ||||||
Reinsurance Group of America, Inc. – Class A | 26 | 3,178 | ||||||
RenaissanceRe Holdings Ltd. | 67 | 11,188 | ||||||
Sampo Oyj - Class A | 202 | 8,991 | ||||||
Sompo Holdings, Inc. | 8 | 308 | ||||||
Sun Life Financial, Inc.(e) | 119 | 5,727 | ||||||
Swiss Life Holding AG | 12 | 5,964 | ||||||
T&D Holdings, Inc. | 203 | 2,765 | ||||||
Tokio Marine Holdings, Inc. | 144 | 7,154 | ||||||
Travelers Cos., Inc. (The) | 61 | 8,875 | ||||||
Tryg A/S | 57 | 1,790 | ||||||
Zurich Insurance Group AG | 94 | 38,372 | ||||||
|
| |||||||
1,666,008 | ||||||||
|
| |||||||
Mortgage Real Estate Investment Trusts (REITs) – 0.5% |
| |||||||
AGNC Investment Corp. | 13,853 | 222,064 | ||||||
Annaly Capital Management, Inc. | 26,320 | 218,719 | ||||||
|
| |||||||
440,783 | ||||||||
|
| |||||||
5,060,688 | ||||||||
|
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Industrials – 3.7% |
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Aerospace & Defense – 0.1% |
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BAE Systems PLC | 462 | 3,127 | ||||||
General Dynamics Corp. | 61 | 9,972 | ||||||
Huntington Ingalls Industries, Inc. | 15 | 2,639 | ||||||
L3Harris Technologies, Inc. | 69 | 12,552 | ||||||
Lockheed Martin Corp. | 67 | 22,127 | ||||||
Raytheon Technologies Corp. | 405 | 29,156 | ||||||
Singapore Technologies Engineering Ltd. | 590 | 1,652 | ||||||
|
| |||||||
81,225 | ||||||||
|
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Air Freight & Logistics – 0.4% |
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Deutsche Post AG | 262 | 13,013 | ||||||
Kuehne & Nagel International AG | 340 | 80,679 | ||||||
United Parcel Service, Inc. - Class B | 1,568 | 247,477 | ||||||
|
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341,169 | ||||||||
|
| |||||||
Building Products – 0.5% |
| |||||||
AGC, Inc. | 73 | 2,690 | ||||||
Carrier Global Corp. | 3,810 | 139,179 | ||||||
Cie de Saint-Gobain(c) | 3,244 | 174,451 | ||||||
Johnson Controls International PLC | 186 | 10,377 | ||||||
LIXIL Group Corp. | 1,400 | 39,477 |
4
Company | Shares | U.S. $ Value | ||||||
Xinyi Glass Holdings Ltd. | 16,687 | $ | 46,691 | |||||
|
| |||||||
412,865 | ||||||||
|
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Commercial Services & Supplies – 0.1% |
| |||||||
Copart, Inc.(c) | 670 | 73,137 | ||||||
Toppan Printing Co., Ltd. | 99 | 1,564 | ||||||
|
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74,701 | ||||||||
|
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Construction & Engineering – 0.1% |
| |||||||
ACS Actividades de Construccion y Servicios SA | 102 | 3,116 | ||||||
Bouygues SA | 86 | 3,482 | ||||||
HOCHTIEF AG | 9 | 804 | ||||||
Kajima Corp. | 5,170 | 66,351 | ||||||
Obayashi Corp. | 245 | 2,115 | ||||||
Shimizu Corp. | 208 | 1,580 | ||||||
Taisei Corp. | 72 | 2,553 | ||||||
|
| |||||||
80,001 | ||||||||
|
| |||||||
Electrical Equipment – 0.2% |
| |||||||
ABB Ltd. | 488 | 14,049 | ||||||
Eaton Corp. PLC | 106 | 13,800 | ||||||
Emerson Electric Co. | 158 | 13,572 | ||||||
Generac Holdings, Inc.(c) | 15 | 4,944 | ||||||
Mitsubishi Electric Corp. | 383 | 5,672 | ||||||
Regal Beloit Corp. | 81 | 11,070 | ||||||
Schneider Electric SE | 229 | 33,863 | ||||||
Vestas Wind Systems A/S | 433 | 81,199 | ||||||
|
| |||||||
178,169 | ||||||||
|
| |||||||
Industrial Conglomerates – 0.1% |
| |||||||
3M Co. | 243 | 42,539 | ||||||
CK Hutchison Holdings Ltd. | 296 | 2,234 | ||||||
DCC PLC | 37 | 2,989 | ||||||
Jardine Matheson Holdings Ltd. | 82 | 4,275 | ||||||
Siemens AG | 203 | 31,416 | ||||||
|
| |||||||
83,453 | ||||||||
|
| |||||||
Machinery – 1.2% |
| |||||||
Amada Co. Ltd. | 122 | 1,491 | ||||||
Caterpillar, Inc. | 803 | 173,352 | ||||||
Cummins, Inc. | 951 | 240,793 | ||||||
Kone Oyj - Class B | 67 | 5,348 | ||||||
Mitsubishi Heavy Industries Ltd. | 7,600 | 220,462 | ||||||
PACCAR, Inc. | 80 | 7,279 | ||||||
SKF AB - Class B | 1,987 | 54,139 | ||||||
Snap-on, Inc. | 867 | 176,096 | ||||||
Volvo AB - Class B(c) | 7,389 | 189,161 | ||||||
Wartsila Oyj Abp | 167 | 1,917 | ||||||
|
| |||||||
1,070,038 | ||||||||
|
| |||||||
Marine – 0.2% |
| |||||||
Nippon Yusen KK | 7,000 | 202,473 | ||||||
|
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Professional Services – 0.4% |
| |||||||
Adecco Group AG | 1,355 | 85,279 | ||||||
Intertrust NV(c) | 356 | 5,803 | ||||||
RELX PLC | 875 | 20,587 |
5
Company | Shares | U.S. $ Value | ||||||
RELX PLC (London) | 511 | $ | 12,091 | |||||
SGS SA | 77 | 220,048 | ||||||
Wolters Kluwer NV | 199 | 15,775 | ||||||
|
| |||||||
359,583 | ||||||||
|
| |||||||
Road & Rail – 0.0% |
| |||||||
Aurizon Holdings Ltd. | 724 | 2,132 | ||||||
Kyushu Railway Co. | 56 | 1,464 | ||||||
MTR Corp., Ltd. | 584 | 3,502 | ||||||
Nippon Express Co., Ltd. | 27 | 2,019 | ||||||
|
| |||||||
9,117 | ||||||||
|
| |||||||
Trading Companies & Distributors – 0.4% |
| |||||||
Fastenal Co. | 3,703 | 171,708 | ||||||
ITOCHU Corp.(e) | 342 | 10,215 | ||||||
WW Grainger, Inc. | 549 | 204,618 | ||||||
|
| |||||||
386,541 | ||||||||
|
| |||||||
Transportation Infrastructure – 0.0% |
| |||||||
Sydney Airport(c) (e) | 500 | 2,267 | ||||||
|
| |||||||
3,281,602 | ||||||||
|
| |||||||
Consumer Discretionary – 3.5% |
| |||||||
Auto Components – 0.2% |
| |||||||
Aisin Seiki Co., Ltd. | 4,400 | 151,217 | ||||||
Bridgestone Corp. | 80 | 3,160 | ||||||
Magna International, Inc. - Class A (Canada) | 107 | 9,013 | ||||||
NGK Spark Plug Co., Ltd. | 57 | 975 | ||||||
Sumitomo Electric Industries Ltd. | 285 | 4,176 | ||||||
|
| |||||||
168,541 | ||||||||
|
| |||||||
Automobiles – 0.4% | �� | |||||||
Bayerische Motoren Werke AG | 999 | 86,322 | ||||||
Isuzu Motors Ltd. | 208 | 2,189 | ||||||
Tesla, Inc.(c) | 385 | 260,068 | ||||||
Toyota Motor Corp. | 562 | 41,528 | ||||||
|
| |||||||
390,107 | ||||||||
|
| |||||||
Distributors – 0.0% |
| |||||||
Genuine Parts Co. | 54 | 5,689 | ||||||
|
| |||||||
Hotels, Restaurants & Leisure – 0.5% |
| |||||||
Aristocrat Leisure Ltd. | 704 | 16,469 | ||||||
Chipotle Mexican Grill, Inc. - Class A(c) | 69 | 99,498 | ||||||
Compass Group PLC(c) | 466 | 9,463 | ||||||
Darden Restaurants, Inc. | 363 | 49,851 | ||||||
McDonald’s Corp. | 223 | 45,969 | ||||||
Sodexo SA(c) | 33 | 3,161 | ||||||
Starbucks Corp. | 1,928 | 208,282 | ||||||
|
| |||||||
432,693 | ||||||||
|
| |||||||
Household Durables – 0.3% |
| |||||||
Electrolux AB - Class B | 8,419 | 198,761 | ||||||
Garmin Ltd. | 45 | 5,581 | ||||||
Husqvarna AB - Class B | 158 | 1,932 | ||||||
Panasonic Corp. | 477 | 6,167 |
6
Company | Shares | U.S. $ Value | ||||||
Sekisui Chemical Co., Ltd. | 135 | $ | 2,419 | |||||
Sekisui House Ltd. | 233 | 4,396 | ||||||
Sony Corp. | 200 | 21,120 | ||||||
Whirlpool Corp. | 24 | 4,562 | ||||||
|
| |||||||
244,938 | ||||||||
|
| |||||||
Internet & Direct Marketing Retail – 1.2% |
| |||||||
Amazon.com, Inc.(c) (d) | 265 | 819,626 | ||||||
eBay, Inc. | 2,519 | 142,122 | ||||||
HelloFresh SE(c) | 420 | 32,632 | ||||||
Zalando SE(c) (f) | 958 | 98,490 | ||||||
|
| |||||||
1,092,870 | ||||||||
|
| |||||||
Leisure Products – 0.0% |
| |||||||
Hasbro, Inc. | 49 | 4,592 | ||||||
Peloton Interactive, Inc.(c) | 163 | 19,636 | ||||||
|
| |||||||
24,228 | ||||||||
|
| |||||||
Media – 0.2% |
| |||||||
Interpublic Group of Cos., Inc. (The) | 6,630 | 173,176 | ||||||
|
| |||||||
Multiline Retail – 0.2% |
| |||||||
Canadian Tire Corp., Ltd. - Class A | 22 | 2,843 | ||||||
Dollar General Corp. | 403 | 76,163 | ||||||
Target Corp. | 649 | 119,052 | ||||||
Wesfarmers Ltd. | 300 | 11,411 | ||||||
|
| |||||||
209,469 | ||||||||
|
| |||||||
Specialty Retail – 0.4% |
| |||||||
ABC-Mart, Inc. | 12 | 686 | ||||||
AutoZone, Inc.(c) | 23 | 26,678 | ||||||
Home Depot, Inc. (The)(d) | 829 | 214,164 | ||||||
O’Reilly Automotive, Inc.(c) | 17 | 7,604 | ||||||
Ross Stores, Inc. | 89 | 10,381 | ||||||
Tractor Supply Co. | 281 | 44,668 | ||||||
USS Co., Ltd. | 82 | 1,564 | ||||||
|
| |||||||
305,745 | ||||||||
|
| |||||||
Textiles, Apparel & Luxury Goods – 0.1% |
| |||||||
Deckers Outdoor Corp.(c) | 69 | 22,501 | ||||||
Pandora A/S | 1,042 | 101,163 | ||||||
|
| |||||||
123,664 | ||||||||
|
| |||||||
3,171,120 | ||||||||
|
| |||||||
Health Care – 3.1% |
| |||||||
Biotechnology – 0.4% |
| |||||||
Amgen, Inc. | 1,190 | 267,655 | ||||||
Gilead Sciences, Inc. | 332 | 20,385 | ||||||
Sarepta Therapeutics, Inc.(c) (e) | 1,089 | 94,808 | ||||||
|
| |||||||
382,848 | ||||||||
|
| |||||||
Health Care Equipment & Supplies – 0.4% |
| |||||||
Align Technology, Inc.(c) | 41 | 23,251 | ||||||
Coloplast A/S - Class B | 1,058 | 161,158 |
7
Company | Shares | U.S. $ Value | ||||||
Insulet Corp.(c) | 97 | $ | 25,133 | |||||
