AB Emerging Markets Multi-Asset Portfolio
Portfolio of Investments
June 30, 2022 (unaudited)
Company | Shares | U.S. $ Value | ||||||
COMMON STOCKS – 57.4% | ||||||||
Financials – 15.2% | ||||||||
Banks – 11.3% | ||||||||
Absa Group Ltd. | 1,149 | $ | 10,971 | |||||
Agricultural Bank of China Ltd. - Class H | 7,292,000 | 2,756,783 | ||||||
Al Rajhi Bank | 7,879 | 173,586 | ||||||
Banco do Brasil SA | 44,600 | 284,468 | ||||||
Banco Santander Chile | 918,581 | 37,088 | ||||||
Bank Mandiri Persero Tbk PT | 2,087,000 | 1,114,491 | ||||||
Bank of Beijing Co., Ltd. - Class A | 12,600 | 8,556 | ||||||
Bank of Chengdu Co., Ltd. - Class A | 20,700 | 51,379 | ||||||
Bank of Communications Co., Ltd. - Class A | 116,600 | 86,848 | ||||||
Bank of Communications Co., Ltd. - Class H | 850,000 | 589,178 | ||||||
Bank Polska Kasa Opieki SA | 12,844 | 235,124 | ||||||
Bank Rakyat Indonesia Persero Tbk PT | 2,353,300 | 657,197 | ||||||
Capitec Bank Holdings Ltd. | 606 | 74,272 | ||||||
China CITIC Bank Corp., Ltd. - Class A | 123,800 | 87,991 | ||||||
China CITIC Bank Corp., Ltd. - Class H | 187,000 | 83,760 | ||||||
China Construction Bank Corp. - Class H | 564,000 | 380,277 | ||||||
China Everbright Bank Co., Ltd. - Class A | 189,600 | 85,373 | ||||||
China Everbright Bank Co., Ltd. - Class H | 226,000 | 73,246 | ||||||
China Merchants Bank Co., Ltd. - Class A (Nth SSE-SEHK) | 5,700 | 36,056 | ||||||
China Merchants Bank Co., Ltd. - Class H | 15,500 | 104,694 | ||||||
Commercial International Bank Egypt SAE | 8,202 | 16,245 | ||||||
CTBC Financial Holding Co., Ltd. | 233,000 | 197,083 | ||||||
Grupo Financiero Banorte SAB de CV - Class O | 2,179 | 12,179 | ||||||
Haci Omer Sabanci Holding AS | 554,917 | 628,681 | ||||||
Halyk Savings Bank of Kazakhstan JSC (GDR)(a) (b) | 23,000 | 230,000 | ||||||
Hana Financial Group, Inc. | 64,621 | 1,964,074 | ||||||
HDFC Bank Ltd. | 123,969 | 2,123,479 | ||||||
Huaxia Bank Co., Ltd. | 112,400 | 87,603 | ||||||
ICICI Bank Ltd. | 4,727 | 42,467 | ||||||
Industrial Bank Co., Ltd. - Class A | 491,260 | 1,464,542 | ||||||
Industrial Bank of Korea | 9,453 | 70,205 | ||||||
Itau Unibanco Holding SA (Preference Shares) | 5,400 | 23,391 | ||||||
Kasikornbank PCL (Foreign Shares) | 1,300 | 5,588 | ||||||
KB Financial Group, Inc. | 24,208 | 904,007 | ||||||
Metropolitan Bank & Trust Co. | 482,210 | 419,479 | ||||||
Sberbank of Russia PJSC(b) (c) (d) | 138,696 | 0 | ||||||
Standard Bank Group Ltd. | 1,548 | 14,769 | ||||||
Turkiye Is Bankasi AS - Class C | 303,651 | 80,235 | ||||||
|
| |||||||
15,215,365 | ||||||||
|
| |||||||
Capital Markets – 0.6% |
| |||||||
B3 SA - Brasil Bolsa Balcao | 223,200 | 467,430 | ||||||
China International Capital Corp. Ltd.(a) | 3,200 | 6,833 | ||||||
GF Securities Co., Ltd. - Class H | 15,800 | 20,934 | ||||||
Korea Investment Holdings Co., Ltd. | 1,593 | 75,937 | ||||||
Meritz Securities Co., Ltd. | 18,414 | 64,718 | ||||||
NH Investment & Securities Co., Ltd. | 9,728 | 68,049 | ||||||
Samsung Securities Co., Ltd. | 2,865 | 74,059 | ||||||
|
| |||||||
777,960 | ||||||||
|
| |||||||
Consumer Finance – 0.0% |
| |||||||
Muthoot Finance Ltd. | 1,816 | 22,503 | ||||||
|
|
1
Company | Shares | U.S. $ Value | ||||||
Diversified Financial Services – 0.4% |
| |||||||
Chailease Holding Co., Ltd. | 30,450 | $ | 213,651 | |||||
Far East Horizon Ltd. | 102,000 | 85,681 | ||||||
Grupo de Inversiones Suramericana SA | 1,118 | 10,611 | ||||||
Meritz Financial Group, Inc. | 3,405 | 68,037 | ||||||
REC Ltd. | 57,502 | 90,364 | ||||||
Remgro Ltd. | 3,787 | 30,240 | ||||||
Yuanta Financial Holding Co., Ltd. | 14,000 | 9,272 | ||||||
|
| |||||||
507,856 | ||||||||
|
| |||||||
Insurance – 1.9% |
| |||||||
AIA Group Ltd. | 104,600 | 1,142,919 | ||||||
BB Seguridade Participacoes SA | 5,600 | 27,778 | ||||||
Bupa Arabia for Cooperative Insurance Co. | 1,906 | 80,910 | ||||||
Cathay Financial Holding Co., Ltd. | 47,000 | 80,482 | ||||||
Co. for Cooperative Insurance (The) | 4,988 | 76,730 | ||||||
DB Insurance Co., Ltd. | 1,711 | 81,059 | ||||||
Hyundai Marine & Fire Insurance Co., Ltd. | 7,017 | 167,731 | ||||||
New China Life Insurance Co., Ltd. - Class H | 14,300 | 40,244 | ||||||
PICC Property & Casualty Co., Ltd. - Class H | 796,000 | 830,073 | ||||||
Powszechny Zaklad Ubezpieczen SA | 8,272 | 55,458 | ||||||
|
| |||||||
2,583,384 | ||||||||
|
| |||||||
Real Estate Management & Development – 0.0% |
| |||||||
Greentown China Holdings Ltd. | 26,000 | 54,060 | ||||||
|
| |||||||
Thrifts & Mortgage Finance – 1.0% |
| |||||||
Housing Development Finance Corp., Ltd. | 46,701 | 1,282,094 | ||||||
|
| |||||||
20,443,222 | ||||||||
|
| |||||||
Information Technology – 12.7% |
| |||||||
Electronic Equipment, Instruments & Components – 3.9% |
| |||||||
Hon Hai Precision Industry Co., Ltd. | 727,000 | 2,668,921 | ||||||
Kingboard Holdings Ltd. | 14,000 | 53,091 | ||||||
Samsung SDI Co., Ltd. | 2,240 | 923,743 | ||||||
Sinbon Electronics Co., Ltd. | 159,000 | 1,362,133 | ||||||
Synnex Technology International Corp. | 36,000 | 64,446 | ||||||
Unimicron Technology Corp. | 22,000 | 117,741 | ||||||
WPG Holdings Ltd. | 46,000 | 85,356 | ||||||
|
| |||||||
5,275,431 | ||||||||
|
| |||||||
IT Services – 0.8% |
| |||||||
GDS Holdings Ltd.(b) | 4,700 | 19,764 | ||||||
GDS Holdings Ltd. (ADR)(b) | 727 | 24,275 | ||||||
HCL Technologies Ltd. | 4,395 | 54,419 | ||||||
Infosys Ltd. | 10,548 | 196,050 | ||||||
Infosys Ltd. (Sponsored ADR) | 25,439 | 470,876 | ||||||
Tata Consultancy Services Ltd. | 6,430 | 267,018 | ||||||
|
| |||||||
1,032,402 | ||||||||
|
| |||||||
Semiconductors & Semiconductor Equipment – 5.2% |
| |||||||
ASE Technology Holding Co., Ltd. | 26,000 | 66,963 | ||||||
Broadcom, Inc. | 132 | 64,127 | ||||||
Faraday Technology Corp. | 3,000 | 19,314 | ||||||
Flat Glass Group Co., Ltd. | 11,854 | 41,730 | ||||||
Himax Technologies, Inc. (ADR)(e) | 13,840 | 103,523 | ||||||
MediaTek, Inc. | 56,000 | 1,229,267 | ||||||
Novatek Microelectronics Corp. | 86,000 | 874,977 |
2
Company | Shares | U.S. $ Value | ||||||
Parade Technologies Ltd. | 2,000 | $ | 77,861 | |||||
Powertech Technology, Inc. | 27,000 | 79,796 | ||||||
Realtek Semiconductor Corp. | 12,000 | 146,766 | ||||||
Taiwan Semiconductor Manufacturing Co., Ltd. | 209,000 | 3,349,508 | ||||||
United Microelectronics Corp. | 659,000 | 880,875 | ||||||
Vanguard International Semiconductor Corp. | 3,000 | 7,804 | ||||||
|
| |||||||
6,942,511 | ||||||||
|
| |||||||
Software – 0.0% |
| |||||||
Tata Elxsi Ltd. | 323 | 33,580 | ||||||
|
| |||||||
Technology Hardware, Storage & Peripherals – 2.8% |
| |||||||
Catcher Technology Co., Ltd. | 17,000 | 94,834 | ||||||
Gigabyte Technology Co., Ltd. | 49,000 | 146,379 | ||||||
Micro-Star International Co., Ltd. | 15,000 | 57,303 | ||||||
Samsung Electronics Co., Ltd. | 62,095 | 2,738,846 | ||||||
Samsung Electronics Co., Ltd. (Preference Shares) | 18,616 | 748,278 | ||||||
|
| |||||||
3,785,640 | ||||||||
|
| |||||||
17,069,564 | ||||||||
|
| |||||||
Consumer Discretionary – 8.8% |
| |||||||
Auto Components – 0.2% |
| |||||||
Balkrishna Industries Ltd. | 1,888 | 51,864 | ||||||
Fuyao Glass Industry Group Co., Ltd. - Class H(a) | 19,200 | 97,132 | ||||||
Huayu Automotive Systems Co., Ltd. - Class A | 32,900 | 113,246 | ||||||
|
| |||||||
262,242 | ||||||||
|
| |||||||
Automobiles – 3.7% |
| |||||||
Bajaj Auto Ltd. | 401 | 18,887 | ||||||
BYD Co., Ltd. | 3,000 | 120,929 | ||||||
Dongfeng Motor Group Co., Ltd. - Class H | 360,000 | 274,067 | ||||||
Ford Otomotiv Sanayi AS | 10,230 | 164,878 | ||||||
Hero MotoCorp Ltd. | 1,311 | 45,354 | ||||||
Kia Corp. | 35,955 | 2,145,994 | ||||||
Li Auto, Inc. (ADR)(b) | 3,705 | 141,939 | ||||||
NIO, Inc. (ADR)(b) | 5,844 | 126,932 | ||||||
NIO, Inc. - Class A(b) (e) | 44,520 | 970,417 | ||||||
SAIC Motor Corp., Ltd. - Class A | 305,400 | 814,515 | ||||||
XPeng, Inc. (ADR)(b) | 3,840 | 121,882 | ||||||
Yadea Group Holdings Ltd.(a) | 20,000 | 39,224 | ||||||
|
| |||||||
4,985,018 | ||||||||
|
| |||||||
Diversified Consumer Services – 0.0% |
| |||||||
