AB Cap Fund, Inc.
AB All Market Income Portfolio
Portfolio of Investments
August 31, 2021 (unaudited)
Company | Shares | U.S. $ Value | ||||||
COMMON STOCKS – 35.7% | ||||||||
Information Technology – 7.9% | ||||||||
Electronic Equipment, Instruments & Components – 0.6% | ||||||||
Amphenol Corp. - Class A | 3,304 | $ | 253,185 | |||||
CDW Corp./DE | 1,185 | 237,723 | ||||||
IPG Photonics Corp.(a) | 272 | 46,425 | ||||||
|
| |||||||
537,333 | ||||||||
|
| |||||||
IT Services – 1.5% | ||||||||
Accenture PLC - Class A | 652 | 219,437 | ||||||
Akamai Technologies, Inc.(a) | 752 | 85,164 | ||||||
Automatic Data Processing, Inc. | 803 | 167,859 | ||||||
Cognizant Technology Solutions Corp. - Class A | 3,255 | 248,389 | ||||||
International Business Machines Corp. | 1,306 | 183,284 | ||||||
Mastercard, Inc. - Class A | 916 | 317,147 | ||||||
Visa, Inc. - Class A | 553 | 126,692 | ||||||
Wix.com Ltd.(a) | 70 | 15,546 | ||||||
|
| |||||||
1,363,518 | ||||||||
|
| |||||||
Semiconductors & Semiconductor Equipment – 1.0% | ||||||||
Applied Materials, Inc. | 2,469 | 333,635 | ||||||
ASML Holding NV(b) | 16 | 13,344 | ||||||
Infineon Technologies AG | 1,422 | 60,546 | ||||||
KLA Corp. | 498 | 169,300 | ||||||
Lam Research Corp. | 298 | 180,236 | ||||||
NVIDIA Corp. | 30 | 6,716 | ||||||
QUALCOMM, Inc. | 1,172 | 171,921 | ||||||
|
| |||||||
935,698 | ||||||||
|
| |||||||
Software – 3.4% | ||||||||
Adobe, Inc.(a) | 379 | 251,542 | ||||||
Bentley Systems, Inc. | 542 | 34,954 | ||||||
Cadence Design Systems, Inc.(a) | 149 | 24,359 | ||||||
Crowdstrike Holdings, Inc. - Class A(a) | 356 | 100,036 | ||||||
Fortinet, Inc.(a) | 404 | 127,317 | ||||||
Intuit, Inc. | 30 | 16,983 | ||||||
Microsoft Corp.(c) | 5,708 | 1,723,130 | ||||||
NortonLifeLock, Inc. | 3,796 | 100,822 | ||||||
Oracle Corp. | 1,271 | 113,284 | ||||||
SAP SE | 1,711 | 257,009 | ||||||
ServiceNow, Inc.(a) | 312 | 200,816 | ||||||
SS&C Technologies Holdings, Inc. | 100 | 7,566 | ||||||
Trend Micro, Inc./Japan | 335 | 18,351 | ||||||
VMware, Inc. - Class A(a) | 753 | 112,099 | ||||||
|
| |||||||
3,088,268 | ||||||||
|
| |||||||
Technology Hardware, Storage & Peripherals – 1.4% | ||||||||
Apple, Inc.(c) | 5,371 | 815,479 | ||||||
NetApp, Inc. | 1,436 | 127,704 | ||||||
Samsung Electronics Co., Ltd. | 4,515 | 298,072 | ||||||
|
| |||||||
1,241,255 | ||||||||
|
| |||||||
7,166,072 | ||||||||
|
|
1
Company | Shares | U.S. $ Value | ||||||
Financials – 5.9% | ||||||||
Banks – 1.1% | ||||||||
ABN AMRO Bank NV (GDR)(a) (b) (d) | 6,281 | $ | 87,505 | |||||
Citigroup, Inc. | 136 | 9,780 | ||||||
Commonwealth Bank of Australia | 2,471 | 180,042 | ||||||
Concordia Financial Group Ltd. | 7,000 | 27,140 | ||||||
Credit Agricole SA | 10,586 | 152,795 | ||||||
ING Groep NV | 560 | 7,725 | ||||||
JPMorgan Chase & Co. | 1,215 | 194,339 | ||||||
Mizuho Financial Group, Inc. | 1,800 | 25,221 | ||||||
National Bank of Canada | 1,984 | 157,475 | ||||||
Nordea Bank Abp | 3,710 | 43,574 | ||||||
Oversea-Chinese Banking Corp., Ltd. | 2,800 | 23,695 | ||||||
PNC Financial Services Group, Inc. (The) | 210 | 40,131 | ||||||
Societe Generale SA | 440 | 13,849 | ||||||
|
| |||||||
963,271 | ||||||||
|
| |||||||
Capital Markets – 2.2% | ||||||||
Apollo Global Management, Inc.(b) | 110 | 6,576 | ||||||
BlackRock, Inc. - Class A | 194 | 182,998 | ||||||
Carlyle Group, Inc. (The) | 2,372 | 117,129 | ||||||
Charles Schwab Corp. (The) | 3,315 | 241,498 | ||||||
CME Group, Inc. - Class A | 462 | 93,195 | ||||||
Credit Suisse Group AG | 15,125 | 160,227 | ||||||
Daiwa Securities Group, Inc. | 11,300 | 63,924 | ||||||
EQT AB | 171 | 8,728 | ||||||
Euronext NV(d) | 682 | 79,142 | ||||||
Futu Holdings Ltd. (ADR)(a) (b) | 70 | 6,663 | ||||||
Goldman Sachs Group, Inc. (The) | 911 | 376,708 | ||||||
IGM Financial, Inc.(b) | 2,556 | 93,212 | ||||||
London Stock Exchange Group PLC | 816 | 89,388 | ||||||
Moody’s Corp. | 693 | 263,874 | ||||||
Morgan Stanley | 1,419 | 148,186 | ||||||
T Rowe Price Group, Inc. | 356 | 79,698 | ||||||
|
| |||||||
2,011,146 | ||||||||
|
| |||||||
Consumer Finance – 0.4% | ||||||||
Ally Financial, Inc. | 2,034 | 107,599 | ||||||
American Express Co. | 1,572 | 260,889 | ||||||
|
| |||||||
368,488 | ||||||||
|
| |||||||
Diversified Financial Services – 0.5% | ||||||||
Groupe Bruxelles Lambert SA | 824 | 94,402 | ||||||
Industrivarden AB | 859 | 31,626 | ||||||
Investor AB | 6,417 | 153,486 | ||||||
Kinnevik AB(a) | 744 | 29,151 | ||||||
M&G PLC | 40,053 | 113,456 | ||||||
|
| |||||||
422,121 | ||||||||
|
| |||||||
Equity Real Estate Investment Trusts (REITs) – 0.1% | ||||||||
Orix JREIT, Inc.(b) | 78 | 139,034 | ||||||
|
| |||||||
Insurance – 1.3% | ||||||||
Aviva PLC | 4,371 | 24,294 | ||||||
CNP Assurances | 8,480 | 145,304 | ||||||
Japan Post Holdings Co., Ltd.(a) | 17,100 | 146,970 | ||||||
Japan Post Insurance Co., Ltd. | 3,000 | 54,480 |
2
Company | Shares | U.S. $ Value | ||||||
Legal & General Group PLC | 16,545 | $ | 61,459 | |||||
Manulife Financial Corp. | 7,852 | 152,914 | ||||||
Medibank Pvt Ltd. | 2,378 | 6,161 | ||||||
MetLife, Inc. | 2,580 | 159,960 | ||||||
NN Group NV | 2,830 | 146,800 | ||||||
PICC Property & Casualty Co., Ltd. - Class H | 94,000 | 84,986 | ||||||
Principal Financial Group, Inc. | 500 | 33,405 | ||||||
Prudential Financial, Inc. | 1,385 | 146,644 | ||||||
|
| |||||||
1,163,377 | ||||||||
|
| |||||||
Mortgage Real Estate Investment Trusts (REITs) – 0.3% | ||||||||
AGNC Investment Corp. | 9,202 | 150,085 | ||||||
Annaly Capital Management, Inc. | 17,539 | 152,414 | ||||||
|
| |||||||
302,499 | ||||||||
|
| |||||||
5,369,936 | ||||||||
|
| |||||||
Consumer Discretionary – 4.5% | ||||||||
Auto Components – 0.3% | ||||||||
Aisin Corp. | 300 | 11,451 | ||||||
Aptiv PLC(a) | 1,495 | 227,524 | ||||||
|
| |||||||
238,975 | ||||||||
|
| |||||||
Automobiles – 0.3% |
| |||||||
Tesla, Inc.(a) | 285 | 209,680 | ||||||
Toyota Motor Corp. | 1,210 | 105,383 | ||||||
|
| |||||||
315,063 | ||||||||
|
| |||||||
Diversified Consumer Services – 0.2% | ||||||||
Service Corp. International/US | 2,535 | 159,097 | ||||||
|
| |||||||
Hotels, Restaurants & Leisure – 0.6% | ||||||||
Aramark | 220 | 7,654 | ||||||
Chipotle Mexican Grill, Inc. - Class A(a) | 22 | 41,873 | ||||||
Compass Group PLC(a) | 4,834 | 99,870 | ||||||
Darden Restaurants, Inc. | 514 | 77,434 | ||||||
Domino’s Pizza, Inc. | 100 | 51,689 | ||||||
Galaxy Entertainment Group Ltd.(a) | 20,500 | 131,438 | ||||||
Starbucks Corp. | 1,161 | 136,406 | ||||||
|
| |||||||
546,364 | ||||||||
|
| |||||||
Household Durables – 0.3% | ||||||||
Electrolux AB - Class B | 4,311 | 109,549 | ||||||
Lennar Corp. - Class A | 60 | 6,439 | ||||||
Persimmon PLC | 3,766 | 152,415 | ||||||
PulteGroup, Inc. | 740 | 39,856 | ||||||
|
| |||||||
308,259 | ||||||||
|
| |||||||
Internet & Direct Marketing Retail – 1.5% | ||||||||
Alibaba Group Holding Ltd. (ADR)(a) | 826 | 137,934 | ||||||
Amazon.com, Inc.(a) (c) | 244 | 846,872 | ||||||
MercadoLibre, Inc.(a) | 48 | 89,638 | ||||||
Naspers Ltd. - Class N | 17 | 2,933 | ||||||
Prosus NV(a) (b) | 2,887 | 255,544 | ||||||
|
| |||||||
1,332,921 | ||||||||
|
|
3
Company | Shares | U.S. $ Value | ||||||
Leisure Products – 0.0% | ||||||||
Hasbro, Inc. | 103 | $ | 10,126 | |||||
|
| |||||||
Multiline Retail – 0.2% | ||||||||
Target Corp. | 718 | 177,332 | ||||||
|
| |||||||
Specialty Retail – 0.5% | ||||||||