Medtronic PLC | 1,438 | 168,203 | ||||||
Unilever PLC | 622 | 32,312 | ||||||
|
| |||||||
410,057 | ||||||||
|
| |||||||
Health Care Providers & Services – 0.5% |
| |||||||
Alfresa Holdings Corp. | 71 | 1,373 | ||||||
AmerisourceBergen Corp. - Class A | 1,362 | 137,862 | ||||||
Anthem, Inc. | 56 | 16,979 | ||||||
Cardinal Health, Inc. | 110 | 5,667 | ||||||
McKesson Corp. | 129 | 21,868 | ||||||
Sonic Healthcare Ltd. | 171 | 4,192 | ||||||
UnitedHealth Group, Inc.(d) | 690 | 229,232 | ||||||
|
| |||||||
417,173 | ||||||||
|
| |||||||
Health Care Technology – 0.2% |
| |||||||
Veeva Systems, Inc. - Class A(c) | 774 | 216,805 | ||||||
|
| |||||||
Life Sciences Tools & Services – 0.2% |
| |||||||
Bio-Rad Laboratories, Inc. - Class A(c) | 230 | 134,435 | ||||||
Thermo Fisher Scientific, Inc. | 16 | 7,201 | ||||||
|
| |||||||
141,636 | ||||||||
|
| |||||||
Pharmaceuticals – 1.4% |
| |||||||
AbbVie, Inc. | 3,444 | 371,056 | ||||||
Astellas Pharma, Inc. | 411 | 6,498 | ||||||
Bayer AG | 260 | 15,793 | ||||||
Bristol-Myers Squibb Co. | 2,317 | 142,102 | ||||||
Eli Lilly & Co. | 173 | 35,446 | ||||||
GlaxoSmithKline PLC | 2,162 | 36,074 | ||||||
Johnson & Johnson | 893 | 141,505 | ||||||
Merck & Co., Inc.(d) | 951 | 69,062 | ||||||
Novartis AG | 589 | 50,729 | ||||||
Novo Nordisk A/S - Class B | 815 | 58,140 | ||||||
Orion Oyj - Class B | 40 | 1,641 | ||||||
Pfizer, Inc. | 1,472 | 49,297 | ||||||
Roche Holding AG | 304 | 99,730 | ||||||
Sanofi | 300 | 27,531 | ||||||
Takeda Pharmaceutical Co., Ltd. | 3,400 | 114,576 | ||||||
|
| |||||||
1,219,180 | ||||||||
|
| |||||||
2,787,699 | ||||||||
|
| |||||||
Materials – 3.0% |
| |||||||
Chemicals – 1.3% |
| |||||||
Air Water, Inc. | 69 | 1,139 | ||||||
Akzo Nobel NV | 104 | 10,755 | ||||||
Asahi Kasei Corp. | 46 | 499 | ||||||
BASF SE | 244 | 19,962 | ||||||
Celanese Corp. - Class A | 690 | 95,848 | ||||||
Covestro AG(f) | 569 | 41,199 | ||||||
Dow, Inc. | 4,429 | 262,684 | ||||||
Eastman Chemical Co. | 51 | 5,572 | ||||||
EMS-Chemie Holding AG | 4 | 3,545 | ||||||
Evonik Industries AG | 1,288 | 43,375 | ||||||
International Flavors & Fragrances, Inc. | 85 | 11,518 | ||||||
Johnson Matthey PLC | 223 | 9,529 | ||||||
JSR Corp. | 77 | 2,308 |
8
Company | Shares | U.S. $ Value | ||||||
LyondellBasell Industries NV - Class A | 1,312 | $ | 135,254 | |||||
Mitsubishi Chemical Holdings Corp. | 27,984 | 195,690 | ||||||
Mitsubishi Gas Chemical Co., Inc. | 59 | 1,382 | ||||||
Mitsui Chemicals, Inc. | 5,169 | 160,124 | ||||||
Nitto Denko Corp. | 60 | 5,150 | ||||||
Nutrien Ltd. | 124 | 6,693 | ||||||
RPM International, Inc. | 764 | 60,845 | ||||||
Sika AG | 289 | 76,423 | ||||||
Sumitomo Chemical Co., Ltd. | 563 | 2,741 | ||||||
Tosoh Corp. | 98 | 1,801 | ||||||
|
| |||||||
1,154,036 | ||||||||
|
| |||||||
Construction Materials – 0.0% |
| |||||||
CRH PLC(c) | 183 | 7,944 | ||||||
|
| |||||||
Containers & Packaging – 0.2% |
| |||||||
AMCOR PLC | 17,789 | 194,612 | ||||||
International Paper Co. | 37 | 1,837 | ||||||
Packaging Corp. of America | 36 | 4,753 | ||||||
Smurfit Kappa Group PLC | 549 | 25,939 | ||||||
|
| |||||||
227,141 | ||||||||
|
| |||||||
Metals & Mining – 1.5% |
| |||||||
Anglo American PLC | 325 | 12,610 | ||||||
B2Gold Corp. | 395 | 1,720 | ||||||
BHP Group Ltd. | 7,912 | 299,077 | ||||||
Boliden AB | 103 | 4,079 | ||||||
Evolution Mining Ltd. | 614 | 1,965 | ||||||
Evraz PLC | 30,961 | 248,555 | ||||||
Fortescue Metals Group Ltd. | 13,320 | 245,996 | ||||||
Kinross Gold Corp. | 1,150 | 7,148 | ||||||
Nucor Corp. | 59 | 3,529 | ||||||
Rio Tinto Ltd. | 85 | 8,340 | ||||||
Rio Tinto PLC | 2,688 | 232,961 | ||||||
Steel Dynamics, Inc. | 5,854 | 243,409 | ||||||
|
| |||||||
1,309,389 | ||||||||
|
| |||||||
Paper & Forest Products – 0.0% |
| |||||||
Mondi PLC | 183 | 4,416 | ||||||
Oji Holdings Corp. | 326 | 2,063 | ||||||
UPM-Kymmene Oyj | 73 | 2,789 | ||||||
|
| |||||||
9,268 | ||||||||
|
| |||||||
2,707,778 | ||||||||
|
| |||||||
Communication Services – 2.8% |
| |||||||
Diversified Telecommunication Services – 1.0% |
| |||||||
AT&T, Inc. | 1,888 | 52,656 | ||||||
BCE, Inc. | 58 | 2,481 | ||||||
Elisa Oyj | 53 | 3,169 | ||||||
HKT Trust & HKT Ltd. - Class SS | 1,433 | 1,948 | ||||||
Lumen Technologies, Inc. | 15,420 | 189,512 | ||||||
Nippon Telegraph & Telephone Corp. | 1,201 | 31,112 | ||||||
PCCW Ltd. | 295,000 | 169,186 | ||||||
Proximus SADP | 57 | 1,113 | ||||||
Shaw Communications, Inc. - Class B | 176 | 3,063 | ||||||
Spark New Zealand Ltd. | 695 | 2,305 | ||||||
Swisscom AG | 10 | 5,023 | ||||||
Telefonica SA | 50,782 | 216,799 |
9
Company | Shares | U.S. $ Value | ||||||
TELUS Corp. | 160 | $ | 3,206 | |||||
Verizon Communications, Inc. | 3,243 | 179,338 | ||||||
Washington H Soul Pattinson & Co., Ltd.(e) | 40 | 921 | ||||||
|
| |||||||
861,832 | ||||||||
|
| |||||||
Entertainment – 0.5% |
| |||||||
Netflix, Inc.(c) | 567 | 305,528 | ||||||
Nintendo Co., Ltd. | 100 | 61,157 | ||||||
Take-Two Interactive Software, Inc.(c) | 190 | 35,047 | ||||||
Ubisoft Entertainment SA(c) | 84 | 6,849 | ||||||
|
| |||||||
408,581 | ||||||||
|
| |||||||
Interactive Media & Services – 0.8% |
| |||||||
Alphabet, Inc. - Class A(c) (d) | 90 | 181,972 | ||||||
Alphabet, Inc. - Class C(c) (d) | 81 | 164,985 | ||||||
Auto Trader Group PLC(c) | 2,697 | 20,736 | ||||||
Facebook, Inc. - Class A(c) | 1,490 | 383,854 | ||||||
Kakaku.com, Inc. | 400 | 12,744 | ||||||
|
| |||||||
764,291 | ||||||||
|
| |||||||
Media – 0.0% |
| |||||||
Comcast Corp. - Class A | 270 | 14,235 | ||||||
Omnicom Group, Inc. | 81 | 5,567 | ||||||
ViacomCBS, Inc. - Class B | 125 | 8,061 | ||||||
|
| |||||||
27,863 | ||||||||
|
| |||||||
Wireless Telecommunication Services – 0.5% |
| |||||||
KDDI Corp. | 427 | 13,311 | ||||||
Rogers Communications, Inc. - Class B | 24 | 1,040 | ||||||
Softbank Corp.(e) | 18,718 | 253,110 | ||||||
Vodafone Group PLC | 124,796 | 213,631 | ||||||
|
| |||||||
481,092 | ||||||||
|
| |||||||
2,543,659 | ||||||||
|
| |||||||
Consumer Staples – 2.1% |
| |||||||
Beverages – 0.1% |
| |||||||
Asahi Group Holdings Ltd. | 53 | 2,314 | ||||||
Coca-Cola Amatil Ltd. | 191 | 1,972 | ||||||
Coca-Cola Co. (The) | 1,221 | 59,816 | ||||||
Coca-Cola HBC AG(c) | 75 | 2,352 | ||||||
PepsiCo, Inc. | 367 | 47,413 | ||||||
Treasury Wine Estates Ltd. | 272 | 2,284 | ||||||
|
| |||||||
116,151 | ||||||||
|
| |||||||
Food & Staples Retailing – 0.1% |
| |||||||
CVS Health Corp. | 347 | 23,641 | ||||||
Etablissements Franz Colruyt NV | 20 | 1,198 | ||||||
ICA Gruppen AB | 38 | 1,803 | ||||||
Kesko Oyj - Class B | 103 | 2,621 | ||||||
Koninklijke Ahold Delhaize NV | 985 | 26,009 | ||||||
Seven & i Holdings Co., Ltd.(e) | 161 | 6,136 | ||||||
Sysco Corp. | 116 | 9,237 | ||||||
Tesco PLC | 2,925 | 9,194 | ||||||
Walgreens Boots Alliance, Inc. | 178 | 8,531 |
10
Company | Shares | U.S. $ Value | ||||||
Walmart, Inc. | 172 | $ | 22,346 | |||||
Wm Morrison Supermarkets PLC | 911 | 2,176 | ||||||
|
| |||||||
112,892 | ||||||||
|
| |||||||
Food Products – 0.3% |
| |||||||
Archer-Daniels-Midland Co. | 118 | 6,676 | ||||||
Bunge Ltd. | 1,255 | 96,108 | ||||||
Campbell Soup Co. | 68 | 3,093 | ||||||
Conagra Brands, Inc. | 38 | 1,289 | ||||||
Danone SA | 157 | 10,676 | ||||||
General Mills, Inc. | 143 | 7,866 | ||||||
JM Smucker Co. (The) | 43 | 4,816 | ||||||
Kellogg Co. | 483 | 27,874 | ||||||
Morinaga & Co., Ltd./Japan | 200 | 7,224 | ||||||
Mowi ASA | 166 | 4,009 | ||||||
Nestle SA | 863 | 90,071 | ||||||
Orkla ASA | 284 | 2,616 | ||||||
Salmar ASA | 362 | 23,742 | ||||||
Tyson Foods, Inc. - Class A | 111 | 7,511 | ||||||
WH Group Ltd.(f) | 3,624 | 3,250 | ||||||
|
| |||||||
296,821 | ||||||||
|
| |||||||
Household Products – 0.4% |
| |||||||
Kimberly-Clark Corp. | 1,628 | 208,921 | ||||||
Procter & Gamble Co. (The) | 833 | 102,901 | ||||||
Reckitt Benckiser Group PLC | 189 | 15,853 | ||||||
|
| |||||||
327,675 | ||||||||
|
| |||||||
Personal Products – 0.0% |
| |||||||
Pola Orbis Holdings, Inc. | 34 | 779 | ||||||
Unilever PLC | 75 | 3,910 | ||||||
|
| |||||||
4,689 | ||||||||
|
| |||||||
Tobacco – 1.2% |
| |||||||
Altria Group, Inc. | 6,577 | 286,757 | ||||||
British American Tobacco PLC | 608 | 21,113 | ||||||
Imperial Brands PLC | 11,744 | 218,822 | ||||||
Japan Tobacco, Inc. | 7,990 | 144,671 | ||||||
Philip Morris International, Inc. | 3,963 | 332,971 | ||||||
Swedish Match AB | 277 | 19,881 | ||||||
|
| |||||||
1,024,215 | ||||||||
|
| |||||||
1,882,443 | ||||||||
|
| |||||||
Utilities – 2.0% |
| |||||||
Electric Utilities – 1.3% |
| |||||||
Alliant Energy Corp. | 94 | 4,339 | ||||||
American Electric Power Co., Inc. | 171 | 12,800 | ||||||
AusNet Services | 129,609 | 165,485 | ||||||
