UNITED STATES
SECURITIES AND EXCHANGE COMMISSION
WASHINGTON, D.C. 20549
FORM N-CSR
CERTIFIED SHAREHOLDER REPORT OF REGISTERED
MANAGEMENT INVESTMENT COMPANIES
Investment Company Act file number: 811-05398
AB VARIABLE PRODUCTS SERIES FUND, INC.
(Exact name of registrant as specified in charter)
1345 Avenue of the Americas, New York, New York 10105
(Address of principal executive offices) (Zip code)
Joseph J. Mantineo
AllianceBernstein L.P.
1345 Avenue of the Americas
New York, New York 10105
(Name and address of agent for service)
Registrant’s telephone number, including area code: (800) 221-5672
Date of fiscal year end: December 31, 2021
Date of reporting period: December 31, 2021
ITEM 1. REPORTS TO STOCKHOLDERS.
DEC 12.31.21
ANNUAL REPORT
AB VARIABLE PRODUCTS
SERIES FUND, INC.
| + | | BALANCED WEALTH STRATEGY PORTFOLIO |
As of May 1, 2021, as permitted by regulations adopted by the Securities and Exchange Commission, you may not be receiving paper copies of the Portfolio’s shareholder reports from the insurance company that offers your contract unless you specifically requested paper copies from the insurance company or from your financial intermediary. Instead of delivering paper copies of the reports, the insurance company may choose to make the reports available on a website, and will notify you by mail each time a report is posted and provide you with a website link to access the report. Instructions for requesting paper copies will be provided by your insurance company.
You may elect to receive all future reports in paper free of charge from the insurance company. You can inform the insurance company or your financial intermediary that you wish to continue receiving paper copies of your shareholder reports by following the instructions provided by the insurance company or by contacting your financial intermediary. Your election to receive reports in paper will apply to all portfolio companies available under your contract with the insurance company.
Investment Products Offered
| | • | | Are Not Bank Guaranteed |
AllianceBernstein Investments, Inc. (ABI) is the distributor of the AB family of mutual funds. ABI is a member of FINRA and is an affiliate of AllianceBernstein L.P., the Adviser of the funds.
You may obtain a description of the Fund’s proxy voting policies and procedures, and information regarding how the Fund voted proxies relating to portfolio securities during the most recent 12-month period ended June 30, without charge. Simply visit AB’s website at www.abfunds.com or go to the Securities and Exchange Commission’s (the “Commission”) website at www.sec.gov, or call AB at (800) 227 4618.
The Fund files its complete schedule of portfolio holdings with the Commission for the first and third quarters of each fiscal year as an exhibit to its reports on Form N-PORT. The Fund’s Form N-PORT reports are available on the Commission’s website at www.sec.gov. The Fund’s Forms N-PORT may also be reviewed and copied at the Commission’s Public Reference Room in Washington, DC; information on the operation of the Public Reference Room may be obtained by calling (800) SEC 0330.
The [A/B] logo is a registered service mark of AllianceBernstein and AllianceBernstein® is a registered service mark used by permission of the owner, AllianceBernstein L.P.
| | |
| | |
| BALANCED WEALTH STRATEGY | | |
| |
| PORTFOLIO | | AB Variable Products Series Fund |
LETTER TO INVESTORS
February 14, 2022
The following is an update of AB Variable Products Series Fund—Balanced Wealth Strategy Portfolio (the “Portfolio”) for the annual reporting period ended December 31, 2021.
At a meeting held on November 2-4, 2021, the Adviser recommended and the Portfolio’s Board of Directors approved certain changes to the Portfolio, including changing the Portfolio’s name to “AB Balanced Hedged Allocation Portfolio” and changes to the Portfolio’s principal investment strategies. These changes are addressed in a prospectus supplement dated November 5, 2021, and will be effective on or about May 1, 2022.
INVESTMENT OBJECTIVE AND POLICIES
The Portfolio’s investment objective is to maximize total return consistent with the Adviser’s determination of reasonable risk. The Portfolio invests in a portfolio of equity and fixed-income securities that is designed as a solution for investors who seek a moderate tilt toward equity returns but also want the risk diversification offered by fixed-income securities and the broad diversification of their equity risk across styles, capitalization ranges and geographic regions. Under normal circumstances, the Portfolio invests at least 25% of its total assets in equity securities and at least 25% of its total assets in fixed-income securities with a goal of providing moderate upside potential without excessive volatility. The Portfolio also seeks exposure to real assets by investing in real estate-related equity securities (including real estate investment trusts “REITs”), natural resource equity securities and inflation-sensitive equity securities, which are equity securities of companies that the Adviser believes maintain or grow margins in rising inflation environments, including equity securities of utilities and infrastructure-related companies (“inflation-sensitive equities”). The Portfolio pursues a global strategy, typically investing in securities of issuers located in the United States and in other countries throughout the world, including emerging-market countries.
The Adviser expects that the Portfolio will normally invest a greater percentage of its total assets in equity securities than in fixed-income securities, and will generally invest in equity securities both directly and through underlying investment companies advised by the Adviser (“Underlying Portfolios”). A significant portion of the Portfolio’s assets are expected to be invested directly in US large-cap equity securities, primarily common stocks, in accordance with the Adviser’s US Strategic Equities investment strategy (“US Strategic Equities”). Under US Strategic Equities, portfolio managers of the Adviser that specialize in various investment disciplines identify high-conviction large-cap equity securities based on their fundamental investment research for potential investment by the Portfolio. These securities are then assessed in terms of both this fundamental research and quantitative analysis in creating the equity portion of the Portfolio’s portfolio. In applying the quantitative analysis, the Adviser considers a number of metrics that historically have provided some indication of favorable future returns, including metrics related to valuation, quality, investor behavior and corporate behavior.
In addition, the Portfolio seeks to achieve exposure to international large-cap equity securities through investments in other registered investment companies advised by the Adviser, which may include International Strategic Equities Portfolio of Bernstein Fund, Inc. (“Bernstein International Strategic Equities Portfolio”). Bernstein International Strategic Equities Portfolio focuses on investing in non-US large-cap and mid-cap equity securities. Bernstein International Strategic Equities Portfolio follows a strategy similar to US Strategic Equities, but in the international context. The Portfolio also invests in other Underlying Portfolios to efficiently gain exposure to certain other types of equity securities, including small- and mid-cap and emerging-market equity securities. The Adviser selects an Underlying Portfolio based on the segment of the equity market to which the Underlying Portfolio provides exposure, its investment philosophy, and how it complements and diversifies the Portfolio’s overall portfolio.
In selecting fixed-income investments, the Adviser may draw on the capabilities of separate investment teams that specialize in different areas that are generally defined by the maturity of the debt securities and/or their ratings, and which may include subspecialties (such as inflation-indexed securities). These fixed-income teams draw on the resources and expertise of the Adviser’s internal fixed-income research staff, which includes over 50 dedicated fixed-income research analysts and economists. The Portfolio’s fixed-income securities will primarily be investment-grade debt securities, but are expected to include lower-rated securities (“junk bonds”) and preferred stock.
The Portfolio expects to enter into derivative transactions, such as options, futures contracts, forwards and swaps. Derivatives may provide a more efficient and economical exposure to market segments than direct investments, and may also be a more efficient way to alter the Portfolio’s exposure. The Portfolio may, for example, use credit
1
| | |
| |
| | | AB Variable Products Series Fund |
default, interest rate and total return swaps to establish exposure to the fixed-income markets or particular fixed-income securities and, as noted below, may use currency derivatives to hedge foreign currency exposure.
The Adviser may employ currency hedging strategies in the Portfolio or the Underlying Portfolios, including the use of currency-related derivatives, to seek to reduce currency risk in the Portfolio or the Underlying Portfolios, but it is not required to do so. The Adviser will generally employ currency-related hedging strategies more frequently in the fixed-income portion of the Portfolio than in the equity portion.
INVESTMENT RESULTS
The table on page 5 shows the Portfolio’s performance compared to its primary benchmark, the Morgan Stanley Capital International All Country World Index (“MSCI ACWI”) (net), and the Bloomberg Global Aggregate Bond Index (USD hedged), for the one-, five- and 10-year periods ended December 31, 2021.
For the annual period, all share classes of the Portfolio underperformed the primary benchmark but outperformed the Bloomberg Global Aggregate Bond Index (USD hedged). The Portfolio’s more diversified approach, which balances exposures to equities, bonds, commodities and alternative strategies, underperformed the all-equity benchmark. During the period, equities and alternative strategies contributed to absolute performance, while fixed-income assets detracted. Security selection within equities, fixed income and alternative strategies contributed to performance.
During the annual period, the Portfolio utilized derivatives for hedging and investment purposes, including futures, currency forwards, credit default swaps and inflation Consumer Price Index swaps, which added to absolute returns, while interest rate swaps detracted.
MARKET REVIEW AND INVESTMENT STRATEGY
Global equities recorded double-digit returns and emerging markets lost ground during the annual period ended December 31, 2021. Global markets were supported by accommodative monetary policy and strong company earnings growth, while economic turbulence in China, geopolitical risks and inflation pressured emerging markets. Increased market volatility periodically sent risk assets lower, but investors continued to buy the dip. Toward the end of the period, global markets fell as the rapid spread of the coronavirus omicron variant triggered concern that new restrictions could derail the economic recovery. Encouraging developments in COVID-19 treatments and vaccines and a reluctance to reinstate shutdowns helped investors look past the potential impact of the omicron variant. Stock markets gave back gains, however, after the US Federal Reserve (the “Fed”) took a hawkish pivot and confirmed that it would accelerate the wind-down of its bond purchases and raise rates multiple times in 2022. After digesting the Fed’s comments, equity markets rose as investors appeared to adjust to the shift and remained focused on still generally supportive monetary policy.
Fixed-income government bond market yields were higher as numerous central banks became more hawkish, prompting short-term yields to rise more than longer-term yields and causing all major treasury market returns to fall on inflation concerns. Treasury losses were the greatest in the UK, Australia and the eurozone. Inflation bonds significantly outperformed nominal government bonds. Low interest rates set the stage for the continued outperformance of most risk assets, led by the large positive performance of high-yield corporate bonds—particularly in the US, eurozone and emerging markets. Emerging-market investment-grade corporate bonds rose, while developed-market bonds fell on rising yields and outperformed developed-market treasuries with a smaller loss. Securitized assets fell but outperformed US Treasuries. Emerging-market sovereign and local-currency bonds trailed as the US dollar gained against most developed- and emerging-market currencies. Commodity prices were strong, with Brent crude oil and copper climbing from pandemic-related lows.
The Portfolio’s Senior Investment Management Team seeks improved equity risk control by utilizing a blend of US, emerging- and international-market equities as well as diversifiers in the form of real estate, natural resources and pricing power equities. The Portfolio also features a global fixed-income component to benefit from international bond diversification and the low correlation of fixed income and equities. The blended equity and fixed-income exposures, combined with an emphasis on companies with historical and projected stable earnings and higher profitability, offer the potential to achieve higher risk-adjusted returns.
2
| | |
| | |
| BALANCED WEALTH STRATEGY PORTFOLIO |
| |
| DISCLOSURES AND RISKS | | AB Variable Products Series Fund |
Benchmark Disclosure
All indices are unmanaged and do not reflect fees and expenses associated with the active management of a mutual fund portfolio. The MSCI ACWI (net, free float-adjusted, market capitalization weighted) represents the equity market performance of developed and emerging markets. The Bloomberg Global Aggregate Bond Index (USD hedged) represents the performance of the global investment-grade developed fixed-income markets, hedged to the US dollar. MSCI makes no express or implied warranties or representations, and shall have no liability whatsoever with respect to any MSCI data contained herein. The MSCI data may not be further redistributed or used as a basis for other indices, any securities or financial products. This report is not approved, reviewed or produced by MSCI. Net returns reflect the reinvestment of dividends after deduction of non-US withholding tax. An investor cannot invest directly in an index, and its results are not indicative of the performance for any specific investment, including the Portfolio.
A Word About Risk
Market Risk: The value of the Portfolio’s assets will fluctuate as the stock or bond market fluctuates. The value of its investments may decline, sometimes rapidly and unpredictably, simply because of economic changes or other events, including public health crises (including the occurrence of a contagious disease or illness), that affect large portions of the market.
Allocation Risk: The allocation of investments among the different investment styles, such as growth or value, equity or debt securities, or US or non-US securities may have a more significant effect on the Portfolio’s net asset value (“NAV”) when one of these investment strategies is performing more poorly than others.
Foreign (Non-US) Risk: Investments in securities of non-US issuers may involve more risk than those of US issuers. These securities may fluctuate more widely in price and may be more difficult to trade due to adverse market, economic, political, regulatory or other factors.
Emerging-Market Risk: Investments in emerging-market countries may have more risk because the markets are less developed and less liquid, and because these investments may be subject to increased economic, political, regulatory or other uncertainties.
Currency Risk: Fluctuations in currency exchange rates may negatively affect the value of the Portfolio’s investments or reduce the Portfolio’s returns.
Interest-Rate Risk: Changes in interest rates will affect the value of investments in fixed-income securities. When interest rates rise, the value of existing investments in fixed-income securities tends to fall and this decrease in value may not be offset by higher income from new investments. Interest-rate risk is generally greater for fixed-income securities with longer maturities or durations. The current historically low interest rate environment heightens the risks associated with rising interest rates.
Credit Risk: An issuer or guarantor of a fixed-income security, or the counterparty to a derivatives or other contract, may be unable or unwilling to make timely payments of interest or principal, or to otherwise honor its obligations. The issuer or guarantor may default, causing a loss of the full principal amount of a security and accrued interest. The degree of risk for a particular security may be reflected in its credit rating. There is the possibility that the credit rating of a fixed-income security may be downgraded after purchase, which may adversely affect the value of the security.
Below Investment-Grade Security Risk: Investments in fixed-income securities with lower ratings (“junk bonds”) tend to have a higher probability that an issuer will default or fail to meet its payment obligations. These securities may be subject to greater price volatility due to such factors as specific corporate developments, interest-rate sensitivity and negative perceptions of the junk bond market generally, and may be more difficult to trade than other types of securities.
Capitalization Risk: Investments in small- and mid-capitalization companies may be more volatile than investments in large-capitalization companies. Investments in small- and mid-capitalization companies may have additional risks because these companies have limited product lines, markets or financial resources.
Investment in Other Investment Companies Risk: As with other investments, investments in other investment companies are subject to market and selection risk. In addition, Contractholders invested in the Portfolio bear both their proportionate share of expenses in the Portfolio (including management fees) and, indirectly, the expenses of the investment companies in which the Portfolio invests (to the extent these expenses are not waived or reimbursed by the Adviser).
(Disclosures, Risks and Note About Historical Performance continued on next page)
3
| | |
| | | |
| DISCLOSURES AND RISKS | | |
| |
| (continued) | | AB Variable Products Series Fund |
Derivatives Risk: Derivatives may be difficult to price or unwind and leveraged so that small changes may produce disproportionate losses for the Portfolio. Derivatives, especially over-the-counter derivatives, are also subject to counterparty risk, which is the risk that the counterparty (the party on the other side of the transaction) on a derivative transaction will be unable or unwilling to honor its contractual obligations to the Portfolio.
Real Assets Risk: The Portfolio’s investments in securities linked to real assets involve significant risks, including financial, operating, and competitive risks. Investments in securities linked to real assets expose the Portfolio to adverse macroeconomic conditions, such as a rise in interest rates or a downturn in the economy in which the asset is located. Changes in inflation rates or in the market’s inflation expectations may adversely affect the market value of inflation-sensitive equities. The Portfolio’s investments in real estate securities have many of the same risks as direct ownership of real estate, including the risk that the value of real estate could decline due to a variety of factors that affect the real estate market generally. Investments in REITs may have additional risks. REITs are dependent on the capability of their managers, may have limited diversification, and could be significantly affected by changes in tax laws.
Management Risk: The Portfolio is subject to management risk because it is an actively managed investment fund. The Adviser will apply its investment techniques and risk analyses in making investment decisions for the Portfolio, but there is no guarantee that its techniques will produce the intended results. Some of these techniques may incorporate, or rely upon, quantitative models, but there is no guarantee that these models will generate accurate forecasts, reduce risk or otherwise perform as expected.
These risks are fully discussed in the Variable Products prospectus. As with all investments, you may lose money by investing in the Portfolio.
An Important Note About Historical Performance
The investment return and principal value of an investment in the Portfolio will fluctuate, so that shares, when redeemed, may be worth more or less than their original cost. Performance shown in this report represents past performance and does not guarantee future results. Current performance may be lower or higher than the performance information shown. Please contact your financial advisor or insurance agent representative at your financial institution to obtain portfolio performance information current to the most recent month-end.
Effective May 1, 2018, the Portfolio amended its principal strategies by eliminating the static targets for allocation of investments among asset classes, changing the securities selection strategies used for the equity portion of the Portfolio, and broadening the types of real asset securities in which the Portfolio invests. The performance shown in the report for periods prior to May 1, 2018, is based on the Portfolio’s prior principal strategies and may not be representative of the Portfolio’s performance under its current principal strategies.
Investors should consider the investment objectives, risks, charges and expenses of the Portfolio carefully before investing. For additional copies of the Portfolio’s prospectus or summary prospectus, which contains this and other information, call your financial advisor or (800) 227 4618. Please read the prospectus and/or summary prospectus carefully before investing.
All fees and expenses related to the operation of the Portfolio have been deducted, but no adjustment has been made for insurance company separate account or annuity contract charges, which would reduce total return to a contract owner. Performance assumes reinvestment of distributions and does not account for taxes.
There are additional fees and expenses associated with all Variable Products. These fees can include mortality and expense risk charges, administrative charges, and other charges that can significantly reduce investment returns. Those fees and expenses are not reflected in this annual report. You should consult your Variable Products prospectus for a description of those fees and expenses and speak to your insurance agent or financial representative if you have any questions. You should read the prospectus before investing or sending money.
4
| | |
| | | |
| BALANCED WEALTH STRATEGY PORTFOLIO |
| |
| HISTORICAL PERFORMANCE | | AB Variable Products Series Fund |
| | | | | | | | | | | | |
| | | | | | | | | | | | |
| THE PORTFOLIO VS. ITS BENCHMARKS | | Net Asset Value Returns | |
| PERIODS ENDED DECEMBER 31, 2021 (unaudited) | | 1 Year | | | 5 Years1 | | | 10 Years1 | |
| | | |
| Balanced Wealth Strategy Portfolio Class A | | | 13.73% | | | | 9.90% | | | | 9.26% | |
| | | |
| Balanced Wealth Strategy Portfolio Class B | | | 13.36% | | | | 9.64% | | | | 9.00% | |
| | | |
| Primary Benchmark: MSCI ACWI (net) | | | 18.54% | | | | 14.40% | | | | 11.85% | |
| | | |
| Bloomberg Global Aggregate Bond Index (USD hedged) | | | -1.39% | | | | 3.39% | | | | 3.49% | |
1 Average annual returns. | | | | | | | | | | | | |
| | | | | | | | | | | | |
The Portfolio’s current prospectus fee table shows the Portfolio’s total annual operating expense ratios as 0.99% and 1.24% for Class A and Class B shares, respectively, gross of any fee waivers or expense reimbursements. Contractual fee waivers and/or expense reimbursements limit the Portfolio’s annual operating expense ratios (excluding expenses associated with acquired fund fees and expenses other than the advisory fees of any AB mutual funds in which the Portfolio may invest, interest expense, taxes, extraordinary expenses, and brokerage commissions and other transaction costs) to 0.75% and 1.00% for Class A and Class B shares, respectively. These waivers/reimbursements may not be terminated before May 1, 2022, and may be extended by the Adviser for additional one-year terms. The Financial Highlights section of this report sets forth expense ratio data for the current reporting period; the expense ratios shown above may differ from the expense ratios in the Financial Highlights section since they are based on different time periods.
GROWTH OF A $10,000 INVESTMENT
12/31/2011 TO 12/31/2021 (unaudited)
This chart illustrates the total value of an assumed $10,000 investment in Balanced Wealth Strategy Portfolio Class A shares (from 12/31/2011 to 12/31/2021) as compared to the performance of the Portfolio’s benchmarks. The chart assumes the reinvestment of dividends and capital gains distributions.
See Disclosures, Risks and Note About Historical Performance on pages 3-4.
5
| | |
| | |
| BALANCED WEALTH STRATEGY PORTFOLIO |
| |
| EXPENSE EXAMPLE (unaudited) | | AB Variable Products Series Fund |
As a shareholder of the Portfolio, you incur two types of costs: (1) transaction costs, including sales charges (loads) on purchase payments, contingent deferred sales charges on redemptions and (2) ongoing costs, including management fees; distribution (12b-1) fees; and other Portfolio expenses. This example is intended to help you understand your ongoing costs (in dollars) of investing in the Portfolio and to compare these costs with the ongoing costs of investing in other mutual funds.
The Example is based on an investment of $1,000 invested at the beginning of the period and held for the entire period as indicated below.
Actual Expenses
The table below provides information about actual account values and actual expenses. You may use the information in this line, together with the amount you invested, to estimate the expenses that you paid over the period. Simply divide your account value by $1,000 (for example, an $8,600 account value divided by $1,000 = 8.6), then multiply the result by the number in the first line under the heading entitled “Expenses Paid During Period” to estimate the expenses you paid on your account during this period. The estimate of expenses does not include fees or other expenses of any variable insurance product. If such expenses were included, the estimate of expenses you paid during the period would be higher and your ending account value would be lower.
Hypothetical Example for Comparison Purposes
The table below provides information about hypothetical account values and hypothetical expenses based on the Portfolio’s actual expense ratio and an assumed annual rate of return of 5% before expenses, which is not the Portfolio’s actual return. The hypothetical account values and expenses may not be used to estimate the actual ending account balance or expenses you paid for the period. You may use this information to compare the ongoing costs of investing in the Portfolio and other funds by comparing this 5% hypothetical example with the 5% hypothetical examples that appear in the shareholder reports of other funds. The estimate of expenses does not include fees or other expenses of any variable insurance product. If such expenses were included, the estimate of expenses you paid during the period would be higher and your ending account value would be lower.
Please note that the expenses shown in the table are meant to highlight your ongoing costs only and do not reflect any transactional costs, such as sales charges (loads), or contingent deferred sales charges on redemptions. Therefore, the second line of each class’ table is useful in comparing ongoing costs only, and will not help you determine the relative total costs of owning different funds. In addition, if these transactional costs were included, your costs would have been higher.
| | | | | | | | | | | | | | | | | | | | | | | | |
| | | Beginning
Account Value
July 1, 2021 | | | Ending
Account Value
December 31, 2021 | | | Expenses Paid
During Period* | | | Annualized
Expense Ratio* | | | Total
Expenses Paid
During Period+ | | | Total
Annualized
Expense Ratio+ | |
Class A | | | | | | | | | | | | | | | | | | | | | | | | |
Actual | | $ | 1,000 | | | $ | 1,042.00 | | | $ | 2.93 | | | | 0.57 | % | | $ | 3.96 | | | | 0.77 | % |
Hypothetical (5% annual return before expenses) | | $ | 1,000 | | | $ | 1,022.33 | | | $ | 2.91 | | | | 0.57 | % | | $ | 3.92 | | | | 0.77 | % |
| | | | | | | | | | | | | | | | | | | | | | | | |
Class B | | | | | | | | | | | | | | | | | | | | | | | | |
Actual | | $ | 1,000 | | | $ | 1,041.20 | | | $ | 4.22 | | | | 0.82 | % | | $ | 5.25 | | | | 1.02 | % |
Hypothetical (5% annual return before expenses) | | $ | 1,000 | | | $ | 1,021.07 | | | $ | 4.18 | | | | 0.82 | % | | $ | 5.19 | | | | 1.02 | % |
| * | | Expenses are equal to each classes’ annualized expense ratios, multiplied by the average account value over the period, multiplied by 184/365 (to reflect the one-half year period). |
| + | | In connection with the Portfolio’s investments in affiliated/unaffiliated underlying portfolios, the Portfolio incurs no direct expenses, but bears proportionate shares of the fees and expenses (i.e., operating, administrative and investment advisory fees) of the affiliated/unaffiliated underlying portfolios. The Adviser has contractually agreed to waive its fees from the Portfolio in an amount equal to the Portfolio’s pro rata share of certain acquired fund fees and expenses of the affiliated underlying portfolios. The Portfolio’s total expenses are equal to the classes’ annualized expense ratio plus the Portfolio’s pro rata share of the weighted average expense ratio of the affiliated/unaffiliated underlying portfolios in which it invests, multiplied by the average account value over the period, multiplied by 184/365 (to reflect the one-half year period). |
6
| | |
| BALANCED WEALTH STRATEGY PORTFOLIO |
| TEN LARGEST HOLDINGS1 | | |
| |
| December 31, 2021 (unaudited) | | AB Variable Products Series Fund |
| | | | | | | | |
| SECURITY | | U.S. $ VALUE | | | PERCENT OF NET ASSETS | |
Bernstein Fund, Inc.—International Strategic Equities Portfolio—Class Z | | $ | 42,837,967 | | | | 17.4 | % |
U.S. Treasury Bonds & Notes | | | 9,747,216 | | | | 4.0 | |
Bernstein Fund, Inc.—International Small Cap Portfolio—Class Z | | | 8,146,230 | | | | 3.3 | |
Microsoft Corp. | | | 5,974,725 | | | | 2.4 | |
Alphabet, Inc.—Class C | | | 4,022,090 | | | | 1.6 | |
Italy Buoni Poliennali Del Tesoro | | | 3,842,374 | | | | 1.6 | |
Sanford C. Bernstein Fund, Inc.—Emerging Markets Portfolio—Class Z | | | 3,783,981 | | | | 1.5 | |
Apple, Inc. | | | 3,717,428 | | | | 1.5 | |
Bernstein Fund, Inc.—Small Cap Core Portfolio—Class Z | | | 3,266,945 | | | | 1.3 | |
AB Trust—AB Discovery Value Fund—Class Z | | | 3,245,615 | | | | 1.3 | |
| | | | | | | | | |
| | | $ | 88,584,571 | | | | 35.9 | % |
SECURITY TYPE BREAKDOWN2
December 31, 2021 (unaudited)
| | | | | | | | |
| SECURITY TYPE | | U.S. $ VALUE | | | PERCENT OF TOTAL INVESTMENTS | |
Common Stocks | | $ | 96,574,664 | | | | 39.2 | % |
Investment Companies | | | 64,455,143 | | | | 26.1 | |
Governments—Treasuries | | | 38,414,053 | | | | 15.6 | |
Corporates—Investment Grade | | | 15,542,502 | | | | 6.3 | |
Corporates—Non-Investment Grade | | | 6,003,605 | | | | 2.4 | |
Collateralized Mortgage Obligations | | | 4,282,083 | | | | 1.7 | |
Mortgage Pass-Throughs | | | 3,249,693 | | | | 1.3 | |
Quasi-Sovereigns | | | 3,177,369 | | | | 1.3 | |
Collateralized Loan Obligations | | | 2,066,967 | | | | 0.8 | |
Commercial Mortgage-Backed Securities | | | 1,815,345 | | | | 0.7 | |
Inflation-Linked Securities | | | 1,732,273 | | | | 0.7 | |
Governments—Sovereign Bonds | | | 1,095,389 | | | | 0.5 | |
Emerging Markets—Corporate Bonds | | | 911,464 | | | | 0.4 | |
Other3 | | | 1,893,609 | | | | 0.8 | |
Short-Term Investments | | | 5,382,381 | | | | 2.2 | |
| | | | | | | | | |
Total Investments | | $ | 246,596,540 | | | | 100.0 | % |
| 1 | | Long-term investments. Table shown includes investments of Underlying Portfolios. |
| 2 | | The Portfolio’s security type breakdown is expressed as a percentage of total investments (excluding security lending collateral) and may vary over time. The Portfolio 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). Table shown includes investments of Underlying Portfolios. |
| 3 | | “Other” represents less than 0.3% weightings in the following security types: Asset-Backed Securities, Covered Bonds, Emerging Markets—Sovereigns, Governments—Sovereign Agencies and Local Governments—Regional Bonds. |
7
| | |
| BALANCED WEALTH STRATEGY PORTFOLIO |
| COUNTRY BREAKDOWN1 | | |
| |
| December 31, 2021 (unaudited) | | AB Variable Products Series Fund |
| | | | | | | | |
| COUNTRY | | U.S. $ VALUE | | | PERCENT OF TOTAL INVESTMENTS | |
United States | | $ | 179,947,433 | | | | 73.0 | % |
Japan | | | 10,477,151 | | | | 4.2 | |
United Kingdom | | | 6,989,991 | | | | 2.8 | |
China | | | 6,977,269 | | | | 2.8 | |
Italy | | | 5,242,766 | | | | 2.1 | |
Germany | | | 5,151,381 | | | | 2.1 | |
Australia | | | 4,823,754 | | | | 2.0 | |
Spain | | | 3,019,691 | | | | 1.2 | |
Canada | | | 2,507,335 | | | | 1.0 | |
Switzerland | | | 1,764,563 | | | | 0.7 | |
France | | | 1,389,461 | | | | 0.6 | |
Netherlands | | | 1,370,847 | | | | 0.6 | |
South Korea | | | 974,371 | | | | 0.4 | |
Other | | | 10,578,146 | | | | 4.3 | |
Short-Term Investments | | | 5,382,381 | | | | 2.2 | |
| | | | | | | | | |
Total Investments | | $ | 246,596,540 | | | | 100.0 | % |
| 1 | | All data are as of December 31, 2021. The Portfolio’s country breakdown is expressed as a percentage of total investments (excluding security lending collateral) and may vary over time. Table shown includes investments of Underlying Portfolios. “Other” country weightings represent 0.4% or less in the following: Austria, Bahrain, Belgium, Brazil, Chile, Colombia, Denmark, Egypt, Finland, Hong Kong, Indonesia, Ireland, Israel, Ivory Coast, Luxembourg, Malaysia, Mexico, New Zealand, Norway, Panama, Peru, Portugal, Russia, Senegal, Singapore, South Africa, Sweden, Thailand, United Republic of Tanzania and Zambia. |
8
| | |
| BALANCED WEALTH STRATEGY PORTFOLIO | | |
| PORTFOLIO OF INVESTMENTS | | |
| |
| December 31, 2021 | | AB Variable Products Series Fund |
| | | | | | | | |
Company | | Shares | | | U.S. $ Value | |
| | | | | | | | |
COMMON STOCKS–39.3% | |
| | | | | | | | |
INFORMATION TECHNOLOGY–9.2% | | | | | | | | |
ELECTRONIC EQUIPMENT, INSTRUMENTS & COMPONENTS–0.3% | | | | | | | | |
Arrow Electronics, Inc.(a) | | | 553 | | | $ | 74,251 | |
CDW Corp./DE | | | 2,933 | | | | 600,620 | |
| | | | | | | | |
| | | | | | | 674,871 | |
| | | | | | | | |
IT SERVICES–1.5% | | | | | | | | |
Accenture PLC–Class A | | | 153 | | | | 63,426 | |
EPAM Systems, Inc.(a) | | | 90 | | | | 60,160 | |
FleetCor Technologies, Inc.(a) | | | 1,603 | | | | 358,816 | |
Gartner, Inc.(a) | | | 190 | | | | 63,521 | |
Genpact Ltd. | | | 12,365 | | | | 656,334 | |
International Business Machines Corp. | | | 137 | | | | 18,311 | |
Kyndryl Holdings, Inc.(a) | | | 27 | | | | 489 | |
Mastercard, Inc.–Class A | | | 103 | | | | 37,010 | |
PayPal Holdings, Inc.(a) | | | 3,400 | | | | 641,172 | |
Visa, Inc.–Class A(b) | | | 8,853 | | | | 1,918,534 | |
Western Union Co., (The)–Class W | | | 1,724 | | | | 30,756 | |
| | | | | | | | |
| | | | | | | 3,848,529 | |
| | | | | | | | |
SEMICONDUCTORS & SEMICONDUCTOR EQUIPMENT–1.9% | | | | | | | | |
Advanced Micro Devices, Inc.(a) | | | 401 | | | | 57,704 | |
Analog Devices, Inc. | | | 2,122 | | | | 372,984 | |
Applied Materials, Inc. | | | 565 | | | | 88,908 | |
ASML Holding NV | | | 135 | | | | 108,138 | |
Broadcom, Inc. | | | 79 | | | | 52,567 | |
KLA Corp. | | | 1,242 | | | | 534,196 | |
NVIDIA Corp. | | | 4,635 | | | | 1,363,200 | |
NXP Semiconductors NV | | | 3,788 | | | | 862,831 | |
QUALCOMM, Inc. | | | 6,065 | | | | 1,109,107 | |
STMicroelectronics NV | | | 815 | | | | 40,078 | |
Teradyne, Inc. | | | 132 | | | | 21,586 | |
| | | | | | | | |
| | | | | | | 4,611,299 | |
| | | | | | | | |
SOFTWARE–3.7% | |
Adobe, Inc.(a) | | | 1,671 | | | | 947,557 | |
Autodesk, Inc.(a) | | | 15 | | | | 4,218 | |
Bentley Systems, Inc.(b) | | | 133 | | | | 6,428 | |
Cadence Design Systems, Inc.(a) | | | 217 | | | | 40,438 | |
Citrix Systems, Inc. | | | 4,715 | | | | 445,992 | |
Constellation Software, Inc./Canada | | | 25 | | | | 46,384 | |
Dropbox, Inc.–Class A(a) | | | 1,282 | | | | 31,460 | |
Fair Isaac Corp.(a) | | | 45 | | | | 19,515 | |
Fortinet, Inc.(a) | | | 121 | | | | 43,487 | |
Intuit, Inc. | | | 66 | | | | 42,453 | |
Microsoft Corp. | | | 17,765 | | | | 5,974,725 | |
NortonLifeLock, Inc. | | | 29,644 | | | | 770,151 | |
Oracle Corp. | | | 7,177 | | | | 625,906 | |
| | | | | | | | |
RingCentral, Inc.–Class A(a) | | | 75 | | | | 14,051 | |
ServiceNow, Inc.(a) | | | 91 | | | | 59,069 | |
Trend Micro, Inc./Japan | | | 600 | | | | 33,310 | |
| | | | | | | | |
| | | | | | | 9,105,144 | |
| | | | | | | | |
TECHNOLOGY HARDWARE, STORAGE &
PERIPHERALS–1.8% | | | | | | | | |
Apple, Inc. | | | 20,935 | | | | 3,717,428 | |
NetApp, Inc. | | | 183 | | | | 16,834 | |
Western Digital Corp.(a) | | | 9,794 | | | | 638,667 | |
| | | | | | | | |
| | | | | | | 4,372,929 | |
| | | | | | | | |
| | | | | | | 22,612,772 | |
| | | | | | | | |
HEALTH CARE–4.5% | | | | | | | | |
BIOTECHNOLOGY–0.5% | | | | | | | | |
AbbVie, Inc. | | | 626 | | | | 84,760 | |
Amgen, Inc. | | | 68 | | | | 15,298 | |
Horizon Therapeutics PLC(a) | | | 77 | | | | 8,298 | |
Moderna, Inc.(a) | | | 9 | | | | 2,286 | |
Regeneron Pharmaceuticals, Inc.(a) | | | 722 | | | | 455,957 | |
Vertex Pharmaceuticals, Inc.(a) | | | 3,303 | | | | 725,339 | |
| | | | | | | | |
| | | | | | | 1,291,938 | |
| | | | | | | | |
HEALTH CARE EQUIPMENT & SUPPLIES–1.2% | | | | | | | | |
ABIOMED, Inc.(a) | | | 30 | | | | 10,775 | |
Align Technology, Inc.(a) | | | 850 | | | | 558,603 | |
Cooper Cos., Inc. (The) | | | 119 | | | | 49,854 | |
Edwards Lifesciences Corp.(a) | | | 5,282 | | | | 684,283 | |
IDEXX Laboratories, Inc.(a) | | | 117 | | | | 77,040 | |
Medtronic PLC | | | 10,034 | | | | 1,038,017 | |
Zimmer Biomet Holdings, Inc. | | | 4,325 | | | | 549,448 | |
| | | | | | | | |
| | | | | | | 2,968,020 | |
| | | | | | | | |
HEALTH CARE PROVIDERS & SERVICES–1.4% | | | | | | | | |
AmerisourceBergen Corp.–Class A | | | 352 | | | | 46,777 | |
Anthem, Inc. | | | 2,043 | | | | 947,012 | |
Molina Healthcare, Inc.(a) | | | 254 | | | | 80,793 | |
UnitedHealth Group, Inc. | | | 4,752 | | | | 2,386,169 | |
| | | | | | | | |
| | | | | | | 3,460,751 | |
| | | | | | | | |
HEALTH CARE TECHNOLOGY–0.1% | | | | | | | | |
Cerner Corp. | | | 993 | | | | 92,220 | |
| | | | | | | | |
LIFE SCIENCES TOOLS & SERVICES–0.1% | | | | | | | | |
Bio-Rad Laboratories, Inc.–Class A(a) | | | 92 | | | | 69,513 | |
Eurofins Scientific SE | | | 22 | | | | 2,726 | |
9
| | |
| BALANCED WEALTH STRATEGY PORTFOLIO | | |
| PORTFOLIO OF INVESTMENTS | | |
| |
| (continued) | | AB Variable Products Series Fund |
| | | | | | | | |
Company | | Shares | | | U.S. $ Value | |
| | | | | | | | |
Mettler-Toledo International, Inc.(a) | | | 49 | | | $ | 83,163 | |
Sartorius Stedim Biotech | | | 89 | | | | 48,879 | |
Waters Corp.(a) | | | 194 | | | | 72,284 | |
| | | | | | | | |
| | | | | | | 276,565 | |
| | | | | | | | |
PHARMACEUTICALS–1.2% | |
Eli Lilly & Co. | | | 362 | | | | 99,992 | |
Johnson & Johnson | | | 2,844 | | | | 486,523 | |
Novo Nordisk A/S–Class B | | | 879 | | | | 98,734 | |
Pfizer, Inc. | | | 1,709 | | | | 100,916 | |
Roche Holding AG (Sponsored ADR) | | | 22,940 | | | | 1,185,769 | |
Sumitomo Dainippon Pharma Co., Ltd.(b) | | | 200 | | | | 2,307 | |
Takeda Pharmaceutical Co., Ltd. | | | 1,400 | | | | 38,232 | |
Zoetis, Inc. | | | 3,689 | | | | 900,227 | |
| | | | | | | | |
| | | | | | | 2,912,700 | |
| | | | | | | | |
| | | | | | | 11,002,194 | |
| | | | | | | | |
CONSUMER DISCRETIONARY–4.2% | | | | | | | | |
AUTO COMPONENTS–0.2% | | | | | | | | |
Aisin Corp. | | | 1,500 | | | | 57,551 | |
BorgWarner, Inc. | | | 291 | | | | 13,115 | |
Goodyear Tire & Rubber Co. (The)(a) | | | 22,321 | | | | 475,884 | |
Lear Corp. | | | 25 | | | | 4,574 | |
Magna International, Inc.–Class A (Canada) | | | 199 | | | | 16,102 | |
| | | | | | | | |
| | | | | | | 567,226 | |
| | | | | | | | |
AUTOMOBILES–0.3% | | | | | | | | |
Ford Motor Co. | | | 795 | | | | 16,512 | |
Nissan Motor Co., Ltd.(a) | | | 6,300 | | | | 30,344 | |
Stellantis NV(b) | | | 31,951 | | | | 599,401 | |
Tesla, Inc.(a) | | | 56 | | | | 59,180 | |
| | | | | | | | |
| | | | | | | 705,437 | |
| | | | | | | | |
DIVERSIFIED CONSUMER SERVICES–0.1% | | | | | | | | |
Chegg, Inc.(a) | | | 5,340 | | | | 163,938 | |
| | | | | | | | |
HOTELS, RESTAURANTS &
LEISURE–0.1% | | | | | | | | |
Chipotle Mexican Grill, Inc.–Class A(a) | | | 35 | | | | 61,189 | |
Darden Restaurants, Inc. | | | 16 | | | | 2,410 | |
Domino’s Pizza Enterprises Ltd.(b) | | | 708 | | | | 60,769 | |
Domino’s Pizza, Inc. | | | 18 | | | | 10,158 | |
La Francaise des Jeux SAEM(c) | | | 114 | | | | 5,052 | |
| | | | | | | | |
| | | | | | | 139,578 | |
| | | | | | | | |
HOUSEHOLD
DURABLES–0.0% | | | | | | | | |
Electrolux AB(b) | | | 2,380 | | | | 57,643 | |
Whirlpool Corp.(b) | | | 57 | | | | 13,375 | |
| | | | | | | | |
| | | | | | | 71,018 | |
| | | | | | | | |
| | | | | | | | |
INTERNET & DIRECT MARKETING RETAIL–1.5% | | | | | | | | |
Amazon.com, Inc.(a) | | | 821 | | | | 2,737,493 | |
eBay, Inc. | | | 8,501 | | | | 565,317 | |
Etsy, Inc.(a)(b) | | | 1,342 | | | | 293,817 | |
| | | | | | | | |
| | | | | | | 3,596,627 | |
| | | | | | | | |
MULTILINE RETAIL–0.0% | | | | | | | | |
Next PLC | | | 413 | | | | 45,679 | |
Target Corp. | | | 70 | | | | 16,201 | |
| | | | | | | | |
| | | | | | | 61,880 | |
| | | | | | | | |
SPECIALTY RETAIL–1.4% | |
AutoZone, Inc.(a) | | | 428 | | | | 897,255 | |
Best Buy Co., Inc. | | | 169 | | | | 17,171 | |
Home Depot, Inc. (The) | | | 4,799 | | | | 1,991,633 | |
Lowe’s Cos., Inc. | | | 15 | | | | 3,877 | |
TJX Cos., Inc. (The) | | | 6,272 | | | | 476,170 | |
| | | | | | | | |
| | | | | | | 3,386,106 | |
| | | | | | | | |
TEXTILES, APPAREL & LUXURY GOODS–0.6% | | | | | | | | |
Deckers Outdoor Corp.(a) | | | 931 | | | | 341,034 | |
Lululemon Athletica, Inc.(a) | | | 7 | | | | 2,740 | |
NIKE, Inc.–Class B | | | 6,931 | | | | 1,155,190 | |
Pandora A/S | | | 516 | | | | 64,186 | |
| | | | | | | | |
| | | | | | | 1,563,150 | |
| | | | | | | | |
| | | | | | | 10,254,960 | |
| | | | | | | | |
REAL ESTATE–4.0% | | | | | | | | |
DIVERSIFIED REAL ESTATE
ACTIVITIES–0.2% | | | | | | | | |
Daito Trust Construction Co., Ltd. | | | 300 | | | | 34,416 | |
Mitsubishi Estate Co., Ltd. | | | 3,800 | | | | 52,715 | |
Mitsui Fudosan Co., Ltd. | | | 8,500 | | | | 168,476 | |
New World Development Co., Ltd. | | | 10,000 | | | | 39,593 | |
Sumitomo Realty & Development Co., Ltd. | | | 1,100 | | | | 32,429 | |
Sun Hung Kai Properties Ltd. | | | 10,500 | | | | 127,410 | |
UOL Group Ltd. | | | 7,000 | | | | 36,847 | |
| | | | | | | | |
| | | | | | | 491,886 | |
| | | | | | | | |
DIVERSIFIED REITs–0.2% | | | | | | | | |
Alexander & Baldwin, Inc. | | | 1,930 | | | | 48,424 | |
Armada Hoffler Properties, Inc. | | | 2,940 | | | | 44,747 | |
Broadstone Net Lease, Inc. | | | 1,230 | | | | 30,529 | |
Charter Hall Long Wale REIT | | | 9,930 | | | | 36,493 | |
Cofinimmo SA | | | 240 | | | | 38,333 | |
Essential Properties Realty Trust, Inc. | | | 3,194 | | | | 92,083 | |
ICADE | | | 450 | | | | 32,378 | |
Land Securities Group PLC(b) | | | 5,880 | | | | 62,057 | |
10
| | |
| |
| | | AB Variable Products Series Fund |
| | | | | | | | |
Company | | Shares | | | U.S. $ Value | |
| | | | | | | | |
Merlin Properties Socimi SA | | | 6,660 | | | $ | 72,157 | |
Stockland | | | 30,910 | | | | 95,358 | |
| | | | | | | | |
| | | | | | | 552,559 | |
| | | | | | | | |
EQUITY REAL ESTATE INVESTMENT TRUSTS (REITs)–1.3% | | | | | | | | |
American Campus Communities, Inc. | | | 8,727 | | | | 499,970 | |
American Tower Corp. | | | 1,792 | | | | 524,160 | |
Iron Mountain, Inc. | | | 923 | | | | 48,300 | |
Mid-America Apartment Communities, Inc. | | | 2,189 | | | | 502,244 | |
Prologis, Inc. | | | 7,496 | | | | 1,262,027 | |
Simon Property Group, Inc. | | | 1,875 | | | | 299,569 | |
VICI Properties, Inc.(b) | | | 1,183 | | | | 35,620 | |
Weyerhaeuser Co. | | | 1,441 | | | | 59,340 | |
| | | | | | | | |
| | | | | | | 3,231,230 | |
| | | | | | | | |
HEALTH CARE REITs–0.2% | |
Medical Properties Trust, Inc. | | | 4,930 | | | | 116,496 | |
Physicians Realty Trust | | | 4,823 | | | | 90,817 | |
Welltower, Inc. | | | 2,490 | | | | 213,567 | |
| | | | | | | | |
| | | | | | | 420,880 | |
| | | | | | | | |
HOTEL & RESORT REITs–0.1% | | | | | | | | |
Apple Hospitality REIT, Inc. | | | 5,150 | | | | 83,172 | |
Park Hotels & Resorts, Inc.(a) | | | 4,550 | | | | 85,904 | |
RLJ Lodging Trust | | | 5,776 | | | | 80,460 | |
| | | | | | | | |
| | | | | | | 249,536 | |
| | | | | | | | |
INDUSTRIAL REITs–0.4% | | | | | | | | |
Americold Realty Trust | | | 3,357 | | | | 110,076 | |
Ascendas Real Estate Investment Trust | | | 20,200 | | | | 44,258 | |
Centuria Industrial REIT | | | 6,490 | | | | 19,787 | |
Dream Industrial Real Estate Investment Trust | | | 5,205 | | | | 70,857 | |
Duke Realty Corp. | | | 2,150 | | | | 141,126 | |
GLP J-REIT | | | 28 | | | | 48,398 | |
Industrial & Infrastructure Fund Investment Corp. | | | 21 | | | | 40,491 | |
LondonMetric Property PLC | | | 10,920 | | | | 41,967 | |
Mapletree Logistics Trust(b) | | | 27,895 | | | | 39,341 | |
Mitsui Fudosan Logistics Park, Inc. | | | 7 | | | | 39,251 | |
Plymouth Industrial REIT, Inc. | | | 712 | | | | 22,784 | |
Rexford Industrial Realty, Inc. | | | 1,671 | | | | 135,535 | |
Segro PLC | | | 6,356 | | | | 123,699 | |
STAG Industrial, Inc. | | | 2,449 | | | | 117,454 | |
| | | | | | | | |
| | | | | | | 995,024 | |
| | | | | | | | |
OFFICE REITs–0.2% | | | | | | | | |
Alexandria Real Estate Equities, Inc. | | | 797 | | | | 177,699 | |
City Office REIT, Inc. | | | 3,960 | | | | 78,091 | |
Cousins Properties, Inc. | | | 2,742 | | | | 110,448 | |
| | | | | | | | |
Covivio | | | 370 | | | | 30,371 | |
Daiwa Office Investment Corp. | | | 5 | | | | 30,416 | |
Japan Prime Realty Investment Corp.(b) | | | 9 | | | | 31,212 | |
Nippon Building Fund, Inc.(b) | | | 14 | | | | 81,545 | |
True North Commercial Real Estate Investment Trust | | | 2,430 | | | | 14,235 | |
Workspace Group PLC | | | 3,040 | | | | 33,268 | |
| | | | | | | | |
| | | | | | | 587,285 | |
| | | | | | | | |
REAL ESTATE
DEVELOPMENT–0.0% | | | | | | | | |
CIFI Holdings Group Co., Ltd. | | | 31,500 | | | | 18,946 | |
Instone Real Estate Group SE(c) | | | 1,525 | | | | 28,740 | |
| | | | | | | | |
| | | | | | | 47,686 | |
| | | | | | | | |
REAL ESTATE MANAGEMENT & DEVELOPMENT–0.0% | | | | | | | | |
FirstService Corp. | | | 92 | | | | 18,081 | |
Nomura Real Estate Holdings, Inc. | | | 1,900 | | | | 43,780 | |
| | | | | | | | |
| | | | | | | 61,861 | |
| | | | | | | | |
REAL ESTATE OPERATING COMPANIES–0.3% | | | | | | | | |
Aroundtown SA | | | 11,720 | | | | 70,699 | |
CA Immobilien Anlagen AG | | | 1,218 | | | | 45,451 | |
Castellum AB | | | 1,880 | | | | 50,554 | |
CTP NV(c) | | | 1,873 | | | | 39,876 | |
Fastighets AB Balder–Class B(a) | | | 1,140 | | | | 82,039 | |
Hongkong Land Holdings Ltd. | | | 8,800 | | | | 45,757 | |
Hulic Co., Ltd.(b) | | | 3,200 | | | | 30,431 | |
LEG Immobilien SE | | | 660 | | | | 92,019 | |
Shurgard Self Storage SA | | | 570 | | | | 37,314 | |
TAG Immobilien AG | | | 1,870 | | | | 52,233 | |
VGP NV | | | 150 | | | | 43,775 | |
Vonovia SE | | | 868 | | | | 47,829 | |
| | | | | | | | |
| | | | | | | 637,977 | |
| | | | | | | | |
RESIDENTIAL REITs–0.4% | | | | | | | | |
American Homes 4 Rent–Class A | | | 2,533 | | | | 110,464 | |
Comforia Residential REIT, Inc. | | | 11 | | | | 32,657 | |
Daiwa Securities Living Investments Corp. | | | 37 | | | | 38,098 | |
Equity Residential | | | 230 | | | | 20,815 | |
Essex Property Trust, Inc. | | | 472 | | | | 166,253 | |
Independence Realty Trust, Inc. | | | 4,317 | | | | 111,508 | |
Invitation Homes, Inc. | | | 2,710 | | | | 122,871 | |
Killam Apartment Real Estate Investment Trust | | | 4,871 | | | | 90,839 | |
11
| | |
| BALANCED WEALTH STRATEGY PORTFOLIO | | |
| PORTFOLIO OF INVESTMENTS | | |
| |
| (continued) | | AB Variable Products Series Fund |
| | | | | | | | |
Company | | Shares | | | U.S. $ Value | |
| | | | | | | | |
Minto Apartment Real Estate Investment Trust(c) | | | 1,890 | | | $ | 32,706 | |
Sun Communities, Inc. | | | 903 | | | | 189,603 | |
UDR, Inc. | | | 2,120 | | | | 127,179 | |
UNITE Group PLC (The) | | | 2,710 | | | | 40,759 | |
| | | | | | | | |
| | | | | | | 1,083,752 | |
| | | | | | | | |
RETAIL REITs–0.3% | | | | | | | | |
AEON REIT Investment Corp. | | | 39 | | | | 54,637 | |
Brixmor Property Group, Inc. | | | 4,004 | | | | 101,742 | |
CapitaLand Integrated Commercial Trust | | | 48,180 | | | | 72,895 | |
Eurocommercial Properties NV | | | 2,368 | | | | 51,455 | |
Federal Realty Investment Trust | | | 710 | | | | 96,787 | |
Link REIT | | | 11,968 | | | | 105,429 | |
Mercialys SA | | | 2,379 | | | | 23,219 | |
NETSTREIT Corp. | | | 3,504 | | | | 80,242 | |
SITE Centers Corp. | | | 5,395 | | | | 85,403 | |
| | | | | | | | |
| | | | | | | 671,809 | |
| | | | | | | | |
SPECIALIZED REITs–0.4% | | | | | | | | |
CubeSmart | | | 2,276 | | | | 129,527 | |
Digital Realty Trust, Inc. | | | 1,245 | | | | 220,203 | |
EPR Properties | | | 1,670 | | | | 79,308 | |
Equinix, Inc. | | | 142 | | | | 120,109 | |
National Storage Affiliates Trust | | | 1,712 | | | | 118,471 | |
Public Storage | | | 340 | | | | 127,351 | |
Safestore Holdings PLC | | | 3,650 | | | | 69,611 | |
| | | | | | | | |
| | | | | | | 864,580 | |
| | | | | | | | |
| | | | | | | 9,896,065 | |
| | | | | | | | |
COMMUNICATION
SERVICES–3.9% | | | | | | | | |
DIVERSIFIED TELECOMMUNICATION SERVICES–0.5% | | | | | | | | |
Comcast Corp.–Class A | | | 22,662 | | | | 1,140,579 | |
Telefonica SA | | | 10,682 | | | | 46,319 | |
Washington H Soul Pattinson & Co., Ltd.(b) | | | 243 | | | | 5,237 | |
| | | | | | | | |
| | | | | | | 1,192,135 | |
| | | | | | | | |
ENTERTAINMENT–0.4% | | | | | | | | |
Electronic Arts, Inc. | | | 3,404 | | | | 448,988 | |
Take-Two Interactive Software, Inc.(a) | | | 3,417 | | | | 607,269 | |
Universal Music Group NV | | | 98 | | | | 2,765 | |
| | | | | | | | |
| | | | | | | 1,059,022 | |
| | | | | | | | |
INTERACTIVE MEDIA & SERVICES–2.7% | | | | | | | | |
Alphabet, Inc.–Class A(a) | | | 37 | | | | 107,191 | |
Alphabet, Inc.–Class C(a) | | | 1,390 | | | | 4,022,090 | |
Meta Platforms Inc.–Class A(a) | | | 7,340 | | | | 2,468,809 | |
| | | | | | | | |
| | | | | | | 6,598,090 | |
| | | | | | | | |
| | | | | | | | |
WIRELESS TELECOMMUNICATION SERVICES–0.3% | | | | | | | | |
SoftBank Corp. | | | 1,300 | | | | 16,420 | |
T-Mobile US, Inc.(a) | | | 5,719 | | | | 663,289 | |
| | | | | | | | |
| | | | | | | 679,709 | |
| | | | | | | | |
| | | | | | | 9,528,956 | |
| | | | | | | | |
FINANCIALS–3.2% | | | | | | | | |
BANKS–1.7% | | | | | | | | |
Banco Bilbao Vizcaya Argentaria SA | | | 4,072 | | | | 24,151 | |
Bank of America Corp. | | | 34,997 | | | | 1,557,017 | |
BNP Paribas SA | | | 289 | | | | 19,982 | |
Citigroup, Inc. | | | 6,001 | | | | 362,400 | |
ING Groep NV | | | 3,829 | | | | 53,235 | |
JPMorgan Chase & Co. | | | 558 | | | | 88,359 | |
Mebuki Financial Group, Inc. | | | 10,900 | | | | 22,436 | |
National Bank of Canada | | | 921 | | | | 70,217 | |
PNC Financial Services Group, Inc. (The) | | | 2,895 | | | | 580,505 | |
Raiffeisen Bank International AG | | | 798 | | | | 23,438 | |
Societe Generale SA | | | 2,200 | | | | 75,611 | |
SVB Financial Group(a) | | | 57 | | | | 38,660 | |
Wells Fargo & Co. | | | 25,834 | | | | 1,239,515 | |
| | | | | | | | |
| | | | | | | 4,155,526 | |
| | | | | | | | |
CAPITAL MARKETS–1.1% | | | | | | | | |
Ameriprise Financial, Inc. | | | 152 | | | | 45,852 | |
Carlyle Group, Inc. (The) | | | 1,281 | | | | 70,327 | |
CME Group, Inc.–Class A | | | 2,017 | | | | 460,804 | |
Goldman Sachs Group, Inc. (The) | | | 4,042 | | | | 1,546,267 | |
LPL Financial Holdings, Inc. | | | 3,590 | | | | 574,723 | |
Moody’s Corp. | | | 103 | | | | 40,230 | |
Raymond James Financial, Inc. | | | 427 | | | | 42,871 | |
| | | | | | | | |
| | | | | | | 2,781,074 | |
| | | | | | | | |
CONSUMER FINANCE–0.1% | | | | | | | | |
Ally Financial, Inc. | | | 1,195 | | | | 56,894 | |
Capital One Financial Corp. | | | 225 | | | | 32,645 | |
| | | | | | | | |
| | | | | | | 89,539 | |
| | | | | | | | |
DIVERSIFIED FINANCIAL SERVICES–0.0% | | | | | | | | |
Investor AB | | | 1,325 | | | | 33,248 | |
Kinnevik AB(a) | | | 1,149 | | | | 40,851 | |
| | | | | | | | |
| | | | | | | 74,099 | |
| | | | | | | | |
INSURANCE–0.3% | | | | | | | | |
Aviva PLC | | | 1,471 | | | | 8,200 | |
iA Financial Corp., Inc. | | | 525 | | | | 30,040 | |
Japan Post Insurance Co., Ltd. | | | 4,700 | | | | 75,500 | |
Medibank Pvt Ltd. | | | 4,131 | | | | 10,062 | |
MetLife, Inc. | | | 1,002 | | | | 62,615 | |
Progressive Corp. (The) | | | 5,445 | | | | 558,929 | |
12
| | |
| |
| | | AB Variable Products Series Fund |
| | | | | | | | |
Company | | Shares | | | U.S. $ Value | |
| | | | | | | | |
Prudential Financial, Inc. | | | 675 | | | $ | 73,062 | |
| | | | | | | | |
| | | | | | | 818,408 | |
| | | | | | | | |
| | | | | | | 7,918,646 | |
| | | | | | | | |
INDUSTRIALS–3.1% | | | | | | | | |
AEROSPACE & DEFENSE–0.4% | | | | | | | | |
Raytheon Technologies Corp. | | | 10,384 | | | | 893,647 | |
| | | | | | | | |
AIR FREIGHT & LOGISTICS–0.0% | | | | | | | | |
Kuehne & Nagel International AG | | | 190 | | | | 61,191 | |
| | | | | | | | |
BUILDING PRODUCTS–0.1% | | | | | | | | |
Cie de Saint-Gobain | | | 480 | | | | 33,766 | |
Owens Corning | | | 586 | | | | 53,033 | |
| | | | | | | | |
| | | | | | | 86,799 | |
| | | | | | | | |
CONSTRUCTION & ENGINEERING–0.3% | | | | | | | | |
AECOM(a) | | | 10,040 | | | | 776,594 | |
| | | | | | | | |
ELECTRICAL EQUIPMENT–0.8% | | | | | | | | |
Acuity Brands, Inc. | | | 348 | | | | 73,678 | |
Eaton Corp. PLC | | | 5,939 | | | | 1,026,378 | |
Prysmian SpA | | | 904 | | | | 34,005 | |
Regal Rexnord Corp. | | | 4,684 | | | | 797,123 | |
Rockwell Automation, Inc. | | | 222 | | | | 77,445 | |
| | | | | | | | |
| | | | | | | 2,008,629 | |
| | | | | | | | |
CNH Industrial NV | | | 1,406 | | | | 27,184 | |
Mitsubishi Heavy Industries Ltd. | | | 3,200 | | | | 73,985 | |
Oshkosh Corp. | | | 4,705 | | | | 530,301 | |
Snap-on, Inc. | | | 275 | | | | 59,230 | |
Techtronic Industries Co., Ltd. | | | 3,500 | | | | 69,772 | |
| | | | | | | | |
| | | | | | | 760,472 | |
| | | | | | | | |
MARINE–0.0% | | | | | | | | |
AP Moller–Maersk A/S–Class B | | | 2 | | | | 7,139 | |
| | | | | | | | |
PROFESSIONAL SERVICES–0.5% | | | | | | | | |
Booz Allen Hamilton Holding Corp. | | | 5,934 | | | | 503,144 | |
Robert Half International, Inc. | | | 5,779 | | | | 644,474 | |
| | | | | | | | |
| | | | | | | 1,147,618 | |
| | | | | | | | |
ROAD & RAIL–0.7% | | | | | | | | |
CSX Corp. | | | 31,461 | | | | 1,182,934 | |
Knight-Swift Transportation Holdings, Inc. | | | 9,474 | | | | 577,345 | |
Nippon Express Co., Ltd.(a)(d)(e) | | | 400 | | | | 23,548 | |
| | | | | | | | |
| | | | | | | 1,783,827 | |
| | | | | | | | |
| | | | | | | | |
TRADING COMPANIES & DISTRIBUTORS–0.0% | | | | | | | | |
WW Grainger, Inc. | | | 150 | | | | 77,736 | |
| | | | | | | | |
| | | | | | | 7,603,652 | |
| | | | | | | | |
ENERGY–2.5% | | | | | | | | |
ENERGY EQUIPMENT & SERVICES–0.0% | | | | | | | | |
Subsea 7 SA | | | 8,254 | | | | 59,044 | |
| | | | | | | | |
OIL, GAS & CONSUMABLE FUELS–2.5% | | | | | | | | |
Aker BP ASA | | | 5,924 | | | | 182,155 | |
BP PLC | | | 98,939 | | | | 443,308 | |
Canadian Natural Resources Ltd. | | | 961 | | | | 40,607 | |
Chevron Corp. | | | 11,401 | | | | 1,337,907 | |
Enbridge, Inc. | | | 492 | | | | 19,218 | |
ENEOS Holdings, Inc. | | | 7,300 | | | | 27,272 | |
Eni SpA | | | 2,815 | | | | 39,122 | |
EOG Resources, Inc. | | | 11,733 | | | | 1,042,242 | |
Exxon Mobil Corp. | | | 5,950 | | | | 364,081 | |
Gazprom PJSC (Sponsored ADR) | | | 15,730 | | | | 144,559 | |
LUKOIL PJSC (Sponsored ADR) | | | 790 | | | | 70,942 | |
OMV AG | | | 1,334 | | | | 75,441 | |
PetroChina Co., Ltd.–Class H | | | 548,000 | | | | 242,707 | |
Pioneer Natural Resources Co. | | | 23 | | | | 4,183 | |
Repsol SA | | | 22,229 | | | | 263,261 | |
Royal Dutch Shell PLC–Class A | | | 1,108 | | | | 24,281 | |
Royal Dutch Shell PLC–Class B | | | 56,936 | | | | 1,250,119 | |
TotalEnergies SE | | | 9,719 | | | | 494,699 | |
| | | | | | | | |
| | | | | | | 6,066,104 | |
| | | | | | | | |
| | | | | | | 6,125,148 | |
| | | | | | | | |
CONSUMER STAPLES–2.0% | | | | | | | | |
BEVERAGES–0.6% | |
Coca-Cola Co., (The) | | | 16,595 | | | | 982,590 | |
Constellation Brands, Inc.–Class A | | | 1,978 | | | | 496,419 | |
Kirin Holdings Co., Ltd.(b) | | | 1,500 | | | | 24,160 | |
| | | | | | | | |
| | | | | | | 1,503,169 | |
| | | | | | | | |
FOOD & STAPLES RETAILING–0.8% | | | | | | | | |
Costco Wholesale Corp. | | | 1,115 | | | | 632,986 | |
George Weston Ltd. | | | 43 | | | | 4,985 | |
HelloFresh SE(a) | | | 565 | | | | 43,301 | |
J Sainsbury PLC | | | 2,686 | | | | 10,040 | |
Kroger Co. (The) | | | 1,396 | | | | 63,183 | |
Walmart, Inc. | | | 8,676 | | | | 1,255,330 | |
| | | | | | | | |
| | | | | | | 2,009,825 | |
| | | | | | | | |
FOOD PRODUCTS–0.2% | | | | | | | | |
Bunge Ltd. | | | 764 | | | | 71,327 | |
Hershey Co. (The) | | | 257 | | | | 49,722 | |
Kellogg Co. | | | 245 | | | | 15,783 | |
13
| | |
| BALANCED WEALTH STRATEGY PORTFOLIO | | |
| PORTFOLIO OF INVESTMENTS | | |
| |
| (continued) | | AB Variable Products Series Fund |
| | | | | | | | |
Company | | Shares | | | U.S. $ Value | |
| | | | | | | | |
Maple Leaf Foods, Inc. | | | 3,410 | | | $ | 78,878 | |
Mowi ASA | | | 5,960 | | | | 141,054 | |
Nestle SA | | | 43 | | | | 6,003 | |
| | | | | | | | |
| | | | | | | 362,767 | |
| | | | | | | | |
HOUSEHOLD PRODUCTS–0.4% | | | | | | | | |
Procter & Gamble Co. (The) | | | 5,757 | | | | 941,730 | |
| | | | | | | | |
PERSONAL PRODUCTS–0.0% | | | | | | | | |
Estee Lauder Cos., Inc. (The)–Class A | | | 66 | | | | 24,433 | |
| | | | | | | | |
TOBACCO–0.0% | | | | | | | | |
Altria Group, Inc. | | | 280 | | | | 13,269 | |
Philip Morris International, Inc. | | | 695 | | | | 66,025 | |
| | | | | | | | |
| | | | | | | 79,294 | |
| | | | | | | | |
| | | | | | | 4,921,218 | |
| | | | | | | | |
MATERIALS–1.8% | | | | | | | | |
CHEMICALS–0.6% | | | | | | | | |
CF Industries Holdings, Inc. | | | 1,585 | | | | 112,186 | |
Corteva, Inc. | | | 3,020 | | | | 142,786 | |
Daicel Corp. | | | 1,800 | | | | 12,457 | |
Kuraray Co., Ltd. | | | 1,200 | | | | 10,436 | |
Linde PLC | | | 2,665 | | | | 923,236 | |
Mitsubishi Chemical Holdings Corp. | | | 2,400 | | | | 17,802 | |
Sika AG | | | 47 | | | | 19,534 | |
Sumitomo Chemical Co., Ltd. | | | 15,700 | | | | 74,038 | |
Umicore SA(b) | | | 518 | | | | 21,131 | |
| | | | | | | | |
| | | | | | | 1,333,606 | |
| | | | | | | | |
CONSTRUCTION MATERIALS–0.0% | | | | | | | | |
CSR Ltd. | | | 6,270 | | | | 26,845 | |
GCC SAB de CV | | | 4,300 | | | | 33,024 | |
| | | | | | | | |
| | | | | | | 59,869 | |
| | | | | | | | |
CONTAINERS & PACKAGING–0.0% | | | | | | | | |
Sealed Air Corp. | | | 458 | | | | 30,901 | |
Smurfit Kappa Group PLC | | | 319 | | | | 17,582 | |
| | | | | | | | |
| | | | | | | 48,483 | |
| | | | | | | | |
METALS & MINING–1.2% | | | | | | | | |
Agnico Eagle Mines Ltd. | | | 4,549 | | | | 241,628 | |
Alcoa Corp. | | | 1,530 | | | | 91,157 | |
Allkem Ltd.(a) | | | 5,420 | | | | 41,114 | |
Anglo American PLC | | | 9,315 | | | | 383,147 | |
AngloGold Ashanti Ltd. | | | 7,765 | | | | 163,496 | |
APERAM SA | | | 3,543 | | | | 192,860 | |
ArcelorMittal SA | | | 11,038 | | | | 354,084 | |
Barrick Gold Corp.(b) | | | 5,550 | | | | 105,450 | |
Evraz PLC | | | 7,044 | | | | 57,590 | |
First Quantum Minerals Ltd. | | | 5,146 | | | | 123,143 | |
Glencore PLC(a) | | | 48,264 | | | | 245,919 | |
| | | | | | | | |
Industrias Penoles SAB de CV | | | 1,909 | | | | 22,006 | |
Lundin Mining Corp. | | | 7,945 | | | | 62,055 | |
MMC Norilsk Nickel PJSC (ADR) | | | 2,540 | | | | 77,902 | |
Norsk Hydro ASA | | | 6,117 | | | | 48,132 | |
Northern Star Resources Ltd.(b) | | | 4,630 | | | | 31,842 | |
OZ Minerals Ltd. | | | 2,685 | | | | 55,355 | |
Regis Resources Ltd. | | | 19,455 | | | | 27,686 | |
Rio Tinto PLC | | | 4,866 | | | | 320,894 | |
St. Barbara Ltd.(b) | | | 23,750 | | | | 25,389 | |
Steel Dynamics, Inc. | | | 373 | | | | 23,152 | |
Vale SA (Sponsored ADR)–Class B | | | 12,186 | | | | 170,848 | |
| | | | | | | | |
| | | | | | | 2,864,849 | |
| | | | | | | | |
PAPER & FOREST PRODUCTS–0.0% | | | | | | | | |
Suzano SA(a) | | | 9,200 | | | | 99,370 | |
| | | | | | | | |
PAPER PRODUCTS–0.0% | | | | | | | | |
Stora Enso Oyj–Class R | | | 1,890 | | | | 34,688 | |
| | | | | | | | |
| | | | | | | 4,440,865 | |
| | | | | | | | |
UTILITIES–0.8% | | | | | | | | |
ELECTRIC UTILITIES–0.7% | | | | | | | | |
American Electric Power Co., Inc. | | | 8,367 | | | | 744,412 | |
Enel SpA | | | 22,240 | | | | 177,833 | |
NextEra Energy, Inc. | | | 8,272 | | | | 772,274 | |
NRG Energy, Inc. | | | 1,972 | | | | 84,953 | |
| | | | | | | | |
| | | | | | | 1,779,472 | |
| | | | | | | | |
GAS UTILITIES–0.0% | | | | | | | | |
UGI Corp. | | | 1,689 | | | | 77,542 | |
| | | | | | | | |
INDEPENDENT POWER AND RENEWABLE ELECTRICITY PRODUCERS–0.1% | | | | | | | | |
EDP Renovaveis SA | | | 3,880 | | | | 96,486 | |
| | | | | | | | |
| | | | | | | 1,953,500 | |
| | | | | | | | |
CONSUMER SERVICES–0.1% | | | | | | | | |
HOTELS, RESORTS & CRUISE LINES–0.1% | | | | | | | | |
Hilton Grand Vacations, Inc.(a) | | | 930 | | | | 48,462 | |
| | | | | | | | |
LEISURE FACILITIES–0.0% | | | | | | | | |
Planet Fitness, Inc.(a) | | | 285 | | | | 25,815 | |
| | | | | | | | |
RESTAURANTS–0.0% | | | | | | | | |
Dine Brands Global, Inc. | | | 250 | | | | 18,953 | |
| | | | | | | | |
| | | | | | | 93,230 | |
| | | | | | | | |
TRANSPORTATION–0.0% | | | | | | | | |
HIGHWAYS & RAILTRACKS–0.0% | | | | | | | | |
Transurban Group | | | 7,887 | | | | 79,219 | |
| | | | | | | | |
14
| | |
| |
| | | AB Variable Products Series Fund |
| | | | | | | | | | | | |
Company | | | | | Shares | | | U.S. $ Value | |
| | | | | | | | | | | | |
CONSUMER DURABLES & APPAREL–0.0% | | | | | | | | | |
HOMEBUILDING–0.0% | | | | | | | | | |
PulteGroup, Inc. | | | | 1,000 | | | $ | 57,160 | |
| | | | | | | | | | | | |
TELECOMMUNICATION SERVICES–0.0% | | | | | | | | | |
INTEGRATED TELECOMMUNICATION SERVICES–0.0% | | | | | | | | | |
Infrastrutture Wireless Italiane SpA(b)(c) | | | | 3,280 | | | | 39,774 | |
| | | | | | | | | | | | |
CAPITAL GOODS–0.0% | | | | | | | | | |
BUILDING PRODUCTS–0.0% | | | | | | | | | | | | |
Fletcher Building Ltd. | | | | 5,740 | | | | 28,763 | |
| | | | | | | | | | | | |
SOFTWARE & SERVICES–0.0% | | | | | | | | | |
INTERNET SERVICES & INFRASTRUCTURE–0.0% | | | | | | | | | |
GDS Holdings Ltd. (ADR)(a) | | | | 240 | | | | 11,318 | |
Vnet Group, Inc. (ADR)(a) | | | | 800 | | | | 7,224 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 18,542 | |
| | | | | | | | | | | | |
Total Common Stocks
(cost $58,075,207) | | | | | | | | 96,574,664 | |
| | | | | | | | | | | | |
INVESTMENT COMPANIES–26.2% | | | | | | | | | |
FUNDS AND INVESTMENT TRUSTS–26.2%(f)(g) | | | | | | | | | |
AB Discovery Growth Fund, Inc.–Class Z | | | | 215,799 | | | | 3,174,405 | |
AB Trust–AB Discovery Value Fund–Class Z | | | | 130,189 | | | | 3,245,615 | |
Bernstein Fund, Inc.–International Small Cap Portfolio–Class Z | | | | 627,599 | | | | 8,146,230 | |
Bernstein Fund, Inc.–International Strategic Equities Portfolio–Class Z | | | | 3,225,751 | | | | 42,837,967 | |
Bernstein Fund, Inc.–Small Cap Core Portfolio–Class Z | | | | 213,805 | | | | 3,266,945 | |
Sanford C. Bernstein Fund, Inc.–Emerging Markets Portfolio–Class Z | | | | 125,464 | | | | 3,783,981 | |
| | | | | | | | | | | | |
Total Investment Companies
(cost $60,188,801) | | | | 64,455,143 | |
| | | | | | | | | | | | |
| | | Principal
Amount
(000) | | | | |
GOVERNMENTS–
TREASURIES–15.6% | | | | | | | | | | | | |
AUSTRALIA–1.3% | | | | | | | | | | | | |
Australia Government Bond
Series 145
2.75%, 06/21/2035(c) | | | AUD | | | | 802 | | | | 643,402 | |
| | | | | | | | | | | | |
Series 150
3.00%, 03/21/2047(c) | | | AUD | | | | 1,025 | | | | 829,247 | |
Series 156
2.75%, 05/21/2041(c) | | | | | | | 715 | | | | 557,637 | |
Series 161
0.25%, 11/21/2025(c) | | | | | | | 350 | | | | 245,188 | |
Series 163
1.00%, 11/21/2031(c) | | | | | | | 766 | | | | 523,408 | |
Series 164
0.50%, 09/21/2026(c) | | | | | | | 475 | | | | 332,423 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 3,131,305 | |
| | | | | | | | | | | | |
AUSTRIA–0.2% | | | | | | | | | | | | |
Republic of Austria Government Bond
0.50%, 02/20/2029(c) | | | EUR | | | | 449 | | | | 534,067 | |
| | | | | | | | | | | | |
BELGIUM–0.1% | | | | | | | | | | | | |
Kingdom of Belgium Government Bond
Series 76
1.90%, 06/22/2038(c) | | | | | | | 180 | | | | 248,941 | |
| | | | | | | | | | | | |
CANADA–0.3% | | | | | | | | | | | | |
Canadian Government Bond
2.00%, 12/01/2051 | | | CAD | | | | 940 | | | | 799,529 | |
| | | | | | | | | | | | |
CHINA–1.3% | | | | | | | | | | | | |
China Government Bond
Series 1827
3.25%, 11/22/2028 | | | CNY | | | | 1,710 | | | | 275,625 | |
Series INBK
2.68%, 05/21/2030 | | | | | | | 3,670 | | | | 566,750 | |
3.01%, 05/13/2028 | | | | | | | 2,220 | | | | 352,682 | |
3.27%, 11/19/2030 | | | | | | | 4,190 | | | | 679,310 | |
3.39%, 03/16/2050 | | | | | | | 9,160 | | | | 1,428,464 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 3,302,831 | |
| | | | | | | | | | | | |
FINLAND–0.1% | | | | | | | | | | | | |
Finland Government Bond 0.50%, 09/15/2028(c) | | | EUR | | | | 115 | | | | 136,966 | |
| | | | | | | | | | | | |
GERMANY–1.5% | | | | | | | | | | | | |
Bundesrepublik Deutschland Bundesanleihe
0.00%, 08/15/2050(c) | | | | | | | 618 | | | | 671,291 | |
Series G
0.00%, 08/15/2031–08/15/2050(c) | | | | | | | 2,705 | | | | 3,118,713 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 3,790,004 | |
| | | | | | | | | | | | |
IRELAND–0.1% | | | | | | | | | | | | |
Ireland Government Bond
1.35%, 03/18/2031(c) | | | | | | | 162 | | | | 205,378 | |
| | | | | | | | | | | | |
ITALY–1.6% | | | | | | | | | | | | |
Italy Buoni Poliennali Del Tesoro
0.25%, 03/15/2028(c) | | | | | | | 1,310 | | | | 1,454,521 | |
0.50%, 07/15/2028(c) | | | | | | | 187 | | | | 210,038 | |
0.95%, 09/15/2027(c) | | | | | | | 1,715 | | | | 1,994,018 | |
15
| | |
| BALANCED WEALTH STRATEGY PORTFOLIO | | |
| PORTFOLIO OF INVESTMENTS | | |
| |
| (continued) | | AB Variable Products Series Fund |
| | | | | | | | | | | | |
| Company | | Principal
Amount
(000) | | | U.S. $ Value | |
| | | | | | | | | | | | |
1.50%, 04/30/2045(c) | | | EUR | | | | 172 | | | $ | 183,797 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 3,842,374 | |
| | | | | | | | | | | | |
JAPAN–3.4% | | | | | | | | | | | | |
Japan Government Ten Year Bond
Series 358
0.10%, 03/20/2030 | | | JPY | | | | 205,850 | | | | 1,807,536 | |
Series 359
0.10%, 06/20/2030 | | | | | | | 277,550 | | | | 2,435,795 | |
Series 360
0.10%, 09/20/2030 | | | | | | | 87,450 | | | | 766,721 | |
Japan Government Thirty Year Bond
Series 65
0.40%, 12/20/2049 | | | | | | | 74,200 | | | | 600,863 | |
Series 68
0.60%, 09/20/2050 | | | | | | | 69,900 | | | | 596,165 | |
Japan Government Twenty Year Bond
Series 169
0.30%, 06/20/2039 | | | | | | | 31,650 | | | | 270,435 | |
Series 171
0.30%, 12/20/2039 | | | | | | | 44,850 | | | | 381,796 | |
Series 177
0.40%, 06/20/2041 | | | | | | | 89,750 | | | | 770,494 | |
Japan Government Two Year Bond
Series 424
0.005%, 05/01/2023 | | | | | | | 96,100 | | | | 836,537 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 8,466,342 | |
| | | | | | | | | | | | |
MALAYSIA–0.1% | | | | | | | | | | | | |
Malaysia Government Bond
Series 0310
4.498%, 04/15/2030 | | | MYR | | | | 1,088 | | | | 277,067 | |
| | | | | | | | | | | | |
SOUTH KOREA–0.4% | | | | | | | | | | | | |
Korea Treasury Bond
Series 3012
1.50%, 12/10/2030 | | | KRW | | | | 1,236,490 | | | | 974,371 | |
| | | | | | | | | | | | |
SPAIN–0.5% | | | | | | | | | | | | |
Spain Government Bond
1.00%, 07/30/2042(c) | | | EUR | | | | 746 | | | | 823,230 | |
1.20%, 10/31/2040(c) | | | | | | | 281 | | | | 323,485 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 1,146,715 | |
| | | | | | | | | | | | |
THAILAND–0.1% | | | | | | | | | | | | |
Thailand Government Bond
2.00%, 12/17/2031 | | | THB | | | | 7,680 | | | | 230,998 | |
| | | | | | | | | | | | |
UNITED KINGDOM–0.6% | | | | | | | | | | | | |
United Kingdom Gilt
1.25%, 07/31/2051(c) | | | GBP | | | | 168 | | | | 232,938 | |
1.50%, 07/31/2053(c) | | | | | | | 61 | | | | 90,826 | |
1.75%, 09/07/2037(c) | | | | | | | 856 | | | | 1,256,185 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 1,579,949 | |
| | | | | | | | | | | | |
| | | | | | | | | | | | |
UNITED STATES–4.0% | | | | | | | | | | | | |
U.S. Treasury Bonds
1.125%, 08/15/2040 | | | U.S.$ | | | | 2,560 | | | | 2,241,600 | |
1.875%, 02/15/2051 | | | | | | | 1,591 | | | | 1,581,305 | |
2.00%, 08/15/2051 | | | | | | | 715 | | | | 732,316 | |
4.50%, 08/15/2039 | | | | | | | 200 | | | | 282,969 | |
U.S. Treasury Notes
0.25%, 05/31/2025 | | | | | | | 550 | | | | 535,133 | |
0.375%, 04/15/2024 | | | | | | | 870 | | | | 861,300 | |
0.50%, 03/15/2023–02/28/2026 | | | | | | | 582 | | | | 574,879 | |
0.625%, 07/31/2026 | | | | | | | 565 | | | | 549,727 | |
1.25%, 08/15/2031 | | | | | | | 486 | | | | 475,824 | |
2.125%, 05/31/2026 | | | | | | | 1,840 | | | | 1,912,163 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 9,747,216 | |
| | | | | | | | | | | | |
Total Governments–Treasuries
(cost $39,736,212) | | | | | | | | | | | 38,414,053 | |
| | | | | | | | | | | | |
CORPORATES–INVESTMENT GRADE–6.3% | | | | | | | | | | | | |
| | | | | | | | | | | | |
FINANCIAL INSTITUTIONS–3.3% | | | | | | | | | | | | |
BANKING–2.2% | | | | | | | | | | | | |
Banco Santander SA
1.125%, 06/23/2027(c) | | | EUR | | | | 100 | | | | 117,025 | |
Bank of America Corp.
1.776%, 05/04/2027(c) | | | | | | | 248 | | | | 298,535 | |
2.299%, 07/21/2032 | | | U.S.$ | | | | 121 | | | | 118,826 | |
CaixaBank SA
0.375%, 11/18/2026(c) | | | EUR | | | | 200 | | | | 226,505 | |
Citigroup, Inc.
1.50%, 07/24/2026(c) | | | | | | | 155 | | | | 184,049 | |
2.561%, 05/01/2032 | | | U.S.$ | | | | 144 | | | | 144,821 | |
5.95%, 01/30/2023(h) | | | | | | | 90 | | | | 92,768 | |
Series Y | | | | | | | | | | | | |
4.15%, 11/15/2026(h) | | | | | | | 91 | | | | 92,468 | |
Credit Suisse Group AG
4.194%, 04/01/2031(c) | | | | | | | 250 | | | | 275,828 | |
Danske Bank A/S
0.75%, 06/09/2029(c) | | | EUR | | | | 185 | | | | 208,657 | |
3.244%, 12/20/2025(c) | | | U.S.$ | | | | 350 | | | | 364,014 | |
DNB Bank ASA
6.50%, 03/26/2022(c)(h) | | | | | | | 210 | | | | 212,528 | |
Fifth Third Bancorp
Series L
4.50%, 09/30/2025(h) | | | | | | | 41 | | | | 43,260 | |
Goldman Sachs Group, Inc. (The)
1.25%, 05/01/2025(c) | | | EUR | | | | 190 | | | | 221,937 | |
2.383%, 07/21/2032 | | | U.S.$ | | | | 118 | | | | 116,196 | |
Series V
4.125%, 11/10/2026(h) | | | | | | | 67 | | | | 67,943 | |
16
| | |
| |
| | | AB Variable Products Series Fund |
| | | | | | | | | | | | |
| Company | | Principal
Amount
(000) | | | U.S. $ Value | |
| | | | | | | | | | | | |
HSBC Holdings PLC
6.375%, 03/30/2025(h) | | | U.S.$ | | | | 200 | | | $ | 216,012 | |
ING Groep NV
6.50%, 04/16/2025(h) | | | | | | | 232 | | | | 252,548 | |
JPMorgan Chase & Co.
1.09%, 03/11/2027(c) | | | EUR | | | | 170 | | | | 199,202 | |
Series I
3.599% (LIBOR 3 Month + 3.47%),
04/30/2022(h)(i) | | | U.S.$ | | | | 34 | | | | 34,089 | |
Series V
3.534% (LIBOR 3 Month + 3.32%),
04/01/2022(h)(i) | | | | | | | 17 | | | | 17,008 | |
Series Z
3.932% (LIBOR 3 Month + 3.80%),
02/01/2022(h)(i) | | | | | | | 31 | | | | 31,042 | |
Lloyds Banking Group PLC
7.50%, 06/27/2024(h) | | | | | | | 200 | | | | 219,998 | |
Mitsubishi UFJ Financial Group, Inc.
0.978%, 06/09/2024(c) | | | EUR | | | | 215 | | | | 250,792 | |
Morgan Stanley
0.406%, 10/29/2027 | | | | | | | 160 | | | | 181,001 | |
2.239%, 07/21/2032 | | | U.S.$ | | | | 119 | | | | 116,588 | |
Series H
3.734% (LIBOR 3 Month + 3.61%),
01/18/2022(h)(i) | | | | | | | 9 | | | | 9,003 | |
Natwest Group PLC
0.78%, 02/26/2030(c) | | | EUR | | | | 200 | | | | 224,610 | |
Series U
2.544% (LIBOR 3 Month + 2.32%),
09/30/2027(h)(i) | | | U.S.$ | | | | 200 | | | | 198,548 | |
Nordea Bank Abp
6.125%, 09/23/2024(c)(h) | | | | | | | 200 | | | | 215,300 | |
PNC Financial Services Group, Inc. (The)
Series O
3.81% (LIBOR 3 Month + 3.68%), 02/01/2022(h)(i) | | | | | | | 17 | | | | 16,985 | |
Standard Chartered PLC
1.639% (LIBOR 3 Month + 1.51%), 01/30/2027(c)(h)(i) | | | | | | | 200 | | | | 192,640 | |
UniCredit SpA
3.127%, 06/03/2032(c) | | | | | | | 245 | | | | 241,920 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 5,402,646 | |
| | | | | | | | | | | | |
| | | | | | | | | | | | |
BROKERAGE–0.1% | | | | | | | | | | | | |
Charles Schwab Corp. (The)
Series I
4.00%, 06/01/2026(h) | | | U.S.$ | | | | 201 | | | | 205,609 | |
| | | | | | | | | | | | |
FINANCE–0.4% | | | | | | | | | | | | |
AerCap Ireland Capital DAC/AerCap Global Aviation Trust
3.30%, 01/30/2032 | | | | | | | 345 | | | | 351,831 | |
Air Lease Corp.