Best Buy Co., Inc. | 634 | 73,867 | ||||||
Home Depot, Inc. (The)(c) | 76 | 24,790 | ||||||
Lowe’s Cos., Inc. | 703 | 143,335 | ||||||
TJX Cos., Inc. (The) | 2,724 | 198,089 | ||||||
Tractor Supply Co. | 235 | 45,649 | ||||||
|
| |||||||
485,730 | ||||||||
|
| |||||||
Textiles, Apparel & Luxury Goods – 0.6% | ||||||||
Cie Financiere Richemont SA | 443 | 48,894 | ||||||
EssilorLuxottica SA | 247 | 48,533 | ||||||
Kering SA | 61 | 48,588 | ||||||
NIKE, Inc. - Class B | 1,944 | 320,255 | ||||||
Pandora A/S | 612 | 73,357 | ||||||
|
| |||||||
539,627 | ||||||||
|
| |||||||
4,113,494 | ||||||||
|
| |||||||
Health Care – 4.3% | ||||||||
Biotechnology – 0.3% | ||||||||
AbbVie, Inc. | 1,811 | 218,733 | ||||||
Moderna, Inc.(a) | 153 | 57,633 | ||||||
|
| |||||||
276,366 | ||||||||
|
| |||||||
Health Care Equipment & Supplies – 1.5% | ||||||||
Abbott Laboratories | 2,608 | 329,573 | ||||||
Align Technology, Inc.(a) | 136 | 96,424 | ||||||
Baxter International, Inc. | 1,451 | 110,595 | ||||||
Cooper Cos., Inc. (The) | 424 | 191,101 | ||||||
DexCom, Inc.(a) | 100 | 52,942 | ||||||
IDEXX Laboratories, Inc.(a) | 246 | 165,745 | ||||||
Koninklijke Philips NV | 4,009 | 184,748 | ||||||
Medtronic PLC | 1,488 | 198,618 | ||||||
Stryker Corp. | 160 | 44,336 | ||||||
|
| |||||||
1,374,082 | ||||||||
|
| |||||||
Health Care Providers & Services – 0.5% | ||||||||
Anthem, Inc. | 1,017 | 381,507 | ||||||
Henry Schein, Inc.(a) | 879 | 66,444 | ||||||
|
| |||||||
447,951 | ||||||||
|
| |||||||
Life Sciences Tools & Services – 0.8% | ||||||||
Bio-Rad Laboratories, Inc. - Class A(a) | 141 | 113,480 | ||||||
Eurofins Scientific SE | 150 | 21,284 | ||||||
IQVIA Holdings, Inc.(a) | 1,177 | 305,702 | ||||||
Mettler-Toledo International, Inc.(a) | 103 | 159,941 | ||||||
Thermo Fisher Scientific, Inc. | 248 | 137,628 | ||||||
|
| |||||||
738,035 | ||||||||
|
|
4
Company | Shares | U.S. $ Value | ||||||
Pharmaceuticals – 1.2% | ||||||||
AstraZeneca PLC (Sponsored ADR) | 1,331 | $ | 77,571 | |||||
Eli Lilly & Co. | 488 | 126,045 | ||||||
Novo Nordisk A/S - Class B | 926 | 92,702 | ||||||
Roche Holding AG | 576 | 231,296 | ||||||
Sanofi | 1,793 | 185,824 | ||||||
Sumitomo Dainippon Pharma Co., Ltd. | 600 | 10,770 | ||||||
Takeda Pharmaceutical Co., Ltd. | 4,800 | 159,770 | ||||||
Zoetis, Inc. | 1,190 | 243,426 | ||||||
|
| |||||||
1,127,404 | ||||||||
|
| |||||||
3,963,838 | ||||||||
|
| |||||||
Communication Services – 3.4% | ||||||||
Diversified Telecommunication Services – 0.8% | ||||||||
AT&T, Inc. | 5,215 | 142,995 | ||||||
Comcast Corp. - Class A | 2,336 | 141,748 | ||||||
Orange SA | 2,937 | 33,391 | ||||||
Spark New Zealand Ltd. | 40,604 | 139,423 | ||||||
Telefonica SA | 30,832 | 152,560 | ||||||
Telenor ASA | 7,609 | 133,302 | ||||||
|
| |||||||
743,419 | ||||||||
|
| |||||||
Entertainment – 0.3% | ||||||||
Electronic Arts, Inc. | 1,153 | 167,427 | ||||||
Nintendo Co., Ltd. | 106 | 50,927 | ||||||
Sea Ltd. (ADR)(a) | 150 | 50,748 | ||||||
|
| |||||||
269,102 | ||||||||
|
| |||||||
Interactive Media & Services – 1.8% | ||||||||
Alphabet, Inc. - Class A(a) (c) | 40 | 115,758 | ||||||
Alphabet, Inc. - Class C(a) (c) | 184 | 535,301 | ||||||
Facebook, Inc. - Class A(a) (c) | 2,509 | 951,864 | ||||||
Snap, Inc. - Class A(a) | 130 | 9,894 | ||||||
|
| |||||||
1,612,817 | ||||||||
|
| |||||||
Media – 0.2% | ||||||||
Interpublic Group of Cos., Inc. (The) | 2,220 | 82,651 | ||||||
Omnicom Group, Inc. | 1,215 | 88,962 | ||||||
Publicis Groupe SA | 600 | 39,390 | ||||||
|
| |||||||
211,003 | ||||||||
|
| |||||||
Wireless Telecommunication Services – 0.3% | ||||||||
Softbank Corp. | 12,000 | 160,594 | ||||||
Softbank Group Corp. | 2,510 | 141,448 | ||||||
|
| |||||||
302,042 | ||||||||
|
| |||||||
3,138,383 | ||||||||
|
| |||||||
Industrials – 3.4% | ||||||||
Aerospace & Defense – 0.0% | ||||||||
Huntington Ingalls Industries, Inc. | 42 | 8,575 | ||||||
|
| |||||||
Air Freight & Logistics – 0.4% | ||||||||
Deutsche Post AG | 2,460 | 172,960 | ||||||
Kuehne & Nagel International AG | 430 | 157,151 | ||||||
|
| |||||||
330,111 | ||||||||
|
|
5
Company | Shares | U.S. $ Value | ||||||
Building Products – 0.6% | ||||||||
Cie de Saint-Gobain | 1,246 | $ | 90,326 | |||||
Lennox International, Inc. | 70 | 23,463 | ||||||
Lixil Corp. | 500 | 14,551 | ||||||
Otis Worldwide Corp. | 3,582 | 330,332 | ||||||
Owens Corning | 480 | 45,864 | ||||||
Xinyi Glass Holdings Ltd. | 18,000 | 75,640 | ||||||
|
| |||||||
580,176 | ||||||||
|
| |||||||
Commercial Services & Supplies – 0.1% | ||||||||
Copart, Inc.(a) | 306 | 44,162 | ||||||
|
| |||||||
Construction & Engineering – 0.0% | ||||||||
Kajima Corp. | 2,600 | 33,593 | ||||||
|
| |||||||
Electrical Equipment – 0.3% | ||||||||
ABB Ltd. | 4,442 | 164,330 | ||||||
Rockwell Automation, Inc. | 245 | 79,735 | ||||||
Vertiv Holdings Co. | 2,417 | 68,087 | ||||||
|
| |||||||
312,152 | ||||||||
|
| |||||||
Industrial Conglomerates – 0.4% | ||||||||
3M Co. | 1,773 | 345,274 | ||||||
|
| |||||||
Machinery – 0.9% | ||||||||
CNH Industrial NV | 1,550 | 25,623 | ||||||
Cummins, Inc. | 648 | 152,915 | ||||||
Dover Corp. | 973 | 169,652 | ||||||
Mitsubishi Heavy Industries Ltd. | 5,500 | 145,304 | ||||||
Nabtesco Corp. | 300 | 11,864 | ||||||
Parker-Hannifin Corp. | 282 | 83,661 | ||||||
Snap-on, Inc. | 613 | 137,894 | ||||||
Volvo AB - Class B | 4,661 | 105,538 | ||||||
|
| |||||||
832,451 | ||||||||
|
| |||||||
Marine – 0.1% | ||||||||
AP Moller - Maersk A/S - Class B | 18 | 51,278 | ||||||
Nippon Yusen KK | 400 | 32,166 | ||||||
|
| |||||||
83,444 | ||||||||
|
| |||||||
Professional Services – 0.4% | ||||||||
Adecco Group AG | 1,554 | 86,445 | ||||||
Booz Allen Hamilton Holding Corp. | 160 | 13,106 | ||||||
RELX PLC | 3,045 | 91,587 | ||||||
Verisk Analytics, Inc. - Class A | 974 | 196,514 | ||||||
|
| |||||||
387,652 | ||||||||
|
| |||||||
Trading Companies & Distributors – 0.2% | ||||||||
Fastenal Co. | 665 | 37,140 | ||||||
WW Grainger, Inc. | 297 | 128,809 | ||||||
|
| |||||||
165,949 | ||||||||
|
| |||||||
3,123,539 | ||||||||
|
|
6
Company | Shares | U.S. $ Value | ||||||
Materials – 1.6% | ||||||||
Chemicals – 0.8% | ||||||||
Celanese Corp. - Class A | 124 | $ | 19,666 | |||||
Dow, Inc. | 2,235 | 140,581 | ||||||
International Flavors & Fragrances, Inc. | 754 | 114,231 | ||||||
Linde PLC | 406 | 127,724 | ||||||
LyondellBasell Industries NV - Class A | 1,493 | 149,823 | ||||||
Mitsubishi Chemical Holdings Corp. | 6,700 | 58,826 | ||||||
Sumitomo Chemical Co., Ltd. | 29,100 | 147,526 | ||||||
|
| |||||||
758,377 | ||||||||
|
| |||||||
Containers & Packaging – 0.2% | ||||||||
Packaging Corp. of America | 1,068 | 162,016 | ||||||
|
| |||||||
Metals & Mining – 0.6% | ||||||||
Evraz PLC | 17,968 | 146,155 | ||||||
Fortescue Metals Group Ltd. | 9,499 | 144,815 | ||||||
Rio Tinto Ltd. | 1,778 | 144,667 | ||||||
Rio Tinto PLC | 1,455 | 107,647 | ||||||
|
| |||||||
543,284 | ||||||||
|
| |||||||
1,463,677 | ||||||||
|
| |||||||
Real Estate – 1.4% | ||||||||
Equity Real Estate Investment Trusts (REITs) – 1.2% | ||||||||
American Tower Corp. | 775 | 226,432 | ||||||
Extra Space Storage, Inc. | 559 | 104,483 | ||||||
Iron Mountain, Inc.(b) | 3,292 | 157,193 | ||||||
Omega Healthcare Investors, Inc. | 4,303 | 144,279 | ||||||
Stockland | 26,114 | 88,001 | ||||||
VICI Properties, Inc.(b) | 5,082 | 157,085 | ||||||
Vornado Realty Trust | 1,770 | 74,128 | ||||||