Fu Shou Yuan International Group Ltd. | 86,000 | 61,945 | ||||||
|
| |||||||
Hotels, Restaurants & Leisure – 1.3% |
| |||||||
OPAP SA | 118,312 | 1,701,732 | ||||||
Shenzhen Overseas Chinese Town Co., Ltd. - Class A | 38,900 | 37,801 | ||||||
|
| |||||||
1,739,533 | ||||||||
|
| |||||||
Household Durables – 0.0% |
| |||||||
Coway Co. Ltd. | 215 | 10,637 | ||||||
|
| |||||||
Internet & Direct Marketing Retail – 2.0% |
| |||||||
Alibaba Group Holding Ltd.(b) | 23,300 | 332,384 |
3
Company | Shares | U.S. $ Value | ||||||
JD.com, Inc. | 43,639 | $ | 1,406,181 | |||||
Meituan - Class B(a) (b) | 36,200 | 903,345 | ||||||
Naspers Ltd. - Class N | 24 | 3,506 | ||||||
|
| |||||||
2,645,416 | ||||||||
|
| |||||||
Multiline Retail – 0.1% |
| |||||||
Central Retail Corp. PCL | 28,700 | 28,412 | ||||||
Lotte Shopping Co., Ltd. | 958 | 76,996 | ||||||
|
| |||||||
105,408 | ||||||||
|
| |||||||
Specialty Retail – 0.9% |
| |||||||
Jarir Marketing Co. | 1,781 | 77,312 | ||||||
JUMBO SA | 5,496 | 80,016 | ||||||
Topsports International Holdings Ltd.(a) | 320,000 | 291,429 | ||||||
Vibra Energia SA | 138,500 | 442,220 | ||||||
Zhongsheng Group Holdings Ltd. | 36,000 | 254,360 | ||||||
|
| |||||||
1,145,337 | ||||||||
|
| |||||||
Textiles, Apparel & Luxury Goods – 0.6% |
| |||||||
ANTA Sports Products Ltd. | 14,400 | 177,212 | ||||||
Bosideng International Holdings Ltd. | 148,000 | 91,948 | ||||||
Li Ning Co., Ltd. | 59,000 | 549,354 | ||||||
Page Industries Ltd. | 80 | 40,780 | ||||||
|
| |||||||
859,294 | ||||||||
|
| |||||||
11,814,830 | ||||||||
|
| |||||||
Materials – 5.1% |
| |||||||
Chemicals – 1.6% |
| |||||||
Advanced Petrochemical Co. | 1,324 | 18,156 | ||||||
Braskem SA (Preference Shares) | 2,500 | 17,789 | ||||||
Dongyue Group Ltd. | 14,000 | 17,563 | ||||||
Nan Ya Plastics Corp. | 13,000 | 36,288 | ||||||
Petronas Chemicals Group Bhd | 27,500 | 56,155 | ||||||
PhosAgro PJSC (GDR)(a) (c) (d) | 4,421 | 0 | ||||||
SABIC Agri-Nutrients Co. | 1,036 | 38,116 | ||||||
Saudi Basic Industries Corp. | 232 | 6,291 | ||||||
Sociedad Quimica y Minera de Chile SA (Sponsored ADR) | 16,736 | 1,397,958 | ||||||
Tosoh Corp. | 48,200 | 599,547 | ||||||
|
| |||||||
2,187,863 | ||||||||
|
| |||||||
Construction Materials – 0.1% |
| |||||||
Anhui Conch Cement Co., Ltd. - Class A (Nth SSE-SEHK) | 6,000 | 31,687 | ||||||
Anhui Conch Cement Co., Ltd. - Class H | 12,500 | 54,249 | ||||||
China National Building Material Co., Ltd. - Class H | 22,000 | 23,566 | ||||||
|
| |||||||
109,502 | ||||||||
|
| |||||||
Metals & Mining – 3.4% |
| |||||||
Aluminum Corp. of China Ltd. - Class H | 14,000 | 5,263 | ||||||
Anglo American PLC | 4,156 | 148,571 | ||||||
ArcelorMittal SA | 4,856 | 108,898 | ||||||
Baoshan Iron & Steel Co., Ltd. - Class A | 601,100 | 541,423 | ||||||
China Hongqiao Group Ltd. | 1,947,596 | 2,194,053 |
4
Company | Shares | U.S. $ Value | ||||||
First Quantum Minerals Ltd. | 1,211 | $ | 22,974 | |||||
Ganfeng Lithium Co., Ltd.(a) | 3,640 | 40,119 | ||||||
Jindal Steel & Power Ltd. | 9,930 | 41,602 | ||||||
Kumba Iron Ore Ltd. | 2,883 | 93,464 | ||||||
MMC Norilsk Nickel PJSC (ADR)(c) (d) | 3,568 | 0 | ||||||
Polyus PJSC (GDR)(c) (d) (f) | 284 | 0 | ||||||
POSCO Holdings, Inc. | 6,406 | 1,142,428 | ||||||
Tata Steel Ltd. | 6,021 | 66,387 | ||||||
Vale SA | 4,400 | 64,368 | ||||||
Vedanta Ltd. | 23,139 | 65,534 | ||||||
Zijin Mining Group Co., Ltd. - Class H | 8,000 | 9,735 | ||||||
|
| |||||||
4,544,819 | ||||||||
|
| |||||||
6,842,184 | ||||||||
|
| |||||||
Industrials – 3.7% |
| |||||||
Aerospace & Defense – 0.1% |
| |||||||
Bharat Electronics Ltd. | 29,291 | 86,925 | ||||||
Hindustan Aeronautics Ltd.(a) | 2,311 | 51,642 | ||||||
|
| |||||||
138,567 | ||||||||
|
| |||||||
Air Freight & Logistics – 0.0% |
| |||||||
Hyundai Glovis Co., Ltd. | 420 | 58,389 | ||||||
|
| |||||||
Airlines – 0.1% |
| |||||||
InterGlobe Aviation Ltd.(a) (b) | 3,597 | 73,609 | ||||||
Korean Air Lines Co., Ltd.(b) | 3,681 | 71,790 | ||||||
|
| |||||||
145,399 | ||||||||
|
| |||||||
Commercial Services & Supplies – 0.0% |
| |||||||
China Everbright Environment Group Ltd. | 50,000 | 29,566 | ||||||
|
| |||||||
Construction & Engineering – 0.0% |
| |||||||
China Railway Group Ltd. - Class H | 34,000 | 21,047 | ||||||
|
| |||||||
Electrical Equipment – 1.3% |
| |||||||
Contemporary Amperex Technology Co., Ltd. - Class A | 21,900 | 1,754,921 | ||||||
|
| |||||||
Industrial Conglomerates – 0.6% |
| |||||||
Bidvest Group Ltd. (The) | 4,097 | 52,782 | ||||||
CITIC Ltd. | 83,000 | 84,612 | ||||||
CJ Corp. | 700 | 42,031 | ||||||
Industries Qatar QSC | 13,930 | 61,117 | ||||||
KOC Holding AS | 16,934 | 37,391 | ||||||
Refrigeration Electrical Engineering Corp. | 123,832 | 459,091 | ||||||
Siemens Ltd. | 299 | 9,111 | ||||||
|
| |||||||
746,135 | ||||||||
|
| |||||||
Machinery – 0.2% |
| |||||||
China Yuchai International Ltd. | 23,050 | 203,301 | ||||||
Haitian International Holdings Ltd. | 9,000 | 23,022 | ||||||
|
| |||||||
226,323 | ||||||||
|
| |||||||
Marine – 0.4% |
| |||||||
COSCO SHIPPING Holdings Co., Ltd. | 55,100 | 77,341 | ||||||
Evergreen Marine Corp. Taiwan Ltd. | 102,000 | 289,911 | ||||||
Yang Ming Marine Transport Corp. | 57,000 | 157,651 | ||||||
|
| |||||||
524,903 | ||||||||
|
|
5
Company | Shares | U.S. $ Value | ||||||
Professional Services – 0.0% | ||||||||
HeadHunter Group PLC (ADR)(c) (d) | 18,930 | $ | 0 | |||||
|
| |||||||
Road & Rail – 0.1% | ||||||||
Daqin Railway Co., Ltd. - Class A | 90,000 | 88,657 | ||||||
|
| |||||||
Trading Companies & Distributors – 0.2% | ||||||||
Barloworld Ltd. | 25,240 | 139,242 | ||||||
BOC Aviation Ltd.(a) | 1,600 | 13,528 | ||||||
Xiamen C & D, Inc. | 41,600 | 81,310 | ||||||
|
| |||||||
234,080 | ||||||||
|
| |||||||
Transportation Infrastructure – 0.7% | ||||||||
Adani Ports & Special Economic Zone Ltd. | 3,583 | 30,574 | ||||||
China Merchants Port Holdings Co., Ltd. | 24,000 | 40,876 | ||||||
Grupo Aeroportuario del Centro Norte SAB de CV | 77,481 | 494,950 | ||||||
Grupo Aeroportuario del Pacifico SAB de CV - Class B | 6,012 | 84,048 | ||||||
International Container Terminal Services, Inc. | 21,170 | 70,882 | ||||||
Shanghai International Port Group Co., Ltd. | 92,900 | 81,083 | ||||||
TangShan Port Group Co., Ltd. - Class A (Nth SSE-SEHK) | 307,500 | 118,720 | ||||||
Westports Holdings Bhd | 30,600 | 24,651 | ||||||
Zhejiang Expressway Co., Ltd. - Class H | 56,000 | 51,616 | ||||||
|
| |||||||
997,400 | ||||||||
|
| |||||||
4,965,387 | ||||||||
|
| |||||||
Energy – 2.5% | ||||||||
Oil, Gas & Consumable Fuels – 2.5% | ||||||||
Adaro Energy Indonesia Tbk PT | 311,400 | 59,971 | ||||||
Bharat Petroleum Corp., Ltd. | 17,591 | 68,930 | ||||||
China Coal Energy Co., Ltd. - Class H | 8,000 | 6,760 | ||||||
China Petroleum & Chemical Corp. | 133,900 | 81,560 | ||||||
China Shenhua Energy Co., Ltd. - Class A | 10,000 | 49,726 | ||||||
China Shenhua Energy Co., Ltd. - Class H | 27,500 | 78,878 | ||||||
China Suntien Green Energy Corp. Ltd. | 55,000 | 28,016 | ||||||
Exxaro Resources Ltd. | 2,881 | 35,003 | ||||||
Gazprom PJSC (Sponsored ADR)(c) (d) | 76,890 | 0 | ||||||
GS Holdings Corp. | 2,177 | 70,338 | ||||||
Hindustan Petroleum Corp., Ltd. | 25,853 | 71,378 | ||||||
Indian Oil Corp. Ltd. | 80,758 | 76,174 | ||||||
LUKOIL PJSC (Sponsored ADR)(c) (d) | 18,789 | 0 | ||||||
Oil & Natural Gas Corp., Ltd. | 6,884 | 13,181 | ||||||
Parex Resources, Inc. | 16,687 | 282,611 | ||||||
PetroChina Co., Ltd. - Class H | 4,128,000 | 1,936,058 | ||||||
Petroleo Brasileiro SA | 11,600 | 67,692 | ||||||
Petroleo Brasileiro SA (Preference Shares) | 12,600 | 67,244 | ||||||
PTT PCL | 26,300 | 25,292 | ||||||
Saudi Arabian Oil Co.(a) | 7,536 | 77,885 | ||||||
Shaanxi Coal Industry Co., Ltd. | 33,500 | 106,018 | ||||||
Shanxi Lu’an Environmental Energy Development Co., Ltd. - Class A | 41,600 | 90,639 | ||||||
Yankuang Energy Group Co., Ltd. - Class H | 30,000 | 93,850 | ||||||
|
| |||||||
3,387,204 | ||||||||
|
|
6
Company | Shares | U.S. $ Value | ||||||
Communication Services – 2.5% | ||||||||
Diversified Telecommunication Services – 0.3% | ||||||||