2.10%, 09/01/2028 | | | | | | | 26 | | | | 25,144 | |
2.875%, 01/15/2026 | | | | | | | 23 | | | | 23,721 | |
3.25%, 03/01/2025 | | | | | | | 5 | | | | 5,197 | |
3.625%, 04/01/2027 | | | | | | | 14 | | | | 14,735 | |
4.625%, 10/01/2028 | | | | | | | 20 | | | | 22,085 | |
Aircastle Ltd.
2.85%, 01/26/2028(c) | | | | | | | 109 | | | | 109,802 | |
4.25%, 06/15/2026 | | | | | | | 49 | | | | 52,537 | |
5.25%, 08/11/2025(c) | | | | | | | 72 | | | | 79,158 | |
Aviation Capital Group LLC
1.95%, 01/30/2026(c) | | | | | | | 13 | | | | 12,709 | |
3.50%, 11/01/2027(c) | | | | | | | 18 | | | | 18,551 | |
4.125%, 08/01/2025(c) | | | | | | | 2 | | | | 2,114 | |
4.375%, 01/30/2024(c) | | | | | | | 13 | | | | 13,641 | |
4.875%, 10/01/2025(c) | | | | | | | 23 | | | | 24,902 | |
5.50%, 12/15/2024(c) | | | | | | | 47 | | | | 51,442 | |
Synchrony Financial
2.875%, 10/28/2031 | | | | | | | 124 | | | | 123,683 | |
3.95%, 12/01/2027 | | | | | | | 13 | | | | 13,978 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 945,230 | |
| | | | | | | | | | | | |
INSURANCE–0.2% | | | | | | | | | | | | |
Centene Corp.
2.45%, 07/15/2028 | | | | | | | 62 | | | | 61,330 | |
4.625%, 12/15/2029 | | | | | | | 37 | | | | 39,930 | |
CNP Assurances
2.50%, 06/30/2051(c) | | | EUR | | | | 100 | | | | 120,405 | |
Voya Financial, Inc.
5.65%, 05/15/2053 | | | U.S.$ | | | | 153 | | | | 159,093 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 380,758 | |
| | | | | | | | | | | | |
REITs–0.4% | | | | | | | | | | | | |
Digital Euro Finco LLC
2.50%, 01/16/2026(c) | | | EUR | | | | 220 | | | | 270,565 | |
Essential Properties LP
2.95%, 07/15/2031 | | | U.S.$ | | | | 152 | | | | 149,969 | |
GLP Capital LP/GLP Financing II, Inc.
3.25%, 01/15/2032 | | | | | | | 74 | | | | 74,378 | |
Host Hotels & Resorts LP
Series I
3.50%, 09/15/2030 | | | | | | | 81 | | | | 83,180 | |
Series J
2.90%, 12/15/2031 | | | | | | | 137 | | | | 132,502 | |
17
| | |
| BALANCED WEALTH STRATEGY PORTFOLIO | | |
| PORTFOLIO OF INVESTMENTS | | |
| |
| (continued) | | AB Variable Products Series Fund |
| | | | | | | | | | | | |
| Company | | Principal
Amount
(000) | | | U.S. $ Value | |
| | | | | | | | | | | | |
Office Properties Income Trust
3.45%, 10/15/2031 | | | U.S.$ | | | | 60 | | | $ | 58,271 | |
Vornado Realty LP
3.40%, 06/01/2031 | | | | | | | 160 | | | | 164,879 | |
WPC Eurobond BV
0.95%, 06/01/2030 | | | EUR | | | | 157 | | | | 173,089 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 1,106,833 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 8,041,076 | |
| | | | | | | | | | | | |
INDUSTRIAL–2.7% | | | | | | | | | | | | |
BASIC–0.0% | | | | | | | | | | | | |
Suzano Austria GmbH
3.75%, 01/15/2031 | | | U.S.$ | | | | 96 | | | | 97,428 | |
| | | | | | | | | | | | |
COMMUNICATIONS–MEDIA–0.3% | | | | | | | | | | | | |
Charter Communications Operating LLC/Charter Communications Operating Capital
4.80%, 03/01/2050 | | | | | | | 17 | | | | 19,057 | |
5.125%, 07/01/2049 | | | | | | | 28 | | | | 32,427 | |
5.375%, 05/01/2047 | | | | | | | 35 | | | | 41,802 | |
Discovery Communications LLC
4.65%, 05/15/2050 | | | | | | | 33 | | | | 38,832 | |
5.20%, 09/20/2047 | | | | | | | 100 | | | | 123,653 | |
5.30%, 05/15/2049 | | | | | | | 46 | | | | 58,161 | |
Netflix, Inc.
3.625%, 05/15/2027 | | | EUR | | | | 147 | | | | 192,175 | |
Weibo Corp.
3.375%, 07/08/2030 | | | U.S.$ | | | | 200 | | | | 197,287 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 703,394 | |
| | | | | | | | | | | | |
COMMUNICATIONS–TELECOMMUNICATIONS–0.2% | | | | | | | | | | | | |
AT&T, Inc.
4.30%, 12/15/2042 | | | | | | | 44 | | | | 49,622 | |
Series B
2.875%, 03/02/2025(h) | | | EUR | | | | 100 | | | | 114,091 | |
British Telecommunications PLC
9.625%, 12/15/2030 | | | U.S.$ | | | | 77 | | | | 113,227 | |
T-Mobile USA, Inc.
2.625%, 04/15/2026 | | | | | | | 73 | | | | 73,524 | |
2.875%, 02/15/2031 | | | | | | | 48 | | | | 47,390 | |
3.375%, 04/15/2029 | | | | | | | 78 | | | | 79,576 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 477,430 | |
| | | | | | | | | | | | |
CONSUMER CYCLICAL–AUTOMOTIVE–0.2% | | | | | | | | | | | | |
Harley-Davidson Financial Services, Inc.
3.35%, 06/08/2025(c) | | | | | | | 109 | | | | 114,215 | |
Harley-Davidson, Inc.
3.50%, 07/28/2025 | | | | | | | 96 | | | | 101,233 | |
| | | | | | | | | | | | |
Volkswagen International Finance NV
0.875%, 09/22/2028(c) | | | EUR | | | | 200 | | | $ | 234,107 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 449,555 | |
| | | | | | | | | | | | |
CONSUMER CYCLICAL–OTHER–0.1% | | | | | | | | | | | | |
Las Vegas Sands Corp.
3.50%, 08/18/2026 | | | U.S.$ | | | | 89 | | | | 90,090 | |
3.90%, 08/08/2029 | | | | | | | 100 | | | | 100,574 | |
MDC Holdings, Inc.
6.00%, 01/15/2043 | | | | | | | 133 | | | | 167,804 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 358,468 | |
| | | | | | | | | | | | |
CONSUMER NON-CYCLICAL–0.4% | | | | | | | | | | | | |
Altria Group, Inc.
3.125%, 06/15/2031 | | | EUR | | | | 270 | | | | 341,485 | |
British American Tobacco PLC
Series 5.25
3.00%, 09/27/2026(c)(h) | | | | | | | 191 | | | | 213,269 | |
Imperial Brands Finance Netherlands BV
1.75%, 03/18/2033(c) | | | | | | | 169 | | | | 187,714 | |
Mondelez International Holdings Netherlands BV
0.25%, 09/09/2029(c) | | | | | | | 112 | | | | 124,554 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 867,022 | |
| | | | | | | | | | | | |
ENERGY–0.9% | | | | | | | | | | | | |
BP Capital Markets PLC
3.625%, 03/22/2029(c)(h) | | | | | | | 155 | | | | 189,729 | |
Continental Resources, Inc./OK
2.875%, 04/01/2032(c) | | | U.S.$ | | | | 123 | | | | 120,369 | |
5.75%, 01/15/2031(c) | | | | | | | 89 | | | | 104,906 | |
Devon Energy Corp.
5.60%, 07/15/2041 | | | | | | | 171 | | | | 215,270 | |
Enbridge Energy Partners LP
7.375%, 10/15/2045 | | | | | | | 130 | | | | 202,699 | |
Energy Transfer LP
6.25%, 04/15/2049 | | | | | | | 225 | | | | 294,239 | |
Eni SpA
Series NC9
3.375%, 07/13/2029(c)(h) | | | EUR | | | | 155 | | | | 185,065 | |
ONEOK Partners LP
6.125%, 02/01/2041 | | | U.S.$ | | | | 7 | | | | 8,866 | |
ONEOK, Inc.
6.35%, 01/15/2031 | | | | | | | 116 | | | | 146,231 | |
18
| | |
| |
| | | AB Variable Products Series Fund |
| | | | | | | | | | | | |
| Company | | Principal
Amount
(000) | | | U.S. $ Value | |
| | | | | | | | | | | | |
Plains All American Pipeline LP/PAA Finance Corp.
3.55%, 12/15/2029 | | | U.S.$ | | | | 16 | | | $ | 16,639 | |
3.80%, 09/15/2030 | | | | | | | 42 | | | | 44,212 | |
Suncor Energy, Inc.
6.50%, 06/15/2038 | | | | | | | 44 | | | | 60,311 | |
6.85%, 06/01/2039 | | | | | | | 94 | | | | 135,397 | |
TotalEnergies SE
Series NC7
1.625%, 10/25/2027(c)(h) | | | EUR | | | | 110 | | | | 124,266 | |
TransCanada PipeLines Ltd.
7.625%, 01/15/2039 | | | U.S.$ | | | | 134 | | | | 208,631 | |
Valero Energy Corp.
6.625%, 06/15/2037 | | | | | | | 32 | | | | 43,282 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 2,100,112 | |
| | | | | | | | | | | | |
TECHNOLOGY–0.4% | | | | | | | | | | | | |
Baidu, Inc.
1.625%, 02/23/2027 | | | | | | | 222 | | | | 215,686 | |
Broadcom, Inc. | | | | | | | | | | | | |
3.137%, 11/15/2035(c) | | | | | | | 33 | | | | 33,172 | |
3.187%, 11/15/2036(c) | | | | | | | 35 | | | | 35,113 | |
4.11%, 09/15/2028 | | | | | | | 116 | | | | 127,283 | |
Dell International LLC/EMC Corp.
8.35%, 07/15/2046 | | | | | | | 26 | | | | 43,544 | |
Fidelity National Information Services, Inc.
1.00%, 12/03/2028 | | | EUR | | | | 165 | | | | 191,100 | |
Kyndryl Holdings, Inc.
2.05%, 10/15/2026(c) | | | U.S.$ | | | | 130 | | | | 126,771 | |
Oracle Corp.
3.95%, 03/25/2051 | | | | | | | 177 | | | | 184,179 | |
VeriSign, Inc.
2.70%, 06/15/2031 | | | | | | | 34 | | | | 34,230 | |
Western Digital Corp. | | | | | | | | | | | | |
2.85%, 02/01/2029 | | | | | | | 28 | | | | 28,265 | |
3.10%, 02/01/2032 | | | | | | | 69 | | | | 69,497 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 1,088,840 | |
| | | | | | | | | | | | |
TRANSPORTATION–AIRLINES–0.0% | | | | | | | | | | | | |
Delta Air Lines, Inc.
7.00%, 05/01/2025(c) | | | | | | | 99 | | | | 113,290 | |
| | | | | | | | | | | | |
TRANSPORTATION–SERVICES–0.2% | | | | | | | | | | | | |
ENA Master Trust
4.00%, 05/19/2048(c) | | | | | | | 200 | | | | 200,913 | |
FedEx Corp.
0.45%, 05/04/2029 | | | EUR | | | | 220 | | | | 246,457 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 447,370 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 6,702,909 | |
| | | | | | | | | | | | |
| | | | | | | | | | | | |
UTILITY–0.3% | | | | | | | | | | | | |
ELECTRIC–0.3% | | | | | | | | | | | | |
EDP Finance BV
0.375%, 09/16/2026(c) | | | EUR | | | | 170 | | | | 194,006 | |
Enel Finance International NV
0.50%, 06/17/2030(c) | | | | | | | 225 | | | | 251,101 | |
Iberdrola International BV
Series NC6
1.45%, 11/09/2026(c)(h) | | | | | | | 100 | | | | 113,977 | |
NextEra Energy Capital Holdings, Inc.
1.90%, 06/15/2028 | | | U.S.$ | | | | 48 | | | | 47,639 | |
SSE PLC
1.375%, 09/04/2027(c) | | | EUR | | | | 160 | | | | 191,794 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 798,517 | |
| | | | | | | | | | | | |
Total Corporates–Investment Grade
(cost $15,602,427) | | | | | | | | | | | 15,542,502 | |
| | | | | |
CORPORATES–
NON-INVESTMENT
GRADE–2.5% | | | | | | | | | | | | |
| | | | | | | | | | | | |
INDUSTRIAL–2.0% | | | | | | | | | | | | |
BASIC–0.3% | | | | | | | | | | | | |
Axalta Coating Systems LLC
3.375%, 02/15/2029(c) | | | U.S.$ | | | | 150 | | | | 145,330 | |
INEOS Quattro Finance 2 PLC
2.50%, 01/15/2026(c) | | | EUR | | | | 100 | | | | 113,174 | |
Ingevity Corp.
3.875%, 11/01/2028(c) | | | U.S.$ | | | | 88 | | | | 85,811 | |
Olympus Water US Holding Corp.
3.875%, 10/01/2028(c) | | | EUR | | | | 150 | | | | 171,226 | |
Rimini Bidco SpA
5.25% (EURIBOR 3 Month + 5.25%), 12/14/2026(c)(i) | | | | | | | 115 | | | | 128,581 | |
WEPA Hygieneprodukte GmbH
2.875%, 12/15/2027(c) | | | | | | | 120 | | | | 129,546 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 773,668 | |
| | | | | | | | | | | | |
CAPITAL GOODS–0.2% | | | | | | | | | | | | |
Ardagh Metal Packaging Finance USA LLC/Ardagh Metal Packaging Finance PLC
2.00%, 09/01/2028(c) | | | | | | | 135 | | | | 152,051 | |
TK Elevator Midco GmbH 4.375%, 07/15/2027(c) | | | | | | | 140 | | | | 164,695 | |
TransDigm, Inc.
6.25%, 03/15/2026(c) | | | U.S.$ | | | | 110 | | | | 114,304 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 431,050 | |
| | | | | | | | | | | | |
19
| | |
| BALANCED WEALTH STRATEGY PORTFOLIO | | |
| PORTFOLIO OF INVESTMENTS | | |
| |
| (continued) | | AB Variable Products Series Fund |
| | | | | | | | | | | | |
| Company | | Principal
Amount
(000) | | | U.S. $ Value | |
| | | | | | | | | | | | |
COMMUNICATIONS–MEDIA–0.2% | | | | | | | | | | | | |
Cable One, Inc.
4.00%, 11/15/2030(c) | | | U.S.$ | | | | 53 | | | $ | 52,258 | |
CCO Holdings LLC/CCO Holdings Capital Corp.
4.50%, 08/15/2030–06/01/2033(c) | | | | | | | 112 | | | | 114,457 | |
DISH DBS Corp. | | | | | | | | | | | | |
5.25%, 12/01/2026(c) | | | | | | | 126 | | | | 127,989 | |
5.75%, 12/01/2028(c) | | | | | | | 87 | | | | 87,870 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 382,574 | |
| | | | | | | | | | | | |
COMMUNICATIONS–TELECOMMUNICATIONS–0.2% | | | | | | | | | | | | |
Lorca Telecom Bondco SA 4.00%, 09/18/2027(c) | | | EUR | | | | 110 | | | | 127,367 | |
Lumen Technologies, Inc.
4.50%, 01/15/2029(c) | | | U.S.$ | | | | 103 | | | | 99,882 | |
Telecom Italia SpA/Milano 1.625%, 01/18/2029(c) | | | EUR | | | | 140 | | | | 146,210 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 373,459 | |
| | | | | | | | | | | | |
CONSUMER CYCLICAL–AUTOMOTIVE–0.1% | | | | | | | | | | | | |
Clarios Global LP/Clarios US Finance Co.
4.375%, 05/15/2026(c) | | | | | | | 120 | | | | 140,066 | |
ZF Finance GmbH
2.00%, 05/06/2027(c) | | | | | | | 100 | | | | 113,809 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 253,875 | |
| | | | | | | | | | | | |
CONSUMER CYCLICAL–ENTERTAINMENT–0.1% | | | | | | | | | | | | |
Carnival Corp.
4.00%, 08/01/2028(c) | | | U.S.$ | | | | 173 | | | | 171,742 | |
Carnival PLC
1.00%, 10/28/2029 | | | EUR | | | | 200 | | | | 170,771 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 342,513 | |
| | | | | | | | | | | | |
CONSUMER CYCLICAL–OTHER–0.0% | | | | | | | | | | | | |
NH Hotel Group SA
4.00%, 07/02/2026(c) | | | | | | | 100 | | | | 113,225 | |
| | | | | | | | | | | | |
CONSUMER CYCLICAL–RESTAURANTS–0.1% | | | | | | | | | | | | |
1011778 BC ULC/New Red Finance, Inc.
3.50%, 02/15/2029(c) | | | U.S.$ | | | | 116 | | | | 114,835 | |
| | | | | | | | | | | | |
CONSUMER CYCLICAL–RETAILERS–0.0% | | | | | | | | | | | | |
Levi Strauss & Co.
3.50%, 03/01/2031(c) | | | | | | | 55 | | | | 56,084 | |
| | | | | | | | | | | | |
| | | | | | | | | | | | |
CONSUMER NON-CYCLICAL–0.4% | | | | | | | | | | | | |
Albertsons Cos., Inc./Safeway, Inc./New Albertsons LP/Albertsons LLC
3.50%, 02/15/2023(c) | | | U.S.$ | | | | 61 | | | | 62,158 | |
Avantor Funding, Inc.
2.625%, 11/01/2025(c) | | | EUR | | | | 102 | | | | 118,890 | |
Cheplapharm Arzneimittel GmbH
3.50%, 02/11/2027(c) | | | | | | | 120 | | | | 138,910 | |
Grifols Escrow Issuer SA
3.875%, 10/15/2028(c) | | | | | | | 100 | | | | 114,329 | |
Grifols SA
1.625%, 02/15/2025(c) | | | | | | | 100 | | | | 113,353 | |
Mozart Debt Merger Sub, Inc.
3.875%, 04/01/2029(c) | | | U.S.$ | | | | 131 | | | | 130,544 | |
Newell Brands, Inc. | | | | | | | | | | | | |
4.70%, 04/01/2026 | | | | | | | 81 | | | | 88,346 | |
4.875%, 06/01/2025 | | | | | | | 20 | | | | 21,763 | |
Paysafe Finance PLC/Paysafe Holdings US Corp.
3.00%, 06/15/2029(c) | | | EUR | | | | 135 | | | | 144,989 | |
Tenet Healthcare Corp.
4.625%, 07/15/2024 | | | U.S.$ | | | | 42 | | | | 42,632 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 975,914 | |
| | | | | | | | | | | | |
ENERGY–0.0% | | | | | | | | | | | | |
Venture Global Calcasieu Pass LLC
3.875%, 08/15/2029(c) | | | | | | | 98 | | | | 102,009 | |
| | | | | | | | | | | | |
OTHER INDUSTRIAL–0.1% | | | | | | | | | | | | |
Belden, Inc.
3.375%, 07/15/2027(c) | | | EUR | | | | 110 | | | | 126,832 | |
| | | | | | | | | | | | |
SERVICES–0.2% | | | | | | | | | | | | |
Block, Inc.
2.75%, 06/01/2026(c) | | | U.S.$ | | | | 149 | | | | 149,615 | |
Elior Group SA
3.75%, 07/15/2026(c) | | | EUR | | | | 105 | | | | 122,471 | |
Verisure Holding AB
3.25%, 02/15/2027(c) | | | | | | | 110 | | | | 124,911 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 396,997 | |
| | | | | |
TRANSPORTATION–AIRLINES–0.0% | | | | | | | | | | | | |
Deutsche Lufthansa AG
2.875%, 02/11/2025(c) | | | | | | | 100 | | | | 114,197 | |
| | | | | | | | | | | | |
TRANSPORTATION–SERVICES–0.1% | | | | | | | | | | | | |
Chicago Parking Meters LLC
4.93%, 12/30/2025(e) | | | U.S.$ | | | | 200 | | | | 215,129 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 4,772,361 | |
| | | | | |
20
| | |
| |
| | | AB Variable Products Series Fund |
| | | | | | | | | | | | |
| Company | | Principal
Amount
(000) | | | U.S. $ Value | |
| | | | | | | | | | | | |
FINANCIAL INSTITUTIONS–0.5% | | | | | | | | | | | | |
BANKING–0.4% | | | | | | | | | | | | |
Banco Bilbao Vizcaya Argentaria SA
Series 9
6.50%, 03/05/2025(h) | | | U.S.$ | | | | 200 | | | $ | 212,216 | |
Banco Santander SA
6.75%, 04/25/2022(c)(h) | | | EUR | | | | 200 | | | | 232,605 | |
Credit Suisse Group AG
7.50%, 12/11/2023(c)(h) | | | U.S.$ | | | | 200 | | | | 216,238 | |
Intesa Sanpaolo SpA
Series E
3.928%, 09/15/2026(c) | | | EUR | | | | 125 | | | | 156,781 | |
Societe Generale SA
7.875%, 12/18/2023(c)(h) | | | U.S.$ | | | | 200 | | | | 218,282 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 1,036,122 | |
| | | | | |
FINANCE–0.0% | | | | | | | | | | | | |
SLM Corp.
4.20%, 10/29/2025 | | | | | | | 80 | | | | 83,792 | |
| | | | | | | | | | | | |
REITs–0.1% | | | | | | | | | | | | |
Vivion Investments SARL
3.00%, 08/08/2024(c) | | | EUR | | | | 100 | | | | 111,330 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 1,231,244 | |
| | | | | |
Total Corporates–
Non-Investment Grade
(cost $6,091,999) | | | | | | | | | | | 6,003,605 | |
| | | | | |
COLLATERALIZED MORTGAGE
OBLIGATIONS–1.8% | | | | | | | | | | | | |
RISK SHARE FLOATING
RATE–1.4% | | | | | | | | | | | | |
Bellemeade Re Ltd. | | | | | | | | | | | | |
Series 2019-1A, Class M1B
1.852% (LIBOR 1 Month + 1.75%), 03/25/2029(c)(i) | | | U.S.$ | | | | 175 | | | | 174,575 | |
Series 2019-2A, Class M2
3.202% (LIBOR 1 Month + 3.10%), 04/25/2029(c)(i) | | | | | | | 150 | | | | 151,501 | |
Connecticut Avenue Securities Trust | | | | | | | | | | | | |
Series 2019-R02, Class 1M2
2.403% (LIBOR 1 Month + 2.30%), 08/25/2031(c)(i) | | | | | | | 17 | | | | 16,641 | |
| | | | | | | | | | | | |
Series 2019-R03, Class 1M2
2.253% (LIBOR 1 Month + 2.15%), 09/25/2031(c)(i) | | | U.S.$ | | | | 12 | | | | 11,848 | |
Series 2019-R04, Class 2M2
2.202% (LIBOR 1 Month + 2.10%), 06/25/2039(c)(i) | | | | | | | 9 | | | | 8,993 | |
Series 2019-R05, Class 1M2
2.103% (LIBOR 1 Month + 2.00%), 07/25/2039(c)(i) | | | | | | | 6 | | | | 5,514 | |
Series 2019-R06, Class 2M2
2.202% (LIBOR 1 Month + 2.10%), 09/25/2039(c)(i) | | | | | | | 19 | | | | 19,191 | |
Series 2019-R07, Class 1M2
2.203% (LIBOR 1 Month + 2.10%), 10/25/2039(c)(i) | | | | | | | 16 | | | | 15,839 | |
Series 2021-R01, Class 1M1
0.80% (SOFR + 0.75%), 10/25/2041(c)(i) | | | | | | | 14 | | | | 14,221 | |
Series 2021-R01, Class 1M2
1.60% (SOFR + 1.55%), 10/25/2041(c)(i) | | | | | | | 19 | | | | 19,468 | |
Series 2021-R03, Class 1M1
0.90%, 12/25/2041(c)(i) | | | | | | | 174 | | | | 174,244 | |
Series 2021-R03, Class 1M2
1.70% (SOFR + 1.65%), 12/25/2041(c)(i) | | | | | | | 131 | | | | 130,833 | |
Eagle RE Ltd. | | | | | | | | | | | | |
Series 2018-1, Class M1
1.802% (LIBOR 1 Month + 1.70%), 11/25/2028(c)(i) | | | | | | | 56 | | | | 55,779 | |
Series 2021-2, Class M1B
2.10% (SOFR + 2.05%), 04/25/2034(c)(i) | | | | | | | 150 | | | | 150,266 | |
Federal Home Loan Mortgage Corp. Structured Agency Credit Risk Debt Notes | | | | | | | | | | | | |
Series 2014-DN3, Class M3
4.103% (LIBOR 1 Month + 4.00%), 08/25/2024(i) | | | | | | | 65 | | | | 66,549 | |
21
| | |
| BALANCED WEALTH STRATEGY PORTFOLIO | | |
| PORTFOLIO OF INVESTMENTS | | |
| |
| (continued) | | AB Variable Products Series Fund |
| | | | | | | | | | | | |
| Company | | Principal
Amount
(000) | | | U.S. $ Value | |
| | | | | | | | | | | | |
Series 2014-HQ3, Class M3
4.853% (LIBOR 1 Month + 4.75%), 10/25/2024(i) | | U.S.$ | | | | | 6 | | | $ | 5,988 | |
Series 2019-DNA3, Class M2
2.153% (LIBOR 1 Month + 2.05%), 07/25/2049(c)(i) | | | | | | | 20 | | | | 20,585 | |
Series 2019-HQA1, Class M2 | | | | | | | | | | | | |
2.453% (LIBOR 1 Month + 2.35%), 02/25/2049(c)(i) | | | | | | | 46 | | | | 45,981 | |
Series 2021-DNA5, Class M2
1.70% (SOFR + 1.65%), 01/25/2034(c)(i) | | | | | | | 56 | | | | 55,840 | |
Series 2021-DNA6, Class M2
1.55% (SOFR + 1.50%), 10/25/2041(c)(i) | | | | | | | 146 | | | | 146,391 | |
Series 2021-DNA7, Class M2
1.85% (SOFR + 1.80%), 11/25/2041(c)(i) | | | | | | | 218 | | | | 218,230 | |
Series 2021-HQA4, Class M1
1.00%, 12/25/2041(c)(i) | | | | | | | 174 | | | | 174,302 | |
Series 2021-HQA4, Class M2
2.40%, 12/25/2041(c)(i) | | | | | | | 218 | | | | 218,085 | |
Federal National Mortgage Association Connecticut Avenue Securities
Series 2015-C01, Class 1M2
4.403% (LIBOR 1 Month + 4.30%), 02/25/2025(i) | | | | | | | 26 | | | | 26,084 | |
Series 2015-C02, Class 1M2
4.103% (LIBOR 1 Month + 4.00%), 05/25/2025(i) | | | | | | | 39 | | | | 39,511 | |
Series 2015-C02, Class 2M2
4.103% (LIBOR 1 Month + 4.00%), 05/25/2025(i) | | | | | | | 4 | | | | 4,070 | |
| | | | | | | | | | | | |
Series 2015-C03, Class 1M2
5.103% (LIBOR 1 Month + 5.00%), 07/25/2025(i) | | U.S.$ | | | | | 18 | | | | 18,838 | |
Series 2015-C03, Class 2M2
5.103% (LIBOR 1 Month + 5.00%), 07/25/2025(i) | | | | | | | 7 | | | | 7,192 | |
Series 2015-C04, Class 1M2
5.803% (LIBOR 1 Month + 5.70%), 04/25/2028(i) | | | | | | | 33 | | | | 34,764 | |
Series 2015-C04, Class 2M2
5.653% (LIBOR 1 Month + 5.55%), 04/25/2028(i) | | | | | | | 115 | | | | 120,294 | |
Series 2016-C01, Class 1M2
6.853% (LIBOR 1 Month + 6.75%), 08/25/2028(i) | | | | | | | 36 | | | | 37,556 | |
Series 2016-C02, Class 1M2
6.103% (LIBOR 1 Month + 6.00%), 09/25/2028(i) | | | | | | | 61 | | | | 63,052 | |
Series 2016-C05, Class 2M2
4.553% (LIBOR 1 Month + 4.45%), 01/25/2029(i) | | | | | | | 134 | | | | 138,631 | |
Series 2016-C06, Class 1M2
4.353% (LIBOR 1 Month + 4.25%), 04/25/2029(i) | | | | | | | 80 | | | | 82,674 | |
Series 2017-C01, Class 1M2
3.653% (LIBOR 1 Month + 3.55%), 07/25/2029(i) | | | | | | | 56 | | | | 57,415 | |
Series 2017-C05, Class 1M2
2.303% (LIBOR 1 Month + 2.20%), 01/25/2030(i) | | | | | | | 105 | | | | 106,850 | |
Series 2021-R02, Class 2M2
2.05% (SOFR + 2.00%), 11/25/2041(c)(i) | | | | | | | 95 | | | | 95,421 | |
22
| | |
| |
| | | AB Variable Products Series Fund |
| | | | | | | | | | | | |
| Company | | Principal
Amount
(000) | | | U.S. $ Value | |
| | | | | | | | | | | | |
JPMorgan Chase Commercial Mortgage Securities Trust
Series 2014-CH1, Class M2
4.353% (LIBOR 1 Month + 4.25%), 11/25/2024(i)(j) | | U.S.$ | | | | | 9 | | | $ | 8,508 | |
PMT Credit Risk Transfer Trust
Series 2019-1R, Class A
2.102% (LIBOR 1 Month + 2.00%), 03/27/2024(c)(i) | | | | | | | 46 | | | | 46,350 | |
Series 2019-2R, Class A
2.852% (LIBOR 1 Month + 2.75%), 05/27/2023(c)(i) | | | | | | | 77 | | | | 76,336 | |
Radnor Re Ltd.
Series 2019-1, Class M1B
2.053% (LIBOR 1 Month + 1.95%), 02/25/2029(c)(i) | | | | | | | 140 | | | | 140,476 | |
STACR Trust
Series 2018-DNA3, Class M2
2.203% (LIBOR 1 Month + 2.10%), 09/25/2048(c)(i) | | | | | | | 174 | | | | 175,921 | |
Traingle Re Ltd.
Series 2021-1, Class M1B
3.102% (LIBOR 1 Month + 3.00%), 08/25/2033(c)(i) | | | | | | | 88 | | | | 88,374 | |
Series 2021-3, Class M1A
1.95% (SOFR + 1.90%), 02/25/2034(c)(i) | | | | | | | 178 | | | | 177,893 | |
Wells Fargo Credit Risk Transfer Securities Trust
Series 2015-WF1, Class 1M2
5.353% (LIBOR 1 Month + 5.25%), 11/25/2025(i)(j) | | | | | | | 45 | | | | 43,393 | |
Series 2015-WF1, Class 2M2
5.603% (LIBOR 1 Month + 5.50%), 11/25/2025(i)(j) | | | | | | | 12 | | | | 11,748 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 3,502,215 | |
| | | | | | | | | | | | |
| | | | | | | | | | | | |
AGENCY FLOATING RATE–0.2% | | | | | | | | | | | | |
Federal Home Loan Mortgage Corp. REMICs
Series 4416, Class BS
5.99% (6.10%–LIBOR 1 Month), 12/15/2044(i)(k) | | U.S.$ | | | | | 302 | | | | 50,763 | |
Series 4693, Class SL
6.04% (6.15%–LIBOR 1 Month), 06/15/2047(i)(k) | | | | | | | 315 | | | | 58,312 | |
Series 4719, Class JS
6.04% (6.15%–LIBOR 1 Month), 09/15/2047(i)(k) | | | | | | | 198 | | | | 31,111 | |
Federal National Mortgage Association REMICs Series 2011-131, Class ST
6.438% (6.54%–LIBOR 1 Month), 12/25/2041(i)(k) | | | | | | | 160 | | | | 30,150 | |
Series 2016-106, Class ES
5.898% (6.00%–LIBOR 1 Month), 01/25/2047(i)(k) | | | | | | | 285 | | | | 49,679 | |
Series 2017-81, Class SA
6.098% (6.20%–LIBOR 1 Month), 10/25/2047(i)(k) | | | | | | | 325 | | | | 61,743 | |
Series 2017-97, Class LS
6.098% (6.20%–LIBOR 1 Month), 12/25/2047(i)(k) | | | | | | | 277 | | | | 54,254 | |
Government National Mortgage Association
Series 2017-134, Class SE
6.096% (6.20%–LIBOR 1 Month), 09/20/2047(i)(k) | | | | | | | 163 | | | | 25,850 | |
Series 2017-65, Class ST
6.046% (6.15%–LIBOR 1 Month), 04/20/2047(i)(k) | | | | | | | 294 | | | | 52,964 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 414,826 | |
| | | | | | | | | | | | |
23
| | |
| BALANCED WEALTH STRATEGY PORTFOLIO | | |
| PORTFOLIO OF INVESTMENTS | | |
| |
| (continued) | | AB Variable Products Series Fund |
| | | | | | | | | | | | |
| Company | | Principal
Amount
(000) | | | U.S. $ Value | |
| | | | | | | | | | | | |
NON-AGENCY FIXED RATE–0.1% | | | | | | | | | | | | |
Alternative Loan Trust
Series 2005-20CB, Class 3A6
5.50%, 07/25/2035 | | | U.S.$ | | | | 15 | | | $ | 12,561 | |
Series 2006-24CB, Class A16
5.75%, 08/25/2036 | | | | | | | 79 | | | | 59,242 | |
Series 2006-28CB, Class A14
6.25%, 10/25/2036 | | | | | | | 58 | | | | 41,198 | |
Series 2006-J1, Class 1A13
5.50%, 02/25/2036 | | | | | | | 35 | | | | 31,426 | |
Chase Mortgage Finance Trust
Series 2007-S5, Class 1A17
6.00%, 07/25/2037 | | | | | | | 27 | | | | 17,466 | |
Countrywide Home Loan Mortgage Pass-Through Trust
Series 2006-10, Class 1A8
6.00%, 05/25/2036 | | | | | | | 34 | | | | 21,858 | |
Series 2006-13, Class 1A19
6.25%, 09/25/2036 | | | | | | | 19 | | | | 11,681 | |
First Horizon Alternative Mortgage Securities Trust
Series 2006-FA3, Class A9
6.00%, 07/25/2036 | | | | | | | 70 | | | | 44,720 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 240,152 | |
| | | | | | | | | | | | |
NON-AGENCY FLOATING RATE–0.1% | | | | | | | | | | | | |
Deutsche Alt-A Securities Mortgage Loan Trust
Series 2006-AR4, Class A2
0.482% (LIBOR 1 Month + 0.38%), 12/25/2036(i) | | | | | | | 189 | | | | 87,358 | |
HomeBanc Mortgage Trust Series 2005-1, Class A1
0.602% (LIBOR 1 Month + 0.50%), 03/25/2035(i) | | | | | | | 42 | | | | 37,532 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 124,890 | |
| | | | | | | | | | | | |
Total Collateralized Mortgage Obligations
(cost $4,332,981) | | | | | | | | | | | 4,282,083 | |
| | | | | |
| | | | | | | | | | | | |
MORTGAGE PASS-THROUGHS–1.3% | | | | | | | | | |
AGENCY FIXED RATE 30-YEAR–1.3% | | | | | | | | | | | | |
Federal Home Loan Mortgage Corp.
Series 2019
3.50%, 09/01/2049 | | | U.S.$ | | | | 203 | | | | 216,822 | |
Series 2020
2.50%, 07/01/2050 | | | | | | | 125 | | | | 128,645 | |
Federal Home Loan Mortgage Corp. Gold
Series 2019
4.50%, 02/01/2049 | | | | | | | 104 | | | | 113,571 | |
Federal National Mortgage Association
Series 2012
3.50%, 11/01/2042 | | | | | | | 223 | | | | 241,056 | |
Series 2013
3.50%, 04/01/2043 | | | | | | | 141 | | | | 151,966 | |
Series 2018
3.50%, 02/01/2048 | | | | | | | 88 | | | | 93,142 | |
4.50%, 09/01/2048 | | | | | | | 201 | | | | 217,706 | |
Series 2020
2.50%, 07/01/2050 | | | | | | | 692 | | | | 717,150 | |
Uniform Mortgage-Backed Security
Series 2022
2.50%, 01/01/2052, TBA | | | | | | | 1,341 | | | | 1,369,635 | |
| | | | | | | | | | | | |
Total Mortgage Pass-Throughs
(cost $3,244,068) | | | | | | | | | | | 3,249,693 | |
| | | | | |
QUASI-SOVEREIGNS–1.3% | | | | | | | | | |
| | | | | | | | | | | | |
QUASI-SOVEREIGN BONDS–1.3% | | | | | | | | | |
CHINA–1.2% | | | | | | | | | | | | |
China Development Bank
Series 1805
4.88%, 02/09/2028 | | | CNY | | | | 12,590 | | | | 2,180,143 | |
Series 1910
3.65%, 05/21/2029 | | | | | | | 2,040 | | | | 331,894 | |
Series 2004
3.43%, 01/14/2027 | | | | | | | 1,780 | | | | 286,256 | |
Series 2009
3.39%, 07/10/2027 | | | | | | | 1,140 | | | | 182,976 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 2,981,269 | |
| | | | | | | | | | | | |
MEXICO–0.1% | | | | | | | | | | | | |
Comision Federal de Electricidad
3.348%, 02/09/2031(c) | | | U.S.$ | | | | 200 | | | | 196,100 | |
| | | | | | | | | | | | |
Total Quasi-Sovereigns
(cost $2,837,930) | | | | | | | | | | | 3,177,369 | |
| | | | | |
24
| | |
| |
| | | AB Variable Products Series Fund |
| | | | | | | | | | | | |
| Company | | Principal
Amount
(000) | | | U.S. $ Value | |
| | | | | | | | | | | | |
COLLATERALIZED LOAN OBLIGATIONS–0.8% | | | | | | | | | | | | |
CLO–FLOATING RATE–0.8% | | | | | | | | | | | | |
AGL CLO 12 Ltd.
Series 2021-12A, Class A1
1.29% (LIBOR 3 Month + 1.16%), 07/20/2034(c)(i) | | U.S.$ | | | | | 250 | | | $ | 249,858 | |
Ballyrock CLO 16 Ltd.
Series 2021-16A, Class A1
1.265% (LIBOR 3 Month + 1.13%), 07/20/2034(c)(i) | | | | | | | 250 | | | | 249,438 | |
ICG US CLO Ltd.
Series 2015-1A, Class A1R
1.264% (LIBOR 3 Month + 1.14%), 10/19/2028(c)(i) | | | | | | | 249 | | | | 249,491 | |
Neuberger Berman Loan Advisers CLO 42 Ltd.
Series 2021-42A, Class B
1.722% (LIBOR 3 Month + 1.60%), 07/16/2035(c)(i) | | | | | | | 250 | | | | 248,239 | |
Neuberger Berman Loan Advisers CLO 43 Ltd.
Series 2021-43A, Class A
1.242% (LIBOR 3 Month + 1.13%), 07/17/2035(c)(i) | | | | | | | 250 | | | | 249,906 | |
Octagon Loan Funding Ltd.
Series 2014-1A, Class ARR
1.34% (LIBOR 3 Month + 1.18%), 11/18/2031(c)(i) | | | | | | | 320 | | | | 320,029 | |
Pikes Peak CLO 8
Series 2021-8A, Class B
1.902% (LIBOR 3 Month + 1.75%), 07/20/2034(c)(i) | | | | | | | 250 | | | | 249,997 | |
TIAA CLO IV Ltd.
Series 2018-1A, Class A1A
1.362% (LIBOR 3 Month + 1.23%), 01/20/2032(c)(i) | | | | | | | 250 | | | | 250,009 | |
| | | | | | | | | | | | |
Total Collateralized Loan Obligations
(cost $2,069,482) | | | | | | | | | | | 2,066,967 | |
| | | | | |
| | | | | | | | | | | | |
COMMERCIAL MORTGAGE-BACKED SECURITIES–0.7% | | | | | | | | | | | | |
NON-AGENCY FLOATING RATE CMBS–0.5% | | | | | | | | | | | | |
Ashford Hospitality Trust
Series 2018-KEYS, Class A
1.11% (LIBOR 1 Month + 1.00%), 06/15/2035(c)(i) | | U.S.$ | | | | | 200 | | | | 200,103 | |
BAMLL Commercial Mortgage Securities Trust
Series 2017-SCH, Class AF
1.11% (LIBOR 1 Month + 1.00%), 11/15/2033(c)(i) | | | | | | | 375 | | | | 373,844 | |
BHMS
Series 2018-ATLS, Class A
1.36% (LIBOR 1 Month + 1.25%), 07/15/2035(c)(i) | | | | | | | 158 | | | | 157,944 | |
BX Trust
Series 2018-EXCL, Class A
1.198% (LIBOR 1 Month + 1.09%), 09/15/2037(c)(i) | | | | | | | 148 | | | | 147,584 | |
DBWF Mortgage Trust
Series 2018-GLKS, Class A
1.134% (LIBOR 1 Month + 1.03%), 12/19/2030(c)(i) | | | | | | | 166 | | | | 165,221 | |
Invitation Homes Trust
Series 2018-SFR4, Class A
1.209% (LIBOR 1 Month + 1.10%), 01/17/2038(c)(i) | | | | | | | 208 | | | | 207,866 | |
Morgan Stanley Capital I Trust
Series 2015-XLF2, Class SNMA
2.06% (LIBOR 1 Month + 1.95%), 11/15/2026(i)(j) | | | | | | | 73 | | | | 67,466 | |
| | | | | | | | | | | | |
| | | | 1,320,028 | |
| | | | | |
25
| | |
| BALANCED WEALTH STRATEGY PORTFOLIO | | |
| PORTFOLIO OF INVESTMENTS | | |
| |
| (continued) | | AB Variable Products Series Fund |
| | | | | | | | | | | | |
| Company | | Principal
Amount
(000) | | | U.S. $ Value | |
| | | | | | | | | | | | |
NON-AGENCY FIXED RATE CMBS–0.2% | | | | | | | | | | | | |
GS Mortgage Securities Trust
Series 2013-G1, Class A2
3.557%, 04/10/2031(c) | | | U.S.$ | | | | 276 | | | $ | 273,438 | |
JPMorgan Chase Commercial Mortgage Securities Trust
Series 2012-C6, Class E
5.122%, 05/15/2045(c) | | | | | | | 119 | | | | 83,143 | |
LSTAR Commercial Mortgage Trust
Series 2016-4, Class A2
2.579%, 03/10/2049(c) | | | | | | | 137 | | | | 138,736 | |
| | | | | | | | | | | | |
| | | | 495,317 | |
| | | | | |
Total Commercial
Mortgage-Backed
Securities
(cost $1,860,847) | | | | | | | | | | | 1,815,345 | |
| | | | | |
INFLATION-LINKED SECURITIES–0.7% | | | | | | | | | | | | |
AUSTRALIA–0.3% | | | | | | | | | | | | |
Australia Government Bond
Series 30CI
2.50%, 09/20/2030(c) | | | AUD | | | | 732 | | | | 856,399 | |
| | | | | | | | | | | | |
UNITED STATES–0.4% | | | | | | | | | | | | |
U.S. Treasury Notes
0.125%, 10/15/2026 (TIPS) | | | U.S.$ | | | | 804 | | | | 875,874 | |
| | | | | | | | | | | | |
Total Inflation-Linked
Securities
(cost $1,725,967) | | | | | | | | | | | 1,732,273 | |
| | | | | |
GOVERNMENTS–SOVEREIGN BONDS–0.5% | | | | | | | | | | | | |
COLOMBIA–0.1% | | | | | | | | | | | | |
Colombia Government International Bond
3.875%, 04/25/2027 | | | | | | | 200 | | | | 201,475 | |
| | | | | | | | | | | | |
GERMANY–0.1% | | | | | | | | | | | | |
Kreditanstalt fuer Wiederaufbau
Zero Coupon, 06/15/2029(c) | | | EUR | | | | 115 | | | | 131,293 | |
| | | | | | | | | | | | |
INDONESIA–0.1% | | | | | | | | | | | | |
Indonesia Government International Bond
3.375%, 07/30/2025(c) | | | | | | | 180 | | | | 225,141 | |
| | | | | | | | | | | | |
MEXICO–0.1% | | | | | | | | | | | | |
Mexico Government International Bond
4.75%, 04/27/2032 | | | U.S.$ | | | | 280 | | | | 316,452 | |
| | | | | | | | | | | | |
| | | | | | | | | | | | |
PANAMA–0.1% | | | | | | | | | | | | |
Panama Government International Bond
6.70%, 01/26/2036 | | | U.S.$ | | | | 165 | | | | 221,028 | |
| | | | | | | | | | | | |
Total Governments–Sovereign Bonds
(cost $1,133,012) | | | | | | | | | | | 1,095,389 | |
| | | | | |
EMERGING MARKETS–CORPORATE BONDS–0.4% | | | | | | | | | | | | |
| | | | | | | | | | | | |
INDUSTRIAL–0.4% | | | | | | | | | | | | |
BASIC–0.1% | | | | | | | | | | | | |
Cia de Minas Buenaventura SAA
5.50%, 07/23/2026(c) | | | | | | | 200 | | | | 194,850 | |
Volcan Cia Minera SAA
4.375%, 02/11/2026(c) | | | | | | | 24 | | | | 23,157 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 218,007 | |
| | | | | |
CAPITAL GOODS–0.2% | | | | | | | | | | | | |
Cemex SAB de CV
5.45%, 11/19/2029(c) | | | | | | | 200 | | | | 214,538 | |
Embraer Netherlands Finance BV
6.95%, 01/17/2028(c) | | | | | | | 200 | | | | 221,662 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 436,200 | |
| | | | | |
COMMUNICATIONS–MEDIA–0.1% | | | | | | | | | | | | |
Globo Comunicacao e Participacoes SA
4.875%, 01/22/2030(c) | | | | | | | 200 | | | | 194,225 | |
| | | | | | | | | | | | |
ENERGY–0.0% | | | | | | | | | | | | |
Leviathan Bond Ltd.
6.125%, 06/30/2025(c) | | | | | | | 46 | | | | 48,729 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 897,161 | |
| | | | | |
UTILITY–0.0% | | | | | | | | | | | | |
ELECTRIC–0.0% | | | | | | | | | | | | |
Terraform Global Operating LLC
6.125%, 03/01/2026(j) | | | | | | | 14 | | | | 14,303 | |
| | | | | | | | | | | | |
Total Emerging Markets–
Corporate Bonds
(cost $920,031) | | | | | | | | | | | 911,464 | |
| | | | | |
EMERGING MARKETS–SOVEREIGNS–0.3% | | | | | | | | | | | | |
BAHRAIN–0.1% | | | | | | | | | | | | |
Bahrain Government International Bond
5.25%, 01/25/2033(b)(c) | | | | | | | 200 | | | | 187,438 | |
| | | | | | | | | | | | |
EGYPT–0.1% | | | | | | | | | | | | |
Egypt Government International Bond
7.30%, 09/30/2033(c) | | | | | | | 200 | | | | 183,760 | |
| | | | | | | | | | | | |
26
| | |
| |
| | | AB Variable Products Series Fund |
| | | | | | | | | | | | |
| Company | | Principal
Amount
(000) | | | U.S. $ Value | |
| | | | | | | | | | | | |
IVORY COAST–0.0% | | | | | | | | | | | | |
Ivory Coast Government International Bond
5.875%, 10/17/2031(c) | | | EUR | | | | 100 | | | $ | 116,824 | |
| | | | | | | | | | | | |
SENEGAL–0.1% | | | | | | | | | | | | |
Senegal Government International Bond
6.25%, 05/23/2033(c) | | | U.S.$ | | | | 200 | | | | 205,000 | |
| | | | | | | | | | | | |
Total Emerging Markets–
Sovereigns
(cost $707,857) | | | | | | | | | | | 693,022 | |
| | | | | |
GOVERNMENTS–SOVEREIGN AGENCIES–0.2% | | | | | | | | | | | | |
CANADA–0.1% | | | | | | | | | | | | |
Canada Housing Trust No. 1
2.10%, 09/15/2029(c) | | | CAD | | | | 380 | | | | 308,404 | |
| | | | | | | | | | | | |
JAPAN–0.1% | | | | | | | | | | | | |
Development Bank of Japan, Inc.
Series G
0.01%, 10/15/2024(c) | | | EUR | | | | 220 | | | | 251,304 | |
| | | | | | | | | | | | |
Total Governments–Sovereign Agencies
(cost $568,197) | | | | | | | | | | | 559,708 | |
| | | | | |
COVERED BONDS–0.1% | | | | | | | | | | | | |
DNB Boligkreditt AS
0.625%, 06/19/2025(c)
(cost $343,512) | | | | | | | 282 | | | | 329,382 | |
| | | | | | | | | | | | |
LOCAL GOVERNMENTS–
REGIONAL BONDS–0.1% | | | | | | | | | | | | |
JAPAN–0.1% | | | | | | | | | | | | |
Japan Finance Organization for Municipalities
Series G
0.05%, 02/12/2027(c) (cost $222,976) | | | | | | | 185 | | | | 209,963 | |
| | | | | | | | | | | | |
ASSET-BACKED
SECURITIES–0.0% | | | | | | | | | | | | |
OTHER ABS–FIXED RATE–0.0% | | | | | | | | | | | | |
Nelnet Student Loan Trust
Series 2021-CA, Class B
2.53%, 04/20/2062(c) (cost $103,575) | | | U.S.$ | | | | 104 | | | | 101,534 | |
| | | | | | | | | | | | |
| | | | | | | | | | | | |
SHORT-TERM
INVESTMENTS–2.2% | | | | | | | | | |
GOVERNMENTS–
TREASURIES–1.6% | | | | | | | | | | | | |
Japan Treasury Discount Bill | | | | | | | | | | | | |
Series 1035
Zero Coupon, 02/14/2022 | | | JPY | | | | 246,200 | | | | 2,140,590 | |
Series 1037
Zero Coupon,
02/21/2022 197,450 | | | | | | | | | | | 1,716,766 | |
| | | | | | | | | | | | |
Total Governments–Treasuries
(cost $3,892,478) | | | | | | | | | | | 3,857,356 | |
| | | | | |
| | | | | | Shares | | | | |
INVESTMENT COMPANIES–0.6% | | | | | | | | | | | | |
AB Fixed Income Shares, Inc.–Government Money Market Portfolio–Class AB, 0.01%(f)(g)(l)
(cost $1,525,025) | | | | | | | 1,525,025 | | | | 1,525,025 | |
| | | | | | | | | |
Total Short-Term Investments
(cost $5,417,503) | | | | | | | | | | | 5,382,381 | |
| | | | | | | | | | | | |
Total Investments Before Security Lending Collateral for Securities Loaned–100.3%
(cost $205,182,584) | | | | | | | | | | | 246,596,540 | |
| | | | | |
INVESTMENTS OF CASH COLLATERAL FOR SECURITIES
LOANED–0.1% | | | | | | | | | | | | |
INVESTMENT COMPANIES–0.1% | | | | | | | | | | | | |
AB Fixed Income Shares, Inc.–Government Money Market Portfolio–Class AB, 0.01%(f)(g)(l)
(cost $213,954) | | | | | | | 213,954 | | | | 213,954 | |
| | | | | | | | | | | | |
TOTAL
INVESTMENTS–100.4%
(cost $205,396,538) | | | | | | | | | | | 246,810,494 | |
Other assets less
liabilities–(0.4)% | | | | | | | | | | | (1,038,376 | ) |
| | | | | | | | | | | | |
NET ASSETS–100.0% | | | | | | | | | | $ | 245,772,118 | |
| | | | | | | | | | | | |
27
| | |
| BALANCED WEALTH STRATEGY PORTFOLIO | | |
| PORTFOLIO OF INVESTMENTS | | |
| |
| (continued) | | AB Variable Products Series Fund |
FUTURES (see Note D)
| | | | | | | | | | | | | | | | |
| Description | | Number of
Contracts | | | Expiration
Month | | | Current
Notional | | | Value and
Unrealized
Appreciation/
(Depreciation) | |
Purchased Contracts | | | | | | | | | | | | | | | | |
Euro-Bund Futures | | | 3 | | | | March 2022 | | | $ | 382,638 | | | $ | (652 | ) |
U.S. 10 Yr Ultra Futures | | | 3 | | | | March 2022 | | | | 439,312 | | | | 6,254 | |
U.S. T-Note 2 Yr (CBT) Futures | | | 16 | | | | March 2022 | | | | 3,490,750 | | | | (2,870 | ) |
| | | | |
Sold Contracts | | | | | | | | | | | | | | | | |
10 Yr Canadian Bond Futures | | | 8 | | | | March 2022 | | | | 901,980 | | | | (17,278 | ) |
Euro-BOBL Futures | | | 29 | | | | March 2022 | | | | 4,399,117 | | | | 38,221 | |
Long Gilt Futures | | | 3 | | | | March 2022 | | | | 507,175 | | | | 2,189 | |
| | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | $ | 25,864 | |
| | | | | | | | | | | | | | | | |
FORWARD CURRENCY EXCHANGE CONTRACTS (see Note D)
| | | | | | | | | | | | | | | | | | | | | | | | |
| Counterparty | | Contracts to
Deliver
(000) | | | In Exchange
For
(000) | | | Settlement
Date | | | Unrealized
Appreciation/
(Depreciation) | |
Barclays Bank PLC | | | INR | | | | 64,197 | | | | USD | | | | 847 | | | | 01/07/2022 | | | $ | (15,494 | ) |
BNP Paribas SA | | | USD | | | | 836 | | | | GBP | | | | 623 | | | | 01/14/2022 | | | | 7,054 | |
BNP Paribas SA | | | USD | | | | 852 | | | | NZD | | | | 1,229 | | | | 01/20/2022 | | | | (10,429 | ) |
BNP Paribas SA | | | ZAR | | | | 19,945 | | | | USD | | | | 1,221 | | | | 01/25/2022 | | | | (26,733 | ) |
Citibank, NA | | | KRW | | | | 3,579,778 | | | | USD | | | | 3,034 | | | | 01/20/2022 | | | | 24,762 | |
Citibank, NA | | | USD | | | | 1,049 | | | | KRW | | | | 1,247,934 | | | | 01/20/2022 | | | | (116 | ) |
Citibank, NA | | | USD | | | | 101 | | | | COP | | | | 393,926 | | | | 01/21/2022 | | | | (4,318 | ) |
Citibank, NA | | | USD | | | | 858 | | | | IDR | | | | 12,351,012 | | | | 01/27/2022 | | | | 10,333 | |
Citibank, NA | | | JPY | | | | 1,211,574 | | | | USD | | | | 10,643 | | | | 02/09/2022 | | | | 108,092 | |
Citibank, NA | | | USD | | | | 922 | | | | EUR | | | | 804 | | | | 02/10/2022 | | | | (6,444 | ) |
Deutsche Bank AG | | | EUR | | | | 17,986 | | | | USD | | | | 20,794 | | | | 02/10/2022 | | | | 301,857 | |
Goldman Sachs Bank USA | | | CHF | | | | 759 | | | | USD | | | | 827 | | | | 01/13/2022 | | | | (5,894 | ) |
Goldman Sachs Bank USA | | | MXN | | | | 17,316 | | | | USD | | | | 848 | | | | 01/13/2022 | | | | 3,459 | |
Goldman Sachs Bank USA | | | MXN | | | | 17,953 | | | | USD | | | | 820 | | | | 01/13/2022 | | | | (55,659 | ) |
Goldman Sachs Bank USA | | | NOK | | | | 7,559 | | | | USD | | | | 907 | | | | 01/20/2022 | | | | 48,593 | |
Goldman Sachs Bank USA | | | NZD | | | | 1,222 | | | | USD | | | | 870 | | | | 01/20/2022 | | | | 33,571 | |
Goldman Sachs Bank USA | | | MYR | | | | 1,237 | | | | USD | | | | 291 | | | | 06/16/2022 | | | | (3,731 | ) |
HSBC Bank USA | | | USD | | | | 858 | | | | INR | | | | 64,346 | | | | 01/07/2022 | | | | 6,424 | |
HSBC Bank USA | | | TWD | | | | 24,252 | | | | USD | | | | 868 | | | | 01/20/2022 | | | | (8,005 | ) |
HSBC Bank USA | | | USD | | | | 881 | | | | TWD | | | | 24,365 | | | | 01/20/2022 | | | | (1,228 | ) |
HSBC Bank USA | | | IDR | | | | 12,477,341 | | | | USD | | | | 865 | | | | 01/27/2022 | | | | (11,430 | ) |
JPMorgan Chase Bank, NA | | | USD | | | | 884 | | | | NOK | | | | 7,566 | | | | 01/20/2022 | | | | (25,040 | ) |
JPMorgan Chase Bank, NA | | | USD | | | | 170 | | | | COP | | | | 666,395 | | | | 01/21/2022 | | | | (6,792 | ) |
JPMorgan Chase Bank, NA | | | AUD | | | | 718 | | | | USD | | | | 533 | | | | 02/08/2022 | | | | 11,001 | |
JPMorgan Chase Bank, NA | | | EUR | | | | 1,517 | | | | USD | | | | 1,731 | | | | 02/10/2022 | | | | 2,098 | |
Morgan Stanley Capital Services, Inc. | | | USD | | | | 866 | | | | TWD | | | | 24,251 | | | | 01/20/2022 | | | | 9,329 | |
Morgan Stanley Capital Services, Inc. | | | USD | | | | 1,264 | | | | ZAR | | | | 20,124 | | | | 01/25/2022 | | | | (4,823 | ) |
Morgan Stanley Capital Services, Inc. | | | AUD | | | | 3,866 | | | | USD | | | | 2,858 | | | | 02/08/2022 | | | | 45,227 | |
Morgan Stanley Capital Services, Inc. | | | CAD | | | | 1,810 | | | | USD | | | | 1,438 | | | | 02/10/2022 | | | | 7,181 | |
Standard Chartered Bank | | | USD | | | | 985 | | | | KRW | | | | 1,174,275 | | | | 01/20/2022 | | | | 1,548 | |
Standard Chartered Bank | | | JPY | | | | 197,522 | | | | USD | | | | 1,734 | | | | 02/09/2022 | | | | 16,840 | |
Standard Chartered Bank | | | USD | | | | 892 | | | | EUR | | | | 786 | | | | 02/10/2022 | | | | 3,785 | |
28
| | |
| |
| | | AB Variable Products Series Fund |
| | | | | | | | | | | | | | | | | | | | | | | | |
| Counterparty | | Contracts to
Deliver
(000) | | | In Exchange
For
(000) | | | Settlement
Date | | | Unrealized
Appreciation/
(Depreciation) | |
State Street Bank & Trust Co. | | | MXN | | | | 302 | | | | USD | | | | 15 | | | | 01/13/2022 | | | $ | 65 | |
State Street Bank & Trust Co. | | | USD | | | | 197 | | | | CHF | | | | 181 | | | | 01/13/2022 | | | | 1,501 | |
State Street Bank & Trust Co. | | | USD | | | | 836 | | | | MXN | | | | 17,175 | | | | 01/13/2022 | | | | 1,633 | |
State Street Bank & Trust Co. | | | GBP | | | | 27 | | | | USD | | | | 37 | | | | 01/14/2022 | | | | 100 | |
State Street Bank & Trust Co. | | | SGD | | | | 48 | | | | USD | | | | 35 | | | | 01/14/2022 | | | | (308 | ) |
State Street Bank & Trust Co. | | | USD | | | | 103 | | | | GBP | | | | 76 | | | | 01/14/2022 | | | | (253 | ) |
State Street Bank & Trust Co. | | | USD | | | | 82 | | | | SGD | | | | 110 | | | | 01/14/2022 | | | | (13 | ) |
State Street Bank & Trust Co. | | | DKK | | | | 559 | | | | USD | | | | 87 | | | | 01/20/2022 | | | | 1,499 | |
State Street Bank & Trust Co. | | | NOK | | | | 373 | | | | USD | | | | 45 | | | | 01/20/2022 | | | | 2,509 | |
State Street Bank & Trust Co. | | | NOK | | | | 372 | | | | USD | | | | 41 | | | | 01/20/2022 | | | | (1,312 | ) |
State Street Bank & Trust Co. | | | NZD | | | | 9 | | | | USD | | | | 6 | | | | 01/20/2022 | | | | 80 | |
State Street Bank & Trust Co. | | | SEK | | | | 723 | | | | USD | | | | 83 | | | | 01/20/2022 | | | | 2,799 | |
State Street Bank & Trust Co. | | | SEK | | | | 182 | | | | USD | | | | 20 | | | | 01/20/2022 | | | | (130 | ) |
State Street Bank & Trust Co. | | | USD | | | | 43 | | | | NOK | | | | 372 | | | | 01/20/2022 | | | | (1,254 | ) |
State Street Bank & Trust Co. | | | USD | | | | 97 | | | | SEK | | | | 845 | | | | 01/20/2022 | | | | (3,950 | ) |
State Street Bank & Trust Co. | | | AUD | | | | 769 | | | | USD | | | | 563 | | | | 02/08/2022 | | | | 3,660 | |
State Street Bank & Trust Co. | | | USD | | | | 78 | | | | AUD | | | | 111 | | | | 02/08/2022 | | | | 2,906 | |
State Street Bank & Trust Co. | | | USD | | | | 34 | | | | AUD | | | | 46 | | | | 02/08/2022 | | | | (523 | ) |
State Street Bank & Trust Co. | | | JPY | | | | 9,353 | | | | USD | | | | 83 | | | | 02/09/2022 | | | | 1,419 | |
State Street Bank & Trust Co. | | | JPY | | | | 10,228 | | | | USD | | | | 89 | | | | 02/09/2022 | | | | (109 | ) |
State Street Bank & Trust Co. | | | USD | | | | 29 | | | | JPY | | | | 3,325 | | | | 02/09/2022 | | | | (249 | ) |
State Street Bank & Trust Co. | | | EUR | | | | 1,160 | | | | USD | | | | 1,342 | | | | 02/10/2022 | | | | 21,055 | |
State Street Bank & Trust Co. | | | EUR | | | | 463 | | | | USD | | | | 524 | | | | 02/10/2022 | | | | (3,177 | ) |
State Street Bank & Trust Co. | | | HKD | | | | 260 | | | | USD | | | | 33 | | | | 02/10/2022 | | | | 42 | |
State Street Bank & Trust Co. | | | USD | | | | 118 | | | | CAD | | | | 151 | | | | 02/10/2022 | | | | 832 | |
State Street Bank & Trust Co. | | | USD | | | | 34 | | | | CAD | | | | 43 | | | | 02/10/2022 | | | | (174 | ) |
State Street Bank & Trust Co. | | | USD | | | | 453 | | | | EUR | | | | 400 | | | | 02/10/2022 | | | | 3,824 | |
State Street Bank & Trust Co. | | | USD | | | | 135 | | | | EUR | | | | 118 | | | | 02/10/2022 | | | | (462 | ) |
State Street Bank & Trust Co. | | | THB | | | | 7,810 | | | | USD | | | | 232 | | | | 03/10/2022 | | | | (1,636 | ) |
UBS AG | | | USD | | | | 822 | | | | CHF | | | | 760 | | | | 01/13/2022 | | | | 11,814 | |
UBS AG | | | USD | | | | 864 | | | | MXN | | | | 18,260 | | | | 01/13/2022 | | | | 26,077 | |
UBS AG | | | GBP | | | | 1,824 | | | | USD | | | | 2,475 | | | | 01/14/2022 | | | | 5,834 | |
UBS AG | | | TWD | | | | 24,261 | | | | USD | | | | 870 | | | | 01/20/2022 | | | | (6,240 | ) |
UBS AG | | | COP | | | | 1,149,249 | | | | USD | | | | 298 | | | | 01/21/2022 | | | | 15,730 | |
UBS AG | | | USD | | | | 767 | | | | EUR | | | | 660 | | | | 02/10/2022 | | | | (14,938 | ) |
UBS AG | | | CNH | | | | 40,413 | | | | USD | | | | 6,302 | | | | 02/17/2022 | | | | (32,239 | ) |
| | | | | | | | | | | | | | | | | | | | | | | | |
| | | $ | 491,430 | |
| | | | | | | | | | | | | | | | | | | | | | | | |
CENTRALLY CLEARED CREDIT DEFAULT SWAPS (see Note D)
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Description | | Fixed
Rate
(Pay)
Receive | | | Payment
Frequency | | | Implied
Credit
Spread at
December 31,
2021 | | | Notional
Amount
(000) | | | Market
Value | | | Upfront
Premiums
Paid/
(Received) | | | Unrealized
Appreciation/
(Depreciation) | |
Buy Contracts | | | | | |
iTraxxx Xover Series 36, 5 Year Index, 12/20/2026* | | | (5.00 | )% | | | Quarterly | | | | 2.42 | % | | | EUR | | | | 1,050 | | | $ | (143,085) | | | $ | (124,639) | | | $ | (18,446) | |
29
| | |
| BALANCED WEALTH STRATEGY PORTFOLIO | | |
| PORTFOLIO OF INVESTMENTS | | |
| |
| (continued) | | AB Variable Products Series Fund |
CENTRALLY CLEARED INTEREST RATE SWAPS (see Note D)
| | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | 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) | |
| NZD | | | 561 | | | | 11/01/2024 | | | 3 Month BKBM | | 2.580% | | Quarterly/
Semi-Annual | | $ | 3,172 | | | $ | –0 | – | | $ | 3,172 | |
| NZD | | | 1,499 | | | | 11/02/2024 | | | 3 Month BKBM | | 2.503% | | Quarterly/Semi-Annual | | | 6,121 | | | | –0 | – | | | 6,121 | |
| EUR | | | 540 | | | | 09/30/2050 | | | 0.122% | | 6 Month EURIBOR | | Annual/ Semi-Annual | | | 61,328 | | | | –0 | – | | | 61,328 | |
| EUR | | | 540 | | | | 09/30/2050 | | | 6 Month EURIBOR | | (0.017)% | | Semi-Annual/ Annual | | | (84,926 | ) | | | –0 | – | | | (84,926 | ) |
| EUR | | | 550 | | | | 11/10/2050 | | | 0.022% | | 6 Month EURIBOR | | Annual/ Semi-Annual | | | 80,291 | | | | 6,376 | | | | 73,915 | |
| EUR | | | 550 | | | | 11/10/2050 | | | 6 Month EURIBOR | | (0.043)% | | Semi-Annual/ Annual | | | (91,571 | ) | | | –0 | – | | | (91,571 | ) |
| | | | | | | | | | | | | | | | | | | | | | | | | | |
| | $ | (25,585 | ) | | $ | 6,376 | | | $ | (31,961 | ) |
| | | | | | | | | | | | | | | | | | | | | | | | | | |
CREDIT DEFAULT SWAPS (see Note D)
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Swap Counterparty &
Referenced Obligation | | Fixed
Rate
(Pay)
Receive | | | Payment
Frequency | | | Implied
Credit
Spread at
December 31,
2021 | | | Notional
Amount
(000) | | | Market
Value | | | Upfront
Premiums
Paid/
(Received) | | | Unrealized
Appreciation/
(Depreciation) | |
Sale Contracts | |
Deutsche Bank AG | |
CDX-CMBX.NA.BBB- Series 6, 05/11/2063* | | | 3.00 | % | | | Monthly | | | | 10.00 | % | | | USD | | | | 8 | | | $ | (2,232 | ) | | $ | (893 | ) | | $ | (1,339 | ) |
CDX-CMBX.NA.BBB- Series 6, 05/11/2063* | | | 3.00 | | | | Monthly | | | | 10.00 | | | | USD | | | | 9 | | | | (2,511 | ) | | | (492 | ) | | | (2,019 | ) |
CDX-CMBX.NA.BBB- Series 6, 05/11/2063* | | | 3.00 | | | | Monthly | | | | 10.00 | | | | USD | | | | 52 | | | | (14,506 | ) | | | (5,663 | ) | | | (8,843 | ) |
CDX-CMBX.NA.BBB- Series 6, 05/11/2063* | | | 3.00 | | | | Monthly | | | | 10.00 | | | | USD | | | | 53 | | | | (14,785 | ) | | | (5,774 | ) | | | (9,011 | ) |
Goldman Sachs International | |
CDX-CMBX.NA.BBB- Series 6, 05/11/2063* | | | 3.00 | | | | Monthly | | | | 10.00 | | | | USD | | | | 4 | | | | (1,115 | ) | | | (341 | ) | | | (774 | ) |
CDX-CMBX.NA.BBB- Series 6, 05/11/2063* | | | 3.00 | | | | Monthly | | | | 10.00 | | | | USD | | | | 8 | | | | (2,232 | ) | | | (753 | ) | | | (1,479 | ) |
CDX-CMBX.NA.BBB- Series 6, 05/11/2063* | | | 3.00 | | | | Monthly | | | | 10.00 | | | | USD | | | | 8 | | | | (2,232 | ) | | | (696 | ) | | | (1,536 | ) |
CDX-CMBX.NA.BBB- Series 6, 05/11/2063* | | | 3.00 | | | | Monthly | | | | 10.00 | | | | USD | | | | 58 | | | | (16,179 | ) | | | (9,029 | ) | | | (7,150 | ) |
CDX-CMBX.NA.BBB- Series 6, 05/11/2063* | | | 3.00 | | | | Monthly | | | | 10.00 | | | | USD | | | | 53 | | | | (14,785 | ) | | | (5,378 | ) | | | (9,407 | ) |
CDX-CMBX.NA.BBB- Series 6, 05/11/2063* | | | 3.00 | | | | Monthly | | | | 10.00 | | | | USD | | | | 82 | | | | (22,875 | ) | | | (12,949 | ) | | | (9,926 | ) |
CDX-CMBX.NA.BBB- Series 6, 05/11/2063* | | | 3.00 | | | | Monthly | | | | 10.00 | | | | USD | | | | 75 | | | | (20,922 | ) | | | (10,981 | ) | | | (9,941 | ) |
CDX-CMBX.NA.BBB- Series 6, 05/11/2063* | | | 3.00 | | | | Monthly | | | | 10.00 | | | | USD | | | | 78 | | | | (21,759 | ) | | | (10,111 | ) | | | (11,648 | ) |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | $ | (136,133 | ) | | $ | (63,060 | ) | | $ | (73,073 | ) |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
30
| | |
| |
| | | AB Variable Products Series Fund |
INFLATION (CPI) SWAPS (see Note D)
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | Rate Type | | | | | | | | | | | | | |
Swap Counterparty | | Notional
Amount
(000) | | | Termination
Date | | | Payments
made
by the
Fund | | | Payments
received
by the
Fund | | | Payment
Frequency
Paid/
Received | | | Market
Value | | | Upfront
Premiums
Paid/
(Received) | | | Unrealized
Appreciation/
(Depreciation) | |
Bank of America, NA | | | USD | | | | 6,210 | | | | 05/17/2032 | | | | 2.532 | % | | | CPI | # | | | Maturity | | | $ | 74,398 | | | $ | –0– | | | $ | 74,398 | |
| # | | Variable interest rate based on the rate of inflation as determined by the Consumer Price Index (CPI). |
| (a) | | Non-income producing security. |
| (b) | | Represents entire or partial securities out on loan. See Note E for securities lending information. |
| (c) | | 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 December 31, 2021, the aggregate market value of these securities amounted to $37,569,612 or 15.3% of net assets. |
| (d) | | Security in which significant unobservable inputs (Level 3) were used in determining fair value. |
| (e) | | Fair valued by the Adviser. |
| (f) | | Affiliated investments. |
| (g) | | To obtain a copy of the fund’s shareholder report, please go to the Securities and Exchange Commission’s website at www.sec.gov, or call AB at (800) 227-4618. |
| (h) | | Securities are perpetual and, thus, do not have a predetermined maturity date. The date shown, if applicable, reflects the next call date. |
| (i) | | Floating Rate Security. Stated interest/floor/ceiling rate was in effect at December 31, 2021. |
| (j) | | Security is exempt from registration under Rule 144A or Regulation S of the Securities Act of 1933. These securities, which represent 0.06% of net assets as of December 31, 2021, are considered illiquid and restricted. Additional information regarding such securities follows: |
| | | | | | | | | | | | | | | | |
| 144A/Restricted & Illiquid Securities | | Acquisition
Date | | | Cost | | | Market
Value | | | Percentage
of Net Assets | |
JPMorgan Chase Commercial Mortgage Securities Trust Series 2014-CH1, Class M2
4.353%, 11/25/2024 | | | 11/06/2015 | | | $ | 8,623 | | | $ | 8,508 | | | | 0.00 | % |
Morgan Stanley Capital I Trust Series 2015-XLF2, Class SNMA
2.06%, 11/15/2026 | | | 11/16/2015 | | | | 73,115 | | | | 67,466 | | | | 0.03 | % |
Terraform Global Operating LLC
6.125%, 03/01/2026 | | | 02/08/2018 | | | | 14,000 | | | | 14,303 | | | | 0.01 | % |
Wells Fargo Credit Risk Transfer Securities Trust Series 2015-WF1, Class 1M2
5.353%, 11/25/2025 | | | 09/28/2015 | | | | 45,068 | | | | 43,393 | | | | 0.02 | % |
Wells Fargo Credit Risk Transfer Securities Trust Series 2015-WF1, Class 2M2
5.603%, 11/25/2025 | | | 09/28/2015 | | | | 11,808 | | | | 11,748 | | | | 0.00 | % |
| (k) | | Inverse interest only security. |
| (l) | | The rate shown represents the 7-day yield as of period end. |
Currency Abbreviations:
AUD—Australian Dollar
CAD—Canadian Dollar
CHF—Swiss Franc
CNH—Chinese Yuan Renminbi (Offshore)
CNY—Chinese Yuan Renminbi
COP—Colombian Peso
DKK—Danish Krone
EUR—Euro
31
| | |
| BALANCED WEALTH STRATEGY PORTFOLIO | | |
| PORTFOLIO OF INVESTMENTS | | |
| |
| (continued) | | AB Variable Products Series Fund |
GBP—Great British Pound
HKD—Hong Kong Dollar
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
SEK—Swedish Krona
SGD—Singapore Dollar
THB—Thailand Baht
TWD—New Taiwan Dollar
USD—United States Dollar
ZAR—South African Rand
Glossary:
ABS—Asset-Backed Securities
ADR—American Depositary Receipt
BKBM—Bank Bill Benchmark (New Zealand)
BOBL—Bundesobligationen
CBT—Chicago Board of Trade
CDX-CMBX.NA—North American Commercial Mortgage-Backed Index
CLO—Collateralized Loan Obligations
CMBS—Commercial Mortgage-Backed Securities
CPI—Consumer Price Index
EURIBOR—Euro Interbank Offered Rate
LIBOR—London Interbank Offered Rate
PJSC—Public Joint Stock Company
REIT—Real Estate Investment Trust
REMICs—Real Estate Mortgage Investment Conduits
TBA—To Be Announced
TIPS—Treasury Inflation Protected Security
See notes to financial statements.
32
| | |
| BALANCED WEALTH STRATEGY PORTFOLIO |
| STATEMENT OF ASSETS & LIABILITIES | | |
| |
| December 31, 2021 | | AB Variable Products Series Fund |
| | | | |
ASSETS | |
Investments in securities, at value | | | | |
Unaffiliated issuers (cost $143,468,758) | | $ | 180,616,372 | (a) |
Affiliated issuers (cost $61,927,780—including investment of cash collateral for securities loaned of $213,954) | | | 66,194,122 | |
Cash | | | 154,018 | |
Cash collateral due from broker | | | 143,422 | |
Foreign currencies, at value (cost $304,488) | | | 305,515 | |
Receivable for investment securities sold and foreign currency transactions | | | 1,858,724 | |
Unrealized appreciation on forward currency exchange contracts | | | 744,533 | |
Unaffiliated interest and dividends receivable | | | 571,646 | |
Unrealized appreciation on inflation swaps | | | 74,398 | |
Receivable for capital stock sold | | | 47,378 | |
Receivable for variation margin on centrally cleared swaps | | | 1,025 | |
Receivable for variation margin on futures | | | 1,019 | |
Affiliated dividends receivable | | | 7 | |
| | | | |
Total assets | | | 250,712,179 | |
| | | | |
LIABILITIES | |
Payable for investment securities purchased | | | 3,727,486 | |
Unrealized depreciation on forward currency exchange contracts | | | 253,103 | |
Payable for collateral received on securities loaned | | | 213,954 | |
Payable for capital stock redeemed | | | 147,791 | |
Market value on credit default swaps (net premiums received $63,060) | | | 136,133 | |
Advisory fee payable | | | 95,863 | |
Distribution fee payable | | | 47,218 | |
Administrative fee payable | | | 22,843 | |
Foreign capital gains tax payable | | | 22,117 | |
Transfer Agent fee payable | | | 146 | |
Accrued expenses | | | 273,407 | |
| | | | |
Total liabilities | | | 4,940,061 | |
| | | | |
NET ASSETS | | $ | 245,772,118 | |
| | | | |
COMPOSITION OF NET ASSETS | |
Capital stock, at par | | $ | 21,198 | |
Additional paid-in capital | | | 178,449,049 | |
Distributable earnings | | | 67,301,871 | |
| | | | |
NET ASSETS | | $ | 245,772,118 | |
| | | | |
Net Asset Value Per Share—1 billion shares of capital stock authorized, $.001 par value
| | | | | | | | | | | | |
| Class | | Net Assets | | | Shares
Outstanding | | | Net Asset
Value | |
| | | |
| A | | $ | 21,879,359 | | | | 1,861,840 | | | $ | 11.75 | |
| | | |
| B | | $ | 223,892,759 | | | | 19,335,872 | | | $ | 11.58 | |
| (a) | | Includes securities on loan with a value of $3,089,796 (see Note E). |
See notes to financial statements.
33
| | |
| BALANCED WEALTH STRATEGY PORTFOLIO |
| STATEMENT OF OPERATIONS | | |
| |
| Year Ended December 31, 2021 | | AB Variable Products Series Fund |
| | | | |
INVESTMENT INCOME | | | | |
Dividends | | | | |
Unaffiliated issuers (net of foreign taxes withheld of $54,185) | | $ | 1,771,250 | |
Affiliated issuers | | | 1,652,656 | |
Interest (net of foreign taxes withheld of $1,385) | | | 1,554,760 | |
Securities lending income | | | 4,221 | |
Other income | | | 656 | |
| | | | |
| | | 4,983,543 | |
| | | | |
EXPENSES | | | | |
Advisory fee (see Note B) | | | 1,364,016 | |
Distribution fee—Class B | | | 563,739 | |
Transfer agency—Class A | | | 559 | |
Transfer agency—Class B | | | 5,598 | |
Custody and accounting | | | 156,199 | |
Audit and tax | | | 99,937 | |
Administrative | | | 88,388 | |
Printing | | | 63,819 | |
Legal | | | 42,917 | |
Directors’ fees | | | 21,616 | |
Miscellaneous | | | 27,246 | |
| | | | |
Total expenses | | | 2,434,034 | |
Less: expenses waived and reimbursed by the Adviser (see Notes B & E) | | | (481,254 | ) |
| | | | |
Net expenses | | | 1,952,780 | |
| | | | |
Net investment income | | | 3,030,763 | |
| | | | |
REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENT AND FOREIGN CURRENCY TRANSACTIONS | | | | |
Net realized gain (loss) on: | | | | |
Affiliated Underlying Portfolios | | | 676,175 | |
Investment transactions(a) | | | 16,842,536 | |
Forward currency exchange contracts | | | (101,939 | ) |
Futures | | | 271,509 | |
Swaps | | | 93,058 | |
Foreign currency transactions | | | 2,279,043 | |
Net realized gain distributions from Affiliated Underlying Portfolios | | | 2,321,524 | |
Net change in unrealized appreciation/depreciation of: | | | | |
Affiliated Underlying Portfolios | | | 2,760,482 | |
Investments(b) | | | 1,714,970 | |
Forward currency exchange contracts | | | 1,071,447 | |
Futures | | | 14,305 | |
Swaps | | | 249,415 | |
Foreign currency denominated assets and liabilities | | | (28,994 | ) |
| | | | |
Net gain on investment and foreign currency transactions | | | 28,163,531 | |
| | | | |
Contributions from Affiliates (see Note B) | | | 72 | |
| | | | |
NET INCREASE IN NET ASSETS FROM OPERATIONS | | $ | 31,194,366 | |
| | | | |
| (a) | | Net of foreign realized capital gains taxes of $2,425. |
| (b) | | Net of decrease in accrued foreign capital gains taxes on unrealized gains of $10,096. |
See notes to financial statements.
34
| | |
| |
| BALANCED WEALTH STRATEGY PORTFOLIO |
| |
| STATEMENT OF CHANGES IN NET ASSETS | | AB Variable Products Series Fund |
| | | | | | | | |
| | | Year Ended
December 31,
2021 | | | Year Ended
December 31,
2020 | |
INCREASE IN NET ASSETS FROM OPERATIONS | |
Net investment income | | $ | 3,030,763 | | | $ | 2,685,630 | |
Net realized gain on investment and foreign currency transactions | | | 20,060,382 | | | | 2,990,934 | |
Net realized gain distributions from Affiliated Underlying Portfolios | | | 2,321,524 | | | | 412,213 | |
Net change in unrealized appreciation/depreciation of investments and foreign currency denominated assets and liabilities | | | 5,781,625 | | | | 13,329,050 | |
Contributions from Affiliates (see Note B) | | | 72 | | | | –0 | – |
| | | | | | | | |
Net increase in net assets from operations | | | 31,194,366 | | | | 19,417,827 | |
Distributions to Shareholders | |
Class A | | | (615,351 | ) | | | (1,115,680 | ) |
Class B | | | (5,621,797 | ) | | | (10,939,126 | ) |
CAPITAL STOCK TRANSACTIONS | |
Net decrease | | | (22,864,424 | ) | | | (19,101,220 | ) |
| | | | | | | | |
Total increase (decrease) | | | 2,092,794 | | | | (11,738,199 | ) |
NET ASSETS | |
Beginning of period | | | 243,679,324 | | | | 255,417,523 | |
| | | | | | | | |
End of period | | $ | 245,772,118 | | | $ | 243,679,324 | |
| | | | | | | | |
See notes to financial statements.
35
| | |
| BALANCED WEALTH STRATEGY PORTFOLIO |
| NOTES TO FINANCIAL STATEMENTS | | |
| |
| December 31, 2021 | | AB Variable Products Series Fund |
NOTE A: Significant Accounting Policies
The AB Balanced Wealth Strategy Portfolio (the “Portfolio”) is a series of AB Variable Products Series Fund, Inc. (the “Fund”). The Portfolio’s investment objective is to maximize total return consistent with the determination of AllianceBernstein L.P. (the “Adviser”) of reasonable risk. The Portfolio is diversified as defined under the Investment Company Act of 1940. The Fund was incorporated in the State of Maryland as an open-end series investment company. The Fund offers 11 separately managed pools of assets which have differing investment objectives and policies. The Portfolio offers Class A and Class B shares. Both classes of shares have identical voting, dividend, liquidating and other rights, except that Class B shares bear a distribution expense and have exclusive voting rights with respect to the Class B distribution plan.
The Portfolio offers and sells its shares only to separate accounts of certain life insurance companies for the purpose of funding variable annuity contracts and variable life insurance policies. Sales are made without a sales charge at the Portfolio’s net asset value per share.
The financial statements have been prepared in conformity with U.S. generally accepted accounting principles (“U.S. GAAP”), which require management to make certain estimates and assumptions that affect the reported amounts of assets and liabilities in the financial statements and amounts of income and expenses during the reporting period. Actual results could differ from those estimates. The Portfolio is an investment company under U.S. GAAP and follows the accounting and reporting guidance applicable to investment companies. The following is a summary of significant accounting policies followed by the Portfolio.
1. Security Valuation
Portfolio securities are valued at their current market value determined on the basis of market quotations or, if market quotations are not readily available or are deemed unreliable, at “fair value” as determined in accordance with procedures established by and under the general supervision of the Fund’s Board of Directors (the “Board”).