Weyerhaeuser Co. | 4,415 | 158,940 | ||||||
|
| |||||||
1,110,541 | ||||||||
|
| |||||||
Real Estate Management & Development – 0.2% | ||||||||
CBRE Group, Inc. - Class A(a) | 1,496 | 144,065 | ||||||
Nomura Real Estate Holdings, Inc. | 1,000 | 25,609 | ||||||
|
| |||||||
169,674 | ||||||||
|
| |||||||
1,280,215 | ||||||||
|
| |||||||
Energy – 1.1% | ||||||||
Oil, Gas & Consumable Fuels – 1.1% | ||||||||
BP PLC | 16,030 | 65,215 | ||||||
Canadian Natural Resources Ltd. | 1,020 | 33,753 | ||||||
Enbridge, Inc. | 950 | 37,386 | ||||||
Eni SpA | 2,130 | 26,279 | ||||||
Equinor ASA | 780 | 16,531 | ||||||
Inpex Corp. | 10,900 | 74,893 | ||||||
Keyera Corp.(b) | 3,361 | 80,931 | ||||||
LUKOIL PJSC (Sponsored ADR) | 971 | 83,069 | ||||||
Neste Oyj | 1,230 | 74,922 | ||||||
OMV AG | 620 | 34,342 | ||||||
ONEOK, Inc. | 2,760 | 144,955 | ||||||
Royal Dutch Shell PLC - Class A | 3,210 | 63,620 | ||||||
Royal Dutch Shell PLC - Class B | 7,659 | 150,711 | ||||||
TotalEnergies SE | 2,070 | 91,562 | ||||||
Valero Energy Corp. | 454 | 30,105 | ||||||
|
| |||||||
1,008,274 | ||||||||
|
|
7
Company | Shares | U.S. $ Value | ||||||
Utilities – 1.1% | ||||||||
Electric Utilities – 0.4% | ||||||||
Endesa SA | 4,691 | $ | 112,782 | |||||
Evergy, Inc. | 1,389 | 95,077 | ||||||
Iberdrola SA | 3,954 | 48,996 | ||||||
NRG Energy, Inc. | 810 | 36,992 | ||||||
Red Electrica Corp. SA | 1,721 | 34,323 | ||||||
|
| |||||||
328,170 | ||||||||
|
| |||||||
Gas Utilities – 0.3% | ||||||||
AltaGas Ltd. | 5,571 | 111,583 | ||||||
Snam SpA | 24,433 | 144,463 | ||||||
UGI Corp. | 1,239 | 57,378 | ||||||
|
| |||||||
313,424 | ||||||||
|
| |||||||
Independent Power and Renewable Electricity Producers – 0.1% | ||||||||
Uniper SE | 2,006 | 79,644 | ||||||
|
| |||||||
Multi-Utilities – 0.3% | ||||||||
AGL Energy Ltd.(b) | 10,359 | 48,737 | ||||||
Atco Ltd./Canada - Class I | 1,115 | 37,516 | ||||||
E.ON SE | 4,952 | 65,334 | ||||||
Sempra Energy | 704 | 93,181 | ||||||
|
| |||||||
244,768 | ||||||||
|
| |||||||
966,006 | ||||||||
|
| |||||||
Consumer Staples – 1.1% | ||||||||
Beverages – 0.4% | ||||||||
Asahi Group Holdings Ltd. | 3,750 | 174,317 | ||||||
Coca-Cola Co. (The) | 2,927 | 164,819 | ||||||
Constellation Brands, Inc. - Class A | 220 | 46,451 | ||||||
|
| |||||||
385,587 | ||||||||
|
| |||||||
Food & Staples Retailing – 0.1% |
| |||||||
Kroger Co. (The) | 1,292 | 59,471 | ||||||
|
| |||||||
Tobacco – 0.6% |
| |||||||
Altria Group, Inc. | 3,583 | 179,974 | ||||||
Imperial Brands PLC | 6,693 | 141,937 | ||||||
Philip Morris International, Inc. | 1,929 | 198,687 | ||||||
|
| |||||||
520,598 | ||||||||
|
| |||||||
965,656 | ||||||||
|
| |||||||
Total Common Stocks | 32,559,090 | |||||||
|
| |||||||
INVESTMENT COMPANIES – 17.9% | ||||||||
Funds and Investment Trusts – 17.9%(e) | ||||||||
AB High Income Fund, Inc. - Class Z(f) | 1,814,504 | 14,679,339 | ||||||
Energy Select Sector SPDR Fund(b) | 5,707 | 276,219 | ||||||
Financial Select Sector SPDR Fund | 9,534 | 366,105 | ||||||
Industrial Select Sector SPDR Fund(b) | 2,626 | 274,443 |
8
Company | Shares | U.S. $ Value | ||||||
iShares MSCI Europe Financials ETF(b) | 17,040 | $ | 342,419 | |||||
SPDR MSCI Europe Industrials UCITS ETF(a) | 1,240 | 371,377 | ||||||
|
| |||||||
Total Investment Companies | 16,309,902 | |||||||
|
| |||||||
PREFERRED STOCKS – 7.1% | ||||||||
Real Estate – 7.1% | ||||||||
Diversified REITs – 1.7% | ||||||||
Armada Hoffler Properties, Inc. | 8,122 | 226,279 | ||||||
DigitalBridge Group, Inc. | 2,253 | 57,609 | ||||||
DigitalBridge Group, Inc. | 11,612 | 299,009 | ||||||
DigitalBridge Group, Inc. | 6,098 | 156,536 | ||||||
Gladstone Commercial Corp. | 2,218 | 60,374 | ||||||
Gladstone Commercial Corp. | 3,125 | 85,719 | ||||||
Global Net Lease, Inc. | 3,467 | 92,569 | ||||||
Global Net Lease, Inc. | 4,450 | 129,450 | ||||||
PS Business Parks, Inc. | 1,636 | 41,636 | ||||||
PS Business Parks, Inc. | 5,441 | 145,166 | ||||||
PS Business Parks, Inc. | 2,700 | 75,627 | ||||||
Vornado Realty Trust | 194 | 5,050 | ||||||
Vornado Realty Trust | 6,516 | 170,328 | ||||||
|
| |||||||
1,545,352 | ||||||||
|
| |||||||
Health Care REITs – 0.0% | ||||||||
Global Medical REIT, Inc. | 1,557 | 41,416 | ||||||
|
| |||||||
Hotel & Resort REITs – 1.0% | ||||||||
Chatham Lodging Trust | 2,743 | 72,415 |
9
Company | Shares | U.S. $ Value | ||||||
DiamondRock Hospitality Co. | 6,875 | $ | 193,875 | |||||
Hersha Hospitality Trust | 3,635 | 91,420 | ||||||
Hersha Hospitality Trust | 2,065 | 49,416 | ||||||
Hersha Hospitality Trust | 1,602 | 37,983 | ||||||
Pebblebrook Hotel Trust | 4,819 | 121,824 | ||||||
Pebblebrook Hotel Trust | 177 | 4,459 | ||||||
Summit Hotel Properties, Inc. | 4,522 | 113,050 | ||||||
Summit Hotel Properties, Inc. | 1,075 | 28,670 | ||||||
Summit Hotel Properties, Inc. | 6,950 | 176,461 | ||||||
|
| |||||||
889,573 | ||||||||
|
| |||||||
Industrial REITs – 0.5% | ||||||||
Monmouth Real Estate Investment Corp. | 7,925 | 200,185 | ||||||
Plymouth Industrial REIT, Inc. | 1,100 | 29,975 | ||||||
Rexford Industrial Realty, Inc. | 4,168 | 110,244 | ||||||
Rexford Industrial Realty, Inc. | 3,072 | 85,801 | ||||||
|
| |||||||
426,205 | ||||||||
|
| |||||||
Office REITs – 0.3% | ||||||||
City Office REIT, Inc. | 5,325 | 136,480 | ||||||
SL Green Realty Corp. | 1,718 | 45,716 | ||||||
Vornado Realty Trust | 4,821 | 127,901 | ||||||
Vornado Realty Trust | 630 | 17,325 | ||||||
|
| |||||||
327,422 | ||||||||
|
|
10
Company | Shares | U.S. $ Value | ||||||
Real Estate Development – 0.5% | ||||||||
American Finance Trust, Inc. | 8,325 | $ | 223,859 | |||||
Pebblebrook Hotel Trust | 4,837 | 132,389 | ||||||
Sunstone Hotel Investors, Inc. | 2,925 | 78,507 | ||||||
|
| |||||||
434,755 | ||||||||
|
| |||||||
Real Estate Operating Companies – 0.1% | ||||||||
Brookfield Property Partners LP | 335 | 8,191 | ||||||
Brookfield Property Partners LP | 2,779 | 71,559 | ||||||
|
| |||||||
79,750 | ||||||||
|
| |||||||
Real Estate Services – 0.2% | ||||||||
CTO Realty Growth, Inc. | 1,886 | 49,508 | ||||||
Sunstone Hotel Investors, Inc. | 3,700 | 96,866 | ||||||
|
| |||||||
146,374 | ||||||||
|
| |||||||
Residential REITs – 0.6% | ||||||||
American Homes 4 Rent | 1,683 | 44,263 | ||||||
American Homes 4 Rent | 393 | 10,340 | ||||||
American Homes 4 Rent | 409 | 11,395 | ||||||
Bluerock Residential Growth REIT, Inc. | 2,741 | 70,032 | ||||||
Centerspace | 2,693 | 72,105 | ||||||
UMH Properties, Inc. | 6,216 | 163,419 | ||||||
UMH Properties, Inc. | 5,800 | 153,178 | ||||||
|
| |||||||
524,732 | ||||||||
|
| |||||||
Retail REITs – 1.0% | ||||||||
American Finance Trust, Inc. | 1,075 | 29,219 |
11
Company | Shares | U.S. $ Value | ||||||
Cedar Realty Trust, Inc. | 6,003 | $ | 155,238 | |||||
National Retail Properties, Inc. | 970 | 24,473 | ||||||
Saul Centers, Inc. | 7,607 | 207,443 | ||||||
Saul Centers, Inc. | 695 | 19,898 | ||||||
SITE Centers Corp. | 5,081 | 132,512 | ||||||
Spirit Realty Capital, Inc. | 5,725 | 152,399 | ||||||
Urstadt Biddle Properties, Inc. | 2,000 | 53,100 | ||||||
Urstadt Biddle Properties, Inc. | 6,638 | 179,093 | ||||||
|
| |||||||
953,375 | ||||||||
|
| |||||||
Specialized REITs – 1.2% | ||||||||
Digital Realty Trust, Inc. | 825 | 21,813 | ||||||
Digital Realty Trust, Inc. | 2,840 | 79,208 | ||||||
Digital Realty Trust, Inc. | 9,200 | 250,516 | ||||||
EPR Properties | 805 | 21,357 | ||||||