CK Infrastructure Holdings Ltd. | 250 | 1,448 | ||||||
CLP Holdings Ltd. | 84 | 820 | ||||||
Duke Energy Corp. | 195 | 16,690 | ||||||
Edison International | 57 | 3,077 | ||||||
EDP - Energias de Portugal SA | 2,446 | 14,020 | ||||||
Endesa SA | 6,409 | 158,368 | ||||||
Enel SpA | 17,464 | 164,666 | ||||||
Evergy, Inc. | 3,984 | 213,662 | ||||||
Eversource Energy | 71 | 5,643 |
11
Company | Shares | U.S. $ Value | ||||||
Fortis, Inc./Canada | 52 | $ | 2,002 | |||||
Fortum Oyj | 2,604 | 64,879 | ||||||
Hydro One Ltd.(f) | 124 | 2,633 | ||||||
Iberdrola SA | 1,985 | 24,876 | ||||||
Mercury NZ Ltd. | 257 | 1,122 | ||||||
NextEra Energy, Inc. | 218 | 16,019 | ||||||
OGE Energy Corp. | 75 | 2,195 | ||||||
Pinnacle West Capital Corp. | 42 | 2,937 | ||||||
Power Assets Holdings Ltd. | 525 | 2,913 | ||||||
PPL Corp. | 111 | 2,907 | ||||||
Red Electrica Corp. SA | 10,192 | 170,271 | ||||||
Terna Rete Elettrica Nazionale SpA | 12,202 | 84,646 | ||||||
Xcel Energy, Inc. | 198 | 11,601 | ||||||
|
| |||||||
1,150,019 | ||||||||
|
| |||||||
Gas Utilities – 0.2% |
| |||||||
Hong Kong & China Gas Co., Ltd. | 504 | 760 | ||||||
Snam SpA | 763 | 3,950 | ||||||
UGI Corp. | 5,759 | 220,627 | ||||||
|
| |||||||
225,337 | ||||||||
|
| |||||||
Independent Power and Renewable Electricity Producers – 0.2% |
| |||||||
Brookfield Renewable Corp. | 1,863 | 86,270 | ||||||
Uniper SE | 1,537 | 53,722 | ||||||
|
| |||||||
139,992 | ||||||||
|
| |||||||
Multi-Utilities – 0.3% |
| |||||||
AGL Energy Ltd. | 10,152 | 73,000 | ||||||
Ameren Corp. | 340 | 23,892 | ||||||
Atco Ltd./Canada - Class I | 1,657 | 48,332 | ||||||
CMS Energy Corp. | 108 | 5,844 | ||||||
Consolidated Edison, Inc. | 56 | 3,676 | ||||||
Dominion Energy, Inc. | 335 | 22,887 | ||||||
DTE Energy Co. | 73 | 8,594 | ||||||
National Grid PLC | 908 | 10,210 | ||||||
Public Service Enterprise Group, Inc. | 105 | 5,652 | ||||||
Sempra Energy | 838 | 97,192 | ||||||
WEC Energy Group, Inc. | 59 | 4,758 | ||||||
|
| |||||||
304,037 | ||||||||
|
| |||||||
1,819,385 | ||||||||
|
| |||||||
Energy – 1.3% |
| |||||||
Energy Equipment & Services – 0.0% |
| |||||||
Baker Hughes Co. - Class A | 26 | 636 | ||||||
|
| |||||||
Oil, Gas & Consumable Fuels – 1.3% |
| |||||||
Enagas SA | 94 | 1,969 | ||||||
Exxon Mobil Corp. | 3,036 | 165,067 | ||||||
Galp Energia SGPS SA | 4,173 | 46,648 | ||||||
Idemitsu Kosan Co., Ltd.(e) | 5,100 | 134,146 | ||||||
Inter Pipeline Ltd.(e) | 162 | 2,280 | ||||||
Keyera Corp.(e) | 5,155 | 99,932 | ||||||
Koninklijke Vopak NV | 26 | 1,241 | ||||||
Lundin Energy AB | 70 | 2,272 | ||||||
Parkland Corp./Canada(e) | 792 | 25,168 | ||||||
Pembina Pipeline Corp.(e) | 27 | 686 | ||||||
Repsol SA | 21,503 | 270,675 |
12
Company | Shares | U.S. $ Value | ||||||
Royal Dutch Shell PLC - Class B | 1,077 | $ | 21,113 | |||||
TC Energy Corp. | 239 | 10,010 | ||||||
TOTAL SE | 1,247 | 58,148 | ||||||
Valero Energy Corp. | 3,621 | 278,745 | ||||||
|
| |||||||
1,118,100 | ||||||||
|
| |||||||
1,118,736 | ||||||||
|
| |||||||
Real Estate – 1.3% |
| |||||||
Equity Real Estate Investment Trusts (REITs) – 1.1% |
| |||||||
American Campus Communities, Inc. | 180 | 7,373 | ||||||
Iron Mountain, Inc.(e) | 6,824 | 237,407 | ||||||
Nippon Building Fund, Inc. | 2 | 12,253 | ||||||
Omega Healthcare Investors, Inc. | 6,197 | 230,156 | ||||||
Scentre Group(e) | 37,844 | 83,799 | ||||||
Stockland | 12,120 | 38,726 | ||||||
VEREIT, Inc. | 4,369 | 170,391 | ||||||
VICI Properties, Inc. | 7,318 | 208,563 | ||||||
|
| |||||||
988,668 | ||||||||
|
| |||||||
Real Estate Management & Development – 0.2% |
| |||||||
CK Asset Holdings Ltd. | 7 | 41 | ||||||
Daiwa House Industry Co., Ltd. | 55 | 1,560 | ||||||
Hang Lung Properties Ltd. | 766 | 1,984 | ||||||
Henderson Land Development Co., Ltd. | 549 | 2,391 | ||||||
Hongkong Land Holdings Ltd. | 441 | 2,119 | ||||||
Sino Land Co., Ltd. | 1,199 | 1,814 | ||||||
Sun Hung Kai Properties Ltd. | 136 | 2,208 | ||||||
Swire Properties Ltd. | 442 | 1,422 | ||||||
Swiss Prime Site AG | 28 | 2,621 | ||||||
Unibail-Rodamco-Westfield | 1,324 | 97,158 | ||||||
Vonovia SE | 119 | 7,579 | ||||||
Wharf Real Estate Investment Co., Ltd. | 632 | 3,779 | ||||||
|
| |||||||
124,676 | ||||||||
|
| |||||||
1,113,344 | ||||||||
|
| |||||||
Total Common Stocks |
| 31,329,475 | ||||||
|
| |||||||
PREFERRED STOCKS – 6.7% |
| |||||||
Real Estate – 6.7% |
| |||||||
Diversified REITs – 1.6% |
| |||||||
Armada Hoffler Properties, Inc. | 8,222 | 207,605 | ||||||
Colony Capital, Inc. | 2,253 | 54,725 | ||||||
Colony Capital, Inc. | 11,300 | 273,912 | ||||||
Colony Capital, Inc. | 6,098 | 148,608 | ||||||
Gladstone Commercial Corp. | 6,435 | 161,840 |
13
Company | Shares | U.S. $ Value | ||||||
Gladstone Commercial Corp. | 2,150 | $ | 55,148 | |||||
Global Net Lease, Inc. | 2,817 | 72,876 | ||||||
Global Net Lease, Inc. | 4,450 | 113,608 | ||||||
PS Business Parks, Inc. | 1,759 | 45,241 | ||||||
PS Business Parks, Inc. | 3,998 | 102,709 | ||||||
PS Business Parks, Inc. | 2,700 | 68,499 | ||||||
Vornado Realty Trust | 425 | 10,668 | ||||||
Vornado Realty Trust | 6,153 | 153,210 | ||||||
|
| |||||||
1,468,649 | ||||||||
|
| |||||||
Health Care REITs – 0.0% |
| |||||||
Global Medical REIT, Inc. | 1,151 | 30,271 | ||||||
|
| |||||||
Hotel & Resort REITs – 0.7% |
| |||||||
DiamondRock Hospitality Co. | 6,975 | 186,093 | ||||||
Hersha Hospitality Trust | 100 | 2,369 | ||||||
Hersha Hospitality Trust | 200 | 4,646 | ||||||
Hersha Hospitality Trust | 50 | 1,159 | ||||||
Pebblebrook Hotel Trust | 5,125 | 118,951 | ||||||
Pebblebrook Hotel Trust | 2,841 | 65,798 | ||||||
Summit Hotel Properties, Inc. | 4,048 | 95,735 | ||||||
Summit Hotel Properties, Inc. | 1,075 | 24,510 | ||||||
Sunstone Hotel Investors, Inc. | 5,050 | 125,366 | ||||||
|
| |||||||
624,627 | ||||||||
|
|
14
Company | Shares | U.S. $ Value | ||||||
Industrial REITs – 0.5% |
| |||||||
Monmouth Real Estate Investment Corp. | 7,175 | $ | 180,595 | |||||
Plymouth Industrial REIT, Inc. | 711 | 18,714 | ||||||
Rexford Industrial Realty, Inc. | 1,444 | 36,461 | ||||||
Rexford Industrial Realty, Inc. | 4,243 | 108,196 | ||||||
Rexford Industrial Realty, Inc. | 3,172 | 81,013 | ||||||
|
| |||||||
424,979 | ||||||||
|
| |||||||
Office REITs – 0.3% |
| |||||||
City Office REIT, Inc. | 4,925 | 123,913 | ||||||
SL Green Realty Corp. | 1,756 | 44,567 | ||||||
Vornado Realty Trust | 4,671 | 116,775 | ||||||
|
| |||||||
285,255 | ||||||||
|
| |||||||
Real Estate Development – 0.2% |
| |||||||
American Finance Trust, Inc. | 8,325 | 208,208 | ||||||
|
| |||||||
Real Estate Operating Companies – 0.1% |
| |||||||
Brookfield Property Partners LP | 860 | 18,851 | ||||||
Brookfield Property Partners LP | 4,779 | 113,167 | ||||||
|
| |||||||
132,018 | ||||||||
|
| |||||||
Residential REITs – 0.9% |
| |||||||
American Homes 4 Rent | 9,668 | 247,211 | ||||||
American Homes 4 Rent | 5,850 | 149,526 | ||||||
American Homes 4 Rent | 288 | 7,396 | ||||||
American Homes 4 Rent | 100 | 2,572 |
15
Company | Shares | U.S. $ Value | ||||||
American Homes 4 Rent | 300 | $ | 7,956 | |||||
Bluerock Residential Growth REIT, Inc. | 946 | 24,123 | ||||||
Centerspace | 2,050 | 53,402 | ||||||
UMH Properties, Inc. | 5,216 | 130,609 | ||||||
UMH Properties, Inc. | 5,800 | 142,680 | ||||||
|
| |||||||
765,475 | ||||||||
|
| |||||||
Retail REITs – 1.3% |
| |||||||
American Finance Trust, Inc. | 75 | 1,903 | ||||||
Brookfield Property REIT, Inc. | 7,450 | 185,356 | ||||||
Cedar Realty Trust, Inc. | 6,003 | 133,627 | ||||||
Kimco Realty Corp. | 575 | 14,720 | ||||||
National Retail Properties, Inc. | 1,075 | 27,283 | ||||||
Saul Centers, Inc. | 7,732 | 187,469 | ||||||
Saul Centers, Inc. | 695 | 16,743 | ||||||
SITE Centers Corp. | 8,939 | 228,481 | ||||||
SITE Centers Corp. | 1,523 | 38,486 | ||||||
Spirit Realty Capital, Inc. | 5,725 | 148,277 | ||||||
Urstadt Biddle Properties, Inc. | 5,813 | 140,384 | ||||||
|
| |||||||
1,122,729 | ||||||||
|
| |||||||
Specialized REITs – 1.1% |
| |||||||
Digital Realty Trust, Inc. | 2,082 | 53,174 |
16
Company | Shares | U.S. $ Value | ||||||||||
Digital Realty Trust, Inc. | 2,000 | $ | 51,620 | |||||||||
Digital Realty Trust, Inc. | 9,200 | 239,292 | ||||||||||
EPR Properties | 930 | 21,957 | ||||||||||
National Storage Affiliates Trust | 8,134 | 215,551 | ||||||||||
Public Storage | 201 | 5,136 | ||||||||||
Public Storage | 1,975 | 50,165 | ||||||||||
Public Storage | 6,250 | 157,062 | ||||||||||
QTS Realty Trust, Inc. | 5,394 | 144,236 | ||||||||||
|
| |||||||||||
938,193 | ||||||||||||
|
| |||||||||||
Total Preferred Stocks |
| 6,000,404 | ||||||||||
|
| |||||||||||
Principal Amount (000) | ||||||||||||