In general, the market values of securities which are readily available and deemed reliable are determined as follows: securities listed on a national securities exchange (other than securities listed on the NASDAQ Stock Market, Inc. (“NASDAQ”)) or on a foreign securities exchange are valued at the last sale price at the close of the exchange or foreign securities exchange. If there has been no sale on such day, the securities are valued at the last traded price from the previous day. Securities listed on more than one exchange are valued by reference to the principal exchange on which the securities are traded; securities listed only on NASDAQ are valued in accordance with the NASDAQ Official Closing Price; listed or over the counter (“OTC”) market put or call options are valued at the mid level between the current bid and ask prices. If either a current bid or current ask price is unavailable, the Adviser will have discretion to determine the best valuation (e.g., last trade price in the case of listed options); open futures are valued using the closing settlement price or, in the absence of such a price, the most recent quoted bid price. If there are no quotations available for the day of valuation, the last available closing settlement price is used; U.S. Government securities and any other debt instruments having 60 days or less remaining until maturity are generally valued at market by an independent pricing vendor, if a market price is available. If a market price is not available, the securities are valued at amortized cost. This methodology is commonly used for short term securities that have an original maturity of 60 days or less, as well as short term securities that had an original term to maturity that exceeded 60 days. In instances when amortized cost is utilized, the Valuation Committee (the “Committee”) must reasonably conclude that the utilization of amortized cost is approximately the same as the fair value of the security. Factors the Committee will consider include, but are not limited to, an impairment of the creditworthiness of the issuer or material changes in interest rates. Fixed-income securities, including mortgage-backed and asset-backed securities, may be valued on the basis of prices provided by a pricing service or at a price obtained from one or more of the major broker-dealers. In cases where broker-dealer quotes are obtained, the Adviser may establish procedures whereby changes in market yields or spreads are used to adjust, on a daily basis, a recently obtained quoted price on a security. Swaps and other derivatives are valued daily, primarily using independent pricing services, independent pricing models using market inputs, as well as third party broker-dealers or counterparties. Open-end mutual funds are valued at the closing net asset value per share, while exchange traded funds are valued at the closing market price per share.
Securities for which market quotations are not readily available (including restricted securities) or are deemed unreliable are valued at fair value as deemed appropriate by the Adviser. Factors considered in making this determination may include, but are not limited to, information obtained by contacting the issuer, analysts, analysis of the issuer’s financial statements or other available documents. In addition, the Portfolio may use fair value pricing for securities primarily traded in non-U.S. markets because most foreign markets close well before the Portfolio values its securities at 4:00 p.m., Eastern Time. The
36
| | |
| |
| | | AB Variable Products Series Fund |
earlier close of these foreign markets gives rise to the possibility that significant events, including broad market moves, may have occurred in the interim and may materially affect the value of those securities. To account for this, the Portfolio generally values many of its foreign equity securities using fair value prices based on third party vendor modeling tools to the extent available.
2. Fair Value Measurements
In accordance with U.S. GAAP regarding fair value measurements, fair value is defined as the price that the Portfolio 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 as described in Note A.1 above). 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 Portfolio. Unobservable inputs reflect the Portfolio’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 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.
Valuations of mortgage-backed or other asset-backed securities, by pricing vendors, are based on both proprietary and industry recognized models and discounted cash flow techniques. Significant inputs to the valuation of these instruments are value of the collateral, the rates and timing of delinquencies, the rates and timing of prepayments, and default and loss expectations, which are driven in part by housing prices for residential mortgages. Significant inputs are determined based on relative value analyses, which incorporate comparisons to instruments with similar collateral and risk profiles, including relevant indices. Mortgage and asset-backed securities for which management has collected current observable data through pricing services are generally categorized within Level 2. Those investments for which current observable data has not been provided 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.
37
| | |
| BALANCED WEALTH STRATEGY PORTFOLIO | | |
| NOTES TO FINANCIAL STATEMENTS | | |
| |
| (continued) | | AB Variable Products Series Fund |
The following table summarizes the valuation of the Portfolio’s investments by the above fair value hierarchy levels as of December 31, 2021:
| | | | | | | | | | | | | | | | |
| | | Level 1 | | | Level 2 | | | Level 3 | | | Total | |
Investments in Securities: | | | | | | | | | | | | | | | | |
Assets: | |
Common Stocks: | | | | | | | | | | | | | | | | |
Information Technology | | $ | 22,431,246 | | | $ | 181,526 | | | $ | –0 | – | | $ | 22,612,772 | |
Health Care | | | 10,811,316 | | | | 190,878 | | | | –0 | – | | | 11,002,194 | |
Consumer Discretionary | | | 9,933,736 | | | | 321,224 | | | | –0 | – | | | 10,254,960 | |
Real Estate | | | 7,567,574 | | | | 2,328,491 | | | | –0 | – | | | 9,896,065 | |
Communication Services | | | 9,460,980 | | | | 67,976 | | | | –0 | – | | | 9,528,956 | |
Financials | | | 7,531,932 | | | | 386,714 | | | | –0 | – | | | 7,918,646 | |
Industrials | | | 7,273,062 | | | | 307,042 | | | | 23,548 | | | | 7,603,652 | |
Energy | | | 3,023,739 | | | | 3,101,409 | | | | –0 | – | | | 6,125,148 | |
Consumer Staples | | | 4,696,660 | | | | 224,558 | | | | –0 | – | | | 4,921,218 | |
Materials | | | 2,159,474 | | | | 2,281,391 | | | | –0 | – | | | 4,440,865 | |
Utilities | | | 1,679,181 | | | | 274,319 | | | | –0 | – | | | 1,953,500 | |
Consumer Services | | | 93,230 | | | | –0 | – | | | –0 | – | | | 93,230 | |
Transportation | | | –0 | – | | | 79,219 | | | | –0 | – | | | 79,219 | |
Consumer Durables & Apparel | | | 57,160 | | | | –0 | – | | | –0 | – | | | 57,160 | |
Telecommunication Services | | | –0 | – | | | 39,774 | | | | –0 | – | | | 39,774 | |
Capital Goods | | | –0 | – | | | 28,763 | | | | –0 | – | | | 28,763 | |
Software & Services | | | 18,542 | | | | –0 | – | | | –0 | – | | | 18,542 | |
Investment Companies | | | 64,455,143 | | | | –0 | – | | | –0 | – | | | 64,455,143 | |
Governments—Treasuries | | | –0 | – | | | 38,414,053 | | | | –0 | – | | | 38,414,053 | |
Corporates—Investment Grade | | | –0 | – | | | 15,542,502 | | | | –0 | – | | | 15,542,502 | |
Corporates—Non-Investment Grade | | | –0 | – | | | 6,003,605 | | | | –0 | – | | | 6,003,605 | |
Collateralized Mortgage Obligations | | | –0 | – | | | 4,282,083 | | | | –0 | – | | | 4,282,083 | |
Mortgage Pass-Throughs | | | –0 | – | | | 3,249,693 | | | | –0 | – | | | 3,249,693 | |
Quasi-Sovereigns | | | –0 | – | | | 3,177,369 | | | | –0 | – | | | 3,177,369 | |
Collateralized Loan Obligations | | | –0 | – | | | 2,066,967 | | | | –0 | – | | | 2,066,967 | |
Commercial Mortgage-Backed Securities | | | –0 | – | | | 1,815,345 | | | | –0 | – | | | 1,815,345 | |
Inflation-Linked Securities | | | –0 | – | | | 1,732,273 | | | | –0 | – | | | 1,732,273 | |
Governments—Sovereign Bonds | | | –0 | – | | | 1,095,389 | | | | –0 | – | | | 1,095,389 | |
Emerging Markets—Corporate Bonds | | | –0 | – | | | 911,464 | | | | –0 | – | | | 911,464 | |
Emerging Markets—Sovereigns | | | –0 | – | | | 693,022 | | | | –0 | – | | | 693,022 | |
Governments—Sovereign Agencies | | | –0 | – | | | 559,708 | | | | –0 | – | | | 559,708 | |
Covered Bonds | | | –0 | – | | | 329,382 | | | | –0 | – | | | 329,382 | |
Local Governments—Regional Bonds | | | –0 | – | | | 209,963 | | | | –0 | – | | | 209,963 | |
Asset-Backed Securities | | | –0 | – | | | 101,534 | | | | –0 | – | | | 101,534 | |
Short-Term Investments: | | | | | | | | | | | | | | | | |
Governments—Treasuries | | | –0 | – | | | 3,857,356 | | | | –0 | – | | | 3,857,356 | |
Investment Companies | | | 1,525,025 | | | | –0 | – | | | –0 | – | | | 1,525,025 | |
Investments of Cash Collateral for Securities Loaned in Affiliated Money Market Fund | | | 213,954 | | | | –0 | – | | | –0 | – | | | 213,954 | |
| | | | | | | | | | | | | | | | |
Total Investments in Securities | | | 152,931,954 | | | | 93,854,992 | | | | 23,548 | | | | 246,810,494 | |
Other Financial Instruments(a): | | | | | | | | | | | | | | | | |
Assets: | |
Futures | | | 46,664 | | | | –0 | – | | | –0 | – | | | 46,664 | (b) |
Forward Currency Exchange Contracts | | | –0 | – | | | 744,533 | | | | –0 | – | | | 744,533 | |
Centrally Cleared Interest Rate Swaps | | | –0 | – | | | 150,912 | | | | –0 | – | | | 150,912 | (b) |
Inflation (CPI) Swaps | | | –0 | – | | | 74,398 | | | | –0 | – | | | 74,398 | |
38
| | |
| |
| | | AB Variable Products Series Fund |
| | | | | | | | | | | | | | | | |
| | | Level 1 | | | Level 2 | | | Level 3 | | | Total | |
Liabilities: | |
Futures | | $ | (20,800 | ) | | $ | –0 | – | | $ | –0 | – | | $ | (20,800 | )(b) |
Forward Currency Exchange Contracts | | | –0 | – | | | (253,103 | ) | | | –0 | – | | | (253,103 | ) |
Centrally Cleared Credit Default Swaps | | | –0 | – | | | (143,085 | ) | | | –0 | – | | | (143,085 | )(b) |
Centrally Cleared Interest Rate Swaps | | | –0 | – | | | (176,497 | ) | | | –0 | – | | | (176,497 | )(b) |
Credit Default Swaps | | | –0 | – | | | (136,133 | ) | | | –0 | – | | | (136,133 | ) |
| | | | | | | | | | | | | | | | |
Total | | $ | 152,957,818 | | | $ | 94,116,017 | | | $ | 23,548 | | | $ | 247,097,383 | |
| | | | | | | | | | | | | | | | |
| (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. |
| (b) | | 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. |
3. Currency Translation
Assets and liabilities denominated in foreign currencies and commitments under forward currency exchange contracts are translated into U.S. dollars at the mean of the quoted bid and ask prices of such currencies against the U.S. dollar. Purchases and sales of portfolio securities are translated into U.S. dollars at the rates of exchange prevailing when such securities were acquired or sold. Income and expenses are translated into U.S. dollars at rates of exchange prevailing when accrued.
Net realized gain or loss on foreign currency transactions represents foreign exchange gains and losses from sales and maturities of foreign fixed income investments, holding of foreign currencies, currency gains or losses realized between the trade and settlement dates on foreign investment transactions, and the difference between the amounts of dividends, interest and foreign withholding taxes recorded on the Portfolio’s books and the U.S. dollar equivalent amounts actually received or paid. Net unrealized currency gains and losses from valuing foreign currency denominated assets and liabilities at period end exchange rates are reflected as a component of net unrealized appreciation or depreciation of foreign currency denominated assets and liabilities.
4. Taxes
It is the Portfolio’s policy to meet the requirements of the Internal Revenue Code applicable to regulated investment companies and to distribute all of its investment company taxable income and net realized gains, if any, to shareholders. Therefore, no provisions for federal income or excise taxes are required. The Portfolio may be subject to taxes imposed by countries in which it invests. Such taxes are generally based on income and/or capital gains earned or repatriated. Taxes are accrued and applied to net investment income, net realized gains and net unrealized appreciation/depreciation as such income and/or gains are earned.
In accordance with U.S. GAAP requirements regarding accounting for uncertainties in income taxes, management has analyzed the Portfolio’s tax positions taken or expected to be taken on federal and state income tax returns for all open tax years (the current and the prior three tax years) and has concluded that no provision for income tax is required in the Portfolio’s financial statements.
5. Investment Income and Investment Transactions
Dividend income is recorded on the ex-dividend date or as soon as the Portfolio is informed of the dividend. Interest income is accrued daily. Investment transactions are accounted for on the date the securities are purchased or sold. Investment gains or losses are determined on the identified cost basis. The Portfolio amortizes premiums and accretes discounts as adjustments to interest income. The Portfolio accounts for distributions received from REIT investments or from regulated investment companies as dividend income, realized gain, or return of capital based on information provided by the REIT or the investment company.
6. Class Allocations
All income earned and expenses incurred by the Portfolio are borne on a pro-rata basis by each outstanding class of shares, based on the proportionate interest in the Portfolio represented by the net assets of such class, except for class specific expenses which are allocated to the respective class. Expenses of the Fund are charged proportionately to each portfolio or based on other appropriate methods. Realized and unrealized gains and losses are allocated among the various share classes based on respective net assets.
39
| | |
| BALANCED WEALTH STRATEGY PORTFOLIO | | |
| NOTES TO FINANCIAL STATEMENTS | | |
| |
| (continued) | | AB Variable Products Series Fund |
7. Dividends and Distributions
Dividends and distributions to shareholders, if any, are recorded on the ex-dividend date. Income dividends and capital gains distributions are determined in accordance with federal tax regulations and may differ from those determined in accordance with U.S. GAAP. To the extent these differences are permanent, such amounts are reclassified within the capital accounts based on their federal tax basis treatment; temporary differences do not require such reclassification.
NOTE B: Advisory Fee and Other Transactions with Affiliates
Under the terms of the investment advisory agreement, the Portfolio pays the Adviser an advisory fee at an annual rate of .55% of the first $2.5 billion, ..45% of the next $2.5 billion and .40% in excess of $5 billion, of the Portfolio’s average daily net assets. The fee is accrued daily and paid monthly. The Adviser has agreed to waive its fees and bear certain expenses to the extent necessary to limit total operating expenses (excluding expenses associated with acquired fund fees and expenses other than the advisory fees of any AB Mutual Funds in which the Portfolio may invest, interest expense, taxes, extraordinary expenses, and brokerage commissions and other transaction costs) on an annual basis (the “Expense Caps”) to .75% and 1.00% of daily average net assets for Class A and Class B shares, respectively. For the year ended December 31, 2021, such reimbursements/waivers amounted to $7,198. This fee waiver and/or expense reimbursement agreement extends through May 1, 2022 and then may be extended by the Adviser for additional one-year terms.
Pursuant to the investment advisory agreement, the Portfolio may reimburse the Adviser for certain legal and accounting services provided to the Portfolio by the Adviser. For the year ended December 31, 2021, the reimbursement for such services amounted to $88,388.
The Portfolio compensates AllianceBernstein Investor Services, Inc. (“ABIS”), a wholly-owned subsidiary of the Adviser, under a Transfer Agency Agreement for providing personnel and facilities to perform transfer agency services for the Portfolio. Such compensation retained by ABIS amounted to $1,636 for the year ended December 31, 2021.
The Portfolio may invest in AB Government Money Market Portfolio (the “Government Money Market Portfolio”) which has a contractual annual advisory fee rate of .20% of the portfolio’s average daily net assets and bears its own expenses. The Adviser has contractually agreed to waive .10% of the advisory fee of Government Money Market Portfolio (resulting in a net advisory fee of .10%) until August 31, 2022. In connection with the investment by the Portfolio in Government Money Market Portfolio, the Adviser has contractually agreed to waive its advisory fee from the Portfolio in an amount equal to the Portfolio’s pro rata share of the effective advisory fee of Government Money Market Portfolio, as borne indirectly by the Portfolio as an acquired fund fee and expense. For the year ended December 31, 2021, such waiver amounted to $684.
In connection with the Portfolio’s investments in other AB mutual funds, the Adviser has contractually agreed to waive fees and/or reimburse the expenses payable to the Adviser by the Portfolio in an amount equal to the Portfolio’s pro rata share of the effective advisory fees of AB mutual funds, as paid by the Portfolio as an acquired fund fee and expense. These fee waivers and/or expense reimbursements will remain in effect until May 1, 2022. For the year ended December 31, 2021, such waivers and/or reimbursements amounted to $473,371.
A summary of the Portfolio’s transactions in AB mutual funds for the year ended December 31, 2021 is as follows:
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | Distributions | |
Fund | | Market Value
12/31/20
(000) | | | Purchases
at Cost
(000) | | | Sales
Proceeds
(000) | | | Realized
Gain (Loss)
(000) | | | Change in
Unrealized
Appr./(Depr.)
(000) | | | Market Value
12/31/21
(000) | | | Dividend
Income
(000) | | | Realized
Gains
(000) | |
Government Money Market Portfolio | | $ | 1,673 | | | $ | 50,637 | | | $ | 50,785 | | | $ | –0 | – | | $ | –0 | – | | $ | 1,525 | | | $ | 0 | * | | $ | –0 | – |
AB Discovery Growth Fund, Inc. | | | 3,073 | | | | 432 | | | | 240 | | | | 53 | | | | (144 | ) | | | 3,174 | | | | 55 | | | | 378 | |
AB Trust—AB Discovery Value Fund | | | 3,151 | | | | 425 | | | | 1,061 | | | | 65 | | | | 666 | | | | 3,246 | | | | 233 | | | | 66 | |
Bernstein Fund, Inc.—International Small Cap Portfolio | | | 8,410 | | | | 431 | | | | 1,399 | | | | 43 | | | | 661 | | | | 8,146 | | | | 163 | | | | 141 | |
40
| | |
| |
| | | AB Variable Products Series Fund |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | Distributions | |
Fund | | Market Value
12/31/20
(000) | | | Purchases
at Cost
(000) | | | Sales
Proceeds
(000) | | | Realized
Gain (Loss)
(000) | | | Change in
Unrealized
Appr./(Depr.)
(000) | | | Market Value
12/31/21
(000) | | | Dividend
Income
(000) | | | Realized
Gains
(000) | |
International Strategic Equities Portfolio | | $ | 42,917 | | | $ | 3,336 | | | $ | 5,276 | | | $ | 367 | | | $ | 1,494 | | | $ | 42,838 | | | $ | 1,106 | | | $ | 1,304 | |
Small Cap Core Portfolio | | | 3,105 | | | | 266 | | | | 604 | | | | 98 | | | | 402 | | | | 3,267 | | | | 4 | | | | 179 | |
Sanford C. Bernstein Fund, Inc.—Emerging Markets Portfolio | | | 3,965 | | | | 509 | | | | 421 | | | | 50 | | | | (319 | ) | | | 3,784 | | | | 92 | | | | 254 | |
Government Money Market Portfolio** | | | –0 | – | | | 5,544 | | | | 5,330 | | | | –0 | – | | | –0 | – | | | 214 | | | | 0 | * | | | –0 | – |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Total | | | | | | | | | | | | | | $ | 676 | | | $ | 2,760 | | | $ | 66,194 | | | $ | 1,653 | | | $ | 2,322 | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| * | | Amount is less than $500. |
| ** | | Investments of cash collateral for securities lending transactions (see Note E). |
During the year ended December 31, 2021, the Adviser reimbursed the Portfolio $72 for trading losses incurred due to a trade entry error.
Brokerage commissions paid on investment transactions for the year ended December 31, 2021 amounted to $18,501, of which $448 and $0, respectively, was paid to Sanford C. Bernstein & Co. LLC and Sanford C. Bernstein Limited, affiliates of the Adviser.
NOTE C: Distribution Plan
The Portfolio has adopted a Distribution Plan (the “Plan”) for Class B shares pursuant to Rule 12b-1 under the Investment Company Act of 1940. Under the Plan, the Portfolio pays distribution and servicing fees to AllianceBernstein Investments, Inc. (the “Distributor”), a wholly-owned subsidiary of the Adviser, at an annual rate of up to .50% of the Portfolio’s average daily net assets attributable to Class B shares. The fees are accrued daily and paid monthly. The Board currently limits payments under the Plan to .25% of the Portfolio’s average daily net assets attributable to Class B shares. The Plan provides that the Distributor will use such payments in their entirety for distribution assistance and promotional activities.
The Portfolio is not obligated under the Plan to pay any distribution and servicing fees in excess of the amounts set forth above. The purpose of the payments to the Distributor under the Plan is to compensate the Distributor for its distribution services with respect to the sale of the Portfolio’s Class B shares. Since the Distributor’s compensation is not directly tied to its expenses, the amount of compensation received by it under the Plan during any year may be more or less than its actual expenses. For this reason, the Plan is characterized by the staff of the Securities and Exchange Commission as being of the “compensation” variety.
In the event that the Plan is terminated or not continued, no distribution or servicing fees (other than current amounts accrued but not yet paid) would be owed by the Portfolio to the Distributor.
The Plan also provides that the Adviser may use its own resources to finance the distribution of the Portfolio’s shares.
NOTE D: Investment Transactions
Purchases and sales of investment securities (excluding short-term investments) for the year ended December 31, 2021 were as follows:
| | | | | | | | |
| | | Purchases | | | Sales | |
Investment securities (excluding U.S. government securities) | | $ | 107,970,950 | | | $ | 134,956,712 | |
U.S. government securities | | | 45,819,937 | | | | 36,740,975 | |
41
| | |
| BALANCED WEALTH STRATEGY PORTFOLIO | | |
| NOTES TO FINANCIAL STATEMENTS | | |
| |
| (continued) | | AB Variable Products Series Fund |
The cost of investments for federal income tax purposes, gross unrealized appreciation and unrealized depreciation are as follows:
| | | | |
Cost | | $ | 206,054,670 | |
| | | | |
Gross unrealized appreciation | | $ | 46,605,735 | |
Gross unrealized depreciation | | | (5,864,272 | ) |
| | | | |
Net unrealized appreciation | | $ | 40,741,463 | |
| | | | |
1. Derivative Financial Instruments
The Portfolio may use derivatives in an effort to earn income and enhance returns, to replace more traditional direct investments, to obtain exposure to otherwise inaccessible markets (collectively, “investment purposes”), or to hedge or adjust the risk profile of its portfolio.
The principal types of derivatives utilized by the Portfolio, as well as the methods in which they may be used are:
The Portfolio may buy or sell futures for investment purposes or for the purpose of hedging its portfolio against adverse effects of potential movements in the market. The Portfolio bears the market risk that arises from changes in the value of these instruments and the imperfect correlation between movements in the price of the futures and movements in the price of the assets, reference rates or indices which they are designed to track. Among other things, the Portfolio may purchase or sell futures for foreign currencies or options thereon for non-hedging purposes as a means of making direct investment in foreign currencies, as described below under “Currency Transactions”.
At the time the Portfolio enters into futures, the Portfolio deposits and maintains as collateral an initial margin with the broker, as required by the exchange on which the transaction is effected. Such amount is shown as cash collateral due from broker on the statement of assets and liabilities. Pursuant to the contract, the Portfolio agrees to receive from or pay to the broker an amount of cash equal to the daily fluctuation in the value of the contract. Such receipts or payments are known as variation margin and are recorded by the Portfolio as unrealized gains or losses. Risks may arise from the potential inability of a counterparty to meet the terms of the contract. The credit/counterparty risk for exchange-traded futures is generally less than privately negotiated futures, since the clearinghouse, which is the issuer or counterparty to each exchange-traded future, has robust risk mitigation standards, including the requirement to provide initial and variation margin. When the contract is closed, the Portfolio records a realized gain or loss equal to the difference between the value of the contract at the time it was opened and the time it was closed.
Use of long futures subjects the Portfolio to risk of loss in excess of the amounts shown on the statement of assets and liabilities, up to the notional value of the futures. Use of short futures subjects the Portfolio to unlimited risk of loss. Under some circumstances, futures exchanges may establish daily limits on the amount that the price of futures can vary from the previous day’s settlement price, which could effectively prevent liquidation of unfavorable positions.
During the year ended December 31, 2021, the Portfolio held futures for hedging and non-hedging purposes.
| | • | | Forward Currency Exchange Contracts |
The Portfolio may enter into forward currency exchange contracts in order to hedge its exposure to changes in foreign currency exchange rates on its foreign portfolio holdings, to hedge certain firm purchase and sale commitments denominated in foreign currencies and for non-hedging purposes as a means of making direct investments in foreign currencies, as described below under “Currency Transactions”.
A forward currency exchange contract is a commitment to purchase or sell a foreign currency at a future date at a negotiated forward rate. The gain or loss arising from the difference between the original contract and the closing of such contract would be included in net realized gain or loss on forward currency exchange contracts. Fluctuations in the value of open forward currency exchange contracts are recorded for financial reporting purposes as unrealized appreciation and/or depreciation by the Portfolio. Risks may arise from the potential inability of a counterparty to meet the terms of a contract and from unanticipated movements in the value of a foreign currency relative to the U.S. dollar.
42
| | |
| |
| | | AB Variable Products Series Fund |
During the year ended December 31, 2021, the Portfolio held forward currency exchange contracts for hedging and non-hedging purposes.
The Portfolio may enter into swaps to hedge its exposure to interest rates, credit risk or currencies. The Portfolio may also enter into swaps for non-hedging purposes as a means of gaining market exposures, making direct investments in foreign currencies, as described below under “Currency Transactions.” A swap is an agreement that obligates two parties to exchange a series of cash flows at specified intervals based upon or calculated by reference to changes in specified prices or rates for a specified amount of an underlying asset. The payment flows are usually netted against each other, with the difference being paid by one party to the other. In addition, collateral may be pledged or received by the Portfolio in accordance with the terms of the respective swaps to provide value and recourse to the Portfolio or its counterparties in the event of default, bankruptcy or insolvency by one of the parties to the swap.
Risks may arise as a result of the failure of the counterparty to the swap to comply with the terms of the swap. The loss incurred by the failure of a counterparty is generally limited to the net interim payment to be received by the Portfolio, and/or the termination value at the end of the contract. Therefore, the Portfolio considers the creditworthiness of each counterparty to a swap in evaluating potential counterparty risk. This risk is mitigated by having a netting arrangement between the Portfolio and the counterparty and by the posting of collateral by the counterparty to the Portfolio to cover the Portfolio’s exposure to the counterparty. Additionally, risks may arise from unanticipated movements in interest rates or in the value of the underlying securities. The Portfolio accrues for the interim payments on swaps on a daily basis, with the net amount recorded within unrealized appreciation/depreciation of swaps on the statement of assets and liabilities, where applicable. Once the interim payments are settled in cash, the net amount is recorded as realized gain/(loss) on swaps on the statement of operations, in addition to any realized gain/(loss) recorded upon the termination of swaps. Upfront premiums paid or received for swaps are recognized as cost or proceeds on the statement of assets and liabilities and are amortized on a straight line basis over the life of the contract. Amortized upfront premiums are included in net realized gain/(loss) from swaps on the statement of operations. Fluctuations in the value of swaps are recorded as a component of net change in unrealized appreciation/depreciation of swaps on the statement of operations.
Certain standardized swaps, including certain interest rate swaps and credit default swaps, are (or soon will be) subject to mandatory central clearing. Cleared swaps are transacted through futures commission merchants (“FCMs”) that are members of central clearinghouses, with the clearinghouse serving as central counterparty, similar to transactions in futures contracts. Centralized clearing will be required for additional categories of swaps on a phased-in basis based on requirements published by the Securities and Exchange Commission and Commodity Futures Trading Commission.
At the time the Portfolio enters into a centrally cleared swap, the Portfolio deposits and maintains as collateral an initial margin with the broker, as required by the clearinghouse on which the transaction is effected. Such amount is shown as cash collateral due from broker on the statement of assets and liabilities. Pursuant to the contract, the Portfolio agrees to receive from or pay to the broker an amount of cash equal to the daily fluctuation in the value of the contract. Such receipts or payments are known as variation margin and are recorded by the Portfolio as unrealized gains or losses. Risks may arise from the potential inability of a counterparty to meet the terms of the contract. The credit/counterparty risk for centrally cleared swaps is generally less than non-centrally cleared swaps, since the clearinghouse, which is the issuer or counterparty to each centrally cleared swap, has robust risk mitigation standards, including the requirement to provide initial and variation margin. When the contract is closed, the Portfolio records a realized gain or loss equal to the difference between the value of the contract at the time it was opened and the time it was closed.
Interest Rate Swaps:
The Portfolio is subject to interest rate risk exposure in the normal course of pursuing its investment objectives. Because the Portfolio holds fixed rate bonds, the value of these bonds may decrease if interest rates rise. To help hedge against this risk and to maintain its ability to generate income at prevailing market rates, the Portfolio may
43
| | |
| BALANCED WEALTH STRATEGY PORTFOLIO | | |
| NOTES TO FINANCIAL STATEMENTS | | |
| |
| (continued) | | AB Variable Products Series Fund |
enter into interest rate swaps. Interest rate swaps are agreements between two parties to exchange cash flows based on a notional amount. The Portfolio may elect to pay a fixed rate and receive a floating rate, or, receive a fixed rate and pay a floating rate on a notional amount.
In addition, the Portfolio may also enter into interest rate swap transactions to preserve a return or spread on a particular investment or portion of its portfolio, or protecting against an increase in the price of securities the Portfolio anticipates purchasing at a later date. Interest rate swaps involve the exchange by a Portfolio with another party of their respective commitments to pay or receive interest (e.g., an exchange of floating rate payments for fixed rate payments) computed based on a contractually-based principal (or “notional”) amount. Interest rate swaps are entered into on a net basis (i.e., the two payment streams are netted out, with the Portfolio receiving or paying, as the case may be, only the net amount of the two payments).
During the year ended December 31, 2021, the Portfolio held interest rate swaps for hedging and non-hedging purposes.
Inflation (CPI) Swaps:
Inflation swap agreements are contracts in which one party agrees to pay the cumulative percentage increase in a price index (the Consumer Price Index with respect to CPI swaps) over the term of the swap (with some lag on the inflation index), and the other pays a compounded fixed rate. Inflation swaps may be used to protect the net asset value, or NAV, of a Portfolio against an unexpected change in the rate of inflation measured by an inflation index since the value of these agreements is expected to increase if there are unexpected inflation increases.
During the year ended December 31, 2021, the Portfolio held inflation (CPI) swaps for hedging and non-hedging purposes.
Credit Default Swaps:
The Portfolio may enter into credit default swaps, including to manage its exposure to the market or certain sectors of the market, to reduce its risk exposure to defaults by corporate and sovereign issuers held by the Portfolio, or to create exposure to corporate or sovereign issuers to which it is not otherwise exposed. The Portfolio may purchase credit protection (“Buy Contract”) or provide credit protection (“Sale Contract”) on the referenced obligation of the credit default swap. During the term of the swap, the Portfolio receives/(pays) fixed payments from/(to) the respective counterparty, calculated at the agreed upon rate applied to the notional amount. If the Portfolio is a buyer/(seller) of protection and a credit event occurs, as defined under the terms of the swap, the Portfolio will either (i) receive from the seller/(pay to the buyer) of protection an amount equal to the notional amount of the swap (the “Maximum Payout Amount”) and deliver/(take delivery of) the referenced obligation or (ii) receive/(pay) a net settlement amount in the form of cash or securities equal to the notional amount of the swap less the recovery value of the referenced obligation. In certain circumstances Maximum Payout Amounts may be partially offset by recovery values of the respective referenced obligations, upfront premium received upon entering into the agreement, or net amounts received from settlement of buy protection credit default swaps entered into by the Portfolio for the same referenced obligations with the same counterparty.
Credit default swaps may involve greater risks than if a Portfolio had invested in the referenced obligation directly. Credit default swaps are subject to general market risk, liquidity risk, counterparty risk and credit risk. If the Portfolio is a buyer of protection and no credit event occurs, it will lose the payments it made to its counterparty. If the Portfolio is a seller of protection and a credit event occurs, the value of the referenced obligation received by the Portfolio coupled with the periodic payments previously received, may be less than the Maximum Payout Amount it pays to the buyer, resulting in a net loss to the Portfolio.
Implied credit spreads over U.S. Treasuries of comparable maturity utilized in determining the market value of credit default swaps on issuers as of period end are disclosed in the portfolio of investments. The implied spreads serve as an indicator of the current status of the payment/performance risk and typically reflect the likelihood of default by the issuer of the referenced obligation. The implied credit spread of a particular reference obligation also reflects the cost of buying/selling protection and may reflect upfront payments required to be made to enter into the agreement. Widening credit spreads typically represent a deterioration of the referenced obligation’s credit soundness and greater likelihood of default or other credit event occurring as defined under the terms of the agreement. A credit spread identified as “Defaulted” indicates a credit event has occurred for the referenced obligation.
44
| | |
| |
| | | AB Variable Products Series Fund |
During the year ended December 31, 2021, the Portfolio held credit default swaps for hedging and non-hedging purposes.
The Portfolio typically enters into International Swaps and Derivatives Association, Inc. Master Agreements (“ISDA Master Agreement”) with its OTC derivative contract counterparties in order to, among other things, reduce its credit risk to OTC counterparties. ISDA Master Agreements include provisions for general obligations, representations, collateral and events of default or termination. Under an ISDA Master Agreement, the Portfolio typically may offset with the OTC counterparty certain derivative financial instruments’ payables and/or receivables with collateral held and/or posted and create one single net payment (close-out netting) in the event of default or termination. In the event of a default by an OTC counterparty, the return of collateral with market value in excess of the Portfolio’s net liability, held by the defaulting party, may be delayed or denied.
The Portfolio’s ISDA Master Agreements may contain provisions for early termination of OTC derivative transactions in the event the net assets of the Portfolio decline below specific levels (“net asset contingent features”). If these levels are triggered, the Portfolio’s OTC counterparty has the right to terminate such transaction and require the Portfolio to pay or receive a settlement amount in connection with the terminated transaction. If OTC derivatives were held at period end, please refer to netting arrangements by the OTC counterparty table below for additional details.
During the year ended December 31, 2021, the Portfolio had entered into the following derivatives:
| | | | | | | | | | | | |
| | | Asset Derivatives | | | Liability Derivatives | |
Derivative Type | | Statement of
Assets and Liabilities Location | | Fair Value | | | Statement of
Assets and Liabilities Location | | Fair Value | |
Interest rate contracts | | Receivable/Payable for variation margin on futures | | $ | 46,664 | * | | Receivable/Payable for variation margin on futures | | $ | 20,800 | * |
| | | | |
Credit contracts | | | | | | | | Receivable/Payable for variation margin on centrally cleared swaps | | | 18,446 | * |
| | | | |
Interest rate contracts | | Receivable/Payable for variation margin on centrally cleared swaps | | | 144,536 | * | | Receivable/Payable for variation margin on centrally cleared swaps | | | 176,497 | * |
| | | | |
Foreign currency contracts | | Unrealized appreciation on forward currency exchange contracts | | | 744,533 | | | Unrealized depreciation on forward currency exchange contracts | | | 253,103 | |
| | | | |
Interest rate contracts | | Unrealized appreciation on inflation swaps | | | 74,398 | | | | | | | |
| | | | |
Credit contracts | | | | | | | | Market value on credit default swaps | | | 136,133 | |
| | | | | | | | | | | | |
Total | | | | $ | 1,010,131 | | | | | $ | 604,979 | |
| | | | | | | | | | | | |
| * | | 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. |
| | | | | | | | | | |
Derivative Type | | Location of Gain or (Loss) on Derivatives
Within Statement of Operations | | Realized Gain or
(Loss) on
Derivatives | | | Change in Unrealized
Appreciation or
(Depreciation) | |
Interest rate contracts | | Net realized gain (loss) on futures; Net change in unrealized appreciation/depreciation of futures | | $ | 271,509 | | | $ | 14,305 | |
| | | |
Foreign currency contracts | | Net realized gain (loss) on forward currency exchange contracts; Net change in unrealized appreciation/depreciation of forward currency exchange contracts | | | (101,939 | ) | | | 1,071,447 | |
45
| | |
| BALANCED WEALTH STRATEGY PORTFOLIO | | |
| NOTES TO FINANCIAL STATEMENTS | | |
| |
| (continued) | | AB Variable Products Series Fund |
| | | | | | | | | | |
Derivative Type | | Location of Gain or (Loss) on Derivatives
Within Statement of Operations | | Realized Gain or
(Loss) on
Derivatives | | | Change in Unrealized
Appreciation or
(Depreciation) | |
Interest rate contracts | | Net realized gain (loss) on swaps; Net change in unrealized appreciation/depreciation of swaps | | $ | 110,415 | | | $ | 239,245 | |
| | | |
Credit contracts | | Net realized gain (loss) on swaps; Net change in unrealized appreciation/depreciation of swaps | | | (17,357 | ) | | | 10,170 | |
| | | | | | | | | | |
Total | | | | $ | 262,628 | | | $ | 1,335,167 | |
| | | | | | | | | | |
The following table represents the average monthly volume of the Portfolio’s derivative transactions during the year ended December 31, 2021:
| | | | |
Futures: | | | | |
Average notional amount of buy contracts | | $ | 5,558,177 | |
Average notional amount of sale contracts | | $ | 5,959,246 | |
Forward Currency Exchange Contracts: | | | | |
Average principal amount of buy contracts | | $ | 16,708,489 | |
Average principal amount of sale contracts | | $ | 62,946,742 | |
Inflation Swaps: | | | | |
Average notional amount | | $ | 7,667,692 | |
Centrally Cleared Interest Rate Swaps: | | | | |
Average notional amount | | $ | 5,062,660 | |
Credit Default Swaps: | | | | |
Average notional amount of sale contracts | | $ | 531,811 | |
Centrally Cleared Credit Default Swaps: | | | | |
Average notional amount of buy contracts | | $ | 1,193,115 | (a) |
| (a) | | Positions were open for two months during the year. |
For financial reporting purposes, the Portfolio does not offset derivative assets and derivative liabilities that are subject to netting arrangements in the statement of assets and liabilities.
All OTC derivatives held at period end were subject to netting arrangements. The following table presents the Portfolio’s derivative assets and liabilities by OTC counterparty net of amounts available for offset under ISDA Master Agreements (“MA”) and net of the related collateral received/pledged by the Portfolio as of December 31, 2021. Exchange-traded derivatives and centrally cleared swaps are not subject to netting arrangements and as such are excluded from the table.
| | | | | | | | | | | | | | | | | | | | |
Counterparty | | Derivative Assets
Subject to a MA | | | Derivatives
Available
for Offset | | | Cash Collateral
Received* | | | Security Collateral
Received* | | | Net Amount of
Derivative Assets | |
Bank of America, NA | | $ | 74,398 | | | $ | –0 | – | | $ | –0 | – | | $ | –0 | – | | $ | 74,398 | |
BNP Paribas SA | | | 7,054 | | | | (7,054 | ) | | | –0 | – | | | –0 | – | | | –0 | – |
Citibank, NA | | | 143,187 | | | | (10,878 | ) | | | –0 | – | | | –0 | – | | | 132,309 | |
Deutsche Bank AG | | | 301,857 | | | | (34,034 | ) | | | –0 | – | | | –0 | – | | | 267,823 | |
Goldman Sachs Bank USA/Goldman Sachs International | | | 85,623 | | | | (85,623 | ) | | | –0 | – | | | –0 | – | | | –0 | – |
HSBC Bank USA | | | 6,424 | | | | (6,424 | ) | | | –0 | – | | | –0 | – | | | –0 | – |
JPMorgan Chase Bank, NA | | | 13,099 | | | | (13,099 | ) | | | –0 | – | | | –0 | – | | | –0 | – |
Morgan Stanley Capital Services, Inc. | | | 61,737 | | | | (4,823 | ) | | | –0 | – | | | –0 | – | | | 56,914 | |
Standard Chartered Bank | | | 22,173 | | | | –0 | – | | | –0 | – | | | –0 | – | | | 22,173 | |
State Street Bank & Trust Co. | | | 43,924 | | | | (13,550 | ) | | | –0 | – | | | –0 | – | | | 30,374 | |
UBS AG | | | 59,455 | | | | (53,417 | ) | | | –0 | – | | | –0 | – | | | 6,038 | |
| | | | | | | | | | | | | | | | | | | | |
Total | | $ | 818,931 | | | $ | (228,902 | ) | | $ | –0 | – | | $ | –0 | – | | $ | 590,029 | ^ |
| | | | | | | | | | | | | | | | | | | | |
46
| | |
| |
| | | AB Variable Products Series Fund |
| | | | | | | | | | | | | | | | | | | | |
Counterparty | | Derivative Liabilities
Subject to a MA | | | Derivatives
Available for
Offset | | | Cash
Collateral
Pledged* | | | Security
Collateral
Pledged* | | | Net Amount of
Derivative Liabilities | |
Barclays Bank PLC | | $ | 15,494 | | | $ | –0 | – | | $ | –0 | – | | $ | –0 | – | | $ | 15,494 | |
BNP Paribas SA | | | 37,162 | | | | (7,054 | ) | | | –0 | – | | | –0 | – | | | 30,108 | |
Citibank, NA | | | 10,878 | | | | (10,878 | ) | | | –0 | – | | | –0 | – | | | –0 | – |
Deutsche Bank AG | | | 34,034 | | | | (34,034 | ) | | | –0 | – | | | –0 | – | | | –0 | – |
Goldman Sachs Bank USA/Goldman Sachs International | | | 167,383 | | | | (85,623 | ) | | | –0 | – | | | –0 | – | | | 81,760 | |
HSBC Bank USA | | | 20,663 | | | | (6,424 | ) | | | –0 | – | | | –0 | – | | | 14,239 | |
JPMorgan Chase Bank, NA | | | 31,832 | | | | (13,099 | ) | | | –0 | – | | | –0 | – | | | 18,733 | |
Morgan Stanley Capital Services, Inc. | | | 4,823 | | | | (4,823 | ) | | | –0 | – | | | –0 | – | | | –0 | – |
State Street Bank & Trust Co. | | | 13,550 | | | | (13,550 | ) | | | –0 | – | | | –0 | – | | | –0 | – |
UBS AG | | | 53,417 | | | | (53,417 | ) | | | –0 | – | | | –0 | – | | | –0 | – |
| | | | | | | | | | | | | | | | | | | | |
Total | | $ | 389,236 | | | $ | (228,902 | ) | | $ | –0 | – | | $ | –0 | – | | $ | 160,334 | ^ |
| | | | | | | | | | | | | | | | | | | | |
| * | | The actual collateral received/pledged may be more than the amount reported due to over-collateralization. |
| ^ | | Net amount represents the net receivable/payable that would be due from/to the counterparty in the event of default or termination. The net amount from OTC financial derivative instruments can only be netted across transactions governed under the same master agreement with the same counterparty. |
2. Currency Transactions
The Portfolio may invest in non-U.S. Dollar-denominated securities on a currency hedged or unhedged basis. The Portfolio may seek investment opportunities by taking long or short positions in currencies through the use of currency-related derivatives, including forward currency exchange contracts, futures and options on futures, swaps, and other options. The Portfolio may enter into transactions for investment opportunities when it anticipates that a foreign currency will appreciate or depreciate in value but securities denominated in that currency are not held by the Portfolio and do not present attractive investment opportunities. Such transactions may also be used when the Adviser believes that it may be more efficient than a direct investment in a foreign currency-denominated security. The Portfolio may also conduct currency exchange contracts on a spot basis (i.e., for cash at the spot rate prevailing in the currency exchange market for buying or selling currencies).
3. TBA and Dollar Rolls
The Portfolio may invest in TBA mortgage-backed securities. A TBA, or “To Be Announced”, trade represents a contract for the purchase or sale of mortgage-backed securities to be delivered at a future agree-upon date; however, the specific mortgage pool numbers or the number of pools that will be delivered to fulfill the trade obligation or terms of the contract are unknown at the time of the trade. Mortgage pools (including fixed-rate or variable-rate mortgages) guaranteed by the Government National Mortgage Association, or GNMA, the Federal National Mortgage Association, or FNMA, or the Federal Home Loan Mortgage Corporation, or FHLMC, are subsequently allocated to the TBA transactions.
The Portfolio may enter into certain TBA transactions known as dollar rolls. Dollar rolls involve sales by the Portfolio of securities for delivery in the current month and the Portfolio’s simultaneously contracting to repurchase substantially similar (same type and coupon) securities on a specified future date. During the roll period, the Portfolio forgoes principal and interest paid on the securities. The Portfolio is compensated by the difference between the current sales price and the lower forward price for the future purchase (often referred to as the “drop”) as well as by the interest earned on the cash proceeds of the initial sale. Dollar rolls involve the risk that the market value of the securities the Portfolio is obligated to repurchase under the agreement may decline below the repurchase price. Dollar rolls are speculative techniques. For the year ended December 31, 2021, the Portfolio earned drop income of $17,711 which is included in interest income in the accompanying statement of operations.
NOTE E: Securities Lending
The Portfolio may enter into securities lending transactions. Under the Portfolio’s securities lending program, all loans of securities will be collateralized continually by cash collateral and/or non-cash collateral. Non-cash collateral will include only securities issued or guaranteed by the U.S. government or its agencies or instrumentalities. The Portfolio cannot sell or repledge any non-cash collateral, such collateral will not be reflected in the portfolio of investments. If a loan is collateralized by cash, the Portfolio will be compensated for the loan from a portion of the net return from the income earned on cash
47
| | |
| BALANCED WEALTH STRATEGY PORTFOLIO | | |
| NOTES TO FINANCIAL STATEMENTS | | |
| |
| (continued) | | AB Variable Products Series Fund |
collateral after a rebate is paid to the borrower (in some cases, this rebate may be a “negative rebate” or fee paid by the borrower to the Portfolio in connection with the loan), and payments are made for fees of the securities lending agent and for certain other administrative expenses. If the Portfolio receives non-cash collateral, the Portfolio will receive a fee from the borrower generally equal to a negotiated percentage of the market value of the loaned securities. The Portfolio will have the right to call a loan and obtain the securities loaned at any time on notice to the borrower within the normal and customary settlement time for the securities. While the securities are on loan, the borrower is obligated to pay the Portfolio amounts equal to any dividend income or other distributions from the securities; however, these distributions will not be afforded the same preferential tax treatment as qualified dividends. The Portfolio will not be able to exercise voting rights with respect to any securities during the existence of a loan, but will have the right to regain ownership of loaned securities in order to exercise voting or other ownership rights. Collateral received and securities loaned are marked to market daily to ensure that the securities loaned are secured by collateral. The lending agent currently invests the cash collateral received in Government Money Market Portfolio, an eligible money market vehicle, in accordance with the investment restrictions of the Portfolio, and as approved by the Board. The collateral received on securities loaned is recorded as an asset as well as a corresponding liability in the statement of assets and liabilities. The collateral will be adjusted the next business day to maintain the required collateral amount. The amounts of securities lending income from the borrowers and Government Money Market Portfolio are reflected in the statement of operations. When the Portfolio earns net securities lending income from Government Money Market Portfolio, the income is inclusive of a rebate expense paid to the borrower. In connection with the cash collateral investment by the Portfolio in Government Money Market Portfolio, the Adviser has agreed to waive a portion of the Portfolio’s share of the advisory fees of Government Money Market Portfolio, as borne indirectly by the Portfolio as an acquired fund fee and expense. When the Portfolio lends securities, its investment performance will continue to reflect changes in the value of the securities loaned. A principal risk of lending portfolio securities is that the borrower may fail to return the loaned securities upon termination of the loan and that the collateral will not be sufficient to replace the loaned securities. The lending agent has agreed to indemnify the Portfolio in the case of default of any securities borrower.
A summary of the Portfolio’s transactions surrounding securities lending for the year ended December 31, 2021 is as follows:
| | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | Government Money Market
Portfolio | |
Market Value of
Securities on
Loan* | | | Cash Collateral* | | | Market Value of
Non-Cash
Collateral* | | | Income from
Borrowers | | | Income Earned | | | Advisory Fee
Waived | |
| $ | 3,089,796 | | | $ | 213,954 | | | $ | 2,971,848 | | | $ | 4,194 | | | $ | 27 | | | $ | 1 | |
| * | | As of December 31, 2021. |
NOTE F: Capital Stock
Each class consists of 500,000,000 authorized shares. Transactions in capital shares for each class were as follows:
| | | | | | | | | | | | | | | | | | | | |
| | | SHARES | | | | | | AMOUNT | |
| | | Year Ended
December 31,
2021 | | | Year Ended
December 31,
2020 | | | | | | Year Ended
December 31,
2021 | | | Year Ended
December 31,
2020 | |
Class A | | | | | | | | | | | | | | | | | | | | |
Shares sold | | | 195,158 | | | | 77,220 | | | | | | | $ | 2,203,872 | | | $ | 757,635 | |
Shares issued in reinvestment of dividends and distributions | | | 53,369 | | | | 114,782 | | | | | | | | 615,351 | | | | 1,115,680 | |
Shares redeemed | | | (388,807 | ) | | | (567,977 | ) | | | | | | | (4,445,529 | ) | | | (5,567,327 | ) |
| | | | | | | | | | | | | | | | | | | | |
Net decrease | | | (140,280 | ) | | | (375,975 | ) | | | | | | $ | (1,626,306 | ) | | $ | (3,694,012 | ) |
| | | | | | | | | | | | | | | | | | | | |
Class B | | | | | | | | | | | | | | | | | | | | |
Shares sold | | | 1,167,051 | | | | 1,282,047 | | | | | | | $ | 13,063,851 | | | $ | 11,968,828 | |
Shares issued in reinvestment of dividends and distributions | | | 494,442 | | | | 1,140,680 | | | | | | | | 5,621,797 | | | | 10,939,126 | |
Shares redeemed | | | (3,578,639 | ) | | | (4,048,921 | ) | | | | | | | (39,923,766 | ) | | | (38,315,162 | ) |
| | | | | | | | | | | | | | | | | | | | |
Net decrease | | | (1,917,146 | ) | | | (1,626,194 | ) | | | | | | $ | (21,238,118 | ) | | $ | (15,407,208 | ) |
| | | | | | | | | | | | | | | | | | | | |
48
| | |
| |
| | | AB Variable Products Series Fund |
At December 31, 2021, certain shareholders of the Portfolio owned 68% in aggregate of the Portfolio’s outstanding shares. Significant transactions by such shareholders, if any, may impact the Portfolio’s performance.
NOTE G: Risks Involved in Investing in the Portfolio
Market Risk—The value of the Portfolio’s assets will fluctuate as the stock or bond market fluctuates. The value of its investments may decline, sometimes rapidly and unpredictably, simply because of economic changes or other events, including public health crises (including the occurrence of a contagious disease or illness), that affect large portions of the market.
Allocation Risk—The allocation of investments among the different investment styles, such as growth or value, equity or debt securities, or U.S. or non-U.S. securities may have a more significant effect on the Portfolio’s net asset value, or NAV, when one of these investment strategies is performing more poorly than others.
Foreign (Non-U.S.) Risk—Investments in securities of non-U.S. issuers may involve more risk than those of U.S. issuers. These securities may fluctuate more widely in price and may be more difficult to trade due to adverse market, economic, political, regulatory or other factors.
Emerging-Market Risk—Investments in emerging market countries may have more risk because the markets are less developed and less liquid, and because these investments may be subject to increased economic, political, regulatory or other uncertainties.
Currency Risk—Fluctuations in currency exchange rates may negatively affect the value of the Portfolio’s investments or reduce the Portfolio’s returns.
Interest-Rate Risk—Changes in interest rates will affect the value of investments in fixed-income securities. When interest rates rise, the value of existing investments in fixed-income securities tends to fall and this decrease in value may not be offset by higher income from new investments. Interest rate risk is generally greater for fixed-income securities with longer maturities or durations. The current historically low interest rate environment heightens the risks associated with rising interest rates.
Credit Risk—An issuer or guarantor of a fixed-income security, or the counterparty to a derivatives or other contract, may be unable or unwilling to make timely payments of interest or principal, or to otherwise honor its obligations. The issuer or guarantor may default, causing a loss of the full principal amount of a security and accrued interest. The degree of risk for a particular security may be reflected in its credit rating. There is the possibility that the credit rating of a fixed-income security may be downgraded after purchase, which may adversely affect the value of the security.
Below Investment-Grade Securities Risk—Investments in fixed-income securities with lower ratings (“junk bonds”) tend to have a higher probability that an issuer will default or fail to meet its payment obligations. These securities may be subject to greater price volatility due to such factors as specific corporate developments, interest rate sensitivity and negative perceptions of the junk bond market generally, and may be more difficult to trade than other types of securities.
Capitalization Risk—Investments in small- and mid-capitalization companies may be more volatile than investments in large-capitalization companies. Investments in small- and mid-capitalization companies may have additional risks because these companies have limited product lines, markets or financial resources.
Investment in Other Investment Companies Risk—As with other investments, investments in other investment companies are subject to market and selection risk. In addition, Contractholders invested in the Portfolio bear both their proportionate share of expenses in the Portfolio (including management fees) and, indirectly, the expenses of the investment companies in which the Portfolio invests (to the extent these expenses are not waived or reimbursed by the Adviser).
Derivatives Risk—Derivatives may be difficult to price or unwind and leveraged so that small changes may produce disproportionate losses for the Portfolio. Derivatives, especially over-the-counter derivatives, are also subject to counterparty risk, which is the risk that the counterparty (the party on the other side of the transaction) on a derivative transaction will be unable or unwilling to honor its contractual obligation to the Portfolio.
Real Assets Risk—The Portfolio’s investments in securities linked to real assets involve significant risks, including financial, operating, and competitive risks. Investments in securities linked to real assets expose the Portfolio to adverse macroeconomic conditions, such as a rise in interest rates or a downturn in the economy in which the asset is located. Changes in inflation rates or in the market’s inflation expectations may adversely affect the market value of inflation-sensitive equities.
49
| | |
| BALANCED WEALTH STRATEGY PORTFOLIO | | |
| NOTES TO FINANCIAL STATEMENTS | | |
| |
| (continued) | | AB Variable Products Series Fund |
The Portfolio’s investments in real estate securities have many of the same risks as direct ownership of real estate, including the risk that the value of real estate could decline due to a variety of factors that affect the real estate market generally. Investments in real estate investment trusts (“REITs”) may have additional risks. REITs are dependent on the capability of their managers, may have limited diversification, and could be significantly affected by changes in tax laws.
LIBOR Transition and Associated Risk—A Portfolio may be exposed to debt securities, derivatives or other financial instruments that are tied to the London Interbank Offered Rate, or “LIBOR,” as a “benchmark” or “reference rate” for various interest rate calculations. In 2017, the United Kingdom Financial Conduct Authority (“FCA”), which regulates LIBOR, announced a desire to phase out the use of LIBOR by the end of 2021. The FCA and LIBOR’s administrator, ICE Benchmark Administration, have since announced that most LIBOR settings (which reflect LIBOR rates quoted in different currencies over various time periods) will no longer be published after the end of 2021 but that the most widely used U.S. dollar LIBOR settings will continue to be published until June 30, 2023. However, banks were strongly encouraged to cease entering into agreements with counterparties referencing LIBOR by the end of 2021. It is possible that a subset of LIBOR settings will be published after these dates on a “synthetic” basis, but any such publications would be considered non-representative of the underlying market. The U.S. Federal Reserve, based on the recommendations of the New York Federal Reserve’s Alternative Reference Rate Committee (comprised of major derivative market participants and their regulators), has begun publishing a Secured Overnight Funding Rate (referred to as SOFR), which is intended to replace U.S. dollar LIBOR. Proposals for alternative reference rates for other currencies have also been announced or have already begun publication. Markets are slowly developing in response to these new rates.
The elimination of LIBOR or changes to other reference rates or any other changes or reforms to the determination or supervision of reference rates could have an adverse impact on the market for, or value of, any securities or payments linked to those reference rates, which may adversely affect a Portfolio’s performance and/or net asset value. Uncertainty and risk also remain regarding the willingness and ability of issuers and lenders to include revised provisions in new and existing contracts or instruments. Consequently, the transition away from LIBOR to other reference rates may lead to increased volatility and illiquidity in markets that are tied to LIBOR, fluctuations in values of LIBOR-related investments or investments in issuers that utilize LIBOR, increased difficulty in borrowing or refinancing and diminished effectiveness of hedging strategies, potentially adversely affecting a Portfolio’s performance. Furthermore, the risks associated with the expected discontinuation of LIBOR and transition may be exacerbated if the work necessary to effect an orderly transition to an alternative reference rate is not completed in a timely manner. The potential effects of a phase out of LIBOR on LIBOR-based investments are currently unknown.
Indemnification Risk—In the ordinary course of business, the Portfolio enters into contracts that contain a variety of indemnifications. The Portfolio’s maximum exposure under these arrangements is unknown. However, the Portfolio has not had prior claims or losses pursuant to these indemnification provisions and expects the risk of loss thereunder to be remote. Therefore, the Portfolio has not accrued any liability in connection with these indemnification provisions.
Management Risk—The Portfolio is subject to management risk because it is an actively-managed investment fund. The Adviser will apply its investment techniques and risk analyses in making investment decisions for the Portfolio, but there is no guarantee that its techniques will produce the intended results. Some of these techniques may incorporate, or rely upon, quantitative models, but there is no guarantee that these models will generate accurate forecasts, reduce risk or otherwise perform as expected.
NOTE H: Joint Credit Facility
A number of open-end mutual funds managed by the Adviser, including the Portfolio, participate in a $325 million revolving credit facility (the “Facility”) intended to provide short-term financing related to redemptions and other short term liquidity requirements, subject to certain restrictions. Commitment fees related to the Facility are paid by the participating funds and are included in miscellaneous expenses in the statement of operations. The Portfolio did not utilize the Facility during the year ended December 31, 2021.
50
| | |
| |
| | | AB Variable Products Series Fund |
NOTE I: Distributions to Shareholders
The tax character of distributions paid during the fiscal years ended December 31, 2021 and December 31, 2020 were as follows:
| | | | | | | | |
| | | 2021 | | | 2020 | |
Distributions paid from: | | | | | | | | |
Ordinary income | | $ | 2,456,552 | | | $ | 5,219,650 | |
Net long-term capital gains | | | 3,780,596 | | | | 6,835,156 | |
| | | | | | | | |
Total taxable distributions paid | | $ | 6,237,148 | | | $ | 12,054,806 | |
| | | | | | | | |
As of December 31, 2021, the components of accumulated earnings/(deficit) on a tax basis were as follows:
| | | | |
Undistributed ordinary income | | $ | 8,306,029 | |
Undistributed capital gains | | | 18,272,667 | |
Other losses | | | (839 | )(a) |
Unrealized appreciation/(depreciation) | | | 40,744,702 | (b) |
| | | | |
Total accumulated earnings/(deficit) | | $ | 67,322,559 | (c) |
| | | | |
| (a) | | As of December 31, 2021, the cumulative deferred loss on straddles was $839. |
| (b) | | The differences between book-basis and tax-basis unrealized appreciation/(depreciation) are attributable primarily to the recognition for tax purposes of unrealized gains/losses on certain derivative instruments, the tax treatment of passive foreign investment companies (PFICs), the tax treatment of Treasury inflation-protected securities, the amortization on callable bonds, the tax treatment of swaps, and the tax deferral of losses on wash sales. |
| (c) | | The difference between book-basis and tax-basis components of accumulated earnings/(deficit) is attributable primarily to the accrual of foreign capital gains tax. |
For tax purposes, net realized capital losses may be carried over to offset future capital gains, if any. Funds are permitted to carry forward capital losses for an indefinite period, and such losses will retain their character as either short-term or long-term capital losses. As of December 31, 2021, the Portfolio did not have any capital loss carryforwards.
During the current fiscal year, permanent differences primarily due to contributions from the Adviser resulted in a net increase in distributable earnings and a net decrease in additional paid-in capital. These reclassifications had no effect on net assets.
NOTE J: Recent Accounting Pronouncements
In March 2020, the Financial Accounting Standards Board issued an Accounting Standards Update, ASU 2020-04, “Reference Rate Reform (Topic 848) – Facilitation of the Effects of Reference Rate Reform on Financial Reporting.” ASU 2020-04 provides optional guidance to ease the potential accounting burden due to the discontinuation of the LIBOR and other interbank-offered based reference rates. ASU 2020-04 is effective as of March 12, 2020 through December 31, 2022. Management is currently evaluating the impact, if any, of applying ASU 2020-04.
NOTE K: Subsequent Events
At a meeting held on November 2-4, 2021, the Adviser recommended and the Portfolio’s Board of Directors approved certain changes to the Portfolio, including changing the Portfolio’s name to “AB Balanced Hedged Allocation Portfolio” and changes to the Portfolio’s principal investment strategies. These changes are addressed in a supplement (dated November 5, 2021) to the Fund’s prospectus. In addition, the advisory fee will be revised to an annual rate of 0.45% of the Portfolio’s average daily net assets up to $2.5 billion, 0.425% of net assets in excess of $2.5 billion up to $5 billion, and 0.40% of net assets in excess of $5 billion. These changes will be effective on or about May 1, 2022.
Management has evaluated subsequent events for possible recognition or disclosure in the financial statements through the date the financial statements are issued. Management has determined that there are no other material events that would require disclosure in the Portfolio’s financial statements through this date.
51
| | |
| | |
| BALANCED WEALTH STRATEGY PORTFOLIO |
| |
| FINANCIAL HIGHLIGHTS | | AB Variable Products Series Fund |
Selected Data For A Share Of Capital Stock Outstanding Throughout Each Period
| | | | | | | | | | | | | | | | | | | | |
| | | CLASS A | |
| | | Year Ended December 31, | |
| | | 2021 | | | 2020 | | | 2019 | | | 2018 | | | 2017 | |
Net asset value, beginning of period | | | $10.61 | | | | $10.24 | | | | $10.10 | | | | $11.86 | | | | $10.54 | |
| | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | |
Income From Investment Operations | | | | | | | | | | | | | | | | | | | | |
Net investment income (a)(b) | | | .16 | | | | .13 | | | | .19 | | | | .23 | | | | .17 | |
Net realized and unrealized gain (loss) on investment and foreign currency transactions | | | 1.29 | | | | .78 | | | | 1.58 | | | | (.87 | ) | | | 1.48 | |
Contributions from Affiliates | | | .00 | (c) | | | –0 | – | | | –0 | – | | | .00 | (c) | | | .00 | (c) |
| | | | | | | | | | | | | | | | | | | | |
Net increase (decrease) in net asset value from operations | | | 1.45 | | | | .91 | | | | 1.77 | | | | (.64 | ) | | | 1.65 | |
| | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | |
Less: Dividends and Distributions | | | | | | | | | | | | | | | | | | | | |
Dividends from net investment income | | | (.06 | ) | | | (.24 | ) | | | (.29 | ) | | | (.23 | ) | | | (.24 | ) |
Distributions from net realized gain on investment transactions | | | (.25 | ) | | | (.30 | ) | | | (1.34 | ) | | | (.89 | ) | | | (.09 | ) |
| | | | | | | | | | | | | | | | | | | | |
Total dividends and distributions | | | (.31 | ) | | | (.54 | ) | | | (1.63 | ) | | | (1.12 | ) | | | (.33 | ) |
| | | | | | | | | | | | | | | | | | | | |
Net asset value, end of period | | | $11.75 | | | | $10.61 | | | | $10.24 | | | | $10.10 | | | | $11.86 | |
| | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | |
Total Return | | | | | | | | | | | | | | | | | | | | |
Total investment return based on net asset value (d)* | | | 13.73 | % | | | 9.41 | % | | | 18.53 | % | | | (6.17 | )% | | | 15.84 | % |
| | | | | | | | | | | | | | | | | | | | |
Ratios/Supplemental Data | | | | | | | | | | | | | | | | | | | | |
Net assets, end of period (000’s omitted) | | | $21,879 | | | | $21,252 | | | | $24,347 | | | | $23,967 | | | | $29,328 | |
Ratio to average net assets of: | | | | | | | | | | | | | | | | | | | | |
Expenses, net of waivers/reimbursements (e)(f)‡ | | | .56 | % | | | .55 | % | | | .55 | % | | | .66 | % | | | .73 | % |
Expenses, before waivers/reimbursements (e)(f)‡ | | | .75 | % | | | .77 | % | | | .75 | % | | | .75 | % | | | .73 | % |
Net investment income (b) | | | 1.43 | % | | | 1.38 | % | | | 1.81 | % | | | 2.05 | % | | | 1.51 | % |
Portfolio turnover rate** | | | 63 | % | | | 66 | % | | | 63 | % | | | 150 | % | | | 108 | % |
| | | | | | | | | | | | | | | | | | | | |
‡ Expense ratios exclude the estimated acquired fund fees of the affiliated/unaffiliated underlying | |
portfolios | | | .20 | % | | | .22 | % | | | .22 | % | | | .11 | % | | | .00 | % |
See footnote summary on page 54.
52
| | |
| |
| | | AB Variable Products Series Fund |
Selected Data For A Share Of Capital Stock Outstanding Throughout Each Period
| | | | | | | | | | | | | | | | | | | | |
| | | CLASS B | |
| | | Year Ended December 31, | |
| | | 2021 | | | 2020 | | | 2019 | | | 2018 | | | 2017 | |
Net asset value, beginning of period | | | $10.47 | | | | $10.10 | | | | $9.98 | | | | $11.73 | | | | $10.42 | |
| | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | |
Income From Investment Operations | | | | | | | | | | | | | | | | | | | | |
Net investment income (a)(b) | | | .13 | | | | .11 | | | | .16 | | | | .20 | | | | .14 | |
Net realized and unrealized gain (loss) on investment and foreign currency transactions | | | 1.26 | | | | .78 | | | | 1.56 | | | | (.86 | ) | | | 1.47 | |
Contributions from Affiliates | | | .00 | (c) | | | –0 | – | | | –0 | – | | | .00 | (c) | | | .00 | (c) |
| | | | | | | | | | | | | | | | | | | | |
Net increase (decrease) in net asset value from operations | | | 1.39 | | | | .89 | | | | 1.72 | | | | (.66 | ) | | | 1.61 | |
| | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | |
Less: Dividends and Distributions | | | | | | | | | | | | | | | | | | | | |
Dividends from net investment income | | | (.03 | ) | | | (.22 | ) | | | (.26 | ) | | | (.20 | ) | | | (.21 | ) |
Distributions from net realized gain on investment transactions | | | (.25 | ) | | | (.30 | ) | | | (1.34 | ) | | | (.89 | ) | | | (.09 | ) |
| | | | | | | | | | | | | | | | | | | | |
Total dividends and distributions | | | (.28 | ) | | | (.52 | ) | | | (1.60 | ) | | | (1.09 | ) | | | (.30 | ) |
| | | | | | | | | | | | | | | | | | | | |
Net asset value, end of period | | | $11.58 | | | | $10.47 | | | | $10.10 | | | | $9.98 | | | | $11.73 | |
| | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | |
Total Return | | | | | | | | | | | | | | | | | | | | |
Total investment return based on net asset value (d)* | | | 13.36 | % | | | 9.25 | % | | | 18.20 | % | | | (6.41 | )% | | | 15.62 | % |
| | | | | | | | | | | | | | | | | | | | |
Ratios/Supplemental Data | | | | | | | | | | | | | | | | | | | | |
Net assets, end of period (000’s omitted) | | | $223,893 | | | | $222,427 | | | | $231,071 | | | | $220,274 | | | | $274,070 | |
Ratio to average net assets of: | | | | | | | | | | | | | | | | | | | | |
Expenses, net of waivers/reimbursements (e)(f)‡ | | | .81 | % | | | .80 | % | | | .80 | % | | | .91 | % | | | .98 | % |
Expenses, before waivers/reimbursements (e)(f)‡ | | | 1.00 | % | | | 1.02 | % | | | 1.00 | % | | | 1.00 | % | | | .98 | % |
Net investment income (b) | | | 1.20 | % | | | 1.14 | % | | | 1.57 | % | | | 1.79 | % | | | 1.26 | % |
Portfolio turnover rate** | | | 63 | % | | | 66 | % | | | 63 | % | | | 150 | % | | | 108 | % |
| | | | | | | | | | | | | | | | | | | | |
‡ Expense ratios exclude the estimated acquired fund fees of the affiliated/unaffiliated underlying | |
portfolios | | | .20 | % | | | .22 | % | | | .22 | % | | | .11 | % | | | .00 | % |
See footnote summary on page 54.
53
| | |
| BALANCED WEALTH STRATEGY PORTFOLIO | | |
| FINANCIAL HIGHLIGHTS | | |
| |
| (continued) | | AB Variable Products Series Fund |
| (a) | | Based on average shares outstanding. |
| (b) | | Net of expenses waived/reimbursed by the Adviser. |
| (c) | | Amount is less than $.005. |
| (d) | | Total investment return is calculated assuming an initial investment made at the net asset value at the beginning of the period, reinvestment of all dividends and distributions at net asset value during the period, and redemption on the last day of the period. Total return does not reflect (i) insurance company’s separate account related expense charges and (ii) the deductions of taxes that a shareholder would pay on Portfolio distributions or the redemption of Portfolio shares. Total investment return calculated for a period of less than one year is not annualized. |
| (e) | | In connection with the Portfolio’s investments in affiliated underlying portfolios, the Portfolio incurs no direct expenses, but bears proportionate shares of the fees and expenses (i.e., operating, administrative and investment advisory fees) of the affiliated underlying portfolios. The Adviser has contractually agreed to waive its fees from the Portfolio in an amount equal to the Portfolio’s pro rata share of certain acquired fund fees and expenses, and for the years ended December 31, 2021, December 31, 2020, December 31, 2019 and December 31, 2018, such waiver amounted to .19%, .20%, .20% and .09%, respectively. |
| (f) | | The expense ratios presented below exclude interest bank overdraft expense: |
| | | | | | | | | | | | | | | | | | | | |
| | | Year Ended December 31, | |
| | | 2021 | | | 2020 | | | 2019 | | | 2018 | | | 2017 | |
Class A | | | | | | | | | | | | | | | | | | | | |
Net of waivers/reimbursements | | | .56 | % | | | .55 | % | | | .54 | % | | | .66 | % | | | .73 | % |
Before waivers/reimbursements | | | .75 | % | | | .77 | % | | | .75 | % | | | .75 | % | | | .73 | % |
Class B | | | | | | | | | | | | | | | | | | | | |
Net of waivers/reimbursements | | | .81 | % | | | .80 | % | | | .79 | % | | | .91 | % | | | .98 | % |
Before waivers/reimbursements | | | 1.00 | % | | | 1.02 | % | | | 1.00 | % | | | 1.00 | % | | | .98 | % |
| * | | Includes the impact of proceeds received and credited to the Portfolio resulting from class action settlements, which enhanced the Portfolio’s performance for the year ended December 31, 2017 by .02%. |
| ** | | The Portfolio accounts for dollar roll transactions as purchases and sales. |
See notes to financial statements.
54
| | |
| | |
| REPORT OF INDEPENDENT REGISTERED |
| |
| PUBLIC ACCOUNTING FIRM | | AB Variable Products Series Fund |
To the Shareholders and the Board of Directors of AB Balanced Wealth Strategy Portfolio
Opinion on the Financial Statements
We have audited the accompanying statement of assets and liabilities of AB Balanced Wealth Strategy Portfolio (the “Portfolio”) (one of the portfolios constituting AB Variable Products Series Fund, Inc. (the “Fund”)), including the portfolio of investments, as of December 31, 2021, and the related statement of operations for the year then ended, the statements of changes in net assets for each of the two years in the period then ended, the financial highlights for each of the five years in the period then ended and the related notes (collectively referred to as the “financial statements”). In our opinion, the financial statements present fairly, in all material respects, the financial position of the Portfolio (one of the portfolios constituting AB Variable Products Series Fund, Inc.) at December 31, 2021, the results of its operations for the year then ended, the changes in its net assets for each of the two years in the period then ended and its financial highlights for each of the five years in the period then ended, in conformity with U.S. generally accepted accounting principles.
Basis for Opinion
These financial statements are the responsibility of the Fund’s management. Our responsibility is to express an opinion on the Portfolio’s financial statements based on our audits. We are a public accounting firm registered with the Public Company Accounting Oversight Board (United States) (“PCAOB”) and are required to be independent with respect to the Fund in accordance with the U.S. federal securities laws and the applicable rules and regulations of the Securities and Exchange Commission and the PCAOB.
We conducted our audits in accordance with the standards of the PCAOB. Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements are free of material misstatement, whether due to error or fraud. The Fund is not required to have, nor were we engaged to perform, an audit of the Fund’s internal control over financial reporting. As part of our audits we are required to obtain an understanding of internal control over financial reporting but not for the purpose of expressing an opinion on the effectiveness of the Fund’s internal control over financial reporting. Accordingly, we express no such opinion.
Our audits included performing procedures to assess the risks of material misstatement of the financial statements, whether due to error or fraud, and performing procedures that respond to those risks. Such procedures included examining, on a test basis, evidence regarding the amounts and disclosures in the financial statements. Our procedures included confirmation of securities owned as of December 31, 2021, by correspondence with the custodian and others or by other appropriate auditing procedures where replies from others were not received. Our audits also included evaluating the accounting principles used and significant estimates made by management, as well as evaluating the overall presentation of the financial statements. We believe that our audits provide a reasonable basis for our opinion.
We have served as the auditor of one or more of the AB investment companies since 1968.
New York, New York
February 14, 2022
55
| | |
| | |
| | |
| |
| 2021 TAX INFORMATION (unaudited) | | AB Variable Products Series Fund |
For Federal income tax purposes, the following information is furnished with respect to the distributions paid by the Portfolio during the taxable year ended December 31, 2021. For corporate shareholders, 46.22% of dividends paid qualify for the dividends received deduction. The Portfolio designates $3,780,596 of dividends paid as long-term capital gain dividends.
56
| | |
| | | |
| BALANCED WEALTH STRATEGY | | |
| |
| PORTFOLIO | | AB Variable Products Series Fund |
| | |
| BOARD OF DIRECTORS | | |
Marshall C. Turner, Jr.(1), Chairman Jorge A. Bermudez(1) Michael J. Downey(1) Onur Erzan*, President and
Chief Executive Officer | | Nancy P. Jacklin(1) Jeanette W. Loeb(1) Carol C. McMullen(1) Garry L. Moody(1) |
| | |
| OFFICERS | | |
Daniel J. Loewy(2), Vice President Emilie D. Wrapp, Secretary Michael B. Reyes, Senior Vice President and
Senior Analyst | | Joseph J. Mantineo, Treasurer and
Chief Financial Officer Phyllis J. Clarke, Controller Vincent S. Noto, Chief Compliance Officer |
| | |
CUSTODIANAND ACCOUNTING AGENT State Street Bank and Trust Company State Street Corporation CCB/5 1 Iron Street Boston, MA 02210 | | LEGAL COUNSEL Seward & Kissel LLP One Battery Park Plaza New York, NY 10004 |
| | |
DISTRIBUTOR AllianceBernstein Investments, Inc. 501 Commerce Street Nashville, TN 37203 | | TRANSFER AGENT AllianceBernstein Investor Services, Inc. P.O. Box 786003 San Antonio, TX 78278 Toll-Free (800) 221-5672 |
|
INDEPENDENT REGISTERED PUBLIC ACCOUNTING FIRM Ernst & Young LLP One Manhattan West New York, NY 10001 | | |
| (1) | Member of the Audit Committee, the Governance and Nominating Committee, and the Independent Directors Committee. |
| (2) | The day-to-day management of, and investment decisions for, the Portfolio’s portfolio are made by the Adviser’s Multi-Asset Solutions Team. Mr. Loewy is the investment professional with the most significant responsibility for the day-to-day management of the Portfolio’s portfolio. |
57
| | |
| | |
| BALANCED WEALTH STRATEGY PORTFOLIO |
| |
| MANAGEMENT OF THE FUND | | AB Variable Products Series Fund |
Board of Directors Information
The business and affairs of the Fund are managed under the direction of the Board of Directors. Certain information concerning the Fund’s Directors is set forth below.
| | | | | | | | |
NAME, ADDRESS*, AGE AND (YEAR FIRST ELECTED)** | | PRINCIPAL
OCCUPATION(S), DURING PAST FIVE YEARS AND OTHER INFORMATION*** | | PORTFOLIOS
IN AB FUND
COMPLEX
OVERSEEN BY
DIRECTOR | | | OTHER PUBLIC
COMPANY
DIRECTORSHIPS
CURRENTLY
HELD BY
DIRECTOR |
| | | | | | | | |
| INTERESTED DIRECTOR | | | | | | |
| | | | | | | | |
Onur Erzan,# 1345 Avenue of the Americas New York, NY 10105 46 (2021) | | Senior Vice President of AllianceBernstein L.P. (the “Adviser”) and Head of the Global Client Group overseeing AB’s institutional and retail businesses, where he is responsible for all client services, sales and marketing, as well as product strategy, management and development worldwide. Director, President and Chief Executive Officer of the AB Mutual Funds as of April 1, 2021. Prior to joining the firm in January 2021, he spent 20 years with McKinsey (management consulting firm), most recently as a senior partner and co-leader of its Wealth & Asset Management practice. In addition, he co-led McKinsey’s Banking & Securities Solutions (a portfolio of data, analytics, and digital assets and capabilities) globally. | | | 74 | | | None |
| | | | | | | | |
| INDEPENDENT DIRECTORS | | | | | | |
| | | | | | | | |
Marshall C. Turner, Jr.,## Chairman of the Board 80 (2005) | | Private Investor since prior to 2017. Former Chairman and CEO of Dupont Photomasks, Inc. (components of semi-conductor manufacturing). He was a Director of Xilinx, Inc. (programmable logic semiconductors and adaptable, intelligent computing) from 2007 through August 2020, and is a former director of 33 other companies and organizations. He has extensive operating leadership, and venture capital investing experience, including five interim or full-time CEO roles, and prior service as general partner of institutional venture capital partnerships. He also has extensive non-profit board leadership experience, and currently serves on the boards of two education and science-related non-profit organizations. He has served as a director of one AB Fund since 1992, and director or trustee of all AB Funds since 2005. He has been Chairman of the AB Funds since January 2014, and the Chairman of the Independent Directors Committees of such AB Funds since February 2014. | | | 74 | | | None |
| | | | | | | | |
Jorge A. Bermudez,## 70 (2020) | | Private Investor since prior to 2017. Formerly, Chief Risk Officer of Citigroup, Inc., a global financial services company, from November 2007 to March 2008, Chief Executive Officer of Citigroup’s Commercial Business Group in North America and Citibank Texas from 2005 to 2007, and a variety of other executive and leadership roles at various businesses within Citigroup prior to then; Chairman (2018) of the Texas A&M Foundation Board of Trustees (Trustee since 2013) and Chairman of the Smart Grid Center Board at Texas A&M University since 2012; director of, among others, Citibank N.A. from 2005 to 2008, the Federal Reserve Bank of Dallas, Houston Branch from 2009 to 2011, the Federal Reserve Bank of Dallas from 2011 to 2017, and the Electric Reliability Council of Texas from 2010 to 2016. He has served as director or trustee of the AB Funds since January 2020. | | | 74 | | | Moody’s Corporation since April 2011 |
58
| | |
| |
| | | AB Variable Products Series Fund |
| | | | | | | | |
NAME, ADDRESS*, AGE AND (YEAR FIRST ELECTED)** | | PRINCIPAL
OCCUPATION(S), DURING PAST FIVE YEARS AND OTHER INFORMATION*** | | PORTFOLIOS
IN AB FUND
COMPLEX
OVERSEEN BY
DIRECTOR | | | OTHER PUBLIC
COMPANY
DIRECTORSHIPS
CURRENTLY
HELD BY
DIRECTOR |
INDEPENDENT DIRECTORS (continued) | | | | | | |
| | | | | | | | |
Michael J. Downey,## 78 (2005) | | Private Investor since prior to 2017. Formerly, Chairman of The Asia Pacific Fund, Inc. (registered investment company) since prior to 2017 until January 2019. From 1987 until 1993, Chairman and CEO of Prudential Mutual Fund Management, director of the Prudential mutual funds, and member of the Executive Committee of Prudential Securities, Inc. He has served as a director or trustee of the AB Funds since 2005. | | | 74 | | | None |
| | | | | | | | |
Nancy P. Jacklin,## 73 (2006) | | Private Investor since prior to 2017. Professorial Lecturer at the Johns Hopkins School of Advanced International Studies (2008–2015). U.S. Executive Director of the International Monetary Fund (which is responsible for ensuring the stability of the international monetary system), (December 2002–May 2006); Partner, Clifford Chance (1992–2002); Sector Counsel, International Banking and Finance, and Associate General Counsel, Citicorp (1985–1992); Assistant General Counsel (International), Federal Reserve Board of Governors (1982–1985); and Attorney Advisor, U.S. Department of the Treasury (1973–1982). Member of the Bar of the District of Columbia and of New York; and member of the Council on Foreign Relations. She has served as a director or trustee of the AB Funds since 2006 and has been Chair of the Governance and Nominating Committees of the AB Funds since August 2014. | | | 74 | | | None |
| | | | | | | | |
Jeanette W. Loeb,## 69 (2020) | | Chief Executive Officer of PetCareRx (e-commerce pet pharmacy) from 2002 to 2011 and 2015 to present. Director of New York City Center since 2005. She was a director of AB Multi-Manager Alternative Fund, Inc. (fund of hedge funds) from 2012 to 2018. Formerly, affiliated with Goldman Sachs Group, Inc. (financial services) from 1977 to 1994, including as a partner thereof from 1986 to 1994. She has served as director or trustee of the AB Funds since April 2020. | | | 74 | | | Apollo Investment Corp. (business development company) since August 2011 |
| | | | | | | | |
59
| | |
| BALANCED WEALTH STRATEGY PORTFOLIO |
| MANAGEMENT OF THE FUND | | |
| |
| (continued) | | AB Variable Products Series Fund |
| | | | | | | | |
NAME, ADDRESS*, AGE AND (YEAR FIRST ELECTED)** | | PRINCIPAL
OCCUPATION(S), DURING PAST FIVE YEARS AND OTHER INFORMATION*** | | PORTFOLIOS
IN AB FUND
COMPLEX
OVERSEEN BY
DIRECTOR | | | OTHER PUBLIC
COMPANY
DIRECTORSHIPS
CURRENTLY
HELD BY
DIRECTOR |
INDEPENDENT DIRECTORS (continued) | | | | | | |
| | | | | | | | |
Carol C . McMullen,## 66 (2016) | | Managing Director of Slalom Consulting (consulting) since 2014, private investor and a member of the Advisory Board of Butcher Box (since 2018). Formerly, member, Partners Healthcare Investment Committee (2010–2019); Director of Norfolk & Dedham Group (mutual property and casualty insurance) from 2011 until November 2016; Director of Partners Community Physicians Organization (healthcare) from 2014 until December 2016; and Managing Director of The Crossland Group (consulting) from 2012 until 2013. She has held a number of senior positions in the asset and wealth management industries, including at Eastern Bank (where her roles included President of Eastern Wealth Management), Thomson Financial (Global Head of Sales for Investment Management), and Putnam Investments (where her roles included Chief Investment Officer, Core and Growth and Head of Global Investment Research). She has served on a number of private company and non-profit boards, and as a director or trustee of the AB Funds since June 2016. | | | 74 | | | None |
| | | | | | | | |
Garry L. Moody,## 69 (2008) | | Private Investor since prior to 2017. Formerly, Partner, Deloitte & Touche LLP (1995–2008) where he held a number of senior positions, including Vice Chairman, and U.S . and Global Investment Management Practice Managing Partner; President, Fidelity Accounting and Custody Services Company (1993–1995), where he was responsible for accounting, pricing, custody and reporting for the Fidelity mutual funds; and Partner, Ernst & Young LLP (1975–1993), where he served as the National Director of Mutual Fund Tax Services and Managing Partner of its Chicago Office Tax department. He is a member of the Trustee Advisory Board of BoardIQ, a biweekly publication focused on issues and news affecting directors of mutual funds. He is also a member of the Investment Company Institute’s Board of Governors and the Independent Directors Council’s Governing Council. He has served as a director or trustee, and as Chairman of the Audit Committees, of the AB Funds since 2008. | | | 74 | | | None |
| | | | | | | | |
| * | The address for each of the Company’s Directors is c/o AllianceBernstein L.P., Attention: Legal and Compliance Department—Mutual Fund Legal, 1345 Avenue of the Americas, New York, NY 10105. |
| ** | There is no stated term of office for the Fund’s Directors. |
| *** | The information above includes each Director’s principal occupation during the last five years and other information relating to the experience, attributes and skills relevant to each Director’s qualifications to serve as a Director, which led to the conclusion that each Director should serve as a Director for the Fund. |
| # | Mr. Erzan is an “interested person” of the Fund, as defined in the “1940 Act”, due to his position as a Senior Vice President of the Adviser. |
| ## | Member of the Audit Committee, the Governance and Nominating Committee, and the Independent Directors Committee. |
60
| | |
| |
| | | AB Variable Products Series Fund |
Officer Information
Certain information concerning the Portfolio’s Officers is listed below.
| | | | |
NAME, ADDRESS*
AND AGE | | PRINCIPAL POSITION(S)
HELD WITH FUND | | PRINCIPAL OCCUPATION
DURING PAST FIVE YEARS |
Onur Erzan 46 | | President and Chief
Executive Officer | | See biography above. |
| | | | |
Daniel J. Loewy 47 | | Vice President | | Senior Vice President of the Adviser**, with which he has been associated since prior to 2017. He is also Chief Investment Officer and Head of Multi-Asset Solutions and Chief Investment Officer for Dynamic Asset Allocation. |
| | | | |
Emilie D. Wrapp 66 | | Secretary | | Senior Vice President, Assistant General Counsel and Assistant Secretary of ABI**, with which she has been associated since prior to 2017. |
| | | | |
Michael B. Reyes 45 | | Senior Vice President and
Senior Analyst | | Vice President of the Adviser**, with which he has been associated since prior to 2017. |
| | | | |
Joseph J. Mantineo 62 | | Treasurer and Chief
Financial Officer | | Senior Vice President of AllianceBernstein Investor Services, Inc. (“ABIS”)**, with which he has been associated since prior to 2017. |
| | | | |
Phyllis J. Clarke 61 | | Controller | | Vice President of the ABIS**, with which she has been associated since prior to 2017. |
| | | | |
Vincent S. Noto 57 | | Chief Compliance Officer | | Senior Vice President and Mutual Fund Chief Compliance Officer of the Adviser** since prior to 2017. |
| * | | The address for each of the Portfolio’s Officers is 1345 Avenue of the Americas, New York, NY 10105. |
| ** | | The Adviser, ABI, and ABIS are affiliates of the Fund. |
| | | The Fund’s Statement of Additional Information (“SAI”) has additional information about the Fund’s Directors and Officers and is available without charge upon request. Contact your financial representative or the Adviser at (800) 227-4618, or visit www.abfunds.com, for a free prospectus or SAI. |
61
| | |
| | | |
| | | |
| |
| BALANCED WEALTH STRATEGY PORTFOLIO | | AB Variable Products Series Fund |
OPERATION AND EFFECTIVENESS OF THE PORTFOLIO’S LIQUIDITY RISK MANAGEMENT PROGRAM:
In October 2016, the Securities and Exchange Commission (“SEC”) adopted the open-end fund liquidity rule (the “Liquidity Rule”). In June 2018 the SEC adopted a requirement that funds disclose information about the operation and effectiveness of their Liquidity Risk Management Program (“LRMP”) in their reports to shareholders.