National Storage Affiliates Trust | 8,819 | 238,025 | ||||||
Public Storage | 1,975 | 54,707 | ||||||
Public Storage | 3,905 | 101,998 | ||||||
Public Storage | 6,615 | 168,021 | ||||||
QTS Realty Trust, Inc. | 6,449 | 162,386 | ||||||
|
| |||||||
1,098,031 | ||||||||
|
| |||||||
Total Preferred Stocks | 6,466,985 | |||||||
|
|
12
Principal | U.S. $ Value | |||||||||||
EMERGING MARKETS - SOVEREIGNS – 2.7% | ||||||||||||
Argentina – 0.1% | ||||||||||||
Argentine Republic Government International Bond | U.S.$ | 109 | $ | 42,234 | ||||||||
1.00%, 07/09/2029 | 16 | 6,629 | ||||||||||
1.125%, 07/09/2035 | 188 | 65,416 | ||||||||||
|
| |||||||||||
114,279 | ||||||||||||
|
| |||||||||||
Bahrain – 0.3% | ||||||||||||
Bahrain Government International Bond | 200 | 220,250 | ||||||||||
|
| |||||||||||
Dominican Republic – 0.2% | ||||||||||||
Dominican Republic International Bond | 200 | 218,663 | ||||||||||
|
| |||||||||||
Ecuador – 0.2% | ||||||||||||
Ecuador Government International Bond | 12 | 6,658 | ||||||||||
0.50%, 07/31/2040(d) | 45 | 28,999 | ||||||||||
1.00%, 07/31/2035(d) | 99 | 71,323 | ||||||||||
5.00%, 07/31/2030(d) | 38 | 33,784 | ||||||||||
|
| |||||||||||
140,764 | ||||||||||||
|
| |||||||||||
Egypt – 0.2% | ||||||||||||
Egypt Government International Bond | 200 | 210,475 | ||||||||||
|
| |||||||||||
El Salvador – 0.2% | ||||||||||||
El Salvador Government International Bond | 182 | 157,430 | ||||||||||
|
| |||||||||||
Gabon – 0.2% | ||||||||||||
Gabon Government International Bond | 200 | 202,913 | ||||||||||
|
| |||||||||||
Ghana – 0.2% | ||||||||||||
Ghana Government International Bond | 200 | 195,975 | ||||||||||
|
| |||||||||||
Guatemala – 0.3% | ||||||||||||
Guatemala Government Bond | 200 | 223,537 | ||||||||||
|
| |||||||||||
Ivory Coast – 0.2% | ||||||||||||
Ivory Coast Government International Bond | 200 | 213,600 | ||||||||||
|
| |||||||||||
Kenya – 0.2% | ||||||||||||
Republic of Kenya Government International Bond | 200 | 219,787 | ||||||||||
|
|
13
Principal | U.S. $ Value | |||||||||||
Lebanon – 0.0% | ||||||||||||
Lebanon Government International Bond | U.S.$ | 107 | $ | 13,375 | ||||||||
|
| |||||||||||
Senegal – 0.2% | ||||||||||||
Senegal Government International Bond | 200 | 207,788 | ||||||||||
|
| |||||||||||
Ukraine – 0.2% | ||||||||||||
Ukraine Government International Bond | 150 | 167,044 | ||||||||||
|
| |||||||||||
Total Emerging Markets - Sovereigns | 2,505,880 | |||||||||||
|
| |||||||||||
Notional Amount | ||||||||||||
OPTIONS PURCHASED - PUTS – 1.3% | ||||||||||||
Options on Equity Indices – 1.3% | ||||||||||||
Euro STOXX 50 Index | EUR | 6,591,750 | 134,920 | |||||||||
Euro STOXX 50 Index | USD | 53,625,000 | 907,270 | |||||||||
FTSE 100 Index | GBP | 2,440,000 | 52,257 | |||||||||
Nikkei 225 Index | JPY | 517,500,000 | 46,554 | |||||||||
Nikkei 225 Index | JPY | 45,000,000 | 4,048 | |||||||||
|
| |||||||||||
Total Options Purchased - Puts | 1,145,049 | |||||||||||
|
| |||||||||||
GOVERNMENTS - TREASURIES – 0.7% | ||||||||||||
Colombia – 0.2% | ||||||||||||
Colombian TES | COP | 492,700 | 133,391 | |||||||||
|
|
14
Principal | U.S. $ Value | |||||||||||
Indonesia – 0.2% | ||||||||||||
Indonesia Treasury Bond | ||||||||||||
Series FR70 | IDR | 1,105,000 | $ | 84,759 | ||||||||
Series FR71 | 1,438,000 | 118,720 | ||||||||||
|
| |||||||||||
203,479 | ||||||||||||
|
| |||||||||||
Mexico – 0.2% | ||||||||||||
Mexican Bonos | MXN | 2,777 | 153,954 | |||||||||
|
| |||||||||||
Russia – 0.1% | ||||||||||||
Russian Federal Bond - OFZ | RUB | 9,626 | 132,174 | |||||||||
|
| |||||||||||
Total Governments - Treasuries | 622,998 | |||||||||||
|
| |||||||||||
EMERGING MARKETS - TREASURIES – 0.3% | ||||||||||||
Brazil – 0.1% | ||||||||||||
Brazil Notas do Tesouro Nacional | BRL | 658 | 129,158 | |||||||||
|
| |||||||||||
South Africa – 0.2% | ||||||||||||
Republic of South Africa Government Bond | ZAR | 2,848 | 180,719 | |||||||||
|
| |||||||||||
Total Emerging Markets - Treasuries | 309,877 | |||||||||||
|
| |||||||||||
QUASI-SOVEREIGNS – 0.1% | ||||||||||||
Quasi-Sovereign Bonds – 0.1% | ||||||||||||
Mexico – 0.1% | ||||||||||||
Petroleos Mexicanos |
| |||||||||||
5.95%, 01/28/2031 | U.S.$ | 43 | 42,222 | |||||||||
7.69%, 01/23/2050 | 97 | 92,612 | ||||||||||
|
| |||||||||||
Total Quasi-Sovereigns | 134,834 | |||||||||||
|
| |||||||||||
SHORT-TERM INVESTMENTS – 29.2% | ||||||||||||
Investment Companies – 29.2% | ||||||||||||
AB Fixed Income Shares, Inc. - Government Money Market Portfolio - | 26,711,136 | 26,711,136 | ||||||||||
|
| |||||||||||
Total Investments Before Security Lending Collateral for Securities Loaned – 95.0% | 86,765,751 | |||||||||||
|
|
15
Company | Shares | U.S. $ Value | ||||||||||
INVESTMENTS OF CASH COLLATERAL FOR SECURITIES LOANED – 0.5% |
| |||||||||||
Investment Companies – 0.5% |
| |||||||||||
AB Fixed Income Shares, Inc. - Government Money Market Portfolio - Class AB, 0.01%(e) (f) (h) | 415,392 | $ | 415,392 | |||||||||
|
| |||||||||||
Total Investments – 95.5% |
| 87,181,143 | ||||||||||
Other assets less liabilities – 4.5% |
| 4,152,748 | ||||||||||
|
| |||||||||||
Net Assets – 100.0% |
| $ | 91,333,891 | |||||||||
|
|
FUTURES
Description | Number of Contracts | Expiration Month | Current Notional | Value and Unrealized Appreciation/ (Depreciation) | ||||||||||||||||
Purchased Contracts |
| |||||||||||||||||||
Euro STOXX 50 Index Futures | 44 | September 2021 | $ | 2,172,416 | $ | 25,074 | ||||||||||||||
Euro-Bund Futures | 7 | September 2021 | 1,450,139 | 22,320 | ||||||||||||||||
FTSE 100 Index Futures | 10 | September 2021 | 975,662 | 7,524 | ||||||||||||||||
FTSE KLCI Futures | 62 | September 2021 | 1,184,592 | 13,933 | ||||||||||||||||
FTSE Taiwan Index Futures | 1 | September 2021 | 60,730 | 1,532 | ||||||||||||||||
FTSE/JSE Top 40 Futures | 15 | September 2021 | 624,049 | 8,473 | ||||||||||||||||
Hang Seng Index Futures | 6 | September 2021 | 993,410 | 6,088 | ||||||||||||||||
S&P 500 E-Mini Futures | 58 | September 2021 | 13,109,450 | 296,326 | ||||||||||||||||
SET 50 Futures | 16 | September 2021 | 97,770 | 2,662 | ||||||||||||||||
SPI 200 Futures | 1 | September 2021 | 136,745 | 153 | ||||||||||||||||
TOPIX Index Futures | 11 | September 2021 | 1,964,232 | 30,099 | ||||||||||||||||
WIG 20 Index Futures | 76 | September 2021 | 929,823 | 32,064 | ||||||||||||||||
Sold Contracts |
| |||||||||||||||||||
BIST 30 Futures | 521 | October 2021 | 1,017,380 | (4,958 | ) | |||||||||||||||
Euro STOXX 50 Index Futures | 32 | September 2021 | 1,579,939 | (22,164 | ) | |||||||||||||||
FTSE 100 Index Futures | 1 | September 2021 | 97,566 | 122 | ||||||||||||||||
FTSE China A50 Futures | 19 | September 2021 | 280,326 | 3,961 | ||||||||||||||||
Mexican BOLSA Index Futures | 8 | September 2021 | 212,069 | (7,835 | ) | |||||||||||||||
MSCI Singapore IX ETS Futures | 31 | September 2021 | 811,979 | 6,380 | ||||||||||||||||
OMXS30 Index Futures | 29 | September 2021 | 790,998 | 7,506 | ||||||||||||||||
S&P 500 E-Mini Futures | 13 | September 2021 | 2,938,325 | (170,142 | ) | |||||||||||||||
S&P TSX 60 Index Futures | 6 | September 2021 | 1,169,801 | (17,339 | ) | |||||||||||||||
SGX Nifty 50 Futures | 50 | September 2021 | 1,712,550 | (45,780 | ) | |||||||||||||||
|
| |||||||||||||||||||
$ | 195,999 | |||||||||||||||||||
|
|
16
FORWARD CURRENCY EXCHANGE CONTRACTS