Emirates Telecommunications Group Co. PJSC | 2,191 | $ | 15,566 | |||||
Hellenic Telecommunications Organization SA | 1,445 | 25,237 | ||||||
KT Corp. | 2,991 | 84,102 | ||||||
LG Uplus Corp. | 8,421 | 82,872 | ||||||
MultiChoice Group | 10,567 | 75,222 | ||||||
Sarana Menara Nusantara Tbk PT | 282,700 | 20,886 | ||||||
Telkom Indonesia Persero Tbk PT | 292,800 | 78,767 | ||||||
|
| |||||||
382,652 | ||||||||
|
| |||||||
Entertainment – 0.3% | ||||||||
G-bits Network Technology Xiamen Co., Ltd. - Class A | 6,500 | 377,874 | ||||||
NetEase, Inc. | 2,800 | 52,751 | ||||||
|
| |||||||
430,625 | ||||||||
|
| |||||||
Interactive Media & Services – 1.5% | ||||||||
Kanzhun Ltd. (ADR)(b) | 748 | 19,657 | ||||||
Tencent Holdings Ltd. | 43,900 | 1,987,140 | ||||||
Yandex NV - Class A(b) (c) (d) | 11,500 | 0 | ||||||
|
| |||||||
2,006,797 | ||||||||
|
| |||||||
Media – 0.1% | ||||||||
Cheil Worldwide, Inc. | 4,334 | 79,595 | ||||||
|
| |||||||
Wireless Telecommunication Services – 0.3% | ||||||||
America Movil SAB de CV | 87,632 | 89,682 | ||||||
Globe Telecom, Inc. | 1,400 | 57,779 | ||||||
MTN Group Ltd. | 1,469 | 11,954 | ||||||
PLDT, Inc. | 2,300 | 70,242 | ||||||
SK Telecom Co., Ltd. | 1,856 | 74,483 | ||||||
Taiwan Mobile Co., Ltd. | 15,000 | 54,506 | ||||||
Turkcell Iletisim Hizmetleri AS | 59,472 | 58,019 | ||||||
Vodacom Group Ltd. | 7,080 | 57,334 | ||||||
|
| |||||||
473,999 | ||||||||
|
| |||||||
3,373,668 | ||||||||
|
| |||||||
Utilities – 2.5% | ||||||||
Electric Utilities – 1.2% | ||||||||
Centrais Eletricas Brasileiras SA | 900 | 7,945 | ||||||
Cia Energetica de Minas Gerais (Preference Shares) | 142,179 | 281,998 | ||||||
CPFL Energia SA | 12,200 | 71,986 | ||||||
Equatorial Energia SA | 151,600 | 661,618 | ||||||
Manila Electric Co. | 11,330 | 74,205 | ||||||
Power Grid Corp. of India Ltd. | 64,914 | 174,701 | ||||||
Transmissora Alianca de Energia Eletrica SA | 37,000 | 273,040 | ||||||
|
| |||||||
1,545,493 | ||||||||
|
| |||||||
Entertainment – 0.0% | ||||||||
Adani Power Ltd.(b) | 14,309 | 48,069 | ||||||
|
|
7
Company | Shares | U.S. $ Value | ||||||
Gas Utilities – 1.1% | ||||||||
GAIL India Ltd. | 868,899 | $ | 1,491,318 | |||||
|
| |||||||
Independent Power and Renewable Electricity Producers – 0.2% | ||||||||
China Longyuan Power Group Corp., Ltd. - Class H | 43,000 | 83,332 | ||||||
Colbun SA | 285,970 | 19,792 | ||||||
Gulf Energy Development PCL | 64,800 | 85,227 | ||||||
NTPC Ltd. | 44,820 | 81,044 | ||||||
|
| |||||||
269,395 | ||||||||
|
| |||||||
Water Utilities – 0.0% | ||||||||
Guangdong Investment Ltd. | 14,000 | 14,798 | ||||||
|
| |||||||
3,369,073 | ||||||||
|
| |||||||
Consumer Staples – 2.2% | ||||||||
Beverages – 0.0% | ||||||||
Coca-Cola Femsa SAB de CV | 7,906 | 43,824 | ||||||
|
| |||||||
Food & Staples Retailing – 0.9% | ||||||||
Avenue Supermarts Ltd.(a) (b) | 571 | 24,718 | ||||||
BIM Birlesik Magazalar AS | 3,409 | 16,513 | ||||||
Cencosud SA | 15,807 | 20,119 | ||||||
Magnit PJSC (Sponsored GDR)(a) (c) (d) | 5,893 | 0 | ||||||
President Chain Store Corp. | 3,000 | 27,483 | ||||||
Shoprite Holdings Ltd. | 64,600 | 787,087 | ||||||
Wal-Mart de Mexico SAB de CV | 102,893 | 354,071 | ||||||
X5 Retail Group NV (GDR)(c) (d) (f) | 23,937 | 0 | ||||||
|
| |||||||
1,229,991 | ||||||||
|
| |||||||
Food Products – 1.2% | ||||||||
Britannia Industries Ltd. | 347 | 15,165 | ||||||
China Feihe Ltd.(a) | 64,384 | 74,134 | ||||||
JBS SA | 12,400 | 74,849 | ||||||
Kuala Lumpur Kepong Bhd | 57,100 | 284,237 | ||||||
Minerva SA/Brazil | 349,600 | 886,450 | ||||||
Nestle India Ltd. | 60 | 13,313 | ||||||
Nestle SA (REG) | 1,390 | 162,453 | ||||||
Uni-President Enterprises Corp. | 40,000 | 90,188 | ||||||
|
| |||||||
1,600,789 | ||||||||
|
| |||||||
Tobacco – 0.1% | ||||||||
Eastern Co. SAE | 41,280 | 22,586 | ||||||
Gudang Garam Tbk PT | 6,300 | 13,190 | ||||||
ITC Ltd. | 12,662 | 43,990 | ||||||
KT&G Corp. | 239 | 15,149 | ||||||
|
| |||||||
94,915 | ||||||||
|
| |||||||
2,969,519 | ||||||||
|
| |||||||
Real Estate – 1.4% | ||||||||
Real Estate Management & Development – 1.4% | ||||||||
A-Living Smart City Services Co., Ltd. - Class H(a) | 402,750 | 648,357 | ||||||
Aldar Properties PJSC | 19,953 | 24,211 | ||||||
China Aoyuan Group Ltd.(c) (d) | 411,000 | 61,421 | ||||||
China Resources Land Ltd. | 66,000 | 309,493 | ||||||
CIFI Ever Sunshine Services Group Ltd.(a) | 6,000 | 7,692 |
8
Company | Shares | U.S. $ Value | ||||||||||
CIFI Holdings Group Co., Ltd. | 35,360 | $ | 17,824 | |||||||||
Country Garden Services Holdings Co., Ltd. | 8,000 | 35,903 | ||||||||||
Emaar Properties PJSC | 16,710 | 23,721 | ||||||||||
Greenland Holdings Corp. Ltd. - Class A | 10,700 | 6,341 | ||||||||||
Hopson Development Holdings Ltd. | 8,624 | 13,146 | ||||||||||
KWG Group Holdings Ltd. | 19,500 | 6,234 | ||||||||||
Logan Group Co. Ltd.(c) (d) (e) | 170,000 | 52,078 | ||||||||||
Longfor Group Holdings Ltd.(a) | 3,500 | 16,646 | ||||||||||
Poly Developments and Holdings Group Co., Ltd. - Class A | 98,200 | 256,554 | ||||||||||
Seazen Group Ltd.(b) | 14,000 | 6,939 | ||||||||||
Times China Holdings Ltd. | 81,000 | 26,969 | ||||||||||
Vincom Retail JSC(b) | 308,840 | 379,545 | ||||||||||
|
| |||||||||||
1,893,074 | ||||||||||||
|
| |||||||||||
Health Care – 0.8% | ||||||||||||
Biotechnology – 0.0% | ||||||||||||
BeiGene Ltd. (Sponsored ADR)(b) | 33 | 5,341 | ||||||||||
|
| |||||||||||
Health Care Equipment & Supplies – 0.0% | ||||||||||||
Hartalega Holdings Bhd | 20,000 | 13,885 | ||||||||||
|
| |||||||||||
Health Care Providers & Services – 0.0% | ||||||||||||
Sinopharm Group Co., Ltd. - Class H | 23,600 | 57,139 | ||||||||||
|
| |||||||||||
Life Sciences Tools & Services – 0.1% | ||||||||||||
Divi’s Laboratories Ltd. | 1,565 | 72,137 | ||||||||||
|
| |||||||||||
Pharmaceuticals – 0.7% | ||||||||||||
China Medical System Holdings Ltd. | 110,000 | 171,491 | ||||||||||
CSPC Pharmaceutical Group Ltd. | 28,000 | 27,987 | ||||||||||
Genomma Lab Internacional SAB de CV - Class B | 689,440 | 691,171 | ||||||||||
|
| |||||||||||
890,649 | ||||||||||||
|
| |||||||||||
1,039,151 | ||||||||||||
|
| |||||||||||
Total Common Stocks | 77,166,876 | |||||||||||
|
| |||||||||||
Principal Amount (000) | ||||||||||||
FIXED INCOME – 35.2% | ||||||||||||
Sovereign Bonds – 19.5% | ||||||||||||
Angolan Government International Bond | U.S.$ | 779 | 551,532 | |||||||||
Argentine Republic Government International Bond | ||||||||||||
0.50%, 07/09/2030 | 1,469 | 321,058 | ||||||||||
1.00%, 07/09/2029 | 236 | 55,172 | ||||||||||
1.125%, 07/09/2035 | 1,359 | 284,000 | ||||||||||
2.00%, 01/09/2038 | 1,249 | 362,182 | ||||||||||
2.50%, 07/09/2041 | 210 | 54,070 | ||||||||||
Bahrain Government International Bond | ||||||||||||
6.00%, 09/19/2044(a) | 210 | 155,374 | ||||||||||
6.75%, 09/20/2029(a) | 244 | 232,989 | ||||||||||
7.00%, 10/12/2028(a) | 334 | 330,723 |
9
Principal Amount (000) | U.S. $ Value | |||||||||||
Brazilian Government International Bond | U.S.$ | 385 | $ | 363,055 | ||||||||
Colombia Government International Bond | ||||||||||||
3.125%, 04/15/2031 | 613 | 454,693 | ||||||||||
3.875%, 02/15/2061 | 200 | 114,913 | ||||||||||
5.00%, 06/15/2045 | 502 | 335,963 | ||||||||||
6.125%, 01/18/2041 | 260 | 203,742 | ||||||||||
Dominican Republic International Bond | ||||||||||||
5.50%, 01/27/2025-02/22/2029(a) | 100 | 99,206 | ||||||||||
5.875%, 01/30/2060(a) | 591 | 403,284 | ||||||||||
6.40%, 06/05/2049(a) | 364 | 270,679 | ||||||||||
6.50%, 02/15/2048(a) | 298 | 223,928 | ||||||||||
8.625%, 04/20/2027(a) | 119 | 123,559 | ||||||||||
Ecuador Government International Bond | ||||||||||||
Zero Coupon, 07/31/2030(a) | 106 | 45,176 | ||||||||||
0.50%, 07/31/2040(a) | 446 | 189,893 | ||||||||||
1.00%, 07/31/2035(a) | 1,711 | 844,915 | ||||||||||
5.00%, 07/31/2030(a) | 372 | 243,335 | ||||||||||
Egypt Government International Bond | ||||||||||||
3.875%, 02/16/2026(a) | 359 | 261,172 | ||||||||||
7.30%, 09/30/2033(a) | 217 | 137,795 | ||||||||||
7.50%, 02/16/2061(a) | 236 | 130,390 | ||||||||||
7.60%, 03/01/2029(a) | 302 | 219,705 | ||||||||||