One of the requirements of the Liquidity Rule is for the Portfolio to designate an Administrator of the Portfolio’s Liquidity Risk Management Program. The Administrator of the Portfolio’s LRMP is AllianceBernstein L.P., the Portfolio’s investment adviser (the “Adviser”). The Adviser has delegated the responsibility to its Liquidity Risk Management Committee (the “Committee”).
Another requirement of the Liquidity Rule is for the Portfolio’s Board of Directors (the “Fund Board”) to receive an annual written report from the Administrator of the LRMP, which addresses the operation of the Portfolio’s LRMP and assesses its adequacy and effectiveness. The Adviser provided the Fund Board with such annual report during the first quarter of 2021, which covered the period January 1, 2020 through December 31, 2020 (the “Program Reporting Period”).
The LRMP’s principal objectives include supporting the Portfolio’s compliance with limits on investments in illiquid assets and mitigating the risk that the Portfolio will be unable to meet its redemption obligations in a timely manner.
Pursuant to the LRMP, the Portfolio classifies the liquidity of its portfolio investments into one of the four categories defined by the SEC: Highly Liquid, Moderately Liquid, Less Liquid, and Illiquid. These classifications are reported to the SEC on Form N-PORT.
During the Program Reporting Period, the Committee reviewed whether the Portfolio’s strategy is appropriate for an open-end structure, incorporating any holdings of less liquid and illiquid assets. If the Portfolio participated in derivative transactions, the exposure from such transactions were considered in the LRMP.
The Committee also performed an analysis to determine whether the Portfolio is required to maintain a Highly Liquid Investment Minimum (“HLIM”). The Committee also incorporated the following information when determining the Portfolio’s reasonably anticipated trading size for purposes of liquidity monitoring: historical net redemption activity, a Portfolio’s concentration in an issuer, shareholder concentration, investment performance, total net assets, and distribution channels.
The Adviser informed the Fund Board that the Committee believes the Portfolio’s LRMP is adequately designed, has been implemented as intended, and has operated effectively since its inception. No material exceptions have been noted since the implementation of the LRMP. During the Program Reporting Period, beginning in March 2020, all financial markets experienced extreme levels of price volatility and relative illiquidity resulting from the COVID-19 impacts on the global economy. This extreme relative illiquidity resulted in significantly wider bid-ask spreads to transact in securities, including many of those securities held by the Portfolio, and in a diminished depth of liquidity in most markets, to varying degrees. Nonetheless, there were no liquidity events that impacted the Portfolio or its ability to timely meet redemptions during the Program Reporting Period.
62
| | |
| | |
| BALANCED WEALTH STRATEGY PORTFOLIO | | |
| |
| CONTINUANCE DISCLOSURE | | AB Variable Products Series Fund |
INFORMATION REGARDING THE REVIEW AND APPROVAL OF THE FUND’S ADVISORY AGREEMENT
At a meeting of the Board of Directors (“Board” or “directors”) of AB Variable Products Series Fund, Inc. (the “Company”) held by video conference on November 2-4, 2021 (the “November 2021 Meeting”), the Board approved, upon recommendation of the Adviser, certain changes to AB Balanced Wealth Strategy Portfolio (the “Fund”) as set forth in the Supplement dated November 5, 2021 to the Prospectuses and Summary Prospectuses dated May 1, 2021 of the Fund, including changes to the Fund’s name (to “AB Balanced Hedged Allocation Portfolio”) and principal investment strategies. In connection with these changes the Adviser also presented its recommendation that the Board consider and approve an amendment to the Company’s then-current Advisory Agreement with the Adviser in respect of the Fund to implement a reduction to the Fund’s then-current advisory fee schedule (the “Amended Advisory Agreement”).
At the recommendation of the Adviser, the disinterested directors (“the directors”) unanimously approved the Amended Advisory Agreement.
The Adviser’s changes, including the proposed advisory fee reduction, will be effective on or about May 1, 2022 and do not require shareholder approval.
The directors approved the continuance of the Fund’s then-current Advisory Agreement at a meeting held by video conference on August 4-5, 2021 (the “August 2021 Meeting”).
Prior to approval of the Amended Advisory Agreement, the directors had requested from the Adviser, and received and evaluated, extensive materials. They reviewed the proposed Amended Advisory Agreement with the Adviser and with experienced counsel who are independent of the Adviser, who advised on the relevant legal standards. The directors also reviewed additional materials, including comparative analytical data prepared by the Senior Analyst for the Fund. The directors also discussed the proposed approval in private sessions with counsel.
The directors considered their knowledge of the nature and quality of the services provided by the Adviser to the Fund gained from their experience as directors or trustees of most of the registered investment companies advised by the Adviser, their overall confidence in the Adviser’s integrity and competence they have gained from that experience, the Adviser’s initiative in identifying and raising potential issues with the directors and its responsiveness, frankness and attention to concerns raised by the directors in the past, including the Adviser’s willingness to consider and implement organizational and operational changes designed to improve investment results and the services provided to the AB Funds. The directors noted that they have four regular meetings each year, at each of which they review extensive materials and information from the Adviser, including information on the investment performance of the Fund.
The directors also considered all factors they believed relevant, including the specific matters discussed below. During the course of their deliberations, the directors evaluated, among other things, the reasonableness of the proposed advisory fee. The directors did not identify any particular information that was all-important or controlling, and different directors may have attributed different weights to the various factors. The directors determined that the selection of the Adviser to manage the Fund and the overall arrangements between the Fund and the Adviser, as provided in the Amended Advisory Agreement, including the proposed advisory fee, were fair and reasonable in light of the services performed, expenses incurred and such other matters as the directors considered relevant in the exercise of their business judgment. The directors noted that the proposed lowering of the advisory fee would benefit the Fund and its shareholders. The directors noted that the Adviser was reducing the fees for business reasons, and had assured them that there would be no diminution in the nature or quality of services to the Fund. The material factors and conclusions that formed the basis for the directors’ determinations included the following:
Nature, Extent and Quality of Services Provided
The directors considered the scope and quality of services to be provided by the Adviser under the Amended Advisory Agreement, including the quality of the investment research capabilities of the Adviser and the other resources it has dedicated to performing services for the Fund. The directors noted that the Adviser from time to time reviews the Fund’s investment strategies and from time to time proposes changes intended to improve the Fund’s relative or absolute performance for the directors’ consideration. They also noted the professional experience and qualifications of the Fund’s portfolio management team and other senior personnel of the Adviser. The directors also considered that the Amended Advisory Agreement provides that the Fund will reimburse the Adviser for the cost to it of providing certain clerical, accounting, administrative and other services to the Fund by employees of the Adviser or its affiliates. Requests for these reimbursements are made on a quarterly basis and subject to approval by the directors. Reimbursements, to the extent requested and
63
| | |
| BALANCED WEALTH STRATEGY PORTFOLIO | | |
| CONTINUANCE DISCLOSURE | | |
| |
| (continued) | | AB Variable Products Series Fund |
paid, result in a higher rate of total compensation from the Fund to the Adviser than the fee rate stated in the Amended Advisory Agreement. The directors noted that the methodology used to determine the reimbursement amounts had been reviewed by an independent consultant at the request of the directors. The quality of administrative and other services, including the Adviser’s role in coordinating the activities of the Fund’s other service providers, also was considered. The directors concluded that, overall, they were satisfied with the nature, extent and quality of services to be provided to the Fund under the Amended Advisory Agreement.
Costs of Services Provided and Profitability
In connection with their approval of the continuance of the Fund’s then-current Advisory Agreement at the August 2021 Meeting, the directors reviewed a schedule of the revenues and expenses and related notes indicating the profitability of the Fund to the Adviser for calendar years 2019 and 2020 that had been prepared with an expense allocation methodology arrived at in consultation with an independent consultant at the request of the directors. The directors noted the assumptions and methods of allocation used by the Adviser in preparing fund-specific profitability data and understood that there are a number of potentially acceptable allocation methodologies for information of this type. The directors noted that the profitability information reflected all revenues and expenses of the Adviser’s relationship with the Fund, including those relating to its subsidiaries that provide transfer agency, distribution and brokerage services to the Fund. The directors recognized that it is difficult to make comparisons of the profitability of the then-current Advisory Agreement with the profitability of fund advisory contracts for unaffiliated funds because comparative information is not generally publicly available and is affected by numerous factors. The directors focused on the profitability of the Adviser’s relationship with the Fund before taxes and distribution expenses. The directors noted that the Fund was not profitable to the Adviser in the periods reviewed.
The Adviser agreed to provide the directors with profitability information in connection with future proposed continuances of the Amended Advisory Agreement. The directors noted that the proposed reduction in the advisory fee rate would likely impact the Adviser’s profitability analysis in future years.
Fall-Out Benefits
At the August 2021 Meeting, the directors considered the other benefits to the Adviser and its affiliates from their relationships with the Fund, including, but not limited to, benefits relating to soft dollar arrangements (whereby investment advisers receive brokerage and research services from brokers that execute agency transactions for their clients); 12b-1 fees and sales charges received by the Fund’s principal underwriter (which is a wholly owned subsidiary of the Adviser) in respect of the Fund’s Class B shares; brokerage commissions paid by the Fund to brokers affiliated with the Adviser; and transfer agency fees paid by the Fund to a wholly owned subsidiary of the Adviser. The directors recognized that the Fund’s unprofitability to the Adviser would be exacerbated without these benefits. The directors understood that the Adviser also might derive reputational and other benefits from its association with the Fund.
Investment Results
In addition to the information reviewed by the directors in connection with the November 2021 Meeting, the directors receive detailed performance information for the Fund at each regular Board meeting during the year.
At the August 2021 Meeting, the directors reviewed performance information prepared by an independent service provider (the “15(c) service provider”), showing the performance of the Class A Shares of the Fund against a group of similar funds (“peer group”) and a larger group of similar funds (“peer universe”), each selected by the 15(c) service provider, and information prepared by the Adviser showing performance of the Class A Shares against a broad-based securities market index, in each case for the 1-, 3-, 5- and 10-year periods ended May 31, 2021 and (in the case of comparisons with the broad-based securities market index) for the period from inception. Based on their review, the directors concluded that the Fund’s investment performance was acceptable.
Advisory Fees and Other Expenses
The directors considered the proposed advisory fee rate payable by the Fund to the Adviser under the Amended Advisory Agreement and information prepared by the 15(c) service provider concerning advisory fee rates payable by other funds in the same category as the Fund following the implementation of the Adviser’s proposed changes. The directors recognized that it is difficult to make comparisons of advisory fees because there are variations in the services that are included in the fees paid by other funds. The directors compared the Fund’s pro forma contractual effective advisory fee rate (reflecting a reduction in the advisory fee rate to take effect on or about May 1, 2022) with a peer group median. Taking into account the administrative expense reimbursement paid to the Adviser in the latest fiscal year, the directors noted that the Adviser’s pro forma total rate of compensation was above the peer group median.
64
| | |
| |
| | | AB Variable Products Series Fund |
The Adviser informed the directors that there were no institutional products managed by it that utilize investment strategies similar to those of the Fund.
The directors noted that the Fund may invest in shares of exchange-traded funds (“ETFs”), subject to the restrictions and limitations of the Investment Company Act of 1940 as these may be varied as a result of exemptive orders issued, and rules adopted, by the SEC. The directors also noted that ETFs pay advisory fees pursuant to their advisory contracts. The directors concluded, based on the Adviser’s explanation of how it uses ETFs when they are the most cost-effective way to obtain desired exposures, in some cases pending purchases of underlying securities, that the advisory fee for the Fund would be for services in addition to, rather than duplicative of, the services provided under the advisory contracts of the ETFs.
In connection with their review of the Fund’s proposed advisory fee, the directors also considered the projected total expense ratio of the Class B shares of the Fund in comparison to a peer group and a peer universe selected by the 15(c) service provider. The information provided included the pro forma expense ratio to reflect a reduction in the Fund’s expense ratio effective on or about May 1, 2022. The Adviser had agreed to cap the Fund’s expenses at then-current cap level, but the directors noted that the Fund’s pro forma expense ratio was currently below the level of the Adviser’s then-current cap. The directors noted that it was likely that the expense ratios of some of the other funds in the Fund’s category were lowered by waivers or reimbursements by those funds’ investment advisers, which in some cases might be voluntary or temporary. The directors view expense ratio information as relevant to their evaluation of the Adviser’s services because the Adviser is responsible for coordinating services provided to the Fund by others. The directors noted that the Fund’s pro forma expense ratio was above the expense group median. After reviewing and discussing the Adviser’s explanation for this, the directors concluded that the Fund’s pro forma expense ratio was acceptable.
Economies of Scale
The directors noted that the proposed advisory fee schedule for the Fund contains breakpoints that reduce the fee rates on assets above specified levels. The directors took into consideration prior presentations by an independent consultant on economies of scale in the mutual fund industry and for the AB Funds, and presentations from time to time by the Adviser concerning certain of its views on economies of scale. The directors also had requested and received from the Adviser certain updates on economies of scale in advance of the November 2021 Meeting. The directors believe that economies of scale may be realized (if at all) by the Adviser across a variety of products and services, and not only in respect of a single fund. The directors noted that there is no established methodology for setting breakpoints that give effect to the fund-specific services provided by a fund’s adviser and to the economies of scale that an adviser may realize in its overall mutual fund business or those components of it which directly or indirectly affect a fund’s operations. The directors observed that in the mutual fund industry as a whole, as well as among funds similar to the Fund, there is no uniformity or pattern in the fees and asset levels at which breakpoints (if any) apply. The directors also noted that the advisory agreements for many funds do not have breakpoints at all. Having taken these factors into account, the directors concluded that the Fund’s shareholders would benefit from a sharing of economies of scale in the event the Fund’s net assets exceed a breakpoint in the future.
65
VPS-BW-0151-1221
DEC 12.31.21
ANNUAL REPORT
AB VARIABLE PRODUCTS SERIES FUND, INC.
| + | | DYNAMIC ASSET ALLOCATION PORTFOLIO |
As of May 1, 2021, as permitted by regulations adopted by the Securities and Exchange Commission, you may not be receiving paper copies of the Portfolio’s shareholder reports from the insurance company that offers your contract unless you specifically requested paper copies from the insurance company or from your financial intermediary. Instead of delivering paper copies of the reports, the insurance company may choose to make the reports available on a website, and will notify you by mail each time a report is posted and provide you with a website link to access the report. Instructions for requesting paper copies will be provided by your insurance company.
You may elect to receive all future reports in paper free of charge from the insurance company. You can inform the insurance company or your financial intermediary that you wish to continue receiving paper copies of your shareholder reports by following the instructions provided by the insurance company or by contacting your financial intermediary. Your election to receive reports in paper will apply to all portfolio companies available under your contract with the insurance company.
Investment Products Offered
| | • | | Are Not Bank Guaranteed |
AllianceBernstein Investments, Inc. (ABI) is the distributor of the AB family of mutual funds. ABI is a member of FINRA and is an affiliate of AllianceBernstein L.P., the Adviser of the funds.
You may obtain a description of the Fund’s proxy voting policies and procedures, and information regarding how the Fund voted proxies relating to portfolio securities during the most recent 12-month period ended June 30, without charge. Simply visit AB’s website at www.abfunds.com or go to the Securities and Exchange Commission’s (the “Commission”) website at www.sec.gov, or call AB at (800) 227 4618.
The Fund files its complete schedule of portfolio holdings with the Commission for the first and third quarters of each fiscal year as an exhibit to its reports on Form N-PORT. The Fund’s Form N-PORT reports are available on the Commission’s website at www.sec.gov. The Fund’s Forms N-PORT may also be reviewed and copied at the Commission’s Public Reference Room in Washington, DC; information on the operation of the Public Reference Room may be obtained by calling (800) SEC 0330.
The [A/B] logo is a registered service mark of AllianceBernstein and AllianceBernstein® is a registered service mark used by permission of the owner, AllianceBernstein L.P.
| | |
| | |
| DYNAMIC ASSET ALLOCATION | | |
| |
| PORTFOLIO | | AB Variable Products Series Fund |
LETTER TO INVESTORS
February 14, 2022
The following is an update of AB Variable Products Series Fund—Dynamic Asset Allocation Portfolio (the “Portfolio”) for the annual reporting period ended December 31, 2021.
INVESTMENT OBJECTIVE AND POLICIES
The Portfolio’s investment objective is to maximize total return consistent with the Adviser’s determination of reasonable risk. The Portfolio invests in a globally diversified portfolio of equity and debt securities, including exchange-traded funds (“ETFs”) and other financial instruments, and expects to enter into derivatives transactions, such as options, futures contracts, forwards and swaps to achieve market exposure. The Portfolio’s neutral weighting, from which it will make its tactical asset allocations, is 60% equity exposure and 40% debt exposure. Within these broad components, the Portfolio may invest in any type of security, including common and preferred stocks, warrants and convertible securities, government and corporate fixed-income securities, commodities, currencies, real estate-related securities, and inflation-indexed securities. The Portfolio may invest in US, non-US and emerging-market issuers. The Portfolio may invest in securities of companies across the capitalization spectrum, including smaller capitalization companies. The Portfolio expects its investments in fixed-income securities to have a broad range of maturities and quality levels. The Portfolio is expected to be highly diversified across industries, sectors and countries, and will choose its positions from several market indices worldwide in a manner that is intended to track the performance (before fees and expenses) of those indices.
The Adviser will continuously monitor the risks presented by the Portfolio’s asset allocation and may make frequent adjustments to the Portfolio’s exposures to different asset classes. Using its proprietary Dynamic Asset Allocation (“DAA”) techniques, the Adviser employs a discretionary volatility reduction/management strategy intended to reduce overall volatility and limit downside exposure. The Adviser adjusts the Portfolio’s exposure to the equity and debt markets, and to segments within those markets, in response to the Adviser’s assessment of the relative risks and returns of those segments. For example, when the Adviser determines that equity market volatility is particularly low and that, therefore, the equity markets present reasonable return opportunities, the Adviser may increase the Portfolio’s equity exposure to as much as 80%. Conversely, when the Adviser determines that the risks in the equity markets are disproportionately greater than the potential returns offered, the Adviser may reduce the Portfolio’s equity exposure significantly below the target percentage or may even decide to eliminate equity exposure altogether by increasing the Portfolio’s fixed-income exposure to 100%. This investment strategy is intended to reduce the Portfolio’s overall investment risk, but may at times result in the Portfolio underperforming the markets.
The Portfolio expects to utilize derivatives and to invest in ETFs to a significant extent. Derivatives and ETFs may provide more efficient and economical exposure to market segments than direct investments, and the Portfolio’s market exposures may at times be achieved almost entirely through the use of derivatives or through the investments in ETFs. Derivatives transactions and ETFs may also be a quicker and more efficient way to alter the Portfolio’s exposure than buying and selling direct investments. As a result, the Adviser expects to use derivatives as one of the primary tools for adjusting the Portfolio’s exposure levels from its neutral weighting. The Adviser also expects to use direct investments and ETFs to adjust the Portfolio’s exposure levels. In determining when and to what extent to enter into derivatives transactions or to invest in ETFs, the Adviser considers factors such as the relative risks and returns expected of potential investments and the cost of such transactions. The Adviser considers the impact of derivatives and ETFs in making its assessment of the Portfolio’s risks.
Currency exchange-rate fluctuations can have a dramatic impact on returns, significantly adding to returns in some years and greatly diminishing them in others. To the extent that the Portfolio invests in non-US dollar-denominated investments, the Adviser will integrate the risks of foreign currency exposures into its investment and asset-allocation decision-making. The Adviser may seek to hedge all or a portion of the currency exposure resulting from the Portfolio’s investments. The Adviser may also seek investment opportunities through currencies and currency-related derivatives.
INVESTMENT RESULTS
The table on page 5 shows the Portfolio’s performance compared to its primary benchmark, the Morgan Stanley Capital International (“MSCI”) World Index, the Bloomberg US Treasury Index and its blended benchmark, a 60%/40% blend of the MSCI World Index and the Bloomberg US Treasury Index, respectively, for the one-, five- and 10-year periods ended December 31, 2021.
All share classes of the Portfolio underperformed the primary and blended benchmarks but outperformed the Bloomberg US Treasury Index for the annual period. The Portfolio started the year with an overweight to risk assets.
1
| | |
| |
| | | AB Variable Products Series Fund |
While the overweight was maintained through the fourth quarter, as economic activity and corporate earnings continued to benefit from increases in consumer spending and business sentiment, the Portfolio trimmed the overweight as concerns around a new coronavirus variant emerged. Within risk assets, the Portfolio started the period with exposure to developed-market equities, emerging-market equities and real assets, and moved to focusing more on developed-market equities in late 2021. The Portfolio averaged an overweight position to international equities over the period, and in a robust year for US equity returns, the international equity positioning detracted from performance, relative to the blended benchmark.
In fixed income, the Portfolio started with an underweight to bonds and moved to an overweight position for risk mitigation in the second half of the year, which detracted from overall performance in 2021. The Portfolio added additional tail protection through long volatility in the second half the year. In currency management, the Portfolio held an overweight to the US dollar and moved to an underweight in the fourth quarter.
During the annual period, the Portfolio utilized derivatives for hedging and investment purposes in the form of total return swaps and currency forwards, which added to absolute returns, while futures and purchased options detracted.
MARKET REVIEW AND INVESTMENT STRATEGY
Global equities recorded double-digit returns and emerging markets lost ground during the annual period ended December 31, 2021. Global markets were supported by accommodative monetary policy and strong company earnings growth, while economic turbulence in China, geopolitical risks and inflation pressured emerging markets. Increased market volatility periodically sent risk assets lower, but investors continued to buy the dip. Toward the end of the period, global markets fell as the rapid spread of the coronavirus omicron variant triggered concern that new restrictions could derail the economic recovery. Encouraging developments in COVID-19 treatments and vaccines and a reluctance to reinstate shutdowns helped investors look past the potential impact of the omicron variant. Stock markets gave back gains, however, after the US Federal Reserve (the “Fed”) took a hawkish pivot and confirmed that it would accelerate the wind-down of its bond purchases and raise rates multiple times in 2022. After digesting the Fed’s comments, equity markets rose as investors appeared to adjust to the shift and remained focused on still generally supportive monetary policy. Growth outperformed value, in terms of style, and large-cap stocks outperformed their small-cap peers.
Fixed-income government bond market yields were higher as numerous central banks became more hawkish, prompting short-term yields to rise more than longer-term yields and causing all major treasury market returns to fall on inflation concerns. Treasury losses were the greatest in the UK, Australia and the eurozone. Inflation bonds significantly outperformed nominal government bonds. Low interest rates set the stage for the continued outperformance of most risk assets, led by the large positive performance of high-yield corporate bonds—particularly in the US, eurozone and emerging markets. Emerging-market investment-grade corporate bonds rose, while developed-market bonds fell on rising yields and outperformed developed-market treasuries with a smaller loss. Securitized assets fell but outperformed US Treasuries. Emerging-market sovereign and local-currency bonds trailed as the US dollar gained against most developed- and emerging-market currencies. Commodity prices were strong, with Brent crude oil and copper climbing from pandemic-related lows.
2
| | |
| | |
| DYNAMIC ASSET ALLOCATION PORTFOLIO |
| |
| DISCLOSURES AND RISKS | | AB Variable Products Series Fund |
Benchmark Disclosure
The MSCI World Index and the Bloomberg US Treasury Index are unmanaged and do not reflect fees and expenses associated with the active management of a mutual fund portfolio. The MSCI World Index (free float-adjusted, market capitalization weighted) represents the equity market performance of developed markets. The Bloomberg US Treasury Index represents the performance of US Treasuries within the US government fixed-income market. MSCI makes no express or implied warranties or representations, and shall have no liability whatsoever with respect to any MSCI data contained herein. The MSCI data may not be further redistributed or used as a basis for other indices, any securities or financial products. This report is not approved, reviewed or produced by MSCI. An investor cannot invest directly in an index, and its results are not indicative of the performance for any specific investment, including the Portfolio.
A Word About Risk
Market Risk: The value of the Portfolio’s assets will fluctuate as the stock or bond market fluctuates. The value of its investments may decline, sometimes rapidly and unpredictably, simply because of economic changes or other events, including public health crises (including the occurrence of a contagious disease or illness), that affect large portions of the market.
Interest-Rate Risk: Changes in interest rates will affect the value of investments in fixed-income securities. When interest rates rise, the value of existing investments in fixed-income securities tends to fall and this decrease in value may not be offset by higher income from new investments. Interest-rate risk is generally greater for fixed-income securities with longer maturities or durations. The current historically low interest rate environment heightens the risks associated with rising interest rates.
Credit Risk: An issuer or guarantor of a fixed-income security, or the counterparty to a derivatives or other contract, may be unable or unwilling to make timely payments of interest or principal, or to otherwise honor its obligations. The issuer or guarantor may default, causing a loss of the full principal amount of a security and accrued interest. The degree of risk for a particular security may be reflected in its credit rating. There is the possibility that the credit rating of a fixed-income security may be downgraded after purchase, which may adversely affect the value of the security. Investments in fixed-income securities with lower ratings tend to have a higher probability that an issuer will default or fail to meet its payment obligations.
Allocation Risk: The allocation of investments among different global asset classes may have a significant effect on the Portfolio’s net asset value (“NAV”) when one of these asset classes is performing more poorly than others. As both the direct investments and derivatives positions will be periodically adjusted to reflect the Adviser’s view of market and economic conditions, there will be transaction costs that may be, over time, significant. In addition, there is a risk that certain asset allocation decisions may not achieve the desired results and, as a result, the Portfolio may incur significant losses.
Foreign (Non-US) Risk: The Portfolio’s investments in securities of non-US issuers may involve more risk than those of US issuers. These securities may fluctuate more widely in price and may be more difficult to trade due to adverse market, economic, political, regulatory or other factors.
Emerging-Market Risk: Investments in emerging-market countries may have more risk because the markets are less developed and less liquid, and because these investments may be subject to increased economic, political, regulatory or other uncertainties.
Currency Risk: Fluctuations in currency exchange rates may negatively affect the value of the Portfolio’s investments or reduce its returns.
ETF Risk: ETFs are investment companies. When the Portfolio invests in an ETF, the Portfolio bears its share of the ETF’s expenses and runs the risk that the ETF may not achieve its investment objective.
Derivatives Risk: Derivatives may be difficult to price or unwind and leveraged so that small changes may produce disproportionate losses for the Portfolio. Derivatives, especially over-the-counter derivatives, are also subject to counterparty risk, which is the risk that the counterparty (the party on the other side of the transaction) on a derivative transaction will be unable or unwilling to honor its contractual obligations to the Portfolio.
(Disclosures, Risks and Note About Historical Performance continued on next page)
3
| | |
| | |
| DISCLOSURES AND RISKS | | |
| |
| (continued) | | AB Variable Products Series Fund |
Leverage Risk: When the Portfolio borrows money or otherwise leverages its portfolio, its NAV may be more volatile because leverage tends to exaggerate the effect of changes in interest rates and any increase or decrease in the value of the Portfolio’s investments. The Portfolio may create leverage through the use of reverse repurchase agreements, forward commitments, or by borrowing money.
Illiquid Investments Risk: Illiquid investments risk exists when certain investments are or become difficult to purchase or sell. Difficulty in selling such investments may result in sales at disadvantageous prices affecting the value of your investment in the Portfolio. Causes of illiquid investments risk may include low trading volumes, large positions and heavy redemptions of Portfolio shares.
Capitalization Risk: Investments in small- and mid-capitalization companies may be more volatile than investments in large-capitalization companies. Investments in small- and mid-capitalization companies may have additional risks because these companies have limited product lines, markets or financial resources.
Real Estate Risk: The Portfolio’s investments in real estate securities have many of the same risks as direct ownership of real estate, including the risk that the value of real estate could decline due to a variety of factors that affect the real estate market generally. Investments in real estate investment trusts (“REITs”) may have additional risks. REITs are dependent on the capability of their managers, may have limited diversification, and could be significantly affected by changes in taxes.
Management Risk: The Portfolio is subject to management risk because it is an actively managed investment fund. The Adviser will apply its investment techniques and risk analyses in making investment decisions for the Portfolio, but there is no guarantee that its techniques will produce the intended results. Some of these techniques may incorporate, or rely upon, quantitative models, but there is no guarantee that these models will generate accurate forecasts, reduce risk or otherwise perform as expected.
These risks are fully discussed in the Variable Products prospectus. As with all investments, you may lose money by investing in the Portfolio.
An Important Note About Historical Performance
The investment return and principal value of an investment in the Portfolio will fluctuate, so that shares, when redeemed, may be worth more or less than their original cost. Performance shown in this report represents past performance and does not guarantee future results. Current performance may be lower or higher than the performance information shown. Please contact your financial advisor or insurance agent representative at your financial institution to obtain portfolio performance information current to the most recent month-end.
Investors should consider the investment objectives, risks, charges and expenses of the Portfolio carefully before investing. For additional copies of the Portfolio’s prospectus or summary prospectus, which contains this and other information, call your financial advisor or (800) 227 4618. Please read the prospectus and/or summary prospectus carefully before investing.
All fees and expenses related to the operation of the Portfolio have been deducted, but no adjustment has been made for insurance company separate account or annuity contract charges, which would reduce total return to a contract owner. Performance assumes reinvestment of distributions and does not account for taxes.
There are additional fees and expenses associated with all Variable Products. These fees can include mortality and expense risk charges, administrative charges, and other charges that can significantly reduce investment returns. Those fees and expenses are not reflected in this annual report. You should consult your Variable Products prospectus for a description of those fees and expenses and speak to your insurance agent or financial representative if you have any questions. You should read the prospectus before investing or sending money.
4
| | |
| | |
| DYNAMIC ASSET ALLOCATION PORTFOLIO |
| |
| HISTORICAL PERFORMANCE | | AB Variable Products Series Fund |
| | | | | | | | | | | | |
| | | | | | | | | | | | |
| THE PORTFOLIO VS. ITS BENCHMARKS | | Net Asset Value Returns | |
| PERIODS ENDED DECEMBER 31, 2021 (unaudited) | | 1 Year | | | 5 Years1 | | | 10 Years1 | |
| | | |
| Dynamic Asset Allocation Portfolio Class A | | | 9.67% | | | | 7.23% | | | | 6.31% | |
| | | |
| Dynamic Asset Allocation Portfolio Class B | | | 9.28% | | | | 6.94% | | | | 6.04% | |
| | | |
| Primary Benchmark: MSCI World Index | | | 21.82% | | | | 15.03% | | | | 12.70% | |
| | | |
| Bloomberg US Treasury Index | | | -2.32% | | | | 3.07% | | | | 2.13% | |
| | | |
Blended Benchmark: 60% MSCI World Index/
40% Bloomberg US Treasury Index | | | 11.70% | | | | 10.47% | | | | 8.64% | |
1 Average annual returns. | | | | | | | | | | | | |
| | | | | | | | | | | | |
The Portfolio’s current prospectus fee table shows the Portfolio’s total annual operating expense ratios as 0.81% and 1.07% for Class A and Class B shares, respectively, gross of any fee waivers or expense reimbursements. The Financial Highlights section of this report sets forth expense ratio data for the current reporting period; the expense ratios shown above may differ from the expense ratios in the Financial Highlights section since they are based on different time periods.
GROWTH OF A $10,000 INVESTMENT
12/31/2011 TO 12/31/2021 (unaudited)
This chart illustrates the total value of an assumed $10,000 investment in Dynamic Asset Allocation Portfolio Class A shares (from 12/31/2011 to 12/31/2021) as compared to the performance of the Portfolio’s benchmarks. The chart assumes the reinvestment of dividends and capital gains distributions.
See Disclosures, Risks and Note About Historical Performance on pages 3-4.
5
| | |
| | |
| DYNAMIC ASSET ALLOCATION PORTFOLIO |
| |
| EXPENSE EXAMPLE (unaudited) | | AB Variable Products Series Fund |
As a shareholder of the Portfolio, you incur two types of costs: (1) transaction costs, including sales charges (loads) on purchase payments, contingent deferred sales charges on redemptions and (2) ongoing costs, including management fees; distribution (12b-1) fees; and other Portfolio expenses. This example is intended to help you understand your ongoing costs (in dollars) of investing in the Portfolio and to compare these costs with the ongoing costs of investing in other mutual funds.
The Example is based on an investment of $1,000 invested at the beginning of the period and held for the entire period as indicated below.
Actual Expenses
The table below provides information about actual account values and actual expenses. You may use the information in this line, together with the amount you invested, to estimate the expenses that you paid over the period. Simply divide your account value by $1,000 (for example, an $8,600 account value divided by $1,000 = 8.6), then multiply the result by the number in the first line under the heading entitled “Expenses Paid During Period” to estimate the expenses you paid on your account during this period. The estimate of expenses does not include fees or other expenses of any variable insurance product. If such expenses were included, the estimate of expenses you paid during the period would be higher and your ending account value would be lower.
Hypothetical Example for Comparison Purposes
The table below provides information about hypothetical account values and hypothetical expenses based on the Portfolio’s actual expense ratio and an assumed annual rate of return of 5% before expenses, which is not the Portfolio’s actual return. The hypothetical account values and expenses may not be used to estimate the actual ending account balance or expenses you paid for the period. You may use this information to compare the ongoing costs of investing in the Portfolio and other funds by comparing this 5% hypothetical example with the 5% hypothetical examples that appear in the shareholder reports of other funds. The estimate of expenses does not include fees or other expenses of any variable insurance product. If such expenses were included, the estimate of expenses you paid during the period would be higher and your ending account value would be lower.
Please note that the expenses shown in the table are meant to highlight your ongoing costs only and do not reflect any transactional costs, such as sales charges (loads), or contingent deferred sales charges on redemptions. Therefore, the second line of each class’ table is useful in comparing ongoing costs only, and will not help you determine the relative total costs of owning different funds. In addition, if these transactional costs were included, your costs would have been higher.
| | | | | | | | | | | | | | | | |
| | | Beginning
Account Value
July 1, 2021 | | | Ending
Account Value
December 31, 2021 | | | Expenses Paid
During Period* | | | Annualized
Expense Ratio* | |
Class A | | | | | | | | | | | | |
Actual | | $ | 1,000 | | | $ | 1,035.60 | | | $ | 4.36 | | | | 0.85 | % |
Hypothetical (5% annual return before expenses) | | $ | 1,000 | | | $ | 1,020.92 | | | $ | 4.33 | | | | 0.85 | % |
| | | | | | | | | | | | | | | | |
Class B | | | | | | | | | | | | |
Actual | | $ | 1,000 | | | $ | 1,033.60 | | | $ | 5.64 | | | | 1.10 | % |
Hypothetical (5% annual return before expenses) | | $ | 1,000 | | | $ | 1,019.66 | | | $ | 5.60 | | | | 1.10 | % |
| * | | Expenses are equal to each classes’ annualized expense ratios, multiplied by the average account value over the period, multiplied by 184/365 (to reflect the one-half year period). |
6
| | |
| DYNAMIC ASSET ALLOCATION PORTFOLIO |
| TEN LARGEST HOLDINGS1 | | |
| |
| December 31, 2021 (unaudited) | | AB Variable Products Series Fund |
| | | | | | | | |
| SECURITY | | U.S. $ VALUE | | | PERCENT OF NET ASSETS | |
U.S. Treasury Bonds & Notes | | $ | 107,208,478 | | | | 35.5 | % |
Apple, Inc. | | | 8,619,070 | | | | 2.9 | |
Microsoft Corp. | | | 7,050,276 | | | | 2.3 | |
Amazon.com, Inc. | | | 4,464,681 | | | | 1.5 | |
Tesla, Inc. | | | 2,611,303 | | | | 0.9 | |
Alphabet, Inc.—Class A | | | 2,563,880 | | | | 0.8 | |
Alphabet, Inc.—Class C | | | 2,450,871 | | | | 0.8 | |
Meta Platforms, Inc.—Class A | | | 2,354,450 | | | | 0.8 | |
NVIDIA Corp. | | | 2,158,767 | | | | 0.7 | |
UnitedHealth Group, Inc. | | | 1,390,426 | | | | 0.5 | |
| | | | | | | | | |
| | | $ | 140,872,202 | | | | 46.7 | % |
PORTFOLIO BREAKDOWN2
December 31, 2021 (unaudited)
| | | | |
| ASSET CLASSES | | ALLOCATION | |
Equities | | | | |
US Large Cap | | | 44.9 | % |
International Large Cap | | | 20.5 | |
| | | | | |
Subtotal | | | 65.4 | |
| | | | | |
Fixed Income | | | | |
U.S. Bonds | | | 32.8 | |
International Bonds | | | 1.8 | |
| | | | | |
Subtotal | | | 34.6 | |
| | | | | |
Total | | | 100.0 | % |
SECURITY TYPE BREAKDOWN3
December 31, 2021 (unaudited)
| | | | | | | | |
| SECURITY TYPE | | U.S. $ VALUE | | | PERCENT OF TOTAL INVESTMENTS | |
Common Stocks | | $ | 183,184,684 | | | | 61.2 | % |
Governments—Treasuries | | | 107,208,478 | | | | 35.8 | |
Options Purchased—Puts | | | 891,942 | | | | 0.3 | |
Short-Term Investments | | | 7,966,107 | | | | 2.7 | |
| | | | | | | | | |
Total Investments | | $ | 299,251,211 | | | | 100.0 | % |
| 2 | | All data are as of December 31, 2021. The Portfolio breakdown is expressed as an approximate percentage of the Portfolio’s total investments inclusive of derivative exposure, based on the Adviser’s internal classification guidelines. |
| 3 | | The Portfolio’s security type breakdown is expressed as a percentage of total investments (excluding security lending collateral) and may vary over time. The Portfolio 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). |
7
| | |
| DYNAMIC ASSET ALLOCATION PORTFOLIO |
| PORTFOLIO OF INVESTMENTS | | |
| |
| December 31, 2021 | | AB Variable Products Series Fund |
| | | | | | | | | | | | |
| Company | | Shares | | | U.S. $ Value | |
| | | | | | | | | | | | |
COMMON STOCKS–60.6% | |
| | | | | | | | | | | | |
INFORMATION TECHNOLOGY–14.4% | | | | | | | | | | | | |
COMMUNICATIONS EQUIPMENT–0.4% | | | | | | | | | | | | |
Arista Networks, Inc.(a) | | | | | | | 676 | | | $ | 97,175 | |
Cisco Systems, Inc./Delaware | | | | | | | 12,374 | | | | 784,140 | |
F5, Inc.(a) | | | | | | | 177 | | | | 43,314 | |
Juniper Networks, Inc. | | | | | | | 954 | | | | 34,067 | |
Motorola Solutions, Inc. | | | | | | | 497 | | | | 135,035 | |
Nokia Oyj(a) | | | | | | | 15,832 | | | | 100,275 | |
Telefonaktiebolaget LM Ericsson–Class B | | | | | | | 8,570 | | | | 94,296 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 1,288,302 | |
| | | | | | | | | | | | |
ELECTRONIC EQUIPMENT, INSTRUMENTS & COMPONENTS–0.6% | | | | | | | | | | | | |
Amphenol Corp.–Class A | | | | | | | 1,756 | | | | 153,580 | |
Arrow Electronics, Inc.(a) | | | | | | | 211 | | | | 28,331 | |
Azbil Corp. | | | | | | | 299 | | | | 13,637 | |
CDW Corp./DE | | | | | | | 404 | | | | 82,731 | |
Cognex Corp. | | | | | | | 518 | | | | 40,280 | |
Corning, Inc. | | | | | | | 2,382 | | | | 88,682 | |
Halma PLC | | | | | | | 1,114 | | | | 48,302 | |
Hamamatsu Photonics KK | | | | | | | 349 | | | | 22,291 | |
Hexagon AB | | | | | | | 5,784 | | | | 91,622 | |
Hirose Electric Co., Ltd. | | | | | | | 89 | | | | 14,957 | |
Ibiden Co., Ltd. | | | | | | | 241 | | | | 14,312 | |
IPG Photonics Corp.(a) | | | | | | | 110 | | | | 18,935 | |
Keyence Corp. | | | | | | | 624 | | | | 392,345 | |
Keysight Technologies, Inc.(a) | | | | | | | 540 | | | | 111,515 | |
Kyocera Corp. | | | | | | | 859 | | | | 53,710 | |
Murata Manufacturing Co., Ltd. | | | | | | | 1,617 | | | | 128,976 | |
Omron Corp. | | | | | | | 553 | | | | 55,105 | |
Shimadzu Corp. | | | | | | | 678 | | | | 28,637 | |
TDK Corp. | | | | | | | 1,062 | | | | 41,446 | |
TE Connectivity Ltd. | | | | | | | 963 | | | | 155,370 | |
Teledyne Technologies, Inc.(a) | | | | | | | 137 | | | | 59,854 | |
Trimble, Inc.(a) | | | | | | | 738 | | | | 64,346 | |
Venture Corp., Ltd.(b) | | | | | | | 462 | | | | 6,278 | |
Yaskawa Electric Corp. | | | | | | | 638 | | | | 31,304 | |
Yokogawa Electric Corp. | | | | | | | 634 | | | | 11,443 | |
Zebra Technologies Corp.–Class A(a) | | | | | | | 157 | | | | 93,446 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 1,851,435 | |
| | | | | | | | | | | | |
IT SERVICES–2.5% | |
Accenture PLC–Class A | | | | | | | 1,862 | | | | 771,892 | |
Adyen NV(a)(b) | | | | | | | 59 | | | | 154,875 | |
Affirm Holdings, Inc.(a) | | | | | | | 256 | | | | 25,743 | |
Afterpay Ltd.(a) | | | | | | | 638 | | | | 38,514 | |
Akamai Technologies, Inc.(a) | | | | | | | 478 | | | | 55,945 | |
Amadeus IT Group SA–Class A(a) | | | | | | | 1,322 | | | | 89,452 | |
| | | | | | | | | | | | |
| Company | | Shares | | | U.S. $ Value | |
| | | | | | | | | | | | |
Automatic Data Processing, Inc. | | | | | | | 1,242 | | | $ | 306,252 | |
Bechtle AG | | | | | | | 240 | | | | 17,078 | |
Black Knight, Inc.(a) | | | | | | | 459 | | | | 38,046 | |
Block, Inc.–Class A(a) | | | | | | | 1,167 | | | | 188,482 | |
Broadridge Financial Solutions, Inc. | | | | | | | 341 | | | | 62,342 | |
Capgemini SE | | | | | | | 471 | | | | 115,433 | |
CGI, Inc.(a) | | | | | | | 643 | | | | 56,856 | |
Cognizant Technology Solutions Corp.–Class A | | | | | | | 1,543 | | | | 136,895 | |
Computershare Ltd. | | | | | | | 1,595 | | | | 23,219 | |
Edenred | | | | | | | 732 | | | | 33,803 | |
EPAM Systems, Inc.(a) | | | | | | | 167 | | | | 111,631 | |
Fidelity National Information Services, Inc. | | | | | | | 1,813 | | | | 197,889 | |
Fiserv, Inc.(a) | | | | | | | 1,750 | | | | 181,632 | |
FleetCor Technologies, Inc.(a) | | | | | | | 231 | | | | 51,707 | |
Fujitsu Ltd. | | | | | | | 551 | | | | 94,676 | |
Gartner, Inc.(a) | | | | | | | 246 | | | | 82,243 | |
Global Payments, Inc. | | | | | | | 862 | | | | 116,525 | |
GMO Payment Gateway, Inc. | | | | | | | 64 | | | | 7,970 | |
GoDaddy, Inc.–Class A(a) | | | | | | | 495 | | | | 42,006 | |
International Business Machines Corp. | | | | | | | 2,632 | | | | 351,793 | |
Itochu Techno-Solutions Corp. | | | | | | | 255 | | | | 8,203 | |
Jack Henry & Associates, Inc. | | | | | | | 217 | | | | 36,237 | |
Mastercard, Inc.–Class A | | | | | | | 2,587 | | | | 929,561 | |
MongoDB, Inc.(a)(b) | | | | | | | 171 | | | | 90,519 | |
NEC Corp. | | | | | | | 709 | | | | 32,784 | |
Nexi SpA(a)(b) | | | | | | | 1,374 | | | | 21,773 | |
Nomura Research Institute Ltd. | | | | | | | 954 | | | | 40,784 | |
NTT Data Corp. | | | | | | | 1,822 | | | | 39,084 | |
Nuvei Corp.(a)(c) | | | | | | | 167 | | | | 10,826 | |
Obic Co., Ltd. | | | | | | | 221 | | | | 41,360 | |
Okta, Inc.(a) | | | | | | | 367 | | | | 82,270 | |
Otsuka Corp. | | | | | | | 330 | | | | 15,735 | |
Paychex, Inc. | | | | | | | 951 | | | | 129,811 | |
PayPal Holdings, Inc.(a) | | | | | | | 3,278 | | | | 618,165 | |
SCSK Corp. | | | | | | | 392 | | | | 7,802 | |
Shopify, Inc.–Class A(a) | | | | | | | 333 | | | | 458,503 | |
Snowflake, Inc.(a) | | | | | | | 619 | | | | 209,686 | |
TIS, Inc. | | | | | | | 594 | | | | 17,663 | |
Twilio, Inc.–Class A(a) | | | | | | | 490 | | | | 129,037 | |
VeriSign, Inc.(a) | | | | | | | 296 | | | | 75,131 | |
Visa, Inc.–Class A(b) | | | | | | | 4,956 | | | | 1,074,015 | |
Western Union Co., (The)–Class W | | | | | | | 1,193 | | | | 21,283 | |
Wix.com Ltd.(a) | | | | | | | 164 | | | | 25,878 | |
Worldline SA/France(a) | | | | | | | 700 | | | | 38,962 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 7,507,971 | |
| | | | | | | | | | | | |
8
| | |
| |
| | | AB Variable Products Series Fund |
| | | | | | | | | | | | |
| Company | | Shares | | | U.S. $ Value | |
| | | | | | | | | | | | |
SEMICONDUCTORS & SEMICONDUCTOR EQUIPMENT–3.2% | | | | | | | | | | | | |
Advanced Micro Devices, Inc.(a) | | | | | | | 3,562 | | | $ | 512,572 | |
Advantest Corp. | | | | | | | 577 | | | | 54,641 | |
Analog Devices, Inc. | | | | | | | 1,578 | | | | 277,365 | |
Applied Materials, Inc. | | | | | | | 2,651 | | | | 417,161 | |
ASM International NV | | | | | | | 138 | | | | 60,916 | |
ASML Holding NV | | | | | | | 1,214 | | | | 972,438 | |
Broadcom, Inc. | | | | | | | 1,205 | | | | 801,819 | |
Disco Corp. | | | | | | | 56 | | | | 17,117 | |
Enphase Energy, Inc.(a) | | | | | | | 376 | | | | 68,785 | |
Entegris, Inc. | | | | | | | 398 | | | | 55,155 | |
Infineon Technologies AG | | | | | | | 3,834 | | | | 176,511 | |
Intel Corp. | | | | | | | 11,912 | | | | 613,468 | |
KLA Corp. | | | | | | | 449 | | | | 193,119 | |
Lam Research Corp. | | | | | | | 417 | | | | 299,886 | |
Lasertec Corp.(b) | | | | | | | 271 | | | | 83,008 | |
Marvell Technology, Inc. | | | | | | | 2,418 | | | | 211,551 | |
Microchip Technology, Inc. | | | | | | | 1,609 | | | | 140,080 | |
Micron Technology, Inc. | | | | | | | 3,305 | | | | 307,861 | |
Monolithic Power Systems, Inc. | | | | | | | 128 | | | | 63,146 | |
NVIDIA Corp. | | | | | | | 7,340 | | | | 2,158,767 | |
NXP Semiconductors NV | | | | | | | 779 | | | | 177,441 | |
ON Semiconductor Corp.(a) | | | | | | | 1,264 | | | | 85,851 | |
Qorvo, Inc.(a) | | | | | | | 326 | | | | 50,983 | |
QUALCOMM, Inc. | | | | | | | 3,299 | | | | 603,288 | |
Renesas Electronics Corp.(a) | | | | | | | 3,617 | | | | 44,926 | |
Rohm Co., Ltd. | | | | | | | 179 | | | | 16,283 | |
Skyworks Solutions, Inc. | | | | | | | 485 | | | | 75,243 | |
SolarEdge Technologies, Inc.(a) | | | | | | | 154 | | | | 43,208 | |
STMicroelectronics NV | | | | | | | 2,005 | | | | 98,596 | |
SUMCO Corp.(b) | | | | | | | 934 | | | | 19,019 | |
Teradyne, Inc. | | | | | | | 484 | | | | 79,148 | |
Texas Instruments, Inc. | | | | | | | 2,711 | | | | 510,942 | |
Tokyo Electron Ltd. | | | | | | | 430 | | | | 247,496 | |
Xilinx, Inc. | | | | | | | 727 | | | | 154,146 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 9,691,936 | |
| | | | | | | | | | | | |
SOFTWARE–4.6% | | | | | | | | | | | | |
Adobe, Inc.(a) | | | | | | | 1,399 | | | | 793,317 | |
ANSYS, Inc.(a) | | | | | | | 256 | | | | 102,687 | |
Asana, Inc.(a) | | | | | | | 195 | | | | 14,537 | |
Autodesk, Inc.(a) | | | | | | | 646 | | | | 181,649 | |
Avalara, Inc.(a) | | | | | | | 253 | | | | 32,665 | |
AVEVA Group PLC | | | | | | | 353 | | | | 16,288 | |
Bentley Systems, Inc.(b) | | | | | | | 515 | | | | 24,890 | |
Bill.com Holdings, Inc.(a) | | | | | | | 220 | | | | 54,813 | |
BlackBerry Ltd.(a)(b) | | | | | | | 1,580 | | | | 14,764 | |
Cadence Design Systems, Inc.(a) | | | | | | | 813 | | | | 151,503 | |
Ceridian HCM Holding, Inc.(a) | | | | | | | 396 | | | | 41,366 | |
Check Point Software Technologies Ltd.(a) | | | | | | | 312 | | | | 36,367 | |
Citrix Systems, Inc. | | | | | | | 364 | | | | 34,431 | |
| | | | | | | | | | | | |
| Company | | Shares | | | U.S. $ Value | |
| | | | | | | | | | | | |
Cloudflare, Inc.–Class A(a) | | | | | | | 696 | | | $ | 91,524 | |
Coinbase Global, Inc.(a) | | | | | | | 111 | | | | 28,013 | |
Constellation Software, Inc./Canada | | | | | | | 60 | | | | 111,322 | |
Coupa Software, Inc.(a) | | | | | | | 216 | | | | 34,139 | |
Crowdstrike Holdings, Inc.–Class A(a)(b) | | | | | | | 556 | | | | 113,841 | |
CyberArk Software Ltd.(a) | | | | | | | 117 | | | | 20,274 | |
Dassault Systemes SE | | | | | | | 1,952 | | | | 115,842 | |
Datadog, Inc.–Class A(a) | | | | | | | 563 | | | | 100,276 | |
DocuSign, Inc.(a) | | | | | | | 572 | | | | 87,121 | |
Dropbox, Inc.–Class A(a) | | | | | | | 925 | | | | 22,699 | |
Fair Isaac Corp.(a) | | | | | | | 84 | | | | 36,428 | |
Fortinet, Inc.(a) | | | | | | | 408 | | | | 146,635 | |
Guidewire Software,
Inc.(a)(b) | | | | | | | 232 | | | | 26,339 | |
HubSpot, Inc.(a) | | | | | | | 132 | | | | 87,008 | |
Intuit, Inc. | | | | | | | 803 | | | | 516,506 | |
Lightspeed Commerce, Inc.(a) | | | | | | | 314 | | | | 12,680 | |
Microsoft Corp. | | | | | | | 20,963 | | | | 7,050,276 | |
Nemetschek SE | | | | | | | 169 | | | | 21,609 | |
Nice Ltd.(a) | | | | | | | 186 | | | | 56,406 | |
NortonLifeLock, Inc. | | | | | | | 1,708 | | | | 44,374 | |
Nuance Communications, Inc.(a) | | | | | | | 877 | | | | 48,516 | |
Open Text Corp. | | | | | | | 797 | | | | 37,829 | |
Oracle Corp. | | | | | | | 4,919 | | | | 428,986 | |
Oracle Corp./Japan | | | | | | | 42 | | | | 3,191 | |
Palantir Technologies, Inc.(a) | | | | | | | 4,657 | | | | 84,804 | |
Palo Alto Networks,
Inc.(a)(b) | | | | | | | 286 | | | | 159,233 | |
Paycom Software, Inc.(a) | | | | | | | 150 | | | | 62,278 | |
PTC, Inc.(a) | | | | | | | 327 | | | | 39,616 | |
RingCentral, Inc.–Class A(a) | | | | | | | 227 | | | | 42,528 | |
Sage Group PLC (The) | | | | | | | 3,094 | | | | 35,800 | |
salesforce.com, Inc.(a) | | | | | | | 2,875 | | | | 730,624 | |
SAP SE | | | | | | | 3,066 | | | | 431,507 | |
ServiceNow, Inc.(a) | | | | | | | 582 | | | | 377,782 | |
Sinch AB(a)(b) | | | | | | | 1,533 | | | | 19,344 | |
Splunk, Inc.(a) | | | | | | | 481 | | | | 55,661 | |
SS&C Technologies Holdings, Inc. | | | | | | | 674 | | | | 55,255 | |
Synopsys, Inc.(a) | | | | | | | 448 | | | | 165,088 | |
Temenos AG | | | | | | | 197 | | | | 27,155 | |
Trade Desk, Inc. (The)–Class A(a) | | | | | | | 1,274 | | | | 116,749 | |
Trend Micro, Inc./Japan | | | | | | | 389 | | | | 21,596 | |
Tyler Technologies, Inc.(a) | | | | | | | 120 | | | | 64,554 | |
Unity Software, Inc.(a) | | | | | | | 166 | | | | 23,736 | |
VMware, Inc.–Class A | | | | | | | 615 | | | | 71,266 | |
WiseTech Global Ltd. | | | | | | | 429 | | | | 18,194 | |
Workday, Inc.–Class A(a) | | | | | | | 561 | | | | 153,254 | |
Xero Ltd.(a) | | | | | | | 392 | | | | 40,125 | |
Zendesk, Inc.(a) | | | | | | | 352 | | | | 36,710 | |
Zoom Video Communications, Inc.–Class A(a) | | | | | | | 636 | | | | 116,967 | |
Zscaler, Inc.(a) | | | | | | | 242 | | | | 77,762 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 13,768,699 | |
| | | | | | | | | | | | |
9
| | |
| DYNAMIC ASSET ALLOCATION PORTFOLIO |
| PORTFOLIO OF INVESTMENTS | | |
| |
| (continued) | | AB Variable Products Series Fund |
| | | | | | | | | | | | |
| Company | | Shares | | | U.S. $ Value | |
| | | | | | | | | | | | |
TECHNOLOGY HARDWARE, STORAGE & PERIPHERALS–3.1% | | | | | | | | | | | | |
Apple, Inc. | | | | | | | 48,539 | | | $ | 8,619,070 | |
Brother Industries Ltd. | | | | | | | 685 | | | | 13,203 | |
Canon, Inc.(b) | | | | | | | 2,911 | | | | 71,010 | |
Dell Technologies, Inc.–Class C(a) | | | | | | | 815 | | | | 45,779 | |
FUJIFILM Holdings Corp. | | | | | | | 1,009 | | | | 74,802 | |
Hewlett Packard Enterprise Co. | | | | | | | 3,834 | | | | 60,462 | |
HP, Inc. | | | | | | | 3,527 | | | | 132,862 | |
Logitech International SA | | | | | | | 508 | | | | 42,615 | |
NetApp, Inc. | | | | | | | 657 | | | | 60,438 | |
Ricoh Co., Ltd. | | | | | | | 1,872 | | | | 17,449 | |
Seagate Technology Holdings PLC | | | | | | | 601 | | | | 67,901 | |
Seiko Epson Corp. | | | | | | | 792 | | | | 14,264 | |
Western Digital Corp.(a) | | | | | | | 906 | | | | 59,080 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 9,278,935 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 43,387,278 | |
| | | | | | | | | | | | |
FINANCIALS–8.0% | | | | | | | | | | | | |
BANKS–3.5% | | | | | | | | | | | | |
ABN AMRO Bank NV (GDR)(b) | | | | | | | 1,242 | | | | 18,257 | |
Australia & New Zealand Banking Group Ltd. | | | | | | | 8,359 | | | | 167,442 | |
Banco Bilbao Vizcaya Argentaria SA | | | | | | | 19,579 | | | | 116,123 | |
Banco Santander SA | | | | | | | 50,918 | | | | 169,102 | |
Bank Hapoalim BM | | | | | | | 3,335 | | | | 34,324 | |
Bank Leumi Le-Israel BM | | | | | | | 4,266 | | | | 45,757 | |
Bank of America Corp. | | | | | | | 22,238 | | | | 989,369 | |
Bank of Montreal | | | | | | | 1,899 | | | | 204,455 | |
Bank of Nova Scotia (The)(b) | | | | | | | 3,568 | | | | 252,590 | |
Barclays PLC | | | | | | | 49,704 | | | | 126,609 | |
BNP Paribas SA | | | | | | | 3,302 | | | | 228,304 | |
BOC Hong Kong Holdings Ltd. | | | | | | | 10,031 | | | | 32,897 | |
CaixaBank SA | | | | | | | 13,017 | | | | 35,558 | |
Canadian Imperial Bank of Commerce | | | | | | | 1,321 | | | | 153,983 | |
Chiba Bank Ltd. (The) | | | | | | | 1,514 | | | | 8,661 | |
Citigroup, Inc. | | | | | | | 5,951 | | | | 359,381 | |
Citizens Financial Group, Inc. | | | | | | | 1,251 | | | | 59,110 | |
Commerzbank AG(a) | | | | | | | 2,941 | | | | 22,250 | |
Commonwealth Bank of Australia | | | | | | | 5,209 | | | | 382,920 | |
Concordia Financial Group Ltd. | | | | | | | 3,121 | | | | 11,334 | |
Credit Agricole SA | | | | | | | 3,631 | | | | 51,768 | |
Danske Bank A/S | | | | | | | 2,025 | | | | 34,960 | |
DBS Group Holdings Ltd. | | | | | | | 5,175 | | | | 125,333 | |
DNB Bank ASA | | | | | | | 2,731 | | | | 62,468 | |
| | | | | | | | | | | | |
| Company | | Shares | | | U.S. $ Value | |
| | | | | | | | | | | | |
Erste Group Bank AG | | | | | | | 1,009 | | | $ | 47,302 | |
Fifth Third Bancorp | | | | | | | 2,028 | | | | 88,319 | |
FinecoBank Banca Fineco SpA | | | | | | | 1,790 | | | | 31,347 | |
First Republic Bank/CA | | | | | | | 519 | | | | 107,179 | |
Hang Seng Bank Ltd. | | | | | | | 2,005 | | | | 36,715 | |
HSBC Holdings PLC | | | | | | | 59,978 | | | | 362,223 | |
Huntington Bancshares, Inc./OH | | | | | | | 4,335 | | | | 66,846 | |
ING Groep NV | | | | | | | 11,463 | | | | 159,370 | |
Intesa Sanpaolo SpA | | | | | | | 48,496 | | | | 125,261 | |
Israel Discount Bank Ltd.–Class A | | | | | | | 3,396 | | | | 22,802 | |
Japan Post Bank Co., Ltd. | | | | | | | 1,118 | | | | 10,248 | |
JPMorgan Chase & Co. | | | | | | | 8,774 | | | | 1,389,363 | |
KBC Group NV | | | | | | | 734 | | | | 63,066 | |
KeyCorp | | | | | | | 2,808 | | | | 64,949 | |
Lloyds Banking Group PLC | | | | | | | 208,419 | | | | 135,345 | |
M&T Bank Corp. | | | | | | | 378 | | | | 58,053 | |
Mediobanca Banca di Credito Finanziario SpA | | | | | | | 1,823 | | | | 20,929 | |
Mitsubishi UFJ Financial Group, Inc. | | | | | | | 35,887 | | | | 195,307 | |
Mizrahi Tefahot Bank Ltd. | | | | | | | 412 | | | | 15,866 | |
Mizuho Financial Group, Inc. | | | | | | | 7,054 | | | | 89,595 | |
National Australia Bank Ltd. | | | | | | | 9,669 | | | | 203,021 | |
National Bank of Canada | | | | | | | 991 | | | | 75,554 | |
Natwest Group PLC | | | | | | | 16,913 | | | | 51,793 | |
Nordea Bank Abp | | | | | | | 9,513 | | | | 116,045 | |
Oversea-Chinese Banking Corp., Ltd. | | | | | | | 9,327 | | | | 78,941 | |
PNC Financial Services Group, Inc. (The) | | | | | | | 1,248 | | | | 250,249 | |
Raiffeisen Bank International AG | | | | | | | 434 | | | | 12,747 | |
Regions Financial Corp. | | | | | | | 2,802 | | | | 61,084 | |
Resona Holdings, Inc. | | | | | | | 6,022 | | | | 23,403 | |
Royal Bank of Canada | | | | | | | 4,184 | | | | 444,051 | |
Shizuoka Bank Ltd. (The) | | | | | | | 1,294 | | | | 9,238 | |
Signature Bank/New York NY | | | | | | | 178 | | | | 57,578 | |
Skandinaviska Enskilda Banken AB–Class A | | | | | | | 4,778 | | | | 66,336 | |
Societe Generale SA | | | | | | | 2,380 | | | | 81,797 | |
Standard Chartered PLC | | | | | | | 7,728 | | | | 46,992 | |
Sumitomo Mitsui Financial Group, Inc. | | | | | | | 3,833 | | | | 130,886 | |
Sumitomo Mitsui Trust Holdings, Inc. | | | | | | | 917 | | | | 30,663 | |
SVB Financial Group(a) | | | | | | | 173 | | | | 117,335 | |
Svenska Handelsbanken AB–Class A | | | | | | | 4,282 | | | | 46,280 | |
Swedbank AB–Class A | | | | | | | 2,659 | | | | 53,435 | |
Toronto-Dominion Bank (The) | | | | | | | 5,351 | | | | 410,245 | |
Truist Financial Corp. | | | | | | | 3,919 | | | | 229,457 | |
UniCredit SpA | | | | | | | 6,258 | | | | 96,194 | |
10
| | |
| |
| | | AB Variable Products Series Fund |
| | | | | | | | | | | | |
| Company | | Shares | | | U.S. $ Value | |
| | | | | | | | | | | | |
United Overseas Bank Ltd.(b) | | | | | | | 2,692 | | | $ | 53,764 | |
US Bancorp | | | | | | | 4,135 | | | | 232,263 | |
Wells Fargo & Co. | | | | | | | 12,057 | | | | 578,495 | |
Westpac Banking Corp. | | | | | | | 10,772 | | | | 167,112 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 10,507,998 | |
| | | | | | | | | | | | |
CAPITAL MARKETS–1.9% | | | | | | | | | | | | |
3i Group PLC | | | | | | | 2,857 | | | | 56,007 | |
Abrdn PLC | | | | | | | 6,403 | | | | 20,861 | |
Ameriprise Financial, Inc. | | | | | | | 334 | | | | 100,754 | |
Amundi SA | | | | | | | 178 | | | | 14,682 | |
Apollo Global Management, Inc.(b) | | | | | | | 518 | | | | 37,519 | |
ASX Ltd.(b) | | | | | | | 568 | | | | 38,388 | |
Bank of New York Mellon Corp. (The) | | | | | | | 2,407 | | | | 139,799 | |
BlackRock, Inc.–Class A | | | | | | | 447 | | | | 409,255 | |
Blackstone Group, Inc. | | | | | | | 2,014 | | | | 260,592 | |
Brookfield Asset Management, Inc.–Class A (Canada) | | | | | | | 4,144 | | | | 250,255 | |
Carlyle Group, Inc. (The) | | | | | | | 468 | | | | 25,693 | |
Cboe Global Markets, Inc. | | | | | | | 313 | | | | 40,815 | |
Charles Schwab Corp. (The) | | | | | | | 4,248 | | | | 357,257 | |
CME Group, Inc.–Class A | | | | | | | 1,055 | | | | 241,025 | |
Credit Suisse Group AG | | | | | | | 7,783 | | | | 75,461 | |
Daiwa Securities Group, Inc. | | | | | | | 4,163 | | | | 23,492 | |
Deutsche Bank AG(a) | | | | | | | 6,068 | | | | 75,577 | |
Deutsche Boerse AG | | | | | | | 558 | | | | 93,172 | |
EQT AB | | | | | | | 868 | | | | 47,054 | |
Euronext NV(c) | | | | | | | 251 | | | | 26,095 | |
FactSet Research Systems, Inc. | | | | | | | 111 | | | | 53,947 | |
Franklin Resources, Inc. | | | | | | | 885 | | | | 29,639 | |
Futu Holdings Ltd. (ADR)(a)(b) | | | | | | | 282 | | | | 12,211 | |
Goldman Sachs Group, Inc. (The) | | | | | | | 985 | | | | 376,812 | |
Hargreaves Lansdown PLC | | | | | | | 1,044 | | | | 19,185 | |
Hong Kong Exchanges & Clearing Ltd. | | | | | | | 2,790 | | | | 163,170 | |
IGM Financial, Inc. | | | | | | | 245 | | | | 8,836 | |
Intercontinental Exchange, Inc. | | | | | | | 1,653 | | | | 226,081 | |
Invesco Ltd. | | | | | | | 1,016 | | | | 23,388 | |
Japan Exchange Group, Inc. | | | | | | | 1,488 | | | | 32,601 | |
Julius Baer Group Ltd. | | | | | | | 649 | | | | 43,400 | |
KKR & Co., Inc. | | | | | | | 1,540 | | | | 114,730 | |
London Stock Exchange Group PLC | | | | | | | 965 | | | | 90,778 | |
Macquarie Group Ltd. | | | | | | | 1,029 | | | | 153,820 | |
Magellan Financial Group Ltd.(b) | | | | | | | 404 | | | | 6,243 | |
MarketAxess Holdings, Inc. | | | | | | | 112 | | | | 46,062 | |
Moody’s Corp. | | | | | | | 492 | | | | 192,165 | |
Morgan Stanley | | | | | | | 4,018 | | | | 394,407 | |
MSCI, Inc.–Class A | | | | | | | 242 | | | | 148,271 | |
Nasdaq, Inc. | | | | | | | 344 | | | | 72,243 | |
| | | | | | | | | | | | |
| Company | | Shares | | | U.S. $ Value | |
| | | | | | | | | | | | |
Nomura Holdings, Inc. | | | | | | | 8,921 | | | $ | 38,857 | |
Northern Trust Corp. | | | | | | | 581 | | | | 69,493 | |
Onex Corp. | | | | | | | 224 | | | | 17,581 | |
Partners Group Holding AG | | | | | | | 67 | | | | 110,604 | |
Raymond James Financial, Inc. | | | | | | | 543 | | | | 54,517 | |
Robinhood Markets, Inc.(a)(b) | | | | | | | 532 | | | | 9,448 | |
S&P Global, Inc. | | | | | | | 708 | | | | 334,126 | |
SBI Holdings, Inc./Japan | | | | | | | 695 | | | | 18,957 | |
Schroders PLC | | | | | | | 365 | | | | 17,618 | |
SEI Investments Co. | | | | | | | 352 | | | | 21,451 | |
Singapore Exchange Ltd. | | | | | | | 1,635 | | | | 11,286 | |
St. James’s Place PLC | | | | | | | 1,585 | | | | 36,221 | |
State Street Corp. | | | | | | | 1,073 | | | | 99,789 | |
T. Rowe Price Group, Inc. | | | | | | | 666 | | | | 130,962 | |
TMX Group Ltd. | | | | | | | 164 | | | | 16,628 | |
Tradeweb Markets, Inc.–Class A | | | | | | | 309 | | | | 30,943 | |
UBS Group AG | | | | | | | 10,328 | | | | 185,380 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 5,745,603 | |
| | | | | | | | | | | | |
CONSUMER FINANCE–0.3% | |
Ally Financial, Inc. | | | | | | | 1,058 | | | | 50,371 | |
American Express Co. | | | | | | | 1,983 | | | | 324,419 | |
Capital One Financial Corp. | | | | | | | 1,310 | | | | 190,068 | |
Discover Financial Services | | | | | | | 879 | | | | 101,577 | |
SoFi Technologies, Inc.(a)(b) | | | | | | | 1,516 | | | | 23,968 | |
Synchrony Financial | | | | | | | 1,672 | | | | 77,564 | |
Upstart Holdings, Inc.(a) | | | | | | | 57 | | | | 8,624 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 776,591 | |
| | | | | | | | | | | | |
DIVERSIFIED FINANCIAL SERVICES–0.6% | | | | | | | | | | | | |
Berkshire Hathaway, Inc.–Class B(a) | | | | | | | 3,892 | | | | 1,163,708 | |
Equitable Holdings, Inc. | | | | | | | 1,089 | | | | 35,708 | |
EXOR NV | | | | | | | 318 | | | | 28,467 | |
Groupe Bruxelles Lambert SA | | | | | | | 331 | | | | 36,968 | |
IHS Markit Ltd. | | | | | | | 1,112 | | | | 147,807 | |
Industrivarden AB | | | | | | | 392 | | | | 12,456 | |
Industrivarden AB–Class C(b) | | | | | | | 468 | | | | 14,663 | |
Investor AB | | | | | | | 6,813 | | | | 172,738 | |
Kinnevik AB(a) | | | | | | | 711 | | | | 25,279 | |
L E Lundbergforetagen AB–Class B(b) | | | | | | | 223 | | | | 12,494 | |
M&G PLC | | | | | | | 7,634 | | | | 20,652 | |
Mitsubishi HC Capital, Inc. | | | | | | | 1,923 | | | | 9,514 | |
ORIX Corp. | | | | | | | 3,531 | | | | 72,061 | |
Sofina SA | | | | | | | 46 | | | | 22,596 | |
Tokyo Century Corp. | | | | | | | 40 | | | | 1,942 | |
Wendel SE | | | | | | | 79 | | | | 9,466 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 1,786,519 | |
| | | | | | | | | | | | |
INSURANCE–1.7% | |
Admiral Group PLC | | | | | | | 566 | | | | 24,227 | |
Aegon NV | | | | | | | 5,248 | | | | 26,091 | |
11
| | |
| DYNAMIC ASSET ALLOCATION PORTFOLIO |
| PORTFOLIO OF INVESTMENTS | | |
| |
| (continued) | | AB Variable Products Series Fund |
| | | | | | | | | | | | |
| Company | | Shares | | | U.S. $ Value | |
| | | | | | | | | | | | |
Aflac, Inc. | | | | | | | 1,871 | | | $ | 109,248 | |
Ageas SA/NV | | | | | | | 504 | | | | 26,101 | |
AIA Group Ltd. | | | | | | | 35,037 | | | | 353,623 | |
Alleghany Corp.(a) | | | | | | | 41 | | | | 27,371 | |
Allianz SE | | | | | | | 1,211 | | | | 285,625 | |
Allstate Corp. (The) | | | | | | | 868 | | | | 102,120 | |
American Financial Group, Inc./OH | | | | | | | 211 | | | | 28,974 | |
American International Group, Inc. | | | | | | | 2,511 | | | | 142,775 | |
Aon PLC | | | | | | | 663 | | | | 199,271 | |
Arch Capital Group Ltd.(a) | | | | | | | 1,162 | | | | 51,651 | |
Arthur J Gallagher & Co. | | | | | | | 607 | | | | 102,990 | |
Assicurazioni Generali SpA | | | | | | | 3,249 | | | | 68,667 | |
Assurant, Inc. | | | | | | | 173 | | | | 26,964 | |
Athene Holding Ltd.–Class A(a) | | | | | | | 394 | | | | 32,832 | |
Aviva PLC | | | | | | | 11,485 | | | | 64,019 | |
AXA SA | | | | | | | 5,683 | | | | 169,145 | |
Baloise Holding AG | | | | | | | 136 | | | | 22,197 | |
Brown & Brown, Inc. | | | | | | | 702 | | | | 49,337 | |
Chubb Ltd. | | | | | | | 1,288 | | | | 248,983 | |
Cincinnati Financial Corp. | | | | | | | 449 | | | | 51,155 | |
CNP Assurances | | | | | | | 504 | | | | 12,466 | |
Dai-ichi Life Holdings, Inc. | | | | | | | 2,913 | | | | 58,755 | |
Erie Indemnity Co.–Class A | | | | | | | 75 | | | | 14,449 | |
Everest Re Group Ltd. | | | | | | | 117 | | | | 32,049 | |
Fairfax Financial Holdings Ltd. | | | | | | | 76 | | | | 37,385 | |
Fidelity National Financial, Inc. | | | | | | | 795 | | | | 41,483 | |
Gjensidige Forsikring ASA | | | | | | | 587 | | | | 14,241 | |
Globe Life, Inc. | | | | | | | 283 | | | | 26,523 | |
Great-West Lifeco, Inc. | | | | | | | 818 | | | | 24,547 | |
Hannover Rueck SE | | | | | | | 177 | | | | 33,559 | |
Hartford Financial Services Group, Inc. (The) | | | | | | | 1,019 | | | | 70,352 | |
iA Financial Corp., Inc. | | | | | | | 315 | | | | 18,024 | |
Insurance Australia Group Ltd.(b) | | | | | | | 7,238 | | | | 22,431 | |
Intact Financial Corp. | | | | | | | 517 | | | | 67,200 | |
Japan Post Holdings Co., Ltd.(a) | | | | | | | 7,167 | | | | 55,833 | |
Japan Post Insurance Co., Ltd. | | | | | | | 492 | | | | 7,903 | |
Legal & General Group PLC | | | | | | | 17,529 | | | | 70,787 | |
Lincoln National Corp. | | | | | | | 524 | | | | 35,768 | |
Loews Corp. | | | | | | | 642 | | | | 37,082 | |
Manulife Financial Corp. | | | | | | | 5,702 | | | | 108,680 | |
Markel Corp.(a) | | | | | | | 41 | | | | 50,594 | |
Marsh & McLennan Cos., Inc. | | | | | | | 1,488 | | | | 258,644 | |
Medibank Pvt Ltd. | | | | | | | 8,086 | | | | 19,694 | |
MetLife, Inc. | | | | | | | 2,138 | | | | 133,604 | |
MS&AD Insurance Group Holdings, Inc. | | | | | | | 1,292 | | | | 39,784 | |
Muenchener Rueckversicherungs-Gesellschaft AG in Muenchen | | | | | | | 412 | | | | 121,626 | |
| | | | | | | | | | | | | | | | |
| Company | | Shares | | | U.S. $ Value | |
| | | | | | | | | | | | | | | | |
NN Group NV | | | | | | | | | | | 793 | | | $ | 42,886 | |
Phoenix Group Holdings PLC | | | | | | | | | | | 1,907 | | | | 16,881 | |
Poste Italiane SpA | | | | | | | | | | | 1,534 | | | | 20,096 | |
Power Corp. of Canada | | | | | | | | | | | 1,643 | | | | 54,293 | |
Principal Financial Group, Inc. | | | | | | | | | | | 788 | | | | 56,996 | |
Progressive Corp. (The) | | | | | | | | | | | 1,718 | | | | 176,353 | |
Prudential Financial, Inc. | | | | | | | | | | | 1,133 | | | | 122,636 | |
Prudential PLC | | | | | | | | | | | 7,680 | | | | 132,809 | |
QBE Insurance Group Ltd. | | | | | | | | | | | 4,331 | | | | 35,764 | |
Sampo Oyj–Class A | | | | | | | | | | | 1,464 | | | | 73,270 | |
Sompo Holdings, Inc. | | | | | | | | | | | 891 | | | | 37,577 | |
Sun Life Financial, Inc.(b) | | | | | | | | | | | 1,719 | | | | 95,683 | |
Suncorp Group Ltd. | | | | | | | | | | | 3,767 | | | | 30,328 | |
Swiss Life Holding AG | | | | | | | | | | | 93 | | | | 56,821 | |
Swiss Re AG | | | | | | | | | | | 885 | | | | 87,361 | |
T&D Holdings, Inc. | | | | | | | | | | | 1,496 | | | | 19,113 | |
Tokio Marine Holdings, Inc. | | | | | | | | | | | 1,804 | | | | 100,428 | |
Travelers Cos., Inc. (The) | | | | | | | | | | | 733 | | | | 114,663 | |
Tryg A/S | | | | | | | | | | | 1,057 | | | | 26,084 | |
Willis Towers Watson PLC | | | | | | | | | | | 379 | | | | 90,009 | |
WR Berkley Corp. | | | | | | | | | | | 417 | | | | 34,357 | |