EMERGING MARKETS - SOVEREIGNS – 2.9% |
| |||||||||||
Argentina – 0.1% |
| |||||||||||
Argentine Republic Government International Bond | U.S.$ | 297 | 99,732 | |||||||||
1.00%, 07/09/2029 | 16 | 6,468 | ||||||||||
|
| |||||||||||
106,200 | ||||||||||||
|
| |||||||||||
Bahrain – 0.3% |
| |||||||||||
Bahrain Government International Bond | 200 | 226,751 | ||||||||||
|
| |||||||||||
Dominican Republic – 0.2% |
| |||||||||||
Dominican Republic International Bond | 200 | 211,187 | ||||||||||
|
| |||||||||||
Ecuador – 0.1% |
| |||||||||||
Ecuador Government International Bond |
| 12 | 4,901 | |||||||||
0.50%, 07/31/2030-07/31/2040(f) | 182 | 86,348 | ||||||||||
|
| |||||||||||
91,249 | ||||||||||||
|
|
17
Principal Amount (000) | U.S. $ Value | |||||||||||
Egypt – 0.2% |
| |||||||||||
Egypt Government International Bond | U.S.$ | 200 | $ | 210,250 | ||||||||
|
| |||||||||||
El Salvador – 0.2% |
| |||||||||||
El Salvador Government International Bond | 182 | 177,678 | ||||||||||
|
| |||||||||||
Gabon – 0.2% |
| |||||||||||
Gabon Government International Bond | 200 | 195,813 | ||||||||||
|
| |||||||||||
Ghana – 0.2% |
| |||||||||||
Ghana Government International Bond | 200 | 195,438 | ||||||||||
|
| |||||||||||
Guatemala – 0.3% |
| |||||||||||
Guatemala Government Bond | 200 | 223,562 | ||||||||||
|
| |||||||||||
Honduras – 0.2% |
| |||||||||||
Honduras Government International Bond | 150 | 167,719 | ||||||||||
|
| |||||||||||
Ivory Coast – 0.2% |
| |||||||||||
Ivory Coast Government International Bond | 200 | 213,937 | ||||||||||
|
| |||||||||||
Kenya – 0.3% |
| |||||||||||
Kenya Government International Bond | 200 | 221,562 | ||||||||||
|
| |||||||||||
Lebanon – 0.0% |
| |||||||||||
Lebanon Government International Bond | 107 | 13,776 | ||||||||||
|
| |||||||||||
Senegal – 0.2% |
| |||||||||||
Senegal Government International Bond | 200 | 203,937 | ||||||||||
|
| |||||||||||
Ukraine – 0.2% |
| |||||||||||
Ukraine Government International Bond | 150 | 162,094 | ||||||||||
|
| |||||||||||
Total Emerging Markets - Sovereigns |
| 2,621,153 | ||||||||||
|
| |||||||||||
GOVERNMENTS - TREASURIES – 0.7% |
| |||||||||||
Colombia – 0.2% |
| |||||||||||
Colombian TES | COP | 492,700 | 145,355 | |||||||||
|
| |||||||||||
Indonesia – 0.2% |
| |||||||||||
Indonesia Treasury Bond | IDR | 1,105,000 | 83,765 |
18
Principal | U.S. $ Value | |||||||||||
Series FR71 | IDR | 1,438,000 | $ | 115,525 | ||||||||
|
| |||||||||||
199,290 | ||||||||||||
|
| |||||||||||
Mexico – 0.2% |
| |||||||||||
Mexican Bonos | MXN | 2,777 | 156,423 | |||||||||
|
| |||||||||||
Russia – 0.1% |
| |||||||||||
Russian Federal Bond - OFZ | RUB | 9,626 | 134,141 | |||||||||
|
| |||||||||||
Total Governments - Treasuries |
| 635,209 | ||||||||||
|
| |||||||||||
EMERGING MARKETS - TREASURIES – 0.3% |
| |||||||||||
Brazil – 0.1% |
| |||||||||||
Brazil Notas do Tesouro Nacional | BRL | 658 | 126,482 | |||||||||
|
| |||||||||||
South Africa – 0.2% |
| |||||||||||
Republic of South Africa Government Bond | ZAR | 2,848 | 169,163 | |||||||||
|
| |||||||||||
Total Emerging Markets - Treasuries |
| 295,645 | ||||||||||
|
| |||||||||||
QUASI-SOVEREIGNS – 0.2% |
| |||||||||||
Quasi-Sovereign Bonds – 0.2% |
| |||||||||||
Mexico – 0.2% |
| |||||||||||
Petroleos Mexicanos | U.S.$ | 43 | 41,431 | |||||||||
7.69%, 01/23/2050 | 97 | 92,140 | ||||||||||
|
| |||||||||||
Total Quasi-Sovereigns |
| 133,571 | ||||||||||
�� |
| |||||||||||
Notional Amount | ||||||||||||
OPTIONS PURCHASED - PUTS – 0.0% |
| |||||||||||
Swaptions – 0.0% |
| |||||||||||
CDX-NAHY Series 35, 5 Year Index | USD | 608,000 | 6,573 | |||||||||
|
|
19
Company | Shares | U.S. $ Value | ||||||||||
SHORT-TERM INVESTMENTS – 12.0% |
| |||||||||||
Investment Companies – 12.0% |
| |||||||||||
AB Fixed Income Shares, Inc. - Government Money Market Portfolio - | 10,713,903 | $ | 10,713,903 | |||||||||
|
| |||||||||||
Total Investments Before Security Lending Collateral for Securities Loaned – 95.3% |
| 85,251,278 | ||||||||||
|
| |||||||||||
INVESTMENTS OF CASH COLLATERAL FOR SECURITIES LOANED – 0.3% |
| |||||||||||
Investment Companies – 0.3% |
| |||||||||||
AB Fixed Income Shares, Inc. - Government Money Market Portfolio - | 320,930 | 320,930 | ||||||||||
|
| |||||||||||
Total Investments – 95.6% |
| 85,572,208 | ||||||||||
|
| |||||||||||
Other assets less liabilities – 4.4% |
| 3,902,367 | ||||||||||
|
| |||||||||||
Net Assets – 100.0% |
| $ | 89,474,575 | |||||||||
|
|
FUTURES
Description | Number of Contracts | Expiration Month | Current Notional | Value and Unrealized Appreciation/ (Depreciation) | ||||||||||||||||
Purchased Contracts |
| |||||||||||||||||||
10 Yr Australian Bond Futures | 8 | March 2021 | $ | 843,753 | $ | (59,910 | ) | |||||||||||||
10 Yr Mini Japan Government Bond Futures | 32 | March 2021 | 4,527,042 | (38,304 | ) | |||||||||||||||
Canadian 10 Yr Bond Futures | 4 | June 2021 | 439,353 | (7,770 | ) | |||||||||||||||
Long Gilt Futures | 6 | June 2021 | 1,068,055 | (11,459 | ) | |||||||||||||||
MSCI Emerging Markets Futures | 20 | March 2021 | 1,338,100 | 56,703 | ||||||||||||||||
OMXS 30 Index Futures | 11 | March 2021 | 261,193 | (5,208 | ) | |||||||||||||||
S&P/TSX 60 Index Futures | 1 | March 2021 | 168,443 | (2,724 | ) | |||||||||||||||
SPI 200 Futures | 1 | March 2021 | 127,517 | (3,294 | ) | |||||||||||||||
Sold Contracts |
| |||||||||||||||||||
Euro STOXX 50 Index Futures | 31 | March 2021 | 1,356,609 | (7,651 | ) | |||||||||||||||
FTSE 100 Index Futures | 9 | March 2021 | 807,436 | 16,922 | ||||||||||||||||
Mini S&P TSX 60 Futures | 1 | March 2021 | 42,111 | (1,299 | ) | |||||||||||||||
MSCI EAFE Futures | 4 | March 2021 | 432,800 | (8,583 | ) | |||||||||||||||
S&P 500 E-Mini Futures | 6 | March 2021 | 1,142,760 | (21,512 | ) | |||||||||||||||
S&P/TSX 60 Index Futures | 2 | March 2021 | 336,885 | (5,781 | ) | |||||||||||||||
SPI 200 Futures | 2 | March 2021 | 255,034 | 401 | ||||||||||||||||
TOPIX Index Futures | 3 | March 2021 | 527,839 | 7,204 | ||||||||||||||||
|
| |||||||||||||||||||
$ | (92,265 | ) | ||||||||||||||||||
|
|
20
FORWARD CURRENCY EXCHANGE CONTRACTS
|
| |||||||||||||||||||||||||||||
Counterparty | Contracts to Deliver (000) | In Exchange For (000) | Settlement Date | Unrealized Appreciation/ (Depreciation) | ||||||||||||||||||||||||||
Barclays Bank PLC | GBP | 504 | USD | 698 | 03/17/2021 | $ | (4,070 | ) | ||||||||||||||||||||||
Barclays Bank PLC | NZD | 734 | USD | 547 | 03/17/2021 | 16,497 | ||||||||||||||||||||||||
Barclays Bank PLC | SEK | 5,069 | USD | 616 | 03/17/2021 | 15,787 | ||||||||||||||||||||||||
Barclays Bank PLC | USD | 1,259 | NOK | 10,499 | 03/17/2021 | (47,724 | ) | |||||||||||||||||||||||
Barclays Bank PLC | COP | 3,332,770 | USD | 958 | 03/18/2021 | 44,274 | ||||||||||||||||||||||||
Barclays Bank PLC | CZK | 17,439 | USD | 814 | 03/24/2021 | 9,645 | ||||||||||||||||||||||||
Barclays Bank PLC | RUB | 20,251 | USD | 273 | 03/24/2021 | 2,762 | ||||||||||||||||||||||||
Barclays Bank PLC | USD | 151 | MYR | 618 | 03/25/2021 | 395 | ||||||||||||||||||||||||
Barclays Bank PLC | USD | 146 | MYR | 588 | 03/25/2021 | (1,428 | ) | |||||||||||||||||||||||
Barclays Bank PLC | KRW | 238,078 | USD | 213 | 04/22/2021 | 1,573 | ||||||||||||||||||||||||
Barclays Bank PLC | USD | 2 | KRW | 1,655 | 04/22/2021 | (44 | ) | |||||||||||||||||||||||
Barclays Bank PLC | TWD | 6,671 | USD | 240 | 04/27/2021 | (530 | ) | |||||||||||||||||||||||
BNP Paribas SA | BRL | 1,006 | USD | 187 | 03/02/2021 | 7,135 | ||||||||||||||||||||||||
BNP Paribas SA | USD | 182 | BRL | 1,006 | 03/02/2021 | (2,402 | ) | |||||||||||||||||||||||
BNP Paribas SA | USD | 778 | CAD | 986 | 03/17/2021 | (2,801 | ) | |||||||||||||||||||||||
BNP Paribas SA | USD | 643 | TRY | 4,610 | 03/26/2021 | (28,937 | ) | |||||||||||||||||||||||
Citibank, NA | TWD | 9,823 | USD | 357 | 04/27/2021 | 2,053 | ||||||||||||||||||||||||
Credit Suisse International | IDR | 21,050 | USD | 2 | 04/15/2021 | 52 | ||||||||||||||||||||||||
Credit Suisse International | USD | 124 | PHP | 5,964 | 04/22/2021 | (2,440 | ) | |||||||||||||||||||||||
Deutsche Bank AG | CLP | 655,369 | USD | 920 | 03/18/2021 | 14,226 | ||||||||||||||||||||||||
Deutsche Bank AG | CLP | 326,711 | USD | 449 | 03/18/2021 | (2,787 | ) | |||||||||||||||||||||||
Deutsche Bank AG | USD | 129 | COP | 459,991 | 03/18/2021 | (2,925 | ) | |||||||||||||||||||||||
Deutsche Bank AG | USD | 106 | IDR | 1,508,984 | 04/15/2021 | (2,285 | ) | |||||||||||||||||||||||
Deutsche Bank AG | USD | 967 | INR | 71,686 | 04/15/2021 | (3,202 | ) | |||||||||||||||||||||||
Deutsche Bank AG | KRW | 128,752 | USD | 116 | 04/22/2021 | 1,669 | ||||||||||||||||||||||||