7.903%, 02/21/2048(a) | 300 | 169,500 | ||||||||||
8.15%, 11/20/2059(a) | 305 | 175,375 | ||||||||||
8.50%, 01/31/2047(a) | 305 | 179,187 | ||||||||||
El Salvador Government International Bond | ||||||||||||
5.875%, 01/30/2025(a) | 87 | 31,527 | ||||||||||
6.375%, 01/18/2027(a) | 232 | 77,764 | ||||||||||
7.625%, 02/01/2041(a) | 602 | 186,733 | ||||||||||
7.65%, 06/15/2035(a) | 57 | 18,090 | ||||||||||
8.625%, 02/28/2029(a) | 226 | 73,916 | ||||||||||
Gabon Government International Bond | ||||||||||||
6.625%, 02/06/2031(a) | 200 | 147,038 | ||||||||||
6.95%, 06/16/2025(a) | 200 | 173,475 | ||||||||||
7.00%, 11/24/2031(a) | 200 | 144,500 | ||||||||||
Ghana Government International Bond | ||||||||||||
7.75%, 04/07/2029(a) | 243 | 119,647 | ||||||||||
7.875%, 02/11/2035(a) | 656 | 306,188 | ||||||||||
8.125%, 03/26/2032(a) | 200 | 96,000 | ||||||||||
8.95%, 03/26/2051(a) | 266 | 124,737 | ||||||||||
Guatemala Government Bond | ||||||||||||
4.375%, 06/05/2027(a) | 401 | 375,010 | ||||||||||
4.65%, 10/07/2041(a) | 215 | 156,722 | ||||||||||
Hungary Government International Bond | ||||||||||||
2.125%, 09/22/2031(a) | 877 | 677,099 | ||||||||||
5.25%, 06/16/2029(a) | 295 | 293,925 | ||||||||||
5.50%, 06/16/2034(a) | 223 | 216,341 | ||||||||||
Indonesia Government International Bond | ||||||||||||
3.85%, 10/15/2030 | 315 | 299,112 |
10
Principal Amount (000) | U.S. $ Value | |||||||||||
4.125%, 01/15/2025(a) | U.S.$ | 380 | $ | 378,646 | ||||||||
7.75%, 01/17/2038(a) | 100 | 119,113 | ||||||||||
Ivory Coast Government International Bond | 463 | 360,648 | ||||||||||
6.375%, 03/03/2028(a) | 295 | 260,762 | ||||||||||
Jamaica Government International Bond | 208 | 223,119 | ||||||||||
Lebanon Government International Bond | 36 | 2,212 | ||||||||||
6.65%, 04/22/2024(a) (b) (g) | 57 | 3,716 | ||||||||||
6.85%, 03/23/2027(a) (b) (g) | 481 | 28,349 | ||||||||||
Series E | 216 | 14,283 | ||||||||||
Series G | 206 | 12,656 | ||||||||||
6.60%, 11/27/2026(a) (b) (g) | 170 | 10,444 | ||||||||||
Mexico Government International Bond | 280 | 181,265 | ||||||||||
4.75%, 03/08/2044 | 140 | 115,964 | ||||||||||
Morocco Government International Bond | 251 | 204,439 | ||||||||||
Nigeria Government International Bond | 363 | 236,585 | ||||||||||
7.625%, 11/28/2047(a) | 463 | 276,642 | ||||||||||
7.696%, 02/23/2038(a) | 240 | 148,800 | ||||||||||
8.25%, 09/28/2051(a) | 200 | 123,250 | ||||||||||
Oman Government International Bond | 386 | 331,960 | ||||||||||
Pakistan Government International Bond | 325 | 218,522 | ||||||||||
7.375%, 04/08/2031(a) | 222 | 137,664 | ||||||||||
Panama Bonos del Tesoro | 350 | 289,625 | ||||||||||
Panama Government International Bond | 501 | 391,657 | ||||||||||
3.87%, 07/23/2060 | 405 | 287,373 | ||||||||||
Panama Notas del Tesoro | 290 | 279,451 | ||||||||||
Paraguay Government International Bond | 223 | 182,135 | ||||||||||
4.70%, 03/27/2027(a) | 200 | 191,850 | ||||||||||
4.95%, 04/28/2031(a) | 208 | 191,919 | ||||||||||
5.00%, 04/15/2026(a) | 205 | 201,259 | ||||||||||
Perusahaan Penerbit SBSN Indonesia III | 200 | 196,600 | ||||||||||
Peruvian Government International Bond | 588 | 363,384 | ||||||||||
2.783%, 01/23/2031 | 135 | 114,902 | ||||||||||
Philippine Government International Bond | 330 | 311,886 |
11
Principal Amount (000) | U.S. $ Value | |||||||||||
3.20%, 07/06/2046 | U.S.$ | 281 | $ | 209,376 | ||||||||
3.229%, 03/29/2027 | 225 | 217,150 | ||||||||||
3.556%, 09/29/2032 | 515 | 475,144 | ||||||||||
4.20%, 03/29/2047 | 858 | 745,816 | ||||||||||
Qatar Government International Bond | 864 | 828,360 | ||||||||||
4.50%, 04/23/2028(a) | 300 | 310,875 | ||||||||||
5.103%, 04/23/2048(a) | 239 | 250,054 | ||||||||||
Republic of Kenya Government International Bond | 200 | 168,000 | ||||||||||
8.00%, 05/22/2032(a) | 346 | 243,930 | ||||||||||
Republic of South Africa Government International Bond | 370 | 312,650 | ||||||||||
Romanian Government International Bond | 174 | 133,850 | ||||||||||
3.625%, 03/27/2032(a) | 298 | 232,682 | ||||||||||
4.00%, 02/14/2051(a) | 210 | 136,474 | ||||||||||
5.25%, 11/25/2027(a) | 242 | 230,505 | ||||||||||
Saudi Government International Bond | 260 | 244,400 | ||||||||||
4.625%, 10/04/2047(a) | 310 | 286,750 | ||||||||||
5.25%, 01/16/2050(a) | 201 | 204,266 | ||||||||||
Senegal Government International Bond | EUR | 400 | 337,440 | |||||||||
Sharjah Sukuk Ltd. | U.S.$ | 224 | 223,692 | |||||||||
Sri Lanka Government International Bond | 314 | 87,955 | ||||||||||
7.85%, 03/14/2029(a) (b) (g) | 578 | 161,903 | ||||||||||
Turkey Government International Bond | 1,179 | 695,463 | ||||||||||
5.75%, 05/11/2047 | 280 | 172,077 | ||||||||||
Ukraine Government International Bond | EUR | 173 | 45,777 | |||||||||
6.876%, 05/21/2029(a) | U.S.$ | 484 | 116,160 | |||||||||
7.375%, 09/25/2032(a) | 281 | 68,845 | ||||||||||
7.75%, 09/01/2023-09/01/2027(a) | 1,259 | 351,068 | ||||||||||
Uruguay Government International Bond | 389 | 392,908 | ||||||||||
4.975%, 04/20/2055 | 17 | 17,145 | ||||||||||
5.10%, 06/18/2050 | 194 | 194,557 | ||||||||||
7.875%, 01/15/2033 | 95 | 118,412 | ||||||||||
Venezuela Government International Bond | 265 | 22,483 | ||||||||||
12.75%, 08/23/2022(a) (b) (g) | 564 | 48,654 | ||||||||||
Zambia Government International Bond | 825 | 479,428 | ||||||||||
|
| |||||||||||
Total Sovereign Bonds | 26,209,718 | |||||||||||
|
|
12
Principal Amount (000) | U.S. $ Value | |||||||||||
Corporate Bonds – 7.7% | ||||||||||||
Acu Petroleo Luxembourg SARL | U.S.$ | 250 | $ | 210,000 | ||||||||
Adani Green Energy Ltd. | 200 | 179,250 | ||||||||||
Alfa Desarrollo SpA | 364 | 259,361 | ||||||||||
Bank Hapoalim BM | 355 | 299,975 | ||||||||||
Bidvest Group UK PLC (The) | 365 | 320,356 | ||||||||||
Braskem Idesa SAPI | 219 | 169,725 | ||||||||||
Braskem Netherlands Finance BV | 200 | 180,803 | ||||||||||
BRF SA | 200 | 158,600 | ||||||||||
Cemex SAB de CV | 200 | 198,500 | ||||||||||
Central American Bottling Corp./CBC Bottling Holdco SL/Beliv Holdco SL | 66 | 58,072 | ||||||||||
Chile Electricity Pec SpA | 446 | 326,500 | ||||||||||
Cia de Minas Buenaventura SAA | 200 | 180,360 | ||||||||||
Cometa Energia SA de CV | 175 | 170,524 | ||||||||||
Digicel Group Holdings Ltd. | 17 | 8,043 | ||||||||||
10.00% (8.00% Cash and 2.00% PIK), 04/01/2024(h) | 255 | 244,913 | ||||||||||
Ecopetrol SA | 401 | 352,479 | ||||||||||
Embraer Netherlands Finance BV | 79 | 74,596 | ||||||||||
Empresa Generadora de Electricidad Haina SA | 250 | 212,812 | ||||||||||
Empresas Publicas de Medellin ESP | 200 | 156,413 | ||||||||||
8.375%, 11/08/2027 | COP | 418,000 | 80,269 | |||||||||
Freeport Indonesia PT | U.S.$ | 200 | 181,500 | |||||||||
GNL Quintero SA | 176 | 169,297 | ||||||||||
Gran Tierra Energy International Holdings Ltd. | 200 | 171,912 |
13
Principal Amount (000) | U.S. $ Value | |||||||||||
Greenko Solar Mauritius Ltd. | U.S.$ | 200 | $ | 176,500 | ||||||||
Haidilao International Holding Ltd. | 200 | 152,000 | ||||||||||
Hunt Oil Co., of Peru LLC Sucursal Del Peru | 183 | 167,491 | ||||||||||
India Clean Energy Holdings | 200 | 144,000 | ||||||||||
Infraestructura Energetica Nova SAB de CV | 334 | 304,316 | ||||||||||
Iochpe-Maxion Austria GmbH/Maxion Wheels de Mexico S de RL de CV | 200 | 166,287 | ||||||||||
JSW Hydro Energy Ltd. | 184 | 146,740 | ||||||||||
JSW Infrastructure Ltd. | 200 | 155,975 | ||||||||||
Kaisa Group Holdings Ltd. | 200 | 27,163 | ||||||||||
Leviathan Bond Ltd. | 87 | 77,618 | ||||||||||
Light Servicos de Eletricidade SA/Light Energia SA | 254 | 221,742 | ||||||||||
Lima Metro Line 2 Finance Ltd. | 329 | 296,329 | ||||||||||
Logan Group Co., Ltd. | 300 | 64,500 | ||||||||||
Medco Oak Tree Pte Ltd. | 200 | 181,500 | ||||||||||
Minejesa Capital BV | 215 | 172,645 | ||||||||||
Natura & Co. Luxembourg Holdings SARL | 223 | 196,240 | ||||||||||
NBM US Holdings, Inc. | 205 | 206,871 | ||||||||||
Odebrecht Holdco Finance Ltd. | 132 | 529 | ||||||||||
OEC Finance Ltd. | 126 | 3,770 | ||||||||||
Petrobras Global Finance BV | 135 | 142,997 | ||||||||||