Zurich Insurance Group AG | | | | | | | | | | | 442 | | | | 193,631 | |
| | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | 5,244,868 | |
| | | | | | | | | | | | | | | | |
MORTGAGE REAL ESTATE INVESTMENT TRUSTS (REITs)–0.0% | | | | | | | | | | | | | | | | |
AGNC Investment Corp. | | | | | | | | | | | 1,541 | | | | 23,176 | |
Annaly Capital Management, Inc. | | | | | | | | | | | 4,240 | | | | 33,157 | |
| | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | 56,333 | |
| | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | 24,117,912 | |
| | | | | | | | | | | | | | | | |
HEALTH CARE–7.6% | |
BIOTECHNOLOGY–0.9% | |
AbbVie, Inc. | | | | | | | | | | | 5,189 | | | | 702,591 | |
Alnylam Pharmaceuticals, Inc.(a) | | | | | | | | | | | 349 | | | | 59,183 | |
Amgen, Inc. | | | | | | | | | | | 1,668 | | | | 375,250 | |
Argenx SE(a) | | | | | | | | | | | 135 | | | | 48,461 | |
Biogen, Inc.(a) | | | | | | | | | | | 438 | | | | 105,085 | |
BioMarin Pharmaceutical, Inc.(a) | | | | | | | | | | | 538 | | | | 47,532 | |
CSL Ltd. | | | | | | | | | | | 1,337 | | | | 282,776 | |
Exact Sciences Corp.(a) | | | | | | | | | | | 504 | | | | 39,226 | |
Genmab A/S(a) | | | | | | | | | | | 193 | | | | 77,037 | |
Gilead Sciences, Inc. | | | | | | | | | | | 3,681 | | | | 267,277 | |
Grifols SA(b) | | | | | | | | | | | 875 | | | | 16,837 | |
Horizon Therapeutics PLC(a) | | | | | | | | | | | 630 | | | | 67,889 | |
Incyte Corp.(a) | | | | | | | | | | | 551 | | | | 40,443 | |
Moderna, Inc.(a) | | | | | | | | | | | 1,008 | | | | 256,012 | |
Neurocrine Biosciences, Inc.(a) | | | | | | | | | | | 277 | | | | 23,592 | |
Novavax, Inc.(a)(b) | | | | | | | | | | | 208 | | | | 29,759 | |
Regeneron Pharmaceuticals, Inc.(a) | | | | | | | | | | | 309 | | | | 195,140 | |
Seagen, Inc.(a) | | | | | | | | | | | 401 | | | | 61,995 | |
12
| | |
| |
| | | AB Variable Products Series Fund |
| | | | | | | | | | | | |
| Company | | Shares | | | U.S. $ Value | |
| | | | | | | | | | | | |
Vertex Pharmaceuticals, Inc.(a) | | | | | | | 762 | | | $ | 167,335 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 2,863,420 | |
| | | | | | | | | | | | |
HEALTH CARE EQUIPMENT & SUPPLIES–1.6% | | | | | | | | | | | | |
Abbott Laboratories | | | | | | | 5,205 | | | | 732,552 | |
ABIOMED, Inc.(a) | | | | | | | 133 | | | | 47,770 | |
Alcon, Inc. | | | | | | | 1,467 | | | | 129,397 | |
Align Technology, Inc.(a) | | | | | | | 221 | | | | 145,237 | |
Ambu A/S | | | | | | | 491 | | | | 12,959 | |
Asahi Intecc Co., Ltd. | | | | | | | 541 | | | | 11,623 | |
Avantor, Inc.(a) | | | | | | | 1,543 | | | | 65,022 | |
Baxter International, Inc. | | | | | | | 1,467 | | | | 125,927 | |
Becton Dickinson and Co. | | | | | | | 843 | | | | 211,998 | |
BioMerieux | | | | | | | 122 | | | | 17,348 | |
Boston Scientific Corp.(a) | | | | | | | 4,180 | | | | 177,566 | |
Carl Zeiss Meditec AG | | | | | | | 118 | | | | 24,754 | |
Cochlear Ltd.(b) | | | | | | | 193 | | | | 30,291 | |
Coloplast A/S–Class B | | | | | | | 349 | | | | 61,450 | |
Cooper Cos., Inc. (The) | | | | | | | 145 | | | | 60,746 | |
Demant A/S(a) | | | | | | | 317 | | | | 16,232 | |
DENTSPLY SIRONA, Inc. | | | | | | | 641 | | | | 35,761 | |
DexCom, Inc.(a) | | | | | | | 284 | | | | 152,494 | |
DiaSorin SpA | | | | | | | 74 | | | | 14,078 | |
Edwards Lifesciences Corp.(a) | | | | | | | 1,830 | | | | 237,077 | |
Fisher & Paykel Healthcare Corp., Ltd. | | | | | | | 1,693 | | | | 37,929 | |
Getinge AB–Class B | | | | | | | 671 | | | | 29,244 | |
GN Store Nord A/S | | | | | | | 365 | | | | 22,902 | |
Hologic, Inc.(a) | | | | | | | 744 | | | | 56,961 | |
Hoya Corp. | | | | | | | 1,048 | | | | 155,515 | |
IDEXX Laboratories, Inc.(a) | | | | | | | 250 | | | | 164,615 | |
Inmode Ltd.(a) | | | | | | | 145 | | | | 10,234 | |
Insulet Corp.(a) | | | | | | | 202 | | | | 53,746 | |
Intuitive Surgical, Inc.(a) | | | | | | | 1,048 | | | | 376,546 | |
Koninklijke Philips NV | | | | | | | 2,693 | | | | 99,672 | |
Masimo Corp.(a) | | | | | | | 154 | | | | 45,088 | |
Medtronic PLC | | | | | | | 3,950 | | | | 408,628 | |
Novocure Ltd.(a) | | | | | | | 274 | | | | 20,572 | |
Olympus Corp. | | | | | | | 3,180 | | | | 73,227 | |
ResMed, Inc. | | | | | | | 428 | | | | 111,486 | |
Sartorius AG (Preference Shares) | | | | | | | 77 | | | | 52,078 | |
Siemens Healthineers AG | | | | | | | 828 | | | | 61,735 | |
Smith & Nephew PLC | | | | | | | 2,581 | | | | 45,045 | |
Sonova Holding AG | | | | | | | 161 | | | | 62,918 | |
STERIS PLC | | | | | | | 293 | | | | 71,319 | |
Straumann Holding AG | | | | | | | 31 | | | | 65,552 | |
Stryker Corp. | | | | | | | 997 | | | | 266,618 | |
Sysmex Corp. | | | | | | | 491 | | | | 66,276 | |
Teleflex, Inc. | | | | | | | 138 | | | | 45,330 | |
Terumo Corp. | | | | | | | 1,851 | | | | 78,187 | |
Zimmer Biomet Holdings, Inc. | | | | | | | 613 | | | | 77,876 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 4,869,581 | |
| | | | | | | | | | | | |
| | | | | | | | | | | | |
| Company | | Shares | | | U.S. $ Value | |
| | | | | | | | | | | | |
HEALTH CARE PROVIDERS & SERVICES–1.2% | | | | | | | | | | | | |
AmerisourceBergen Corp.–Class A | | | | | | | 457 | | | $ | 60,731 | |
Amplifon SpA | | | | | | | 365 | | | | 19,640 | |
Anthem, Inc. | | | | | | | 716 | | | | 331,895 | |
Cardinal Health, Inc. | | | | | | | 852 | | | | 43,869 | |
Centene Corp.(a) | | | | | | | 1,712 | | | | 141,069 | |
Cigna Corp. | | | | | | | 999 | | | | 229,400 | |
CVS Health Corp. | | | | | | | 3,874 | | | | 399,642 | |
DaVita, Inc.(a) | | | | | | | 200 | | | | 22,752 | |
Fresenius Medical Care AG & Co. KGaA | | | | | | | 602 | | | | 39,027 | |
Fresenius SE & Co. KGaA | | | | | | | 1,229 | | | | 49,398 | |
HCA Healthcare, Inc. | | | | | | | 752 | | | | 193,204 | |
Henry Schein, Inc.(a) | | | | | | | 410 | | | | 31,787 | |
Humana, Inc. | | | | | | | 378 | | | | 175,339 | |
Laboratory Corp. of America Holdings(a) | | | | | | | 283 | | | | 88,921 | |
McKesson Corp. | | | | | | | 454 | | | | 112,851 | |
Medipal Holdings Corp. | | | | | | | 533 | | | | 9,991 | |
Molina Healthcare, Inc.(a) | | | | | | | 172 | | | | 54,710 | |
Oak Street Health, Inc.(a)(b) | | | | | | | 282 | | | | 9,345 | |
Orpea SA | | | | | | | 151 | | | | 15,143 | |
Quest Diagnostics, Inc. | | | | | | | 359 | | | | 62,111 | |
Ramsay Health Care Ltd. | | | | | | | 537 | | | | 27,908 | |
Ryman Healthcare Ltd. | | | | | | | 1,247 | | | | 10,456 | |
Sonic Healthcare Ltd. | | | | | | | 1,334 | | | | 45,244 | |
UnitedHealth Group, Inc. | | | | | | | 2,769 | | | | 1,390,426 | |
Universal Health Services, Inc.–Class B | | | | | | | 223 | | | | 28,914 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 3,593,773 | |
| | | | | | | | | | | | |
HEALTH CARE TECHNOLOGY–0.1% | | | | | | | | | | | | |
Cerner Corp. | | | | | | | 867 | | | | 80,519 | |
M3, Inc. | | | | | | | 1,230 | | | | 62,018 | |
Teladoc Health, Inc.(a)(b) | | | | | | | 421 | | | | 38,656 | |
Veeva Systems, Inc.–Class A(a) | | | | | | | 406 | | | | 103,725 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 284,918 | |
| | | | | | | | | | | | |
LIFE SCIENCES TOOLS & SERVICES–0.9% | | | | | | | | | | | | |
10X Genomics, Inc.(a) | | | | | | | 226 | | | | 33,665 | |
Agilent Technologies, Inc. | | | | | | | 890 | | | | 142,088 | |
Bachem Holding AG | | | | | | | 19 | | | | 14,878 | |
Bio-Rad Laboratories, Inc.–Class A(a) | | | | | | | 66 | | | | 49,868 | |
Bio-Techne Corp. | | | | | | | 115 | | | | 59,494 | |
Charles River Laboratories International, Inc.(a) | | | | | | | 148 | | | | 55,763 | |
Danaher Corp. | | | | | | | 1,887 | | | | 620,842 | |
Eurofins Scientific SE | | | | | | | 392 | | | | 48,565 | |
Illumina, Inc.(a) | | | | | | | 431 | | | | 163,970 | |
IQVIA Holdings, Inc.(a) | | | | | | | 563 | | | | 158,845 | |
Lonza Group AG | | | | | | | 219 | | | | 182,337 | |
13
| | |
| DYNAMIC ASSET ALLOCATION PORTFOLIO |
| PORTFOLIO OF INVESTMENTS | | |
| |
| (continued) | | AB Variable Products Series Fund |
| | | | | | | | | | | | |
| Company | | Shares | | | U.S. $ Value | |
| | | | | | | | | | | | |
Mettler-Toledo International, Inc.(a) | | | | | | | 68 | | | $ | 115,410 | |
PerkinElmer, Inc. | | | | | | | 329 | | | | 66,149 | |
QIAGEN NV(a) | | | | | | | 670 | | | | 37,152 | |
Sartorius Stedim Biotech | | | | | | | 82 | | | | 45,035 | |
Thermo Fisher Scientific, Inc. | | | | | | | 1,156 | | | | 771,329 | |
Waters Corp.(a) | | | | | | | 180 | | | | 67,068 | |
West Pharmaceutical Services, Inc. | | | | | | | 218 | | | | 102,244 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 2,734,702 | |
| | | | | | | | | | | | |
PHARMACEUTICALS–2.9% | | | | | | | | | | | | |
Astellas Pharma, Inc. | | | | | | | 5,385 | | | | 87,644 | |
AstraZeneca PLC | | | | | | | 4,549 | | | | 531,184 | |
Bausch Health Cos., Inc.(a) | | | | | | | 895 | | | | 24,721 | |
Bayer AG | | | | | | | 2,884 | | | | 154,018 | |
Bristol-Myers Squibb Co. | | | | | | | 6,524 | | | | 406,771 | |
Canopy Growth Corp.(a)(b) | | | | | | | 692 | | | | 6,040 | |
Catalent, Inc.(a) | | | | | | | 500 | | | | 64,015 | |
Chugai Pharmaceutical Co., Ltd.(b) | | | | | | | 1,883 | | | | 61,378 | |
Daiichi Sankyo Co., Ltd. | | | | | | | 5,058 | | | | 128,733 | |
Eisai Co., Ltd. | | | | | | | 645 | | | | 36,615 | |
Elanco Animal Health, Inc.(a) | | | | | | | 1,250 | | | | 35,475 | |
Eli Lilly & Co. | | | | | | | 2,388 | | | | 659,613 | |
GlaxoSmithKline PLC | | | | | | | 14,774 | | | | 321,671 | |
Hikma Pharmaceuticals PLC | | | | | | | 509 | | | | 15,286 | |
Ipsen SA | | | | | | | 110 | | | | 10,066 | |
Jazz Pharmaceuticals PLC(a) | | | | | | | 179 | | | | 22,805 | |
Johnson & Johnson | | | | | | | 7,730 | | | | 1,322,371 | |
Kyowa Kirin Co., Ltd. | | | | | | | 705 | | | | 19,222 | |
Merck & Co., Inc. | | | | | | | 7,433 | | | | 569,665 | |
Merck KGaA | | | | | | | 380 | | | | 97,758 | |
Nippon Shinyaku Co., Ltd. | | | | | | | 106 | | | | 7,381 | |
Novartis AG | | | | | | | 6,433 | | | | 565,280 | |
Novo Nordisk A/S–Class B | | | | | | | 4,944 | | | | 555,339 | |
Ono Pharmaceutical Co., Ltd. | | | | | | | 994 | | | | 24,706 | |
Orion Oyj–Class B(b) | | | | | | | 311 | | | | 12,919 | |
Otsuka Holdings Co., Ltd. | | | | | | | 1,078 | | | | 39,219 | |
Pfizer, Inc. | | | | | | | 16,463 | | | | 972,140 | |
Recordati Industria Chimica e Farmaceutica SpA | | | | | | | 307 | | | | 19,714 | |
Roche Holding AG | | | | | | | 2,157 | | | | 897,932 | |
Royalty Pharma PLC | | | | | | | 1,003 | | | | 39,970 | |
Sanofi | | | | | | | 3,339 | | | | 335,048 | |
Santen Pharmaceutical Co., Ltd. | | | | | | | 1,008 | | | | 12,306 | |
Shionogi & Co., Ltd. | | | | | | | 759 | | | | 53,393 | |
Sumitomo Dainippon Pharma Co., Ltd.(b) | | | | | | | 495 | | | | 5,711 | |
Taisho Pharmaceutical Holdings Co., Ltd. | | | | | | | 103 | | | | 4,754 | |
Takeda Pharmaceutical Co., Ltd. | | | | | | | 4,643 | | | | 126,792 | |
Teva Pharmaceutical Industries Ltd. (Sponsored ADR)(a) | | | | | | | 3,237 | | | | 25,928 | |
| | | | | | | | | | | | |
| Company | | Shares | | | U.S. $ Value | |
| | | | | | | | | | | | |
UCB SA | | | | | | | 371 | | | $ | 42,341 | |
Viatris, Inc. | | | | | | | 3,550 | | | | 48,031 | |
Vifor Pharma AG | | | | | | | 143 | | | | 25,404 | |
Zoetis, Inc. | | | | | | | 1,392 | | | | 339,690 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 8,729,049 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 23,075,443 | |
| | | | | | | | | | | | |
CONSUMER DISCRETIONARY–7.4% | | | | | | | | | | | | |
AUTO COMPONENTS–0.2% | | | | | | | | | | | | |
Aisin Corp. | | | | | | | 343 | | | | 13,160 | |
Aptiv PLC(a) | | | | | | | 794 | | | | 130,970 | |
BorgWarner, Inc. | | | | | | | 704 | | | | 31,729 | |
Bridgestone Corp. | | | | | | | 1,668 | | | | 71,612 | |
Cie Generale des Etablissements Michelin SCA–Class B | | | | | | | 497 | | | | 81,401 | |
Continental AG(a) | | | | | | | 323 | | | | 33,936 | |
Denso Corp. | | | | | | | 1,260 | | | | 104,417 | |
Faurecia SE | | | | | | | 344 | | | | 16,366 | |
Koito Manufacturing Co., Ltd. | | | | | | | 231 | | | | 12,235 | |
Lear Corp. | | | | | | | 175 | | | | 32,016 | |
Magna International, Inc.–Class A (Canada) | | | | | | | 838 | | | | 67,805 | |
Stanley Electric Co., Ltd. | | | | | | | 360 | | | | 9,039 | |
Sumitomo Electric Industries Ltd. | | | | | | | 2,119 | | | | 27,655 | |
Valeo | | | | | | | 674 | | | | 20,325 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 652,666 | |
| | | | | | | | | | | | |
AUTOMOBILES–1.6% | | | | | | | | | | | | |
Bayerische Motoren Werke AG | | | | | | | 972 | | | | 97,241 | |
Bayerische Motoren Werke AG (Preference Shares) | | | | | | | 169 | | | | 14,015 | |
Daimler AG | | | | | | | 2,513 | | | | 192,004 | |
Ferrari NV | | | | | | | 370 | | | | 95,240 | |
Ford Motor Co. | | | | | | | 11,522 | | | | 239,312 | |
General Motors Co.(a) | | | | | | | 3,836 | | | | 224,905 | |
Honda Motor Co., Ltd. | | | | | | | 4,723 | | | | 134,373 | |
Isuzu Motors Ltd. | | | | | | | 1,712 | | | | 21,308 | |
Lucid Group, Inc.(a)(b) | | | | | | | 1,188 | | | | 45,204 | |
Mazda Motor Corp.(a) | | | | | | | 1,665 | | | | 12,775 | |
Nissan Motor Co., Ltd.(a) | | | | | | | 6,779 | | | | 32,651 | |
Porsche Automobil Holding SE (Preference Shares) | | | | | | | 449 | | | | 42,391 | |
Renault SA(a) | | | | | | | 564 | | | | 19,565 | |
Rivian Automotive, Inc.(a) | | | | | | | 507 | | | | 52,571 | |
Stellantis NV | | | | | | | 5,977 | | | | 112,837 | |
Subaru Corp. | | | | | | | 1,781 | | | | 31,823 | |
Suzuki Motor Corp. | | | | | | | 1,081 | | | | 41,687 | |
Tesla, Inc.(a) | | | | | | | 2,471 | | | | 2,611,303 | |
Toyota Motor Corp. | | | | | | | 31,070 | | | | 574,254 | |
Volkswagen AG | | | | | | | 96 | | | | 28,064 | |
Volkswagen AG (Preference Shares) | | | | | | | 545 | | | | 109,481 | |
Yamaha Motor Co., Ltd.(b) | | | | | | | 795 | | | | 19,095 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 4,752,099 | |
| | | | | | | | | | | | |
14
| | |
| |
| | | AB Variable Products Series Fund |
| | | | | | | | | | | | |
| Company | | Shares | | | U.S. $ Value | |
| | | | | | | | | | | | |
DISTRIBUTORS–0.1% | |
Genuine Parts Co. | | | | | | | 420 | | | $ | 58,884 | |
LKQ Corp. | | | | | | | 819 | | | | 49,164 | |
Pool Corp. | | | | | | | 118 | | | | 66,788 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 174,836 | |
| | | | | | | | | | | | |
DIVERSIFIED CONSUMER SERVICES–0.0% | | | | | | | | | | | | |
IDP Education Ltd.(b) | | | | | | | 612 | | | | 15,418 | |
| | | | | | | | | | | | |
HOTELS, RESTAURANTS & LEISURE–1.0% | | | | | | | | | | | | |
Accor SA(a) | | | | | | | 499 | | | | 16,174 | |
Airbnb, Inc.(a) | | | | | | | 692 | | | | 115,211 | |
Aramark | | | | | | | 674 | | | | 24,837 | |
Aristocrat Leisure Ltd. | | | | | | | 1,773 | | | | 56,244 | |
Booking Holdings, Inc.(a) | | | | | | | 121 | | | | 290,307 | |
Caesars Entertainment, Inc.(a) | | | | | | | 626 | | | | 58,550 | |
Carnival Corp.(a)(b) | | | | | | | 2,430 | | | | 48,892 | |
Chipotle Mexican Grill, Inc.–Class A(a) | | | | | | | 83 | | | | 145,105 | |
Compass Group PLC(a) | | | | | | | 5,238 | | | | 117,927 | |
Crown Resorts Ltd.(a)(b) | | | | | | | 1,093 | | | | 9,514 | |
Darden Restaurants, Inc. | | | | | | | 383 | | | | 57,695 | |
Domino’s Pizza Enterprises Ltd.(b) | | | | | | | 177 | | | | 15,192 | |
Domino’s Pizza, Inc. | | | | | | | 109 | | | | 61,512 | |
DraftKings, Inc.(a)(b) | | | | | | | 947 | | | | 26,014 | |
Entain PLC(a) | | | | | | | 1,719 | | | | 39,291 | |
Evolution AB | | | | | | | 505 | | | | 71,377 | |
Expedia Group, Inc.(a) | | | | | | | 427 | | | | 77,167 | |
Flutter Entertainment PLC(a) | | | | | | | 489 | | | | 77,415 | |
Galaxy Entertainment Group Ltd.(a) | | | | | | | 6,343 | | | | 32,905 | |
Genting Singapore Ltd.(b) | | | | | | | 16,869 | | | | 9,703 | |
Hilton Worldwide Holdings, Inc.(a) | | | | | | | 818 | | | | 127,600 | |
InterContinental Hotels Group PLC(a) | | | | | | | 537 | | | | 34,717 | |
La Francaise des Jeux SAEM | | | | | | | 280 | | | | 12,409 | |
Las Vegas Sands Corp.(a) | | | | | | | 1,009 | | | | 37,979 | |
Marriott International, Inc./MD–Class A(a) | | | | | | | 813 | | | | 134,340 | |
McDonald’s Corp. | | | | | | | 2,193 | | | | 587,878 | |
McDonald’s Holdings Co. Japan Ltd.(b) | | | | | | | 192 | | | | 8,497 | |
Melco Resorts & Entertainment Ltd. (ADR)(a) | | | | | | | 191 | | | | 1,944 | |
MGM Resorts International | | | | | | | 1,131 | | | | 50,759 | |
Oriental Land Co., Ltd./Japan | | | | | | | 581 | | | | 97,972 | |
Restaurant Brands International, Inc.(b) | | | | | | | 839 | | | | 50,873 | |
Royal Caribbean Cruises Ltd.(a) | | | | | | | 673 | | | | 51,754 | |
Sands China Ltd.(a) | | | | | | | 6,620 | | | | 15,364 | |
Sodexo SA | | | | | | | 259 | | | | 22,706 | |
Starbucks Corp. | | | | | | | 3,462 | | | | 404,950 | |
Tabcorp Holdings Ltd.(b) | | | | | | | 6,523 | | | | 23,831 | |
| | | | | | | | | | | | |
| Company | | Shares | | | U.S. $ Value | |
| | | | | | | | | | | | |
Vail Resorts, Inc. | | | | | | | 118 | | | $ | 38,692 | |
Whitbread PLC(a) | | | | | | | 593 | | | | 24,122 | |
Wynn Resorts Ltd.(a)(b) | | | | | | | 305 | | | | 25,937 | |
Yum! Brands, Inc. | | | | | | | 868 | | | | 120,530 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 3,223,886 | |
| | | | | | | | | | | | |
HOUSEHOLD DURABLES–0.4% | | | | | | | | | | | | |
Barratt Developments PLC | | | | | | | 2,993 | | | | 30,392 | |
Berkeley Group Holdings PLC | | | | | | | 330 | | | | 21,369 | |
DR Horton, Inc. | | | | | | | 999 | | | | 108,342 | |
Electrolux AB(b) | | | | | | | 662 | | | | 16,033 | |
Garmin Ltd. | | | | | | | 452 | | | | 61,549 | |
Iida Group Holdings Co., Ltd. | | | | | | | 411 | | | | 9,559 | |
Lennar Corp.–Class A | | | | | | | 806 | | | | 93,625 | |
Mohawk Industries, Inc.(a) | | | | | | | 172 | | | | 31,335 | |
Newell Brands, Inc. | | | | | | | 1,124 | | | | 24,548 | |
NVR, Inc.(a) | | | | | | | 10 | | | | 59,089 | |
Open House Co., Ltd. | | | | | | | 200 | | | | 10,451 | |
Panasonic Corp. | | | | | | | 6,471 | | | | 71,134 | |
Persimmon PLC | | | | | | | 936 | | | | 36,279 | |
PulteGroup, Inc. | | | | | | | 762 | | | | 43,556 | |
Rinnai Corp. | | | | | | | 34 | | | | 3,068 | |
SEB SA | | | | | | | 81 | | | | 12,622 | |
Sekisui Chemical Co., Ltd. | | | | | | | 1,083 | | | | 18,112 | |
Sekisui House Ltd. | | | | | | | 1,789 | | | | 38,492 | |
Sharp Corp./Japan | | | | | | | 597 | | | | 6,856 | |
Sony Group Corp. | | | | | | | 3,634 | | | | 458,895 | |
Taylor Wimpey PLC | | | | | | | 10,707 | | | | 25,527 | |
Whirlpool Corp.(b) | | | | | | | 184 | | | | 43,178 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 1,224,011 | |
| | | | | | | | | | | | |
INTERNET & DIRECT MARKETING RETAIL–1.8% | | | | | | | | | | | | |
Amazon.com, Inc.(a) | | | | | | | 1,339 | | | | 4,464,681 | |
Chewy, Inc.(a)(b) | | | | | | | 260 | | | | 15,332 | |
Delivery Hero SE(a) | | | | | | | 476 | | | | 52,689 | |
DoorDash, Inc.(a) | | | | | | | 315 | | | | 46,903 | |
eBay, Inc. | | | | | | | 1,908 | | | | 126,882 | |
Etsy, Inc.(a)(b) | | | | | | | 372 | | | | 81,446 | |
Fiverr International Ltd.(a)(b) | | | | | | | 86 | | | | 9,778 | |
Just Eat Takeaway.com NV(a)(b) | | | | | | | 529 | | | | 28,741 | |
MercadoLibre, Inc.(a) | | | | | | | 132 | | | | 177,989 | |
Mercari, Inc.(a) | | | | | | | 268 | | | | 13,635 | |
Prosus NV(a)(b) | | | | | | | 2,740 | | | | 226,940 | |
Rakuten Group, Inc.(b) | | | | | | | 2,513 | | | | 25,214 | |
Wayfair, Inc.–Class A(a)(b) | | | | | | | 216 | | | | 41,034 | |
Zalando SE(a) | | | | | | | 652 | | | | 52,523 | |
ZOZO, Inc. | | | | | | | 271 | | | | 8,450 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 5,372,237 | |
| | | | | | | | | | | | |
LEISURE PRODUCTS–0.1% | | | | | | | | | | | | |
Bandai Namco Holdings, Inc. | | | | | | | 579 | | | | 45,271 | |
Hasbro, Inc. | | | | | | | 384 | | | | 39,083 | |
Peloton Interactive, Inc.(a) | | | | | | | 824 | | | | 29,466 | |
15
| | |
| DYNAMIC ASSET ALLOCATION PORTFOLIO |
| PORTFOLIO OF INVESTMENTS | | |
| |
| (continued) | | AB Variable Products Series Fund |
| | | | | | | | | | | | |
| Company | | Shares | | | U.S. $ Value | |
| | | | | | | | | | | | |
Shimano, Inc.(b) | | | | | | | 260 | | | $ | 69,243 | |
Yamaha Corp. | | | | | | | 294 | | | | 14,505 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 197,568 | |
| | | | | | | | | | | | |
MULTILINE RETAIL–0.3% | | | | | | | | | | | | |
Canadian Tire Corp., Ltd.–Class A | | | | | | | 168 | | | | 24,097 | |
Cie Financiere Richemont SA | | | | | | | 1,533 | | | | 229,084 | |
Dollar General Corp. | | | | | | | 685 | | | | 161,544 | |
Dollar Tree, Inc.(a) | | | | | | | 660 | | | | 92,743 | |
Dollarama, Inc. | | | | | | | 849 | | | | 42,492 | |
Next PLC | | | | | | | 390 | | | | 43,135 | |
Pan Pacific International Holdings Corp. | | | | | | | 1,171 | | | | 16,141 | |
Ryohin Keikaku Co., Ltd. | | | | | | | 726 | | | | 11,070 | |
Target Corp. | | | | | | | 1,433 | | | | 331,654 | |
Wesfarmers Ltd. | | | | | | | 3,329 | | | | 143,634 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 1,095,594 | |
| | | | | | | | | | | | |
SPECIALTY RETAIL–1.1% | | | | | | | | | | | | |
Advance Auto Parts, Inc. | | | | | | | 185 | | | | 44,378 | |
AutoZone, Inc.(a) | | | | | | | 64 | | | | 134,169 | |
Bath & Body Works, Inc. | | | | | | | 777 | | | | 54,227 | |
Best Buy Co., Inc. | | | | | | | 662 | | | | 67,259 | |
Burlington Stores, Inc.(a) | | | | | | | 196 | | | | 57,136 | |
CarMax, Inc.(a) | | | | | | | 478 | | | | 62,250 | |
Carvana Co.(a) | | | | | | | 224 | | | | 51,921 | |
Chow Tai Fook Jewellery Group Ltd.(a) | | | | | | | 5,000 | | | | 9,009 | |
Dynatrace, Inc.(a) | | | | | | | 542 | | | | 32,710 | |
Fast Retailing Co., Ltd. | | | | | | | 219 | | | | 124,489 | |
H & M Hennes & Mauritz AB–Class B | | | | | | | 2,144 | | | | 42,070 | |
Hikari Tsushin, Inc. | | | | | | | 86 | | | | 13,245 | |
Home Depot, Inc. (The) | | | | | | | 3,087 | | | | 1,281,136 | |
Industria de Diseno Textil SA | | | | | | | 3,203 | | | | 103,297 | |
JD Sports Fashion PLC | | | | | | | 7,590 | | | | 22,379 | |
Kingfisher PLC | | | | | | | 6,200 | | | | 28,518 | |
Lowe’s Cos., Inc. | | | | | | | 2,033 | | | | 525,490 | |
Nitori Holdings Co., Ltd. | | | | | | | 213 | | | | 31,859 | |
O’Reilly Automotive, Inc.(a) | | | | | | | 203 | | | | 143,365 | |
Ross Stores, Inc. | | | | | | | 1,048 | | | | 119,765 | |
TJX Cos., Inc. (The) | | | | | | | 3,531 | | | | 268,073 | |
Tractor Supply Co. | | | | | | | 336 | | | | 80,169 | |
Ulta Beauty, Inc.(a) | | | | | | | 152 | | | | 62,676 | |
USS Co., Ltd. | | | | | | | 553 | | | | 8,640 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 3,368,230 | |
| | | | | | | | | | | | |
TEXTILES, APPAREL & LUXURY GOODS–0.8% | | | | | | | | | | | | |
adidas AG | | | | | | | 559 | | | | 160,961 | |
Burberry Group PLC | | | | | | | 1,188 | | | | 29,323 | |
EssilorLuxottica SA | | | | | | | 843 | | | | 179,455 | |
Gildan Activewear, Inc. | | | | | | | 582 | | | | 24,675 | |
Hermes International | | | | | | | 93 | | | | 162,506 | |
Kering SA | | | | | | | 221 | | | | 177,320 | |
Lululemon Athletica, Inc.(a) | | | | | | | 348 | | | | 136,225 | |
| | | | | | | | | | | | |
| Company | | Shares | | | U.S. $ Value | |
| | | | | | | | | | | | |
LVMH Moet Hennessy Louis Vuitton SE | | | | | | | 816 | | | $ | 674,370 | |
Moncler SpA | | | | | | | 602 | | | | 43,505 | |
NIKE, Inc.–Class B | | | | | | | 3,753 | | | | 625,512 | |
Pandora A/S | | | | | | | 293 | | | | 36,447 | |
Puma SE | | | | | | | 310 | | | | 37,858 | |
Swatch Group AG (The) | | | | | | | 85 | | | | 25,886 | |
Swatch Group AG (The) (REG) | | | | | | | 154 | | | | 9,004 | |
VF Corp. | | | | | | | 979 | | | | 71,682 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 2,394,729 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 22,471,274 | |
| | | | | | | | | | | | |
INDUSTRIALS–6.1% | | | | | | | | | | | | |
AEROSPACE & DEFENSE–0.7% | | | | | | | | | | | | |
Airbus SE(a) | | | | | | | 1,731 | | | | 221,471 | |
BAE Systems PLC | | | | | | | 9,443 | | | | 70,418 | |
Boeing Co. (The)(a) | | | | | | | 1,635 | | | | 329,158 | |
CAE, Inc.(a) | | | | | | | 930 | | | | 23,460 | |
Dassault Aviation SA | | | | | | | 73 | | | | 7,896 | |
Elbit Systems Ltd. | | | | | | | 78 | | | | 13,483 | |
General Dynamics Corp. | | | | | | | 698 | | | | 145,512 | |
HEICO Corp. | | | | | | | 127 | | | | 18,316 | |
HEICO Corp.–Class A | | | | | | | 214 | | | | 27,503 | |
Howmet Aerospace, Inc. | | | | | | | 1,133 | | | | 36,063 | |
Huntington Ingalls Industries, Inc. | | | | | | | 118 | | | | 22,035 | |
L3Harris Technologies, Inc. | | | | | | | 590 | | | | 125,812 | |
Lockheed Martin Corp. | | | | | | | 732 | | | | 260,160 | |
MTU Aero Engines AG | | | | | | | 157 | | | | 31,878 | |
Northrop Grumman Corp. | | | | | | | 447 | | | | 173,020 | |
Raytheon Technologies Corp. | | | | | | | 4,427 | | | | 380,988 | |
Rolls-Royce Holdings PLC(a) | | | | | | | 24,570 | | | | 41,011 | |
Safran SA | | | | | | | 1,003 | | | | 122,790 | |
Singapore Technologies Engineering Ltd. | | | | | | | 3,908 | | | | 10,906 | |
Textron, Inc. | | | | | | | 658 | | | | 50,798 | |
Thales SA | | | | | | | 313 | | | | 26,626 | |
TransDigm Group, Inc.(a) | | | | | | | 154 | | | | 97,987 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 2,237,291 | |
| | | | | | | | | | | | |
AIR FREIGHT & LOGISTICS–0.4% | | | | | | | | | | | | |
CH Robinson Worldwide, Inc. | | | | | | | 386 | | | | 41,545 | |
Deutsche Post AG | | | | | | | 2,910 | | | | 187,173 | |
DSV A/S | | | | | | | 599 | | | | 139,584 | |
Expeditors International of Washington, Inc. | | | | | | | 499 | | | | 67,011 | |
FedEx Corp. | | | | | | | 743 | | | | 192,170 | |
InPost SA(a) | | | | | | | 587 | | | | 7,083 | |
Kuehne & Nagel International AG | | | | | | | 160 | | | | 51,529 | |
SG Holdings Co., Ltd. | | | | | | | 852 | | | | 19,978 | |
United Parcel Service, Inc.–Class B | | | | | | | 2,139 | | | | 458,473 | |
16
| | |
| |
| | | AB Variable Products Series Fund |
| | | | | | | | | | | | |
| Company | | Shares | | | U.S. $ Value | |
| | | | | | | | | | | | |
Yamato Holdings Co., Ltd. | | | | | | | 796 | | | $ | 18,699 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 1,183,245 | |
| | | | | | | | | | | | |
AIRLINES–0.0% | | | | | | | | | | | | |
Air Canada(a)(b) | | | | | | | 514 | | | | 8,586 | |
ANA Holdings, Inc.(a) | | | | | | | 395 | | | | 8,257 | |
Delta Air Lines, Inc.(a) | | | | | | | 469 | | | | 18,329 | |
Deutsche Lufthansa AG(a) | | | | | | | 1,755 | | | | 12,288 | |
Japan Airlines Co., Ltd.(a) | | | | | | | 358 | | | | 6,796 | |
Qantas Airways Ltd.(a) | | | | | | | 2,713 | | | | 9,897 | |
Singapore Airlines Ltd.(a)(b) | | | | | | | 2,936 | | | | 10,886 | |
Southwest Airlines Co.(a) | | | | | | | 434 | | | | 18,593 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 93,632 | |
| | | | | | | | | | | | |
BUILDING PRODUCTS–0.4% | | | | | | | | | | | | |
A O Smith Corp. | | | | | | | 391 | | | | 33,567 | |
AGC, Inc.(b) | | | | | | | 522 | | | | 24,938 | |
Allegion PLC | | | | | | | 263 | | | | 34,832 | |
Assa Abloy AB–Class B | | | | | | | 2,943 | | | | 89,705 | |
Carrier Global Corp. | | | | | | | 2,420 | | | | 131,261 | |
Cie de Saint-Gobain | | | | | | | 1,485 | | | | 104,465 | |
Daikin Industries Ltd. | | | | | | | 719 | | | | 162,867 | |
Fortune Brands Home & Security, Inc. | | | | | | | 405 | | | | 43,295 | |
Geberit AG | | | | | | | 106 | | | | 86,404 | |
Johnson Controls International PLC | | | | | | | 2,091 | | | | 170,019 | |
Kingspan Group PLC | | | | | | | 452 | | | | 53,917 | |
Lennox International, Inc. | | | | | | | 98 | | | | 31,787 | |
Lixil Corp. | | | | | | | 772 | | | | 20,595 | |
Masco Corp. | | | | | | | 725 | | | | 50,909 | |
Nibe Industrier AB | | | | | | | 4,188 | | | | 63,280 | |
Otis Worldwide Corp. | | | | | | | 1,190 | | | | 103,613 | |
Owens Corning | | | | | | | 302 | | | | 27,331 | |
ROCKWOOL International A/S | | | | | | | 25 | | | | 10,917 | |
TOTO Ltd. | | | | | | | 361 | | | | 16,656 | |
Xinyi Glass Holdings Ltd. | | | | | | | 5,186 | | | | 12,990 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 1,273,348 | |
| | | | | | | | | | | | |
COMMERCIAL SERVICES & SUPPLIES–0.3% | | | | | | | | | | | | |
Brambles Ltd. | | | | | | | 4,233 | | | | 32,748 | |
Cintas Corp. | | | | | | | 272 | | | | 120,542 | |
Copart, Inc.(a) | | | | | | | 625 | | | | 94,762 | |
Dai Nippon Printing Co., Ltd. | | | | | | | 566 | | | | 14,244 | |
GFL Environmental, Inc. | | | | | | | 463 | | | | 17,507 | |
Rentokil Initial PLC | | | | | | | 5,459 | | | | 43,212 | |
Republic Services, Inc.–Class A | | | | | | | 654 | | | | 91,200 | |
Ritchie Bros Auctioneers, Inc. | | | | | | | 324 | | | | 19,828 | |
Rollins, Inc. | | | | | | | 650 | | | | 22,237 | |
Secom Co., Ltd. | | | | | | | 570 | | | | 39,607 | |
Securitas AB–Class B | | | | | | | 919 | | | | 12,642 | |
Sohgo Security Services Co., Ltd. | | | | | | | 136 | | | | 5,404 | |
| | | | | | | | | | | | |
| Company | | Shares | | | U.S. $ Value | |
| | | | | | | | | | | | |
TOPPAN, Inc. | | | | | | | 736 | | | $ | 13,812 | |
Waste Connections, Inc. | | | | | | | 765 | | | | 104,247 | |
Waste Management, Inc. | | | | | | | 1,236 | | | | 206,288 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 838,280 | |
| | | | | | | | | | | | |
CONSTRUCTION & ENGINEERING–0.2% | | | | | | | | | | | | |
ACS Actividades de Construccion y Servicios SA(b) | | | | | | | 720 | | | | 19,196 | |
Bouygues SA | | | | | | | 671 | | | | 24,019 | |
Eiffage SA | | | | | | | 244 | | | | 25,157 | |
Epiroc AB–Class A | | | | | | | 1,935 | | | | 48,928 | |
Epiroc AB–Class B | | | | | | | 1,145 | | | | 24,214 | |
Ferrovial SA(b) | | | | | | | 1,436 | | | | 44,909 | |
Kajima Corp. | | | | | | | 1,303 | | | | 14,975 | |
Obayashi Corp. | | | | | | | 1,884 | | | | 14,581 | |
Shimizu Corp. | | | | | | | 1,617 | | | | 10,026 | |
Skanska AB–Class B | | | | | | | 998 | | | | 25,789 | |
Taisei Corp. | | | | | | | 500 | | | | 15,205 | |
Vinci SA | | | | | | | 1,579 | | | | 166,766 | |
WSP Global, Inc. | | | | | | | 345 | | | | 50,083 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 483,848 | |
| | | | | | | | | | | | |
ELECTRICAL EQUIPMENT–0.6% | | | | | | | | | | | | |
ABB Ltd. | | | | | | | 4,823 | | | | 183,818 | |
AMETEK, Inc. | | | | | | | 679 | | | | 99,840 | |
Ballard Power Systems, Inc.(a)(b) | | | | | | | 699 | | | | 8,781 | |
Eaton Corp. PLC | | | | | | | 1,170 | | | | 202,199 | |
Emerson Electric Co. | | | | | | | 1,755 | | | | 163,162 | |
Fuji Electric Co., Ltd. | | | | | | | 330 | | | | 18,027 | |
Generac Holdings, Inc.(a) | | | | | | | 186 | | | | 65,457 | |
Legrand SA | | | | | | | 785 | | | | 91,940 | |
Mitsubishi Electric Corp. | | | | | | | 5,358 | | | | 68,009 | |
Nidec Corp. | | | | | | | 1,283 | | | | 151,772 | |
Plug Power, Inc.(a)(b) | | | | | | | 1,517 | | | | 42,825 | |
Prysmian SpA | | | | | | | 748 | | | | 28,137 | |
Rockwell Automation, Inc. | | | | | | | 341 | | | | 118,958 | |
Schneider Electric SE | | | | | | | 1,587 | | | | 311,997 | |
Sensata Technologies Holding PLC(a) | | | | | | | 465 | | | | 28,686 | |
Siemens Energy AG(a) | | | | | | | 1,173 | | | | 29,928 | |
Siemens Gamesa Renewable Energy SA(a)(b) | | | | | | | 700 | | | | 16,624 | |
Sunrun, Inc.(a)(b) | | | | | | | 513 | | | | 17,596 | |
Vestas Wind Systems A/S | | | | | | | 2,965 | | | | 90,299 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 1,738,055 | |
| | | | | | | | | | | | |
INDUSTRIAL CONGLOMERATES–0.7% | | | | | | | | | | | | |
3M Co. | | | | | | | 1,699 | | | | 301,793 | |
CK Hutchison Holdings Ltd. | | | | | | | 7,047 | | | | 45,372 | |
DCC PLC | | | | | | | 289 | | | | 23,659 | |
General Electric Co. | | | | | | | 3,223 | | | | 304,477 | |
Hitachi Ltd. | | | | | | | 2,822 | | | | 152,877 | |
Honeywell International, Inc. | | | | | | | 2,027 | | | | 422,650 | |
17
| | |
| DYNAMIC ASSET ALLOCATION PORTFOLIO |
| PORTFOLIO OF INVESTMENTS | | |
| |
| (continued) | | AB Variable Products Series Fund |
| | | | | | | | | | | | |
| Company | | Shares | | | U.S. $ Value | |
| | | | | | | | | | | | |
Investment AB Latour–Class B(b) | | | | | | | 434 | | | $ | 17,633 | |
Jardine Matheson Holdings Ltd. | | | | | | | 940 | | | | 51,688 | |
Keppel Corp., Ltd.(b) | | | | | | | 3,974 | | | | 15,113 | |
Lifco AB | | | | | | | 684 | | | | 20,430 | |
Melrose Industries PLC | | | | | | | 12,839 | | | | 27,922 | |
Roper Technologies, Inc. | | | | | | | 310 | | | | 152,477 | |
Siemens AG | | | | | | | 2,246 | | | | 389,013 | |
Smiths Group PLC | | | | | | | 1,163 | | | | 24,894 | |
Toshiba Corp. | | | | | | | 1,145 | | | | 47,115 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 1,997,113 | |
| | | | | | | | | | | | |
MACHINERY–1.2% | | | | | | | | | | | | |
Alfa Laval AB | | | | | | | 923 | | | | 37,076 | |
Alstom SA | | | | | | | 931 | | | | 33,060 | |
Atlas Copco AB–Class A | | | | | | | 1,971 | | | | 136,198 | |
Atlas Copco AB–Class B | | | | | | | 1,145 | | | | 67,257 | |
Caterpillar, Inc. | | | | | | | 1,608 | | | | 332,438 | |
CNH Industrial NV | | | | | | | 3,004 | | | | 58,080 | |
Cummins, Inc. | | | | | | | 422 | | | | 92,055 | |
Daifuku Co., Ltd. | | | | | | | 202 | | | | 16,518 | |
Daimler Truck Holding AG(a) | | | | | | | 1,256 | | | | 46,173 | |
Deere & Co. | | | | | | | 865 | | | | 296,600 | |
Dover Corp. | | | | | | | 423 | | | | 76,817 | |
FANUC Corp. | | | | | | | 608 | | | | 129,238 | |
Fortive Corp. | | | | | | | 999 | | | | 76,214 | |
GEA Group AG | | | | | | | 450 | | | | 24,579 | |
Hino Motors Ltd. | | | | | | | 759 | | | | 6,259 | |
Hitachi Construction Machinery Co., Ltd. | | | | | | | 258 | | | | 7,455 | |
Hoshizaki Corp. | | | | | | | 151 | | | | 11,361 | |
Husqvarna AB–Class B | | | | | | | 1,228 | | | | 19,634 | |
IDEX Corp. | | | | | | | 223 | | | | 52,699 | |
Illinois Tool Works, Inc. | | | | | | | 925 | | | | 228,290 | |
Ingersoll Rand, Inc. | | | | | | | 1,189 | | | | 73,563 | |
KION Group AG | | | | | | | 212 | | | | 23,156 | |
Knorr-Bremse AG | | | | | | | 213 | | | | 21,037 | |
Komatsu Ltd. | | | | | | | 2,500 | | | | 58,465 | |
Kone Oyj–Class B | | | | | | | 998 | | | | 71,615 | |
Kornit Digital Ltd.(a) | | | | | | | 136 | | | | 20,706 | |
Kubota Corp. | | | | | | | 2,951 | | | | 65,619 | |
Kurita Water Industries Ltd. | | | | | | | 279 | | | | 13,227 | |
Makita Corp. | | | | | | | 595 | | | | 25,257 | |
MINEBEA MITSUMI, Inc. | | | | | | | 1,033 | | | | 29,351 | |
MISUMI Group, Inc. | | | | | | | 830 | | | | 34,098 | |
Mitsubishi Heavy Industries Ltd. | | | | | | | 855 | | | | 19,768 | |
Miura Co., Ltd. | | | | | | | 181 | | | | 6,231 | |
NGK Insulators Ltd. | | | | | | | 696 | | | | 11,780 | |
Nordson Corp. | | | | | | | 154 | | | | 39,312 | |
PACCAR, Inc. | | | | | | | 1,019 | | | | 89,937 | |
Parker-Hannifin Corp. | | | | | | | 379 | | | | 120,567 | |
Pentair PLC | | | | | | | 487 | | | | 35,566 | |
Rational AG | | | | | | | 15 | | | | 15,341 | |
Sandvik AB | | | | | | | 3,315 | | | | 92,401 | |
Schindler Holding AG | | | | | | | 120 | | | | 32,212 | |
| | | | | | | | | | | | |
| Company | | Shares | | | U.S. $ Value | |
| | | | | | | | | | | | |
Schindler Holding AG (REG) | | | | | | | 59 | | | $ | 15,767 | |
SKF AB–Class B | | | | | | | 1,122 | | | | 26,535 | |
SMC Corp. | | | | | | | 210 | | | | 141,930 | |
Snap-on, Inc. | | | | | | | 159 | | | | 34,245 | |
Spirax-Sarco Engineering PLC | | | | | | | 217 | | | | 47,226 | |
Stanley Black & Decker, Inc. | | | | | | | 479 | | | | 90,349 | |
Techtronic Industries Co., Ltd. | | | | | | | 3,244 | | | | 64,669 | |
Toyota Industries Corp. | | | | | | | 406 | | | | 32,477 | |
Trane Technologies PLC | | | | | | | 698 | | | | 141,017 | |
VAT Group AG(c) | | | | | | | 80 | | | | 39,642 | |
Volvo AB | | | | | | | 587 | | | | 13,769 | |
Volvo AB–Class B | | | | | | | 4,197 | | | | 97,062 | |
Wartsila Oyj Abp | | | | | | | 1,390 | | | | 19,496 | |
Westinghouse Air Brake Technologies Corp. | | | | | | | 527 | | | | 48,542 | |
Xylem, Inc./NY | | | | | | | 529 | | | | 63,438 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 3,523,374 | |
| | | | | | | | | | | | |
MARINE–0.0% | | | | | | | | | | | | |
AP Moller–Maersk A/S–Class A | | | | | | | 10 | | | | 33,176 | |
AP Moller–Maersk A/S–Class B | | | | | | | 17 | | | | 60,678 | |
Nippon Yusen KK | | | | | | | 463 | | | | 35,305 | |
SITC International Holdings Co., Ltd. | | | | | | | 3,000 | | | | 10,850 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 140,009 | |
| | | | | | | | | | | | |
PROFESSIONAL SERVICES–0.5% | | | | | | | | | | | | |
Adecco Group AG | | | | | | | 455 | | | | 23,186 | |
Benefit One, Inc. | | | | | | | 200 | | | | 8,593 | |
Booz Allen Hamilton Holding Corp. | | | | | | | 396 | | | | 33,577 | |
Bureau Veritas SA | | | | | | | 863 | | | | 28,651 | |
Clarivate PLC(a) | | | | | | | 1,033 | | | | 24,296 | |
CoStar Group, Inc.(a) | | | | | | | 1,159 | | | | 91,596 | |
Equifax, Inc. | | | | | | | 358 | | | | 104,819 | |
Experian PLC | | | | | | | 2,707 | | | | 133,336 | |
Intertek Group PLC | | | | | | | 473 | | | | 36,084 | |
Jacobs Engineering Group, Inc. | | | | | | | 383 | | | | 53,325 | |
Leidos Holdings, Inc. | | | | | | | 394 | | | | 35,027 | |
Nihon M&A Center Holdings, Inc. | | | | | | | 797 | | | | 19,550 | |
Persol Holdings Co., Ltd. | | | | | | | 481 | | | | 13,984 | |
Randstad NV | | | | | | | 351 | | | | 23,944 | |
Recruit Holdings Co., Ltd. | | | | | | | 3,886 | | | | 236,485 | |
RELX PLC (London) | | | | | | | 5,678 | | | | 185,369 | |
Robert Half International, Inc. | | | | | | | 329 | | | | 36,690 | |
SGS SA | | | | | | | 18 | | | | 60,006 | |
Teleperformance | | | | | | | 173 | | | | 77,344 | |
Thomson Reuters Corp. | | | | | | | 509 | | | | 60,869 | |
TransUnion | | | | | | | 562 | | | | 66,642 | |
18
| | |
| |
| | | AB Variable Products Series Fund |
| | | | | | | | | | | | |
| Company | | Shares | | | U.S. $ Value | |
| | | | | | | | | | | | |
Verisk Analytics, Inc.–Class A | | | | | | | 450 | | | $ | 102,928 | |
Wolters Kluwer NV | | | | | | | 785 | | | | 92,395 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 1,548,696 | |
| | | | | | | | | | | | |
ROAD & RAIL–0.7% | | | | | | | | | | | | |
AMERCO | | | | | | | 29 | | | | 21,061 | |
Aurizon Holdings Ltd. | | | | | | | 5,404 | | | | 13,729 | |
Canadian National Railway Co. | | | | | | | 2,078 | | | | 255,251 | |
Canadian Pacific Railway Ltd.(b) | | | | | | | 2,728 | | | | 196,221 | |
Central Japan Railway Co. | | | | | | | 384 | | | | 51,100 | |
CSX Corp. | | | | | | | 6,620 | | | | 248,912 | |
East Japan Railway Co. | | | | | | | 793 | | | | 48,750 | |
Hankyu Hanshin Holdings, Inc. | | | | | | | 638 | | | | 18,131 | |
JB Hunt Transport Services, Inc. | | | | | | | 247 | | | | 50,487 | |
Keio Corp. | | | | | | | 216 | | | | 9,530 | |
Keisei Electric Railway Co., Ltd. | | | | | | | 351 | | | | 9,495 | |
Kintetsu Group Holdings Co., Ltd.(a) | | | | | | | 428 | | | | 11,965 | |
Knight-Swift Transportation Holdings, Inc. | | | | | | | 462 | | | | 28,154 | |
Lyft, Inc.(a) | | | | | | | 766 | | | | 32,731 | |
MTR Corp., Ltd. | | | | | | | 3,764 | | | | 20,205 | |
Nippon Express Co., Ltd.(a)(d)(e) | | | | | | | 141 | | | | 8,301 | |
Norfolk Southern Corp. | | | | | | | 725 | | | | 215,840 | |
Odakyu Electric Railway Co., Ltd. | | | | | | | 826 | | | | 15,357 | |
Old Dominion Freight Line, Inc. | | | | | | | 289 | | | | 103,572 | |
TFI International, Inc. | | | | | | | 246 | | | | 27,590 | |
Tobu Railway Co., Ltd. | | | | | | | 482 | | | | 10,999 | |
Tokyu Corp. | | | | | | | 1,453 | | | | 19,316 | |
Uber Technologies, Inc.(a) | | | | | | | 3,596 | | | | 150,780 | |
Union Pacific Corp. | | | | | | | 1,915 | | | | 482,446 | |
West Japan Railway Co. | | | | | | | 548 | | | | 22,919 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 2,072,842 | |
| | | | | | | | | | | | |
TRADING COMPANIES & DISTRIBUTORS–0.3% | | | | | | | | | | | | |
Ashtead Group PLC | | | | | | | 1,313 | | | | 105,847 | |
Brenntag SE | | | | | | | 453 | | | | 40,908 | |
Bunzl PLC | | | | | | | 990 | | | | 38,675 | |
Fastenal Co. | | | | | | | 1,687 | | | | 108,069 | |
Ferguson PLC | | | | | | | 653 | | | | 115,990 | |
ITOCHU Corp. | | | | | | | 3,401 | | | | 104,050 | |
Marubeni Corp. | | | | | | | 4,508 | | | | 43,921 | |
Mitsubishi Corp. | | | | | | | 3,611 | | | | 114,661 | |
Mitsui & Co., Ltd. | | | | | | | 4,531 | | | | 107,375 | |
MonotaRO Co., Ltd.(b) | | | | | | | 732 | | | | 13,166 | |
Reece Ltd. | | | | | | | 853 | | | | 16,775 | |
Sumitomo Corp. | | | | | | | 3,289 | | | | 48,675 | |
Toromont Industries Ltd. | | | | | | | 242 | | | | 21,878 | |
Toyota Tsusho Corp. | | | | | | | 592 | | | | 27,289 | |
| | | | | | | | | | | | |
| Company | | Shares | | | U.S. $ Value | |
| | | | | | | | | | | | |
United Rentals, Inc.(a) | | | | | | | 213 | | | $ | 70,778 | |
WW Grainger, Inc. | | | | | | | 130 | | | | 67,371 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 1,045,428 | |
| | | | | | | | | | | | |
TRANSPORTATION INFRASTRUCTURE–0.1% | | | | | | | | | | | | |
Aena SME SA(a)(b) | | | | | | | 220 | | | | 34,646 | |
Aeroports de Paris(a) | | | | | | | 87 | | | | 11,223 | |
Atlantia SpA(a) | | | | | | | 1,454 | | | | 28,850 | |
Auckland International Airport Ltd.(a) | | | | | | | 3,675 | | | | 19,345 | |
Getlink SE | | | | | | | 1,292 | | | | 21,398 | |
Sydney Airport(a)(b) | | | | | | | 3,882 | | | | 24,509 | |
Transurban Group | | | | | | | 8,955 | | | | 89,947 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 229,918 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 18,405,079 | |
| | | | | | | | | | | | |
COMMUNICATION SERVICES–5.0% | | | | | | | | | | | | |
DIVERSIFIED TELECOMMUNICATION SERVICES–1.1% | | | | | | | | | | | | |
AT&T, Inc. | | | | | | | 20,965 | | | | 515,739 | |
BCE, Inc. | | | | | | | 212 | | | | 11,030 | |
BT Group PLC(b) | | | | | | | 26,211 | | | | 60,298 | |
Cable One, Inc. | | | | | | | 16 | | | | 28,215 | |
Cellnex Telecom SA | | | | | | | 1,496 | | | | 86,660 | |
Charter Communications, Inc.–Class A(a)(b) | | | | | | | 378 | | | | 246,445 | |
Comcast Corp.–Class A | | | | | | | 13,449 | | | | 676,888 | |
Deutsche Telekom AG | | | | | | | 9,786 | | | | 180,821 | |
Elisa Oyj | | | | | | | 417 | | | | 25,677 | |
Eurazeo SE | | | | | | | 116 | | | | 10,120 | |
HKT Trust & HKT Ltd.–Class SS | | | | | | | 10,744 | | | | 14,436 | |
Infrastrutture Wireless Italiane SpA(b) | | | | | | | 986 | | | | 11,956 | |
Koninklijke KPN NV | | | | | | | 9,872 | | | | 30,683 | |
Liberty Global PLC(a) | | | | | | | 1,021 | | | | 28,680 | |
Liberty Global PLC–Class A(a) | | | | | | | 466 | | | | 12,927 | |
Lumen Technologies, Inc.(b) | | | | | | | 2,758 | | | | 34,613 | |
Nippon Telegraph & Telephone Corp. | | | | | | | 3,767 | | | | 103,021 | |
Orange SA | | | | | | | 5,858 | | | | 62,576 | |
Proximus SADP | | | | | | | 446 | | | | 8,710 | |
Quebecor, Inc.–Class B | | | | | | | 490 | | | | 11,059 | |
Shaw Communications, Inc.–Class B | | | | | | | 1,329 | | | | 40,334 | |
Singapore Telecommunications Ltd. | | | | | | | 23,733 | | | | 40,856 | |
Sirius XM Holdings, Inc.(b) | | | | | | | 2,973 | | | | 18,879 | |
Spark New Zealand Ltd. | | | | | | | 5,482 | | | | 16,953 | |
Swisscom AG | | | | | | | 76 | | | | 42,873 | |
Telecom Italia SpA/Milano | | | | | | | 29,258 | | | | 14,394 | |
Telefonica Deutschland Holding AG | | | | | | | 3,057 | | | | 8,480 | |
Telefonica SA(b) | | | | | | | 15,724 | | | | 68,184 | |
Telenor ASA | | | | | | | 2,054 | | | | 32,287 | |
19
| | |
| DYNAMIC ASSET ALLOCATION PORTFOLIO |
| PORTFOLIO OF INVESTMENTS | | |
| |
| (continued) | | AB Variable Products Series Fund |
| | | | | | | | | | | | |
| Company | | Shares | | | U.S. $ Value | |
| | | | | | | | | | | | |
Telia Co. AB(b) | | | | | | | 7,805 | | | $ | 30,525 | |
Telstra Corp., Ltd. | | | | | | | 12,223 | | | | 37,148 | |
TELUS Corp. | | | | | | | 1,312 | | | | 30,898 | |
United Internet AG | | | | | | | 284 | | | | 11,260 | |
Verizon Communications, Inc. | | | | | | | 12,156 | | | | 631,626 | |
Washington H Soul Pattinson & Co., Ltd.(b) | | | | | | | 635 | | | | 13,686 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 3,198,937 | |
| | | | | | | | | | | | |
ENTERTAINMENT–0.8% | | | | | | | | | | | | |
Activision Blizzard, Inc. | | | | | | | 2,283 | | | | 151,888 | |
AMC Entertainment Holdings, Inc.–Class A(a) | | | | | | | 1,507 | | | | 40,990 | |
Bollore SA | | | | | | | 2,596 | | | | 14,521 | |
Capcom Co., Ltd. | | | | | | | 468 | | | | 11,022 | |
Electronic Arts, Inc. | | | | | | | 835 | | | | 110,137 | |
Embracer Group AB(a)(b) | | | | | | | 1,392 | | | | 14,768 | |
Koei Tecmo Holdings Co., Ltd. | | | | | | | 123 | | | | 4,830 | |
Konami Holdings Corp. | | | | | | | 230 | | | | 11,040 | |
Liberty Media Corp.-Liberty Formula One–Class C(a) | | | | | | | 567 | | | | 35,857 | |
Live Nation Entertainment, Inc.(a)(b) | | | | | | | 482 | | | | 57,691 | |
Netflix, Inc.(a) | | | | | | | 1,300 | | | | 783,172 | |
Nexon Co., Ltd. | | | | | | | 1,440 | | | | 27,844 | |
Nintendo Co., Ltd. | | | | | | | 326 | | | | 152,521 | |
Roku, Inc.(a)(b) | | | | | | | 342 | | | | 78,044 | |
Sea Ltd. (ADR)(a) | | | | | | | 381 | | | | 85,234 | |
Square Enix Holdings Co., Ltd. | | | | | | | 218 | | | | 11,183 | |
Take-Two Interactive Software, Inc.(a) | | | | | | | 342 | | | | 60,780 | |
Toho Co., Ltd./Tokyo | | | | | | | 296 | | | | 12,667 | |
Ubisoft Entertainment SA(a) | | | | | | | 272 | | | | 13,268 | |
Universal Music Group NV | | | | | | | 2,129 | | | | 60,063 | |
Walt Disney Co., (The)(a) | | | | | | | 5,336 | | | | 826,493 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 2,564,013 | |
| | | | | | | | | | | | |
INTERACTIVE MEDIA & SERVICES–2.6% | | | | | | | | | | | | |
Adevinta ASA–Class B(a) | | | | | | | 754 | | | | 10,016 | |
Alphabet, Inc.–Class A(a) | | | | | | | 885 | | | | 2,563,880 | |
Alphabet, Inc.–Class C(a) | | | | | | | 847 | | | | 2,450,871 | |
Auto Trader Group PLC | | | | | | | 2,815 | | | | 28,192 | |
IAC/InterActiveCorp.(a) | | | | | | | 233 | | | | 30,455 | |
Kakaku.com, Inc. | | | | | | | 296 | | | | 7,913 | |
Match Group, Inc.(a) | | | | | | | 772 | | | | 102,097 | |
Meta Platforms, Inc.–Class A(a) | | | | | | | 7,000 | | | | 2,354,450 | |
Pinterest, Inc.–Class A(a) | | | | | | | 1,630 | | | | 59,251 | |
REA Group Ltd. | | | | | | | 155 | | | | 18,901 | |
Scout24 SE | | | | | | | 256 | | | | 17,876 | |
SEEK Ltd. | | | | | | | 986 | | | | 23,506 | |
Snap, Inc.–Class A(a) | | | | | | | 3,114 | | | | 146,451 | |
Twitter, Inc.(a) | | | | | | | 2,343 | | | | 101,264 | |
Z Holdings Corp. | | | | | | | 7,835 | | | | 45,208 | |
| | | | | | | | | | | | |
| Company | | Shares | | | U.S. $ Value | |
| | | | | | | | | | | | |
ZoomInfo Technologies, Inc.(a) | | | | | | | 660 | | | $ | 42,372 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 8,002,703 | |
| | | | | | | | | | | | |
MEDIA–0.2% | | | | | | | | | | | | |
CyberAgent, Inc. | | | | | | | 1,104 | | | | 18,403 | |
Dentsu Group, Inc.(b) | | | | | | | 626 | | | | 22,281 | |
Discovery, Inc.–Class A(a) | | | | | | | 496 | | | | 11,676 | |
Discovery, Inc.–Class C(a) | | | | | | | 920 | | | | 21,068 | |
DISH Network Corp.–Class A(a)(b) | | | | | | | 722 | | | | 23,422 | |
Fox Corp.–Class A | | | | | | | 949 | | | | 35,018 | |
Fox Corp.–Class B | | | | | | | 442 | | | | 15,147 | |
Hakuhodo DY Holdings, Inc. | | | | | | | 681 | | | | 11,332 | |
Informa PLC(a) | | | | | | | 4,413 | | | | 30,898 | |
Interpublic Group of Cos., Inc. (The) | | | | | | | 1,155 | | | | 43,255 | |
Liberty Broadband Corp.(a) | | | | | | | 500 | | | | 80,536 | |
Liberty Media Corp.-Liberty SiriusXM–Class A(a) | | | | | | | 243 | | | | 12,356 | |
Liberty Media Corp.-Liberty SiriusXM–Class C(a) | | | | | | | 495 | | | | 25,171 | |
News Corp.–Class A | | | | | | | 1,148 | | | | 25,612 | |
Omnicom Group, Inc. | | | | | | | 629 | | | | 46,087 | |
Pearson PLC | | | | | | | 2,221 | | | | 18,425 | |
Publicis Groupe SA | | | | | | | 669 | | | | 45,073 | |
Schibsted ASA | | | | | | | 214 | | | | 8,251 | |
Schibsted ASA–Class B | | | | | | | 285 | | | | 9,612 | |
ViacomCBS, Inc.–Class B | | | | | | | 1,778 | | | | 53,660 | |
Vivendi SE | | | | | | | 2,278 | | | | 30,814 | |
WPP PLC | | | | | | | 3,501 | | | | 53,312 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 641,409 | |
| | | | | | | | | | | | |
WIRELESS TELECOMMUNICATION SERVICES–0.3% | | | | | | | | | | | | |
KDDI Corp. | | | | | | | 4,668 | | | | 136,510 | |
Rogers Communications, Inc.–Class B | | | | | | | 1,040 | | | | 49,519 | |
SoftBank Corp. | | | | | | | 8,387 | | | | 105,933 | |
SoftBank Group Corp. | | | | | | | 3,462 | | | | 165,969 | |
T-Mobile US, Inc.(a) | | | | | | | 1,832 | | | | 212,475 | |
Tele2 AB–Class B | | | | | | | 1,470 | | | | 20,970 | |
Vodafone Group PLC | | | | | | | 81,205 | | | | 122,314 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 813,690 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 15,220,752 | |
| | | | | | | | | | | | |
CONSUMER STAPLES–4.2% | | | | | | | | | | | | |
BEVERAGES–0.9% | | | | | | | | | | | | |
Anheuser-Busch InBev SA/NV | | | | | | | 2,237 | | | | 134,869 | |
Asahi Group Holdings Ltd. | | | | | | | 1,264 | | | | 49,206 | |
Brown-Forman Corp.–Class B | | | | | | | 909 | | | | 66,230 | |
Budweiser Brewing Co. APAC Ltd.(c) | | | | | | | 4,337 | | | | 11,402 | |
Carlsberg AS–Class B | | | | | | | 295 | | | | 50,931 | |
Coca-Cola Co., (The) | | | | | | | 12,050 | | | | 713,480 | |
20
| | |
| |
| | | AB Variable Products Series Fund |
| | | | | | | | | | | | |
| Company | | Shares | | | U.S. $ Value | |
| | | | | | | | | | | | |
Coca-Cola Europacific Partners PLC | | | | | | | 602 | | | $ | 33,670 | |
Coca-Cola HBC AG(a) | | | | | | | 589 | | | | 20,394 | |
Constellation Brands, Inc.–Class A | | | | | | | 494 | | | | 123,979 | |
Davide Campari-Milano NV | | | | | | | 1,534 | | | | 22,384 | |
Diageo PLC | | | | | | | 6,853 | | | | 374,695 | |
Heineken Holding NV(b) | | | | | | | 338 | | | | 31,165 | |
Heineken NV(b) | | | | | | | 761 | | | | 85,643 | |
Ito En Ltd. | | | | | | | 76 | | | | 3,993 | |
Keurig Dr Pepper, Inc. | | | | | | | 2,081 | | | | 76,706 | |
Kirin Holdings Co., Ltd.(b) | | | | | | | 2,328 | | | | 37,497 | |
Molson Coors Beverage Co.–Class B | | | | | | | 559 | | | | 25,910 | |
Monster Beverage Corp.(a) | | | | | | | 1,164 | | | | 111,790 | |
PepsiCo, Inc. | | | | | | | 4,058 | | | | 704,915 | |
Pernod Ricard SA | | | | | | | 615 | | | | 147,955 | |
Remy Cointreau SA | | | | | | | 67 | | | | 16,286 | |
Suntory Beverage & Food Ltd. | | | | | | | 338 | | | | 12,240 | |
Treasury Wine Estates Ltd. | | | | | | | 2,119 | | | | 19,106 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 2,874,446 | |
| | | | | | | | | | | | |
FOOD & STAPLES RETAILING–0.9% | | | | | | | | | | | | |
Aeon Co., Ltd. | | | | | | | 1,825 | | | | 43,008 | |
Alimentation Couche Tard, Inc. | | | | | | | 2,394 | | | | 100,306 | |
Carrefour SA | | | | | | | 1,851 | | | | 33,935 | |
Coles Group Ltd. | | | | | | | 3,916 | | | | 51,096 | |
Cosmos Pharmaceutical Corp. | | | | | | | 78 | | | | 11,467 | |
Costco Wholesale Corp. | | | | | | | 1,298 | | | | 736,875 | |
Empire Co., Ltd.–Class A | | | | | | | 491 | | | | 14,960 | |
Endeavour Group Ltd./Australia | | | | | | | 3,938 | | | | 19,325 | |
Etablissements Franz Colruyt NV(b) | | | | | | | 159 | | | | 6,747 | |
George Weston Ltd. | | | | | | | 223 | | | | 25,855 | |
HelloFresh SE(a) | | | | | | | 485 | | | | 37,170 | |
J Sainsbury PLC | | | | | | | 5,134 | | | | 19,191 | |
Jeronimo Martins SGPS SA | | | | | | | 831 | | | | 19,017 | |
Kesko Oyj–Class B | | | | | | | 802 | | | | 26,731 | |
Kobe Bussan Co., Ltd. | | | | | | | 396 | | | | 15,332 | |
Koninklijke Ahold Delhaize NV | | | | | | | 3,070 | | | | 105,351 | |
Kroger Co. (The) | | | | | | | 2,084 | | | | 94,322 | |
Lawson, Inc. | | | | | | | 146 | | | | 6,928 | |
Loblaw Cos., Ltd. | | | | | | | 496 | | | | 40,638 | |
Metro, Inc./CN | | | | | | | 718 | | | | 38,212 | |
Ocado Group PLC(a) | | | | | | | 1,432 | | | | 32,580 | |
Seven & i Holdings Co., Ltd. | | | | | | | 2,212 | | | | 97,301 | |
Sysco Corp. | | | | | | | 1,502 | | | | 117,982 | |
Tesco PLC | | | | | | | 22,703 | | | | 89,383 | |
Tsuruha Holdings, Inc. | | | | | | | 130 | | | | 12,482 | |
Walgreens Boots Alliance, Inc. | | | | | | | 2,158 | | | | 112,561 | |
Walmart, Inc. | | | | | | | 4,525 | | | | 654,722 | |
| | | | | | | | | | | | |
| Company | | Shares | | | U.S. $ Value | |
| | | | | | | | | | | | |
Welcia Holdings Co., Ltd. | | | | | | | 240 | | | $ | 7,496 | |
Woolworths Group Ltd. | | | | | | | 3,722 | | | | 102,889 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 2,673,862 | |
| | | | | | | | | | | | |
FOOD PRODUCTS–0.9% | | | | | | | | | | | | |
Ajinomoto Co., Inc. | | | | | | | 1,358 | | | | 41,340 | |
Archer-Daniels-Midland Co. | | | | | | | 1,642 | | | | 110,983 | |
Associated British Foods PLC | | | | | | | 1,046 | | | | 28,633 | |
Barry Callebaut AG | | | | | | | 11 | | | | 26,704 | |
Bunge Ltd. | | | | | | | 416 | | | | 38,838 | |
Campbell Soup Co. | | | | | | | 578 | | | | 25,120 | |
Chocoladefabriken Lindt & Spruengli AG | | | | | | | 4 | | | | 55,443 | |
Chocoladefabriken Lindt & Spruengli AG (REG) | | | | | | | 1 | | | | 134,109 | |
Conagra Brands, Inc. | | | | | | | 1,410 | | | | 48,152 | |
Danone SA | | | | | | | 1,918 | | | | 119,222 | |
General Mills, Inc. | | | | | | | 1,780 | | | | 119,936 | |
Hershey Co., (The) | | | | | | | 427 | | | | 82,612 | |
Hormel Foods Corp.(b) | | | | | | | 875 | | | | 42,709 | |
JDE Peet’s NV(b) | | | | | | | 294 | | | | 9,100 | |
JM Smucker Co. (The) | | | | | | | 318 | | | | 43,191 | |
Kellogg Co. | | | | | | | 750 | | | | 48,315 | |
Kerry Group PLC–Class A | | | | | | | 467 | | | | 60,250 | |
Kikkoman Corp. | | | | | | | 395 | | | | 33,263 | |
Kraft Heinz Co. (The) | | | | | | | 1,975 | | | | 70,903 | |
McCormick & Co., Inc./MD | | | | | | | 731 | | | | 70,622 | |
MEIJI Holdings Co., Ltd. | | | | | | | 320 | | | | 19,102 | |
Mondelez International, Inc.–Class A | | | | | | | 4,104 | | | | 272,136 | |
Mowi ASA | | | | | | | 1,290 | | | | 30,530 | |
Nestle SA | | | | | | | 8,266 | | | | 1,154,076 | |
Nisshin Seifun Group, Inc. | | | | | | | 562 | | | | 8,108 | |
Nissin Foods Holdings Co., Ltd. | | | | | | | 164 | | | | 11,969 | |
Orkla ASA | | | | | | | 2,205 | | | | 22,102 | |
Saputo, Inc. | | | | | | | 728 | | | | 16,402 | |
Toyo Suisan Kaisha Ltd. | | | | | | | 190 | | | | 8,056 | |
Tyson Foods, Inc.–Class A | | | | | | | 865 | | | | 75,393 | |
WH Group Ltd. | | | | | | | 24,359 | | | | 15,291 | |
Wilmar International Ltd. | | | | | | | 5,113 | | | | 15,736 | |
Yakult Honsha Co., Ltd. | | | | | | | 342 | | | | 17,842 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 2,876,188 | |
| | | | | | | | | | | | |
HOUSEHOLD PRODUCTS–0.7% | | | | | | | | | | | | |
Church & Dwight Co., Inc. | | | | | | | 721 | | | | 73,903 | |
Clorox Co., (The) | | | | | | | 361 | | | | 62,944 | |
Colgate-Palmolive Co. | | | | | | | 2,353 | | | | 200,805 | |
Essity AB–Class B | | | | | | | 1,787 | | | | 58,301 | |
Henkel AG & Co. KGaA | | | | | | | 305 | | | | 23,775 | |
Henkel AG & Co. KGaA (Preference Shares) | | | | | | | 523 | | | | 42,201 | |
Kimberly-Clark Corp. | | | | | | | 989 | | | | 141,348 | |
Lion Corp. | | | | | | | 598 | | | | 7,994 | |
Procter & Gamble Co. (The) | | | | | | | 7,130 | | | | 1,166,325 | |
Reckitt Benckiser Group PLC | | | | | | | 2,097 | | | | 180,517 | |
21
| | |
| DYNAMIC ASSET ALLOCATION PORTFOLIO |
| PORTFOLIO OF INVESTMENTS | | |
| |
| (continued) | | AB Variable Products Series Fund |
| | | | | | | | | | | | |
| Company | | Shares | | | U.S. $ Value | |
| | | | | | | | | | | | |
Unicharm Corp. | | | | | | | 1,094 | | | $ | 47,597 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 2,005,710 | |
| | | | | | | | | | | | |
PERSONAL PRODUCTS–0.4% | | | | | | | | | | | | |
Beiersdorf AG | | | | | | | 296 | | | | 30,342 | |
Estee Lauder Cos., Inc. (The)–Class A | | | | | | | 685 | | | | 253,587 | |
Kao Corp. | | | | | | | 1,393 | | | | 72,957 | |
Kobayashi Pharmaceutical Co., Ltd. | | | | | | | 138 | | | | 10,855 | |
Kose Corp. | | | | | | | 96 | | | | 10,890 | |
L’Oreal SA | | | | | | | 737 | | | | 351,411 | |
Pola Orbis Holdings, Inc.(b) | | | | | | | 216 | | | | 3,600 | |
Shiseido Co., Ltd. | | | | | | | 1,163 | | | | 64,880 | |
Unilever PLC | | | | | | | 7,620 | | | | 408,786 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 1,207,308 | |
| | | | | | | | | | | | |
TOBACCO–0.4% | | | | | | | | | | | | |
Altria Group, Inc. | | | | | | | 5,414 | | | | 256,569 | |
British American Tobacco PLC | | | | | | | 6,400 | | | | 237,643 | |
Imperial Brands PLC | | | | | | | 2,779 | | | | 60,901 | |
Japan Tobacco, Inc.(b) | | | | | | | 3,490 | | | | 70,470 | |
Philip Morris International, Inc. | | | | | | | 4,576 | | | | 434,720 | |
Swedish Match AB(b) | | | | | | | 4,639 | | | | 36,828 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 1,097,131 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 12,734,645 | |
| | | | | | | | | | | | |
MATERIALS–2.5% | | | | | | | | | | | | |
CHEMICALS–1.4% | | | | | | | | | | | | |
Air Liquide SA | | | | | | | 1,391 | | | | 242,596 | |
Air Products and Chemicals, Inc. | | | | | | | 650 | | | | 197,769 | |
Akzo Nobel NV | | | | | | | 550 | | | | 60,426 | |
Albemarle Corp. | | | | | | | 344 | | | | 80,417 | |
Arkema SA | | | | | | | 180 | | | | 25,406 | |
Asahi Kasei Corp. | | | | | | | 3,675 | | | | 34,620 | |
BASF SE | | | | | | | 2,696 | | | | 189,220 | |
Celanese Corp.–Class A | | | | | | | 326 | | | | 54,788 | |
CF Industries Holdings, Inc. | | | | | | | 631 | | | | 44,662 | |
Chr Hansen Holding A/S | | | | | | | 309 | | | | 24,365 | |
Clariant AG(a)(b) | | | | | | | 633 | | | | 13,149 | |
Corteva, Inc. | | | | | | | 2,155 | | | | 101,888 | |
Covestro AG | | | | | | | 567 | | | | 34,898 | |
Croda International PLC | | | | | | | 410 | | | | 56,158 | |
Dow, Inc. | | | | | | | 2,189 | | | | 124,160 | |
DuPont de Nemours, Inc. | | | | | | | 1,535 | | | | 123,997 | |
Eastman Chemical Co. | | | | | | | 398 | | | | 48,122 | |
Ecolab, Inc. | | | | | | | 756 | | | | 177,350 | |
EMS-Chemie Holding AG | | | | | | | 21 | | | | 23,469 | |
Evonik Industries AG | | | | | | | 615 | | | | 19,868 | |
FMC Corp. | | | | | | | 378 | | | | 41,538 | |
Fuchs Petrolub SE | | | | | | | 204 | | | | 9,219 | |
Givaudan SA | | | | | | | 28 | | | | 146,905 | |
ICL Group Ltd. | | | | | | | 2,073 | | | | 19,967 | |
IMCD NV(b) | | | | | | | 167 | | | | 36,907 | |
| | | | | | | | | | | | |
| Company | | | | | Shares | | | U.S. $ Value | |
| | | | | | | | | | | | |
International Flavors & Fragrances, Inc. | | | | | | | 731 | | | $ | 110,125 | |
Johnson Matthey PLC | | | | | | | 568 | | | | 15,784 | |
JSR Corp. | | | | | | | 512 | | | | 19,458 | |
Kansai Paint Co., Ltd. | | | | | | | 478 | | | | 10,395 | |
Koninklijke DSM NV(b) | | | | | | | 513 | | | | 115,531 | |
LANXESS AG | | | | | | | 243 | | | | 15,027 | |
Linde PLC | | | | | | | 1,517 | | | | 525,534 | |
LyondellBasell Industries NV–Class A | | | | | | | 785 | | | | 72,401 | |
Mitsubishi Chemical Holdings Corp. | | | | | | | 3,705 | | | | 27,481 | |
Mitsubishi Gas Chemical Co., Inc. | | | | | | | 407 | | | | 6,899 | |
Mitsui Chemicals, Inc. | | | | | | | 540 | | | | 14,515 | |
Mosaic Co. (The) | | | | | | | 1,085 | | | | 42,630 | |
Nippon Paint Holdings Co., Ltd.(b) | | | | | | | 2,022 | | | | 22,082 | |
Nippon Sanso Holdings Corp. | | | | | | | 350 | | | | 7,655 | |
Nissan Chemical Corp. | | | | | | | 297 | | | | 17,274 | |
Nitto Denko Corp. | | | | | | | 414 | | | | 31,982 | |
Novozymes A/S–Class B | | | | | | | 603 | | | | 49,512 | |
Nutrien Ltd. | | | | | | | 1,675 | | | | 125,901 | |
Orica Ltd.(b) | | | | | | | 1,196 | | | | 11,927 | |
PPG Industries, Inc. | | | | | | | 697 | | | | 120,191 | |
RPM International, Inc. | | | | | | | 381 | | | | 38,481 | |
Sherwin-Williams Co., (The) | | | | | | | 735 | | | | 258,838 | |
Shin-Etsu Chemical Co., Ltd. | | | | | | | 1,029 | | | | 178,609 | |
Sika AG | | | | | | | 417 | | | | 173,312 | |
Solvay SA | | | | | | | 217 | | | | 25,228 | |
Sumitomo Chemical Co., Ltd. | | | | | | | 4,372 | | | | 20,618 | |
Symrise AG | | | | | | | 378 | | | | 55,904 | |
Toray Industries, Inc. | | | | | | | 4,053 | | | | 24,013 | |
Tosoh Corp. | | | | | | | 716 | | | | 10,637 | |
Umicore SA(b) | | | | | | | 578 | | | | 23,579 | |
Yara International ASA | | | | | | | 486 | | | | 24,503 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 4,127,890 | |
| | | | | | | | | | | | |
CONSTRUCTION MATERIALS–0.1% | | | | | | | | | | | | |
CRH PLC | | | | | | | 2,287 | | | | 121,074 | |
HeidelbergCement AG | | | | | | | 436 | | | | 29,507 | |
Holcim Ltd.(a) | | | | | | | 1,537 | | | | 78,170 | |
James Hardie Industries PLC | | | | | | | 1,307 | | | | 52,610 | |
Martin Marietta Materials, Inc. | | | | | | | 183 | | | | 80,615 | |
Vulcan Materials Co. | | | | | | | 390 | | | | 80,956 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 442,932 | |
| | | | | | | | | | | | |
CONTAINERS & PACKAGING–0.1% | | | | | | | | | | | | |
AMCOR PLC | | | | | | | 4,517 | | | | 54,249 | |
Avery Dennison Corp. | | | | | | | 243 | | | | 52,626 | |
Ball Corp. | | | | | | | 959 | | | | 92,323 | |
CCL Industries, Inc.–Class B(b) | | | | | | | 443 | | | | 23,755 | |
Crown Holdings, Inc. | | | | | | | 385 | | | | 42,589 | |
22
| | |
| |
| | | AB Variable Products Series Fund |
| | | | | | | | | | | | |
| Company | | | | | Shares | | | U.S. $ Value | |
| | | | | | | | | | | | |
International Paper Co. | | | | | | | 1,090 | | | $ | 51,208 | |
Packaging Corp. of America | | | | | | | 279 | | | | 37,986 | |
Sealed Air Corp. | | | | | | | 440 | | | | 29,687 | |
Smurfit Kappa Group PLC | | | | | | | 722 | | | | 39,794 | |
Westrock Co. | | | | | | | 784 | | | | 34,778 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 458,995 | |
| | | | | | | | | | | | |
METALS & MINING–0.8% | | | | | | | | | | | | |
Agnico Eagle Mines Ltd. | | | | | | | 715 | | | | 37,978 | |
Anglo American PLC | | | | | | | 3,794 | | | | 156,056 | |
Antofagasta PLC | | | | | | | 1,157 | | | | 21,043 | |
ArcelorMittal SA | | | | | | | 1,971 | | | | 63,227 | |
Barrick Gold Corp. (Toronto) | | | | | | | 5,224 | | | | 99,322 | |
BHP Group Ltd.(b) | | | | | | | 8,663 | | | | 261,551 | |
BHP Group PLC | | | | | | | 6,201 | | | | 184,509 | |
BlueScope Steel Ltd. | | | | | | | 1,479 | | | | 22,579 | |
Boliden AB | | | | | | | 803 | | | | 30,963 | |
Evolution Mining Ltd.(b) | | | | | | | 5,381 | | | | 15,964 | |
Evraz PLC | | | | | | | 1,499 | | | | 12,256 | |
First Quantum Minerals Ltd. | | | | | | | 1,724 | | | | 41,255 | |
Fortescue Metals Group Ltd. | | | | | | | 4,972 | | | | 69,890 | |
Franco-Nevada Corp. | | | | | | | 561 | | | | 77,585 | |
Freeport-McMoRan, Inc. | | | | | | | 4,310 | | | | 179,856 | |
Glencore PLC(a) | | | | | | | 29,321 | | | | 149,399 | |
Hitachi Metals Ltd.(a) | | | | | | | 610 | | | | 11,303 | |
Ivanhoe Mines Ltd.(a)(b) | | | | | | | 1,774 | | | | 14,473 | |
JFE Holdings, Inc. | | | | | | | 1,378 | | | | 17,581 | |
Kinross Gold Corp.(b) | | | | | | | 3,705 | | | | 21,499 | |
Kirkland Lake Gold Ltd. | | | | | | | 783 | | | | 32,813 | |
Lundin Mining Corp. | | | | | | | 1,946 | | | | 15,199 | |
Newcrest Mining Ltd. | | | | | | | 2,399 | | | | 42,966 | |
Newmont Corp. | | | | | | | 2,346 | | | | 145,499 | |
Nippon Steel Corp. | | | | | | | 2,495 | | | | 40,758 | |
Norsk Hydro ASA | | | | | | | 3,948 | | | | 31,065 | |
Northern Star Resources Ltd.(b) | | | | | | | 3,247 | | | | 22,331 | |
Nucor Corp.(b) | | | | | | | 862 | | | | 98,397 | |
Pan American Silver Corp.(b) | | | | | | | 617 | | | | 15,394 | |
Rio Tinto Ltd. | | | | | | | 1,090 | | | | 79,540 | |
Rio Tinto PLC | | | | | | | 3,297 | | | | 217,425 | |
South32 Ltd. | | | | | | | 13,726 | | | | 40,143 | |
Steel Dynamics, Inc. | | | | | | | 599 | | | | 37,180 | |
Sumitomo Metal Mining Co., Ltd. | | | | | | | 672 | | | | 25,452 | |
Teck Resources Ltd.–Class B | | | | | | | 1,386 | | | | 39,916 | |
voestalpine AG | | | | | | | 340 | | | | 12,336 | |
Wheaton Precious Metals Corp. | | | | | | | 1,322 | | | | 56,728 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 2,441,431 | |
| | | | | | | | | | | | |
PAPER & FOREST PRODUCTS–0.1% | | | | | | | | | | | | |
Mondi PLC | | | | | | | 1,425 | | | | 35,346 | |
Oji Holdings Corp. | | | | | | | 2,381 | | | | 11,536 | |
Stora Enso Oyj–Class R | | | | | | | 1,708 | | | | 31,347 | |
Svenska Cellulosa AB SCA–Class B | | | | | | | 1,779 | | | | 31,567 | |
UPM-Kymmene Oyj | | | | | | | 1,567 | | | | 59,622 | |
| | | | | | | | | | | | |
| Company | | | | | Shares | | | U.S. $ Value | |
| | | | | | | | | | | | |
West Fraser Timber Co., Ltd. | | | | | | | 280 | | | $ | 26,713 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 196,131 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 7,667,379 | |
| | | | | | | | | | | | |
ENERGY–1.9% | | | | | | | | | | | | |
ENERGY EQUIPMENT & SERVICES–0.1% | | | | | | | | | | | | |
Baker Hughes Co.–Class A | | | | | | | 2,432 | | | | 58,514 | |
Halliburton Co. | | | | | | | 2,614 | | | | 59,782 | |
Schlumberger NV | | | | | | | 4,106 | | | | 122,975 | |
Tenaris SA | | | | | | | 1,386 | | | | 14,465 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 255,736 | |
| | | | | | | | | | | | |
OIL, GAS & CONSUMABLE FUELS–1.8% | | | | | | | | | | | | |
Aker BP ASA | | | | | | | 370 | | | | 11,377 | |
Ampol Ltd. | | | | | | | 699 | | | | 15,093 | |
BP PLC | | | | | | | 59,082 | | | | 264,724 | |
Cameco Corp. | | | | | | | 1,167 | | | | 25,444 | |
Canadian Natural Resources Ltd. | | | | | | | 3,479 | | | | 147,004 | |
Cenovus Energy, Inc. | | | | | | | 3,850 | | | | 47,206 | |
Cheniere Energy, Inc. | | | | | | | 707 | | | | 71,704 | |
Chevron Corp. | | | | | | | 5,678 | | | | 666,313 | |
ConocoPhillips | | | | | | | 3,932 | | | | 283,812 | |
Coterra Energy, Inc. | | | | | | | 2,266 | | | | 43,054 | |
Devon Energy Corp. | | | | | | | 1,888 | | | | 83,166 | |
Diamondback Energy, Inc. | | | | | | | 505 | | | | 54,464 | |
Enbridge, Inc. | | | | | | | 5,948 | | | | 232,334 | |
ENEOS Holdings, Inc. | | | | | | | 8,937 | | | | 33,387 | |
Eni SpA | | | | | | | 7,411 | | | | 102,996 | |
EOG Resources, Inc. | | | | | | | 1,714 | | | | 152,255 | |
Equinor ASA | | | | | | | 2,869 | | | | 75,969 | |
Exxon Mobil Corp. | | | | | | | 12,431 | | | | 760,653 | |
Galp Energia SGPS SA | | | | | | | 1,471 | | | | 14,273 | |
Hess Corp. | | | | | | | 818 | | | | 60,557 | |
Idemitsu Kosan Co., Ltd. | | | | | | | 524 | | | | 13,372 | |
Imperial Oil Ltd.(b) | | | | | | | 724 | | | | 26,111 | |
Inpex Corp.(b) | | | | | | | 2,918 | | | | 25,374 | |
Keyera Corp.(b) | | | | | | | 649 | | | | 14,638 | |
Kinder Morgan, Inc. | | | | | | | 5,989 | | | | 94,986 | |
Lundin Energy AB | | | | | | | 587 | | | | 21,005 | |
Marathon Petroleum Corp. | | | | | | | 1,873 | | | | 119,853 | |
Neste Oyj | | | | | | | 1,242 | | | | 61,126 | |
Occidental Petroleum Corp. | | | | | | | 2,741 | | | | 79,462 | |
OMV AG | | | | | | | 432 | | | | 24,431 | |
ONEOK, Inc. | | | | | | | 1,308 | | | | 76,858 | |
Parkland Corp.(b) | | | | | | | 445 | | | | 12,232 | |
Pembina Pipeline Corp.(b) | | | | | | | 1,614 | | | | 48,958 | |
Phillips 66 | | | | | | | 1,286 | | | | 93,184 | |
Pioneer Natural Resources Co. | | | | | | | 681 | | | | 123,860 | |
Repsol SA | | | | | | | 4,260 | | | | 50,452 | |
Royal Dutch Shell PLC–Class A | | | | | | | 12,042 | | | | 263,893 | |
Royal Dutch Shell PLC–Class B | | | | | | | 10,811 | | | | 237,372 | |
Santos Ltd. | | | | | | | 9,140 | | | | 42,103 | |
23
| | |
| DYNAMIC ASSET ALLOCATION PORTFOLIO |
| PORTFOLIO OF INVESTMENTS | | |
| |
| (continued) | | AB Variable Products Series Fund |
| | | | | | | | | | | | |
| Company | | | | | Shares | | | U.S. $ Value | |
| | | | | | | | | | | | |
Suncor Energy, Inc. | | | | | | | 4,359 | | | $ | 109,065 | |
TC Energy Corp.(b) | | | | | | | 2,874 | | | | 133,663 | |
TotalEnergies SE | | | | | | | 7,365 | | | | 374,880 | |
Tourmaline Oil Corp. | | | | | | | 909 | | | | 29,348 | |
Valero Energy Corp. | | | | | | | 1,200 | | | | 90,132 | |
Williams Cos., Inc. (The) | | | | | | | 3,567 | | | | 92,885 | |
Woodside Petroleum Ltd.(b) | | | | | | | 2,829 | | | | 45,100 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 5,450,128 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 5,705,864 | |
| | | | | | | | | | | | |
REAL ESTATE–1.8% | | | | | | | | | | | | |
EQUITY REAL ESTATE INVESTMENT TRUSTS (REITs)–1.5% | | | | | | | | | | | | |
Alexandria Real Estate Equities, Inc. | | | | | | | 425 | | | | 94,758 | |
American Tower Corp. | | | | | | | 1,337 | | | | 391,072 | |
Ascendas Real Estate Investment Trust | | | | | | | 9,639 | | | | 21,119 | |
AvalonBay Communities, Inc. | | | | | | | 410 | | | | 103,562 | |
Boston Properties, Inc. | | | | | | | 435 | | | | 50,103 | |
British Land Co. PLC (The) | | | | | | | 2,585 | | | | 18,667 | |
Camden Property Trust | | | | | | | 295 | | | | 52,711 | |
Canadian Apartment Properties REIT | | | | | | | 248 | | | | 11,755 | |
CapitaLand Integrated Commercial Trust | | | | | | | 13,593 | | | | 20,566 | |
Covivio | | | | | | | 152 | | | | 12,477 | |
Crown Castle International Corp. | | | | | | | 1,269 | | | | 264,891 | |
Daiwa House REIT Investment Corp. | | | | | | | 18 | | | | 54,529 | |
Dexus | | | | | | | 3,158 | | | | 25,535 | |
Digital Realty Trust, Inc. | | | | | | | 830 | | | | 146,802 | |
Duke Realty Corp. | | | | | | | 1,110 | | | | 72,860 | |
Equinix, Inc. | | | | | | | 264 | | | | 223,302 | |
Equity LifeStyle Properties, Inc. | | | | | | | 512 | | | | 44,882 | |
Equity Residential | | | | | | | 1,044 | | | | 94,482 | |
Essex Property Trust, Inc. | | | | | | | 191 | | | | 67,276 | |
Extra Space Storage, Inc. | | | | | | | 393 | | | | 89,105 | |
Gecina SA | | | | | | | 135 | | | | 18,891 | |
GLP J-REIT | | | | | | | 36 | | | | 62,227 | |
Goodman Group | | | | | | | 4,882 | | | | 94,109 | |
GPT Group (The) | | | | | | | 5,624 | | | | 22,177 | |
Healthpeak Properties, Inc. | | | | | | | 1,582 | | | | 57,094 | |
Host Hotels & Resorts, Inc.(a) | | | | | | | 2,096 | | | | 36,449 | |
Invitation Homes, Inc. | | | | | | | 1,692 | | | | 76,715 | |
Iron Mountain, Inc.(b) | | | | | | | 849 | | | | 44,428 | |
Japan Metropolitan Fund Invest | | | | | | | 62 | | | | 53,413 | |
Japan Real Estate Investment Corp. | | | | | | | 12 | | | | 68,119 | |
Klepierre SA(a) | | | | | | | 596 | | | | 14,103 | |
Land Securities Group PLC | | | | | | | 2,068 | | | | 21,826 | |
Link REIT | | | | | | | 5,373 | | | | 47,332 | |
| | | | | | | | | | | | |
| Company | | | | | Shares | | | U.S. $ Value | |
| | | | | | | | | | | | |
Mapletree Commercial Trust(b)(d)(e) | | | | | | | 6,196 | | | $ | 9,196 | |
Mapletree Logistics Trust(b) | | | | | | | 9,093 | | | | 12,824 | |
Medical Properties Trust, Inc. | | | | | | | 1,749 | | | | 41,329 | |
Mid-America Apartment Communities, Inc. | | | | | | | 341 | | | | 78,239 | |
Mirvac Group | | | | | | | 11,577 | | | | 24,506 | |
Nippon Building Fund, Inc.(b) | | | | | | | 14 | | | | 81,545 | |
Nippon Prologis REIT, Inc. | | | | | | | 19 | | | | 67,160 | |
Nomura Real Estate Master Fund, Inc. | | | | | | | 38 | | | | 53,479 | |
Orix JREIT, Inc. | | | | | | | 23 | | | | 35,955 | |
Prologis, Inc. | | | | | | | 2,171 | | | | 365,510 | |
Public Storage | | | | | | | 463 | | | | 173,421 | |
Realty Income Corp. | | | | | | | 1,618 | | | | 115,833 | |
Regency Centers Corp. | | | | | | | 448 | | | | 33,757 | |
RioCan Real Estate Investment Trust | | | | | | | 456 | | | | 8,270 | |
SBA Communications Corp. | | | | | | | 322 | | | | 125,264 | |
Scentre Group | | | | | | | 15,240 | | | | 35,058 | |
Segro PLC | | | | | | | 3,524 | | | | 68,583 | |
Simon Property Group, Inc. | | | | | | | 965 | | | | 154,178 | |
Stockland | | | | | | | 7,009 | | | | 21,623 | |
Sun Communities, Inc. | | | | | | | 340 | | | | 71,390 | |
UDR, Inc. | | | | | | | 871 | | | | 52,251 | |
Ventas, Inc. | | | | | | | 1,155 | | | | 59,044 | |
VICI Properties, Inc.(b) | | | | | | | 1,802 | | | | 54,258 | |
Vicinity Centres(b) | | | | | | | 11,362 | | | | 13,973 | |
Vornado Realty Trust | | | | | | | 478 | | | | 20,009 | |
Welltower, Inc. | | | | | | | 1,240 | | | | 106,355 | |
Weyerhaeuser Co. | | | | | | | 2,201 | | | | 90,637 | |
WP Carey, Inc. | | | | | | | 543 | | | | 44,553 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 4,495,537 | |
| | | | | | | | | | | | |
REAL ESTATE MANAGEMENT & DEVELOPMENT–0.3% | | | | | | | | | | | | |
Aroundtown SA | | | | | | | 2,933 | | | | 17,693 | |
Azrieli Group Ltd. | | | | | | | 124 | | | | 11,831 | |
Capitaland Investment Ltd./Singapore(a) | | | | | | | 7,504 | | | | 18,973 | |
CBRE Group, Inc.–Class A(a) | | | | | | | 985 | | | | 106,882 | |
City Developments Ltd.(b) | | | | | | | 1,050 | | | | 5,312 | |
CK Asset Holdings Ltd. | | | | | | | 5,031 | | | | 31,735 | |
Daito Trust Construction Co., Ltd. | | | | | | | 183 | | | | 20,994 | |
Daiwa House Industry Co., Ltd. | | | | | | | 1,644 | | | | 47,247 | |
ESR Cayman Ltd.(a)(c) | | | | | | | 5,348 | | | | 18,090 | |
Fastighets AB Balder–Class B(a) | | | | | | | 308 | | | | 22,165 | |
FirstService Corp. | | | | | | | 116 | | | | 22,797 | |
Hang Lung Properties Ltd. | | | | | | | 5,030 | | | | 10,347 | |
Henderson Land Development Co., Ltd. | | | | | | | 3,938 | | | | 16,798 | |
Hongkong Land Holdings Ltd. | | | | | | | 3,395 | | | | 17,653 | |
24
| | |
| |
| | | AB Variable Products Series Fund |
| | | | | | | | | | | | |
| Company | | | | | Shares | | | U.S. $ Value | |
| | | | | | | | | | | | |
Hulic Co., Ltd.(b) | | | | | | | 1,101 | | | $ | 10,470 | |
LEG Immobilien SE | | | | | | | 214 | | | | 29,836 | |
Lendlease Corp Ltd.(b) | | | | | | | 2,021 | | | | 15,737 | |
Mitsubishi Estate Co., Ltd. | | | | | | | 3,435 | | | | 47,652 | |
Mitsui Fudosan Co., Ltd. | | | | | | | 2,669 | | | | 52,902 | |
New World Development Co., Ltd. | | | | | | | 3,625 | | | | 14,352 | |
Nomura Real Estate Holdings, Inc. | | | | | | | 331 | | | | 7,627 | |
Sagax AB | | | | | | | 472 | | | | 15,877 | |
Sino Land Co., Ltd. | | | | | | | 9,242 | | | | 11,508 | |
Sumitomo Realty & Development Co., Ltd. | | | | | | | 856 | | | | 25,236 | |
Sun Hung Kai Properties Ltd. | | | | | | | 3,616 | | | | 43,877 | |
Swire Pacific Ltd.–Class A | | | | | | | 1,435 | | | | 8,162 | |
Swire Properties Ltd. | | | | | | | 3,422 | | | | 8,579 | |
Swiss Prime Site AG | | | | | | | 223 | | | | 21,891 | |
Unibail-Rodamco-Westfield(a) | | | | | | | 366 | | | | 25,615 | |
UOL Group Ltd. | | | | | | | 1,134 | | | | 5,969 | |
Vonovia SE | | | | | | | 2,169 | | | | 119,517 | |
Wharf Real Estate Investment Co., Ltd. | | | | | | | 4,876 | | | | 24,776 | |
Zillow Group, Inc.–Class A(a) | | | | | | | 180 | | | | 11,200 | |
Zillow Group, Inc.–Class C(a)(b) | | | | | | | 491 | | | | 31,350 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 900,650 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 5,396,187 | |