Deutsche Bank AG | PHP | 11,927 | USD | 247 | 04/22/2021 | 4,931 | ||||||||||||||||||||||||
Goldman Sachs International | BRL | 262 | USD | 47 | 03/02/2021 | 626 | ||||||||||||||||||||||||
Goldman Sachs International | USD | 48 | BRL | 262 | 03/02/2021 | (1,279 | ) | |||||||||||||||||||||||
Goldman Sachs International | PEN | 3,959 | USD | 1,094 | 03/18/2021 | 9,462 | ||||||||||||||||||||||||
Goldman Sachs International | RUB | 4,401 | USD | 59 | 03/24/2021 | 636 | ||||||||||||||||||||||||
Goldman Sachs International | MYR | 1,595 | USD | 394 | 03/25/2021 | 2,699 | ||||||||||||||||||||||||
Goldman Sachs International | USD | 351 | IDR | 4,966,944 | 04/15/2021 | (7,930 | ) | |||||||||||||||||||||||
Goldman Sachs International | USD | 254 | CNY | 1,650 | 04/22/2021 | (748 | ) | |||||||||||||||||||||||
Goldman Sachs International | USD | 124 | PHP | 5,964 | 04/22/2021 | (2,414 | ) | |||||||||||||||||||||||
Morgan Stanley & Co., Inc. | USD | 371 | MYR | 1,504 | 03/25/2021 | (1,857 | ) | |||||||||||||||||||||||
Morgan Stanley & Co., Inc. | TWD | 363 | USD | 13 | 04/27/2021 | 70 | ||||||||||||||||||||||||
Natwest Markets PLC | USD | 219 | RUB | 16,202 | 03/24/2021 | (2,579 | ) | |||||||||||||||||||||||
Natwest Markets PLC | TWD | 189 | USD | 7 | 04/27/2021 | (19 | ) | |||||||||||||||||||||||
Standard Chartered Bank | COP | 604,447 | USD | 171 | 03/18/2021 | 5,669 | ||||||||||||||||||||||||
Standard Chartered Bank | PEN | 817 | USD | 226 | 03/18/2021 | 2,253 | ||||||||||||||||||||||||
Standard Chartered Bank | USD | 290 | CLP | 204,880 | 03/18/2021 | (7,086 | ) | |||||||||||||||||||||||
Standard Chartered Bank | USD | 345 | COP | 1,200,150 | 03/18/2021 | (16,345 | ) | |||||||||||||||||||||||
Standard Chartered Bank | USD | 91 | PEN | 332 | 03/18/2021 | (21 | ) | |||||||||||||||||||||||
Standard Chartered Bank | IDR | 2,442,590 | USD | 173 | 04/15/2021 | 4,886 | ||||||||||||||||||||||||
Standard Chartered Bank | CNY | 1,509 | USD | 234 | 04/22/2021 | 2,037 | ||||||||||||||||||||||||
Standard Chartered Bank | USD | 909 | CNY | 5,909 | 04/22/2021 | (2,324 | ) | |||||||||||||||||||||||
State Street Bank & Trust Co. | THB | 10,957 | USD | 365 | 03/11/2021 | 1,644 | ||||||||||||||||||||||||
State Street Bank & Trust Co. | USD | 732 | THB | 21,934 | 03/11/2021 | (4,198 | ) | |||||||||||||||||||||||
State Street Bank & Trust Co. | AUD | 11 | USD | 9 | 03/15/2021 | 37 | ||||||||||||||||||||||||
State Street Bank & Trust Co. | CAD | 29 | USD | 23 | 03/15/2021 | 118 | ||||||||||||||||||||||||
State Street Bank & Trust Co. | CHF | 42 | USD | 47 | 03/15/2021 | 937 |
21
Counterparty | Contracts to Deliver (000) | In Exchange For (000) | Settlement Date | Unrealized Appreciation/ (Depreciation) | ||||||||||||||||||||||||||
State Street Bank & Trust Co. | DKK | 12 | USD | 2 | 03/15/2021 | $ | 11 | |||||||||||||||||||||||
State Street Bank & Trust Co. | EUR | 3 | USD | 4 | 03/15/2021 | 20 | ||||||||||||||||||||||||
State Street Bank & Trust Co. | EUR | 24 | USD | 29 | 03/15/2021 | (71 | ) | |||||||||||||||||||||||
State Street Bank & Trust Co. | GBP | 13 | USD | 18 | 03/15/2021 | (111 | ) | |||||||||||||||||||||||
State Street Bank & Trust Co. | ILS | 44 | USD | 14 | 03/15/2021 | 213 | ||||||||||||||||||||||||
State Street Bank & Trust Co. | JPY | 2,415 | USD | 23 | 03/15/2021 | 137 | ||||||||||||||||||||||||
State Street Bank & Trust Co. | NOK | 144 | USD | 17 | 03/15/2021 | 414 | ||||||||||||||||||||||||
State Street Bank & Trust Co. | SGD | 7 | USD | 5 | 03/15/2021 | 35 | ||||||||||||||||||||||||
State Street Bank & Trust Co. | USD | 24 | AUD | 31 | 03/15/2021 | (162 | ) | |||||||||||||||||||||||
State Street Bank & Trust Co. | USD | 2 | EUR | 2 | 03/15/2021 | (12 | ) | |||||||||||||||||||||||
State Street Bank & Trust Co. | USD | 20 | HKD | 153 | 03/15/2021 | (11 | ) | |||||||||||||||||||||||
State Street Bank & Trust Co. | USD | 45 | JPY | 4,737 | 03/15/2021 | (750 | ) | |||||||||||||||||||||||
State Street Bank & Trust Co. | AUD | 1,313 | USD | 1,025 | 03/17/2021 | 14,893 | ||||||||||||||||||||||||
State Street Bank & Trust Co. | CAD | 93 | USD | 73 | 03/17/2021 | 6 | ||||||||||||||||||||||||
State Street Bank & Trust Co. | CHF | 652 | USD | 729 | 03/17/2021 | 12,067 | ||||||||||||||||||||||||
State Street Bank & Trust Co. | EUR | 154 | USD | 187 | 03/17/2021 | 1,096 | ||||||||||||||||||||||||
State Street Bank & Trust Co. | GBP | 217 | USD | 307 | 03/17/2021 | 4,540 | ||||||||||||||||||||||||
State Street Bank & Trust Co. | GBP | 43 | USD | 60 | 03/17/2021 | (185 | ) | |||||||||||||||||||||||
State Street Bank & Trust Co. | NOK | 474 | USD | 56 | 03/17/2021 | 1,491 | ||||||||||||||||||||||||
State Street Bank & Trust Co. | NZD | 150 | USD | 109 | 03/17/2021 | 1,404 | ||||||||||||||||||||||||
State Street Bank & Trust Co. | NZD | 296 | USD | 212 | 03/17/2021 | (1,686 | ) | |||||||||||||||||||||||
State Street Bank & Trust Co. | USD | 437 | CAD | 555 | 03/17/2021 | (1,198 | ) | |||||||||||||||||||||||
State Street Bank & Trust Co. | USD | 283 | CHF | 256 | 03/17/2021 | (1,080 | ) | |||||||||||||||||||||||
State Street Bank & Trust Co. | USD | 187 | EUR | 154 | 03/17/2021 | (990 | ) | |||||||||||||||||||||||
State Street Bank & Trust Co. | USD | 349 | GBP | 252 | 03/17/2021 | 2,124 | ||||||||||||||||||||||||
State Street Bank & Trust Co. | USD | 1,044 | JPY | 110,595 | 03/17/2021 | (6,555 | ) | |||||||||||||||||||||||
State Street Bank & Trust Co. | USD | 57 | NOK | 474 | 03/17/2021 | (2,133 | ) | |||||||||||||||||||||||
State Street Bank & Trust Co. | USD | 693 | SEK | 5,754 | 03/17/2021 | (11,709 | ) | |||||||||||||||||||||||
State Street Bank & Trust Co. | HUF | 152,831 | USD | 518 | 03/24/2021 | 9,102 | ||||||||||||||||||||||||
State Street Bank & Trust Co. | PLN | 1,274 | USD | 345 | 03/24/2021 | 4,871 | ||||||||||||||||||||||||
State Street Bank & Trust Co. | USD | 278 | CZK | 5,951 | 03/24/2021 | (3,482 | ) | |||||||||||||||||||||||
State Street Bank & Trust Co. | USD | 217 | TRY | 1,601 | 03/26/2021 | (3,854 | ) | |||||||||||||||||||||||
State Street Bank & Trust Co. | ZAR | 3,951 | USD | 266 | 04/08/2021 | 6,132 | ||||||||||||||||||||||||
State Street Bank & Trust Co. | GBP | 94 | USD | 129 | 04/09/2021 | (2,453 | ) |
22
Counterparty | Contracts to Deliver (000) | In Exchange For (000) | Settlement Date | Unrealized Appreciation/ (Depreciation) | ||||||||||||||||||||||||||
State Street Bank & Trust Co. | USD | 190 | NOK | 1,618 | 04/15/2021 | $ | (3,811 | ) | ||||||||||||||||||||||
State Street Bank & Trust Co. | USD | 359 | MXN | 7,420 | 04/16/2021 | (6,085 | ) | |||||||||||||||||||||||
State Street Bank & Trust Co. | CHF | 391 | USD | 440 | 05/06/2021 | 10,247 | ||||||||||||||||||||||||
UBS AG | BRL | 744 | USD | 135 | 03/02/2021 | 1,776 | ||||||||||||||||||||||||
UBS AG | USD | 137 | BRL | 744 | 03/02/2021 | (4,133 | ) | |||||||||||||||||||||||
UBS AG | CHF | 973 | USD | 1,090 | 03/17/2021 | 20,459 | ||||||||||||||||||||||||
UBS AG | USD | 1,034 | SEK | 8,570 | 03/17/2021 | (19,253 | ) | |||||||||||||||||||||||
UBS AG | RUB | 4,401 | USD | 60 | 03/24/2021 | 763 | ||||||||||||||||||||||||
UBS AG | USD | 288 | RUB | 21,933 | 03/24/2021 | 5,420 | ||||||||||||||||||||||||
UBS AG | USD | 880 | RUB | 65,387 | 03/24/2021 | (5,596 | ) | |||||||||||||||||||||||
UBS AG | USD | 574 | TRY | 4,408 | 03/26/2021 | 12,766 | ||||||||||||||||||||||||
UBS AG | BRL | 744 | USD | 137 | 04/05/2021 | 4,138 | ||||||||||||||||||||||||
|
| |||||||||||||||||||||||||||||
$ | 42,503 | |||||||||||||||||||||||||||||
|
|
CALL OPTIONS WRITTEN
Description | Counterparty | Contracts | Exercise Price | Expiration Month | Notional (000) | Premiums Received | U.S. $ Value | |||||||||||||||||||||||||||
Euro STOXX 50 Index(j) | Citibank, NA | 110 | EUR | 3,825.00 | March 2021 | EUR | 421 | $ | 3,624 | $ | (604 | ) | ||||||||||||||||||||||
FTSE 100 Index(j) | Citibank, NA | 20 | GBP | 6,825.00 | March 2021 | GBP | 137 | 364 | (259 | ) | ||||||||||||||||||||||||
Nikkei 225 Index(j) | Goldman Sachs International | 1,000 | JPY | 31,125.00 | March 2021 | JPY | 31,125 | 376 | (326 | ) | ||||||||||||||||||||||||
S&P 500 Index(j) | UBS AG | 900 | USD | 3,915.00 | March 2021 | USD | 3,524 | 24,300 | (24,300 | ) | ||||||||||||||||||||||||
|
|
|
| |||||||||||||||||||||||||||||||
$ | 28,664 | $ | (25,489 | ) | ||||||||||||||||||||||||||||||
|
|
|
|
PUT OPTIONS WRITTEN
Description | Counterparty | Contracts | Exercise Price | Expiration Month | Notional (000) | Premiums Received | U.S. $ Value | |||||||||||||||||||||||||||
Euro STOXX 50 Index(j) | Citibank, NA | 110 | EUR | 3,450.00 | March 2021 | EUR | 380 | $ | 4,128 | $ | (3,866 | ) | ||||||||||||||||||||||