Power Finance Corp. Ltd. | 200 | 166,064 | ||||||||||
Powerlong Real Estate Holdings Ltd. | 225 | 36,000 | ||||||||||
Prosus NV | 200 | 175,000 | ||||||||||
Ronshine China Holdings Ltd. | 200 | 20,000 |
14
Principal Amount (000) | U.S. $ Value | |||||||||||
Saudi Arabian Oil Co. | U.S.$ | 265 | $ | 245,092 | ||||||||
Scenery Journey Ltd. | 205 | 13,107 | ||||||||||
Shimao Group Holdings Ltd. | 200 | 21,000 | ||||||||||
5.60%, 07/15/2026(a) | 200 | 21,000 | ||||||||||
SierraCol Energy Andina LLC | 200 | 146,725 | ||||||||||
Studio City Finance Ltd. | 200 | 112,500 | ||||||||||
Sunac China Holdings Ltd. | 270 | 37,800 | ||||||||||
Tengizchevroil Finance Co. International Ltd. | 305 | 224,937 | ||||||||||
Times China Holdings Ltd. | 200 | 28,000 | ||||||||||
Tonon Luxembourg SA | 105 | 11 | ||||||||||
TransJamaican Highway Ltd. | 155 | 136,207 | ||||||||||
Transportadora de Gas del Peru SA | 200 | 188,725 | ||||||||||
TSMC Arizona Corp. | 320 | 318,794 | ||||||||||
Tullow Oil PLC | 224 | 213,920 | ||||||||||
Vale Overseas Ltd. | 150 | 130,914 | ||||||||||
Vedanta Resources Finance II PLC | 355 | 315,950 | ||||||||||
Virgolino de Oliveira Finance SA | 202 | 20 | ||||||||||
Volcan Cia Minera SAA | 85 | 73,993 | ||||||||||
Weibo Corp. | 200 | 163,975 | ||||||||||
Xiaomi Best Time International Ltd. | 215 | 167,472 | ||||||||||
|
| |||||||||||
Total Corporate Bonds | 10,326,679 | |||||||||||
|
| |||||||||||
Quasi-Sovereign Bonds – 7.7% | ||||||||||||
Aeropuerto Internacional de Tocumen SA | 200 | 157,413 | ||||||||||
Comision Federal de Electricidad | 200 | 153,100 | ||||||||||
4.677%, 02/09/2051 (a) | 200 | 134,288 | ||||||||||
5.00%, 09/29/2036 (a) | 237 | 207,967 | ||||||||||
Corp. Nacional del Cobre de Chile | 205 | 178,901 | ||||||||||
3.75%, 01/15/2031 (a) | 200 | 179,000 |
15
Principal Amount (000) | U.S. $ Value | |||||||||||
Development Bank of Kazakhstan JSC | U.S.$ | 309 | $ | 307,609 | ||||||||
DP World Ltd./United Arab Emirates | 410 | 334,227 | ||||||||||
DP World Salaam | 313 | 313,880 | ||||||||||
Empresa de Transporte de Pasajeros Metro SA | 200 | 179,537 | ||||||||||
5.00%, 01/25/2047 (a) | 200 | 168,725 | ||||||||||
Eskom Holdings SOC Ltd. | 363 | 330,058 | ||||||||||
7.125%, 02/11/2025(a) | 200 | 168,038 | ||||||||||
Export-Import Bank of China (The) | 593 | 566,588 | ||||||||||
Indonesia Asahan Aluminium Persero PT | 200 | 160,413 | ||||||||||
KazMunayGas National Co. JSC | 400 | 348,200 | ||||||||||
5.75%, 04/19/2047 (a) | 200 | 152,000 | ||||||||||
6.375%, 10/24/2048 (a) | 200 | 165,475 | ||||||||||
Lamar Funding Ltd. | 364 | 345,641 | ||||||||||
NAK Naftogaz Ukraine via Kondor Finance PLC | 200 | 151,000 | ||||||||||
7.625%, 11/08/2026 (f) | 200 | 60,350 | ||||||||||
Oil and Gas Holding Co. BSCC (The) | 459 | 462,098 | ||||||||||
7.625%, 11/07/2024 (a) | 200 | 205,725 | ||||||||||
Pertamina Persero PT | 1,055 | 853,727 | ||||||||||
5.625%, 05/20/2043 (a) | 200 | 183,625 | ||||||||||
Petroleos de Venezuela SA | 226 | 12,414 | ||||||||||
6.00%, 11/15/2026 (a) (b) (g) | 220 | 12,100 | ||||||||||
9.00%, 11/17/2021 (a) (b) (j) | 128 | 7,064 | ||||||||||
Petroleos Mexicanos | 324 | 198,450 | ||||||||||
6.875%, 08/04/2026 | 383 | 341,827 | ||||||||||
6.95%, 01/28/2060 | 979 | 602,574 | ||||||||||
7.69%, 01/23/2050 | 140 | 93,450 | ||||||||||
8.75%, 06/02/2029 (a) | 365 | 326,515 | ||||||||||
Petronas Energy Canada Ltd. | 240 | 216,842 | ||||||||||
Qatar Energy | 706 | 546,400 | ||||||||||
Sinochem Offshore Capital Co., Ltd. | 200 | 161,582 | ||||||||||
Sinopec Group Overseas Development 2018 Ltd. | 347 | 316,447 |
16
Principal Amount (000) | U.S. $ Value | |||||||||||
State Agency of Roads of Ukraine | U.S.$ | 360 | $ | 86,400 | ||||||||
State Oil Co. of the Azerbaijan Republic | 321 | 303,682 | ||||||||||
State Savings Bank of Ukraine Via SSB #1 PLC | 72 | 36,036 | ||||||||||
Transnet SOC Ltd. | 200 | 191,662 | ||||||||||
Trinidad Generation UnLtd. | 400 | 383,500 | ||||||||||
|
| |||||||||||
Total Quasi-Sovereign Bonds |
| 10,304,530 | ||||||||||
|
| |||||||||||
Emerging Markets - Treasuries – 0.3% |
| |||||||||||
Brazil Letras do Tesouro Nacional | BRL | 3,055 | 483,289 | |||||||||
|
| |||||||||||
Total Fixed Income | 47,324,216 | |||||||||||
|
| |||||||||||
Shares | ||||||||||||
EQUITY LINKED NOTES – 1.3% |
| |||||||||||
Information Technology – 1.3% |
| |||||||||||
Electronic Equipment, Instruments & Components – 1.3% |
| |||||||||||
FPT Corp., Macquarie Bank Ltd., expiring 04/05/2023 (b) |
| 471,248 | 1,746,038 | |||||||||
|
| |||||||||||
INVESTMENT COMPANIES – 0.2% |
| |||||||||||
Funds and Investment Trusts – 0.2% |
| |||||||||||
DCVFMVN30 ETF Fund (b) (k) |
| 239,030 | 219,360 | |||||||||
|
| |||||||||||
SHORT-TERM INVESTMENTS – 1.7% |
| |||||||||||
Investment Companies – 1.2% |
| |||||||||||
AB Fixed Income Shares, Inc. - Government Money Market Portfolio - | 1,587,277 | 1,587,277 | ||||||||||
|
| |||||||||||
Principal Amount (000) | ||||||||||||
Time Deposits – 0.5% |
| |||||||||||
Australia New Zealand Bank, Hong Kong | AUD | 6 | 3,988 | |||||||||
BBH, Grand Cayman | CHF | 2 | 2,033 | |||||||||
0.52%, 07/01/2022 | GBP | 20 | 23,770 | |||||||||
3.60%, 07/01/2022 | ZAR | 189 | 11,603 | |||||||||
Citibank, London | EUR | 4 | 3,879 |
17
Principal Amount (000) | U.S. $ Value | |||||||||||
Hong Kong & Shanghai Bank, Hong Kong | HKD | 307 | $ | 39,083 | ||||||||
Hong Kong & Shanghai Bank, Singapore | SGD | 1 | 649 | |||||||||
Nordea Bank Norge, Oslo | NOK | 2 | 175 | |||||||||
Royal Bank of Canada, Toronto | CAD | 13 | 10,349 | |||||||||
0.91%, 07/01/2022 | U.S.$ | 514 | 513,710 | |||||||||
SEB, Stockholm | SEK | 9 | 905 | |||||||||
Sumitomo, Tokyo | JPY | 5,630 | 41,497 | |||||||||
|
| |||||||||||
Total Time Deposits | 651,641 | |||||||||||
|
| |||||||||||
Total Short-Term Investments | 2,238,918 | |||||||||||
|
| |||||||||||
Total Investments Before Security Lending Collateral for Securities Loaned – 95.8% | 128,695,408 | |||||||||||
|
| |||||||||||
Shares | ||||||||||||
INVESTMENTS OF CASH COLLATERAL FOR SECURITIES LOANED – 0.8% |
| |||||||||||
Investment Companies – 0.8% | ||||||||||||
AB Fixed Income Shares, Inc. - Government Money Market Portfolio - | 1,064,242 | 1,064,242 | ||||||||||
|
| |||||||||||
Total Investments – 96.6% | 129,759,650 | |||||||||||
Other assets less liabilities – 3.4% | 4,618,154 | |||||||||||
|
| |||||||||||
Net Assets – 100.0% | $ | 134,377,804 | ||||||||||
|
|
FUTURES
Description | Number of Contracts | Expiration Month | Current Notional | Value and Unrealized Appreciation/ (Depreciation) | ||||||||||||||||
Purchased Contracts | ||||||||||||||||||||
FTSE China A50 Index Futures | 137 | July 2022 | $ | 2,041,601 | $ | 50,717 | ||||||||||||||
Hang Seng Index Futures | 86 | July 2022 | 4,178,044 | 57,508 | ||||||||||||||||
U.S. T-Note 5 Yr (CBT) Futures | 13 | September 2022 | 1,459,250 | 7,516 | ||||||||||||||||
U.S. T-Note 10 Yr (CBT) Futures | 37 | September 2022 | 4,385,656 | (54,422 | ) | |||||||||||||||
U.S. Ultra Bond (CBT) Futures | 14 | September 2022 | 2,160,813 | (48,273 | ) | |||||||||||||||
Sold Contracts | ||||||||||||||||||||
MSCI Emerging Markets Futures | 139 | September 2022 | 6,968,765 | (85,505 | ) | |||||||||||||||
|
| |||||||||||||||||||
$ | (72,459 | ) | ||||||||||||||||||
|
|
18
FORWARD CURRENCY EXCHANGE CONTRACTS
Counterparty | Contracts to Deliver (000) | In Exchange For (000) | Settlement Date | Unrealized Appreciation/ (Depreciation) | ||||||||||||||||||||||||||
Bank of America, NA | USD | 2,249 | HUF | 815,021 | 07/07/2022 | $ | (95,586 | ) | ||||||||||||||||||||||
Bank of America, NA | USD | 2,062 | PLN | 9,224 | 07/07/2022 | (4,554 | ) | |||||||||||||||||||||||
Bank of America, NA | CLP | 252,858 | USD | 303 | 07/15/2022 | 28,023 | ||||||||||||||||||||||||
Barclays Bank PLC | BRL | 4,156 | USD | 793 | 07/05/2022 | (690 | ) | |||||||||||||||||||||||
Barclays Bank PLC | USD | 824 | BRL | 4,156 | 07/05/2022 | (29,850 | ) | |||||||||||||||||||||||
Barclays Bank PLC | INR | 57,499 | USD | 739 | 07/07/2022 | 10,611 | ||||||||||||||||||||||||