| | | | | | | | | | | | |
UTILITIES–1.7% | | | | | | | | | | | | |
ELECTRIC UTILITIES–1.0% | | | | | | | | | | | | |
Alliant Energy Corp. | | | | | | | 734 | | | | 45,119 | |
American Electric Power Co., Inc. | | | | | | | 1,468 | | | | 130,608 | |
AusNet Services Ltd.(b) | | | | | | | 5,623 | | | | 10,519 | |
Chubu Electric Power Co., Inc. | | | | | | | 1,839 | | | | 19,424 | |
CK Infrastructure Holdings Ltd. | | | | | | | 1,903 | | | | 12,124 | |
CLP Holdings Ltd. | | | | | | | 4,629 | | | | 46,775 | |
Duke Energy Corp. | | | | | | | 2,259 | | | | 236,969 | |
Edison International | | | | | | | 1,114 | | | | 76,030 | |
EDP–Energias de Portugal SA | | | | | | | 8,151 | | | | 44,776 | |
Electricite de France SA | | | | | | | 1,390 | | | | 16,348 | |
Elia Group SA/NV(b) | | | | | | | 91 | | | | 11,994 | |
Emera, Inc. | | | | | | | 753 | | | | 37,634 | |
Endesa SA(b) | | | | | | | 932 | | | | 21,456 | |
Enel SpA | | | | | | | 23,882 | | | | 190,962 | |
Entergy Corp. | | | | | | | 590 | | | | 66,463 | |
Evergy, Inc. | | | | | | | 673 | | | | 46,175 | |
Eversource Energy | | | | | | | 1,009 | | | | 91,799 | |
Exelon Corp. | | | | | | | 2,871 | | | | 165,829 | |
FirstEnergy Corp. | | | | | | | 1,597 | | | | 66,419 | |
Fortis, Inc./Canada(b) | | | | | | | 1,383 | | | | 66,726 | |
Fortum Oyj | | | | | | | 1,304 | | | | 39,994 | |
HK Electric Investments & HK Electric Investments Ltd.–Class SS(c) | | | | | | | 7,615 | | | | 7,471 | |
| | | | | | | | | | | | |
| Company | | | | | Shares | | | U.S. $ Value | |
| | | | | | | | | | | | |
Hydro One Ltd.(c) | | | | | | | 966 | | | $ | 25,132 | |
Iberdrola SA | | | | | | | 16,823 | | | | 199,184 | |
Kansai Electric Power Co., Inc. (The) | | | | | | | 1,971 | | | | 18,423 | |
Mercury NZ Ltd. | | | | | | | 2,000 | | | | 8,379 | |
NextEra Energy, Inc. | | | | | | | 5,760 | | | | 537,754 | |
NRG Energy, Inc. | | | | | | | 718 | | | | 30,931 | |
Origin Energy Ltd.(b) | | | | | | | 5,171 | | | | 19,735 | |
Orsted AS | | | | | | | 555 | | | | 71,077 | |
PG&E Corp.(a) | | | | | | | 4,372 | | | | 53,076 | |
Power Assets Holdings Ltd. | | | | | | | 3,358 | | | | 20,931 | |
PPL Corp. | | | | | | | 2,259 | | | | 67,906 | |
Red Electrica Corp. SA | | | | | | | 1,271 | | | | 27,485 | |
Southern Co. (The) | | | | | | | 3,109 | | | | 213,215 | |
SSE PLC | | | | | | | 3,063 | | | | 68,474 | |
Terna–Rete Elettrica Nazionale(b) | | | | | | | 4,131 | | | | 33,418 | |
Tokyo Electric Power Co. Holdings, Inc.(a) | | | | | | | 4,384 | | | | 11,334 | |
Verbund AG | | | | | | | 200 | | | | 22,477 | |
Xcel Energy, Inc. | | | | | | | 1,581 | | | | 107,034 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 2,987,579 | |
| | | | | | | | | | | | |
GAS UTILITIES–0.1% | | | | | | | | | | | | |
AltaGas Ltd. | | | | | | | 822 | | | | 17,747 | |
APA Group(b) | | | | | | | 3,464 | | | | 25,342 | |
Atmos Energy Corp. | | | | | | | 384 | | | | 40,231 | |
Enagas SA | | | | | | | 730 | | | | 16,959 | |
Hong Kong & China Gas Co., Ltd. | | | | | | | 32,787 | | | | 51,140 | |
Naturgy Energy Group SA(b) | | | | | | | 569 | | | | 18,507 | |
Osaka Gas Co., Ltd. | | | | | | | 1,040 | | | | 17,201 | |
Snam SpA | | | | | | | 5,921 | | | | 35,663 | |
Tokyo Gas Co., Ltd. | | | | | | | 1,050 | | | | 18,848 | |
UGI Corp. | | | | | | | 613 | | | | 28,143 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 269,781 | |
| | | | | | | | | | | | |
INDEPENDENT POWER AND RENEWABLE ELECTRICITY
PRODUCERS–0.1% | | | | | | | | | | | | |
AES Corp. (The) | | | | | | | 1,956 | | | | 47,531 | |
Brookfield Renewable Corp.(b) | | | | | | | 379 | | | | 13,947 | |
EDP Renovaveis SA | | | | | | | 846 | | | | 21,038 | |
Meridian Energy Ltd. | | | | | | | 3,761 | | | | 12,484 | |
Northland Power, Inc. | | | | | | | 663 | | | | 19,891 | |
Uniper SE | | | | | | | 268 | | | | 12,724 | |
Vistra Corp. | | | | | | | 1,275 | | | | 29,032 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 156,647 | |
| | | | | | | | | | | | |
MULTI-UTILITIES–0.4% | | | | | | | | | | | | |
Algonquin Power & Utilities Corp.(b) | | | | | | | 1,972 | | | | 28,482 | |
Ameren Corp. | | | | | | | 755 | | | | 67,203 | |
Canadian Utilities Ltd.–Class A | | | | | | | 375 | | | | 10,877 | |
CenterPoint Energy, Inc. | | | | | | | 1,740 | | | | 48,563 | |
CMS Energy Corp. | | | | | | | 850 | | | | 55,293 | |
25
| | |
| DYNAMIC ASSET ALLOCATION PORTFOLIO |
| PORTFOLIO OF INVESTMENTS | | |
| |
| (continued) | | AB Variable Products Series Fund |
| | | | | | | | | | | | |
| Company | | | | | Shares | | | U.S. $ Value | |
| | | | | | | | | | | | |
Consolidated Edison, Inc. | | | | | | | 1,037 | | | $ | 88,477 | |
Dominion Energy, Inc. | | | | | | | 2,374 | | | | 186,502 | |
DTE Energy Co. | | | | | | | 569 | | | | 68,018 | |
E.ON SE | | | | | | | 6,592 | | | | 91,612 | |
Engie SA | | | | | | | 5,363 | | | | 79,401 | |
National Grid PLC | | | | | | | 10,620 | | | | 153,133 | |
NiSource, Inc. | | | | | | | 1,152 | | | | 31,807 | |
Public Service Enterprise Group, Inc. | | | | | | | 1,484 | | | | 99,027 | |
RWE AG | | | | | | | 1,886 | | | | 76,414 | |
Sempra Energy | | | | | | | 937 | | | | 123,946 | |
Suez SA | | | | | | | 1,032 | | | | 23,275 | |
United Utilities Group PLC | | | | | | | 2,002 | | | | 29,540 | |
Veolia Environnement SA | | | | | | | 1,924 | | | | 70,657 | |
WEC Energy Group, Inc. | | | | | | | 926 | | | | 89,887 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 1,422,114 | |
| | | | | | | | | | | | |
WATER UTILITIES–0.1% | | | | | | | | | | | | |
American Water Works Co., Inc. | | | | | | | 533 | | | | 100,662 | |
Essential Utilities, Inc. | | | | | | | 685 | | | | 36,778 | |
Severn Trent PLC | | | | | | | 734 | | | | 29,310 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 166,750 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 5,002,871 | |
| | | | | | | | | | | | |
Total Common Stocks
(cost $103,834,282) | | | | | | | | | | | 183,184,684 | |
| | | | | | | | | | | | |
| | | | | |
Principal
Amount
(000) | | | | |
GOVERNMENTS–
TREASURIES–35.5% | | | | | | | | | | | | |
UNITED STATES–35.5% | | | | | | | | | | | | |
U.S. Treasury Bonds
1.375%, 08/15/2050 | | $ | | | | | 260 | | | | 228,753 | |
1.625%, 11/15/2050 | | | | | | | 1,414 | | | | 1,323,569 | |
1.75%, 08/15/2041 | | | | | | | 73 | | | | 70,993 | |
2.00%, 02/15/2050 | | | | | | | 559 | | | | 570,049 | |
2.25%, 08/15/2046–08/15/2049 | | | | | | | 3,919 | | | | 4,163,875 | |
2.375%, 11/15/2049–05/15/2051 | | | | | | | 2,440 | | | | 2,703,456 | |
2.50%, 02/15/2045–05/15/2046 | | | | | | | 330 | | | | 364,545 | |
2.75%, 08/15/2047 | | | | | | | 143 | | | | 167,392 | |
2.875%, 05/15/2043–05/15/2049 | | | | | | | 3,767 | | | | 4,446,913 | |
3.00%, 05/15/2045–02/15/2049 | | | | | | | 2,311 | | | | 2,825,458 | |
3.125%, 11/15/2041–02/15/2043 | | | | | | | 1,182 | | | | 1,428,071 | |
3.50%, 02/15/2039 | | | | | | | 12 | | | | 15,330 | |
3.625%, 08/15/2043 | | | | | | | 1,869 | | | | 2,432,522 | |
3.75%, 08/15/2041–11/15/2043 | | | | | | | 226 | | | | 297,328 | |
3.875%, 08/15/2040 | | | | | | | 161 | | | | 211,910 | |
4.25%, 05/15/2039 | | | | | | | 134 | | | | 183,766 | |
| | | | | | | | | | | | |
| Company | | | | |
Principal
Amount
(000) | | | U.S. $ Value | |
| | | | | | | | | | | | |
4.375%, 11/15/2039–05/15/2041 | | $ | | | | | 694 | | | $ | 971,616 | |
4.50%, 08/15/2039 | | | | | | | 179 | | | | 252,974 | |
4.75%, 02/15/2037–02/15/2041 | | | | | | | 626 | | | | 898,312 | |
5.25%, 11/15/2028 | | | | | | | 378 | | | | 472,347 | |
5.375%, 02/15/2031 | | | | | | | 359 | | | | 480,029 | |
5.50%, 08/15/2028 | | | | | | | 762 | | | | 957,236 | |
6.00%, 02/15/2026 | | | | | | | 1,336 | | | | 1,593,031 | |
6.125%, 11/15/2027 | | | | | | | 404 | | | | 512,509 | |
6.25%, 08/15/2023–05/15/2030 | | | | | | | 447 | | | | 595,427 | |
6.875%, 08/15/2025 | | | | | | | 471 | | | | 566,993 | |
7.625%, 02/15/2025 | | | | | | | 158 | | | | 190,313 | |
U.S. Treasury Notes
0.25%, 06/30/2025–09/30/2025 | | | | | | | 6,368 | | | | 6,175,705 | |
0.375%, 04/30/2025–01/31/2026 | | | | | | | 5,215 | | | | 5,064,890 | |
0.50%, 03/31/2025–02/28/2026 | | | | | | | 1,219 | | | | 1,185,387 | |
0.625%, 05/15/2030–08/15/2030 | | | | | | | 2,107 | | | | 1,969,226 | |
0.75%, 04/30/2026–08/31/2026 | | | | | | | 3,874 | | | | 3,795,478 | |
0.875%, 09/30/2026–11/15/2030 | | | | | | | 3,558 | | | | 3,433,515 | |
1.125%, 10/31/2026–02/15/2031 | | | | | | | 2,727 | | | | 2,675,622 | |
1.25%, 08/31/2024 | | | | | | | 1,105 | | | | 1,115,086 | |
1.50%, 09/30/2024–02/15/2030 | | | | | | | 5,694 | | | | 5,773,910 | |
1.625%, 02/15/2026–05/15/2031 | | | | | | | 6,221 | | | | 6,317,628 | |
1.75%, 05/15/2023–11/15/2029 | | | | | | | 5,009 | | | | 5,105,517 | |
1.875%, 10/31/2022 | | | | | | | 1,014 | | | | 1,026,371 | |
2.00%, 11/30/2022–11/15/2026 | | | | | | | 12,748 | | | | 13,116,182 | |
2.125%, 11/30/2023–05/15/2025 | | | | | | | 6,571 | | | | 6,775,308 | |
2.25%, 04/30/2024–11/15/2027 | | | | | | | 4,655 | | | | 4,860,914 | |
2.375%, 08/15/2024–05/15/2029 | | | | | | | 2,330 | | | | 2,465,779 | |
2.50%, 08/15/2023–05/15/2024 | | | | | | | 3,263 | | | | 3,378,753 | |
2.625%, 02/15/2029 | | | | | | | 451 | | | | 487,531 | |
2.75%, 11/15/2023–02/15/2028 | | | | | | | 1,171 | | | | 1,221,284 | |
2.875%, 10/31/2023–05/15/2028 | | | | | | | 1,256 | | | | 1,325,471 | |
3.125%, 11/15/2028 | | | | | | | 912 | | | | 1,014,204 | |
| | | | | | | | | | | | |
Total Governments–Treasuries
(cost $103,414,819) | | | | | | | | | | | 107,208,478 | |
| | | | | | | | | | | | |
26
| | |
|
| | |
| |
| | | AB Variable Products Series Fund |
| | | | | | | | | | | | |
| Company | | Notional
Amount | | | U.S. $ Value | |
| | | | | | | | |
OPTIONS PURCHASED–PUTS–0.3% | | | | | | | | | | | | |
OPTIONS ON EQUITY INDICES–0.3% | | | | | | | | | | | | |
Euro STOXX 50 Index
Expiration: Sep 2022; Contracts: 990; Exercise Price: EUR 3,300.00; Counterparty: UBS AG(a) | | | EUR | | | | 3,267,000 | | | $ | 87,004 | |
FTSE 100 Index
Expiration: Dec 2022; Contracts: 190; Exercise Price: GBP 5,700.00;
Counterparty: UBS AG(a) | | | GBP | | | | 1,083,000 | | | | 38,536 | |
Nikkei 225 Index
Expiration: Dec 2022; Contracts: 11,000; Exercise Price: JPY 23,000.00;
Counterparty: UBS AG(a) | | | JPY | | | | 253,000,000 | | | | 67,239 | |
S&P 500 Index
Expiration: Nov 2022; Contracts: 7,000; Exercise Price: USD 3,575.00;
Counterparty: UBS AG(a) | | | USD | | | | 25,025,000 | | | | 699,163 | |
| | | | | | | | | | | | |
Total Options Purchased–Puts
(premiums paid $1,011,950) | | | | | | | | | | | 891,942 | |
| | | | | | | | | | | | |
| Company | | Shares | | | U.S. $ Value | |
| | | | | | | | |
SHORT-TERM INVESTMENTS–2.6% | | | | | | | | | | | | |
INVESTMENT COMPANIES–2.6% | | | | | | | | | | | | |
AB Fixed Income Shares, Inc.–Government Money Market Portfolio–Class AB, 0.01%(f)(g)(h)
(cost $7,966,107) | | | | | | | 7,966,107 | | | | 7,966,107 | |
| | | | | | | | | | | | |
TOTAL INVESTMENTS BEFORE SECURITY LENDING COLLATERAL FOR SECURITIES LOANED–99.0%
(cost $216,227,158) | | | | | | | | | | | 299,251,211 | |
| | | | | | | | | | | | |
INVESTMENTS OF CASH COLLATERAL FOR SECURITIES LOANED–0.4% | | | | | | | | | | | | |
INVESTMENT COMPANIES–0.4% | | | | | | | | | | | | |
AB Fixed Income Shares, Inc.–Government Money Market Portfolio–Class AB, 0.01%(f)(g)(h)
(cost $1,311,824) | | | | | | | 1,311,824 | | | | 1,311,824 | |
| | | | | | | | | | | | |
TOTAL INVESTMENTS–99.4%
(cost $217,538,982) | | | | | | | | | | | 300,563,035 | |
Other assets less liabilities–0.6% | | | | | | | | | | | 1,768,634 | |
| | | | | | | | | | | | |
NET ASSETS–100.0% | | | | | | | | | | $ | 302,331,669 | |
| | | | | | | | | | | | |
FUTURES (see Note D)
| | | | | | | | | | | | | | | | |
| Description | | Number of
Contracts | | | Expiration
Month | | | Current
Notional | | | Value and
Unrealized
Appreciation/
(Depreciation) | |
Purchased Contracts | |
10 Yr Australian Bond Futures | | | 25 | | | | March 2022 | | | $ | 2,531,280 | | | $ | 1,132 | |
10 Yr Mini Japan Government Bond Futures | | | 11 | | | | March 2022 | | | | 1,449,804 | | | | (4,734 | ) |
Euro STOXX 50 Index Futures | | | 91 | | | | March 2022 | | | | 4,441,998 | | | | 108,786 | |
Euro-Bund Futures | | | 3 | | | | March 2022 | | | | 585,314 | | | | (10,762 | ) |
FTSE 100 Index Futures | | | 15 | | | | March 2022 | | | | 1,487,010 | | | | (10,977 | ) |
Long Gilt Futures | | | 9 | | | | March 2022 | | | | 1,521,525 | | | | (19,745 | ) |
MSCI Emerging Market Futures | | | 2 | | | | March 2022 | | | | 232,180 | | | | 7,899 | |
MSCI Singapore IX ETS Futures | | | 39 | | | | January 2022 | | | | 984,406 | | | | 4,985 | |
Nikkei 225 (CME) Futures | | | 2 | | | | March 2022 | | | | 500,391 | | | | 4,369 | |
S&P 500 E-Mini Futures | | | 57 | | | | March 2022 | | | | 13,561,725 | | | | 143,794 | |
27
| | |
| DYNAMIC ASSET ALLOCATION PORTFOLIO |
| PORTFOLIO OF INVESTMENTS | | |
| |
| (continued) | | AB Variable Products Series Fund |
| | | | | | | | | | | | | | | | |
| Description | | Number of
Contracts | | | Expiration
Month | | | Current
Notional | | | Value and
Unrealized
Appreciation/
(Depreciation) | |
TOPIX Index Futures | | | 13 | | | | March 2022 | | | $ | 2,251,239 | | | $ | 10,415 | |
U.S. T-Note 2 Yr (CBT) Futures | | | 50 | | | | March 2022 | | | | 10,908,594 | | | | (7,241 | ) |
U.S. T-Note 5 Yr (CBT) Futures | | | 8 | | | | March 2022 | | | | 967,813 | | | | (4,276 | ) |
U.S. T-Note 10 Yr (CBT) Futures | | | 93 | | | | March 2022 | | | | 12,133,594 | | | | 116,184 | |
U.S. Ultra Bond (CBT) Futures | | | 33 | | | | March 2022 | | | | 6,505,125 | | | | 143,795 | |
|
Sold Contracts | |
Hang Seng Index Futures | | | 9 | | | | January 2022 | | | | 1,353,367 | | | | (16,715 | ) |
OMXS30 Index Futures | | | 48 | | | | January 2022 | | | | 1,285,098 | | | | (798 | ) |
S&P TSX 60 Index Futures | | | 10 | | | | March 2022 | | | | 2,025,218 | | | | (9,182 | ) |
SPI 200 Futures | | | 5 | | | | March 2022 | | | | 668,164 | | | | 6,187 | |
| | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | $ | 463,116 | |
| | | | | |
FORWARD CURRENCY EXCHANGE CONTRACTS (see Note D)
| | | | | | | | | | | | | | | | | | | | | | | | |
| Counterparty | | Contracts to
Deliver
(000) | | | In Exchange
For
(000) | | | Settlement
Date | | | Unrealized
Appreciation/
(Depreciation) | |
BNP Paribas SA | | | GBP | | | | 6,333 | | | | USD | | | | 8,588 | | | | 01/14/2022 | | | $ | 15,827 | |
BNP Paribas SA | | | AUD | | | | 2,271 | | | | USD | | | | 1,659 | | | | 02/08/2022 | | | | 6,944 | |
Citibank, NA | | | NOK | | | | 4,781 | | | | USD | | | | 526 | | | | 01/20/2022 | | | | (16,809 | ) |
Citibank, NA | | | USD | | | | 138 | | | | SEK | | | | 1,256 | | | | 01/20/2022 | | | | 967 | |
Citibank, NA | | | EUR | | | | 12,115 | | | | USD | | | | 14,013 | | | | 02/10/2022 | | | | 209,495 | |
Citibank, NA | | | USD | | | | 4,306 | | | | CAD | | | | 5,421 | | | | 02/10/2022 | | | | (20,072 | ) |
Credit Suisse International | | | USD | | | | 4,607 | | | | CHF | | | | 4,237 | | | | 01/13/2022 | | | | 44,395 | |
Credit Suisse International | | | USD | | | | 5,742 | | | | GBP | | | | 4,294 | | | | 01/14/2022 | | | | 69,983 | |
Credit Suisse International | | | USD | | | | 1,735 | | | | SEK | | | | 15,097 | | | | 01/20/2022 | | | | (64,267 | ) |
Credit Suisse International | | | USD | | | | 3,090 | | | | AUD | | | | 4,235 | | | | 02/08/2022 | | | | (8,178 | ) |
Credit Suisse International | | | USD | | | | 10,621 | | | | JPY | | | | 1,210,091 | | | | 02/09/2022 | | | | (98,562 | ) |
Credit Suisse International | | | USD | | | | 15,075 | | | | EUR | | | | 13,138 | | | | 02/10/2022 | | | | (106,409 | ) |
Goldman Sachs Bank USA | | | NOK | | | | 14,221 | | | | USD | | | | 1,580 | | | | 01/20/2022 | | | | (34,190 | ) |
Goldman Sachs Bank USA | | | USD | | | | 24 | | | | SEK | | | | 218 | | | | 01/20/2022 | | | | 108 | |
Goldman Sachs Bank USA | | | EUR | | | | 3,742 | | | | USD | | | | 4,301 | | | | 02/10/2022 | | | | 38,242 | |
HSBC Bank USA | | | CHF | | | | 7,906 | | | | USD | | | | 8,615 | | | | 01/13/2022 | | | | (64,374 | ) |
HSBC Bank USA | | | GBP | | | | 2,041 | | | | USD | | | | 2,735 | | | | 01/14/2022 | | | | (27,364 | ) |
HSBC Bank USA | | | SEK | | | | 22,242 | | | | USD | | | | 2,549 | | | | 01/20/2022 | | | | 86,826 | |
HSBC Bank USA | | | USD | | | | 5,092 | | | | NOK | | | | 43,545 | | | | 01/20/2022 | | | | (148,416 | ) |
HSBC Bank USA | | | USD | | | | 67 | | | | SEK | | | | 582 | | | | 01/20/2022 | | | | (2,313 | ) |
JPMorgan Chase Bank, NA | | | USD | | | | 612 | | | | SEK | | | | 5,321 | | | | 01/20/2022 | | | �� | (23,044 | ) |
Morgan Stanley Capital Services, Inc. | | | CHF | | | | 1,057 | | | | USD | | | | 1,150 | | | | 01/13/2022 | | | | (10,800 | ) |
Morgan Stanley Capital Services, Inc. | | | USD | | | | 2,636 | | | | CHF | | | | 2,424 | | | | 01/13/2022 | | | | 24,403 | |
Morgan Stanley Capital Services, Inc. | | | GBP | | | | 1,729 | | | | USD | | | | 2,322 | | | | 01/14/2022 | | | | (19,297 | ) |
Morgan Stanley Capital Services, Inc. | | | USD | | | | 2,962 | | | | GBP | | | | 2,240 | | | | 01/14/2022 | | | | 69,914 | |
Morgan Stanley Capital Services, Inc. | | | NOK | | | | 29,966 | | | | USD | | | | 3,336 | | | | 01/20/2022 | | | | (66,047 | ) |
Morgan Stanley Capital Services, Inc. | | | SEK | | | | 16,618 | | | | USD | | | | 1,925 | | | | 01/20/2022 | | | | 85,310 | |
Morgan Stanley Capital Services, Inc. | | | USD | | | | 1,862 | | | | NOK | | | | 16,165 | | | | 01/20/2022 | | | | (27,154 | ) |
Morgan Stanley Capital Services, Inc. | | | USD | | | | 3,451 | | | | SEK | | | | 31,255 | | | | 01/20/2022 | | | | 8,146 | |
Morgan Stanley Capital Services, Inc. | | | USD | | | | 5,497 | | | | SEK | | | | 48,741 | | | | 01/20/2022 | | | | (102,496 | ) |
Morgan Stanley Capital Services, Inc. | | | AUD | | | | 7,251 | | | | USD | | | | 5,361 | | | | 02/08/2022 | | | | 84,841 | |
Morgan Stanley Capital Services, Inc. | | | JPY | | | | 1,801,337 | | | | USD | | | | 15,800 | | | | 02/09/2022 | | | | 136,441 | |
28
| | |
| |
| | | AB Variable Products Series Fund |
| | | | | | | | | | | | | | | | | | | | | | | | |
| Counterparty | | Contracts to
Deliver
(000) | | | In Exchange
For
(000) | | | Settlement
Date | | | Unrealized
Appreciation/
(Depreciation) | |
Morgan Stanley Capital Services, Inc. | | | USD | | | | 1,199 | | | | JPY | | | | 135,221 | | | | 02/09/2022 | | | $ | (23,569 | ) |
Morgan Stanley Capital Services, Inc. | | | CAD | | | | 3,547 | | | | USD | | | | 2,808 | | | | 02/10/2022 | | | | 4,437 | |
Morgan Stanley Capital Services, Inc. | | | EUR | | | | 3,633 | | | | USD | | | | 4,128 | | | | 02/10/2022 | | | | (11,324 | ) |
Morgan Stanley Capital Services, Inc. | | | USD | | | | 4,053 | | | | CAD | | | | 5,162 | | | | 02/10/2022 | | | | 28,097 | |
Morgan Stanley Capital Services, Inc. | | | USD | | | | 1,799 | | | | EUR | | | | 1,581 | | | | 02/10/2022 | | | | 1,877 | |
State Street Bank & Trust Co. | | | USD | | | | 238 | | | | CHF | | | | 218 | | | | 01/13/2022 | | | | 1,491 | |
State Street Bank & Trust Co. | | | GBP | | | | 476 | | | | USD | | | | 638 | | | | 01/14/2022 | | | | (6,003 | ) |
State Street Bank & Trust Co. | | | NOK | | | | 10,427 | | | | USD | | | | 1,212 | | | | 01/20/2022 | | | | 28,052 | |
State Street Bank & Trust Co. | | | NZD | | | | 264 | | | | USD | | | | 183 | | | | 01/20/2022 | | | | 2,350 | |
State Street Bank & Trust Co. | | | USD | | | | 347 | | | | NOK | | | | 3,009 | | | | 01/20/2022 | | | | (4,943 | ) |
State Street Bank & Trust Co. | | | USD | | | | 218 | | | | SEK | | | | 1,938 | | | | 01/20/2022 | | | | (3,062 | ) |
State Street Bank & Trust Co. | | | USD | | | | 253 | | | | AUD | | | | 354 | | | | 02/08/2022 | | | | 4,749 | |
State Street Bank & Trust Co. | | | JPY | | | | 94,188 | | | | USD | | | | 828 | | | | 02/09/2022 | | | | 9,344 | |
State Street Bank & Trust Co. | | | USD | | | | 329 | | | | JPY | | | | 37,150 | | | | 02/09/2022 | | | | (6,197 | ) |
State Street Bank & Trust Co. | | | EUR | | | | 475 | | | | USD | | | | 545 | | | | 02/10/2022 | | | | 3,770 | |
| | | | | | | | | | | | | | | | | | | | | | | | |
| | | $ | 71,119 | |
| | | | | | | | | | | | | | | | | | | | | | | | |
TOTAL RETURN SWAPS (see Note D)
| | | | | | | | | | | | | | | | | | | | |
Counterparty &
Referenced Obligation | | Rate
Paid/
Received | | Payment
Frequency | | | Current
Notional
(000) | | | Maturity
Date | | | Unrealized
Appreciation/
(Depreciation) |
Receive Total Return on Reference Obligation |
Morgan Stanley Capital Services, Inc. Swiss Market Index Futures | | 0.00% | | | Maturity | | | | CHF | | | | 1,023 | | | | 03/18/2022 | | | $ 27,257 |
| (a) | | Non-income producing security. |
| (b) | | Represents entire or partial securities out on loan. See Note E for securities lending information. |
| (c) | | 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 December 31, 2021, the aggregate market value of these securities amounted to $138,658 or 0.0% of net assets. |
| (d) | | Security in which significant unobservable inputs (Level 3) were used in determining fair value. |
| (e) | | Fair valued by the Adviser. |
| (f) | | Affiliated investments. |
| (g) | | To obtain a copy of the fund’s shareholder report, please go to the Securities and Exchange Commission’s website at www.sec.gov, or call AB at (800) 227-4618. |
| (h) | | The rate shown represents the 7-day yield as of period end. |
Currency Abbreviations:
AUD—Australian Dollar
CAD—Canadian Dollar
CHF—Swiss Franc
EUR—Euro
GBP—Great British Pound
JPY—Japanese Yen
NOK—Norwegian Krone
NZD—New Zealand Dollar
SEK—Swedish Krona
USD—United States Dollar
29
| | |
| DYNAMIC ASSET ALLOCATION PORTFOLIO |
| PORTFOLIO OF INVESTMENTS | | |
| |
| (continued) | | AB Variable Products Series Fund |
Glossary:
ADR—American Depositary Receipt
CBT—Chicago Board of Trade
CME—Chicago Mercantile Exchange
ETS—Emission Trading Scheme
FTSE—Financial Times Stock Exchange
GDR—Global Depositary Receipt
MSCI—Morgan Stanley Capital International
OMXS—Stockholm Stock Exchange
REG—Registered Shares
REIT—Real Estate Investment Trust
SPI—Share Price Index
TOPIX—Tokyo Price Index
TSX—Toronto Stock Exchange
See notes to financial statements.
30
| | |
| DYNAMIC ASSET ALLOCATION PORTFOLIO |
| STATEMENT OF ASSETS & LIABILITIES | | |
| |
| December 31, 2021 | | AB Variable Products Series Fund |
| | | | | | | | |
ASSETS | |
Investments in securities, at value | |
Unaffiliated issuers (cost $208,261,051) | | $ | 291,285,104 | (a) |
Affiliated issuers (cost $9,277,931—including investment of cash collateral for securities loaned of $1,311,824) | | | 9,277,931 | |
Cash | | | 5,082 | |
Cash collateral due from broker | | | 2,130,291 | |
Foreign currencies, at value (cost $778,763) | | | 775,891 | |
Receivable for investment securities sold | | | 1,944,135 | |
Unaffiliated dividends and interest receivable | | | 1,065,584 | |
Unrealized appreciation on forward currency exchange contracts | | | 966,009 | |
Unrealized appreciation on total return swaps | | | 27,257 | |
Receivable for capital stock sold | | | 4,091 | |
Affiliated dividends receivable | | | 76 | |
| | | | |
Total assets | | | 307,481,451 | |
| | | | |
LIABILITIES | |
Payable for investment securities purchased | | | 1,361,029 | |
Payable for collateral received on securities loaned | | | 1,256,388 | |
Cash collateral due to broker | | | 1,000,000 | |
Unrealized depreciation on forward currency exchange contracts | | | 894,890 | |
Advisory fee payable | | | 177,705 | |
Distribution fee payable | | | 63,548 | |
Collateral due to securities lending agent | | | 55,436 | |
Payable for capital stock redeemed | | | 34,508 | |
Administrative fee payable | | | 22,578 | |
Payable for variation margin on futures | | | 22,053 | |
Transfer Agent fee payable | | | 146 | |
Foreign capital gains tax payable | | | 46 | |
Accrued expenses | | | 261,455 | |
| | | | |
Total liabilities | | | 5,149,782 | |
| | | | |
NET ASSETS | | $ | 302,331,669 | |
| | | | |
COMPOSITION OF NET ASSETS | |
Capital stock, at par | | $ | 20,354 | |
Additional paid-in capital | | | 132,968,169 | |
Distributable earnings | | | 169,343,146 | |
| | | | |
NET ASSETS | | $ | 302,331,669 | |
| | | | |
Net Asset Value Per Share—1 billion shares of capital stock authorized, $.001 par value
| | | | | | | | | | | | |
| Class | | Net Assets | | | Shares
Outstanding | | | Net Asset
Value | |
| | | |
| A | | $ | 411,637 | | | | 27,559 | | | $ | 14.94 | |
| | | |
| B | | $ | 301,920,032 | | | | 20,326,376 | | | $ | 14.85 | |
| (a) | | Includes securities on loan with a value of $5,723,503 (see Note E). |
See notes to financial statements.
31
| | |
| DYNAMIC ASSET ALLOCATION PORTFOLIO |
| STATEMENT OF OPERATIONS | | |
| |
| Year Ended December 31, 2021 | | AB Variable Products Series Fund |
| | | | |
INVESTMENT INCOME | | | | |
Dividends | | | | |
Unaffiliated issuers (net of foreign taxes withheld of $339,758) | | $ | 5,438,761 | |
Affiliated issuers | | | 1,381 | |
Interest | | | 2,560,707 | |
Securities lending income | | | 11,278 | |
| | | | |
| | | 8,012,127 | |
| | | | |
EXPENSES | | | | |
Advisory fee (see Note B) | | | 3,002,768 | |
Distribution fee—Class B | | | 1,071,488 | |
Transfer agency—Class A | | | 4 | |
Transfer agency—Class B | | | 3,914 | |
Custody and accounting | | | 162,277 | |
Audit and tax | | | 118,974 | |
Administrative | | | 87,571 | |
Legal | | | 45,654 | |
Directors’ fees | | | 24,032 | |
Printing | | | 23,520 | |
Miscellaneous | | | 33,127 | |
| | | | |
Total expenses | | | 4,573,329 | |
Less: expenses waived and reimbursed by the Adviser (see Notes B & E) | | | (7,042 | ) |
| | | | |
Net expenses | | | 4,566,287 | |
| | | | |
Net investment income | | | 3,445,840 | |
| | | | |
REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENT AND FOREIGN CURRENCY TRANSACTIONS | | | | |
Net realized gain (loss) on: | | | | |
Investment transactions | | | 95,732,447 | |
Forward currency exchange contracts | | | 2,026,759 | |
Futures | | | (1,766,702 | ) |
Swaps | | | 270 | |
Foreign currency transactions | | | (29,011 | ) |
Net change in unrealized appreciation/depreciation of: | | | | |
Investments | | | (56,716,851 | ) |
Forward currency exchange contracts | | | 586,582 | |
Futures | | | (861,013 | ) |
Swaps | | | 27,257 | |
Foreign currency denominated assets and liabilities | | | (123,773 | ) |
| | | | |
Net gain on investment and foreign currency transactions | | | 38,875,965 | |
| | | | |
NET INCREASE IN NET ASSETS FROM OPERATIONS | | $ | 42,321,805 | |
| | | | |
See notes to financial statements.
32
| | |
|
| DYNAMIC ASSET ALLOCATION PORTFOLIO |
| |
| STATEMENT OF CHANGES IN NET ASSETS | | AB Variable Products Series Fund |
| | | | | | | | |
| | | Year Ended
December 31,
2021 | | | Year Ended
December 31,
2020 | |
INCREASE (DECREASE) IN NET ASSETS FROM OPERATIONS | |
Net investment income | | $ | 3,445,840 | | | $ | 4,934,873 | |
Net realized gain (loss) on investment and foreign currency transactions | | | 95,963,763 | | | | (10,066,061 | ) |
Net change in unrealized appreciation/depreciation of investments and foreign currency denominated assets and liabilities | | | (57,087,798 | ) | | | 28,883,717 | |
| | | | | | | | |
Net increase in net assets from operations | | | 42,321,805 | | | | 23,752,529 | |
Distributions to Shareholders | |
Class A | | | (7,238 | ) | | | (6,470 | ) |
Class B | | | (4,827,444 | ) | | | (7,947,724 | ) |
CAPITAL STOCK TRANSACTIONS | |
Net decrease | | | (283,941,527 | ) | | | (36,380,539 | ) |
| | | | | | | | |
Total decrease | | | (246,454,404 | ) | | | (20,582,204 | ) |
NET ASSETS | |
Beginning of period | | | 548,786,073 | | | | 569,368,277 | |
| | | | | | | | |
End of period | | $ | 302,331,669 | | | $ | 548,786,073 | |
| | | | | | | | |
See notes to financial statements.
33
| | |
| DYNAMIC ASSET ALLOCATION PORTFOLIO |
| NOTES TO FINANCIAL STATEMENTS | | |
| |
| December 31, 2021 | | AB Variable Products Series Fund |
NOTE A: Significant Accounting Policies
The AB Dynamic Asset Allocation Portfolio (the “Portfolio”) is a series of AB Variable Products Series Fund, Inc. (the “Fund”). The Portfolio’s investment objective is to maximize total return consistent with AllianceBernstein L.P. (the “Adviser”) determination of reasonable risk. The Portfolio is diversified as defined under the Investment Company Act of 1940. The Fund was incorporated in the State of Maryland as an open-end series investment company. The Fund offers 11 separately managed pools of assets which have differing investment objectives and policies. The Portfolio offers Class A and Class B shares. Both classes of shares have identical voting, dividend, liquidating and other rights, except that Class B shares bear a distribution expense and have exclusive voting rights with respect to the Class B distribution plan.
The Portfolio offers and sells its shares only to separate accounts of certain life insurance companies for the purpose of funding variable annuity contracts and variable life insurance policies. Sales are made without a sales charge at the Portfolio’s net asset value per share.
The financial statements have been prepared in conformity with U.S. generally accepted accounting principles (“U.S. GAAP”), which require management to make certain estimates and assumptions that affect the reported amounts of assets and liabilities in the financial statements and amounts of income and expenses during the reporting period. Actual results could differ from those estimates. The Portfolio is an investment company under U.S. GAAP and follows the accounting and reporting guidance applicable to investment companies. The following is a summary of significant accounting policies followed by the Portfolio.
1. Security Valuation
Portfolio securities are valued at their current market value determined on the basis of market quotations or, if market quotations are not readily available or are deemed unreliable, at “fair value” as determined in accordance with procedures established by and under the general supervision of the Fund’s Board of Directors (the “Board”).
In general, the market values of securities which are readily available and deemed reliable are determined as follows: securities listed on a national securities exchange (other than securities listed on the NASDAQ Stock Market, Inc. (“NASDAQ”)) or on a foreign securities exchange are valued at the last sale price at the close of the exchange or foreign securities exchange. If there has been no sale on such day, the securities are valued at the last traded price from the previous day. Securities listed on more than one exchange are valued by reference to the principal exchange on which the securities are traded; securities listed only on NASDAQ are valued in accordance with the NASDAQ Official Closing Price; listed or over the counter (“OTC”) market put or call options are valued at the mid level between the current bid and ask prices. If either a current bid or current ask price is unavailable, the Adviser will have discretion to determine the best valuation (e.g., last trade price in the case of listed options); open futures are valued using the closing settlement price or, in the absence of such a price, the most recent quoted bid price. If there are no quotations available for the day of valuation, the last available closing settlement price is used; U.S. Government securities and any other debt instruments having 60 days or less remaining until maturity are generally valued at market by an independent pricing vendor, if a market price is available. If a market price is not available, the securities are valued at amortized cost. This methodology is commonly used for short term securities that have an original maturity of 60 days or less, as well as short term securities that had an original term to maturity that exceeded 60 days. In instances when amortized cost is utilized, the Valuation Committee (the “Committee”) must reasonably conclude that the utilization of amortized cost is approximately the same as the fair value of the security. Factors the Committee will consider include, but are not limited to, an impairment of the creditworthiness of the issuer or material changes in interest rates. Fixed-income securities, including mortgage-backed and asset-backed securities, may be valued on the basis of prices provided by a pricing service or at a price obtained from one or more of the major broker-dealers. In cases where broker-dealer quotes are obtained, the Adviser may establish procedures whereby changes in market yields or spreads are used to adjust, on a daily basis, a recently obtained quoted price on a security. Swaps and other derivatives are valued daily, primarily using independent pricing services, independent pricing models using market inputs, as well as third party broker-dealers or counterparties. Open-end mutual funds are valued at the closing net asset value per share, while exchange traded funds are valued at the closing market price per share.
Securities for which market quotations are not readily available (including restricted securities) or are deemed unreliable are valued at fair value as deemed appropriate by the Adviser. Factors considered in making this determination may include, but are not limited to, information obtained by contacting the issuer, analysts, analysis of the issuer’s financial statements or other available documents. In addition, the Portfolio may use fair value pricing for securities primarily traded in non-U.S. markets because most foreign markets close well before the Portfolio values its securities at 4:00 p.m., Eastern Time. The
34
| | |
| |
| | | AB Variable Products Series Fund |
earlier close of these foreign markets gives rise to the possibility that significant events, including broad market moves, may have occurred in the interim and may materially affect the value of those securities. To account for this, the Portfolio generally values many of its foreign equity securities using fair value prices based on third party vendor modeling tools to the extent available.
2. Fair Value Measurements
In accordance with U.S. GAAP regarding fair value measurements, fair value is defined as the price that the Portfolio 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 as described in Note A.1 above). 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 Portfolio. Unobservable inputs reflect the Portfolio’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 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.
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 an 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.
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
35
| | |
| DYNAMIC ASSET ALLOCATION PORTFOLIO |
| NOTES TO FINANCIAL STATEMENTS | | |
| |
| (continued) | | AB Variable Products Series Fund |
comparisons with more widely quoted bonds with similar key characteristics. Those investments for which there are observable inputs are classified as Level 2. Where the inputs are not observable, the investments are classified as Level 3.
The following table summarizes the valuation of the Portfolio’s investments by the above fair value hierarchy levels as of December 31, 2021:
| | | | | | | | | | | | | | | | |
| | | Level 1 | | | Level 2 | | | Level 3 | | | Total | |
Investments in Securities: | | | | | | | | | | | | | | | | |
Assets: | |
Common Stocks: | | | | | | | | | | | | | | | | |
Information Technology | | $ | 38,567,821 | | | $ | 4,819,457 | | | $ | –0 | – | | $ | 43,387,278 | |
Financials | | | 15,651,794 | | | | 8,466,118 | | | | –0 | – | | | 24,117,912 | |
Health Care | | | 16,749,123 | | | | 6,326,320 | | | | –0 | – | | | 23,075,443 | |
Consumer Discretionary | | | 16,142,341 | | | | 6,328,933 | | | | –0 | – | | | 22,471,274 | |
Industrials | | | 10,434,249 | | | | 7,962,529 | | | | 8,301 | | | | 18,405,079 | |
Communication Services | | | 13,124,070 | | | | 2,096,682 | | | | –0 | – | | | 15,220,752 | |
Consumer Staples | | | 7,657,195 | | | | 5,077,450 | | | | –0 | – | | | 12,734,645 | |
Materials | | | 3,809,371 | | | | 3,858,008 | | | | –0 | – | | | 7,667,379 | |
Energy | | | 4,014,472 | | | | 1,691,392 | | | | –0 | – | | | 5,705,864 | |
Real Estate | | | 3,700,103 | | | | 1,686,888 | | | | 9,196 | | | | 5,396,187 | |
Utilities | | | 3,327,609 | | | | 1,675,262 | | | | –0 | – | | | 5,002,871 | |
Governments—Treasuries | | | –0 | – | | | 107,208,478 | | | | –0 | – | | | 107,208,478 | |
Options Purchased—Puts | | | –0 | – | | | 891,942 | | | | –0 | – | | | 891,942 | |
Short-Term Investments | | | 7,966,107 | | | | –0 | – | | | –0 | – | | | 7,966,107 | |
Investments of Cash Collateral for Securities Loaned in Affiliated Money Market Fund | | | 1,311,824 | | | | –0 | – | | | –0 | – | | | 1,311,824 | |
| | | | | | | | | | | | | | | | |
Total Investments in Securities | | | 142,456,079 | | | | 158,089,459 | | | | 17,497 | | | | 300,563,035 | |
Other Financial Instruments(a): | | | | | | | | | | | | | | | | |
Assets: | |
Futures | | | 547,546 | | | | –0 | – | | | –0 | – | | | 547,546 | (b) |
Forward Currency Exchange Contracts | | | –0 | – | | | 966,009 | | | | –0 | – | | | 966,009 | |
Total Return Swaps | | | –0 | – | | | 27,257 | | | | –0 | – | | | 27,257 | |
Liabilities: | |
Futures | | | (84,430 | ) | | | –0 | – | | | –0 | – | | | (84,430 | )(b) |
Forward Currency Exchange Contracts | | | –0 | – | | | (894,890 | ) | | | –0 | – | | | (894,890 | ) |
| | | | | | | | | | | | | | | | |
Total | | $ | 142,919,195 | | | $ | 158,187,835 | | | $ | 17,497 | | | $ | 301,124,527 | |
| | | | | | | | | | | | | | | | |
| (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. |
| (b) | | 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. |
3. Currency Translation
Assets and liabilities denominated in foreign currencies and commitments under forward currency exchange contracts are translated into U.S. dollars at the mean of the quoted bid and ask prices of such currencies against the U.S. dollar. Purchases and sales of portfolio securities are translated into U.S. dollars at the rates of exchange prevailing when such securities were acquired or sold. Income and expenses are translated into U.S. dollars at rates of exchange prevailing when accrued.
Net realized gain or loss on foreign currency transactions represents foreign exchange gains and losses from sales and maturities of foreign fixed income investments, holding of foreign currencies, currency gains or losses realized between the trade and settlement dates on foreign investment transactions, and the difference between the amounts of dividends, interest and foreign withholding taxes recorded on the Portfolio’s books and the U.S. dollar equivalent amounts actually received or paid. Net unrealized currency gains and losses from valuing foreign currency denominated assets and liabilities at period end exchange rates are reflected as a component of net unrealized appreciation or depreciation of foreign currency denominated assets and liabilities.
36
| | |
| |
| | | AB Variable Products Series Fund |
4. Taxes
It is the Portfolio’s policy to meet the requirements of the Internal Revenue Code applicable to regulated investment companies and to distribute all of its investment company taxable income and net realized gains, if any, to shareholders. Therefore, no provisions for federal income or excise taxes are required. The Portfolio may be subject to taxes imposed by countries in which it invests. Such taxes are generally based on income and/or capital gains earned or repatriated. Taxes are accrued and applied to net investment income, net realized gains and net unrealized appreciation/depreciation as such income and/or gains are earned.
In accordance with U.S. GAAP requirements regarding accounting for uncertainties in income taxes, management has analyzed the Portfolio’s tax positions taken or expected to be taken on federal and state income tax returns for all open tax years (the current and the prior three tax years) and has concluded that no provision for income tax is required in the Portfolio’s financial statements.
5. Investment Income and Investment Transactions
Dividend income is recorded on the ex-dividend date or as soon as the Portfolio is informed of the dividend. Interest income is accrued daily. Investment transactions are accounted for on the date the securities are purchased or sold. Investment gains or losses are determined on the identified cost basis. The Portfolio amortizes premiums and accretes discounts as adjustments to interest income. The Portfolio accounts for distributions received from REIT investments or from regulated investment companies as dividend income, realized gain, or return of capital based on information provided by the REIT or the investment company.
6. Class Allocations
All income earned and expenses incurred by the Portfolio are borne on a pro-rata basis by each outstanding class of shares, based on the proportionate interest in the Portfolio represented by the net assets of such class, except for class specific expenses which are allocated to the respective class. Expenses of the Fund are charged proportionately to each portfolio or based on other appropriate methods. Realized and unrealized gains and losses are allocated among the various share classes based on respective net assets.
7. Dividends and Distributions
Dividends and distributions to shareholders, if any, are recorded on the ex-dividend date. Income dividends and capital gains distributions are determined in accordance with federal tax regulations and may differ from those determined in accordance with U.S. GAAP. To the extent these differences are permanent, such amounts are reclassified within the capital accounts based on their federal tax basis treatment; temporary differences do not require such reclassification.
NOTE B: Advisory Fee and Other Transactions with Affiliates
Under the terms of the investment advisory agreement, the Portfolio pays the Adviser an advisory fee at an annual rate of .70% of the Portfolio’s average daily net assets. The Adviser has agreed to waive its fees and bear certain expenses to the extent necessary to limit total operating expenses on an annual basis (the “Expense Caps”) to .85% and 1.10% of daily average net assets for Class A and Class B shares, respectively. The Expense Caps will remain in effect until May 1, 2022 and then may be extended by the Adviser for additional one-year terms. For the year ended December 31, 2021, there were no expenses waived by the Adviser.
Pursuant to the investment advisory agreement, the Portfolio may reimburse the Adviser for certain legal and accounting services provided to the Portfolio by the Adviser. For the year ended December 31, 2021, the reimbursement for such services amounted to $87,571.
The Portfolio compensates AllianceBernstein Investor Services, Inc. (“ABIS”), a wholly-owned subsidiary of the Adviser, under a Transfer Agency Agreement for providing personnel and facilities to perform transfer agency services for the Portfolio. Such compensation retained by ABIS amounted to $1,636 for the year ended December 31, 2021.
The Portfolio may invest in AB Government Money Market Portfolio (the “Government Money Market Portfolio”) which has a contractual annual advisory fee rate of .20% of the portfolio’s average daily net assets and bears its own expenses. The Adviser has contractually agreed to waive .10% of the advisory fee of Government Money Market Portfolio (resulting in a net advisory fee of .10%) until August 31, 2022. In connection with the investment by the Portfolio in Government Money Market Portfolio, the Adviser has contractually agreed to waive its advisory fee from the Portfolio in an amount equal to the Portfolio’s pro rata share of the effective advisory fee of Government Money Market Portfolio, as borne indirectly by the Portfolio as an acquired fund fee and expense. For the year ended December 31, 2021, such waiver amounted to $7,039.
37
| | |
| DYNAMIC ASSET ALLOCATION PORTFOLIO |
| NOTES TO FINANCIAL STATEMENTS | | |
| |
| (continued) | | AB Variable Products Series Fund |
A summary of the Portfolio’s transactions in AB mutual funds for the year ended December 31, 2021 is as follows:
| | | | | | | | | | | | | | | | | | | | |
Portfolio | | Market Value
12/31/20
(000) | | | Purchases
at Cost
(000) | | | Sales
Proceeds
(000) | | | Market Value
12/31/21
(000) | | | Dividend
Income
(000) | |
Government Money Market Portfolio | | $ | 4,201 | | | $ | 370,971 | | | $ | 367,206 | | | $ | 7,966 | | | $ | 1 | |
Government Money Market Portfolio* | | | 67 | | | | 61,803 | | | | 60,558 | | | | 1,312 | | | | 0 | ** |
| | | | | | | | | | | | | | | | | | | | |
Total | | | | | | | | | | | | | | $ | 9,278 | | | $ | 1 | |
| | | | | | | | | | | | | | | | | | | | |
| * | | Investments of cash collateral for securities lending transactions (see Note E). |
| ** | | Amount is less than $500. |
NOTE C: Distribution Plan
The Portfolio has adopted a Distribution Plan (the “Plan”) for Class B shares pursuant to Rule 12b-1 under the Investment Company Act of 1940. Under the Plan, the Portfolio pays distribution and servicing fees to AllianceBernstein Investments, Inc. (the “Distributor”), a wholly-owned subsidiary of the Adviser, at an annual rate of up to ..50% of the Portfolio’s average daily net assets attributable to Class B shares. The fees are accrued daily and paid monthly. The Board currently limits payments under the Plan to .25% of the Portfolio’s average daily net assets attributable to Class B shares. The Plan provides that the Distributor will use such payments in their entirety for distribution assistance and promotional activities.
The Portfolio is not obligated under the Plan to pay any distribution and servicing fees in excess of the amounts set forth above. The purpose of the payments to the Distributor under the Plan is to compensate the Distributor for its distribution services with respect to the sale of the Portfolio’s Class B shares. Since the Distributor’s compensation is not directly tied to its expenses, the amount of compensation received by it under the Plan during any year may be more or less than its actual expenses. For this reason, the Plan is characterized by the staff of the Securities and Exchange Commission as being of the “compensation” variety.
In the event that the Plan is terminated or not continued, no distribution or servicing fees (other than current amounts accrued but not yet paid) would be owed by the Portfolio to the Distributor.
The Plan also provides that the Adviser may use its own resources to finance the distribution of the Portfolio’s shares.
NOTE D: Investment Transactions
Purchases and sales of investment securities (excluding short-term investments) for the year ended December 31, 2021 were as follows:
| | | | | | | | |
| | | Purchases | | | Sales | |
Investment securities (excluding U.S. government securities) | | $ | 73,739,149 | | | $ | 270,887,416 | |
U.S. government securities | | | 53,669,701 | | | | 140,552,078 | |
The cost of investments for federal income tax purposes, gross unrealized appreciation and unrealized depreciation are as follows:
| | | | |
Cost | | $ | 219,351,875 | |
| | | | |
Gross unrealized appreciation | | $ | 88,526,929 | |
Gross unrealized depreciation | | | (7,292,854 | ) |
| | | | |
Net unrealized appreciation | | $ | 81,234,075 | |
| | | | |
1. Derivative Financial Instruments
The Portfolio may use derivatives in an effort to earn income and enhance returns, to replace more traditional direct investments, to obtain exposure to otherwise inaccessible markets (collectively, “investment purposes”), or to hedge or adjust the risk profile of its portfolio.
The principal types of derivatives utilized by the Portfolio, as well as the methods in which they may be used are:
The Portfolio may buy or sell futures for investment purposes or for the purpose of hedging its portfolio against adverse effects of potential movements in the market. The Portfolio bears the market risk that arises from changes in
38
| | |
| |
| | | AB Variable Products Series Fund |
the value of these instruments and the imperfect correlation between movements in the price of the futures and movements in the price of the assets, reference rates or indices which they are designed to track. Among other things, the Portfolio may purchase or sell futures for foreign currencies or options thereon for non-hedging purposes as a means of making direct investment in foreign currencies, as described below under “Currency Transactions”.
At the time the Portfolio enters into futures, the Portfolio deposits and maintains as collateral an initial margin with the broker, as required by the exchange on which the transaction is effected. Such amount is shown as cash collateral due from broker on the statement of assets and liabilities. Pursuant to the contract, the Portfolio agrees to receive from or pay to the broker an amount of cash equal to the daily fluctuation in the value of the contract. Such receipts or payments are known as variation margin and are recorded by the Portfolio as unrealized gains or losses. Risks may arise from the potential inability of a counterparty to meet the terms of the contract. The credit/counterparty risk for exchange-traded futures is generally less than privately negotiated futures, since the clearinghouse, which is the issuer or counterparty to each exchange-traded future, has robust risk mitigation standards, including the requirement to provide initial and variation margin. When the contract is closed, the Portfolio records a realized gain or loss equal to the difference between the value of the contract at the time it was opened and the time it was closed.
Use of long futures subjects the Portfolio to risk of loss in excess of the amounts shown on the statement of assets and liabilities, up to the notional value of the futures. Use of short futures subjects the Portfolio to unlimited risk of loss. Under some circumstances, futures exchanges may establish daily limits on the amount that the price of futures can vary from the previous day’s settlement price, which could effectively prevent liquidation of unfavorable positions.
During the year ended December 31, 2021, the Portfolio held futures for hedging and non-hedging purposes.
| | • | | Forward Currency Exchange Contracts |
The Portfolio may enter into forward currency exchange contracts in order to hedge its exposure to changes in foreign currency exchange rates on its foreign portfolio holdings, to hedge certain firm purchase and sale commitments denominated in foreign currencies and for non-hedging purposes as a means of making direct investments in foreign currencies, as described below under “Currency Transactions”.
A forward currency exchange contract is a commitment to purchase or sell a foreign currency at a future date at a negotiated forward rate. The gain or loss arising from the difference between the original contract and the closing of such contract would be included in net realized gain or loss on forward currency exchange contracts. Fluctuations in the value of open forward currency exchange contracts are recorded for financial reporting purposes as unrealized appreciation and/or depreciation by the Portfolio. Risks may arise from the potential inability of a counterparty to meet the terms of a contract and from unanticipated movements in the value of a foreign currency relative to the U.S. dollar.
During the year ended December 31, 2021, the Portfolio held forward currency exchange contracts for hedging and non-hedging purposes.
For hedging and investment purposes, the Portfolio may purchase and write (sell) put and call options on U.S. and foreign securities, including government securities, and foreign currencies that are traded on U.S. and foreign securities exchanges and over-the-counter markets. Among other things, the Portfolio may use options transactions for non-hedging purposes as a means of making direct investments in foreign currencies, as described below under “Currency Transactions” and may use options strategies involving the purchase and/or writing of various combinations of call and/or put options, for hedging and investment purposes.
The risk associated with purchasing an option is that the Portfolio pays a premium whether or not the option is exercised. Additionally, the Portfolio bears the risk of loss of the premium and change in market value should the counterparty not perform under the contract. If a put or call option purchased by the Portfolio were permitted to expire without being sold or exercised, its premium would represent a loss to the Portfolio. Put and call options purchased are accounted for in the same manner as portfolio securities. The cost of securities acquired through the exercise of call options is increased by premiums paid. The proceeds from securities sold through the exercise of put options are decreased by the premiums paid.
39
| | |
| DYNAMIC ASSET ALLOCATION PORTFOLIO |
| NOTES TO FINANCIAL STATEMENTS | | |
| |
| (continued) | | AB Variable Products Series Fund |
When the Portfolio writes an option, the premium received by the Portfolio is recorded as a liability and is subsequently adjusted to the current market value of the option written. The Portfolio’s maximum payment for written put options equates to the number of shares multiplied by the strike price. In certain circumstances maximum payout amounts may be partially offset by recovery values of the respective referenced assets and upfront premium received upon entering into the contract. Premiums received from written options which expire unexercised are recorded by the Portfolio on the expiration date as realized gains from options written. The difference between the premium received and the amount paid on effecting a closing purchase transaction, including brokerage commissions, is also treated as a realized gain, or if the premium received is less than the amount paid for the closing purchase transaction, as a realized loss. If a call option is exercised, the premium received is added to the proceeds from the sale of the underlying security or currency in determining whether the Portfolio has realized a gain or loss. If a put option is exercised, the premium received reduces the cost basis of the security or currency purchased by the Portfolio. In writing an option, the Portfolio bears the market risk of an unfavorable change in the price of the security or currency underlying the written option. Exercise of an option written by the Portfolio could result in the Portfolio selling or buying a security or currency at a price different from the current market value.
During the year ended December 31, 2021, the Portfolio held purchased options for hedging and non-hedging purposes.
The Portfolio may enter into swaps to hedge its exposure to interest rates, credit risk, equity markets or currencies. The Portfolio may also enter into swaps for non-hedging purposes as a means of gaining market exposures, making direct investments in foreign currencies, as described below under “Currency Transactions” or in order to take a “long” or “short” position with respect to an underlying referenced asset described below under “Total Return Swaps”. A swap is an agreement that obligates two parties to exchange a series of cash flows at specified intervals based upon or calculated by reference to changes in specified prices or rates for a specified amount of an underlying asset. The payment flows are usually netted against each other, with the difference being paid by one party to the other. In addition, collateral may be pledged or received by the Portfolio in accordance with the terms of the respective swaps to provide value and recourse to the Portfolio or its counterparties in the event of default, bankruptcy or insolvency by one of the parties to the swap.
Risks may arise as a result of the failure of the counterparty to the swap to comply with the terms of the swap. The loss incurred by the failure of a counterparty is generally limited to the net interim payment to be received by the Portfolio, and/or the termination value at the end of the contract. Therefore, the Portfolio considers the creditworthiness of each counterparty to a swap in evaluating potential counterparty risk. This risk is mitigated by having a netting arrangement between the Portfolio and the counterparty and by the posting of collateral by the counterparty to the Portfolio to cover the Portfolio’s exposure to the counterparty. Additionally, risks may arise from unanticipated movements in interest rates or in the value of the underlying securities. The Portfolio accrues for the interim payments on swaps on a daily basis, with the net amount recorded within unrealized appreciation/depreciation of swaps on the statement of assets and liabilities, where applicable. Once the interim payments are settled in cash, the net amount is recorded as realized gain/(loss) on swaps on the statement of operations, in addition to any realized gain/(loss) recorded upon the termination of swaps. Upfront premiums paid or received for swaps are recognized as cost or proceeds on the statement of assets and liabilities and are amortized on a straight line basis over the life of the contract. Amortized upfront premiums are included in net realized gain/(loss) from swaps on the statement of operations. Fluctuations in the value of swaps are recorded as a component of net change in unrealized appreciation/depreciation of swaps on the statement of operations.
Total Return Swaps:
The Portfolio may enter into total return swaps in order to take a “long” or “short” position with respect to an underlying referenced asset. The Portfolio is subject to market price volatility of the underlying referenced asset. A total return swap involves commitments to pay interest in exchange for a market linked return based on a notional amount. To the extent that the total return of the security, group of securities or index underlying the transaction exceeds or falls short of the offsetting interest obligation, the Portfolio will receive a payment from or make a payment to the counterparty.
40
| | |
| |
| | | AB Variable Products Series Fund |
During the year ended December 31, 2021, the Portfolio held total return swaps for hedging and non-hedging purposes.
The Portfolio typically enters into International Swaps and Derivatives Association, Inc. Master Agreements (“ISDA Master Agreement”) with its OTC derivative contract counterparties in order to, among other things, reduce its credit risk to OTC counterparties. ISDA Master Agreements include provisions for general obligations, representations, collateral and events of default or termination. Under an ISDA Master Agreement, the Portfolio typically may offset with the OTC counterparty certain derivative financial instruments’ payables and/or receivables with collateral held and/or posted and create one single net payment (close-out netting) in the event of default or termination. In the event of a default by an OTC counterparty, the return of collateral with market value in excess of the Portfolio’s net liability, held by the defaulting party, may be delayed or denied.
The Portfolio’s ISDA Master Agreements may contain provisions for early termination of OTC derivative transactions in the event the net assets of the Portfolio decline below specific levels (“net asset contingent features”). If these levels are triggered, the Portfolio’s OTC counterparty has the right to terminate such transaction and require the Portfolio to pay or receive a settlement amount in connection with the terminated transaction. If OTC derivatives were held at period end, please refer to netting arrangements by the OTC counterparty table below for additional details.
During the year ended December 31, 2021, the Portfolio had entered into the following derivatives:
| | | | | | | | | | | | |
| | | Asset Derivatives | | | Liability Derivatives | |
Derivative Type | | Statement of
Assets and Liabilities Location | | Fair Value | | | Statement of
Assets and Liabilities Location | | Fair Value | |
Interest rate contracts | | Receivable/Payable for variation margin on futures | | $ | 261,111 | * | | Receivable/Payable for variation margin on futures | | $ | 46,758 | * |
| | | | |
Equity contracts | | Receivable/Payable for variation margin on futures | | | 286,435 | * | | Receivable/Payable for variation margin on futures | | | 37,672 | * |
| | | | |
Foreign currency contracts | | Unrealized appreciation on forward currency exchange contracts | | | 966,009 | | | Unrealized depreciation on forward currency exchange contracts | | | 894,890 | |
| | | | |
Equity contracts | | Investments in securities, at value | | | 891,942 | | | | | | | |
| | | | |
Equity contracts | | Unrealized appreciation on total return swaps | | | 27,257 | | | | | | | |
| | | | | | | | | | | | |
| | | | |
Total | | | | $ | 2,432,754 | | | | | $ | 979,320 | |
| | | | | | | | | | | | |
| * | | 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. |
| | | | | | | | | | |
Derivative Type | | Location of Gain or (Loss) on Derivatives
Within Statement of Operations | | Realized Gain or
(Loss) on
Derivatives | | | Change in Unrealized
Appreciation or
(Depreciation) | |
Interest rate contracts | | Net realized gain (loss) on futures; Net change in unrealized appreciation/depreciation of futures | | $ | (2,813,830 | ) | | $ | 182,003 | |
| | | |
Equity contracts | | Net realized gain (loss) on futures; Net change in unrealized appreciation/depreciation of futures | | | 1,047,128 | | | | (1,043,016 | ) |
| | | |
Foreign currency contracts | | Net realized gain (loss) on forward currency exchange contracts; Net change in unrealized appreciation/depreciation of forward currency exchange contracts | | | 2,026,759 | | | | 586,582 | |
41
| | |
| DYNAMIC ASSET ALLOCATION PORTFOLIO |
| NOTES TO FINANCIAL STATEMENTS | | |
| |
| (continued) | | AB Variable Products Series Fund |
| | | | | | | | | | |
Derivative Type | | Location of Gain or (Loss) on Derivatives
Within Statement of Operations | | Realized Gain or
(Loss) on
Derivatives | | | Change in Unrealized
Appreciation or
(Depreciation) | |
Equity contracts | | Net realized gain (loss) on investment transactions; Net change in unrealized appreciation/depreciation of investments | | $ | (493,958 | ) | | $ | (120,008 | ) |
| | | |
Equity contracts | | Net realized gain (loss) on swaps; Net change in unrealized appreciation/depreciation of swaps | | | 270 | | | | 27,257 | |
| | | | | | | | | | |
Total | | | | $ | (233,631 | ) | | $ | (367,182 | ) |
| | | | | | | | | | |
The following table represents the average monthly volume of the Portfolio’s derivative transactions during the year ended December 31, 2021:
| | | | |
Futures: | | | | |
Average notional amount of buy contracts | | $ | 93,146,865 | |
Average notional amount of sale contracts | | $ | 34,570,580 | |
Forward Currency Exchange Contracts: | | | | |
Average principal amount of buy contracts | | $ | 62,461,549 | |
Average principal amount of sale contracts | | $ | 92,896,716 | |
Purchased Options: | | | | |
Average notional amount | | $ | 33,456,053 | (a) |
Total Return Swaps: | | | | |
Average notional amount | | $ | 1,095,482 | (b) |
| (a) | | Positions were open for five months during the year. |
| (b) | | Positions were open for one month during the year. |
For financial reporting purposes, the Portfolio does not offset derivative assets and derivative liabilities that are subject to netting arrangements in the statement of assets and liabilities.
All OTC derivatives held at period end were subject to netting arrangements. The following table presents the Portfolio’s derivative assets and liabilities by OTC counterparty net of amounts available for offset under ISDA Master Agreements (“MA”) and net of the related collateral received/pledged by the Portfolio as of December 31, 2021. Exchange-traded derivatives and centrally cleared swaps are not subject to netting arrangements and as such are excluded from the table.
| | | | | | | | | | | | | | | | | | | | |
Counterparty | | Derivative Assets
Subject to a MA | | | Derivatives
Available for
Offset | | | Cash Collateral
Received* | | | Security Collateral
Received* | | | Net Amount of
Derivative Assets | |
BNP Paribas SA | | $ | 22,771 | | | $ | –0 | – | | $ | –0 | – | | $ | –0 | – | | $ | 22,771 | |
Citibank, NA | | | 210,462 | | | | (36,881 | ) | | | –0 | – | | | –0 | – | | | 173,581 | |
Credit Suisse International | | | 114,378 | | | | (114,378 | ) | | | –0 | – | | | –0 | – | | | –0 | – |
Goldman Sachs Bank USA | | | 38,350 | | | | (34,190 | ) | | | –0 | – | | | –0 | – | | | 4,160 | |
HSBC Bank USA | | | 86,826 | | | | (86,826 | ) | | | –0 | – | | | –0 | – | | | –0 | – |
Morgan Stanley Capital Services, Inc. | | | 470,723 | | | | (260,687 | ) | | | –0 | – | | | –0 | – | | | 210,036 | |
State Street Bank & Trust Co. | | | 49,756 | | | | (20,205 | ) | | | –0 | – | | | –0 | – | | | 29,551 | |
UBS AG | | | 891,942 | | | | –0 | – | | | (891,942 | ) | | | –0 | – | | | –0 | – |
| | | | | | | | | | | | | | | | | | | | |
Total | | $ | 1,885,208 | | | $ | (553,167 | ) | | $ | (891,942 | ) | | $ | –0 | – | | $ | 440,099 | ^ |
| | | | | | | | | | | | | | | | | | | | |
42
| | |
| |
| | | AB Variable Products Series Fund |
| | | | | | | | | | | | | | | | | | | | |
Counterparty | | Derivative Liabilities
Subject to a MA | | | Derivatives
Available for
Offset | | | Cash Collateral
Pledged* | | | Security Collateral
Pledged* | | | Net Amount of
Derivative Liabilities | |
Citibank, NA | | $ | 36,881 | | | $ | (36,881 | ) | | $ | –0 | – | | $ | –0 | – | | $ | –0 | – |
Credit Suisse International | | | 277,416 | | | | (114,378 | ) | | | –0 | – | | | –0 | – | | | 163,038 | |
Goldman Sachs Bank USA | | | 34,190 | | | | (34,190 | ) | | | –0 | – | | | –0 | – | | | –0 | – |
HSBC Bank USA | | | 242,467 | | | | (86,826 | ) | | | –0 | – | | | –0 | – | | | 155,641 | |
JPMorgan Chase Bank, NA | | | 23,044 | | | | –0 | – | | | –0 | – | | | –0 | – | | | 23,044 | |
Morgan Stanley Capital Services, Inc. | | | 260,687 | | | | (260,687 | ) | | | –0 | – | | | –0 | – | | | –0 | – |
State Street Bank & Trust Co. | | | 20,205 | | | | (20,205 | ) | | | –0 | – | | | –0 | – | | | –0 | – |
| | | | | | | | | | | | | | | | | | | | |
Total | | $ | 894,890 | | | $ | (553,167 | ) | | $ | –0 | – | | $ | –0 | – | | $ | 341,723 | ^ |
| | | | | | | | | | | | | | | | | | | | |
| * | | The actual collateral received/pledged may be more than the amount reported due to over-collateralization. |
| ^ | | Net amount represents the net receivable/payable that would be due from/to the counterparty in the event of default or termination. The net amount from OTC financial derivative instruments can only be netted across transactions governed under the same master agreement with the same counterparty. |
2. Currency Transactions
The Portfolio may invest in non-U.S. Dollar-denominated securities on a currency hedged or unhedged basis. The Portfolio may seek investment opportunities by taking long or short positions in currencies through the use of currency-related derivatives, including forward currency exchange contracts, futures and options on futures, swaps, and other options. The Portfolio may enter into transactions for investment opportunities when it anticipates that a foreign currency will appreciate or depreciate in value but securities denominated in that currency are not held by the Portfolio and do not present attractive investment opportunities. Such transactions may also be used when the Adviser believes that it may be more efficient than a direct investment in a foreign currency-denominated security. The Portfolio may also conduct currency exchange contracts on a spot basis (i.e., for cash at the spot rate prevailing in the currency exchange market for buying or selling currencies).
NOTE E: Securities Lending
The Portfolio may enter into securities lending transactions. Under the Portfolio’s securities lending program, all loans of securities will be collateralized continually by cash collateral and/or non-cash collateral. Non-cash collateral will include only securities issued or guaranteed by the U.S. government or its agencies or instrumentalities. The Portfolio cannot sell or repledge any non-cash collateral, such collateral will not be reflected in the portfolio of investments. If a loan is collateralized by cash, the Portfolio will be compensated for the loan from a portion of the net return from the income earned on cash collateral after a rebate is paid to the borrower (in some cases, this rebate may be a “negative rebate” or fee paid by the borrower to the Portfolio in connection with the loan), and payments are made for fees of the securities lending agent and for certain other administrative expenses. If the Portfolio receives non-cash collateral, the Portfolio will receive a fee from the borrower generally equal to a negotiated percentage of the market value of the loaned securities. The Portfolio will have the right to call a loan and obtain the securities loaned at any time on notice to the borrower within the normal and customary settlement time for the securities. While the securities are on loan, the borrower is obligated to pay the Portfolio amounts equal to any dividend income or other distributions from the securities; however, these distributions will not be afforded the same preferential tax treatment as qualified dividends. The Portfolio will not be able to exercise voting rights with respect to any securities during the existence of a loan, but will have the right to regain ownership of loaned securities in order to exercise voting or other ownership rights. Collateral received and securities loaned are marked to market daily to ensure that the securities loaned are secured by collateral. The lending agent currently invests the cash collateral received in Government Money Market Portfolio, an eligible money market vehicle, in accordance with the investment restrictions of the Portfolio, and as approved by the Board. The collateral received on securities loaned is recorded as an asset as well as a corresponding liability in the statement of assets and liabilities. The collateral will be adjusted the next business day to maintain the required collateral amount. The amounts of securities lending income from the borrowers and Government Money Market Portfolio are reflected in the statement of operations. When the Portfolio earns net securities lending income from Government Money Market Portfolio, the income is inclusive of a rebate expense paid to the borrower. In connection with the cash collateral investment by the Portfolio in Government Money Market Portfolio, the Adviser has agreed to waive a portion of the Portfolio’s share of the advisory fees of Government Money Market Portfolio, as borne indirectly by the Portfolio as an
43
| | |
| DYNAMIC ASSET ALLOCATION PORTFOLIO |
| NOTES TO FINANCIAL STATEMENTS | | |
| |
| (continued) | | AB Variable Products Series Fund |
acquired fund fee and expense. When the Portfolio lends securities, its investment performance will continue to reflect changes in the value of the securities loaned. A principal risk of lending portfolio securities is that the borrower may fail to return the loaned securities upon termination of the loan and that the collateral will not be sufficient to replace the loaned securities. The lending agent has agreed to indemnify the Portfolio in the case of default of any securities borrower.
A summary of the Portfolio’s transactions surrounding securities lending for the year ended December 31, 2021 is as follows:
| | | | | | | | | | | | | | | | | | | | | | |
Market Value of
Securities on Loan* | | | Cash Collateral* | | | Market Value of
Non-Cash
Collateral* | | | Income from
Borrowers | | | Government Money Market
Portfolio | |
| | Income Earned | | | Advisory Fee
Waived | |
| $ | 5,723,503 | | | $ | 1,311,824 | | | $ | 4,719,640 | | | $ | 11,060 | | | $ | 218 | | | $ | 3 | |
| * | | As of December 31, 2021. |
NOTE F: Capital Stock
Each class consists of 500,000,000 authorized shares. Transactions in capital shares for each class were as follows:
| | | | | | | | | | | | | | | | | | | | |
| | | SHARES | | | | | | AMOUNT | |
| | | Year Ended
December 31,
2021 | | | Year Ended
December 31,
2020 | | | | | | Year Ended
December 31,
2021 | | | Year Ended
December 31,
2020 | |
Class A | |
Shares sold | | | 4,182 | | | | 6,869 | | | | | | | $ | 60,584 | | | $ | 86,958 | |
Shares issued in reinvestment of dividends | | | 493 | | | | 502 | | | | | | | | 7,238 | | | | 6,470 | |
Shares redeemed | | | (3,316 | ) | | | (9,641 | ) | | | | | | | (47,220 | ) | | | (126,155 | ) |
| | | | | | | | | | | | | | | | | | | | |
Net increase (decrease) | | | 1,359 | | | | (2,270 | ) | | | | | | $ | 20,602 | | | $ | (32,727 | ) |
| | | | | | | | | | | | | | | | | | | | |
Class B | |
Shares sold | | | 1,070,080 | | | | 1,311,598 | | | | | | | $ | 15,318,153 | | | $ | 16,672,485 | |
Shares issued in reinvestment of dividends | | | 330,195 | | | | 619,947 | | | | | | | | 4,827,444 | | | | 7,947,724 | |
Shares redeemed | | | (20,825,702 | ) | | | (4,763,950 | ) | | | | | | | (304,107,726 | ) | | | (60,968,021 | ) |
| | | | | | | | | | | | | | | | | | | | |
Net decrease | | | (19,425,427 | ) | | | (2,832,405 | ) | | | | | | $ | (283,962,129 | ) | | $ | (36,347,812 | ) |
| | | | | | | | | | | | | | | | | | | | |
At December 31, 2021, certain shareholders of the Portfolio owned 90% in aggregate of the Portfolio’s outstanding shares. Significant transactions by such shareholders, if any, may impact the Portfolio’s performance.
NOTE G: Risks Involved in Investing in the Portfolio
Market Risk—The value of the Portfolio’s assets will fluctuate as the stock or bond market fluctuates. The value of its investments may decline, sometimes rapidly and unpredictably, simply because of economic changes or other events, including public health crises (including the occurrence of a contagious disease or illness), that affect large portions of the market.
Interest-Rate Risk—Changes in interest rates will affect the value of investments in fixed-income securities. When interest rates rise, the value of existing investments in fixed-income securities tends to fall and this decrease in value may not be offset by higher income from new investments. Interest rate risk is generally greater for fixed-income securities with longer maturities or durations. The current historically low interest rate environment heightens the risks associated with rising interest rates.