Counterparty | Contracts to Deliver (000) | In Exchange For (000) | Settlement Date | Unrealized Appreciation/ (Depreciation) | ||||||||||||||||||||||||||
Bank of America, NA | NZD | 2,449 | USD | 1,719 | 09/15/2021 | $ | (6,597 | ) | ||||||||||||||||||||||
Bank of America, NA | PEN | 942 | USD | 230 | 09/16/2021 | (64 | ) | |||||||||||||||||||||||
Bank of America, NA | USD | 557 | PEN | 2,188 | 09/16/2021 | (21,851 | ) | |||||||||||||||||||||||
Bank of America, NA | USD | 2,670 | RUB | 199,376 | 09/30/2021 | 41,831 | ||||||||||||||||||||||||
Barclays Bank PLC | CAD | 515 | USD | 412 | 09/15/2021 | 3,454 | ||||||||||||||||||||||||
Barclays Bank PLC | EUR | 706 | USD | 831 | 09/15/2021 | (2,853 | ) | |||||||||||||||||||||||
Barclays Bank PLC | GBP | 614 | USD | 842 | 09/15/2021 | (2,564 | ) | |||||||||||||||||||||||
Barclays Bank PLC | USD | 1,066 | AUD | 1,482 | 09/15/2021 | 17,759 | ||||||||||||||||||||||||
Barclays Bank PLC | USD | 522 | CAD | 663 | 09/15/2021 | 3,591 | ||||||||||||||||||||||||
Barclays Bank PLC | USD | 1,520 | NOK | 13,383 | 09/15/2021 | 19,174 | ||||||||||||||||||||||||
Barclays Bank PLC | PLN | 2,390 | USD | 616 | 09/17/2021 | (7,896 | ) | |||||||||||||||||||||||
Barclays Bank PLC | MYR | 2,494 | USD | 607 | 09/23/2021 | 6,879 | ||||||||||||||||||||||||
Barclays Bank PLC | USD | 1,800 | MYR | 7,465 | 09/23/2021 | (5,296 | ) | |||||||||||||||||||||||
Barclays Bank PLC | RUB | 7,843 | USD | 106 | 09/30/2021 | (445 | ) | |||||||||||||||||||||||
Barclays Bank PLC | INR | 53,224 | USD | 727 | 10/08/2021 | 574 | ||||||||||||||||||||||||
Barclays Bank PLC | IDR | 4,079,048 | USD | 286 | 10/15/2021 | (308 | ) | |||||||||||||||||||||||
Barclays Bank PLC | USD | 275 | IDR | 4,041,877 | 10/15/2021 | 8,232 | ||||||||||||||||||||||||
Barclays Bank PLC | USD | 259 | PHP | 12,896 | 10/21/2021 | 272 | ||||||||||||||||||||||||
Citibank, NA | CLP | 579,516 | USD | 756 | 09/16/2021 | 7,334 | ||||||||||||||||||||||||
Citibank, NA | COP | 4,880,088 | USD | 1,272 | 09/16/2021 | (21,424 | ) | |||||||||||||||||||||||
Citibank, NA | USD | 178 | CNY | 1,158 | 09/16/2021 | 1,304 | ||||||||||||||||||||||||
Citibank, NA | USD | 214 | COP | 828,880 | 09/16/2021 | 6,185 | ||||||||||||||||||||||||
Citibank, NA | USD | 2,819 | INR | 212,324 | 10/08/2021 | 79,926 | ||||||||||||||||||||||||
Credit Suisse International | USD | 761 | JPY | 83,589 | 09/15/2021 | (1,254 | ) | |||||||||||||||||||||||
Credit Suisse International | CNY | 6,892 | USD | 1,061 | 09/16/2021 | (5,268 | ) | |||||||||||||||||||||||
Credit Suisse International | USD | 255 | CNY | 1,648 | 09/16/2021 | (174 | ) | |||||||||||||||||||||||
Credit Suisse International | USD | 725 | CZK | 15,528 | 09/17/2021 | (3,562 | ) | |||||||||||||||||||||||
Deutsche Bank AG | AUD | 2,217 | USD | 1,620 | 09/15/2021 | (2,378 | ) | |||||||||||||||||||||||
Deutsche Bank AG | USD | 2,355 | SEK | 20,397 | 09/15/2021 | 8,483 | ||||||||||||||||||||||||
Deutsche Bank AG | RUB | 7,494 | USD | 100 | 09/30/2021 | (1,537 | ) | |||||||||||||||||||||||
Goldman Sachs International | BRL | 3,638 | USD | 707 | 09/02/2021 | 3,762 | ||||||||||||||||||||||||
Goldman Sachs International | USD | 701 | BRL | 3,638 | 09/02/2021 | 2,880 | ||||||||||||||||||||||||
Goldman Sachs International | CAD | 291 | USD | 232 | 09/15/2021 | 1,297 | ||||||||||||||||||||||||
Goldman Sachs International | EUR | 1,973 | USD | 2,319 | 09/15/2021 | (10,561 | ) | |||||||||||||||||||||||
Goldman Sachs International | NOK | 5,190 | USD | 581 | 09/15/2021 | (15,633 | ) | |||||||||||||||||||||||
Goldman Sachs International | USD | 1,389 | GBP | 1,011 | 09/15/2021 | 1,170 | ||||||||||||||||||||||||
Goldman Sachs International | USD | 333 | NOK | 2,939 | 09/15/2021 | 5,120 | ||||||||||||||||||||||||
Goldman Sachs International | USD | 160 | COP | 602,109 | 09/16/2021 | (75 | ) | |||||||||||||||||||||||
Goldman Sachs International | RUB | 98,302 | USD | 1,326 | 09/30/2021 | (11,661 | ) | |||||||||||||||||||||||
Goldman Sachs International | USD | 960 | RUB | 71,615 | 09/30/2021 | 14,172 | ||||||||||||||||||||||||
Goldman Sachs International | USD | 514 | BRL | 2,643 | 10/04/2021 | (5,154 | ) | |||||||||||||||||||||||
Goldman Sachs International | USD | 1,496 | PHP | 75,985 | 10/21/2021 | 29,801 | ||||||||||||||||||||||||
JPMorgan Chase Bank, NA | HUF | 482,926 | USD | 1,634 | 09/17/2021 | 530 | ||||||||||||||||||||||||
Morgan Stanley Capital Services, Inc. | BRL | 3,638 | USD | 694 | 09/02/2021 | (9,292 | ) | |||||||||||||||||||||||
Morgan Stanley Capital Services, Inc. | USD | 707 | BRL | 3,638 | 09/02/2021 | (3,762 | ) | |||||||||||||||||||||||
Morgan Stanley Capital Services, Inc. | PEN | 4,263 | USD | 1,072 | 09/16/2021 | 29,492 | ||||||||||||||||||||||||
Morgan Stanley Capital Services, Inc. | USD | 3 | CLP | 1,901 | 09/16/2021 | (54 | ) | |||||||||||||||||||||||
Morgan Stanley Capital Services, Inc. | USD | 894 | MYR | 3,687 | 09/23/2021 | (6,880 | ) | |||||||||||||||||||||||
Morgan Stanley Capital Services, Inc. | USD | 691 | BRL | 3,638 | 10/04/2021 | 9,314 | ||||||||||||||||||||||||
Natwest Markets PLC | ZAR | 19,558 | USD | 1,406 | 09/16/2021 | 62,087 | ||||||||||||||||||||||||
Natwest Markets PLC | MYR | 3,255 | USD | 786 | 09/23/2021 | 3,406 | ||||||||||||||||||||||||
Standard Chartered Bank | CHF | 733 | USD | 804 | 09/15/2021 | 4,028 |
17
Counterparty | Contracts to Deliver (000) | In Exchange For (000) | Settlement Date | Unrealized Appreciation/ (Depreciation) | ||||||||||||||||||||||||||
Standard Chartered Bank | GBP | 625 | USD | 865 | 09/15/2021 | $ | 6,069 | |||||||||||||||||||||||
Standard Chartered Bank | JPY | 124,969 | USD | 1,145 | 09/15/2021 | 9,348 | ||||||||||||||||||||||||
Standard Chartered Bank | USD | 2,299 | EUR | 1,951 | 09/15/2021 | 4,978 | ||||||||||||||||||||||||
Standard Chartered Bank | USD | 384 | CNY | 2,493 | 09/16/2021 | 2,134 | ||||||||||||||||||||||||
Standard Chartered Bank | INR | 22,058 | USD | 294 | 10/08/2021 | (7,407 | ) | |||||||||||||||||||||||
Standard Chartered Bank | TWD | 34,809 | USD | 1,249 | 10/21/2021 | (15,032 | ) | |||||||||||||||||||||||
Standard Chartered Bank | USD | 784 | PHP | 39,518 | 10/21/2021 | 9,892 | ||||||||||||||||||||||||
Standard Chartered Bank | KRW | 1,119,129 | USD | 974 | 10/28/2021 | 9,203 | ||||||||||||||||||||||||
State Street Bank & Trust Co. | AUD | 694 | USD | 504 | 09/15/2021 | (3,562 | ) | |||||||||||||||||||||||
State Street Bank & Trust Co. | CAD | 405 | USD | 321 | 09/15/2021 | (196 | ) | |||||||||||||||||||||||
State Street Bank & Trust Co. | CHF | 514 | USD | 562 | 09/15/2021 | 1,015 | ||||||||||||||||||||||||
State Street Bank & Trust Co. | EUR | 97 | USD | 115 | 09/15/2021 | (84 | ) | |||||||||||||||||||||||
State Street Bank & Trust Co. | GBP | 429 | USD | 589 | 09/15/2021 | (1,163 | ) | |||||||||||||||||||||||
State Street Bank & Trust Co. | JPY | 88,975 | USD | 811 | 09/15/2021 | 1,836 | ||||||||||||||||||||||||
State Street Bank & Trust Co. | NOK | 7,050 | USD | 796 | 09/15/2021 | (15,475 | ) | |||||||||||||||||||||||
State Street Bank & Trust Co. | NZD | 364 | USD | 254 | 09/15/2021 | (1,997 | ) | |||||||||||||||||||||||
State Street Bank & Trust Co. | SEK | 6,203 | USD | 711 | 09/15/2021 | (7,835 | ) | |||||||||||||||||||||||
State Street Bank & Trust Co. | USD | 773 | CAD | 976 | 09/15/2021 | 266 | ||||||||||||||||||||||||