FTSE 100 Index(j) | Citibank, NA | 20 | GBP | 6,400.00 | March 2021 | GBP | 128 | 3,039 | (3,067 | ) | ||||||||||||||||||||||||
Nikkei 225 Index(j) | Goldman Sachs International | 1,000 | JPY | 28,125.00 | March 2021 | JPY | 28,125 | 2,341 | (2,439 | ) | ||||||||||||||||||||||||
S&P 500 Index(j) | UBS AG | 900 | USD | 3,730.00 | March 2021 | USD | 3,357 | 54,540 | (54,540 | ) | ||||||||||||||||||||||||
|
|
|
| |||||||||||||||||||||||||||||||
$ | 64,048 | $ | (63,912 | ) | ||||||||||||||||||||||||||||||
|
|
|
|
23
CREDIT DEFAULT SWAPTIONS WRITTEN
Description | Counterparty | Buy/Sell Protection | Strike Rate | Expiration Month | Notional Amount | Premiums Received | Market Value | |||||||||||||||||||||||
Call | ||||||||||||||||||||||||||||||
CDX-NAHY Series 34, 5 Year Index RTR | Morgan Stanley & Co. International PLC | Buy | 110.00 | % | April 2021 | USD | 608 | $ | 1,763 | $ | (1,000 | ) | ||||||||||||||||||
Put | ||||||||||||||||||||||||||||||
CDX-NAHY Series 34, 5 Year Index RTP | Morgan Stanley & Co. International PLC | Sell | 105.00 | April 2021 | 608 | 2,584 | (4,040 | ) | ||||||||||||||||||||||
|
|
|
| |||||||||||||||||||||||||||
$ | 4,347 | $ | (5,040 | ) | ||||||||||||||||||||||||||
|
|
|
|
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) | |||||||||||||||||
USD | 1,050 | 01/10/2022 | 3 Month LIBOR | 1.941% | Quarterly/ Semi-Annual | $ | 18,563 | $ | — | $ | 18,563 | |||||||||||||
CNY | 740 | 02/17/2025 | China 7-Day Reverse Repo Rate | 2.547% | Quarterly/ Quarterly | (1,401 | ) | — | (1,401 | ) | ||||||||||||||
CNY | 2,204 | 02/20/2025 | China 7-Day Reverse Repo Rate | 2.598% | Quarterly/ Quarterly | (3,335 | ) | — | (3,335 | ) | ||||||||||||||
CNY | 2,236 | 02/21/2025 | China 7-Day Reverse Repo Rate | 2.620% | Quarterly/ Quarterly | (3,030 | ) | — | (3,030 | ) | ||||||||||||||
EUR | 10 | 09/12/2029 | 6 Month EURIBOR | (0.157)% | Semi-Annual/ Annual | (93 | ) | — | (93 | ) | ||||||||||||||
EUR | 180 | 11/18/2029 | 6 Month EURIBOR | 0.073% | Semi-Annual/ Annual | 2,638 | — | 2,638 | ||||||||||||||||
USD | 120 | 11/18/2029 | 3 Month LIBOR | 1.728% | Quarterly/ Semi-Annual | 3,878 | — | 3,878 | ||||||||||||||||
USD | 190 | 12/18/2029 | 3 Month LIBOR | 1.836% | Quarterly/ Semi-Annual | 7,483 | — | 7,483 | ||||||||||||||||
USD | 310 | 01/21/2030 | 3 Month LIBOR | 1.790% | Quarterly/ Semi-Annual | 8,940 | — | 8,940 | ||||||||||||||||
EUR | 220 | 01/23/2030 | 6 Month EURIBOR | 0.131% | Semi-Annual/ Annual | 4,151 | — | 4,151 | ||||||||||||||||
USD | 150 | 02/12/2030 | 3 Month LIBOR | 1.495% | Quarterly/ Semi-Annual | 1,005 | — | 1,005 |
24
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) | |||||||||||||||||
USD | 670 | 06/10/2030 | 3 Month LIBOR | 0.865% | Quarterly/ Semi-Annual | $ | (34,214 | ) | $ | — | $ | (34,214 | ) | |||||||||||
EUR | 430 | 06/11/2030 | 6 Month EURIBOR | (0.045)% | Semi-Annual/ Annual | (1,248 | ) | 3 | (1,251 | ) | ||||||||||||||
EUR | 60 | 06/19/2030 | 6 Month EURIBOR | (0.119)% | Semi-Annual/ Annual | (745 | ) | (3 | ) | (742 | ) | |||||||||||||
USD | 40 | 06/19/2030 | 3 Month LIBOR | 0.725% | Quarterly/ Semi-Annual | (2,576 | ) | — | (2,576 | ) | ||||||||||||||
USD | 760 | 08/04/2030 | 3 Month LIBOR | 0536% | Quarterly/ Semi-Annual | (63,812 | ) | — | (63,812 | ) | ||||||||||||||
EUR | 520 | 08/05/2030 | 6 Month EURIBOR | (0.232)% | Semi-Annual/ Annual | (14,552 | ) | — | (14,552 | ) | ||||||||||||||
USD | 320 | 08/20/2030 | 3 Month LIBOR | 0.645% | Quarterly/ Semi-Annual | (23,959 | ) | — | (23,959 | ) | ||||||||||||||
GBP | 190 | 09/24/2030 | 0.375% | 6 Month LIBOR | Semi-Annual/ Semi-Annual | 14,526 | — | 14,526 | ||||||||||||||||
GBP | 160 | 09/24/2030 | 6 Month LIBOR | 0.375% | Semi-Annual/ Semi-Annual | (12,221 | ) | (12,351 | ) | 130 | ||||||||||||||
USD | 1,510 | 10/21/2030 | 3 Month LIBOR | 0.794% | Quarterly/ Semi-Annual | (99,489 | ) | — | (99,489 | ) | ||||||||||||||
EUR | 600 | 10/22/2030 | 6 Month EURIBOR | (0.280)% | Semi-Annual/ Annual | (21,525 | ) | — | (21,525 | ) | ||||||||||||||
GBP | 70 | 11/09/2030 | 0.533% | 6 Month LIBOR | Semi-Annual/ Semi-Annual | 4,000 | — | 4,000 | ||||||||||||||||
NOK | 4,030 | 11/11/2030 | 6 Month NIBOR | 1.031% | Semi-Annual/ Annual | (30,772 | ) | — | (30,772 | ) | ||||||||||||||
EUR | 150 | 11/11/2030 | (0.219)% | 6 Month EURIBOR | Annual/ Semi-Annual | 4,049 | — | 4,049 | ||||||||||||||||
USD | 480 | 11/12/2030 | 3 Month LIBOR | 0.938% | Quarterly/ Semi-Annual | (23,332 | ) | — | (23,332 | ) | ||||||||||||||
EUR | 190 | 11/12/2030 | 6 Month EURIBOR | (0.169)% | Semi-Annual/ Annual | (3,971 | ) | — | (3,971 | ) | ||||||||||||||
GBP | 60 | 11/13/2030 | 0.493% | 6 Month LIBOR | Semi-Annual/ Semi-Annual | 3,769 | — | 3,769 | ||||||||||||||||
NOK | 1,300 | 11/17/2030 | 6 Month NIBOR | 1.053% | Semi-Annual/ Annual | (9,625 | ) | — | (9,625 | ) | ||||||||||||||
NZD | 110 | 11/17/2030 | 0.785% | 3 Month BKBM | Semi-Annual/ Quarterly | 8,266 | 8,820 | (554 | ) | |||||||||||||||
NZD | 110 | 11/17/2030 | 3 Month BKBM | 0.785% | Quarterly/ Semi-Annual | (8,275 | ) | — | (8,275 | ) |
25
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) | |||||||||||||||||
NOK | 1,100 | 11/23/2030 | 6 Month NIBOR | 1.079% | Semi-Annual/ Annual | $ | (7,869 | ) | $ | — | $ | (7,869 | ) | |||||||||||
NZD | 890 | 11/23/2030 | 3 Month BKBM | 0.841% | Quarterly/ Semi-Annual | (63,820 | ) | — | (63,820 | ) | ||||||||||||||
NZD | 250 | 11/23/2030 | 0.841% | 3 Month BKBM | Semi-Annual/ Quarterly | 17,925 | 19,166 | (1,241 | ) | |||||||||||||||
NOK | 2,060 | 11/27/2030 | 6 Month NIBOR | 1.111% | Semi-Annual/ Annual | (14,048 | ) | — | (14,048 | ) | ||||||||||||||
EUR | 120 | 11/27/2030 | (0.247)% | 6 Month EURIBOR | Annual/ Semi-Annual | 3,725 | — | 3,725 | ||||||||||||||||
AUD | 380 | 12/01/2030 | 6 Month BBSW | 0.899% | Semi-Annual/ Semi-Annual | (22,716 | ) | — | (22,716 | ) | ||||||||||||||
EUR | 230 | 12/02/2030 | (0.253)% | 6 Month EURIBOR | Annual/ Semi-Annual | 7,339 | (1 | ) | 7,340 | |||||||||||||||
AUD | 260 | 12/23/2030 | 6 Month BBSW | 0.955% | Semi-Annual/ Semi-Annual | (14,793 | ) | — | (14,793 | ) | ||||||||||||||
EUR | 160 | 12/24/2030 | (0.266)% | 6 Month EURIBOR | Annual/ Semi-Annual | 5,493 | — | 5,493 | ||||||||||||||||
AUD | 260 | 12/31/2030 | 6 Month BBSW | 0.999% | Semi-Annual/ Semi-Annual | (14,057 | ) | — | (14,057 | ) | ||||||||||||||
NOK | 560 | 01/04/2031 | 6 Month NIBOR | 1.280% | Semi-Annual/ Annual | (2,961 | ) | — | (2,961 | ) | ||||||||||||||
EUR | 70 | 01/04/2031 | (0.259)% | 6 Month EURIBOR | Annual/ Semi-Annual | 2,376 | — | 2,376 | ||||||||||||||||
NZD | 320 | 01/05/2031 | 3 Month BKBM | 0.978% | Quarterly/ Semi-Annual | (20,842 | ) | — | (20,842 | ) | ||||||||||||||
GBP | 570 | 01/07/2031 | 0.453% | 6 Month LIBOR | Semi-Annual/ Semi-Annual | 40,359 | — | 40,359 | ||||||||||||||||
NOK | 960 | 01/11/2031 | 6 Month NIBOR | 1.274% | Semi-Annual/ Annual | (5,164 | ) | — | (5,164 | ) | ||||||||||||||
NZD | 210 | 01/11/2031 | 3 Month BKBM | 1.058% | Quarterly/ Semi-Annual | (12,611 | ) | — | (12,611 | ) | ||||||||||||||
GBP | 470 | 01/12/2031 | 0.526% | 6 Month LIBOR | Semi-Annual/ Semi-Annual | 28,782 | — | 28,782 | ||||||||||||||||
AUD | 530 | 01/13/2031 | 6 Month BBSW | 1.126% | Semi-Annual/ Semi-Annual | (24,139 | ) | — | (24,139 | ) | ||||||||||||||
JPY | 18,800 | 01/14/2031 | 0.056% | 6 Month LIBOR | Semi-Annual/ Semi-Annual | 2,070 | 1 | 2,069 |
26
Rate Type | ||||||||||||||||||||||||
Notional | 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) | |||||||||||||||||
GBP | 80 | 01/14/2031 | 0.490% | 6 Month LIBOR | Semi-Annual/ Semi-Annual | $ | 5,294 | $ | 1 | $ | 5,293 | |||||||||||||
JPY | 11,510 | 01/18/2031 | 0.047% | 6 Month LIBOR | Semi-Annual/ Semi-Annual | 1,253 | 1 | 1,252 | ||||||||||||||||
JPY | 11,400 | 01/21/2031 | 0.063% | 6 Month LIBOR | Semi-Annual/ Semi-Annual | 1,193 | — | 1,193 | ||||||||||||||||
NOK | 1,740 | 01/21/2031 | 6 Month NIBOR | 1.348% | Semi-Annual/ Annual | (8,085 | ) | — | (8,085 | ) | ||||||||||||||
NZD | 240 | 01/21/2031 | 3 Month BKBM | 1.075% | Quarterly/ Semi-Annual | (14,248 | ) | — | (14,248 | ) | ||||||||||||||
AUD | 190 | 02/02/2031 | 6 Month BBSW | 1.155% | Semi-Annual/ Semi-Annual | (8,466 | ) | — | (8,466 | ) | ||||||||||||||
USD | 240 | 02/03/2031 | 1.126% | 3 Month LIBOR | Semi-Annual/ Quarterly | 8,561 | — | 8,561 | ||||||||||||||||
JPY | 116,730 | 02/19/2031 | 0.136% | 6 Month LIBOR | Semi-Annual/ Semi-Annual | 4,722 | 3 | 4,719 | ||||||||||||||||
NOK | 3,400 | 02/19/2031 | 6 Month NIBOR | 1.634% | Semi-Annual/ Annual | (5,867 | ) | — | (5,867 | ) | ||||||||||||||