Credit Risk—An issuer or guarantor of a fixed-income security, or the counterparty to a derivatives or other contract, may be unable or unwilling to make timely payments of interest or principal, or to otherwise honor its obligations. The issuer or guarantor may default, causing a loss of the full principal amount of a security and accrued interest. The degree of risk for a particular security may be reflected in its credit rating. There is the possibility that the credit rating of a fixed-income security may be downgraded after purchase, which may adversely affect the value of the security. Investments in fixed-income securities with lower ratings tend to have a higher probability that an issuer will default or fail to meet its payment obligations.
Allocation Risk—The allocation of investments among different global asset classes may have a significant effect on the Portfolio’s net asset value, or NAV, when one of these asset classes is performing more poorly than others. As both the
44
| | |
| |
| | | AB Variable Products Series Fund |
direct investments and derivatives positions will be periodically adjusted to reflect the Adviser’s view of market and economic conditions, there will be transaction costs that may be, over time, significant. In addition, there is a risk that certain asset allocation decisions may not achieve the desired results and, as a result, the Portfolio may incur significant losses.
Foreign (Non-U.S.) Risk—The Portfolio’s investments in securities of non-U.S. issuers may involve more risk than those of U.S. issuers. These securities may fluctuate more widely in price and may be more difficult to trade due to adverse market, economic, political, regulatory or other factors.
Emerging Market Risk—Investments in emerging market countries may have more risk because the markets are less developed and less liquid, and because these investments may be subject to increased economic, political, regulatory or other uncertainties.
Currency Risk—Fluctuations in currency exchange rates may negatively affect the value of the Portfolio’s investments or reduce its returns.
ETF Risk—ETFs, are investment companies. When the Portfolio invests in an ETF, the Portfolio bears its share of the ETF’s expenses and runs the risk that the ETF may not achieve its investment objective.
Derivatives Risk—Derivatives may be difficult to price or unwind and leveraged so that small changes may produce disproportionate losses for the Portfolio. Derivatives, especially over-the-counter derivatives, are also subject to counterparty risk, which is the risk that the counterparty (the party on the other side of the transaction) on a derivative transaction will be unable or unwilling to honor its contractual obligation to the Portfolio.
Leverage Risk—When the Portfolio borrows money or otherwise leverages its investments, its performance may be volatile because leverage tends to exaggerate the effect of any increase or decrease in the value of the Portfolio’s investments. The Portfolio may create leverage through the use of reverse repurchase arrangements, forward currency exchange contracts, forward commitments, dollar rolls or futures or by borrowing money. The use of other types of derivative instruments by the Portfolio, such as options and swaps, may also result in a form of leverage. Leverage may result in higher returns to the Portfolio than if the Portfolio were not leveraged, but may also adversely affect returns, particularly if the market is declining.
Illiquid Investments Risk—Illiquid investments risk exists when certain investments are or become difficult to purchase or sell. Difficulty in selling such investments may result in sales at disadvantageous prices affecting the value of your investment in the Portfolio. Causes of illiquid investments risk may include low trading volumes, large positions and heavy redemptions of Portfolio shares.
Capitalization Risk—Investments in small- and mid-capitalization companies may be more volatile than investments in large-capitalization companies. Investments in small- and mid-capitalization companies may have additional risks because these companies have limited product lines, markets or financial resources.
Real Estate Risk—The Portfolio’s investments in real estate securities have many of the same risks as direct ownership of real estate, including the risk that the value of real estate could decline due to a variety of factors that affect the real estate market generally. Investments in real estate investment trusts, or REITs, may have additional risks. REITs are dependent on the capability of their managers, may have limited diversification, and could be significantly affected by changes in taxes.
LIBOR Transition and Associated Risk—A Portfolio may be exposed to debt securities, derivatives or other financial instruments that are tied to the London Interbank Offered Rate, or “LIBOR,” as a “benchmark” or “reference rate” for various interest rate calculations. In 2017, the United Kingdom Financial Conduct Authority (“FCA”), which regulates LIBOR, announced a desire to phase out the use of LIBOR by the end of 2021. The FCA and LIBOR’s administrator, ICE Benchmark Administration, have since announced that most LIBOR settings (which reflect LIBOR rates quoted in different currencies over various time periods) will no longer be published after the end of 2021 but that the most widely used U.S. dollar LIBOR settings will continue to be published until June 30, 2023. However, banks were strongly encouraged to cease entering into agreements with counterparties referencing LIBOR by the end of 2021. It is possible that a subset of LIBOR settings will be published after these dates on a “synthetic” basis, but any such publications would be considered non-representative of the underlying market. The U.S. Federal Reserve, based on the recommendations of the New York Federal Reserve’s Alternative Reference Rate Committee (comprised of major derivative market participants and their regulators), has begun publishing a Secured Overnight Funding Rate (referred to as SOFR), which is intended to replace U.S. dollar LIBOR. Proposals for alternative reference rates for other currencies have also been announced or have already begun publication. Markets are slowly developing in response to these new rates.
45
| | |
| DYNAMIC ASSET ALLOCATION PORTFOLIO |
| NOTES TO FINANCIAL STATEMENTS | | |
| |
| (continued) | | AB Variable Products Series Fund |
The elimination of LIBOR or changes to other reference rates or any other changes or reforms to the determination or supervision of reference rates could have an adverse impact on the market for, or value of, any securities or payments linked to those reference rates, which may adversely affect a Portfolio’s performance and/or net asset value. Uncertainty and risk also remain regarding the willingness and ability of issuers and lenders to include revised provisions in new and existing contracts or instruments. Consequently, the transition away from LIBOR to other reference rates may lead to increased volatility and illiquidity in markets that are tied to LIBOR, fluctuations in values of LIBOR-related investments or investments in issuers that utilize LIBOR, increased difficulty in borrowing or refinancing and diminished effectiveness of hedging strategies, potentially adversely affecting a Portfolio’s performance. Furthermore, the risks associated with the expected discontinuation of LIBOR and transition may be exacerbated if the work necessary to effect an orderly transition to an alternative reference rate is not completed in a timely manner. The potential effects of a phase out of LIBOR on LIBOR-based investments are currently unknown.
Indemnification Risk—In the ordinary course of business, the Portfolio enters into contracts that contain a variety of indemnifications. The Portfolio’s maximum exposure under these arrangements is unknown. However, the Portfolio has not had prior claims or losses pursuant to these indemnification provisions and expects the risk of loss thereunder to be remote. Therefore, the Portfolio has not accrued any liability in connection with these indemnification provisions.
Management Risk—The Portfolio is subject to management risk because it is an actively-managed investment fund. The Adviser will apply its investment techniques and risk analyses in making investment decisions for the Portfolio, but there is no guarantee that its techniques will produce the intended results. Some of these techniques may incorporate, or rely upon, quantitative models, but there is no guarantee that these models will generate accurate forecasts, reduce risk or otherwise perform as expected.
NOTE H: Joint Credit Facility
A number of open-end mutual funds managed by the Adviser, including the Portfolio, participate in a $325 million revolving credit facility (the “Facility”) intended to provide short-term financing related to redemptions and other short term liquidity requirements, subject to certain restrictions. Commitment fees related to the Facility are paid by the participating funds and are included in miscellaneous expenses in the statement of operations. The Portfolio did not utilize the Facility during the year ended December 31, 2021.
NOTE I: Distributions to Shareholders
The tax character of distributions paid during the fiscal years ended December 31, 2021 and December 31, 2020 were as follows:
| | | | | | | | |
| | | 2021 | | | 2020 | |
Distributions paid from: | | | | | | | | |
Ordinary income | | $ | 4,834,682 | | | $ | 7,954,194 | |
| | | | | | | | |
Total taxable distributions paid | | $ | 4,834,682 | | | $ | 7,954,194 | |
| | | | | | | | |
As of December 31, 2021, the components of accumulated earnings/(deficit) on a tax basis were as follows:
| | | | |
Undistributed ordinary income | | $ | 6,504,224 | |
Undistributed capital gains | | | 82,204,270 | (a) |
Other losses | | | (614,284 | )(b) |
Unrealized appreciation/(depreciation) | | | 81,248,936 | (c) |
| | | | |
Total accumulated earnings/(deficit) | | $ | 169,343,146 | |
| | | | |
| (a) | | During the fiscal year, the Portfolio utilized $9,750,954 of capital loss carry forwards to offset current year net realized gains. |
| (b) | | As of December 31, 2021, the cumulative deferred loss on straddles was $614,284. |
| (c) | | The differences between book-basis and tax-basis unrealized appreciation/(depreciation) are attributable primarily to the recognition for tax purposes of unrealized gains/losses on certain derivative instruments, return of capital distributions received from underlying securities, the tax treatment of passive foreign investment companies (PFICs), the tax deferral of losses on wash sales, the tax treatment of partnership investments, and corporate restructuring. |
For tax purposes, net realized capital losses may be carried over to offset future capital gains, if any. Funds are permitted to carry forward capital losses for an indefinite period, and such losses will retain their character as either short-term or long-term capital losses. As of December 31, 2021, the Portfolio did not have any capital loss carryforwards.
46
| | |
| |
| | | AB Variable Products Series Fund |
During the current fiscal year, there were no permanent differences that resulted in adjustments to distributable earnings or additional paid-in capital.
NOTE J: Recent Accounting Pronouncements
In March 2020, the Financial Accounting Standards Board issued an Accounting Standards Update, ASU 2020-04, “Reference Rate Reform (Topic 848) – Facilitation of the Effects of Reference Rate Reform on Financial Reporting.” ASU 2020-04 provides optional guidance to ease the potential accounting burden due to the discontinuation of the LIBOR and other interbank-offered based reference rates. ASU 2020-04 is effective as of March 12, 2020 through December 31, 2022. Management is currently evaluating the impact, if any, of applying ASU 2020-04.
NOTE K: Subsequent Events
Management has evaluated subsequent events for possible recognition or disclosure in the financial statements through the date the financial statements are issued. Management has determined that there are no material events that would require disclosure in the Portfolio’s financial statements through this date.
47
| | |
|
| DYNAMIC ASSET ALLOCATION PORTFOLIO |
| |
| FINANCIAL HIGHLIGHTS | | AB Variable Products Series Fund |
Selected Data For A Share Of Capital Stock Outstanding Throughout Each Period
| | | | | | | | | | | | | | | | | | | | |
| | | CLASS A | |
| | | Year Ended December 31, | |
| | | 2021 | | | 2020 | | | 2019 | | | 2018 | | | 2017 | |
Net asset value, beginning of period | | | $13.89 | | | | $13.46 | | | | $11.91 | | | | $13.07 | | | | $11.63 | |
| | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | |
Income From Investment Operations | | | | | | | | | | | | | | | | | | | | |
Net investment income (a)(b) | | | .14 | | | | .15 | | | | .23 | | | | .20 | | | | .17 | |
Net realized and unrealized gain (loss) on investment and foreign currency transactions | | | 1.20 | | | | .51 | | | | 1.60 | | | | (1.11 | ) | | | 1.52 | |
Contributions from Affiliates | | | –0 | – | | | –0 | – | | | –0 | – | | | –0 | – | | | .00 | (c) |
| | | | | | | | | | | | | | | | | | | | |
Net increase (decrease) in net asset value from operations | | | 1.34 | | | | .66 | | | | 1.83 | | | | (.91 | ) | | | 1.69 | |
| | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | |
Less: Dividends and Distributions | | | | | | | | | | | | | | | | | | | | |
Dividends from net investment income | | | (.29 | ) | | | (.23 | ) | | | (.27 | ) | | | (.23 | ) | | | (.25 | ) |
Distributions from net realized gain on investment transactions | | | –0 | – | | | –0 | – | | | (.01 | ) | | | (.02 | ) | | | –0 | – |
| | | | | | | | | | | | | | | | | | | | |
Total dividends and distributions | | | (.29 | ) | | | (.23 | ) | | | (.28 | ) | | | (.25 | ) | | | (.25 | ) |
| | | | | | | | | | | | | | | | | | | | |
Net asset value, end of period | | | $14.94 | | | | $13.89 | | | | $13.46 | | | | $11.91 | | | | $13.07 | |
| | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | |
Total Return | | | | | | | | | | | | | | | | | | | | |
Total investment return based on net asset value (d) | | | 9.67 | % | | | 5.02 | % | | | 15.51 | % | | | (7.07 | )% | | | 14.67 | % |
| | | | | | | | | | | | | | | | | | | | |
Ratios/Supplemental Data | | | | | | | | | | | | | | | | | | | | |
Net assets, end of period (000’s omitted) | | | $412 | | | | $364 | | | | $383 | | | | $355 | | | | $328 | |
Ratio to average net assets of: | | | | | | | | | | | | | | | | | | | | |
Expenses, net of waivers/reimbursements (e)‡ | | | .82 | % | | | .80 | % | | | .80 | % | | | .78 | % | | | .77 | % |
Expenses, before waivers/reimbursements (e)‡ | | | .83 | % | | | .80 | % | | | .80 | % | | | .79 | % | | | .78 | % |
Net investment income (b) | | | .98 | % | | | 1.18 | % | | | 1.78 | % | | | 1.60 | % | | | 1.39 | % |
Portfolio turnover rate | | | 32 | % | | | 13 | % | | | 19 | % | | | 24 | % | | | 20 | % |
| | | | | | | | | | | | | | | | | | | | |
‡ Expense ratios exclude the estimated acquired fund fees of the affiliated/unaffiliated underlying | |
portfolios | | | .01 | % | | | .01 | % | | | .02 | % | | | .03 | % | | | .04 | % |
See footnote summary on page 49.
48
| | |
| |
| | | AB Variable Products Series Fund |
Selected Data For A Share Of Capital Stock Outstanding Throughout Each Period
| | | | | | | | | | | | | | | | | | | | |
| | | CLASS B | |
| | | Year Ended December 31, | |
| | | 2021 | | | 2020 | | | 2019 | | | 2018 | | | 2017 | |
Net asset value, beginning of period | | | $13.80 | | | | $13.36 | | | | $11.82 | | | | $12.98 | | | | $11.56 | |
| | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | |
Income From Investment Operations | | | | | | | | | | | | | | | | | | | | |
Net investment income (a)(b) | | | .12 | | | | .12 | | | | .19 | | | | .17 | | | | .14 | |
Net realized and unrealized gain (loss) on investment and foreign currency transactions | | | 1.16 | | | | .51 | | | | 1.60 | | | | (1.11 | ) | | | 1.50 | |
Contributions from Affiliates | | | –0 | – | | | –0 | – | | | –0 | – | | | –0 | – | | | .00 | (c) |
| | | | | | | | | | | | | | | | | | | | |
Net increase (decrease) in net asset value from operations | | | 1.28 | | | | .63 | | | | 1.79 | | | | (.94 | ) | | | 1.64 | |
| | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | |
Less: Dividends and Distributions | | | | | | | | | | | | | | | | | | | | |
Dividends from net investment income | | | (.23 | ) | | | (.19 | ) | | | (.24 | ) | | | (.20 | ) | | | (.22 | ) |
Distributions from net realized gain on investment transactions | | | –0 | – | | | –0 | – | | | (.01 | ) | | | (.02 | ) | | | –0 | – |
| | | | | | | | | | | | | | | | | | | | |
Total dividends and distributions | | | (.23 | ) | | | (.19 | ) | | | (.25 | ) | | | (.22 | ) | | | (.22 | ) |
| | | | | | | | | | | | | | | | | | | | |
Net asset value, end of period | | | $14.85 | | | | $13.80 | | | | $13.36 | | | | $11.82 | | | | $12.98 | |
| | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | |
Total Return | | | | | | | | | | | | | | | | | | | | |
Total investment return based on net asset value (d) | | | 9.28 | % | | | 4.86 | % | | | 15.24 | % | | | (7.35 | )% | | | 14.32 | % |
| | | | | | | | | | | | | | | | | | | | |
Ratios/Supplemental Data | | | | | | | | | | | | | | | | | | | | |
Net assets, end of period (000’s omitted) | | | $301,920 | | | | $548,422 | | | | $568,985 | | | | $533,467 | | | | $604,703 | |
Ratio to average net assets of: | | | | | | | | | | | | | | | | | | | | |
Expenses, net of waivers/reimbursements (e)‡ | | | 1.06 | % | | | 1.05 | % | | | 1.05 | % | | | 1.03 | % | | | 1.03 | % |
Expenses, before waivers/reimbursements (e)‡ | | | 1.07 | % | | | 1.06 | % | | | 1.05 | % | | | 1.04 | % | | | 1.04 | % |
Net investment income (b) | | | .80 | % | | | .93 | % | | | 1.51 | % | | | 1.35 | % | | | 1.15 | % |
Portfolio turnover rate | | | 32 | % | | | 13 | % | | | 19 | % | | | 24 | % | | | 20 | % |
| | | | | | | | | | | | | | | | | | | | |
‡ Expense ratios exclude the estimated acquired fund fees of the affiliated/unaffiliated underlying | |
portfolios | | | .01 | % | | | .01 | % | | | .02 | % | | | .03 | % | | | .04 | % |
| (a) | | Based on average shares outstanding. |
| (b) | | Net of expenses waived/reimbursed by the Adviser. |
| (c) | | Amount is less than $.005. |
| (d) | | Total investment return is calculated assuming an initial investment made at the net asset value at the beginning of the period, reinvestment of all dividends and distributions at net asset value during the period, and redemption on the last day of the period. Total return does not reflect (i) insurance company’s separate account related expense charges and (ii) the deductions of taxes that a shareholder would pay on Portfolio distributions or the redemption of Portfolio shares. Total investment return calculated for a period of less than one year is not annualized. |
| (e) | | In connection with the Portfolio’s investments in affiliated underlying portfolios, the Portfolio incurs no direct expenses, but bears proportionate shares of the fees and expenses (i.e., operating, administrative and investment advisory fees) of the affiliated underlying portfolios. The Adviser has contractually agreed to waive its fees from the Portfolio in an amount equal to the Portfolio’s pro rata share of certain acquired fund fees and expenses, and for the years ended December 31, 2018 and December 31, 2017, such waiver amounted to .01% and .01%, respectively. |
See notes to financial statements.
49
| | |
| | |
| REPORT OF INDEPENDENT REGISTERED | | |
| |
| PUBLIC ACCOUNTING FIRM | | AB Variable Products Series Fund |
To the Shareholders and the Board of Directors of AB Dynamic Asset Allocation Portfolio
Opinion on the Financial Statements
We have audited the accompanying statement of assets and liabilities of AB Dynamic Asset Allocation Portfolio (the “Portfolio”) (one of the portfolios constituting AB Variable Products Series Fund, Inc. (the “Fund”)), including the portfolio of investments, as of December 31, 2021, and the related statement of operations for the year then ended, the statements of changes in net assets for each of the two years in the period then ended, the financial highlights for each of the five years in the period then ended and the related notes (collectively referred to as the “financial statements”). In our opinion, the financial statements present fairly, in all material respects, the financial position of the Portfolio (one of the portfolios constituting AB Variable Products Series Fund, Inc.) at December 31, 2021, the results of its operations for the year then ended, the changes in its net assets for each of the two years in the period then ended and its financial highlights for each of the five years in the period then ended, in conformity with U.S. generally accepted accounting principles.
Basis for Opinion
These financial statements are the responsibility of the Fund’s management. Our responsibility is to express an opinion on the Portfolio’s financial statements based on our audits. We are a public accounting firm registered with the Public Company Accounting Oversight Board (United States) (“PCAOB”) and are required to be independent with respect to the Fund in accordance with the U.S. federal securities laws and the applicable rules and regulations of the Securities and Exchange Commission and the PCAOB.
We conducted our audits in accordance with the standards of the PCAOB. Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements are free of material misstatement, whether due to error or fraud. The Fund is not required to have, nor were we engaged to perform, an audit of the Fund’s internal control over financial reporting. As part of our audits we are required to obtain an understanding of internal control over financial reporting but not for the purpose of expressing an opinion on the effectiveness of the Fund’s internal control over financial reporting. Accordingly, we express no such opinion.
Our audits included performing procedures to assess the risks of material misstatement of the financial statements, whether due to error or fraud, and performing procedures that respond to those risks. Such procedures included examining, on a test basis, evidence regarding the amounts and disclosures in the financial statements. Our procedures included confirmation of securities owned as of December 31, 2021, by correspondence with the custodian and others or by other appropriate auditing procedures where replies from others were not received. Our audits also included evaluating the accounting principles used and significant estimates made by management, as well as evaluating the overall presentation of the financial statements. We believe that our audits provide a reasonable basis for our opinion.
We have served as the auditor of one or more of the AB investment companies since 1968.
New York, New York
February 14, 2022
50
| | |
| | |
| | |
| |
| 2021 TAX INFORMATION (unaudited) | | AB Variable Products Series Fund |
For Federal income tax purposes, the following information is furnished with respect to the distributions paid by the Portfolio during the taxable year ended December 31, 2021. For corporate shareholders, 44.94% of dividends paid qualify for the dividends received deduction.
51
| | |
| | |
| DYNAMIC ASSET ALLOCATION | | |
| |
| PORTFOLIO | | AB Variable Products Series Fund |
| | |
| BOARD OF DIRECTORS | | |
Marshall C. Turner, Jr.(1), Chairman Jorge A. Bermudez(1) Michael J. Downey(1) Onur Erzan*, President and
Chief Executive Officer | | Nancy P. Jacklin(1) Jeanette W. Loeb(1) Carol C. McMullen(1) Garry L. Moody(1) |
| | |
| | |
| OFFICERS | | |
Caglasu Altunkopru(2), Vice President Alexander Barenboym(2), Vice President Daniel J. Loewy(2), Vice President Emilie D. Wrapp, Secretary Michael B. Reyes, Senior Vice President and
Senior Analyst | | Joseph J. Mantineo, Treasurer and
Chief Financial Officer Phyllis J. Clarke, Controller Vincent S. Noto, Chief Compliance Officer |
|
|
|
|
|
| | |
| | |
| CUSTODIANAND ACCOUNTING AGENT | | LEGAL COUNSEL |
| State Street Bank and Trust Company | | Seward & Kissel LLP |
State Street Corporation CCB/5 1 Iron Street | | One Battery Park Plaza New York, NY 10004 |
| Boston, MA 02210 | | |
| | |
| DISTRIBUTOR | | TRANSFER AGENT |
| AllianceBernstein Investments, Inc. | | AllianceBernstein Investor Services, Inc. |
| 501 Commerce Street | | P.O. Box 786003 |
| Nashville, TN 37203 | | San Antonio, TX 78278 |
| | Toll-Free (800) 221-5672 |
| | |
| INDEPENDENT REGISTERED PUBLIC ACCOUNTING FIRM | | |
| Ernst & Young LLP | | |
| One Manhattan West | | |
| New York, NY 10001 | | |
| (1) | | Member of the Audit Committee, the Governance and Nominating Committee, and the Independent Directors Committee. |
| (2) | | The day-to-day management of, and investment decisions for, the Portfolio’s portfolio are made by the Adviser’s Dynamic Asset Allocation Team. Messrs. Barenboym and Loewy and Ms. Altunkopru are the investment professionals primarily responsible for the day-to-day management of the Portfolio’s portfolio. |
52
| | |
| | | |
| DYNAMIC ASSET ALLOCATION PORTFOLIO |
| |
| MANAGEMENT OF THE FUND | | AB Variable Products Series Fund |
Board of Directors Information
The business and affairs of the Fund are managed under the direction of the Board of Directors. Certain information concerning the Fund’s Directors is set forth below.
| | | | | | | | |
NAME, ADDRESS*,
AGE,
(YEAR FIRST ELECTED**) | | PRINCIPAL
OCCUPATION(S)
DURING PAST FIVE YEARS
AND OTHER INFORMATION*** | | PORTFOLIOS
IN AB FUND
COMPLEX
OVERSEEN BY
DIRECTOR | | | OTHER PUBLIC
COMPANY
DIRECTORSHIPS
CURRENTLY
HELD BY
DIRECTOR |
| INTERESTED DIRECTOR |
| | | | | | | | |
Onur Erzan,#
1345 Avenue of the Americas
New York, NY 10105
46
(2021) | | Senior Vice President of AllianceBernstein L.P. (the “Adviser”) and Head of the Global Client Group overseeing AB’s institutional and retail businesses, where he is responsible for all client services, sales and marketing, as well as product strategy, management and development worldwide. Director, President and Chief Executive Officer of the AB Mutual Funds as of April 1, 2021. Prior to joining the firm in January 2021, he spent 20 years with McKinsey (management consulting firm), most recently as a senior partner and co-leader of its Wealth & Asset Management practice. In addition, he co-led McKinsey’s Banking & Securities Solutions (a portfolio of data, analytics, and digital assets and capabilities) globally. | | | 74 | | | None |
| | | | | | | | |
| INDEPENDENT DIRECTORS | | | | | | |
| | | | | | | | |
Marshall C. Turner, Jr.,##
Chairman of the Board
80
(2005) | | Private Investor since prior to 2017. Former Chairman and CEO of Dupont Photomasks, Inc. (components of semi-conductor manufacturing). He was a Director of Xilinx, Inc. (programmable logic semiconductors and adaptable, intelligent computing) from 2007 through August 2020, and is a former director of 33 other companies and organizations. He has extensive operating leadership, and venture capital investing experience, including five interim or full-time CEO roles, and prior service as general partner of institutional venture capital partnerships. He also has extensive non-profit board leadership experience, and currently serves on the boards of two education and science-related non-profit organizations. He has served as a director of one AB Fund since 1992, and director or trustee of all AB Funds since 2005. He has been Chairman of the AB Funds since January 2014, and the Chairman of the Independent Directors Committees of such AB Funds since February 2014. | | | 74 | | | None |
| | | | | | | | |
53
| | |
| DYNAMIC ASSET ALLOCATION PORTFOLIO |
| MANAGEMENT OF THE FUND | | |
| |
| (continued) | | AB Variable Products Series Fund |
| | | | | | | | |
NAME, ADDRESS*,
AGE,
(YEAR FIRST ELECTED**) | | PRINCIPAL
OCCUPATION(S)
DURING PAST FIVE YEARS
AND OTHER INFORMATION*** | | PORTFOLIOS
IN AB FUND
COMPLEX
OVERSEEN BY
DIRECTOR | | | OTHER PUBLIC
COMPANY
DIRECTORSHIPS
CURRENTLY
HELD BY
DIRECTOR |
INDEPENDENT DIRECTORS (continued) |
| | | | | | | | |
Jorge A. Bermudez,##
70
(2020) | | Private Investor since prior to 2017. Formerly, Chief Risk Officer of Citigroup, Inc., a global financial services company, from November 2007 to March 2008, Chief Executive Officer of Citigroup’s Commercial Business Group in North America and Citibank Texas from 2005 to 2007, and a variety of other executive and leadership roles at various businesses within Citigroup prior to then; Chairman (2018) of the Texas A&M Foundation Board of Trustees (Trustee since 2013) and Chairman of the Smart Grid Center Board at Texas A&M University since 2012; director of, among others, Citibank N.A. from 2005 to 2008, the Federal Reserve Bank of Dallas, Houston Branch from 2009 to 2011, the Federal Reserve Bank of Dallas from 2011 to 2017, and the Electric Reliability Council of Texas from 2010 to 2016. He has served as director or trustee of the AB Funds since January 2020. | | | 74 | | | Moody’s Corporation since April 2011 |
| | | | | | | | |
Michael J. Downey,##
78
(2005) | | Private Investor since prior to 2017. Formerly, Chairman of The Asia Pacific Fund, Inc. (registered investment company) since prior to 2017 until January 2019. From 1987 until 1993, Chairman and CEO of Prudential Mutual Fund Management, director of the Prudential mutual funds, and member of the Executive Committee of Prudential Securities, Inc. He has served as a director or trustee of the AB Funds since 2005. | | | 74 | | | None |
| | | | | | | | |
Nancy P. Jacklin,##
73
(2006) | | Private Investor since prior to 2017. Professorial Lecturer at the Johns Hopkins School of Advanced International Studies (2008–2015). U.S. Executive Director of the International Monetary Fund (which is responsible for ensuring the stability of the international monetary system), (December 2002–May 2006); Partner, Clifford Chance (1992–2002); Sector Counsel, International Banking and Finance, and Associate General Counsel, Citicorp (1985–1992); Assistant General Counsel (International), Federal Reserve Board of Governors (1982–1985); and Attorney Advisor, U.S. Department of the Treasury (1973–1982). Member of the Bar of the District of Columbia and of New York; and member of the Council on Foreign Relations. She has served as a director or trustee of the AB Funds since 2006 and has been Chair of the Governance and Nominating Committees of the AB Funds since August 2014. | | | 74 | | | None |
| | | | | | | | |
54
| | |
| |
| | | AB Variable Products Series Fund |
| | | | | | |
NAME, ADDRESS*,
AGE,
(YEAR FIRST ELECTED**) | | PRINCIPAL
OCCUPATION(S)
DURING PAST FIVE YEARS
AND OTHER INFORMATION*** | | PORTFOLIOS
IN AB FUND
COMPLEX
OVERSEEN BY
DIRECTOR | | OTHER PUBLIC
COMPANY
DIRECTORSHIPS
CURRENTLY
HELD BY
DIRECTOR |
INDEPENDENT DIRECTORS (continued) |
| | | | | | |
Jeanette W. Loeb,##
69
(2020) | | Chief Executive Officer of PetCareRx (e-commerce pet pharmacy) from 2002 to 2011 and 2015 to present. Director of New York City Center since 2005. She was a director of AB Multi-Manager Alternative Fund, Inc. (fund of hedge funds) from 2012 to 2018. Formerly, affiliated with Goldman Sachs Group, Inc. (financial services) from 1977 to 1994, including as a partner thereof from 1986 to 1994. She has served as director or trustee of the AB Funds since April 2020. | | 74 | | Apollo Investment Corp. (business development company) since August 2011 |
| | | | | | |
Carol C. McMullen,##
66
(2016) | | Managing Director of Slalom Consulting (consulting) since 2014, private investor and a member of the Advisory Board of Butcher Box (since 2018). Formerly, member, Partners Healthcare Investment Committee (2010–2019); Director of Norfolk & Dedham Group (mutual property and casualty insurance) from 2011 until November 2016; Director of Partners Community Physicians Organization (healthcare) from 2014 until December 2016; and Managing Director of The Crossland Group (consulting) from 2012 until 2013. She has held a number of senior positions in the asset and wealth management industries, including at Eastern Bank (where her roles included President of Eastern Wealth Management), Thomson Financial (Global Head of Sales for Investment Management), and Putnam Investments (where her roles included Chief Investment Officer, Core and Growth and Head of Global Investment Research). She has served on a number of private company and non-profit boards, and as a director or trustee of the AB Funds since June 2016. | | 74 | | None |
| | | | | | |
55
| | |
| DYNAMIC ASSET ALLOCATION PORTFOLIO |
| MANAGEMENT OF THE FUND | | |
| |
| (continued) | | AB Variable Products Series Fund |
| | | | | | |
NAME, ADDRESS*,
AGE,
(YEAR FIRST ELECTED**) | | PRINCIPAL
OCCUPATION(S)
DURING PAST FIVE YEARS
AND OTHER INFORMATION*** | | PORTFOLIOS
IN AB FUND
COMPLEX
OVERSEEN BY
DIRECTOR | | OTHER PUBLIC
COMPANY
DIRECTORSHIPS
CURRENTLY
HELD BY
DIRECTOR |
INDEPENDENT DIRECTORS (continued) |
| | | | | | |
Garry L. Moody,##
69
(2008) | | Private Investor since prior to 2017. Formerly, Partner, Deloitte & Touche LLP (1995–2008) where he held a number of senior positions, including Vice Chairman, and U.S. and Global Investment Management Practice Managing Partner; President, Fidelity Accounting and Custody Services Company (1993–1995), where he was responsible for accounting, pricing, custody and reporting for the Fidelity mutual funds; and Partner, Ernst & Young LLP (1975–1993), where he served as the National Director of Mutual Fund Tax Services and Managing Partner of its Chicago Office Tax department. He is a member of the Trustee Advisory Board of BoardIQ, a biweekly publication focused on issues and news affecting directors of mutual funds. He is also a member of the Investment Company Institute’s Board of Governors and the Independent Directors Council’s Governing Council. He has served as a director or trustee, and as Chairman of the Audit Committees, of the AB Funds since 2008. | | 74 | | None |
| | | | | | |
| * | The address for each of the Fund’s disinterested Directors is c/o AllianceBernstein L.P., Attention: Legal & Compliance Department—Mutual Fund Legal, 1345 Avenue of the Americas, New York, NY 10105. |
| ** | There is no stated term of office for the Fund’s Directors. |
| *** | The information above includes each Director’s principal occupation during the last five years and other information relating to the experience, attributes and skills relevant to each Director’s qualifications to serve as a Director, which led to the conclusion that each Director should serve as a Director for the Fund. |
| # | Mr. Erzan is an “interested person” of the Fund, as defined in the “1940 Act”, due to his position as a Senior Vice President of the Adviser. |
| ## | Member of the Audit Committee, the Governance and Nominating Committee, and the Independent Directors Committee. |
56
| | |
| |
| | | AB Variable Products Series Fund |
Officer Information
Certain information concerning the Portfolio’s Officers is listed below.
| | | | |
NAME, ADDRESS*
AND AGE | | PRINCIPAL POSITION(S)
HELD WITH FUND | | PRINCIPAL OCCUPATION
DURING PAST FIVE (5) YEARS |
Onur Erzan 46 | | President and Chief Executive Officer | | See biography above. |
| | | | |
Caglasu Altunkopru 49 | | Vice President | | Senior Vice President of the Adviser**, with which she has been associated since prior to 2017. |
| | | | |
Alexander Barenboym 51 | | Vice President | | Senior Vice President of the Adviser**, with which he has been associated since prior to 2017. |
| | | | |
Daniel J. Loewy 47 | | Vice President | | Senior Vice President of the Adviser**, with which he has been associated since prior to 2017. He is also Chief Investment Officer and Head of Multi-Asset Solutions and Chief Investment Officer for Dynamic Asset Allocation. |
| | | | |
Emilie D. Wrapp 66 | | Secretary | | Senior Vice President, Assistant General Counsel, and Assistant Secretary of ABI**, with which she has been associated since prior to 2017. |
| | | | |
Michael B. Reyes 45 | | Senior Vice President and Senior Analyst | | Vice President of the Adviser**, with which he has been associated since prior to 2017. |
| | | | |
Joseph J. Mantineo 62 | | Treasurer and Chief
Financial Officer | | Senior Vice President of AllianceBernstein Investor Services, Inc. (“ABIS”)**, with which he has been associated since prior to 2017. |
| | | | |
Phyllis J. Clarke 61 | | Controller | | Vice President of ABIS**, with which she has been associated since prior to 2017. |
| | | | |
Vincent S. Noto 57 | | Chief Compliance Officer | | Senior Vice President and Mutual Fund Chief Compliance Officer of the Adviser** since prior to 2017. |
| * | | The address for each of the Portfolio’s Officers is 1345 Avenue of the Americas, New York, NY 10105. |
| ** | | The Adviser, ABIS and ABI are affiliates of the Fund. |
| | | The Fund’s Statement of Additional Information (“SAI”) has additional information about the Fund’s Directors and Officers and is available without charge upon request. Contact your financial representative or the Adviser at (800) 227-4618, or visit www.abfunds.com, for a free prospectus or SAI. |
57
| | |
| | |
| | |
| |
| DYNAMIC ASSET ALLOCATION PORTFOLIO | | AB Variable Products Series Fund |
OPERATION AND EFFECTIVENESS OF THE PORTFOLIO’S LIQUIDITY RISK MANAGEMENT PROGRAM:
In October 2016, the Securities and Exchange Commission (“SEC”) adopted the open-end fund liquidity rule (the “Liquidity Rule”). In June 2018 the SEC adopted a requirement that funds disclose information about the operation and effectiveness of their Liquidity Risk Management Program (“LRMP”) in their reports to shareholders.
One of the requirements of the Liquidity Rule is for the Portfolio to designate an Administrator of the Portfolio’s Liquidity Risk Management Program. The Administrator of the Portfolio’s LRMP is AllianceBernstein L.P., the Portfolio’s investment adviser (the “Adviser”). The Adviser has delegated the responsibility to its Liquidity Risk Management Committee (the “Committee”).
Another requirement of the Liquidity Rule is for the Portfolio’s Board of Directors (the “Fund Board”) to receive an annual written report from the Administrator of the LRMP, which addresses the operation of the Portfolio’s LRMP and assesses its adequacy and effectiveness. The Adviser provided the Fund Board with such annual report during the first quarter of 2021, which covered the period January 1, 2020 through December 31, 2020 (the “Program Reporting Period”).
The LRMP’s principal objectives include supporting the Portfolio’s compliance with limits on investments in illiquid assets and mitigating the risk that the Portfolio will be unable to meet its redemption obligations in a timely manner.
Pursuant to the LRMP, the Portfolio classifies the liquidity of its portfolio investments into one of the four categories defined by the SEC: Highly Liquid, Moderately Liquid, Less Liquid, and Illiquid. These classifications are reported to the SEC on Form N-PORT.
During the Program Reporting Period, the Committee reviewed whether the Portfolio’s strategy is appropriate for an open-end structure, incorporating any holdings of less liquid and illiquid assets. If the Portfolio participated in derivative transactions, the exposure from such transactions were considered in the LRMP.
The Committee also performed an analysis to determine whether the Portfolio is required to maintain a Highly Liquid Investment Minimum (“HLIM”). The Committee also incorporated the following information when determining the Portfolio’s reasonably anticipated trading size for purposes of liquidity monitoring: historical net redemption activity, a Portfolio’s concentration in an issuer, shareholder concentration, investment performance, total net assets, and distribution channels.
The Adviser informed the Fund Board that the Committee believes the Portfolio’s LRMP is adequately designed, has been implemented as intended, and has operated effectively since its inception. No material exceptions have been noted since the implementation of the LRMP. During the Program Reporting Period, beginning in March 2020, all financial markets experienced extreme levels of price volatility and relative illiquidity resulting from the COVID-19 impacts on the global economy. This extreme relative illiquidity resulted in significantly wider bid-ask spreads to transact in securities, including many of those securities held by the Portfolio, and in a diminished depth of liquidity in most markets, to varying degrees. Nonetheless, there were no liquidity events that impacted the Portfolio or its ability to timely meet redemptions during the Program Reporting Period.
58
| | |
| | |
| DYNAMIC ASSET ALLOCATION PORTFOLIO |
| |
| CONTINUANCE DISCLOSURE | | AB Variable Products Series Fund |
INFORMATION REGARDING THE REVIEW AND APPROVAL OF THE FUND’S ADVISORY AGREEMENT
The disinterested directors (the “directors”) of AB Variable Products Series Fund, Inc. (the “Company”) unanimously approved the continuance of the Company’s Advisory Agreement with the Adviser in respect of AB Dynamic Asset Allocation Portfolio (the “Fund”) at a meeting held by video conference on August 3-4, 2021 (the “Meeting”).
Prior to approval of the continuance of the Advisory Agreement, the directors had requested from the Adviser, and received and evaluated, extensive materials. They reviewed the proposed continuance of the Advisory Agreement with the Adviser and with experienced counsel who are independent of the Adviser, who advised on the relevant legal standards. The directors also reviewed additional materials, including comparative analytical data prepared by the Senior Analyst for the Fund. The directors also discussed the proposed continuance in private sessions with counsel.
The directors considered their knowledge of the nature and quality of the services provided by the Adviser to the Fund gained from their experience as directors or trustees of most of the registered investment companies advised by the Adviser, their overall confidence in the Adviser’s integrity and competence they have gained from that experience, the Adviser’s initiative in identifying and raising potential issues with the directors and its responsiveness, frankness and attention to concerns raised by the directors in the past, including the Adviser’s willingness to consider and implement organizational and operational changes designed to improve investment results and the services provided to the AB Funds. The directors noted that they have four regular meetings each year, at each of which they review extensive materials and information from the Adviser, including information on the investment performance of the Fund and the money market fund advised by the Adviser in which the Fund invests a portion of its assets.
The directors also considered all factors they believed relevant, including the specific matters discussed below. During the course of their deliberations, the directors evaluated, among other things, the reasonableness of the advisory fee. The directors did not identify any particular information that was all-important or controlling, and different directors may have attributed different weights to the various factors. The directors determined that the selection of the Adviser to manage the Fund and the overall arrangements between the Fund and the Adviser, as provided in the Advisory Agreement, including the advisory fee, were fair and reasonable in light of the services performed, expenses incurred and such other matters as the directors considered relevant in the exercise of their business judgment. The material factors and conclusions that formed the basis for the directors’ determinations included the following:
Nature, Extent and Quality of Services Provided
The directors considered the scope and quality of services provided by the Adviser under the Advisory Agreement, including the quality of the investment research capabilities of the Adviser and the other resources it has dedicated to performing services for the Fund. The directors noted that the Adviser from time to time reviews the Fund’s investment strategies and from time to time proposes changes intended to improve the Fund’s relative or absolute performance for the directors’ consideration. They also noted the professional experience and qualifications of the Fund’s portfolio management team and other senior personnel of the Adviser. The directors also considered that the Advisory Agreement provides that the Fund will reimburse the Adviser for the cost to it of providing certain clerical, accounting, administrative and other services to the Fund by employees of the Adviser or its affiliates. Requests for these reimbursements are made on a quarterly basis and subject to approval by the directors. Reimbursements, to the extent requested and paid, result in a higher rate of total compensation from the Fund to the Adviser than the fee rate stated in the Advisory Agreement. The directors noted that the methodology used to determine the reimbursement amounts had been reviewed by an independent consultant at the request of the directors. The quality of administrative and other services, including the Adviser’s role in coordinating the activities of the Fund’s other service providers, also was considered. The directors concluded that, overall, they were satisfied with the nature, extent and quality of services provided to the Fund under the Advisory Agreement.
Costs of Services Provided and Profitability
The directors reviewed a schedule of the revenues and expenses and related notes indicating the profitability of the Fund to the Adviser for calendar years 2019 and 2020 that had been prepared with an expense allocation methodology arrived at in consultation with an independent consultant at the request of the directors. The directors noted the assumptions and methods of allocation used by the Adviser in preparing fund-specific profitability data and understood that there are a number of potentially acceptable allocation methodologies for information of this type. The directors noted that the profitability information reflected all revenues and expenses of the Adviser’s relationship with the Fund, including those relating to its subsidiaries that provide transfer agency, distribution and brokerage services to the Fund. The directors recognized that it is difficult to make comparisons of the profitability of the Advisory Agreement with the profitability of fund advisory contracts
59
| | |
| DYNAMIC ASSET ALLOCATION PORTFOLIO |
| CONTINUANCE DISCLOSURE | | |
| |
| (continued) | | AB Variable Products Series Fund |
for unaffiliated funds because comparative information is not generally publicly available and is affected by numerous factors. The directors focused on the profitability of the Adviser’s relationship with the Fund before taxes and distribution expenses. The directors concluded that the Adviser’s level of profitability from its relationship with the Fund was not unreasonable.
Fall-Out Benefits
The directors considered the other benefits to the Adviser and its affiliates from their relationships with the Fund and the money market fund advised by the Adviser in which the Fund invests, including, but not limited to, benefits relating to soft dollar arrangements (whereby investment advisers receive brokerage and research services from brokers that execute agency transactions for their clients); 12b-1 fees and sales charges received by the Fund’s principal underwriter (which is a wholly owned subsidiary of the Adviser) in respect of the Fund’s Class B shares; brokerage commissions paid by the Fund to brokers affiliated with the Adviser; and transfer agency fees paid by the Fund to a wholly owned subsidiary of the Adviser. The directors recognized that the Adviser’s profitability would be somewhat lower without these benefits. The directors understood that the Adviser also might derive reputational and other benefits from its association with the Fund.
Investment Results
In addition to the information reviewed by the directors in connection with the Meeting, the directors receive detailed performance information for the Fund at each regular Board meeting during the year.
At the Meeting, the directors reviewed performance information prepared by an independent service provider (the “15(c) service provider”), showing the performance of the Class A Shares of the Fund against a group of similar funds (“peer group”) and a larger group of similar funds (“peer universe”), each selected by the 15(c) service provider, and information prepared by the Adviser showing performance of the Class A Shares against a broad-based securities market index, in each case for the 1-, 3-, 5- and 10-year periods ended May 31, 2021 and (in the case of comparisons with the broad-based securities market index) for the period from inception. Based on their review and their discussion with the Adviser of the reasons for the Fund’s underperformance in the periods reviewed, the directors concluded that the Fund’s investment performance was acceptable. The directors determined to continue to monitor the Fund’s performance closely.
Advisory Fees and Other Expenses
The directors considered the advisory fee rate payable by the Fund to the Adviser and information prepared by the 15(c) service provider concerning advisory fee rates payable by other funds in the same category as the Fund. The directors recognized that it is difficult to make comparisons of advisory fees because there are variations in the services that are included in the fees paid by other funds. The directors compared the Fund’s contractual advisory fee rate with a peer group median and noted that it was above the median. Taking into account the administrative expense reimbursement paid to the Adviser in the latest fiscal year, the directors noted that the Adviser’s total rate of compensation was also above the peer group median.
The directors also considered the Adviser’s fee schedule for other clients utilizing investment strategies similar to those of the Fund. For this purpose, they reviewed the relevant advisory fee information from the Adviser’s Form ADV and in a report from the Fund’s Senior Analyst and noted the differences between the Fund’s fee schedule, on the one hand, and the Adviser’s institutional fee schedule and the schedule of fees charged by the Adviser to any offshore funds and for services to any sub-advised funds utilizing investment strategies similar to the those of Fund, on the other. The directors noted that the Adviser may, in some cases, agree to fee rates with large institutional clients that are lower than those reviewed by the directors and that they had previously discussed with the Adviser its policies in respect of such arrangements.
The Adviser reviewed with the directors the significantly greater scope of the services it provides to the Fund relative to institutional, offshore fund and sub-advised fund clients. In this regard, the Adviser noted, among other things, that, compared to institutional and offshore or sub-advisory accounts, the Fund (i) demands considerably more portfolio management, research and trading resources due to significantly higher daily cash flows; (ii) has more tax and regulatory restrictions and compliance obligations; (iii) must prepare and file or distribute regulatory and other communications about fund operations; and (iv) must provide shareholder servicing to retail investors. The Adviser also reviewed the greater legal risks presented by the large and changing population of Fund shareholders who may assert claims against the Adviser in individual or class actions, and the greater entrepreneurial risk in offering new fund products, which require substantial investment to launch, may not succeed, and generally must be priced to compete with larger, more established funds resulting in lack of profitability to the Adviser until a new fund achieves scale. In light of the substantial differences in services rendered by the
60
| | |
| |
| | | AB Variable Products Series Fund |
Adviser to institutional, offshore fund and sub-advised fund clients as compared to the Fund, and the different risk profile, the directors considered these fee comparisons inapt and did not place significant weight on them in their deliberations.
The directors noted that the Fund invests in shares of exchange-traded funds (“ETFs”), subject to the restrictions and limitations of the Investment Company Act of 1940 as these may be varied as a result of exemptive orders issued, and rules adopted, by the SEC. The directors also noted that ETFs pay advisory fees pursuant to their advisory contracts, and that the Adviser had provided, and they had reviewed, information about the expense ratios of the relevant ETFs. The directors concluded, based on the Adviser’s explanation of how it uses ETFs when they are the most cost-effective way to obtain desired exposures, in some cases pending purchases of underlying securities, that the advisory fee for the Fund is for services that are in addition to, rather than duplicative of, the services provided under the advisory contracts of the ETFs.
In connection with their review of the Fund’s advisory fee, the directors also considered the total expense ratio of the Class A shares of the Fund in comparison to a peer group and a peer universe selected by the 15(c) service provider. The Class A expense ratio of the Fund was based on the Fund’s latest fiscal year. The Adviser had agreed to cap the Fund’s expenses, but the directors noted that the Fund’s expense ratio was currently below the level of the Adviser’s cap. The directors noted that it was likely that the expense ratios of some of the other funds in the Fund’s category were lowered by waivers or reimbursements by those funds’ investment advisers, which in some cases might be voluntary or temporary. The directors view expense ratio information as relevant to their evaluation of the Adviser’s services because the Adviser is responsible for coordinating services provided to the Fund by others. The directors noted that the Fund’s expense ratio was above the medians. After reviewing and discussing the Adviser’s explanations of the reasons for this, the directors concluded that the Fund’s expense ratio was acceptable.
Economies of Scale
The directors noted that the advisory fee schedule for the Fund does not contain breakpoints and that they had previously discussed their strong preference for breakpoints in advisory contracts with the Adviser. The directors took into consideration prior presentations by an independent consultant on economies of scale in the mutual fund industry and for the AB Funds, and presentations from time to time by the Adviser concerning certain of its views on economies of scale. The directors also had requested and received from the Adviser certain updates on economies of scale in advance of the Meeting. The directors believe that economies of scale may be realized (if at all) by the Adviser across a variety of products and services, and not only in respect of a single fund. The directors noted that there is no established methodology for setting breakpoints that give effect to the fund-specific services provided by a fund’s adviser and to the economies of scale that an adviser may realize in its overall mutual fund business or those components of it which directly or indirectly affect a fund’s operations. The directors observed that in the mutual fund industry as a whole, as well as among funds similar to the Fund, there is no uniformity or pattern in the fees and asset levels at which breakpoints (if any) apply. The directors also noted that the advisory agreements for many funds do not have breakpoints at all. The directors informed the Adviser that they would monitor the Fund’s asset level (which was well below the level at which they would anticipate adding an initial breakpoint) and its profitability to the Adviser and anticipated revisiting the question of breakpoints in the future if circumstances warranted doing so.
61
VPS-DAA-0151-1221
DEC 12.31.21
ANNUAL REPORT
AB VARIABLE PRODUCTS SERIES FUND, INC.
| + | | GLOBAL RISK ALLOCATION—MODERATE PORTFOLIO |
As of May 1, 2021, as permitted by regulations adopted by the Securities and Exchange Commission, you may not be receiving paper copies of the Portfolio’s shareholder reports from the insurance company that offers your contract unless you specifically requested paper copies from the insurance company or from your financial intermediary. Instead of delivering paper copies of the reports, the insurance company may choose to make the reports available on a website, and will notify you by mail each time a report is posted and provide you with a website link to access the report. Instructions for requesting paper copies will be provided by your insurance company.
You may elect to receive all future reports in paper free of charge from the insurance company. You can inform the insurance company or your financial intermediary that you wish to continue receiving paper copies of your shareholder reports by following the instructions provided by the insurance company or by contacting your financial intermediary. Your election to receive reports in paper will apply to all portfolio companies available under your contract with the insurance company.
Investment Products Offered
| | • | | Are Not Bank Guaranteed |
AllianceBernstein Investments, Inc. (ABI) is the distributor of the AB family of mutual funds. ABI is a member of FINRA and is an affiliate of AllianceBernstein L.P., the Adviser of the funds.
You may obtain a description of the Fund’s proxy voting policies and procedures, and information regarding how the Fund voted proxies relating to portfolio securities during the most recent 12-month period ended June 30, without charge. Simply visit AB’s website at www.abfunds.com or go to the Securities and Exchange Commission’s (the “Commission”) website at www.sec.gov, or call AB at (800) 227 4618.
The Fund files its complete schedule of portfolio holdings with the Commission for the first and third quarters of each fiscal year as an exhibit to its reports on Form N-PORT. The Fund’s Form N-PORT reports are available on the Commission’s website at www.sec.gov. The Fund’s Forms N-PORT may also be reviewed and copied at the Commission’s Public Reference Room in Washington, DC; information on the operation of the Public Reference Room may be obtained by calling (800) SEC 0330.
The [A/B] logo is a registered service mark of AllianceBernstein and AllianceBernstein® is a registered service mark used by permission of the owner, AllianceBernstein L.P.
| | |
| | | |
| |
GLOBAL RISK ALLOCATION— MODERATE PORTFOLIO | | AB Variable Products Series Fund |
LETTER TO INVESTORS
February 14, 2022
The following is an update of AB Variable Products Series Fund—Global Risk Allocation—Moderate Portfolio (the “Portfolio”) for the annual reporting period ended December 31, 2021.
INVESTMENT OBJECTIVE AND POLICIES
The Portfolio’s investment objective is to seek long-term growth of capital while seeking to limit volatility. In making decisions on the allocation of assets among “growth assets” and “safety assets,” the Adviser uses a risk-weighted allocation methodology based on the expected “tail risk” of each asset class. For purposes of the Portfolio, growth assets include global equities and, at times, high-yield fixed-income securities (commonly known as “junk bonds”), and safety assets include government securities of developed countries. This strategy attempts to provide investors with favorable long-term total return while minimizing exposure to material or “tail” losses. To execute this strategy, the percentage loss that will constitute a tail loss is calculated for each asset class based on historical market behavior and on a forward-looking basis through options prices. Portfolio assets are then allocated among asset classes so that growth assets contribute the majority of the expected risk of tail loss (“tail risk”) of the Portfolio, and safety assets contribute a lesser amount of tail risk. The Adviser makes frequent adjustments to the Portfolio’s asset-class exposures based on these tail-risk determinations. To help limit tail risk, the Portfolio utilizes a risk-management strategy involving the purchase of put options and sale of call options on equity indices, equity index futures or exchange-traded funds (“ETFs”). The Adviser will on a best-efforts basis seek to limit the volatility of the Portfolio to no more than 10% on an annualized basis. Actual results may vary.
The Adviser also assesses tail risk on a security, sector and country basis, and makes adjustments to the Portfolio’s allocations within each asset class when practicable. The Portfolio may invest in fixed-income securities with a range of maturities from short- to long-term. The Adviser expects that the Portfolio’s investments in high-yield fixed-income securities will not exceed 10% of the Portfolio’s net assets. The Portfolio’s investments in each asset class will generally be global in nature.
The Adviser expects to utilize a variety of derivatives in its management of the Portfolio, including futures contracts, options, swaps and forwards. Derivatives often provide more efficient and economical exposure to market segments than direct investments, and the Portfolio may utilize derivatives and ETFs to gain exposure to equity and fixed-income asset classes. Because derivatives transactions frequently require cash outlays that are only a small portion of the amount of exposure obtained through the derivative, a portion of the Portfolio’s assets may be held in cash or invested in cash equivalents to cover the Portfolio’s derivatives obligations, such as short-term US government and agency securities, repurchase agreements and money-market funds. At times, a combination of direct securities investments and derivatives will be used to gain asset-class exposure so that the Portfolio’s aggregate exposure will substantially exceed its net assets (i.e., so that the Portfolio is effectively leveraged).
Currency exchange-rate fluctuations can have a dramatic impact on returns. The Adviser may seek to hedge all or a portion of the currency exposure resulting from Portfolio investments through currency-related derivatives, or decide not to hedge this exposure. The Portfolio is “non-diversified.”
INVESTMENT RESULTS
The table on page 5 shows the Portfolio’s performance compared to its primary benchmark, the Morgan Stanley Capital International (“MSCI”) World Index (net, USD hedged) and a 60%/40% blend of the MSCI World Index (net, USD hedged) and the Bloomberg Global G7 Treasury Index (USD hedged), for the one- and five-year periods ended December 31, 2021, and the period since the Portfolio’s inception on April 28, 2015.
All share classes underperformed the primary and blended benchmarks for the annual period. The Portfolio allocated most of its risk to global equity, with the balance allocated to government bonds. The Portfolio’s systematic equity downside protection strategy detracted from performance for the whole period. The Portfolio’s timing of equity relative to bond exposures added to performance versus the blended benchmark, as an overweight to equity benefitted from strong performance throughout the period. Tactical currency hedging decisions detracted from relative performance.
During the annual period, the Portfolio utilized derivatives for hedging and investment purposes, including futures, forwards and written options, which added to absolute returns, while variance swaps and purchased options detracted.
MARKET REVIEW AND INVESTMENT STRATEGY
Global equities recorded double-digit returns and emerging markets lost ground during the annual period ended December 31, 2021. Global markets were supported by accommodative monetary policy and strong company earnings growth, while economic turbulence in China, geopolitical risks and inflation pressured emerging markets.
1
| | |
| |
| | | AB Variable Products Series Fund |
Increased market volatility periodically sent risk assets lower, but investors continued to buy the dip. Toward the end of the period, global markets fell as the rapid spread of the coronavirus omicron variant triggered concern that new restrictions could derail the economic recovery. Encouraging developments in COVID-19 treatments and vaccines and a reluctance to reinstate shutdowns helped investors look past the potential impact of the omicron variant. Stock markets gave back gains, however, after the US Federal Reserve (the “Fed”) took a hawkish pivot and confirmed that it would accelerate the wind-down of its bond purchases and raise rates multiple times in 2022. After digesting the Fed’s comments, equity markets rose as investors appeared to adjust to the shift and remained focused on still generally supportive monetary policy. Growth outperformed value, in terms of style, and large-cap stocks outperformed their small-cap peers.
Fixed-income government bond market yields were higher as numerous central banks became more hawkish, prompting short-term yields to rise more than longer-term yields and causing all major treasury market returns to fall on inflation concerns. Treasury losses were the greatest in the UK, Australia and the eurozone. Inflation bonds significantly outperformed nominal government bonds. Low interest rates set the stage for the continued outperformance of most risk assets, led by the large positive performance of high-yield corporate bonds—particularly in the US, eurozone and emerging markets. Emerging-market investment-grade corporate bonds rose, while developed-market bonds fell on rising yields and outperformed developed-market treasuries with a smaller loss. Securitized assets fell but outperformed US Treasuries. Emerging-market sovereign and local-currency bonds trailed as the US dollar gained against most developed- and emerging-market currencies. Commodity prices were strong, with Brent crude oil and copper climbing from pandemic-related lows.
The Portfolio’s Senior Investment Management Team seeks to allocate, on average, approximately 85% of its risk to equity and the balance to government bonds over time. Within global equity exposure, the Portfolio has deployed equity index options for downside protection. The Portfolio has invested in global bond duration exposures to seek diversification for growth-related risk.
2
| | |
| | | |
| GLOBAL RISK ALLOCATION—MODERATE PORTFOLIO |
| |
| DISCLOSURES AND RISKS | | AB Variable Products Series Fund |
Benchmark Disclosure
The MSCI World Index and Bloomberg Global G7 Treasury Index are unmanaged and do not reflect fees and expenses associated with the active management of a mutual fund portfolio. The MSCI World Index (net, free float-adjusted, market capitalization weighted) represents the equity market performance of developed markets, hedged to the US dollar. The Bloomberg Global G7 Treasury Index tracks fixed-rate local-currency government debt of investment-grade G7 countries. MSCI makes no express or implied warranties or representations, and shall have no liability whatsoever with respect to any MSCI data contained herein. The MSCI data may not be further redistributed or used as a basis for other indices, any securities or financial products. This report is not approved, reviewed or produced by MSCI. Net returns reflect the reinvestment of dividends after deduction of non-US withholding tax. An investor cannot invest directly in an index, and its results are not indicative of the performance for any specific investment, including the Portfolio.
A Word About Risk
Market Risk: The value of the Portfolio’s investments will fluctuate as the stock or bond market fluctuates. The value of its investments may decline, sometimes rapidly and unpredictably, simply because of economic changes or other events, including public health crises (including the occurrence of a contagious disease or illness), that affect large portions of the market.
Allocation Risk: The allocation of investments among asset classes may have a significant effect on the Portfolio’s net asset value (“NAV”) when the asset classes in which the Portfolio has invested more heavily perform worse than the asset classes invested in less heavily.
Interest-Rate Risk: Changes in interest rates will affect the value of investments in fixed-income securities. When interest rates rise, the value of existing investments in fixed-income securities tends to fall and this decrease in value may not be offset by higher income from new investments. Interest-rate risk is generally greater for fixed-income securities with longer maturities or durations. The current historically low interest rate environment heightens the risks associated with rising interest rates.
Credit Risk: An issuer or guarantor of a fixed-income security, or the counterparty to a derivatives or other contract, may be unable or unwilling to make timely payments of interest or principal, or to otherwise honor its obligations. The issuer or guarantor may default, causing a loss of the full principal amount of a security and accrued interest. The degree of risk for a particular security may be reflected in its credit rating. There is the possibility that the credit rating of a fixed-income security may be downgraded after purchase, which may adversely affect the value of the security.
High-Yield Securities Risk: Investments in fixed-income securities with ratings below investment-grade (commonly known as “junk bonds”) tend to have a higher probability that an issuer will default or fail to meet its payment obligations. These securities may be subject to greater price volatility due to such factors as specific corporate developments, interest-rate sensitivity and negative perceptions of the junk bond market generally, and may be more difficult to trade than other types of securities.
Foreign (Non-US) Risk: Investments in securities of non-US issuers may involve more risk than those of US issuers. These securities may fluctuate more widely in price and may be difficult to trade due to adverse market, economic, political, regulatory or other factors.
Currency Risk: Fluctuations in currency exchange rates may negatively affect the value of the Portfolio’s investments or reduce its returns.
Investment in Other Investment Companies Risk: As with other investments, investments in other investment companies, including ETFs, are subject to market and selection risk. In addition, Contractholders of the Portfolio bear both their proportionate share of expenses in the Portfolio (including management fees) and, indirectly, the expenses of the investment companies in which the Portfolio invests (to the extent these expenses are not waived or reimbursed by the Adviser).
Derivatives Risk: Derivatives may be difficult to price or unwind and leveraged so that small changes may produce disproportionate losses for the Portfolio. Derivatives, especially over-the-counter derivatives, are also subject to counterparty risk, which is the risk that the counterparty (the party on the other side of the transaction) on a derivative transaction will be unable or unwilling to honor its contractual obligations to the Portfolio.
(Disclosures, Risks and Note About Historical Performance continued on next page)
3
| | |
| |
| DISCLOSURES AND RISKS | | |
| |
| (continued) | | AB Variable Products Series Fund |
Leverage Risk: Because the Portfolio uses leveraging techniques, its NAV may be more volatile because leverage tends to exaggerate the effect of changes in interest rates and any increase or decrease in the value of the Portfolio’s investments.
Illiquid Investments Risk: Illiquid investments risk exists when certain investments are or become difficult to purchase or sell. Difficulty in selling such investments may result in sales at disadvantageous prices affecting the value of your investment in the Portfolio. Causes of illiquid investments risk may include low trading volumes and large positions. Foreign fixed-income securities may have more illiquid investments risk because secondary trading markets for these securities may be smaller and less well-developed and the securities may trade less frequently. Illiquid investments risk may be higher in a rising interest-rate environment, when the value and liquidity of fixed-income securities generally decline.
Non-Diversification Risk: The Portfolio may have more risk because it is “non-diversified”, meaning that it can invest more of its assets in a smaller number of issuers. Accordingly, changes in the value of a single security may have a more significant effect, either negative or positive, on the Portfolio’s NAV.
Management Risk: The Portfolio is subject to management risk because it is an actively managed investment fund. The Adviser will apply its investment techniques and risk analyses in making investment decisions for the Portfolio, but there is no guarantee that its techniques will produce the intended results. Some of these techniques may incorporate, or rely upon, quantitative models, but there is no guarantee that these models will generate accurate forecasts, reduce risk or otherwise perform as expected.
These risks are fully discussed in the Variable Products prospectus. As with all investments, you may lose money by investing in the Portfolio.
An Important Note About Historical Performance
The investment return and principal value of an investment in the Portfolio will fluctuate, so that shares, when redeemed, may be worth more or less than their original cost. Performance shown in this report represents past performance and does not guarantee future results. Current performance may be lower or higher than the performance information shown. Please contact your financial advisor or insurance agent representative at your financial institution to obtain portfolio performance information current to the most recent month-end.
Investors should consider the investment objectives, risks, charges and expenses of the Portfolio carefully before investing. For additional copies of the Portfolio’s prospectus or summary prospectus, which contains this and other information, call your financial advisor or (800) 227 4618. Please read the prospectus and/or summary prospectus carefully before investing.
All fees and expenses related to the operation of the Portfolio have been deducted, but no adjustment has been made for insurance company separate account or annuity contract charges, which would reduce total return to a contract owner. Performance assumes reinvestment of distributions and does not account for taxes.
There are additional fees and expenses associated with all Variable Products. These fees can include mortality and expense risk charges, administrative charges, and other charges that can significantly reduce investment returns. Those fees and expenses are not reflected in this annual report. You should consult your Variable Products prospectus for a description of those fees and expenses and speak to your insurance agent or financial representative if you have any questions. You should read the prospectus before investing or sending money.
4
| | |
| | | |
| GLOBAL RISK ALLOCATION—MODERATE PORTFOLIO |
| |
| HISTORICAL PERFORMANCE | | AB Variable Products Series Fund |
| | | | | | | | | | | | |
| | | | | | | | | | | | |
THE PORTFOLIO VS. ITS BENCHMARKS PERIODS ENDED DECEMBER 31, 2021 (unaudited) | | Net Asset Value Returns | |
| | 1 Year | | | 5 Years1 | | | Since Inception1,2 | |
| | | |
| Global Risk Allocation—Moderate Portfolio Class A | | | 12.16% | | | | 7.65% | | | | 5.38% | |
| | | |
| Global Risk Allocation—Moderate Portfolio Class B | | | 11.97% | | | | 7.39% | | | | 5.13% | |
| | | |
| Primary Benchmark: MSCI World Index (net, USD hedged) | | | 24.38% | | | | 15.23% | | | | 11.79% | |
| | | |
Blended Benchmark: 60% MSCI World Index (net, USD hedged)/
40% Bloomberg Global G7 Treasury Index (USD hedged) | | | 13.34% | | | | 10.46% | | | | 8.36% | |
1 Average annual returns. | | | | | | | | | | | | |
2 Inception date: 4/28/2015. | | | | | | | | | | | | |
| | | | | | | | | | | | |
The Portfolio’s current prospectus fee table shows the Portfolio’s total annual operating expense ratios as 1.01% and 1.26% for Class A and Class B shares, respectively, gross of any fee waivers or expense reimbursements. Contractual fee waivers and/or expense reimbursements limit the Portfolio’s annual operating expense ratios (excluding interest expense, taxes, extraordinary expenses, expenses associated with securities sold short, and brokerage commissions and other transaction costs) to 0.75% and 1.00% for Class A and Class B shares, respectively. These waivers/reimbursements may not be terminated before May 1, 2022, and may be extended by the Adviser for additional one-year terms. The Financial Highlights section of this report sets forth expense ratio data for the current reporting period; the expense ratios shown above may differ from the expense ratios in the Financial Highlights section since they are based on different time periods.
GROWTH OF A $10,000 INVESTMENT
4/28/20151 TO 12/31/2021 (unaudited)
This chart illustrates the total value of an assumed $10,000 investment in Global Risk Allocation—Moderate Portfolio Class A shares (from 4/28/20151 to 12/31/2021) as compared to the performance of the Portfolio’s benchmarks. The chart assumes the reinvestment of dividends and capital gains distributions.
| 1 | | Inception date: 4/28/2015. |
See Disclosures, Risks and Note About Historical Performance on pages 3-4.
5
| | |
| | | |
| GLOBAL RISK ALLOCATION—MODERATE PORTFOLIO |
| |
| EXPENSE EXAMPLE (unaudited) | | AB Variable Products Series Fund |
As a shareholder of the Portfolio, you incur two types of costs: (1) transaction costs, including sales charges (loads) on purchase payments, contingent deferred sales charges on redemptions and (2) ongoing costs, including management fees; distribution (12b-1) fees; and other Portfolio expenses. This example is intended to help you understand your ongoing costs (in dollars) of investing in the Portfolio and to compare these costs with the ongoing costs of investing in other mutual funds.
The Example is based on an investment of $1,000 invested at the beginning of the period and held for the entire period as indicated below.
Actual Expenses
The table below provides information about actual account values and actual expenses. You may use the information in this line, together with the amount you invested, to estimate the expenses that you paid over the period. Simply divide your account value by $1,000 (for example, an $8,600 account value divided by $1,000 = 8.6), then multiply the result by the number in the first line under the heading entitled “Expenses Paid During Period” to estimate the expenses you paid on your account during this period. The estimate of expenses does not include fees or other expenses of any variable insurance product. If such expenses were included, the estimate of expenses you paid during the period would be higher and your ending account value would be lower.
Hypothetical Example for Comparison Purposes
The table below provides information about hypothetical account values and hypothetical expenses based on the Portfolio’s actual expense ratio and an assumed annual rate of return of 5% before expenses, which is not the Portfolio’s actual return. The hypothetical account values and expenses may not be used to estimate the actual ending account balance or expenses you paid for the period. You may use this information to compare the ongoing costs of investing in the Portfolio and other funds by comparing this 5% hypothetical example with the 5% hypothetical examples that appear in the shareholder reports of other funds. The estimate of expenses does not include fees or other expenses of any variable insurance product. If such expenses were included, the estimate of expenses you paid during the period would be higher and your ending account value would be lower.
Please note that the expenses shown in the table are meant to highlight your ongoing costs only and do not reflect any transactional costs, such as sales charges (loads), or contingent deferred sales charges on redemptions. Therefore, the second line of each classes’ table is useful in comparing ongoing costs only, and will not help you determine the relative total costs of owning different funds. In addition, if these transactional costs were included, your costs would have been higher.