State Street Bank & Trust Co. | USD | 591 | CAD | 743 | 09/15/2021 | (1,807 | ) | |||||||||||||||||||||||
State Street Bank & Trust Co. | USD | 276 | CHF | 253 | 09/15/2021 | 508 | ||||||||||||||||||||||||
State Street Bank & Trust Co. | USD | 280 | CHF | 256 | 09/15/2021 | (856 | ) | |||||||||||||||||||||||
State Street Bank & Trust Co. | USD | 854 | EUR | 728 | 09/15/2021 | 5,768 | ||||||||||||||||||||||||
State Street Bank & Trust Co. | USD | 314 | GBP | 228 | 09/15/2021 | (205 | ) | |||||||||||||||||||||||
State Street Bank & Trust Co. | USD | 437 | NZD | 634 | 09/15/2021 | 9,943 | ||||||||||||||||||||||||
State Street Bank & Trust Co. | USD | 88 | SEK | 763 | 09/15/2021 | 708 | ||||||||||||||||||||||||
State Street Bank & Trust Co. | USD | 165 | SEK | 1,418 | 09/15/2021 | (269 | ) | |||||||||||||||||||||||
State Street Bank & Trust Co. | USD | 144 | ZAR | 2,138 | 09/16/2021 | 2,823 | ||||||||||||||||||||||||
State Street Bank & Trust Co. | USD | 460 | ZAR | 6,656 | 09/16/2021 | (2,996 | ) | |||||||||||||||||||||||
State Street Bank & Trust Co. | CZK | 24,487 | USD | 1,141 | 09/17/2021 | 4,188 | ||||||||||||||||||||||||
State Street Bank & Trust Co. | PLN | 286 | USD | 74 | 09/17/2021 | (935 | ) | |||||||||||||||||||||||
State Street Bank & Trust Co. | USD | 307 | CZK | 6,640 | 09/17/2021 | 1,548 | ||||||||||||||||||||||||
State Street Bank & Trust Co. | USD | 338 | HUF | 102,995 | 09/17/2021 | 10,120 | ||||||||||||||||||||||||
State Street Bank & Trust Co. | USD | 446 | HUF | 131,724 | 09/17/2021 | (302 | ) | |||||||||||||||||||||||
State Street Bank & Trust Co. | USD | 75 | PLN | 286 | 09/17/2021 | (655 | ) | |||||||||||||||||||||||
State Street Bank & Trust Co. | THB | 62,575 | USD | 1,911 | 10/07/2021 | (29,769 | ) | |||||||||||||||||||||||
State Street Bank & Trust Co. | USD | 185 | NOK | 1,618 | 10/13/2021 | 974 | ||||||||||||||||||||||||
State Street Bank & Trust Co. | GBP | 94 | USD | 129 | 11/10/2021 | (347 | ) | |||||||||||||||||||||||
UBS AG | USD | 505 | MXN | 10,354 | 10/28/2021 | 6,545 | ||||||||||||||||||||||||
|
| |||||||||||||||||||||||||||||
$ | 222,488 | |||||||||||||||||||||||||||||
|
|
18
CENTRALLY CLEARED CREDIT DEFAULT SWAPS
Description | Fixed Rate (Pay) Receive | Payment Frequency | Implied Credit Spread at August 31, 2021 | Notional Amount (000) | Market Value | Upfront Premiums Paid/ (Received) | Unrealized Appreciation/ (Depreciation) | |||||||||||||||||||||||||
Sale Contracts |
| |||||||||||||||||||||||||||||||
CDX-NAHY Series 36, 5 Year Index, 06/20/2026* | 5.00 | % | Quarterly | 2.76% | USD | 13,180 | $ | 1,424,522 | $ | 1,217,722 | $ | 206,800 | ||||||||||||||||||||
CDX-NAHY Series 36, 5 Year Index, 06/20/2026* | 5.00 | Quarterly | 2.76 | USD | 3,500 | 378,287 | 322,097 | 56,190 | ||||||||||||||||||||||||
iTraxx Xover Series 35, 5 Year Index, 06/20/2026* | 5.00 | Quarterly | 2.28 | EUR | 2,740 | 427,621 | 368,697 | 58,924 | ||||||||||||||||||||||||
iTraxx Xover Series 35, 5 Year Index, 06/20/2026* | 5.00 | Quarterly | 2.28 | EUR | 790 | 123,216 | 109,842 | 13,374 | ||||||||||||||||||||||||
|
|
|
|
|
| |||||||||||||||||||||||||||
$ | 2,353,646 | $ | 2,018,358 | $ | 335,288 | |||||||||||||||||||||||||||
|
|
|
|
|
|
* | 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) | |||||||||||||||||
USD | 1,050 | 01/10/2022 | 3 Month LIBOR | 1.941% | Quarterly/ Semi-Annual | $ | 9,528 | $ | — | $ | 9,528 | |||||||||||||
CNY | 740 | 02/17/2025 | China 7-Day Reverse Repo Rate | 2.547% | Quarterly | 861 | — | 861 | ||||||||||||||||
CNY | 2,204 | 02/20/2025 | China 7-Day Reverse Repo Rate | 2.598% | Quarterly | 3,127 | — | 3,127 | ||||||||||||||||
CNY | 2,236 | 02/21/2025 | China 7-Day Reverse Repo Rate | 2.620% | Quarterly | 3,435 | — | 3,435 | ||||||||||||||||
EUR | 10 | 09/12/2029 | 6 Month EURIBOR | (0.157)% | Semi-Annual/ Annual | 12 | — | 12 | ||||||||||||||||
EUR | 180 | 11/18/2029 | 6 Month EURIBOR | 0.073% | Semi-Annual/ Annual | 4,293 | — | 4,293 |
19
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) | |||||||||||||||||
EUR | 220 | 01/23/2030 | 6 Month EURIBOR | 0.131% | Semi-Annual/ Annual | $ | 6,189 | $ | — | $ | 6,189 | |||||||||||||
USD | 80 | 02/12/2030 | 3 Month LIBOR | 1.495% | Quarterly/ Semi-Annual | 1,856 | — | 1,856 | ||||||||||||||||
USD | 670 | 06/10/2030 | 3 Month LIBOR | 0.865% | Quarterly/ Semi-Annual | (20,325 | ) | — | (20,325 | ) | ||||||||||||||
EUR | 430 | 06/11/2030 | 6 Month EURIBOR | (0.045)% | Semi-Annual/ Annual | 3,447 | 3 | 3,444 | ||||||||||||||||
EUR | 60 | 06/19/2030 | 6 Month EURIBOR | (0.119)% | Semi-Annual/ Annual | (21 | ) | (3 | ) | (18 | ) | |||||||||||||
USD | 40 | 06/19/2030 | 3 Month LIBOR | 0.725% | Quarterly/ Semi-Annual | (1,719 | ) | — | (1,719 | ) | ||||||||||||||
USD | 760 | 08/04/2030 | 3 Month LIBOR | 0.536% | Quarterly/ Semi-Annual | (46,721 | ) | — | (46,721 | ) | ||||||||||||||
EUR | 520 | 08/05/2030 | 6 Month EURIBOR | (0.232)% | Semi-Annual/ Annual | (7,300 | ) | — | (7,300 | ) | ||||||||||||||
USD | 320 | 08/20/2030 | 3 Month LIBOR | 0.645% | Quarterly/ Semi-Annual | (16,889 | ) | — | (16,889 | ) | ||||||||||||||
USD | 1,510 | 10/21/2030 | 3 Month LIBOR | 0.794% | Quarterly/ Semi-Annual | (58,888 | ) | — | (58,888 | ) | ||||||||||||||
EUR | 600 | 10/22/2030 | 6 Month EURIBOR | (0.280)% | Semi-Annual/ Annual | (12,237 | ) | — | (12,237 | ) | ||||||||||||||
USD | 480 | 11/12/2030 | 3 Month LIBOR | 0.938% | Quarterly/ Semi-Annual | (12,849 | ) | — | (12,849 | ) | ||||||||||||||
EUR | 190 | 11/12/2030 | 6 Month EURIBOR | (0.169)% | Semi-Annual/ Annual | (1,781 | ) | — | (1,781 | ) | ||||||||||||||
USD | 220 | 08/21/2045 | 3 Month LIBOR | 2.630% | Quarterly/ Semi-Annual | 43,929 | — | 43,929 | ||||||||||||||||
USD | 70 | 09/04/2045 | 3 Month LIBOR | 2.708% | Quarterly/ Semi-Annual | 15,983 | — | 15,983 | ||||||||||||||||
USD | 490 | 05/11/2031 | 3 Month LIBOR | 1.560% | Quarterly/ Semi-Annual | 14,113 | — | 14,113 | ||||||||||||||||
SEK | 2,790 | 07/12/2031 | 0.618% | 3 Month STIBOR | Annual/ Quarterly | (573 | ) | 1 | (574 | ) | ||||||||||||||
NZD | 520 | 07/12/2031 | 3 Month BKBM | 1.695% | Quarterly/ Semi-Annual | (7,968 | ) | — | (7,968 | ) | ||||||||||||||
EUR | 70 | 07/12/2031 | 0.000% | 6 Month EURIBOR | Annual/ Semi-Annual | (401 | ) | — | (401 | ) | ||||||||||||||
GBP | 630 | 07/13/2031 | 0.628% | 1 Day SONIA | Annual | (533 | ) | — | (533 | ) | ||||||||||||||
NZD | 830 | 07/26/2031 | 3 Month BKBM | 1.774% | Quarterly/ Semi-Annual | (9,151 | ) | — | (9,151 | ) |
20
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) | |||||||||||||||||
GBP | 200 | 07/27/2031 | 0.435% | 1 Day SONIA | Annual | $ | 5,069 | $ | 3,027 | $ | 2,042 | |||||||||||||
NOK | 3,010 | 08/13/2031 | 6 Month NIBOR | 1.530% | Semi-Annual/ Annual | (399 | ) | — | (399 | ) | ||||||||||||||
CAD | 740 | 08/16/2031 | 3 Month CDOR | 1.621% | Semi-Annual | (3,936 | ) | (19 | ) | (3,917 | ) | |||||||||||||
GBP | 180 | 08/16/2031 | 0.562% | 1 Day SONIA | Annual | 1,627 | — | 1,627 | ||||||||||||||||
AUD | 2,460 | 08/18/2031 | 6 Month BBSW | 1.277% | Semi-Annual | (12,205 | ) | — | (12,205 | ) | ||||||||||||||
USD | 260 | 08/18/2031 | 3 Month LIBOR | 1.247% | Quarterly/ Semi-Annual | (1,645 | ) | — | (1,645 | ) | ||||||||||||||
USD | 200 | 08/18/2031 | 3 Month LIBOR | 1.262% | Quarterly/ Semi-Annual | (968 | ) | — | (968 | ) | ||||||||||||||
GBP | 920 | 08/19/2031 | 1 Day SONIA | 0.539% | Annual | (11,149 | ) | — | (11,149 | ) | ||||||||||||||