CHF | 630 | 02/19/2031 | (0.054)% | 6 Month LIBOR | Annual/ Semi-Annual | 9,073 | (1 | ) | 9,074 | |||||||||||||||
NZD | 590 | 02/19/2031 | 3 Month BKBM | 1.616% | Quarterly/ Semi-Annual | (14,498 | ) | — | (14,498 | ) | ||||||||||||||
EUR | 410 | 02/19/2031 | (0.030)% | 6 Month EURIBOR | Annual/ Semi-Annual | 3,066 | 1 | 3,065 | ||||||||||||||||
USD | 140 | 02/19/2031 | 1.370% | 3 Month LIBOR | Semi-Annual/ Quarterly | 1,849 | — | 1,849 | ||||||||||||||||
CAD | 160 | 02/25/2031 | 3 Month CDOR | 1.886% | Semi-Annual/ Semi-Annual | (15 | ) | (5 | ) | (10 | ) | |||||||||||||
AUD | 280 | 02/26/2031 | 6 Month BBSW | 1.752% | Semi-Annual/ Semi-Annual | (771 | ) | — | (771 | ) | ||||||||||||||
CHF | 360 | 03/01/2031 | 0.068% | 6 Month LIBOR | Annual/ Semi-Annual | 509 | — | 509 | ||||||||||||||||
USD | 120 | 03/01/2031 | 1.497% | 3 Month LIBOR | Semi-Annual/ Quarterly | 226 | — | 226 | ||||||||||||||||
EUR | 110 | 03/01/2031 | 0.049% | 6 Month EURIBOR | Annual/ Semi-Annual | (192 | ) | — | (192 | ) | ||||||||||||||
USD | 220 | 08/21/2045 | 3 Month LIBOR | 2.630% | Quarterly/ Semi-Annual | 31,970 | — | 31,970 |
27
Rate Type | ||||||||||||||||||||||||||||||
Notional | 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) | |||||||||||||||||||||||
USD | 70 | 09/04/2045 | 3 Month LIBOR | 2.708% |
| Quarterly/ Semi-Annual |
| $ | 12,139 | $ | — | $ | 12,139 | |||||||||||||||||
|
|
|
|
|
| |||||||||||||||||||||||||
$ | (344,145 | ) | $ | 15,635 | $ | (359,780 | ) | |||||||||||||||||||||||
|
|
|
|
|
|
INFLATION (CPI) SWAPS
Rate Type | ||||||||||||||||||||||||||||
Swap Counterparty | 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) | ||||||||||||||||||||
Bank of America, NA | USD | 8,300 | 01/05/2023 | 2.163% | CPI# | Maturity | $ | (39,186 | ) | $ | — | $ | (39,186 | ) | ||||||||||||||
Bank of America, NA | 610 | 01/19/2023 | 2.213% | CPI# | Maturity | (4,801 | ) | — | (4,801 | ) | ||||||||||||||||||
JPMorgan Chase Bank, NA | 400 | 11/10/2021 | 1.896% | CPI# | Maturity | 3,212 | — | 3,212 | ||||||||||||||||||||
|
|
|
|
|
| |||||||||||||||||||||||
$ | (40,775 | ) | $ | — | $ | (40,775 | ) | |||||||||||||||||||||
|
|
|
|
|
|
# | Variable interest rate based on the rate of inflation as determined by the Consumer Price Index (CPI). |
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 | ||||||||||||||||||||||||
JPMorgan Chase Bank, NA | ||||||||||||||||||||||||
JPABSAA1(1) | 0.14 | % | Maturity | USD | 7,552 | 03/31/2021 | $ | 0 | ||||||||||||||||
JPQABHY1(2) | 7.20 | % | Quarterly | 696 | 02/15/2022 | (30,770 | ) | |||||||||||||||||
|
| |||||||||||||||||||||||
$ | (30,770 | ) | ||||||||||||||||||||||
|
|
(a) | 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. |
(b) | Affiliated investments. |
(c) | Non-income producing security. |
(d) | Position, or a portion thereof, has been segregated to collateralize margin requirements for open futures contracts. |
(e) | Represents entire or partial securities out on loan. |
(f) | Security is exempt from registration under Rule 144A of the Securities Act of 1933. These securities are considered restricted, but liquid and may be resold in transactions exempt from registration, normally to qualified institutional buyers. At February 28, 2021, the aggregate market value of these securities amounted to $2,660,525 or 3.0% of net assets. |
(g) | Defaulted. |
(h) | The rate shown represents the 7-day yield as of period end. |
(i) | As of February 28, 2021, the cost basis of investment securities owned was substantially identical for both book and tax purposes. Gross unrealized appreciation of investments was $5,036,666 and gross unrealized depreciation of investments was $(2,123,311), resulting in net unrealized appreciation of $2,913,355. |
(j) | One contract relates to 1 share. |
Currency Abbreviations:
AUD – Australian Dollar
BRL – Brazilian Real
28
CAD – Canadian Dollar
CHF – Swiss Franc
CLP – Chilean Peso
CNY – Chinese Yuan Renminbi
COP – Colombian Peso
CZK – Czech Koruna
DKK – Danish Krone
EUR – Euro
GBP – Great British Pound
HKD – Hong Kong Dollar
HUF – Hungarian Forint
IDR – Indonesian Rupiah
ILS – Israeli Shekel
INR – Indian Rupee
JPY – Japanese Yen
KRW – South Korean Won
MXN – Mexican Peso
MYR – Malaysian Ringgit
NOK – Norwegian Krone
NZD – New Zealand Dollar
PEN – Peruvian Sol
PHP – Philippine Peso
PLN – Polish Zloty
RUB – Russian Ruble
SEK – Swedish Krona
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
BBSW – Bank Bill Swap Reference Rate (Australia)
BKBM – Bank Bill Benchmark (New Zealand)
CDOR – Canadian Dealer Offered Rate
CDX-NAHY – North American High Yield Credit Default Swap Index
CPI – Consumer Price Index
EAFE – Europe, Australia, and Far East
ETF – Exchange Traded Fund
EURIBOR – Euro Interbank Offered Rate
FTSE – Financial Times Stock Exchange
LIBOR – London Interbank Offered Rate
MSCI – Morgan Stanley Capital International
NIBOR – Norwegian Interbank Offered Rate
OMXS – Stockholm Stock Exchange
REIT – Real Estate Investment Trust
SPI – Share Price Index
TOPIX – Tokyo Price Index
TSX – Toronto Stock Exchange
(1) The following table represents the 50 largest (long/(short)) equity basket holdings underlying the total return swap with JPABSAA1 as of February 28, 2021.
Security Description | Shares | Current Notional | Percent of Basket’s Value | ||||||||||||
S&P 500 Total Return | (518) | $ | (4,091,620) | (54.2) | % | ||||||||||
MSCI Daily TR Gross EAFE | (234) | (2,214,566) | (29.3) | % | |||||||||||
JPMorgan Cash | (4,695) | (1,430,490) | (18.9) | % | |||||||||||
Microsoft Corp. | 1,531 | 355,752 | 4.7 | % | |||||||||||
MSCI Daily TR Gross Canada | (26) | (233,484) | (3.1) | % |
29
Security Description | Shares | Current Notional | Percent of Basket’s Value | ||||||||||||
Alphabet, Inc. | 98 | $ | 199,283 | 2.6 | % | ||||||||||
Roche Holding AG | 587 | 193,056 | 2.6 | % | |||||||||||
Apple, Inc. | 1,502 | 182,157 | 2.4 | % | |||||||||||
Oracle Corp. | 2,739 | 176,708 | 2.3 | % | |||||||||||
Amazon.com, Inc. | 57 | 175,151 | 2.3 | % | |||||||||||
Citrix Systems, Inc. | 1,066 | 142,456 | 1.9 | % | |||||||||||
UnitedHealth Group, Inc. | 419 | 139,343 | 1.8 | % | |||||||||||
Walmart, Inc. | 1,067 | 138,564 | 1.8 | % | |||||||||||
Home Depot, Inc./The | 521 | 134,672 | 1.8 | % | |||||||||||
AutoZone, Inc. | 115 | 133,115 | 1.8 | % | |||||||||||
Facebook, Inc. | 508 | 130,780 | 1.7 | % | |||||||||||
Procter & Gamble Co./The | 1,059 | 130,780 | 1.7 | % | |||||||||||
Salmar ASA | 1,904 | 126,109 | 1.7 | % | |||||||||||
Nippon Telegraph & Telephone Co. | 4,781 | 123,774 | 1.6 | % | |||||||||||
Enel SpA | 12,918 | 122,995 | 1.6 | % | |||||||||||
Paychex, Inc. | 1,351 | 122,995 | 1.6 | % | |||||||||||
Koninklijke Ahold Delhaize | 4,610 | 122,217 | 1.6 | % | |||||||||||
CME Group, Inc. | 589 | 117,546 | 1.6 | % | |||||||||||
Deckers Outdoor Corp. | 351 | 114,432 | 1.5 | % | |||||||||||
Taiwan Semiconductor Manufacturing Co., Ltd. | 902 | 113,654 | 1.5 | % | |||||||||||
Automatic Data Processing, Inc. | 640 | 111,318 | 1.5 | % | |||||||||||
Auto Trader Group PLC | 143 | 109,762 | 1.5 | % | |||||||||||
Merck & Co, Inc. | 1,458 | 105,869 | 1.4 | % | |||||||||||
Fidelity National Information Services, Inc. | 762 | 105,091 | 1.4 | % | |||||||||||
RELX PLC | 4,440 | 105,091 | 1.4 | % | |||||||||||
Sony Corp. | 970 | 101,199 | 1.3 | % | |||||||||||
Texas Instruments, Inc. | 587 | 101,199 | 1.3 | % | |||||||||||
Swedish Match AB | 1,389 | 100,420 | 1.3 | % | |||||||||||
Constellation Software Inc./Canada | 74 | 95,749 | 1.3 | % | |||||||||||
Capgemini SE | 573 | 92,636 | 1.2 | % | |||||||||||
Royal Dutch Shell PLC | 48 | 92,636 | 1.2 | % | |||||||||||
Activision Blizzard, Inc. | 928 | 88,743 | 1.2 | % | |||||||||||
Aristrocrat Leisure, Ltd. | 3,742 | 87,965 | 1.2 | % | |||||||||||
Partners Group Holding AG | 73 | 87,965 | 1.2 | % | |||||||||||
Novo Nordisk A/S | 1,198 | 85,630 | 1.1 | % | |||||||||||
Comcast Corp. | 1,595 | 84,073 | 1.1 | % | |||||||||||
Ameren Corp. | 1,185 | 83,294 | 1.1 | % | |||||||||||
Anthem, Inc. | 267 | 80,959 | 1.1 | % | |||||||||||
NextEra Energy, Inc. | 1,091 | 80,180 | 1.1 | % | |||||||||||
Wolters Kluwer NV | 996 | 79,402 | 1.1 | % | |||||||||||
Visa, Inc. | 363 | 77,067 | 1.0 | % | |||||||||||
Philip Morris International, Inc. | 871 | 73,174 | 1.0 | % | |||||||||||
Mastercard, Inc. | 207 | 73,174 | 1.0 | % | |||||||||||
Nippon Building Fund, Inc. | 12 | 72,396 | 1.0 | % | |||||||||||
Dollar General Corp. | 375 | 70,839 | 0.9 | % | |||||||||||
Other Long | 322,245 | 2,347,875 | 31.1 | % |
(2) The following table represents the 50 largest (long/(short)) equity basket holdings underlying the total return swap with JPQABHY1 as of February 28, 2021.