Barclays Bank PLC | USD | 2,880 | INR | 222,342 | 07/07/2022 | (64,742 | ) | |||||||||||||||||||||||
Barclays Bank PLC | USD | 2,122 | PEN | 7,995 | 07/15/2022 | (35,641 | ) | |||||||||||||||||||||||
Barclays Bank PLC | KRW | 308,001 | USD | 252 | 07/27/2022 | 12,812 | ||||||||||||||||||||||||
Barclays Bank PLC | USD | 764 | KRW | 994,223 | 07/27/2022 | 8,031 | ||||||||||||||||||||||||
Barclays Bank PLC | USD | 136 | PHP | 7,173 | 07/28/2022 | (5,630 | ) | |||||||||||||||||||||||
Barclays Bank PLC | USD | 2,992 | MYR | 13,215 | 12/15/2022 | (271 | ) | |||||||||||||||||||||||
BNP Paribas SA | COP | 4,737,176 | USD | 1,157 | 07/15/2022 | 18,322 | ||||||||||||||||||||||||
BNP Paribas SA | USD | 233 | COP | 942,152 | 07/15/2022 | (6,699 | ) | |||||||||||||||||||||||
BNP Paribas SA | USD | 815 | MXN | 16,488 | 07/20/2022 | 2,801 | ||||||||||||||||||||||||
Brown Brothers Harriman & Co. | USD | 141 | HUF | 52,689 | 07/07/2022 | (1,666 | ) | |||||||||||||||||||||||
Brown Brothers Harriman & Co. | USD | 97 | CZK | 2,289 | 07/14/2022 | (299 | ) | |||||||||||||||||||||||
Brown Brothers Harriman & Co. | TRY | 20,632 | USD | 1,143 | 07/19/2022 | (84,276 | ) | |||||||||||||||||||||||
Brown Brothers Harriman & Co. | MXN | 9,732 | USD | 493 | 07/20/2022 | 10,793 | ||||||||||||||||||||||||
Brown Brothers Harriman & Co. | USD | 395 | MXN | 7,876 | 07/20/2022 | (4,730 | ) | |||||||||||||||||||||||
Brown Brothers Harriman & Co. | USD | 1,503 | THB | 52,476 | 08/10/2022 | (15,835 | ) | |||||||||||||||||||||||
Credit Suisse International | USD | 1,423 | CZK | 33,379 | 07/14/2022 | (11,418 | ) | |||||||||||||||||||||||
Credit Suisse International | MXN | 12,107 | USD | 601 | 07/20/2022 | 632 | ||||||||||||||||||||||||
Credit Suisse International | USD | 2,607 | CNH | 17,498 | 07/21/2022 | 6,737 | ||||||||||||||||||||||||
Credit Suisse International | USD | 764 | ZAR | 12,230 | 08/18/2022 | (16,127 | ) | |||||||||||||||||||||||
Deutsche Bank AG | BRL | 15,714 | USD | 2,990 | 07/05/2022 | (13,110 | ) | |||||||||||||||||||||||
Deutsche Bank AG | USD | 3,000 | BRL | 15,714 | 07/05/2022 | 2,608 | ||||||||||||||||||||||||
Deutsche Bank AG | CLP | 1,798,084 | USD | 2,142 | 07/15/2022 | 187,075 | ||||||||||||||||||||||||
Deutsche Bank AG | USD | 1,293 | COP | 5,119,246 | 07/15/2022 | (62,542 | ) | |||||||||||||||||||||||
Deutsche Bank AG | USD | 136 | CNH | 914 | 07/21/2022 | 622 | ||||||||||||||||||||||||
Deutsche Bank AG | USD | 2,636 | KRW | 3,324,853 | 07/27/2022 | (55,833 | ) | |||||||||||||||||||||||
Deutsche Bank AG | USD | 1,844 | TWD | 54,244 | 07/27/2022 | (17,555 | ) | |||||||||||||||||||||||
Deutsche Bank AG | IDR | 36,519,704 | USD | 2,510 | 07/28/2022 | 69,108 | ||||||||||||||||||||||||
Deutsche Bank AG | USD | 5,863 | PHP | 310,406 | 07/28/2022 | (226,598 | ) | |||||||||||||||||||||||
Deutsche Bank AG | USD | 2,966 | BRL | 15,714 | 08/02/2022 | 10,451 | ||||||||||||||||||||||||
Goldman Sachs Bank USA | USD | 212 | CLP | 176,802 | 07/15/2022 | (20,054 | ) | |||||||||||||||||||||||
Goldman Sachs Bank USA | USD | 420 | PEN | 1,571 | 07/15/2022 | (10,179 | ) | |||||||||||||||||||||||
Goldman Sachs Bank USA | TWD | 132,238 | USD | 4,549 | 07/27/2022 | 95,381 | ||||||||||||||||||||||||
Goldman Sachs Bank USA | USD | 671 | TWD | 19,909 | 07/27/2022 | (579 | ) | |||||||||||||||||||||||
HSBC Bank USA | INR | 109,954 | USD | 1,432 | 07/07/2022 | 39,433 | ||||||||||||||||||||||||
HSBC Bank USA | USD | 5,845 | INR | 456,115 | 07/07/2022 | (70,141 | ) | |||||||||||||||||||||||
HSBC Bank USA | PEN | 2,758 | USD | 739 | 07/15/2022 | 19,846 | ||||||||||||||||||||||||
HSBC Bank USA | KRW | 17,356,078 | USD | 13,926 | 07/27/2022 | 455,420 | ||||||||||||||||||||||||
HSBC Bank USA | TWD | 59,639 | USD | 2,050 | 07/27/2022 | 41,677 | ||||||||||||||||||||||||
HSBC Bank USA | USD | 932 | KRW | 1,162,395 | 07/27/2022 | (30,015 | ) | |||||||||||||||||||||||
HSBC Bank USA | IDR | 24,548,253 | USD | 1,695 | 07/28/2022 | 53,817 | ||||||||||||||||||||||||
HSBC Bank USA | USD | 4,127 | IDR | 60,565,623 | 07/28/2022 | (78,643 | ) | |||||||||||||||||||||||
JPMorgan Chase Bank, NA | BRL | 15,968 | USD | 3,048 | 07/05/2022 | (2,650 | ) | |||||||||||||||||||||||
JPMorgan Chase Bank, NA | USD | 3,269 | BRL | 15,968 | 07/05/2022 | (218,040 | ) | |||||||||||||||||||||||
JPMorgan Chase Bank, NA | CLP | 998,891 | USD | 1,121 | 07/15/2022 | 34,659 | ||||||||||||||||||||||||
JPMorgan Chase Bank, NA | KRW | 681,536 | USD | 543 | 07/27/2022 | 13,829 | ||||||||||||||||||||||||
JPMorgan Chase Bank, NA | TWD | 24,383 | USD | 829 | 07/27/2022 | 8,286 | ||||||||||||||||||||||||
JPMorgan Chase Bank, NA | PHP | 119,148 | USD | 2,259 | 07/28/2022 | 95,832 | ||||||||||||||||||||||||
Morgan Stanley Capital Services LLC | INR | 298,877 | USD | 3,904 | 07/07/2022 | 120,378 | ||||||||||||||||||||||||
Morgan Stanley Capital Services LLC | PEN | 1,121 | USD | 297 | 07/15/2022 | 4,823 |
19
Counterparty | Contracts to Deliver (000) | In Exchange For (000) | Settlement Date | Unrealized Appreciation/ (Depreciation) | ||||||||||||||||||||||||||
Morgan Stanley Capital Services LLC | CNH | 85,691 | USD | 12,564 | 07/21/2022 | $ | (237,452 | ) | ||||||||||||||||||||||
Morgan Stanley Capital Services LLC | PHP | 11,041 | USD | 210 | 07/28/2022 | 9,302 | ||||||||||||||||||||||||
Morgan Stanley Capital Services LLC | USD | 935 | ZAR | 14,994 | 08/18/2022 | (17,430 | ) | |||||||||||||||||||||||
Standard Chartered Bank | CNH | 7,145 | USD | 1,069 | 07/21/2022 | 2,078 | ||||||||||||||||||||||||
Standard Chartered Bank | USD | 2,745 | KRW | 3,457,998 | 07/27/2022 | (61,116 | ) | |||||||||||||||||||||||
Standard Chartered Bank | USD | 1,458 | TWD | 42,490 | 07/27/2022 | (26,686 | ) | |||||||||||||||||||||||
Standard Chartered Bank | IDR | 31,909,653 | USD | 2,219 | 07/28/2022 | 85,578 | ||||||||||||||||||||||||
Standard Chartered Bank | USD | 662 | IDR | 9,847,688 | 07/28/2022 | (3,853 | ) | |||||||||||||||||||||||
Standard Chartered Bank | USD | 667 | PHP | 35,006 | 07/28/2022 | (31,533 | ) | |||||||||||||||||||||||
UBS AG | BRL | 4,410 | USD | 911 | 07/05/2022 | 68,421 | ||||||||||||||||||||||||
UBS AG | USD | 842 | BRL | 4,410 | 07/05/2022 | 732 | ||||||||||||||||||||||||
UBS AG | USD | 1,072 | CLP | 912,789 | 07/15/2022 | (79,447 | ) | |||||||||||||||||||||||
|
| |||||||||||||||||||||||||||||
$ | (123,352 | ) | ||||||||||||||||||||||||||||
|
|
CENTRALLY CLEARED CREDIT DEFAULT SWAPS
Description | Fixed Rate (Pay) Receive | Payment Frequency | Implied Credit Spread at June 30, 2022 | Notional Amount (000) | Market Value | Upfront Paid/ (Received) | Unrealized Appreciation/ (Depreciation) | |||||||||||||||||||||||||
Buy Contracts | ||||||||||||||||||||||||||||||||
Brazilian Government International Bond, 4.250%, 01/07/2025, 06/20/2027* | (1.00 | )% | Quarterly | 2.92% | USD | 161 | $ | 13,438 | $ | 13,412 | $ | 26 | ||||||||||||||||||||
Brazilian Government International Bond, 4.250%, 01/07/2025, 06/20/2027* | (1.00 | ) | Quarterly | 2.92 | USD | 999 | 83,383 | 64,362 | 19,021 | |||||||||||||||||||||||
CDX-EM Series 37, 5 Year Index, 06/20/2027* | (1.00 | ) | Quarterly | 3.38 | USD | 10,670 | 1,065,502 | 636,599 | 428,903 | |||||||||||||||||||||||
People’s Republic of China, 7.500%, 10/28/27, 06/20/2027* | (1.00 | ) | Quarterly | 0.86 | USD | 500 | (3,419 | ) | (9,088 | ) | 5,669 | |||||||||||||||||||||
South Africa Government International Bond, 5.875%, 09/16/2025, 06/20/2027* | (1.00 | ) | Quarterly | 3.14 | USD | 240 | 22,068 | 11,824 | 10,244 |
20
Description | Fixed Rate (Pay) Receive | Payment Frequency | Implied Credit Spread at June 30, 2022 | Notional Amount (000) | Market Value | Upfront Paid/ (Received) | Unrealized Appreciation/ (Depreciation) | |||||||||||||||||||||||||
Turkey Government International Bond, 11.875%, 01/15/2030, 06/20/2027* | (1.00 | )% | Quarterly | 8.55 | % | USD | 70 | $ | 18,811 | $ | 13,255 | $ | 5,556 | |||||||||||||||||||
Indonesia Government International Bond, 4.125%, 01/15/2025, 06/20/2027* | (1.00 | ) | Quarterly | 1.43 | USD | 500 | 9,479 | (339 | ) | 9,818 | ||||||||||||||||||||||