CAD | 550 | 08/19/2031 | 3 Month CDOR | 1.595% | Semi-Annual | (4,049 | ) | — | (4,049 | ) | ||||||||||||||
USD | 5,570 | 08/23/2031 | 3 Month LIBOR | 1.255% | Quarterly/ Semi-Annual | (32,702 | ) | — | (32,702 | ) | ||||||||||||||
AUD | 1,240 | 08/23/2031 | 6 Month BBSW | 1.207% | Semi-Annual | (12,585 | ) | — | (12,585 | ) | ||||||||||||||
CAD | 1,050 | 08/26/2031 | 3 Month CDOR | 1.724% | Semi-Annual | 2,060 | (29 | ) | 2,089 | |||||||||||||||
AUD | 120 | 08/27/2031 | 6 Month BBSW | 1.345% | Semi-Annual | (65 | ) | — | (65 | ) | ||||||||||||||
USD | 860 | 08/31/2031 | 3 Month LIBOR | 1.364% | Quarterly/ Semi-Annual | 3,968 | — | 3,968 | ||||||||||||||||
EUR | 490 | 05/11/2031 | 6 Month EURIBOR | 0.115% | Semi- Annual/ Annual | 10,647 | 1 | 10,646 | ||||||||||||||||
EUR | 300 | 06/09/2031 | 0.122% | 6 Month EURIBOR | Annual/ Semi-Annual | (6,467 | ) | — | (6,467 | ) | ||||||||||||||
SEK | 6,210 | 07/26/2031 | 0.593% | 3 Month STIBOR | Annual/ Quarterly | 758 | — | 758 | ||||||||||||||||
EUR | 480 | 07/26/2031 | (0.044)% | 6 Month EURIBOR | Annual/ Semi-Annual | 29 | — | 29 | ||||||||||||||||
CHF | 270 | 07/26/2031 | 6 Month LIBOR | (0.125)% | Semi-Annual/ Annual | (508 | ) | — | (508 | ) | ||||||||||||||
SEK | 3,420 | 08/13/2031 | 0.576% | 3 Month STIBOR | Annual/ Quarterly | 1,303 | — | 1,303 | ||||||||||||||||
EUR | 1,210 | 08/13/2031 | (0.089)% | 6 Month EURIBOR | Annual/ Semi-Annual | 7,271 | — | 7,271 | ||||||||||||||||
CHF | 580 | 08/13/2031 | 6 Month LIBOR | (0.142)% | Semi-Annual/ Annual | (2,526 | ) | — | (2,526 | ) | ||||||||||||||
EUR | 150 | 08/19/2031 | 6 Month EURIBOR | (0.116)% | Semi-Annual/ Annual | (1,415 | ) | — | (1,415 | ) | ||||||||||||||
JPY | 440,350 | 08/27/2031 | 1 Day TONAR | (0.015)% | Annual | (5,279 | ) | (3,454 | ) | (1,825 | ) | |||||||||||||
JPY | 101,680 | 08/27/2031 | (0.006)% | 1 Day TONAR | Annual | 412 | — | 412 |
21
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) | |||||||||||||||||
JPY | 38,200 | 08/30/2031 | 0.000% | 1 Day TONAR | Annual | $ | (55 | ) | $ | — | $ | (55 | ) | |||||||||||
SEK | 3,750 | 08/30/2031 | 0.615% | 3 Month STIBOR | Annual/ Quarterly | (25 | ) | — | (25 | ) | ||||||||||||||
EUR | 80 | 08/30/2031 | (0.055)% | 6 Month EURIBOR | Annual/ Semi-Annual | 198 | — | 198 | ||||||||||||||||
|
|
|
|
|
| |||||||||||||||||||
$ | (153,219 | ) | $ | (473 | ) | $ | (152,746 | ) | ||||||||||||||||
|
|
|
|
|
|
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 (Received) | Unrealized Appreciation/ (Depreciation) | ||||||||||||||||||||||||
Bank of America, NA | 8,300 | 01/05/2023 | 2.163% | CPI# | Maturity | $ | 252,661 | $ | — | $ | 252,661 | |||||||||||||||||||||
Bank of America, NA | 610 | 01/19/2023 | 2.213% | CPI# | Maturity | 16,736 | — | 16,736 | ||||||||||||||||||||||||
JPMorgan Chase Bank, NA | 400 | 11/10/2021 | 1.896% | CPI# | Maturity | 14,865 | — | 14,865 | ||||||||||||||||||||||||
|
|
|
|
|
| |||||||||||||||||||||||||||
$ | 284,262 | $ | — | $ | 284,262 | |||||||||||||||||||||||||||
|
|
|
|
|
|
# | 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 | 4,588 | 09/30/2021 | $ | 0 | ||||||||||||||||
Morgan Stanley Capital Services LLC | ||||||||||||||||||||||||
IBOVESPA Futures | 0.00 | % | Monthly | BRL | 1,192 | 10/13/2021 | 4,675 | |||||||||||||||||
IBOVESPA Futures | 0.00 | % | Monthly | BRL | 596 | 10/13/2021 | (1,096 | ) | ||||||||||||||||
KOSPI 200 Futures | 0.00 | % | Monthly | KRW | 209,750 | 09/09/2021 | 7,292 | |||||||||||||||||
KOSPI 200 Futures | 0.00 | % | Monthly | KRW | 104,875 | 09/09/2021 | (1,604 | ) | ||||||||||||||||
KOSPI 200 Futures | 0.00 | % | Monthly | KRW | 104,875 | 09/09/2021 | (4,379 | ) | ||||||||||||||||
KOSPI 200 Futures | 0.00 | % | Monthly | KRW | 209,750 | 09/09/2021 | (5,283 | ) | ||||||||||||||||
KOSPI 200 Futures | 0.00 | % | Monthly | KRW | 209,750 | 09/09/2021 | (6,955 | ) | ||||||||||||||||
Swiss Market Index Futures | 0.00 | % | Monthly | CHF | 124 | 09/17/2021 | 2,898 | |||||||||||||||||
Pay Total Return on Reference Obligation | ||||||||||||||||||||||||
Morgan Stanley Capital Services LLC | ||||||||||||||||||||||||
RTS Futures | 0.00 | % | Monthly | USD | 265 | 09/16/2021 | (11,708 | ) | ||||||||||||||||
RTS Futures | 0.00 | % | Monthly | USD | 279 | 09/16/2021 | (15,143 | ) | ||||||||||||||||
|
| |||||||||||||||||||||||
$ | (31,303 | ) | ||||||||||||||||||||||
|
|
(a) | Non-income producing security. |
(b) | Represents entire or partial securities out on loan. |
(c) | Position, or a portion thereof, has been segregated to collateralize margin requirements for open futures contracts. |
22
(d) | Security is exempt from registration under Rule 144A or Regulation S of the Securities Act of 1933. These securities are considered restricted, but liquid and may be resold in transactions exempt from registration. At August 31, 2021, the aggregate market value of these securities amounted to $2,558,248 or 2.8% of net assets. |
(e) | 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. |
(f) | Affiliated investments. |
(g) | Defaulted. |
(h) | The rate shown represents the 7-day yield as of period end. |
(i) | As of August 31, 2021, the cost basis of investment securities owned was substantially identical for both book and tax purposes. Gross unrealized appreciation of investments was $5,965,770 and gross unrealized depreciation of investments was $(1,830,767), resulting in net unrealized appreciation of $4,135,003. |
Currency Abbreviation:
AUD – Australian Dollar
BRL – Brazilian Real
CAD – Canadian Dollar
CHF – Swiss Franc
CLP – Chilean Peso
CNY – Chinese Yuan Renminbi
COP – Colombian Peso
CZK – Czech Koruna
EUR – Euro
GBP – Great British Pound
HUF – Hungarian Forint
IDR – Indonesian Rupiah
INR – Indian Rupee
JPY – Japanese Yen
KRW – South Korean Won
MXN – Mexican Peso
MYR – Malaysian Ringgit
NOK – Norwegian Krone
NZD – New Zealand Dollar
PEN – Peruvian Sol
PHP – Philippine Peso
PLN – Polish Zloty
RUB – Russian Ruble
SEK – Swedish Krona
THB – Thailand Baht
TRY – Turkish Lira
TWD – New Taiwan Dollar
USD – United States Dollar
ZAR – South African Rand
Glossary:
ADR – American Depositary Receipt
BBSW – Bank Bill Swap Reference Rate (Australia)
BIST – Borsa Istanbul Stock Exchange
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
ETF – Exchange Traded Fund
ETS – Emission Trading Scheme
EURIBOR – Euro Interbank Offered Rate
FTSE – Financial Times Stock Exchange
GDR – Global Depositary Receipt
JSE – Johannesburg Stock Exchange
KLCI – Kuala Lumpur Composite Index
KOSPI – Korea Composite Stock Price Index
23
LIBOR – London Interbank Offered Rate
MSCI – Morgan Stanley Capital International
NIBOR – Norwegian Interbank Offered Rate
OMXS – Stockholm Stock Exchange
PJSC – Public Joint Stock Company
REIT – Real Estate Investment Trust
RTS – Russian Trading System
SET – Stock Exchange of Thailand
SONIA – Sterling Overnight Index Average
SGX – Singapore Exchange
SPDR – Standard & Poor’s Depository Receipt
SPI – Share Price Index
STIBOR – Stockholm Interbank Offered Rate
TONAR – Tokyo Overnight Average Rate
TOPIX – Tokyo Price Index
TSX – Toronto Stock Exchange
UCITS – Undertaking for Collective Investment in Transferable Securities
WIG – Warszawski Indeks Gieldowy
(1) The following table represents the 50 largest (long/(short)) equity basket holdings underlying the total return swap with JPABSAA1 as of August 31, 2021.