Security Description | Shares | Current Notional | Percent of Basket’s Value | ||||||||||||
JPMorgan Cash | (835 | ) | $ | (254,292 | ) | (36.5 | )% | ||||||||
Avis Budget Group, Inc. | 423 | 23,483 | 3.4 | % | |||||||||||
Alcoa Corp. | 869 | 21,341 | 3.1 | % | |||||||||||
Colfax Crop. | 455 | 20,180 | 2.9 | % | |||||||||||
United Rentals, Inc. | 67 | 20,056 | 2.9 | % | |||||||||||
Twitter, Inc. | 255 | 19,686 | 2.8 | % | |||||||||||
Penske Automotive Group, Inc. | 289 | 19,633 | 2.8 | % | |||||||||||
Mattel, Inc. | 967 | 19,526 | 2.8 | % | |||||||||||
Lamb Weston Holdings, Inc. | 238 | 19,002 | 2.7 | % |
30
Security Description | Shares | Current Notional | Percent of Basket’s Value | ||||||||||||
Qorvo, Inc. | 108 | $ | 18,839 | 2.7 | % | ||||||||||
Compass Diversified Holdings | 797 | 18,839 | 2.7 | % | |||||||||||
Lithia Motors, Inc. | 50 | 18,704 | 2.7 | % | |||||||||||
CIT Group, Inc. | 412 | 18,702 | 2.7 | % | |||||||||||
ON Semiconductor Corp. | 464 | 18,665 | 2.7 | % | |||||||||||
LPL Financial Holdings, Inc. | 141 | 18,601 | 2.7 | % | |||||||||||
CDK Global, Inc. | 370 | 18,571 | 2.7 | % | |||||||||||
Western Digital Corp. | 268 | 18,394 | 2.6 | % | |||||||||||
VEON, Ltd. | 10,312 | 18,356 | 2.6 | % | |||||||||||
Centene Corp. | 313 | 18,347 | 2.6 | % | |||||||||||
Freeport-McMoRan, Inc. | 540 | 18,328 | 2.6 | % | |||||||||||
Central Garden & Pet Co. | 402 | 18,318 | 2.6 | % | |||||||||||
Teleflex, Inc. | 46 | 18,304 | 2.6 | % | |||||||||||
Hannon Armstrong Sustainable Infrastructure Capital, Inc. | 325 | 18,290 | 2.6 | % | |||||||||||
Gartner, Inc. | 102 | 18,275 | 2.6 | % | |||||||||||
Service Corp. International | 382 | 18,230 | 2.6 | % | |||||||||||
HCA Healthcare, Inc. | 106 | 18,221 | 2.6 | % | |||||||||||
Netflix, Inc. | 34 | 18,214 | 2.6 | % | |||||||||||
XPO Logistics, Inc. | 156 | 18,212 | 2.6 | % | |||||||||||
Sensata Technologies Holding PLC | 317 | 18,164 | 2.6 | % | |||||||||||
Yum! Brands, Inc. | 175 | 18,161 | 2.6 | % | |||||||||||
Rexnord Corp. | 403 | 18,119 | 2.6 | % | |||||||||||
Charles River Laboratories International | 63 | 18,105 | 2.6 | % | |||||||||||
Newell Brands, Inc. | 781 | 18,099 | 2.6 | % | |||||||||||
B&G Foods, Inc. | 596 | 18,074 | 2.6 | % | |||||||||||
T-Mobile US, Inc. | 151 | 18,065 | 2.6 | % | |||||||||||
SBA Communications Corp. | 71 | 18,023 | 2.6 | % | |||||||||||
Microchip Technology, Inc. | 118 | 18,013 | 2.6 | % | |||||||||||
Silgan Holdings, Inc. | 479 | 17,989 | 2.6 | % | |||||||||||
IHS Markit, Ltd. | 199 | 17,967 | 2.6 | % | |||||||||||
Berry Global Group, Inc. | 323 | 17,891 | 2.6 | % | |||||||||||
VeriSign, Inc. | 92 | 17,879 | 2.6 | % | |||||||||||
FirstEnergy Corp. | 535 | 17,738 | 2.5 | % | |||||||||||
Switch, Inc. | 1,019 | 17,670 | 2.5 | % | |||||||||||
Ball Corp. | 205 | 17,478 | 2.5 | % | |||||||||||
Darling Ingredients, Inc. | 277 | 17,473 | 2.5 | % | |||||||||||
MSCI, Inc. | 42 | 17,447 | 2.5 | % | |||||||||||
Kraft Heinz Co./The | 476 | 17,313 | 2.5 | % | |||||||||||
NortonLifeLock, Inc. | 885 | 17,270 | 2.5 | % | |||||||||||
Nuance Communications, Inc. | 382 | 17,023 | 2.4 | % | |||||||||||
NextEra Energy, Inc. | 229 | 16,804 | 2.4 | % | |||||||||||
Other Long | 526 | 65,446 | 9.4 | % | |||||||||||
Other (Short) | (44,639 | ) | (745,409 | ) | (107.0 | )% |
31
AB Cap Fund, Inc.
AB All Market Income Portfolio
February 28, 2021 (unaudited)
In accordance with U.S. GAAP regarding fair value measurements, fair value is defined as the price that the Fund would receive to sell an asset or pay to transfer a liability in an orderly transaction between market participants at the measurement date. U.S. GAAP establishes a framework for measuring fair value, and a three-level hierarchy for fair value measurements based upon the transparency of inputs to the valuation of an asset or liability (including those valued based on their market values). Inputs may be observable or unobservable and refer broadly to the assumptions that market participants would use in pricing the asset or liability. Observable inputs reflect the assumptions market participants would use in pricing the asset or liability based on market data obtained from sources independent of the Fund. Unobservable inputs reflect the Fund’s own assumptions about the assumptions that market participants would use in pricing the asset or liability based on the best information available in the circumstances. Each investment is assigned a level based upon the observability of the inputs which are significant to the overall valuation. The three-tier hierarchy of inputs is summarized below.
• | Level 1 - quoted prices in active markets for identical investments |
• | Level 2 - other significant observable inputs (including quoted prices for similar investments, interest rates, prepayment speeds, credit risk, etc.) |
• | Level 3 - significant unobservable inputs (including the Fund’s own assumptions in determining the fair value of investments) |
The fair value of debt instruments, such as bonds, and over-the-counter derivatives is generally based on market price quotations, recently executed market transactions (where observable) or industry recognized modeling techniques and are generally classified as Level 2. Pricing vendor inputs to Level 2 valuations may include quoted prices for similar investments in active markets, interest rate curves, coupon rates, currency rates, yield curves, option adjusted spreads, default rates, credit spreads and other unique security features in order to estimate the relevant cash flows which is then discounted to calculate fair values. If these inputs are unobservable and significant to the fair value, these investments will be classified as Level 3. In addition, non-agency rated investments are classified as Level 3.
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.
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.
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Options are valued using market-based inputs to models, broker or dealer quotations, or alternative pricing sources with reasonable levels of price transparency, where such inputs and models are available. Alternatively the values may be obtained through unobservable management determined inputs and/or management’s proprietary models. Where models are used, the selection of a particular model to value an option depends upon the contractual terms of, and specific risks inherent in, the option as well as the availability of pricing information in the market. Valuation models require a variety of inputs, including contractual terms, market prices, measures of volatility and correlations of such inputs. Exchange traded options generally will be classified as Level 2. For options that do not trade on exchange but trade in liquid markets, inputs can generally be verified and model selection does not involve significant management judgment. Options are classified within Level 2 on the fair value hierarchy when all of the significant inputs can be corroborated to market evidence. Otherwise such instruments 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 February 28, 2021:
Investments in Securities: | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Assets: |
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Investment Companies | $ | 33,515,345 | $ | — | $ | — | $ | 33,515,345 | ||||||||
Common Stocks: | ||||||||||||||||
Information Technology | 5,535,808 | 307,213 | — | 5,843,021 | ||||||||||||
Financials | 2,992,055 | 2,068,633 | — | 5,060,688 | ||||||||||||
Industrials | 1,626,974 | 1,654,628 | — | 3,281,602 | ||||||||||||
Consumer Discretionary | 2,371,719 | 799,401 | — | 3,171,120 | ||||||||||||
Health Care | 2,371,422 | 416,277 | — | 2,787,699 | ||||||||||||
Materials | 1,061,361 | 1,646,417 | — | 2,707,778 | ||||||||||||
Communication Services | 1,530,545 | 1,013,114 | — | 2,543,659 | ||||||||||||
Consumer Staples | 1,264,392 | 618,051 | — | 1,882,443 | ||||||||||||
Utilities | 824,229 | 995,156 | — | 1,819,385 | ||||||||||||
Energy | 582,524 | 536,212 | — | 1,118,736 | ||||||||||||
Real Estate | 951,048 | 162,296 | — | 1,113,344 | ||||||||||||
Preferred Stocks | 6,000,404 | — | — | 6,000,404 | ||||||||||||
Emerging Markets – Sovereigns | — | 2,621,153 | — | 2,621,153 | ||||||||||||
Governments – Treasuries | — | 635,209 | — | 635,209 | ||||||||||||
Emerging Markets – Treasuries | — | 295,645 | — | 295,645 | ||||||||||||
Quasi-Sovereigns | — | 133,571 | — | 133,571 | ||||||||||||
Options Purchased – Puts | — | 6,573 | — | 6,573 | ||||||||||||
Short-Term Investments | 10,713,903 | — | — | 10,713,903 | ||||||||||||
Investments of Cash Collateral for Securities Loaned in Affiliated Money Market Fund | 320,930 | — | — | 320,930 | ||||||||||||
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Total Investments in Securities | 71,662,659 | 13,909,549 | — | 85,572,208 | ||||||||||||
Other Financial Instruments(a): | ||||||||||||||||
Assets: |
| |||||||||||||||
Futures | 56,703 | 24,527 | — | 81,230 | ||||||||||||
Forward Currency Exchange Contracts | — | 266,198 | — | 266,198 |
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Centrally Cleared Interest Rate Swaps | — | 269,192 | — | 269,192 | ||||||||||||
Inflation (CPI) Swaps | — | 3,212 | — | 3,212 | ||||||||||||
Total Return Swaps | — | 0 | — | 0 | ||||||||||||
Liabilities: |
| |||||||||||||||
Futures | (157,342 | ) | (16,153 | ) | — | (173,495 | ) | |||||||||
Forward Currency Exchange Contracts | — | (223,695 | ) | — | (223,695 | ) | ||||||||||
Call Options Written | — | (25,489 | ) | — | (25,489 | ) | ||||||||||
Put Options Written | — | (63,912 | ) | — | (63,912 | ) | ||||||||||
Credit Default Swaptions Written | — | (5,040 | ) | — | (5,040 | ) | ||||||||||
Centrally Cleared Interest Rate Swaps | — | (613,337 | ) | — | (613,337 | ) | ||||||||||
Inflation (CPI) Swaps | — | (43,987 | ) | — | (43,987 | ) | ||||||||||
Total Return Swaps | — | (30,770 | ) | — | (30,770 | ) | ||||||||||
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Total | $ | 71,562,020 | $ | 13,450,295 | $ | — | $ | 85,012,315 | ||||||||
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(a) | Other financial instruments are derivative instruments, such as futures, forwards and swaps, which are valued at the unrealized appreciation/(depreciation) on the instrument. Other financial instruments may also include swaps with upfront premiums, options written and swaptions written which are valued at market value. |
A summary of the Fund’s transactions in AB mutual funds for the three months ended February 28, 2021 is as follows:
Distributions | ||||||||||||||||||||||||||||||||
Fund | Market Value 11/30/2020 (000) | Purchases (000) | Sales (000) | Realized Gain (Loss) (000) | Change (Depr.) | Market Value 02/28/2021 (000) | Dividend Income (000) | Realized Gains (000) | ||||||||||||||||||||||||
AB High Income Fund, Inc. | $ | 35,037 | $ | 1,140 | $ | 4,149 | $ | 0 | $ | 532 | $ | 32,560 | $ | 576 | $ | 0 | ||||||||||||||||
Government Money Market Portfolio | 13,316 | 34,777 | 37,379 | 0 | 0 | 10,714 | 1 | 0 | ||||||||||||||||||||||||
Government Money Market Portfolio* | 537 | 1,269 | 1,485 | 0 | 0 | 321 | 0 | ** | 0 | |||||||||||||||||||||||
Total | $ | 48,890 | $ | 37,186 | $ | 43,013 | $ | 0 | $ | 532 | $ | 43,595 | $ | 577 | $ | 0 |
* | Investments of cash collateral for securities lending transactions |
** | Amount less than $500. |
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