Sale Contracts |
| |||||||||||||||||||||||||||||||
Colombia Government International Bond, 10.375%, 01/28/2033, 06/20/2027* | 1.00 | Quarterly | 2.91 | USD | 190 | (15,737 | ) | (15,600 | ) | (137 | ) | |||||||||||||||||||||
Colombia Government International Bond, 10.375%, 01/28/2033, 06/20/2027* | 1.00 | Quarterly | 2.91 | USD | 700 | (57,980 | ) | (45,787 | ) | $ | (12,193 | ) | ||||||||||||||||||||
|
|
|
|
|
| |||||||||||||||||||||||||||
$ | 1,135,545 | $ | 668,638 | $ | 466,907 | |||||||||||||||||||||||||||
|
|
|
|
|
|
* | 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 | 4,290 | 05/13/2032 | 1 Day SOFR | 1.670% | Annuall | $ | (402,601 | ) | $ | — | $ | (402,601 | ) |
TOTAL RETURN SWAPS
Counterparty & Referenced Obligation | Rate Paid/ Received | Payment Frequency | Current Notional (000) | Maturity Date | Unrealized Appreciation/ (Depreciation) | |||||||||||||||||
Receive Total Return on Reference Obligation |
| |||||||||||||||||||||
Goldman Sachs International |
| |||||||||||||||||||||
MSCI Emerging Markets Growth | FedFundEffective Plus 0.69% | Maturity | USD | 12,942 | 06/15/2023 | $ | (248,026 | ) |
21
VARIANCE SWAPS
Swap Counterparty & Referenced Obligation | Volatility Strike Rate | Payment Frequency | Notional Amount (000) | Market Value | Upfront Premiums (Paid)/ Received | Unrealized Appreciation/ (Depreciation) | ||||||||||||||||||||||
Buy Contracts |
| |||||||||||||||||||||||||||
Bank of America, NA S&P 500 Index 09/16/2022* | 32.70 | % | Maturity | USD | 1 | $ | (3,614) | $ | — | $ | (3,614) | |||||||||||||||||
Citibank, NA NASDAQ 100 Stock Index 09/16/2022* | 37.75 | Maturity | USD | 5 | (5,523) | — | (5,523) | |||||||||||||||||||||
Goldman Sachs International Russell 2000 Index 09/16/2022* | 38.30 | Maturity | USD | 1 | (4,513) | — | (4,513) | |||||||||||||||||||||
JPMorgan Chase Bank, NA | 34.40 | Maturity | HKD | 2 | (7,620 | ) | — | (7,620 | ) | |||||||||||||||||||
UBS | 29.95 | Maturity | EUR | 4 | (16,246 | ) | — | (16,246 | ) | |||||||||||||||||||
S&P/ASX 200 Index 09/15/2022* | 25.30 | Maturity | AUD | 8 | (2 | ) | — | (2 | ) | |||||||||||||||||||
Sale Contracts |
| |||||||||||||||||||||||||||
Citibank, NA | 28.35 | Maturity | EUR | 4 | 9,437 | — | 9,437 | |||||||||||||||||||||
|
|
|
|
|
| |||||||||||||||||||||||
$ | (28,081 | ) | $ | — | $ | (28,081 | ) | |||||||||||||||||||||
|
|
|
|
|
|
* | Termination date |
(a) | 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 June 30, 2022, the aggregate market value of these securities amounted to $37,428,874 or 27.9% of net assets. |
(b) | Non-income producing security. |
(c) | Security in which significant unobservable inputs (Level 3) were used in determining fair value. |
(d) | Fair valued by the Adviser. |
(e) | Represents entire or partial securities out on loan. |
(f) | Security is exempt from registration under Rule 144A or Regulation S of the Securities Act of 1933. These securities, which represent 0.23% of net assets as of June 30, 2022, are considered illiquid and restricted. Additional information regarding such securities follows: |
144A/Restricted & Illiquid Securities | Acquisition Date | Cost | Market Value | Percentage of Net Assets | ||||||||||||||||
Digicel Group Holdings Ltd. | 01/14/2019 | $ | 13,608 | $ | 8,043 | 0.01 | % | |||||||||||||
NAK Naftogaz Ukraine via Kondor Finance PLC | 12/08/2021 | 199,887 | 60,350 | 0.05 | % | |||||||||||||||
NAK Naftogaz Ukraine via Kondor Finance PLC | 11/04/2019 | 200,000 | 151,000 | 0.11 | % | |||||||||||||||
Polyus PJSC (GDR) | 09/06/2019 | 4,388 | 0 | 0.00 | % | |||||||||||||||
State Agency of Roads of Ukraine | 06/17/2021 | 360,000 | 86,400 | 0.06 | % | |||||||||||||||
Tonon Luxembourg SA | 05/03/2019 | 199,358 | 11 | 0.00 | % |
22
144A/Restricted & Illiquid Securities | Acquisition Date | Cost | Market Value | Percentage of Net Assets | ||||||||||||||||
Virgolino de Oliveira Finance SA | 07/12/2013 | $ | 172,628 | $ | 20 | 0.00 | % | |||||||||||||
X5 Retail Group NV (GDR) | 08/18/2020 | 663,676 | 0 | 0.00 | % |
(g) | Defaulted. |
(h) | Pay-In-Kind Payments (PIK). The issuer may pay cash interest and/or interest in additional debt securities. Rates shown are the rates in effect at June 30, 2022. |
(i) | Securities are perpetual and, thus, do not have a predetermined maturity date. The date shown, if applicable, reflects the next call date. |
(j) | Defaulted matured security. |
(k) | To obtain a copy of the fund’s shareholder report, please go to the Securities and Exchange Commission’s website at www.sec.gov. Additionally, shareholder reports for AB funds can be obtained by calling AB at (800) 227-4618. |
(l) | The rate shown represents the 7-day yield as of period end. |
(m) | Affiliated investments. |
(n) | As of June 30, 2022, the cost basis of investment securities owned was substantially identical for both book and tax purposes. Gross unrealized appreciation of investments was $13,190,831 and gross unrealized depreciation of investments was $(27,110,943), resulting in net unrealized depreciation of $(13,920,112). |
Currency Abbreviations:
AUD – Australian Dollar
BRL – Brazilian Real
CAD – Canadian Dollar
CHF – Swiss Franc
CLP – Chilean Peso
CNH – Chinese Yuan Renminbi (Offshore)
COP – Colombian Peso
CZK – Czech Koruna
EUR – Euro
GBP – Great British Pound
HKD – Hong Kong Dollar
HUF – Hungarian Forint
IDR – Indonesian Rupiah
INR – Indian Rupee
JPY – Japanese Yen
KRW – South Korean Won
MXN – Mexican Peso
MYR – Malaysian Ringgit
NOK – Norwegian Krone
PEN – Peruvian Sol
PHP – Philippine Peso
PLN – Polish Zloty
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
ASX – Australian Stock Exchange
CBT – Chicago Board of Trade
CDX-EM – Emerging Market Credit Default Swap Index
ETF – Exchange Traded Fund
FedFundEffective – Federal Funds Effective Rate
FTSE – Financial Times Stock Exchange
23
GDR – Global Depositary Receipt
JSC – Joint Stock Company
MSCI – Morgan Stanley Capital International
NASDAQ – National Association of Securities Dealers Automated Quotations
PJSC – Public Joint Stock Company
REG – Registered Shares
SOFR – Secured Overnight Financing Rate
COUNTRY BREAKDOWN1
June 30, 2022 (unaudited)
22.0 | % | China | ||
10.0 | % | Taiwan | ||
9.2 | % | South Korea | ||
6.7 | % | India | ||
4.8 | % | Brazil | ||
3.9 | % | Mexico | ||
3.6 | % | Indonesia | ||
2.3 | % | Chile | ||
2.2 | % | South Africa | ||
2.2 | % | Vietnam | ||
2.1 | % | Philippines | ||
1.6 | % | Colombia | ||
1.6 | % | Qatar | ||
26.1 | % | Other | ||
1.7 | % | Short-Term | ||
|
| |||
100.0 | % | Total Investments | ||
|
|
1 | All data are as of June 30, 2022. The Fund’s country breakdown is expressed as a percentage of total investments (excluding security lending collateral) and may vary over time. The Fund also enters into derivative transactions, which may be used for hedging or investment purposes (see “Portfolio of Investments” section of the report for additional details). “Other” country weightings represent 1.4% or less in the following: Angola, Argentina, Azerbaijan, Bahrain, Canada, Dominican Republic, Ecuador, Egypt, El Salvador, Gabon, Ghana, Greece, Guatemala, Hong Kong, Hungary, Israel, Ivory Coast, Jamaica, Japan, Kazakhstan, Kenya, Lebanon, Luxembourg, Macau, Malaysia, Morocco, Nigeria, Oman, Pakistan, Panama, Paraguay, Peru, Poland, Romania, Russia, Saudi Arabia, Senegal, Sri Lanka, Switzerland, Thailand, Trinidad & Tobago, Turkey, Ukraine, United Arab Emirates, United States, Uruguay, Venezuela and Zambia. |
24
AB Emerging Markets Multi-Asset Portfolio
June 30, 2022 (unaudited)