Security Description | Shares | Current Notional | Percent of Basket’s Value | ||||||||||||
S&P 500 Total Return Index | (279 | ) | $ | 2,630,137 | (57.3 | )% | |||||||||
MSCI Daily TR Gross EAFE Index | (116 | ) | 1,210,437 | (26.4 | )% | ||||||||||
JPMorgan Cash Index | (2,341 | ) | 713,672 | (15.6 | )% | ||||||||||
Microsoft Corp. | 722 | 217,932 | 4.8 | % | |||||||||||
Alphabet, Inc. | 51 | 147,163 | 3.2 | % | |||||||||||
MSCI Daily TR Gross Canada Index | (11 | ) | 119,222 | (2.6 | )% | ||||||||||
Apple, Inc. | 738 | 112,012 | 2.4 | % | |||||||||||
Roche Holding AG | 278 | 111,544 | 2.4 | % | |||||||||||
Amazon.com, Inc. | 31 | 106,388 | 2.3 | % | |||||||||||
Oracle Corp. | 1,125 | 100,295 | 2.2 | % | |||||||||||
Facebook, Inc. | 254 | 96,546 | 2.1 | % | |||||||||||
Paychex, Inc. | 835 | 95,609 | 2.1 | % | |||||||||||
AutoZone, Inc. | 61 | 94,671 | 2.1 | % | |||||||||||
UnitedHealth Group, Inc. | 224 | 93,265 | 2.0 | % | |||||||||||
Koninklijke Ahold Delhaize | 2,460 | 82,955 | 1.8 | % | |||||||||||
Royal Bank of Canada | 809 | 82,955 | 1.8 | % | |||||||||||
Walmart, Inc. | 551 | 81,549 | 1.8 | % | |||||||||||
Swedish Match AB | 8,638 | 79,674 | 1.7 | % | |||||||||||
S&P Global, Inc. | 176 | 78,268 | 1.7 | % | |||||||||||
RELX PLC | 2,524 | 75,925 | 1.7 | % | |||||||||||
Novo Nordisk A/S | 753 | 74,987 | 1.6 | % | |||||||||||
Constellation Software, Inc./Canada | 43 | 73,581 | 1.6 | % | |||||||||||
Partners Group Holding AG | 38 | 67,020 | 1.5 | % | |||||||||||
Texas Instruments, Inc. | 341 | 65,145 | 1.4 | % | |||||||||||
Salmar ASA | 966 | 64,677 | 1.4 | % | |||||||||||
Capgemini SE | 288 | 64,677 | 1.4 | % | |||||||||||
JPMorgan Chase & Co. | 404 | 64,677 | 1.4 | % | |||||||||||
Procter & Gamble Co. (The) | 454 | 64,677 | 1.4 | % | |||||||||||
Home Depot, Inc. (The) | 191 | 62,333 | 1.4 | % | |||||||||||
Deckers Outdoor Corp. | 134 | 56,240 | 1.2 | % | |||||||||||
Royal Dutch Shell PLC | 28 | 55,772 | 1.2 | % | |||||||||||
T. Rowe Price Group, Inc. | 237 | 52,960 | 1.2 | % | |||||||||||
Nippon Telegraph & Telephone Co. | 1,964 | 52,491 | 1.1 | % | |||||||||||
Automatic Data Processing, Inc. | 249 | 52,022 | 1.1 | % | |||||||||||
Taiwan Semiconductor Manufacturing Co., Ltd. | 437 | 52,022 | 1.1 | % | |||||||||||
Oracle Corp./Japan | 615 | 50,616 | 1.1 | % | |||||||||||
Progressive Corp. (The) | 516 | 49,679 | 1.1 | % | |||||||||||
CME Group, Inc. | 237 | 47,804 | 1.0 | % |
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Security Description | Shares | Current Notional | Percent of Basket’s Value | ||||||||||||
Electronic Arts, Inc. | 329 | $ | 47,804 | 1.0 | % | ||||||||||
NextEra Energy, Inc. | 564 | 47,336 | 1.0 | % | |||||||||||
Toronto-Dominion Bank (The) | 723 | 46,867 | 1.0 | % | |||||||||||
NortonLifeLock, Inc. | 1,729 | 45,930 | 1.0 | % | |||||||||||
Booz Allen Hamilton Holding Corp. | 555 | 45,461 | 1.0 | % | |||||||||||
Thermo Fisher Scientific, Inc. | 82 | 45,461 | 1.0 | % | |||||||||||
Visa, Inc. | 196 | 44,992 | 1.0 | % | |||||||||||
Philip Morris International, Inc. | 437 | 44,992 | 1.0 | % | |||||||||||
DBS Group Holdings Ltd. | 1,998 | 44,524 | 1.0 | % | |||||||||||
Bank Leumi Le-Israel BM | 53 | 44,055 | 1.0 | % | |||||||||||
Adobe, Inc. | 65 | 43,118 | 0.9 | % | |||||||||||
Anthem, Inc. | 114 | 42,649 | 0.9 | % | |||||||||||
Other Long | 28,306 | 1,415,385 | 30.9 | % |
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AB Cap Fund, Inc.
AB All Market Income Portfolio
August 31, 2021 (unaudited)
In accordance with U.S. GAAP regarding fair value measurements, fair value is defined as the price that the Fund would receive to sell an asset or pay to transfer a liability in an orderly transaction between market participants at the measurement date. U.S. GAAP establishes a framework for measuring fair value, and a three-level hierarchy for fair value measurements based upon the transparency of inputs to the valuation of an asset or liability (including those valued based on their market values). Inputs may be observable or unobservable and refer broadly to the assumptions that market participants would use in pricing the asset or liability. Observable inputs reflect the assumptions market participants would use in pricing the asset or liability based on market data obtained from sources independent of the Fund. Unobservable inputs reflect the Fund’s own assumptions about the assumptions that market participants would use in pricing the asset or liability based on the best information available in the circumstances. Each investment is assigned a level based upon the observability of the inputs which are significant to the overall valuation. The three-tier hierarchy of inputs is summarized below.
• | Level 1 - quoted prices in active markets for identical investments |
• | Level 2 - other significant observable inputs (including quoted prices for similar investments, interest rates, prepayment speeds, credit risk, etc.) |
• | Level 3 - significant unobservable inputs (including the Portfolio’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 August 31, 2021:
Investments in Securities: | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Assets: | ||||||||||||||||
Common Stocks: | ||||||||||||||||
Information Technology | $ | 6,518,750 | $ | 647,322 | $ | — | $ | 7,166,072 | ||||||||
Financials | 3,175,372 | 2,194,564 | — | 5,369,936 | ||||||||||||
Consumer Discretionary | 3,025,539 | 1,087,955 | — | 4,113,494 | ||||||||||||
Health Care | 3,077,444 | 886,394 | — | 3,963,838 | ||||||||||||
Communication Services | 2,287,348 | 851,035 | — | 3,138,383 | ||||||||||||
Industrials | 1,865,183 | 1,258,356 | — | 3,123,539 | ||||||||||||
Materials | 714,041 | 749,636 | — | 1,463,677 | ||||||||||||
Real Estate | 1,166,605 | 113,610 | — | 1,280,215 | ||||||||||||
Energy | 410,199 | 598,075 | — | 1,008,274 | ||||||||||||
Utilities | 431,727 | 534,279 | — | 966,006 | ||||||||||||
Consumer Staples | 649,402 | 316,254 | — | 965,656 | ||||||||||||
Investment Companies | 16,309,902 | — | — | 16,309,902 | ||||||||||||
Preferred Stocks | 6,466,985 | — | — | 6,466,985 | ||||||||||||
Emerging Markets - Sovereigns | — | 2,505,880 | — | 2,505,880 | ||||||||||||
Options Purchased - Puts | — | 1,145,049 | — | 1,145,049 | ||||||||||||
Governments - Treasuries | — | 622,998 | — | 622,998 | ||||||||||||
Emerging Markets - Treasuries | — | 309,877 | — | 309,877 | ||||||||||||
Quasi-Sovereigns | — | 134,834 | — | 134,834 | ||||||||||||
Short-Term Investments | 26,711,136 | — | — | 26,711,136 | ||||||||||||
Investments of Cash Collateral for Securities Loaned in Affiliated Money Market Fund | 415,392 | — | — | 415,392 | ||||||||||||
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Total Investments in Securities | 73,225,025 | 13,956,118 | — | 87,181,143 | ||||||||||||
Other Financial Instruments(a): | ||||||||||||||||
Assets: | ||||||||||||||||
Futures | 464,217 | — | — | 464,217 | ||||||||||||
Forward Currency Exchange Contracts | — | 459,923 | — | 459,923 |
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Investments in Securities: | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Centrally Cleared Credit Default Swaps | $ | — | $ | 2,353,646 | $ | — | $ | 2,353,646 | ||||||||
Centrally Cleared Interest Rate Swaps | — | 140,115 | — | 140,115 | ||||||||||||
Inflation (CPI) Swaps | — | 284,262 | — | 284,262 | ||||||||||||
Total Return Swaps | — | 14,865 | — | 14,865 | ||||||||||||
Liabilities: | ||||||||||||||||
Futures | (268,218 | ) | — | — | (268,218 | ) | ||||||||||
Forward Currency Exchange Contracts | — | (237,435 | ) | — | (237,435 | ) | ||||||||||
Centrally Cleared Interest Rate Swaps | — | (293,334 | ) | — | (293,334 | ) | ||||||||||
Total Return Swaps | — | (46,168 | ) | — | (46,168 | ) | ||||||||||
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Total | $ | 73,421,024 | $ | 16,631,992 | $ | — | $ | 90,053,016 | ||||||||
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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 nine months ended August 31, 2021 is as follows:
Distributions | ||||||||||||||||||||||||||||||||
Fund | Market Value 11/30/2020 (000) | Purchases (000) | Sales (000) | Realized Gain (Loss) (000) | Change (Depr.) | Market Value 08/31/2021 (000) | Dividend Income (000) | Realized Gains (000) | ||||||||||||||||||||||||
AB High Income Fund, Inc. | $ | 35,037 | $ | 1,824 | $ | 22,961 | $ | (632 | ) | $ | 1,411 | $ | 14,679 | $ | 1,257 | $ | 0 | |||||||||||||||
Government Money Market Portfolio | 13,316 | 94,988 | 81,593 | 0 | 0 | 26,711 | 2 | 0 | ||||||||||||||||||||||||
Government Money Market Portfolio* | 537 | 7,617 | 7,739 | 0 | 0 | 415 | 0 | ** | 0 | |||||||||||||||||||||||
Total | $ | 48,890 | $ | 104,429 | $ | 112,293 | $ | (632 | ) | $ | 1,411 | $ | 41,805 | $ | 1,259 | $ | 0 |
* | Investments of cash collateral for securities lending transactions |
** | Amount less than $500. |
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