In accordance with U.S. GAAP regarding fair value measurements, fair value is defined as the price that the Fund would receive to sell an asset or pay to transfer a liability in an orderly transaction between market participants at the measurement date. U.S. GAAP establishes a framework for measuring fair value, and a three-level hierarchy for fair value measurements based upon the transparency of inputs to the valuation of an asset or liability (including those valued based on their market values). Inputs may be observable or unobservable and refer broadly to the assumptions that market participants would use in pricing the asset or liability. Observable inputs reflect the assumptions market participants would use in pricing the asset or liability based on market data obtained from sources independent of the Fund. Unobservable inputs reflect the Fund’s own assumptions about the assumptions that market participants would use in pricing the asset or liability based on the best information available in the circumstances. Each investment is assigned a level based upon the observability of the inputs which are significant to the overall valuation. The three-tier hierarchy of inputs is summarized below.
• | Level 1 - quoted prices in active markets for identical investments |
• | Level 2 - other significant observable inputs (including quoted prices for similar investments, interest rates, prepayment speeds, credit risk, etc.) |
• | Level 3 - significant unobservable inputs (including the Fund’s own assumptions in determining the fair value of investments) |
The fair value of debt instruments, such as bonds, and over-the-counter derivatives is generally based on market price quotations, recently executed market transactions (where observable) or industry recognized modeling techniques and are generally classified as Level 2. Pricing vendor inputs to Level 2 valuations may include quoted prices for similar investments in active markets, interest rate curves, coupon rates, currency rates, yield curves, option adjusted spreads, default rates, credit spreads and other unique security features in order to estimate the relevant cash flows which are then discounted to calculate fair values. If these inputs are unobservable and significant to the fair value, these investments will be classified as Level 3.
Where readily available market prices or relevant bid prices are not available for certain equity investments, such investments may be valued based on similar publicly traded investments, movements in relevant indices since last available prices or based upon underlying company fundamentals and comparable company data (such as multiples to earnings or other multiples to equity). Where an investment is valued using an observable input, such as another publicly traded security, the investment will be classified as Level 2. If management determines that an adjustment is appropriate based on restrictions on resale, illiquidity or uncertainty, and such adjustment is a significant component of the valuation, the investment will be classified as Level 3. An investment will also be classified as Level 3 where management uses company fundamentals and other significant inputs to determine the valuation.
Other fixed income investments, including non-U.S. government and corporate debt, are generally valued using quoted market prices, if available, which are typically impacted by current interest rates, maturity dates and any perceived credit risk of the issuer. Additionally, in the absence of quoted market prices, these inputs are used by pricing vendors to derive a valuation based upon industry or proprietary models which incorporate issuer specific data with relevant yield/spread comparisons with more widely quoted bonds with similar key characteristics. Those investments for which there are observable inputs are classified as Level 2. Where the inputs are not observable, the investments are classified as Level 3.
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The following table summarizes the valuation of the Fund’s investments by the above fair value hierarchy levels as of June 30, 2022:
Investments in Securities | Level 1 | Level 2 | Level 3 | Total | ||||||||||||||
Assets: | ||||||||||||||||||
Common Stocks: | ||||||||||||||||||
Financials | $ | 1,751,866 | $ | 18,691,356 | $ | 0 | # | $ | 20,443,222 | |||||||||
Information Technology | 662,801 | 16,406,763 | -0- | 17,069,564 | ||||||||||||||
Consumer Discretionary | 861,385 | 10,953,445 | -0- | 11,814,830 | ||||||||||||||
Materials | 1,503,089 | 5,339,095 | 0 | # | 6,842,184 | |||||||||||||
Industrials | 974,323 | 3,991,064 | 0 | # | 4,965,387 | |||||||||||||
Energy | 523,565 | 2,863,639 | 0 | # | 3,387,204 | |||||||||||||
Communication Services | 184,561 | 3,189,107 | 0 | # | 3,373,668 | |||||||||||||
Utilities | 1,316,379 | 2,052,694 | -0- | 3,369,073 | ||||||||||||||
Consumer Staples | 1,680,063 | 1,289,456 | 0 | # | 2,969,519 | |||||||||||||
Real Estate | -0- | 1,779,575 | 113,499 | 1,893,074 | ||||||||||||||
Health Care | 710,397 | 328,754 | -0- | 1,039,151 | ||||||||||||||
Fixed Income Securities: | ||||||||||||||||||
Sovereign Bonds | -0- | 26,209,718 | -0- | 26,209,718 | ||||||||||||||
Corporate Bonds | -0- | 10,326,659 | 20 | 10,326,679 | ||||||||||||||
Quasi-Sovereign Bonds | -0- | 10,304,530 | -0- | 10,304,530 | ||||||||||||||
Emerging Markets - Treasuries | -0- | 483,289 | -0- | 483,289 | ||||||||||||||
Equity Linked Notes | -0- | 1,746,038 | -0- | 1,746,038 | ||||||||||||||
Investment Companies | -0- | 219,360 | -0- | 219,360 | ||||||||||||||
Short-Term Investments: | ||||||||||||||||||
Investment Companies | 1,587,277 | -0- | -0- | 1,587,277 | ||||||||||||||
Time Deposits | -0- | 651,641 | -0- | 651,641 | ||||||||||||||
Investments of Cash Collateral for Securities Loaned in Affiliated Money Market Fund | 1,064,242 | -0- | -0- | 1,064,242 | ||||||||||||||
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|
|
| |||||||||||
Total Investments in Securities | 12,819,948 | 116,826,183 | + | 113,519 | 129,759,650 | |||||||||||||
Other Financial Instruments*: | ||||||||||||||||||
Assets | ||||||||||||||||||
Futures | 7,516 | 108,225 | -0- | 115,741 | † | |||||||||||||
Forward Currency Exchange Contracts | -0- | 1,518,118 | -0- | 1,518,118 | ||||||||||||||
Centrally Cleared Credit Default Swaps | -0- | 1,212,681 | -0- | 1,212,681 | † | |||||||||||||
Variance Swaps | -0- | 9,437 | -0- | 9,437 | ||||||||||||||
Liabilities | ||||||||||||||||||
Futures | (188,200 | ) | -0- | -0- | (188,200 | )† | ||||||||||||
Forward Currency Exchange Contracts | -0- | (1,641,470 | ) | -0- | (1,641,470 | ) | ||||||||||||
Centrally Cleared Credit Default Swaps | -0- | (77,136 | ) | -0- | (77,136 | )† | ||||||||||||
Centrally Cleared Interest Rate Swaps | -0- | (402,601 | ) | -0- | (402,601 | )† | ||||||||||||
Total Return Swaps | -0- | (248,026 | ) | -0- | (248,026 | ) | ||||||||||||
Variance Swaps | -0- | (37,518 | ) | -0- | (37,518 | ) | ||||||||||||
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|
|
|
| |||||||||||
Total | $ | 12,639,264 | $ | 117,267,893 | $ | 113,519 | $ | 130,020,676 | ||||||||||
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# | The Fund held securities with zero market value at period end. |
* | 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 significant portion of the Fund’s foreign equity investments are categorized as Level 2 investments since they are valued using fair value prices based on third party vendor modeling tools to the extent available, see Note A.1. |
† | Only variation margin receivable/payable at period end is reported within the statement of assets and liabilities. This amount reflects cumulative unrealized appreciation/(depreciation) on futures and centrally cleared swaps as reported in the portfolio of investments. Where applicable, centrally cleared swaps with upfront premiums are presented here at market value. |
A summary of the Fund’s transactions in AB mutual funds for the three months ended June 30, 2022 is as follows:
Fund | Market Value 3/31/22 (000) | Purchases at Cost (000) | Sales Proceeds (000) | Market Value 6/30/22 (000) | Dividend Income (000) | |||||||||||||||||
Government Money Market Portfolio | $ | -0- | $ | 16,147 | $ | 14,560 | $ | 1,587 | $ | 2 | ||||||||||||
Government Money Market Portfolio* | 477 | 2,231 | 1,644 | 1,064 | 1 | |||||||||||||||||
Total | $ | 2,651 | $ | 3 |
* | Investment of cash collateral for securities lending transactions. |
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