| | | | | | | | | | | | | | | | | | | | | | | | |
| | | Beginning
Account Value
July 1, 2021 | | | Ending
Account Value
December 31, 2021 | | | Expenses Paid
During Period* | | | Annualized
Expense Ratio* | | | Total
Expenses Paid
During Period+ | | | Total
Annualized
Expense Ratio+ | |
Class A | | | | | | | | | | | | | | | | | | | | | | | | |
Actual | | $ | 1,000 | | | $ | 1,048.40 | | | $ | 3.41 | | | | 0.66 | % | | $ | 3.56 | | | | 0.69 | % |
Hypothetical (5% annual return before expenses) | | $ | 1,000 | | | $ | 1,021.88 | | | $ | 3.36 | | | | 0.66 | % | | $ | 3.52 | | | | 0.69 | % |
| | | | | | | | | | | | | | | | | | | | | | | | |
Class B | | | | | | | | | | | | | | | | | | | | | | | | |
Actual | | $ | 1,000 | | | $ | 1,047.90 | | | $ | 3.77 | | | | 0.73 | % | | $ | 3.92 | | | | 0.76 | % |
Hypothetical (5% annual return before expenses) | | $ | 1,000 | | | $ | 1,021.53 | | | $ | 3.72 | | | | 0.73 | % | | $ | 3.87 | | | | 0.76 | % |
| * | | Expenses are equal to each classes’ annualized expense ratios, multiplied by the average account value over the period, multiplied by 184/365 (to reflect the one-half year period). |
| + | | In connection with the Portfolio’s investments in affiliated/unaffiliated underlying portfolios, the Portfolio incurs no direct expenses, but bears proportionate shares of the fund fees and expenses (i.e., operating, administrative and investment advisory fees) of the affiliated/unaffiliated underlying portfolios. The Adviser has contractually agreed to waive its fees and expenses from the Portfolio in an amount equal to the Portfolio’s pro rata share of certain affiliated/unaffiliated underlying portfolios acquired fund fees and expenses. The Portfolio’s total expenses are equal to the classes’ annualized expense ratio plus the Portfolio’s pro-rata share of the weighted average expense ratio of the affiliated/unaffiliated underlying portfolios in which it invests, multiplied by the average account value over the period, multiplied by 184/365 (to reflect the one-half year period). |
6
| | |
| GLOBAL RISK ALLOCATION—MODERATE PORTFOLIO |
| SECURITY TYPE BREAKDOWN1 | | |
| |
| December 31, 2021 (unaudited) | | AB Variable Products Series Fund |
| | | | | | | | |
| SECURITY TYPE | | U.S. $ VALUE | | | PERCENT OF TOTAL INVESTMENTS | |
Common Stocks | | $ | 593,069,072 | | | | 56.8 | % |
Inflation-Linked Securities | | | 7,170,271 | | | | 0.6 | |
Options Purchased—Puts | | | 704,793 | | | | 0.1 | |
Short-Term Investments | | | 443,533,779 | | | | 42.5 | |
| | | | | | | | | |
Total Investments | | $ | 1,044,477,915 | | | | 100.0 | % |
COUNTRY BREAKDOWN2
December 31, 2021 (unaudited)
| | | | | | | | |
| COUNTRY | | U.S. $ VALUE | | | PERCENT OF TOTAL INVESTMENTS | |
United States | | $ | 421,341,342 | | | | 40.3 | % |
Japan | | | 46,135,220 | | | | 4.4 | |
United Kingdom | | | 25,021,277 | | | | 2.4 | |
France | | | 18,699,090 | | | | 1.8 | |
Switzerland | | | 17,819,270 | | | | 1.7 | |
Germany | | | 15,110,806 | | | | 1.5 | |
Australia | | | 12,935,494 | | | | 1.2 | |
Netherlands | | | 8,391,496 | | | | 0.8 | |
Sweden | | | 6,419,297 | | | | 0.6 | |
Denmark | | | 4,654,804 | | | | 0.5 | |
Hong Kong | | | 4,083,352 | | | | 0.4 | |
Spain | | | 3,912,282 | | | | 0.4 | |
Italy | | | 3,548,817 | | | | 0.3 | |
Other | | | 12,871,589 | | | | 1.2 | |
Short-Term Investments | | | 443,533,779 | | | | 42.5 | |
| | | | | | | | | |
Total Investments | | $ | 1,044,477,915 | | | | 100.0 | % |
| 1 | | All data are as of December 31, 2021. The Portfolio’s security type breakdown is expressed as a percentage of total investments (excluding security lending collateral) and may vary over time. The Portfolio also enters into derivatives transactions, which may be used for hedging or investment purpose (see “Portfolio of Investments” section of the report for additional details). |
| 2 | | All data are as of December 31, 2021. The Portfolio’s country breakdown is expressed as a percentage of total investments and may vary over time. “Other” country weightings represent 0.2% or less in the following: Austria, Belgium, Brazil, Chile, China, Euro Zone, Finland, Ireland, Israel, Jordan, Luxembourg, Macau, New Zealand, Norway, Poland, Portugal, Russia, Singapore, South Africa and Taiwan. |
7
| | |
| GLOBAL RISK ALLOCATION—MODERATE PORTFOLIO |
| PORTFOLIO OF INVESTMENTS | | |
| |
| December 31, 2021 | | AB Variable Products Series Fund |
| | | | | | | | |
Company | | Shares | | | U.S. $ Value | |
| | | | | | | | |
COMMON STOCKS–55.6% | | | | | | | | |
| | | | | | | | |
INFORMATION TECHNOLOGY–13.1% | | | | | | | | |
COMMUNICATIONS EQUIPMENT–0.4% | | | | | | | | |
Arista Networks, Inc.(a) | | | 2,338 | | | $ | 336,087 | |
Cisco Systems, Inc./Delaware | | | 43,971 | | | | 2,786,442 | |
F5, Inc.(a) | | | 628 | | | | 153,678 | |
Juniper Networks, Inc. | | | 3,390 | | | | 121,057 | |
Motorola Solutions, Inc. | | | 1,761 | | | | 478,464 | |
Nokia Oyj(a) | | | 53,751 | | | | 340,442 | |
Telefonaktiebolaget LM Ericsson–Class B | | | 29,098 | | | | 320,166 | |
| | | | | | | | |
| | | | | | | 4,536,336 | |
| | | | | | | | |
ELECTRONIC EQUIPMENT, INSTRUMENTS & COMPONENTS–0.6% | | | | | | | | |
Amphenol Corp.–Class A | | | 6,234 | | | | 545,226 | |
Azbil Corp. | | | 1,230 | | | | 56,099 | |
CDW Corp./DE | | | 1,414 | | | | 289,559 | |
Corning, Inc. | | | 8,007 | | | | 298,101 | |
Halma PLC | | | 3,784 | | | | 164,070 | |
Hamamatsu Photonics KK | | | 1,398 | | | | 89,290 | |
Hexagon AB | | | 19,640 | | | | 311,108 | |
Hirose Electric Co., Ltd. | | | 323 | | | | 54,283 | |
Ibiden Co., Ltd. | | | 1,053 | | | | 62,533 | |
IPG Photonics Corp.(a) | | | 372 | | | | 64,036 | |
Keyence Corp. | | | 1,939 | | | | 1,219,162 | |
Keysight Technologies, Inc.(a) | | | 1,920 | | | | 396,499 | |
Kyocera Corp. | | | 3,199 | | | | 200,021 | |
Murata Manufacturing Co., Ltd. | | | 5,726 | | | | 456,720 | |
Omron Corp. | | | 1,850 | | | | 184,348 | |
Shimadzu Corp. | | | 2,361 | | | | 99,724 | |
TDK Corp. | | | 3,875 | | | | 151,225 | |
TE Connectivity Ltd. | | | 3,401 | | | | 548,717 | |
Teledyne Technologies, Inc.(a) | | | 486 | | | | 212,329 | |
Trimble, Inc.(a) | | | 2,616 | | | | 228,089 | |
Venture Corp., Ltd. | | | 2,760 | | | | 37,505 | |
Yaskawa Electric Corp. | | | 2,392 | | | | 117,365 | |
Yokogawa Electric Corp. | | | 2,276 | | | | 41,080 | |
Zebra Technologies Corp.–Class A(a) | | | 557 | | | | 331,526 | |
| | | | | | | | |
| | | | | | | 6,158,615 | |
| | | | | | | | |
IT SERVICES–2.1% | | | | | | | | |
Accenture PLC–Class A | | | 6,585 | | | | 2,729,812 | |
Adyen NV(a)(b)(c) | | | 197 | | | | 517,125 | |
Afterpay Ltd.(a) | | | 2,168 | | | | 130,876 | |
Akamai Technologies, Inc.(a) | | | 1,693 | | | | 198,149 | |
Amadeus IT Group SA–Class A(a) | | | 4,491 | | | | 303,880 | |
| | | | | | | | |
Automatic Data Processing, Inc. | | | 4,393 | | | | 1,083,226 | |
Bechtle AG | | | 816 | | | | 58,066 | |
Broadridge Financial Solutions, Inc. | | | 1,215 | | | | 222,126 | |
Capgemini SE | | | 1,598 | | | | 391,639 | |
Cognizant Technology Solutions Corp.–Class A | | | 5,476 | | | | 485,831 | |
Computershare Ltd. | | | 5,416 | | | | 78,841 | |
DXC Technology Co.(a) | | | 2,629 | | | | 84,627 | |
Edenred | | | 2,488 | | | | 114,892 | |
EPAM Systems, Inc.(a) | | | 592 | | | | 395,722 | |
Fidelity National Information Services, Inc. | | | 6,348 | | | | 692,884 | |
Fiserv, Inc.(a) | | | 6,194 | | | | 642,875 | |
FleetCor Technologies, Inc.(a) | | | 846 | | | | 189,369 | |
Fujitsu Ltd. | | | 1,960 | | | | 336,780 | |
Gartner, Inc.(a) | | | 857 | | | | 286,512 | |
Global Payments, Inc. | | | 3,024 | | | | 408,784 | |
GMO Payment Gateway, Inc. | | | 419 | | | | 52,177 | |
International Business Machines Corp. | | | 9,349 | | | | 1,249,587 | |
Itochu Techno-Solutions Corp. | | | 957 | | | | 30,785 | |
Jack Henry & Associates, Inc. | | | 771 | | | | 128,749 | |
Mastercard, Inc.–Class A | | | 9,044 | | | | 3,249,690 | |
NEC Corp. | | | 2,448 | | | | 113,195 | |
Nexi SpA(a)(b) | | | 4,666 | | | | 73,939 | |
Nomura Research Institute Ltd. | | | 3,348 | | | | 143,130 | |
NTT Data Corp. | | | 6,291 | | | | 134,950 | |
Obic Co., Ltd. | | | 695 | | | | 130,069 | |
Otsuka Corp. | | | 1,136 | | | | 54,167 | |
Paychex, Inc. | | | 3,345 | | | | 456,592 | |
PayPal Holdings, Inc.(a) | | | 12,249 | | | | 2,309,916 | |
SCSK Corp. | | | 1,557 | | | | 30,988 | |
TIS, Inc. | | | 2,231 | | | | 66,341 | |
VeriSign, Inc.(a) | | | 1,007 | | | | 255,597 | |
Visa, Inc.–Class A | | | 17,483 | | | | 3,788,741 | |
Wix.com Ltd.(a) | | | 558 | | | | 88,047 | |
Worldline SA/France(a)(b) | | | 2,376 | | | | 132,249 | |
| | | | | | | | |
| | | | | | | 21,840,925 | |
| | | | | | | | |
SEMICONDUCTORS & SEMICONDUCTOR EQUIPMENT–3.1% | | | | | | | | |
Advanced Micro Devices, Inc.(a) | | | 12,589 | | | | 1,811,557 | |
Advantest Corp. | | | 1,989 | | | | 188,357 | |
Analog Devices, Inc. | | | 5,602 | | | | 984,664 | |
Applied Materials, Inc. | | | 9,413 | | | | 1,481,230 | |
ASM International NV | | | 466 | | | | 205,700 | |
ASML Holding NV | | | 4,120 | | | | 3,300,202 | |
Broadcom, Inc. | | | 4,292 | | | | 2,855,940 | |
Disco Corp. | | | 287 | | | | 87,722 | |
8
| | |
| |
| | | AB Variable Products Series Fund |
| | | | | | | | |
Company | | Shares | | | U.S. $ Value | |
| | | | | | | | |
Enphase Energy, Inc.(a) | | | 1,406 | | | $ | 257,214 | |
Infineon Technologies AG | | | 13,019 | | | | 599,375 | |
Intel Corp. | | | 42,400 | | | | 2,183,600 | |
KLA Corp. | | | 1,581 | | | | 680,004 | |
Lam Research Corp. | | | 1,468 | | | | 1,055,712 | |
Lasertec Corp.(c) | | | 751 | | | | 230,032 | |
Microchip Technology, Inc. | | | 5,784 | | | | 503,555 | |
Micron Technology, Inc. | | | 11,662 | | | | 1,086,315 | |
Monolithic Power Systems, Inc. | | | 452 | | | | 222,985 | |
NVIDIA Corp. | | | 26,064 | | | | 7,665,683 | |
NXP Semiconductors NV | | | 2,772 | | | | 631,406 | |
Qorvo, Inc.(a) | | | 1,149 | | | | 179,692 | |
QUALCOMM, Inc. | | | 11,676 | | | | 2,135,190 | |
Renesas Electronics Corp.(a) | | | 12,525 | | | | 155,569 | |
Rohm Co., Ltd. | | | 872 | | | | 79,325 | |
Skyworks Solutions, Inc. | | | 1,721 | | | | 266,996 | |
SolarEdge Technologies, Inc.(a) | | | 547 | | | | 153,472 | |
STMicroelectronics NV | | | 6,808 | | | | 334,783 | |
SUMCO Corp.(c) | | | 3,316 | | | | 67,523 | |
Teradyne, Inc. | | | 1,699 | | | | 277,837 | |
Texas Instruments, Inc. | | | 9,628 | | | | 1,814,589 | |
Tokyo Electron Ltd. | | | 1,488 | | | | 856,452 | |
Xilinx, Inc. | | | 2,584 | | | | 547,886 | |
| | | | | | | | |
| | | | | | | 32,900,567 | |
| | | | | | | | |
SOFTWARE–4.0% | |
Adobe, Inc.(a) | | | 4,961 | | | | 2,813,185 | |
ANSYS, Inc.(a) | | | 910 | | | | 365,019 | |
Autodesk, Inc.(a) | | | 2,292 | | | | 644,487 | |
AVEVA Group PLC | | | 1,201 | | | | 55,417 | |
Cadence Design Systems, Inc.(a) | | | 2,889 | | | | 538,365 | |
Ceridian HCM Holding, Inc.(a) | | | 1,419 | | | | 148,229 | |
Check Point Software Technologies Ltd.(a) | | | 1,059 | | | | 123,437 | |
Citrix Systems, Inc. | | | 1,300 | | | | 122,967 | |
CyberArk Software Ltd.(a) | | | 396 | | | | 68,619 | |
Dassault Systemes SE | | | 6,627 | | | | 393,282 | |
Fortinet, Inc.(a) | | | 1,415 | | | | 508,551 | |
Intuit, Inc. | | | 2,952 | | | | 1,898,785 | |
Microsoft Corp. | | | 78,275 | | | | 26,325,448 | |
Nemetschek SE | | | 575 | | | | 73,522 | |
Nice Ltd.(a) | | | 629 | | | | 190,748 | |
NortonLifeLock, Inc. | | | 6,065 | | | | 157,569 | |
Oracle Corp. | | | 16,815 | | | | 1,466,436 | |
Oracle Corp./Japan | | | 383 | | | | 29,098 | |
Paycom Software, Inc.(a) | | | 502 | | | | 208,425 | |
PTC, Inc.(a) | | | 1,101 | | | | 133,386 | |
Sage Group PLC (The) | | | 10,504 | | | | 121,541 | |
salesforce.com, Inc.(a) | | | 10,206 | | | | 2,593,651 | |
SAP SE | | | 10,410 | | | | 1,465,098 | |
ServiceNow, Inc.(a) | | | 2,075 | | | | 1,346,903 | |
Sinch AB(a)(b)(c) | | | 5,207 | | | | 65,704 | |
| | | | | | | | |
Synopsys, Inc.(a) | | | 1,590 | | | | 585,915 | |
Temenos AG | | | 669 | | | | 92,216 | |
Trend Micro, Inc./Japan | | | 1,332 | | | | 73,947 | |
Tyler Technologies, Inc.(a) | | | 427 | | | | 229,705 | |
WiseTech Global Ltd. | | | 1,457 | | | | 61,793 | |
Xero Ltd.(a) | | | 1,332 | | | | 136,342 | |
| | | | | | | | |
| | | | | | | 43,037,790 | |
| | | | | | | | |
TECHNOLOGY HARDWARE, STORAGE & PERIPHERALS–2.9% | | | | | | | | |
Apple, Inc. | | | 162,493 | | | | 28,853,882 | |
Brother Industries Ltd. | | | 2,352 | | | | 45,334 | |
Canon, Inc.(c) | | | 9,972 | | | | 243,254 | |
FUJIFILM Holdings Corp. | | | 3,591 | | | | 266,216 | |
Hewlett Packard Enterprise Co. | | | 13,637 | | | | 215,055 | |
HP, Inc. | | | 12,015 | | | | 452,605 | |
Logitech International SA | | | 1,725 | | | | 144,706 | |
NetApp, Inc. | | | 2,331 | | | | 214,429 | |
Ricoh Co., Ltd. | | | 6,683 | | | | 62,293 | |
Seagate Technology Holdings PLC | | | 2,135 | | | | 241,212 | |
Seiko Epson Corp. | | | 2,788 | | | | 50,213 | |
Western Digital Corp.(a) | | | 3,248 | | | | 211,802 | |
| | | | | | | | |
| | | | | | | 31,001,001 | |
| | | | | | | | |
| | | | | | | 139,475,234 | |
| | | | | | | | |
HEALTH CARE–7.3% | |
BIOTECHNOLOGY–0.8% | | | | | |
AbbVie, Inc. | | | 18,431 | | | | 2,495,557 | |
Amgen, Inc. | | | 5,872 | | | | 1,321,024 | |
Argenx SE(a) | | | 457 | | | | 164,049 | |
Biogen, Inc.(a) | | | 1,531 | | | | 367,318 | |
CSL Ltd. | | | 4,537 | | | | 959,577 | |
Genmab A/S(a) | | | 654 | | | | 261,046 | |
Gilead Sciences, Inc. | | | 13,077 | | | | 949,521 | |
Grifols SA(c) | | | 2,973 | | | | 57,208 | |
Incyte Corp.(a) | | | 1,957 | | | | 143,644 | |
Moderna, Inc.(a) | | | 3,677 | | | | 933,884 | |
Regeneron Pharmaceuticals, Inc.(a) | | | 1,102 | | | | 695,935 | |
Vertex Pharmaceuticals, Inc.(a) | | | 2,650 | | | | 581,940 | |
| | | | | | | | |
| | | | | | | 8,930,703 | |
| | | | | | | | |
HEALTH CARE EQUIPMENT & SUPPLIES–1.5% | | | | | | | | |
Abbott Laboratories | | | 18,435 | | | | 2,594,542 | |
ABIOMED, Inc.(a) | | | 474 | | | | 170,247 | |
Alcon, Inc. | | | 4,981 | | | | 439,351 | |
Align Technology, Inc.(a) | | | 765 | | | | 502,743 | |
Ambu A/S | | | 1,670 | | | | 44,078 | |
Asahi Intecc Co., Ltd. | | | 2,161 | | | | 46,426 | |
Baxter International, Inc. | | | 5,219 | | | | 447,999 | |
Becton Dickinson and Co. | | | 2,994 | | | | 752,931 | |
BioMerieux | | | 412 | | | | 58,586 | |
9
| | |
| GLOBAL RISK ALLOCATION—MODERATE PORTFOLIO |
| PORTFOLIO OF INVESTMENTS | | |
| |
| (continued) | | AB Variable Products Series Fund |
| | | | | | | | |
Company | | Shares | | | U.S. $ Value | |
| | | | | | | | |
Boston Scientific Corp.(a) | | | 14,856 | | | $ | 631,083 | |
Carl Zeiss Meditec AG | | | 401 | | | | 84,120 | |
Cochlear Ltd.(c) | | | 655 | | | | 102,802 | |
Coloplast A/S–Class B | | | 1,184 | | | | 208,473 | |
Cooper Cos., Inc. (The) | | | 514 | | | | 215,335 | |
Demant A/S(a) | | | 1,077 | | | | 55,149 | |
DENTSPLY SIRONA, Inc. | | | 2,279 | | | | 127,145 | |
DexCom, Inc.(a) | | | 1,011 | | | | 542,856 | |
DiaSorin SpA | | | 250 | | | | 47,561 | |
Edwards Lifesciences Corp.(a) | | | 6,509 | | | | 843,241 | |
Fisher & Paykel Healthcare Corp., Ltd. | | | 5,748 | | | | 128,776 | |
Getinge AB–Class B | | | 2,280 | | | | 99,367 | |
GN Store Nord A/S | | | 1,239 | | | | 77,742 | |
Hologic, Inc.(a) | | | 2,642 | | | | 202,272 | |
Hoya Corp. | | | 3,685 | | | | 546,824 | |
IDEXX Laboratories, Inc.(a) | | | 884 | | | | 582,079 | |
Inmode Ltd.(a) | | | 494 | | | | 34,867 | |
Intuitive Surgical, Inc.(a) | | | 3,722 | | | | 1,337,315 | |
Koninklijke Philips NV | | | 9,145 | | | | 338,471 | |
Medtronic PLC | | | 14,030 | | | | 1,451,403 | |
Olympus Corp. | | | 11,010 | | | | 253,530 | |
ResMed, Inc. | | | 1,519 | | | | 395,669 | |
Sartorius AG (Preference Shares) | | | 261 | | | | 176,525 | |
Siemens Healthineers AG(b) | | | 2,811 | | | | 209,586 | |
Smith & Nephew PLC | | | 8,765 | | | | 152,970 | |
Sonova Holding AG | | | 545 | | | | 212,984 | |
STERIS PLC | | | 1,042 | | | | 253,633 | |
Straumann Holding AG | | | 103 | | | | 217,803 | |
Stryker Corp. | | | 3,500 | | | | 935,970 | |
Sysmex Corp. | | | 1,670 | | | | 225,419 | |
Teleflex, Inc. | | | 488 | | | | 160,298 | |
Terumo Corp. | | | 6,436 | | | | 271,860 | |
Zimmer Biomet Holdings, Inc. | | | 2,177 | | | | 276,566 | |
| | | | | | | | |
| | | | | | | 16,456,597 | |
| | | | | | | | |
HEALTH CARE PROVIDERS & SERVICES–1.2% | | | | | | | | |
AmerisourceBergen Corp.–Class A | | | 1,559 | | | | 207,175 | |
Amplifon SpA | | | 1,241 | | | | 66,776 | |
Anthem, Inc. | | | 2,531 | | | | 1,173,220 | |
Cardinal Health, Inc. | | | 2,937 | | | | 151,226 | |
Centene Corp.(a) | | | 6,083 | | | | 501,239 | |
Cigna Corp. | | | 3,455 | | | | 793,372 | |
CVS Health Corp. | | | 13,762 | | | | 1,419,688 | |
DaVita, Inc.(a) | | | 679 | | | | 77,243 | |
Fresenius Medical Care AG & Co. KGaA | | | 2,044 | | | | 132,509 | |
Fresenius SE & Co. KGaA | | | 4,175 | | | | 167,807 | |
HCA Healthcare, Inc. | | | 2,497 | | | | 641,529 | |
| | | | | | | | |
Henry Schein, Inc.(a) | | | 1,445 | | | | 112,031 | |
Humana, Inc. | | | 1,340 | | | | 621,572 | |
Laboratory Corp. of America Holdings(a) | | | 998 | | | | 313,582 | |
McKesson Corp. | | | 1,591 | | | | 395,475 | |
Medipal Holdings Corp. | | | 1,828 | | | | 34,266 | |
Orpea SA | | | 515 | | | | 51,648 | |
Quest Diagnostics, Inc. | | | 1,278 | | | | 221,107 | |
Ramsay Health Care Ltd. | | | 1,825 | | | | 94,845 | |
Ryman Healthcare Ltd. | | | 4,236 | | | | 35,520 | |
Sonic Healthcare Ltd. | | | 4,529 | | | | 153,607 | |
UnitedHealth Group, Inc. | | | 9,819 | | | | 4,930,513 | |
Universal Health Services, Inc.–Class B | | | 762 | | | | 98,801 | |
| | | | | | | | |
| | | | | | | 12,394,751 | |
| | | | | | | | |
HEALTH CARE TECHNOLOGY–0.1% | | | | | | | | |
Cerner Corp. | | | 3,067 | | | | 284,832 | |
M3, Inc. | | | 4,398 | | | | 221,753 | |
| | | | | | | | |
| | | | | | | 506,585 | |
| | | | | | | | |
LIFE SCIENCES TOOLS & SERVICES–0.9% | | | | | | | | |
Agilent Technologies, Inc. | | | 3,156 | | | | 503,855 | |
Bachem Holding AG | | | 61 | | | | 47,766 | |
Bio-Rad Laboratories, Inc.–Class A(a) | | | 226 | | | | 170,759 | |
Bio-Techne Corp. | | | 410 | | | | 212,109 | |
Charles River Laboratories International, Inc.(a) | | | 526 | | | | 198,186 | |
Danaher Corp. | | | 6,630 | | | | 2,181,336 | |
Eurofins Scientific SE | | | 1,331 | | | | 164,900 | |
Illumina, Inc.(a) | | | 1,630 | | | | 620,117 | |
IQVIA Holdings, Inc.(a) | | | 1,991 | | | | 561,741 | |
Lonza Group AG | | | 742 | | | | 617,780 | |
Mettler-Toledo International, Inc.(a) | | | 240 | | | | 407,330 | |
PerkinElmer, Inc. | | | 1,315 | | | | 264,394 | |
QIAGEN NV(a) | | | 2,277 | | | | 126,261 | |
Sartorius Stedim Biotech | | | 275 | | | | 151,032 | |
Thermo Fisher Scientific, Inc. | | | 4,108 | | | | 2,741,022 | |
Waters Corp.(a) | | | 636 | | | | 236,974 | |
West Pharmaceutical Services, Inc. | | | 772 | | | | 362,076 | |
| | | | | | | | |
| | | | | | | 9,567,638 | |
| | | | | | | | |
PHARMACEUTICALS–2.8% | |
Astellas Pharma, Inc. | | | 18,560 | | | | 302,074 | |
AstraZeneca PLC | | | 15,443 | | | | 1,803,269 | |
Bayer AG | | | 9,794 | | | | 523,042 | |
Bristol-Myers Squibb Co. | | | 23,140 | | | | 1,442,779 | |
Catalent, Inc.(a) | | | 1,784 | | | | 228,405 | |
Chugai Pharmaceutical Co., Ltd.(c) | | | 6,695 | | | | 218,230 | |
Daiichi Sankyo Co., Ltd. | | | 17,469 | | | | 444,611 | |
Eisai Co., Ltd. | | | 2,365 | | | | 134,256 | |
Eli Lilly & Co. | | | 8,277 | | | | 2,286,273 | |
10
| | |
| |
| | | AB Variable Products Series Fund |
| | | | | | | | |
Company | | Shares | | | U.S. $ Value | |
| | | | | | | | |
GlaxoSmithKline PLC | | | 50,162 | | | $ | 1,092,165 | |
Hikma Pharmaceuticals PLC | | | 1,730 | | | | 51,954 | |
Ipsen SA | | | 376 | | | | 34,408 | |
Johnson & Johnson | | | 27,446 | | | | 4,695,187 | |
Kyowa Kirin Co., Ltd. | | | 2,691 | | | | 73,372 | |
Merck & Co., Inc. | | | 26,334 | | | | 2,018,238 | |
Merck KGaA | | | 1,288 | | | | 331,347 | |
Nippon Shinyaku Co., Ltd. | | | 490 | | | | 34,121 | |
Novartis AG | | | 21,842 | | | | 1,919,300 | |
Novo Nordisk A/S–Class B | | | 16,787 | | | | 1,885,614 | |
Ono Pharmaceutical Co., Ltd. | | | 3,687 | | | | 91,642 | |
Organon & Co. | | | 2,643 | | | | 80,479 | |
Orion Oyj–Class B | | | 1,058 | | | | 43,948 | |
Otsuka Holdings Co., Ltd. | | | 3,892 | | | | 141,594 | |
Pfizer, Inc. | | | 58,517 | | | | 3,455,429 | |
Recordati Industria Chimica e Farmaceutica SpA | | | 1,042 | | | | 66,911 | |
Roche Holding AG | | | 7,323 | | | | 3,048,465 | |
Sanofi | | | 11,335 | | | | 1,137,399 | |
Santen Pharmaceutical Co., Ltd. | | | 3,592 | | | | 43,854 | |
Shionogi & Co., Ltd. | | | 2,640 | | | | 185,714 | |
Sumitomo Dainippon Pharma Co., Ltd.(c) | | | 1,785 | | | | 20,594 | |
Taisho Pharmaceutical Holdings Co., Ltd. | | | 381 | | | | 17,587 | |
Takeda Pharmaceutical Co., Ltd. | | | 15,773 | | | | 430,734 | |
Teva Pharmaceutical Industries Ltd. (Sponsored ADR)(a) | | | 10,990 | | | | 88,030 | |
UCB SA | | | 1,260 | | | | 143,799 | |
Viatris, Inc. | | | 12,608 | | | | 170,586 | |
Vifor Pharma AG | | | 486 | | | | 86,337 | |
Zoetis, Inc. | | | 4,932 | | | | 1,203,556 | |
| | | | | | | | |
| | | | | | | 29,975,303 | |
| | | | | | | | |
| | | | | | | 77,831,577 | |
| | | | | | | | |
FINANCIALS–7.0% | |
BANKS–2.9% | |
ABN AMRO Bank NV (GDR)(b)(c) | | | 4,217 | | | | 61,989 | |
Australia & New Zealand Banking Group Ltd. | | | 28,381 | | | | 568,509 | |
Banco Bilbao Vizcaya Argentaria SA | | | 66,474 | | | | 394,256 | |
Banco Santander SA | | | 172,874 | | | | 574,128 | |
Bank Hapoalim BM | | | 11,324 | | | | 116,546 | |
Bank Leumi Le-Israel BM | | | 14,484 | | | | 155,356 | |
Bank of America Corp. | | | 75,084 | | | | 3,340,487 | |
Barclays PLC | | | 168,752 | | | | 429,855 | |
BNP Paribas SA | | | 11,213 | | | | 775,278 | |
BOC Hong Kong Holdings Ltd. | | | 36,891 | | | | 120,984 | |
CaixaBank SA | | | 44,197 | | | | 120,730 | |
Chiba Bank Ltd. (The) | | | 5,284 | | | | 30,227 | |
| | | | | | | | |
Citigroup, Inc. | | | 20,687 | | | | 1,249,288 | |
Citizens Financial Group, Inc. | | | 4,443 | | | | 209,932 | |
Comerica, Inc. | | | 1,367 | | | | 118,929 | |
Commerzbank AG(a) | | | 9,988 | | | | 75,565 | |
Commonwealth Bank of Australia | | | 17,686 | | | | 1,300,121 | |
Concordia Financial Group Ltd. | | | 10,853 | | | | 39,413 | |
Credit Agricole SA | | | 12,330 | | | | 175,793 | |
Danske Bank A/S | | | 6,876 | | | | 118,707 | |
DBS Group Holdings Ltd. | | | 18,057 | | | | 437,322 | |
DNB Bank ASA | | | 9,273 | | | | 212,108 | |
Erste Group Bank AG | | | 3,427 | | | | 160,659 | |
Fifth Third Bancorp | | | 7,128 | | | | 310,424 | |
FinecoBank Banca Fineco SpA | | | 6,080 | | | | 106,476 | |
First Republic Bank/CA | | | 1,868 | | | | 385,761 | |
Hang Seng Bank Ltd. | | | 7,623 | | | | 139,589 | |
HSBC Holdings PLC | | | 203,635 | | | | 1,229,804 | |
Huntington Bancshares, Inc./OH | | | 15,080 | | | | 232,534 | |
ING Groep NV | | | 38,920 | | | | 541,105 | |
Intesa Sanpaolo SpA | | | 164,652 | | | | 425,283 | |
Israel Discount Bank Ltd.–Class A | | | 11,531 | | | | 77,422 | |
Japan Post Bank Co., Ltd. | | | 4,037 | | | | 37,006 | |
JPMorgan Chase & Co. | | | 30,810 | | | | 4,878,763 | |
KBC Group NV | | | 2,492 | | | | 214,116 | |
KeyCorp | | | 9,706 | | | | 224,500 | |
Lloyds Banking Group PLC | | | 707,607 | | | | 459,514 | |
M&T Bank Corp. | | | 1,341 | | | | 205,951 | |
Mediobanca Banca di Credito Finanziario SpA | | | 6,191 | | | | 71,076 | |
Mitsubishi UFJ Financial Group, Inc. | | | 121,862 | | | | 663,206 | |
Mizrahi Tefahot Bank Ltd. | | | 1,401 | | | | 53,953 | |
Mizuho Financial Group, Inc. | | | 24,048 | | | | 305,440 | |
National Australia Bank Ltd. | | | 32,829 | | | | 689,314 | |
Natwest Group PLC | | | 57,422 | | | | 175,844 | |
Nordea Bank Abp | | | 32,300 | | | | 394,013 | |
Oversea-Chinese Banking Corp., Ltd. | | | 33,756 | | | | 285,702 | |
People’s United Financial, Inc. | | | 4,462 | | | | 79,513 | |
PNC Financial Services Group, Inc. (The) | | | 4,406 | | | | 883,491 | |
Raiffeisen Bank International AG | | | 1,475 | | | | 43,322 | |
Regions Financial Corp. | | | 9,938 | | | | 216,648 | |
Resona Holdings, Inc. | | | 20,541 | | | | 79,826 | |
Shizuoka Bank Ltd. (The) | | | 4,449 | | | | 31,762 | |
Signature Bank/New York NY | | | 632 | | | | 204,433 | |
Skandinaviska Enskilda Banken AB–Class A | | | 16,225 | | | | 225,261 | |
11
| | |
| GLOBAL RISK ALLOCATION—MODERATE PORTFOLIO |
| PORTFOLIO OF INVESTMENTS | | |
| |
| (continued) | | AB Variable Products Series Fund |
| | | | | | | | |
Company | | Shares | | | U.S. $ Value | |
| | | | | | | | |
Societe Generale SA | | | 8,082 | | | $ | 277,768 | |
Standard Chartered PLC | | | 26,239 | | | | 159,554 | |
Sumitomo Mitsui Financial Group, Inc. | | | 13,016 | | | | 444,461 | |
Sumitomo Mitsui Trust Holdings, Inc. | | | 3,367 | | | | 112,587 | |
SVB Financial Group(a) | | | 612 | | | | 415,083 | |
Svenska Handelsbanken AB–Class A | | | 14,541 | | | | 157,158 | |
Swedbank AB–Class A | | | 9,028 | | | | 181,425 | |
Truist Financial Corp. | | | 13,916 | | | | 814,782 | |
UniCredit SpA | | | 21,248 | | | | 326,610 | |
United Overseas Bank Ltd. | | | 11,765 | | | | 234,967 | |
US Bancorp | | | 14,067 | | | | 790,143 | |
Wells Fargo & Co. | | | 41,569 | | | | 1,994,481 | |
Westpac Banking Corp. | | | 36,518 | | | | 566,522 | |
Zions Bancorp NA | | | 1,631 | | | | 103,014 | |
| | | | | | | | |
| | | | | | | 31,235,789 | |
| | | | | | | | |
CAPITAL MARKETS–1.7% | |
3i Group PLC | | | 9,702 | | | | 190,191 | |
Ameriprise Financial, Inc. | | | 1,166 | | | | 351,736 | |
Amundi SA(b) | | | 607 | | | | 50,068 | |
ASX Ltd.(c) | | | 1,930 | | | | 130,437 | |
Bank of New York Mellon Corp. (The) | | | 7,920 | | | | 459,994 | |
BlackRock, Inc.–Class A | | | 1,489 | | | | 1,363,269 | |
Cboe Global Markets, Inc. | | | 1,111 | | | | 144,874 | |
Charles Schwab Corp. (The) | | | 15,673 | | | | 1,318,099 | |
CME Group, Inc.–Class A | | | 3,747 | | | | 856,040 | |
Credit Suisse Group AG | | | 26,426 | | | | 256,216 | |
Daiwa Securities Group, Inc. | | | 14,400 | | | | 81,259 | |
Deutsche Bank AG(a) | | | 20,604 | | | | 256,623 | |
Deutsche Boerse AG | | | 1,894 | | | | 316,250 | |
EQT AB | | | 2,949 | | | | 159,865 | |
Euronext NV(b) | | | 854 | | | | 88,785 | |
FactSet Research Systems, Inc. | | | 393 | | | | 191,002 | |
Franklin Resources, Inc. | | | 2,929 | | | | 98,092 | |
Futu Holdings Ltd. (ADR)(a) | | | 507 | | | | 21,953 | |
Goldman Sachs Group, Inc. (The) | | | 3,539 | | | | 1,353,844 | |
Hargreaves Lansdown PLC | | | 3,546 | | | | 65,162 | |
Hong Kong Exchanges & Clearing Ltd. | | | 12,007 | | | | 702,217 | |
Intercontinental Exchange, Inc. | | | 5,873 | | | | 803,250 | |
Invesco Ltd. | | | 3,558 | | | | 81,905 | |
Japan Exchange Group, Inc. | | | 5,079 | | | | 111,278 | |
Julius Baer Group Ltd. | | | 2,205 | | | | 147,453 | |
London Stock Exchange Group PLC | | | 3,279 | | | | 308,456 | |
Macquarie Group Ltd. | | | 3,493 | | | | 522,152 | |
Magellan Financial Group Ltd.(c) | | | 1,374 | | | | 21,232 | |
| | | | | | | | |
MarketAxess Holdings, Inc. | | | 396 | | | | 162,863 | |
Moody’s Corp. | | | 1,686 | | | | 658,518 | |
Morgan Stanley | | | 14,966 | | | | 1,469,063 | |
MSCI, Inc.–Class A | | | 860 | | | | 526,913 | |
Nasdaq, Inc. | | | 1,220 | | | | 256,212 | |
Nomura Holdings, Inc. | | | 30,624 | | | | 133,387 | |
Northern Trust Corp. | | | 2,164 | | | | 258,836 | |
Partners Group Holding AG | | | 226 | | | | 373,083 | |
Raymond James Financial, Inc. | | | 1,930 | | | | 193,772 | |
S&P Global, Inc. | | | 2,513 | | | | 1,185,960 | |
SBI Holdings, Inc./Japan | | | 2,439 | | | | 66,525 | |
Schroders PLC | | | 1,239 | | | | 59,803 | |
Singapore Exchange Ltd. | | | 8,012 | | | | 55,307 | |
St. James’s Place PLC | | | 5,381 | | | | 122,968 | |
Standard Life Aberdeen PLC | | | 21,740 | | | | 70,829 | |
State Street Corp. | | | 3,811 | | | | 354,423 | |
T. Rowe Price Group, Inc. | | | 2,343 | | | | 460,728 | |
UBS Group AG | | | 35,065 | | | | 629,392 | |
| | | | | | | | |
| | | | | | | 17,490,284 | |
| | | | | | | | |
CONSUMER FINANCE–0.2% | | | | | | | | |
American Express Co. | | | 6,540 | | | | 1,069,944 | |
Capital One Financial Corp. | | | 4,437 | | | | 643,764 | |
Discover Financial Services | | | 3,055 | | | | 353,036 | |
Synchrony Financial | | | 5,705 | | | | 264,655 | |
| | | | | | | | |
| | | | | | | 2,331,399 | |
| | | | | | | | |
DIVERSIFIED FINANCIAL SERVICES–0.7% | | | | | | | | |
Berkshire Hathaway, Inc.–Class B(a) | | | 19,093 | | | | 5,708,807 | |
EXOR NV | | | 1,081 | | | | 96,769 | |
Groupe Bruxelles Lambert SA | | | 1,126 | | | | 125,759 | |
IHS Markit Ltd. | | | 4,158 | | | | 552,681 | |
Industrivarden AB | | | 1,331 | | | | 42,292 | |
Industrivarden AB–Class C(c) | | | 1,592 | | | | 49,879 | |
Investor AB | | | 23,134 | | | | 586,545 | |
Kinnevik AB(a) | | | 2,414 | | | | 85,826 | |
L E Lundbergforetagen AB–Class B(c) | | | 757 | | | | 42,411 | |
M&G PLC | | | 25,919 | | | | 70,119 | |
Mitsubishi HC Capital, Inc. | | | 6,580 | | | | 32,555 | |
ORIX Corp. | | | 12,176 | | | | 248,490 | |
Sofina SA | | | 153 | | | | 75,155 | |
Tokyo Century Corp.(c) | | | 367 | | | | 17,816 | |
Wendel SE | | | 267 | | | | 31,993 | |
| | | | | | | | |
| | | | | | | 7,767,097 | |
| | | | | | | | |
INSURANCE–1.5% | | | | | | | | |
Admiral Group PLC | | | 1,924 | | | | 82,356 | |
12
| | |
| |
| | | AB Variable Products Series Fund |
| | | | | | | | |
Company | | Shares | | | U.S. $ Value | |
| | | | | | | | |
Aegon NV | | | 17,817 | | | $ | 88,578 | |
Aflac, Inc. | | | 6,345 | | | | 370,485 | |
Ageas SA/NV | | | 1,714 | | | | 88,763 | |
AIA Group Ltd. | | | 120,595 | | | | 1,217,146 | |
Allianz SE | | | 4,110 | | | | 969,379 | |
Allstate Corp. (The) | | | 2,988 | | | | 351,538 | |
American International Group, Inc. | | | 8,656 | | | | 492,180 | |
Aon PLC | | | 2,297 | | | | 690,386 | |
Arthur J Gallagher & Co. | | | 2,160 | | | | 366,487 | |
Assicurazioni Generali SpA | | | 11,033 | | | | 233,179 | |
Assurant, Inc. | | | 594 | | | | 92,581 | |
Aviva PLC | | | 38,994 | | | | 217,359 | |
AXA SA | | | 19,295 | | | | 574,282 | |
Baloise Holding AG | | | 462 | | | | 75,404 | |
Brown & Brown, Inc. | | | 2,443 | | | | 171,694 | |
Chubb Ltd. | | | 4,490 | | | | 867,962 | |
Cincinnati Financial Corp. | | | 1,562 | | | | 177,959 | |
CNP Assurances | | | 1,711 | | | | 42,322 | |
Dai-ichi Life Holdings, Inc. | | | 10,021 | | | | 202,123 | |
Everest Re Group Ltd. | | | 410 | | | | 112,307 | |
Gjensidige Forsikring ASA | | | 1,993 | | | | 48,352 | |
Globe Life, Inc. | | | 968 | | | | 90,721 | |
Hannover Rueck SE | | | 601 | | | | 113,948 | |
Hartford Financial Services Group, Inc. (The) | | | 3,548 | | | | 244,954 | |
Insurance Australia Group Ltd.(c) | | | 24,575 | | | | 76,158 | |
Japan Post Holdings Co., Ltd.(a) | | | 24,415 | | | | 190,200 | |
Japan Post Insurance Co., Ltd. | | | 1,992 | | | | 31,999 | |
Legal & General Group PLC | | | 59,515 | | | | 240,339 | |
Lincoln National Corp. | | | 1,770 | | | | 120,820 | |
Loews Corp. | | | 2,089 | | | | 120,661 | |
Marsh & McLennan Cos., Inc. | | | 5,263 | | | | 914,815 | |
Medibank Pvt Ltd. | | | 27,455 | | | | 66,869 | |
MetLife, Inc. | | | 7,454 | | | | 465,801 | |
MS&AD Insurance Group Holdings, Inc. | | | 4,438 | | | | 136,656 | |
Muenchener Rueckversicherungs-Gesellschaft AG in Muenchen | | | 1,396 | | | | 412,111 | |
NN Group NV | | | 2,693 | | | | 145,638 | |
Phoenix Group Holdings PLC | | | 6,476 | | | | 57,326 | |
Poste Italiane SpA(b) | | | 5,208 | | | | 68,226 | |
Principal Financial Group, Inc. | | | 2,570 | | | | 185,888 | |
Progressive Corp. (The) | | | 6,099 | | | | 626,062 | |
Prudential Financial, Inc. | | | 3,940 | | | | 426,466 | |
Prudential PLC | | | 26,075 | | | | 450,911 | |
QBE Insurance Group Ltd. | | | 14,706 | | | | 121,438 | |
Sampo Oyj–Class A | | | 4,972 | | | | 248,839 | |
| | | | | | | | |
Sompo Holdings, Inc. | | | 3,163 | | | | 133,395 | |
Suncorp Group Ltd. | | | 12,790 | | | | 102,973 | |
Swiss Life Holding AG | | | 314 | | | | 191,847 | |
Swiss Re AG | | | 3,006 | | | | 296,733 | |
T&D Holdings, Inc. | | | 5,363 | | | | 68,516 | |
Tokio Marine Holdings, Inc. | | | 6,258 | | | | 348,381 | |
Travelers Cos., Inc. (The) | | | 2,564 | | | | 401,087 | |
Tryg A/S | | | 3,589 | | | | 88,568 | |
Willis Towers Watson PLC | | | 1,299 | | | | 308,500 | |
WR Berkley Corp. | | | 1,454 | | | | 119,795 | |
Zurich Insurance Group AG | | | 1,499 | | | | 656,680 | |
| | | | | | | | |
| | | | | | | 15,806,143 | |
| | | | | | | | |
| | | | | | | 74,630,712 | |
| | | | | | | | |
CONSUMER DISCRETIONARY–7.0% | | | | | | | | |
AUTO COMPONENTS–0.2% | | | | | | | | |
Aisin Corp. | | | 1,468 | | | | 56,323 | |
Aptiv PLC(a) | | | 2,820 | | | | 465,159 | |
BorgWarner, Inc. | | | 2,499 | | | | 112,630 | |
Bridgestone Corp. | | | 5,692 | | | | 244,373 | |
Cie Generale des Etablissements Michelin SCA–Class B | | | 1,689 | | | | 276,631 | |
Continental AG(a) | | | 1,096 | | | | 115,152 | |
Denso Corp. | | | 4,320 | | | | 358,002 | |
Faurecia SE | | | 1,169 | | | | 55,616 | |
Koito Manufacturing Co., Ltd. | | | 1,041 | | | | 55,136 | |
Stanley Electric Co., Ltd. | | | 1,296 | | | | 32,539 | |
Sumitomo Electric Industries Ltd. | | | 7,519 | | | | 98,130 | |
Valeo | | | 2,289 | | | | 69,028 | |
| | | | | | | | |
| | | | | | | 1,938,719 | |
| | | | | | | | |
AUTOMOBILES–1.5% | | | | | | | | |
Bayerische Motoren Werke AG | | | 3,300 | | | | 330,139 | |
Bayerische Motoren Werke AG (Preference Shares) | | | 575 | | | | 47,683 | |
Daimler AG | | | 8,532 | | | | 651,880 | |
Ferrari NV | | | 1,256 | | | | 323,302 | |
Ford Motor Co. | | | 40,924 | | | | 849,991 | |
General Motors Co.(a) | | | 15,136 | | | | 887,424 | |
Honda Motor Co., Ltd. | | | 16,252 | | | | 462,381 | |
Isuzu Motors Ltd. | | | 5,812 | | | | 72,339 | |
Mazda Motor Corp.(a) | | | 5,668 | | | | 43,490 | |
Nissan Motor Co., Ltd.(a) | | | 23,142 | | | | 111,464 | |
Porsche Automobil Holding SE (Preference Shares) | | | 1,526 | | | | 144,074 | |
Renault SA(a) | | | 1,916 | | | | 66,467 | |
Stellantis NV | | | 20,292 | | | | 383,084 | |
Subaru Corp. | | | 6,134 | | | | 109,601 | |
Suzuki Motor Corp. | | | 3,672 | | | | 141,603 | |
Tesla, Inc.(a) | | | 8,481 | | | | 8,962,551 | |
13
| | |
| GLOBAL RISK ALLOCATION—MODERATE PORTFOLIO |
| PORTFOLIO OF INVESTMENTS | | |
| |
| (continued) | | AB Variable Products Series Fund |
| | | | | | | | |
Company | | Shares | | | U.S. $ Value | |
| | | | | | | | |
Toyota Motor Corp. | | | 105,721 | | | $ | 1,953,997 | |
Volkswagen AG | | | 323 | | | | 94,424 | |
Volkswagen AG (Preference Shares) | | | 1,850 | | | | 371,634 | |
Yamaha Motor Co., Ltd.(c) | | | 2,967 | | | | 71,265 | |
| | | | | | | | |
| | | | | | | 16,078,793 | |
| | | | | | | | |
DISTRIBUTORS–0.1% | | | | | | | | |
Genuine Parts Co. | | | 1,484 | | | | 208,057 | |
LKQ Corp. | | | 2,795 | | | | 167,784 | |
Pool Corp. | | | 418 | | | | 236,588 | |
| | | | | | | | |
| | | | | | | 612,429 | |
| | | | | | | | |
DIVERSIFIED CONSUMER SERVICES–0.0% | | | | | | | | |
IDP Education Ltd.(c) | | | 2,081 | | | | 52,425 | |
| | | | | | | | |
HOTELS, RESTAURANTS & LEISURE–1.0% | | | | | | | | |
Accor SA(a) | | | 1,696 | | | | 54,973 | |
Aristocrat Leisure Ltd. | | | 6,042 | | | | 191,668 | |
Booking Holdings, Inc.(a) | | | 429 | | | | 1,029,270 | |
Caesars Entertainment, Inc.(a) | | | 2,228 | | | | 208,385 | |
Carnival Corp.(a) | | | 8,386 | | | | 168,726 | |
Chipotle Mexican Grill, Inc.–Class A(a) | | | 294 | | | | 513,986 | |
Compass Group PLC(a) | | | 17,785 | | | | 400,406 | |
Crown Resorts Ltd.(a)(c) | | | 3,712 | | | | 32,313 | |
Darden Restaurants, Inc. | | | 1,353 | | | | 203,816 | |
Domino’s Pizza Enterprises Ltd.(c) | | | 603 | | | | 51,756 | |
Domino’s Pizza, Inc. | | | 379 | | | | 213,881 | |
Entain PLC(a) | | | 5,837 | | | | 133,414 | |
Evolution AB(b) | | | 1,715 | | | | 242,400 | |
Expedia Group, Inc.(a) | | | 1,522 | | | | 275,056 | |
Flutter Entertainment PLC(a) | | | 1,660 | | | | 262,801 | |
Galaxy Entertainment Group Ltd.(a) | | | 21,694 | | | | 112,540 | |
Genting Singapore Ltd. | | | 60,284 | | | | 34,676 | |
Hilton Worldwide Holdings, Inc.(a) | | | 2,905 | | | | 453,151 | |
InterContinental Hotels Group PLC(a) | | | 1,826 | | | | 118,049 | |
La Francaise des Jeux SAEM(b) | | | 952 | | | | 42,190 | |
Las Vegas Sands Corp.(a) | | | 3,584 | | | | 134,902 | |
Marriott International, Inc./MD–Class A(a) | | | 2,852 | | | | 471,264 | |
McDonald’s Corp. | | | 7,790 | | | | 2,088,265 | |
McDonald’s Holdings Co. Japan Ltd.(c) | | | 795 | | | | 35,184 | |
Melco Resorts & Entertainment Ltd. (ADR)(a) | | | 2,150 | | | | 21,887 | |
MGM Resorts International | | | 4,058 | | | | 182,123 | |
Norwegian Cruise Line Holdings Ltd.(a) | | | 3,857 | | | | 79,994 | |
| | | | | | | | |
Oriental Land Co., Ltd./Japan | | | 1,994 | | | | 336,242 | |
Penn National Gaming, Inc.(a) | | | 1,731 | | | | 89,752 | |
Royal Caribbean Cruises Ltd.(a) | | | 2,337 | | | | 179,715 | |
Sands China Ltd.(a) | | | 24,205 | | | | 56,175 | |
Sodexo SA | | | 882 | | | | 77,323 | |
Starbucks Corp. | | | 12,302 | | | | 1,438,965 | |
Tabcorp Holdings Ltd.(c) | | | 22,147 | | | | 80,910 | |
Whitbread PLC(a) | | | 2,013 | | | | 81,884 | |
Wynn Resorts Ltd.(a) | | | 1,097 | | | | 93,289 | |
Yum! Brands, Inc. | | | 3,056 | | | | 424,356 | |
| | | | | | | | |
| | | | | | | 10,615,687 | |
| | | | | | | | |
HOUSEHOLD DURABLES–0.4% | | | | | | | | |
Barratt Developments PLC | | | 10,161 | | | | 103,180 | |
Berkeley Group Holdings PLC | | | 1,120 | | | | 72,526 | |
DR Horton, Inc. | | | 3,398 | | | | 368,513 | |
Electrolux AB | | | 2,248 | | | | 54,446 | |
Garmin Ltd. | | | 1,584 | | | | 215,693 | |
Iida Group Holdings Co., Ltd. | | | 1,467 | | | | 34,119 | |
Lennar Corp.–Class A | | | 2,834 | | | | 329,197 | |
Mohawk Industries, Inc.(a) | | | 571 | | | | 104,025 | |
Newell Brands, Inc. | | | 3,947 | | | | 86,202 | |
NVR, Inc.(a) | | | 35 | | | | 206,810 | |
Open House Co., Ltd. | | | 817 | | | | 42,694 | |
Panasonic Corp. | | | 22,017 | | | | 242,028 | |
Persimmon PLC | | | 3,181 | | | | 123,292 | |
PulteGroup, Inc. | | | 2,639 | | | | 150,845 | |
Rinnai Corp. | | | 360 | | | | 32,489 | |
SEB SA | | | 275 | | | | 42,853 | |
Sekisui Chemical Co., Ltd. | | | 3,760 | | | | 62,883 | |
Sekisui House Ltd. | | | 6,143 | | | | 132,171 | |
Sharp Corp./Japan | | | 2,135 | | | | 24,520 | |
Sony Group Corp. | | | 12,571 | | | | 1,587,443 | |
Taylor Wimpey PLC | | | 36,353 | | | | 86,670 | |
Whirlpool Corp. | | | 633 | | | | 148,540 | |
| | | | | | | | |
| | | | | | | 4,251,139 | |
| | | | | | | | |
INTERNET & DIRECT MARKETING RETAIL–1.6% | | | | | | | | |
Amazon.com, Inc.(a) | | | 4,548 | | | | 15,164,578 | |
Delivery Hero SE(a)(b) | | | 1,615 | | | | 178,765 | |
eBay, Inc. | | | 6,526 | | | | 433,979 | |
Etsy, Inc.(a) | | | 1,321 | | | | 289,220 | |
Fiverr International Ltd.(a) | | | 291 | | | | 33,087 | |
Just Eat Takeaway.com NV(a)(b)(c) | | | 1,797 | | | | 97,633 | |
Mercari, Inc.(a) | | | 1,027 | | | | 52,251 | |
Prosus NV(a)(c) | | | 9,302 | | | | 770,438 | |
Rakuten Group, Inc. | | | 8,655 | | | | 86,838 | |
Zalando SE(a)(b) | | | 2,216 | | | | 178,513 | |
ZOZO, Inc. | | | 1,242 | | | | 38,726 | |
| | | | | | | | |
| | | | | | | 17,324,028 | |
| | | | | | | | |
14
| | |
| |
| | | AB Variable Products Series Fund |
| | | | | | | | |
Company | | Shares | | | U.S. $ Value | |
| | | | | | | | |
LEISURE PRODUCTS–0.1% | | | | | | | | |
Bandai Namco Holdings, Inc. | | | 1,991 | | | $ | 155,673 | |
Hasbro, Inc. | | | 1,351 | | | | 137,505 | |
Shimano, Inc.(c) | | | 739 | | | | 196,810 | |
Yamaha Corp. | | | 1,336 | | | | 65,912 | |
| | | | | | | | |
| | | | | | | 555,900 | |
| | | | | | | | |
MULTILINE RETAIL–0.3% | | | | | | | | |
Cie Financiere Richemont SA | | | 5,203 | | | | 777,509 | |
Dollar General Corp. | | | 2,432 | | | | 573,538 | |
Dollar Tree, Inc.(a) | | | 2,344 | | | | 329,379 | |
Next PLC | | | 1,325 | | | | 146,549 | |
Pan Pacific International Holdings Corp. | | | 4,109 | | | | 56,638 | |
Ryohin Keikaku Co., Ltd. | | | 2,519 | | | | 38,410 | |
Target Corp. | | | 5,088 | | | | 1,177,567 | |
Wesfarmers Ltd. | | | 11,303 | | | | 487,684 | |
| | | | | | | | |
| | | | | | | 3,587,274 | |
| | | | | | | | |
SPECIALTY RETAIL–1.1% | | | | | | | | |
Advance Auto Parts, Inc. | | | 656 | | | | 157,361 | |
AutoZone, Inc.(a) | | | 219 | | | | 459,109 | |
Bath & Body Works, Inc. | | | 2,756 | | | | 192,341 | |
Best Buy Co., Inc. | | | 2,307 | | | | 234,391 | |
CarMax, Inc.(a) | | | 1,690 | | | | 220,089 | |
Chow Tai Fook Jewellery Group Ltd.(a) | | | 19,938 | | | | 35,926 | |
Fast Retailing Co., Ltd. | | | 581 | | | | 330,266 | |
Gap, Inc. (The) | | | 2,235 | | | | 39,448 | |
H & M Hennes & Mauritz AB–Class B | | | 7,280 | | | | 142,849 | |
Hikari Tsushin, Inc. | | | 208 | | | | 32,033 | |
Home Depot, Inc. (The) | | | 11,003 | | | | 4,566,355 | |
Industria de Diseno Textil SA | | | 10,874 | | | | 350,687 | |
JD Sports Fashion PLC | | | 25,150 | | | | 74,155 | |
Kingfisher PLC | | | 21,050 | | | | 96,825 | |
Lowe’s Cos., Inc. | | | 7,219 | | | | 1,865,967 | |
Nitori Holdings Co., Ltd. | | | 798 | | | | 119,358 | |
O’Reilly Automotive, Inc.(a) | | | 703 | | | | 496,480 | |
Ross Stores, Inc. | | | 3,704 | | | | 423,293 | |
TJX Cos., Inc. (The) | | | 12,537 | | | | 951,809 | |
Tractor Supply Co. | | | 1,186 | | | | 282,980 | |
Ulta Beauty, Inc.(a) | | | 567 | | | | 233,797 | |
USS Co., Ltd. | | | 2,186 | | | | 34,153 | |
| | | | | | | | |
| | | | | | | 11,339,672 | |
| | | | | | | | |
TEXTILES, APPAREL & LUXURY GOODS–0.7% | | | | | | | | |
adidas AG | | | 1,898 | | | | 546,520 | |
Burberry Group PLC | | | 4,036 | | | | 99,618 | |
EssilorLuxottica SA | | | 2,862 | | | | 609,253 | |
Hermes International | | | 316 | | | | 552,170 | |
Kering SA | | | 747 | | | | 599,357 | |
LVMH Moet Hennessy Louis Vuitton SE | | | 2,767 | | | | 2,286,742 | |
| | | | | | | | |
Moncler SpA | | | 2,046 | | | | 147,861 | |
NIKE, Inc.–Class B | | | 13,321 | | | | 2,220,211 | |
Pandora A/S | | | 996 | | | | 123,893 | |
Puma SE | | | 1,052 | | | | 128,475 | |
PVH Corp. | | | 740 | | | | 78,921 | |
Ralph Lauren Corp. | | | 508 | | | | 60,381 | |
Swatch Group AG (The) | | | 288 | | | | 87,706 | |
Swatch Group AG (The) (REG) | | | 524 | | | | 30,636 | |
Tapestry, Inc. | | | 2,868 | | | | 116,441 | |
Under Armour, Inc.–Class A(a) | | | 1,966 | | | | 41,659 | |
Under Armour, Inc.–Class C(a) | | | 2,242 | | | | 40,446 | |
VF Corp. | | | 3,398 | | | | 248,802 | |
| | | | | | | | |
| | | | | | | 8,019,092 | |
| | | | | | | | |
| | | | | | | 74,375,158 | |
| | | | | | | | |
INDUSTRIALS–5.6% | | | | | | | | |
AEROSPACE & DEFENSE–0.7% | | | | | | | | |
Airbus SE(a) | | | 5,877 | | | | 751,926 | |
BAE Systems PLC | | | 32,061 | | | | 239,085 | |
Boeing Co. (The)(a) | | | 5,759 | | | | 1,159,402 | |
Dassault Aviation SA | | | 249 | | | | 26,931 | |
Elbit Systems Ltd. | | | 264 | | | | 45,633 | |
General Dynamics Corp. | | | 2,416 | | | | 503,663 | |
Howmet Aerospace, Inc. | | | 4,008 | | | | 127,575 | |
Huntington Ingalls Industries, Inc. | | | 417 | | | | 77,870 | |
L3Harris Technologies, Inc. | | | 2,045 | | | | 436,076 | |
Lockheed Martin Corp. | | | 2,559 | | | | 909,494 | |
MTU Aero Engines AG | | | 532 | | | | 108,019 | |
Northrop Grumman Corp. | | | 1,554 | | | | 601,507 | |
Raytheon Technologies Corp. | | | 15,604 | | | | 1,342,880 | |
Rolls-Royce Holdings PLC(a) | | | 83,419 | | | | 139,238 | |
Safran SA | | | 3,407 | | | | 417,096 | |
Singapore Technologies Engineering Ltd. | | | 15,564 | | | | 43,435 | |
Textron, Inc. | | | 2,298 | | | | 177,406 | |
Thales SA | | | 1,063 | | | | 90,426 | |
TransDigm Group, Inc.(a) | | | 546 | | | | 347,409 | |
| | | | | | | | |
| | | | | | | 7,545,071 | |
| | | | | | | | |
AIR FREIGHT & LOGISTICS–0.4% | | | | | | | | |
CH Robinson Worldwide, Inc. | | | 1,355 | | | | 145,839 | |
Deutsche Post AG | | | 9,882 | | | | 635,618 | |
DSV A/S | | | 2,033 | | | | 473,746 | |
Expeditors International of Washington, Inc. | | | 1,766 | | | | 237,156 | |
FedEx Corp. | | | 2,548 | | | | 659,015 | |
InPost SA(a) | | | 1,993 | | | | 24,047 | |
Kuehne & Nagel International AG | | | 541 | | | | 174,233 | |
15
| | |
| GLOBAL RISK ALLOCATION—MODERATE PORTFOLIO |
| PORTFOLIO OF INVESTMENTS | | |
| |
| (continued) | | AB Variable Products Series Fund |
| | | | | | | | |
Company | | Shares | | | U.S. $ Value | |
| | | | | | | | |
SG Holdings Co., Ltd. | | | 3,192 | | | $ | 74,847 | |
United Parcel Service, Inc.–Class B | | | 7,601 | | | | 1,629,198 | |
Yamato Holdings Co., Ltd. | | | 2,905 | | | | 68,243 | |
| | | | | | | | |
| | | | | | | 4,121,942 | |
| | | | | | | | |
AIRLINES–0.1% | | | | | | | | |
Alaska Air Group, Inc.(a) | | | 1,306 | | | | 68,043 | |
American Airlines Group, Inc.(a) | | | 6,750 | | | | 121,230 | |
ANA Holdings, Inc.(a) | | | 1,593 | | | | 33,301 | |
Delta Air Lines, Inc.(a) | | | 6,672 | | | | 260,742 | |
Deutsche Lufthansa AG(a) | | | 5,959 | | | | 41,724 | |
Japan Airlines Co., Ltd.(a) | | | 1,438 | | | | 27,298 | |
Qantas Airways Ltd.(a) | | | 9,213 | | | | 33,608 | |
Singapore Airlines Ltd.(a)(c) | | | 13,357 | | | | 49,524 | |
Southwest Airlines Co.(a) | | | 6,171 | | | | 264,366 | |
United Airlines Holdings, Inc.(a) | | | 3,375 | | | | 147,757 | |
| | | | | | | | |
| | | | | | | 1,047,593 | |
| | | | | | | | |
BUILDING PRODUCTS–0.4% | | | | | | | | |
AO Smith Corp. | | | 1,388 | | | | 119,160 | |
AGC, Inc.(c) | | | 1,927 | | | | 92,059 | |
Allegion PLC | | | 935 | | | | 123,831 | |
Assa Abloy AB–Class B | | | 9,992 | | | | 304,566 | |
Carrier Global Corp. | | | 9,034 | | | | 490,004 | |
Cie de Saint-Gobain | | | 5,043 | | | | 354,758 | |
Daikin Industries Ltd. | | | 2,483 | | | | 562,447 | |
Fortune Brands Home & Security, Inc. | | | 1,415 | | | | 151,264 | |
Geberit AG | | | 357 | | | | 291,003 | |
Johnson Controls International PLC | | | 7,388 | | | | 600,718 | |
Kingspan Group PLC | | | 1,535 | | | | 183,102 | |
Lixil Corp. | | | 2,655 | | | | 70,827 | |
Masco Corp. | | | 2,544 | | | | 178,640 | |
Nibe Industrier AB | | | 14,219 | | | | 214,848 | |
Otis Worldwide Corp. | | | 4,428 | | | | 385,546 | |
ROCKWOOL International A/S | | | 83 | | | | 36,244 | |
TOTO Ltd. | | | 1,411 | | | | 65,100 | |
Xinyi Glass Holdings Ltd. | | | 18,135 | | | | 45,425 | |
| | | | | | | | |
| | | | | | | 4,269,542 | |
| | | | | | | | |
COMMERCIAL SERVICES & SUPPLIES–0.2% | | | | | | | | |
Brambles Ltd. | | | 14,373 | | | | 111,194 | |
Cintas Corp. | | | 916 | | | | 405,944 | |
Copart, Inc.(a) | | | 2,224 | | | | 337,203 | |
Dai Nippon Printing Co., Ltd. | | | 2,213 | | | | 55,694 | |
Rentokil Initial PLC | | | 18,536 | | | | 146,726 | |
Republic Services, Inc.–Class A | | | 2,181 | | | | 304,140 | |
Rollins, Inc. | | | 2,359 | | | | 80,701 | |
| | | | | | | | |
Secom Co., Ltd. | | | 2,093 | | | | 145,435 | |
Securitas AB–Class B | | | 3,121 | | | | 42,934 | |
Sohgo Security Services Co., Ltd. | | | 712 | | | | 28,292 | |
TOPPAN, Inc. | | | 2,614 | | | | 49,054 | |
Waste Management, Inc. | | | 4,012 | | | | 669,603 | |
| | | | | | | | |
| | | | | | | 2,376,920 | |
| | | | | | | | |
CONSTRUCTION & ENGINEERING–0.2% | | | | | | | | |
ACS Actividades de Construccion y Servicios SA(c) | | | 2,445 | | | | 65,186 | |
Bouygues SA | | | 2,279 | | | | 81,579 | |
Eiffage SA | | | 830 | | | | 85,576 | |
Epiroc AB–Class A | | | 6,569 | | | | 166,103 | |
Epiroc AB–Class B | | | 3,887 | | | | 82,199 | |
Ferrovial SA(c) | | | 4,894 | | | | 153,053 | |
Kajima Corp. | | | 4,479 | | | | 51,475 | |
Obayashi Corp. | | | 6,473 | | | | 50,097 | |
Quanta Services, Inc. | | | 1,485 | | | | 170,270 | |
Shimizu Corp. | | | 5,502 | | | | 34,114 | |
Skanska AB–Class B | | | 3,391 | | | | 87,627 | |
Taisei Corp. | | | 1,902 | | | | 57,840 | |
Vinci SA | | | 5,362 | | | | 566,307 | |
| | | | | | | | |
| | | | | | | 1,651,426 | |
| | | | | | | | |
ELECTRICAL EQUIPMENT–0.5% | | | | | | | | |
ABB Ltd. | | | 16,374 | | | | 624,059 | |
AMETEK, Inc. | | | 2,411 | | | | 354,513 | |
Eaton Corp. PLC | | | 4,155 | | | | 718,067 | |
Emerson Electric Co. | | | 6,232 | | | | 579,389 | |
Fuji Electric Co., Ltd. | | | 1,265 | | | | 69,104 | |
Generac Holdings, Inc.(a) | | | 658 | | | | 231,563 | |
Legrand SA | | | 2,666 | | | | 312,245 | |
Mitsubishi Electric Corp. | | | 18,195 | | | | 230,950 | |
Nidec Corp. | | | 4,458 | | | | 527,356 | |
Prysmian SpA | | | 2,539 | | | | 95,507 | |
Rockwell Automation, Inc. | | | 1,209 | | | | 421,760 | |
Schneider Electric SE | | | 5,389 | | | | 1,059,453 | |
Siemens Energy AG(a) | | | 3,984 | | | | 101,649 | |
Siemens Gamesa Renewable Energy SA(a)(c) | | | 2,376 | | | | 56,425 | |
Vestas Wind Systems A/S | | | 10,067 | | | | 306,592 | |
| | | | | | | | |
| | | | | | | 5,688,632 | |
| | | | | | | | |
INDUSTRIAL CONGLOMERATES–0.7% | | | | | | | | |
3M Co. | | | 6,007 | | | | 1,067,023 | |
CK Hutchison Holdings Ltd. | | | 26,826 | | | | 172,717 | |
DCC PLC | | | 983 | | | | 80,472 | |
General Electric Co. | | | 11,448 | | | | 1,081,493 | |
Hitachi Ltd. | | | 9,652 | | | | 522,881 | |
Honeywell International, Inc. | | | 7,177 | | | | 1,496,476 | |
Investment AB Latour–Class B(c) | | | 1,475 | | | | 59,927 | |
16
| | |
| |
| | | AB Variable Products Series Fund |
| | | | | | | | |
Company | | Shares | | | U.S. $ Value | |
| | | | | | | | |
Jardine Matheson Holdings Ltd. | | | 2,158 | | | $ | 118,663 | |
Keppel Corp., Ltd. | | | 14,519 | | | | 55,216 | |
Lifco AB | | | 2,323 | | | | 69,385 | |
Melrose Industries PLC | | | 43,590 | | | | 94,799 | |
Roper Technologies, Inc. | | | 1,100 | | | | 541,046 | |
Siemens AG | | | 7,626 | | | | 1,320,844 | |
Smiths Group PLC | | | 3,951 | | | | 84,572 | |
Toshiba Corp. | | | 4,084 | | | | 168,050 | |
| | | | | | | | |
| | | | | | | 6,933,564 | |
| | | | | | | | |
MACHINERY–1.1% | | | | | | | | |
Alfa Laval AB | | | 3,136 | | | | 125,972 | |
Alstom SA | | | 3,163 | | | | 112,320 | |
Atlas Copco AB–Class A | | | 6,694 | | | | 462,561 | |
Atlas Copco AB–Class B | | | 3,890 | | | | 228,500 | |
Caterpillar, Inc. | | | 5,639 | | | | 1,165,807 | |
CNH Industrial NV | | | 10,201 | | | | 197,228 | |
Cummins, Inc. | | | 1,491 | | | | 325,247 | |
Daifuku Co., Ltd. | | | 1,009 | | | | 82,511 | |
Daimler Truck Holding AG(a) | | | 4,266 | | | | 156,827 | |
Deere & Co. | | | 2,942 | | | | 1,008,782 | |
Dover Corp. | | | 1,501 | | | | 272,582 | |
FANUC Corp. | | | 1,912 | | | | 406,418 | |
Fortive Corp. | | | 3,738 | | | | 285,172 | |
GEA Group AG | | | 1,529 | | | | 83,513 | |
Hino Motors Ltd. | | | 2,864 | | | | 23,616 | |
Hitachi Construction Machinery Co., Ltd. | | | 1,072 | | | | 30,975 | |
Hoshizaki Corp. | | | 541 | | | | 40,704 | |
Husqvarna AB–Class B | | | 4,171 | | | | 66,690 | |
IDEX Corp. | | | 792 | | | | 187,165 | |
Illinois Tool Works, Inc. | | | 2,978 | | | | 734,970 | |
Ingersoll Rand, Inc. | | | 4,249 | | | | 262,886 | |
KION Group AG | | | 719 | | | | 78,533 | |
Knorr-Bremse AG | | | 723 | | | | 71,407 | |
Komatsu Ltd. | | | 8,729 | | | | 204,136 | |
Kone Oyj–Class B | | | 3,388 | | | | 243,118 | |
Kornit Digital Ltd.(a) | | | 461 | | | | 70,187 | |
Kubota Corp. | | | 10,241 | | | | 227,719 | |
Kurita Water Industries Ltd. | | | 984 | | | | 46,650 | |
Makita Corp. | | | 2,233 | | | | 94,790 | |
MINEBEA MITSUMI, Inc. | | | 3,619 | | | | 102,829 | |
MISUMI Group, Inc. | | | 2,834 | | | | 116,426 | |
Mitsubishi Heavy Industries Ltd. | | | 3,195 | | | | 73,870 | |
Miura Co., Ltd. | | | 874 | | | | 30,088 | |
NGK Insulators Ltd. | | | 2,569 | | | | 43,480 | |
PACCAR, Inc. | | | 3,619 | | | | 319,413 | |
Parker-Hannifin Corp. | | | 1,346 | | | | 428,190 | |
Pentair PLC | | | 1,725 | | | | 125,977 | |
Rational AG | | | 51 | | | | 52,161 | |
Sandvik AB | | | 11,254 | | | | 313,689 | |
Schindler Holding AG | | | 405 | | | | 108,714 | |
Schindler Holding AG (REG) | | | 200 | | | | 53,448 | |
| | | | | | | | |
SKF AB–Class B | | | 3,810 | | | | 90,105 | |
SMC Corp. | | | 570 | | | | 385,239 | |
Snap-on, Inc. | | | 560 | | | | 120,613 | |
Spirax-Sarco Engineering PLC | | | 735 | | | | 159,958 | |
Stanley Black & Decker, Inc. | | | 1,699 | | | | 320,465 | |
Techtronic Industries Co., Ltd. | | | 13,712 | | | | 273,347 | |
Toyota Industries Corp. | | | 1,461 | | | | 116,870 | |
Trane Technologies PLC | | | 2,476 | | | | 500,226 | |
VAT Group AG(b) | | | 269 | | | | 133,296 | |
Volvo AB | | | 1,996 | | | | 46,821 | |
Volvo AB–Class B | | | 14,252 | | | | 329,599 | |
Wartsila Oyj Abp | | | 4,719 | | | | 66,188 | |
Westinghouse Air Brake Technologies Corp. | | | 1,947 | | | | 179,338 | |
Xylem, Inc./NY | | | 1,879 | | | | 225,330 | |
| | | | | | | | |
| | | | | | | 12,012,666 | |
| | | | | | | | |
MARINE–0.0% | | | | | | | | |
AP Moller–Maersk A/S–Class A | | | 31 | | | | 102,844 | |
AP Moller–Maersk A/S–Class B | | | 58 | | | | 207,020 | |
Nippon Yusen KK | | | 1,610 | | | | 122,767 | |
SITC International Holdings Co., Ltd. | | | 13,369 | | | | 48,352 | |
| | | | | | | | |
| | | | | | | 480,983 | |
| | | | | | | | |
PROFESSIONAL SERVICES–0.4% | | | | | | | | |
Adecco Group AG | | | 1,544 | | | | 78,678 | |
Benefit One, Inc. | | | 797 | | | | 34,243 | |
Bureau Veritas SA | | | 2,931 | | | | 97,306 | |
Equifax, Inc. | | | 1,272 | | | | 372,429 | |
Experian PLC | | | 9,191 | | | | 452,711 | |
Intertek Group PLC | | | 1,608 | | | | 122,670 | |
Jacobs Engineering Group, Inc. | | | 1,358 | | | | 189,074 | |
Leidos Holdings, Inc. | | | 1,463 | | | | 130,061 | |
Nielsen Holdings PLC | | | 3,740 | | | | 76,707 | |
Nihon M&A Center Holdings, Inc. | | | 3,019 | | | | 74,053 | |
Persol Holdings Co., Ltd. | | | 1,769 | | | | 51,431 | |
Randstad NV | | | 1,192 | | | | 81,315 | |
Recruit Holdings Co., Ltd. | | | 13,526 | | | | 823,134 | |
RELX PLC (London) | | | 19,278 | | | | 629,367 | |
Robert Half International, Inc. | | | 1,160 | | | | 129,363 | |
SGS SA | | | 60 | | | | 200,022 | |
Teleperformance | | | 585 | | | | 261,539 | |
Verisk Analytics, Inc.–Class A | | | 1,680 | | | | 384,266 | |
Wolters Kluwer NV | | | 2,666 | | | | 313,791 | |
| | | | | | | | |
| | | | | | | 4,502,160 | |
| | | | | | | | |
ROAD & RAIL–0.5% | | | | | | | | |
Aurizon Holdings Ltd. | | | 18,350 | | | | 46,621 | |
17
| | |
| GLOBAL RISK ALLOCATION—MODERATE PORTFOLIO |
| PORTFOLIO OF INVESTMENTS | | |
| |
| (continued) | | AB Variable Products Series Fund |
| | | | | | | | |
Company | | Shares | | | U.S. $ Value | |
| | | | | | | | |
Central Japan Railway Co. | | | 1,437 | | | $ | 191,224 | |
CSX Corp. | | | 23,123 | | | | 869,425 | |
East Japan Railway Co. | | | 3,014 | | | | 185,287 | |
Hankyu Hanshin Holdings, Inc. | | | 2,281 | | | | 64,823 | |
JB Hunt Transport Services, Inc. | | | 875 | | | | 178,850 | |
Keio Corp. | | | 1,025 | | | | 45,225 | |
Keisei Electric Railway Co., Ltd. | | | 1,289 | | | | 34,871 | |
Kintetsu Group Holdings Co., Ltd.(a) | | | 1,710 | | | | 47,802 | |
MTR Corp., Ltd. | | | 15,431 | | | | 82,835 | |
Nippon Express Co., Ltd.(a)(d)(e) | | | 765 | | | | 45,036 | |
Norfolk Southern Corp. | | | 2,537 | | | | 755,290 | |
Odakyu Electric Railway Co., Ltd.(c) | | | 2,938 | | | | 54,622 | |
Old Dominion Freight Line, Inc. | | | 971 | | | | 347,987 | |
Tobu Railway Co., Ltd. | | | 1,882 | | | | 42,947 | |
Tokyu Corp. | | | 4,983 | | | | 66,242 | |
Union Pacific Corp. | | | 6,702 | | | | 1,688,435 | |
West Japan Railway Co. | | | 2,152 | | | | 90,003 | |
| | | | | | | | |
| | | | | | | 4,837,525 | |
| | | | | | | | |
TRADING COMPANIES & DISTRIBUTORS–0.3% | | | | | | | | |
Ashtead Group PLC | | | 4,460 | | | | 359,541 | |
Brenntag SE | | | 1,540 | | | | 139,068 | |
Bunzl PLC | | | 3,362 | | | | 131,337 | |
Fastenal Co. | | | 5,996 | | | | 384,104 | |
Ferguson PLC | | | 2,216 | | | | 393,621 | |
ITOCHU Corp. | | | 11,850 | | | | 362,537 | |
Marubeni Corp. | | | 15,598 | | | | 151,971 | |
Mitsubishi Corp. | | | 12,589 | | | | 399,740 | |
Mitsui & Co., Ltd. | | | 15,554 | | | | 368,596 | |
MonotaRO Co., Ltd. | | | 2,498 | | | | 44,929 | |
Reece Ltd. | | | 2,898 | | | | 56,993 | |
Sumitomo Corp. | | | 11,228 | | | | 166,168 | |
Toyota Tsusho Corp. | | | 2,117 | | | | 97,587 | |
United Rentals, Inc.(a) | | | 755 | | | | 250,879 | |
WW Grainger, Inc. | | | 451 | | | | 233,726 | |
| | | | | | | | |
| | | | | | | 3,540,797 | |
| | | | | | | | |
TRANSPORTATION INFRASTRUCTURE–0.1% | | | | | | | | |
Aena SME SA(a)(b)(c) | | | 747 | | | | 117,641 | |
Aeroports de Paris(a) | | | 295 | | | | 38,056 | |
Atlantia SpA(a) | | | 4,939 | | | | 97,998 | |
Auckland International Airport Ltd.(a) | | | 12,479 | | | | 65,687 | |
Getlink SE | | | 4,386 | | | | 72,642 | |
Sydney Airport(a) | | | 13,183 | | | | 83,231 | |
Transurban Group | | | 30,403 | | | | 305,377 | |
| | | | | | | | |
| | | | | | | 780,632 | |
| | | | | | | | |
| | | | | | | 59,789,453 | |
| | | | | | | | |
| | | | | | | | |
COMMUNICATION SERVICES–4.7% | | | | | | | | |
DIVERSIFIED TELECOMMUNICATION SERVICES–1.0% | | | | | | | | |
AT&T, Inc. | | | 74,448 | | | | 1,831,421 | |
BT Group PLC(c) | | | 88,991 | | | | 204,724 | |
Cellnex Telecom SA(b) | | | 5,079 | | | | 294,214 | |
Charter Communications, Inc.–Class A(a) | | | 1,290 | | | | 841,041 | |
Comcast Corp.–Class A | | | 47,535 | | | | 2,392,437 | |
Deutsche Telekom AG | | | 33,227 | | | | 613,951 | |
Elisa Oyj | | | 1,417 | | | | 87,253 | |
Eurazeo SE | | | 385 | | | | 33,589 | |
HKT Trust & HKT Ltd.–Class SS | | | 37,762 | | | | 50,740 | |
Infrastrutture Wireless Italiane SpA(b)(c) | | | 3,350 | | | | 40,622 | |
Koninklijke KPN NV | | | 33,519 | | | | 104,181 | |
Lumen Technologies, Inc. | | | 9,607 | | | | 120,568 | |
Nippon Telegraph & Telephone Corp. | | | 12,833 | | | | 350,960 | |
Orange SA | | | 19,889 | | | | 212,458 | |
Proximus SADP | | | 1,516 | | | | 29,607 | |
Singapore Telecommunications Ltd. | | | 82,319 | | | | 141,711 | |
Spark New Zealand Ltd. | | | 18,613 | | | | 57,560 | |
Swisscom AG | | | 258 | | | | 145,544 | |
Telecom Italia SpA/Milano | | | 99,335 | | | | 48,870 | |
Telefonica Deutschland Holding AG | | | 10,378 | | | | 28,786 | |
Telefonica SA(c) | | | 50,543 | | | | 219,165 | |
Telenor ASA | | | 6,975 | | | | 109,640 | |
Telia Co. AB(c) | | | 26,501 | | | | 103,644 | |
Telstra Corp., Ltd. | | | 41,498 | | | | 126,121 | |
United Internet AG | | | 967 | | | | 38,338 | |
Verizon Communications, Inc. | | | 43,163 | | | | 2,242,750 | |
Washington H Soul Pattinson & Co., Ltd.(c) | | | 2,158 | | | | 46,511 | |
| | | | | | | | |
| | | | | | | 10,516,406 | |
| | | | | | | | |
ENTERTAINMENT–0.8% | | | | | | | | |
Activision Blizzard, Inc. | | | 8,120 | | | | 540,224 | |
Bollore SA | | | 8,815 | | | | 49,307 | |
Capcom Co., Ltd. | | | 1,755 | | | | 41,333 | |
Electronic Arts, Inc. | | | 2,948 | | | | 388,841 | |
Embracer Group AB(a)(c) | | | 4,726 | | | | 50,138 | |
Koei Tecmo Holdings Co., Ltd.(c) | | | 586 | | | | 23,009 | |
Konami Holdings Corp. | | | 929 | | | | 44,592 | |
Live Nation Entertainment, Inc.(a) | | | 1,408 | | | | 168,523 | |
Netflix, Inc.(a) | | | 4,618 | | | | 2,782,068 | |
Nexon Co., Ltd. | | | 4,918 | | | | 95,096 | |
Nintendo Co., Ltd. | | | 1,115 | | | | 521,661 | |
Sea Ltd. (ADR)(a) | | | 1,373 | | | | 307,154 | |
18
| | |
| |
| | | AB Variable Products Series Fund |
| | | | | | | | |
Company | | Shares | | | U.S. $ Value | |
| | | | | | | | |
Square Enix Holdings Co., Ltd. | | | 855 | | | $ | 43,861 | |
Take-Two Interactive Software, Inc.(a) | | | 1,202 | | | | 213,619 | |
Toho Co., Ltd./Tokyo | | | 1,115 | | | | 47,713 | |
Ubisoft Entertainment SA(a) | | | 923 | | | | 45,024 | |
Universal Music Group NV | | | 7,230 | | | | 203,973 | |
Walt Disney Co. (The)(a) | | | 18,944 | | | | 2,934,236 | |
| | | | | | | | |
| | | | | | | 8,500,372 | |
| | | | | | | | |
INTERACTIVE MEDIA & SERVICES–2.5% | | | | | | | | |
Adevinta ASA–Class B(a) | | | 2,560 | | | | 34,007 | |
Alphabet, Inc.–Class A(a) | | | 3,137 | | | | 9,088,014 | |
Alphabet, Inc.–Class C(a) | | | 2,916 | | | | 8,437,708 | |
Auto Trader Group PLC(b) | | | 9,558 | | | | 95,722 | |
Kakaku.com, Inc. | | | 1,339 | | | | 35,796 | |
Match Group, Inc.(a) | | | 2,951 | | | | 390,270 | |
Meta Platforms, Inc.–Class A(a) | | | 24,670 | | | | 8,297,755 | |
REA Group Ltd. | | | 526 | | | | 64,141 | |
Scout24 SE(b) | | | 872 | | | | 60,889 | |
SEEK Ltd. | | | 3,348 | | | | 79,815 | |
Twitter, Inc.(a) | | | 8,336 | | | | 360,282 | |
Z Holdings Corp. | | | 26,714 | | | | 154,140 | |
| | | | | | | | |
| | | | | | | 27,098,539 | |
| | | | | | | | |
MEDIA–0.2% | | | | | | | | |
CyberAgent, Inc. | | | 4,033 | | | | 67,229 | |
Dentsu Group, Inc. | | | 2,156 | | | | 76,739 | |
Discovery, Inc.–Class A(a)(c) | | | 1,764 | | | | 41,525 | |
Discovery, Inc.–Class C(a) | | | 3,166 | | | | 72,501 | |
DISH Network Corp.–Class A(a) | | | 2,603 | | | | 84,441 | |
Fox Corp.–Class A | | | 3,339 | | | | 123,209 | |
Fox Corp.–Class B | | | 1,533 | | | | 52,536 | |
Hakuhodo DY Holdings, Inc.(c) | | | 2,330 | | | | 38,771 | |
Informa PLC(a) | | | 14,985 | | | | 104,919 | |
Interpublic Group of Cos., Inc. (The) | | | 4,105 | | | | 153,732 | |
News Corp.–Class A | | | 4,097 | | | | 91,404 | |
News Corp.–Class B | | | 1,269 | | | | 28,553 | |
Omnicom Group, Inc. | | | 2,216 | | | | 162,366 | |
Pearson PLC | | | 7,542 | | | | 62,567 | |
Publicis Groupe SA | | | 2,272 | | | | 153,074 | |
Schibsted ASA | | | 728 | | | | 28,068 | |
Schibsted ASA–Class B | | | 970 | | | | 32,713 | |
ViacomCBS, Inc.–Class B | | | 6,325 | | | | 190,889 | |
Vivendi SE | | | 7,734 | | | | 104,617 | |
WPP PLC | | | 11,888 | | | | 181,027 | |
| | | | | | | | |
| | | | | | | 1,850,880 | |
| | | | | | | | |
| | | | | | | | |
WIRELESS TELECOMMUNICATION SERVICES–0.2% | | | | | | | | |
KDDI Corp. | | | 16,079 | | | | 470,209 | |
SoftBank Corp. | | | 28,634 | | | | 361,664 | |
SoftBank Group Corp. | | | 12,023 | | | | 576,384 | |
T-Mobile US, Inc.(a) | | | 6,120 | | | | 709,798 | |
Tele2 AB–Class B | | | 4,993 | | | | 71,228 | |
Vodafone Group PLC | | | 275,701 | | | | 415,271 | |
| | | | | | | | |
| | | | | | | 2,604,554 | |
| | | | | | | | |
| | | | | | | 50,570,751 | |
| | | | | | | | |
CONSUMER STAPLES–4.0% | | | | | | | | |
BEVERAGES–0.9% | | | | | | | | |
Anheuser-Busch InBev SA/NV | | | 7,596 | | | | 457,962 | |
Asahi Group Holdings Ltd. | | | 4,549 | | | | 177,087 | |
Brown-Forman Corp.–Class B | | | 1,905 | | | | 138,798 | |
Budweiser Brewing Co. APAC Ltd.(b) | | | 17,163 | | | | 45,121 | |
Carlsberg AS–Class B | | | 1,000 | | | | 172,648 | |
Coca-Cola Co., (The) | | | 40,529 | | | | 2,399,722 | |
Coca-Cola Europacific Partners PLC | | | 2,045 | | | | 114,377 | |
Coca-Cola HBC AG(a) | | | 2,001 | | | | 69,285 | |
Constellation Brands, Inc.–Class A | | | 1,712 | | | | 429,661 | |
Davide Campari-Milano NV | | | 5,211 | | | | 76,040 | |
Diageo PLC | | | 23,267 | | | | 1,272,147 | |
Heineken Holding NV(c) | | | 1,148 | | | | 105,851 | |
Heineken NV(c) | | | 2,584 | | | | 290,803 | |
Ito En Ltd. | | | 533 | | | | 28,005 | |
Kirin Holdings Co., Ltd.(c) | | | 8,200 | | | | 132,076 | |
Molson Coors Beverage Co.–Class B | | | 1,964 | | | | 91,031 | |
Monster Beverage Corp.(a) | | | 3,916 | | | | 376,093 | |
PepsiCo, Inc. | | | 14,414 | | | | 2,503,856 | |
Pernod Ricard SA | | | 2,088 | | | | 502,326 | |
Remy Cointreau SA | | | 226 | | | | 54,934 | |
Suntory Beverage & Food Ltd. | | | 1,386 | | | | 50,191 | |
Treasury Wine Estates Ltd. | | | 7,196 | | | | 64,882 | |
| | | | | | | | |
| | | | | | | 9,552,896 | |
| | | | | | | | |
FOOD & STAPLES RETAILING–0.8% | | | | | | | | |
Aeon Co., Ltd. | | | 6,519 | | | | 153,628 | |
Carrefour SA | | | 6,285 | | | | 115,226 | |
Coles Group Ltd. | | | 13,298 | | | | 173,514 | |
Cosmos Pharmaceutical Corp. | | | 199 | | | | 29,256 | |
Costco Wholesale Corp. | | | 4,606 | | | | 2,614,826 | |
Endeavour Group Ltd./Australia | | | 13,371 | | | | 65,616 | |
Etablissements Franz Colruyt NV(c) | | | 542 | | | | 22,998 | |
19
| | |
| GLOBAL RISK ALLOCATION—MODERATE PORTFOLIO |
| PORTFOLIO OF INVESTMENTS | | |
| |
| (continued) | | AB Variable Products Series Fund |
| | | | | | | | |
Company | | Shares | | | U.S. $ Value | |
| | | | | | | | |
HelloFresh SE(a) | | | 1,646 | | | $ | 126,146 | |
J Sainsbury PLC | | | 17,433 | | | | 65,164 | |
Jeronimo Martins SGPS SA | | | 2,823 | | | | 64,601 | |
Kesko Oyj–Class B | | | 2,722 | | | | 90,727 | |
Kobe Bussan Co., Ltd. | | | 1,363 | | | | 52,772 | |
Koninklijke Ahold Delhaize NV | | | 10,425 | | | | 357,748 | |
Kroger Co. (The) | | | 7,055 | | | | 319,309 | |
Lawson, Inc. | | | 499 | | | | 23,677 | |
Ocado Group PLC(a) | | | 4,865 | | | | 110,685 | |
Seven & i Holdings Co., Ltd. | | | 7,511 | | | | 330,394 | |
Sysco Corp. | | | 5,344 | | | | 419,771 | |
Tesco PLC | | | 77,079 | | | | 303,466 | |
Tsuruha Holdings, Inc. | | | 394 | | | | 37,831 | |
Walgreens Boots Alliance, Inc. | | | 7,490 | | | | 390,678 | |
Walmart, Inc. | | | 14,826 | | | | 2,145,174 | |
Welcia Holdings Co., Ltd. | | | 940 | | | | 29,359 | |
Woolworths Group Ltd. | | | 12,637 | | | | 349,331 | |
| | | | | | | | |
| | | | | | | 8,391,897 | |
| | | | | | | | |
FOOD PRODUCTS–0.9% | | | | | | | | |
Ajinomoto Co., Inc. | | | 4,653 | | | | 141,647 | |
Archer-Daniels-Midland Co. | | | 5,832 | | | | 394,185 | |
Associated British Foods PLC | | | 3,551 | | | | 97,205 | |
Barry Callebaut AG | | | 36 | | | | 87,396 | |
Campbell Soup Co. | | | 2,110 | | | | 91,701 | |
Chocoladefabriken Lindt & Spruengli AG | | | 11 | | | | 152,469 | |
Chocoladefabriken Lindt & Spruengli AG (REG) | | | 2 | | | | 268,218 | |
Conagra Brands, Inc. | | | 5,001 | | | | 170,784 | |
Danone SA | | | 6,512 | | | | 404,782 | |
General Mills, Inc. | | | 6,314 | | | | 425,437 | |
Hershey Co. (The) | | | 1,515 | | | | 293,107 | |
Hormel Foods Corp.(c) | | | 2,941 | | | | 143,550 | |
JDE Peet’s NV(c) | | | 1,000 | | | | 30,952 | |
JM Smucker Co. (The) | | | 1,129 | | | | 153,341 | |
Kellogg Co. | | | 2,667 | | | | 171,808 | |
Kerry Group PLC–Class A | | | 1,586 | | | | 204,619 | |
Kikkoman Corp. | | | 1,449 | | | | 122,022 | |
Kraft Heinz Co. (The) | | | 7,401 | | | | 265,696 | |
Lamb Weston Holdings, Inc. | | | 1,522 | | | | 96,464 | |
McCormick & Co., Inc./MD | | | 2,599 | | | | 251,089 | |
MEIJI Holdings Co., Ltd. | | | 1,217 | | | | 72,647 | |
Mondelez International, Inc.–Class A | | | 14,543 | | | | 964,346 | |
Mowi ASA | | | 4,381 | | | | 103,684 | |
Nestle SA | | | 28,063 | | | | 3,918,080 | |
Nisshin Seifun Group, Inc. | | | 1,972 | | | | 28,449 | |
Nissin Foods Holdings Co., Ltd. | | | 632 | | | | 46,126 | |
| | | | | | | | |
Orkla ASA | | | 7,487 | | | | 75,046 | |
Toyo Suisan Kaisha Ltd. | | | 884 | | | | 37,480 | |
Tyson Foods, Inc.–Class A | | | 3,073 | | | | 267,843 | |
WH Group Ltd.(b) | | | 83,140 | | | | 52,191 | |
Wilmar International Ltd. | | | 19,151 | | | | 58,939 | |
Yakult Honsha Co., Ltd. | | | 1,278 | | | | 66,672 | |
| | | | | | | | |
| | | | | | | 9,657,975 | |
| | | | | | | | |
HOUSEHOLD PRODUCTS–0.7% | | | | | | | | |
Church & Dwight Co., Inc. | | | 2,545 | | | | 260,863 | |
Clorox Co. (The) | | | 1,280 | | | | 223,181 | |
Colgate-Palmolive Co. | | | 8,787 | | | | 749,883 | |
Essity AB–Class B | | | 6,067 | | | | 197,935 | |
Henkel AG & Co. KGaA | | | 1,035 | | | | 80,679 | |
Henkel AG & Co. KGaA (Preference Shares) | | | 1,776 | | | | 143,307 | |
Kimberly-Clark Corp. | | | 3,510 | | | | 501,649 | |
Lion Corp. | | | 2,236 | | | | 29,891 | |
Procter & Gamble Co. (The) | | | 25,229 | | | | 4,126,960 | |
Reckitt Benckiser Group PLC | | | 7,120 | | | | 612,915 | |
Unicharm Corp. | | | 4,023 | | | | 175,029 | |
| | | | | | | | |
| | | | | | | 7,102,292 | |
| | | | | | | | |
PERSONAL PRODUCTS–0.4% | | | | | | | | |
Beiersdorf AG | | | 1,004 | | | | 102,915 | |
Estee Lauder Cos., Inc. (The)–Class A | | | 2,416 | | | | 894,403 | |
Kao Corp. | | | 4,735 | | | | 247,992 | |
Kobayashi Pharmaceutical Co., Ltd. | | | 531 | | | | 41,767 | |
Kose Corp.(c) | | | 332 | | | | 37,663 | |
L’Oreal SA | | | 2,501 | | | | 1,192,509 | |
Pola Orbis Holdings, Inc. | | | 913 | | | | 15,216 | |
Shiseido Co., Ltd. | | | 3,987 | | | | 222,421 | |
Unilever PLC | | | 25,871 | | | | 1,387,887 | |
| | | | | | | | |
| | | | | | | 4,142,773 | |
| | | | | | | | |
TOBACCO–0.3% | | | | | | | | |
Altria Group, Inc. | | | 19,151 | | | | 907,566 | |
British American Tobacco PLC | | | 21,732 | | | | 806,947 | |
Imperial Brands PLC | | | 9,435 | | | | 206,766 | |
Japan Tobacco, Inc.(c) | | | 11,963 | | | | 241,556 | |
Philip Morris International, Inc. | | | 16,230 | | | | 1,541,850 | |
Swedish Match AB | | | 15,751 | | | | 125,042 | |
| | | | | | | | |
| | | | | | | 3,829,727 | |
| | | | | | | | |
| | | | | | | 42,677,560 | |
| | | | | | | | |
MATERIALS–2.2% | | | | | | | | |
CHEMICALS–1.3% | | | | | | | | |
Air Liquide SA | | | 4,722 | | | | 823,537 | |
Air Products and Chemicals, Inc. | | | 2,308 | | | | 702,232 | |
Akzo Nobel NV | | | 1,868 | | | | 205,228 | |
20
| | |
| |
| | | AB Variable Products Series Fund |
| | | | | | | | |
Company | | Shares | | | U.S. $ Value | |
| | | | | | | | |
Albemarle Corp. | | | 1,219 | | | $ | 284,966 | |
Arkema SA | | | 612 | | | | 86,381 | |
Asahi Kasei Corp. | | | 12,506 | | | | 117,811 | |
BASF SE | | | 9,156 | | | | 642,617 | |
Celanese Corp.–Class A | | | 1,135 | | | | 190,748 | |
CF Industries Holdings, Inc. | | | 2,236 | | | | 158,264 | |
Chr Hansen Holding A/S | | | 1,051 | | | | 82,872 | |
Clariant AG(a)(c) | | | 2,150 | | | | 44,662 | |
Corteva, Inc. | | | 7,599 | | | | 359,281 | |
Covestro AG(b) | | | 1,926 | | | | 118,541 | |
Croda International PLC | | | 1,390 | | | | 190,390 | |
Dow, Inc. | | | 7,710 | | | | 437,311 | |
DuPont de Nemours, Inc. | | | 5,401 | | | | 436,293 | |
Eastman Chemical Co. | | | 1,401 | | | | 169,395 | |
Ecolab, Inc. | | | 2,599 | | | | 609,699 | |
EMS-Chemie Holding AG | | | 69 | | | | 77,113 | |
Evonik Industries AG | | | 2,090 | | | | 67,518 | |
FMC Corp. | | | 1,321 | | | | 145,165 | |
Fuchs Petrolub SE | | | 692 | | | | 31,271 | |
Givaudan SA | | | 92 | | | | 482,688 | |
ICL Group Ltd. | | | 7,041 | | | | 67,820 | |
IMCD NV(c) | | | 568 | | | | 125,530 | |
International Flavors & Fragrances, Inc. | | | 2,653 | | | | 399,674 | |
Johnson Matthey PLC | | | 1,929 | | | | 53,603 | |
JSR Corp. | | | 2,028 | | | | 77,071 | |
Kansai Paint Co., Ltd. | | | 1,766 | | | | 38,403 | |
Koninklijke DSM NV(c) | | | 1,742 | | | | 392,309 | |
LANXESS AG | | | 828 | | | | 51,202 | |
Linde PLC | | | 5,344 | | | | 1,851,322 | |
LyondellBasell Industries NV–Class A | | | 2,740 | | | | 252,710 | |
Mitsubishi Chemical Holdings Corp. | | | 12,764 | | | | 94,675 | |
Mitsubishi Gas Chemical Co., Inc. | | | 1,575 | | | | 26,699 | |
Mitsui Chemicals, Inc. | | | 1,836 | | | | 49,352 | |
Mosaic Co. (The) | | | 3,861 | | | | 151,699 | |
Nippon Paint Holdings Co., Ltd.(c) | | | 7,089 | | | | 77,417 | |
Nippon Sanso Holdings Corp. | | | 1,511 | | | | 33,050 | |
Nissan Chemical Corp. | | | 1,211 | | | | 70,432 | |
Nitto Denko Corp. | | | 1,418 | | | | 109,544 | |
Novozymes A/S–Class B | | | 2,048 | | | | 168,161 | |
Orica Ltd.(c) | | | 4,062 | | | | 40,507 | |
PPG Industries, Inc. | | | 2,475 | | | | 426,789 | |
Sherwin-Williams Co. (The) | | | 2,515 | | | | 885,682 | |
Shin-Etsu Chemical Co., Ltd. | | | 3,530 | | | | 612,721 | |
Sika AG | | | 1,413 | | | | 587,267 | |
Solvay SA | | | 738 | | | | 85,797 | |
Sumitomo Chemical Co., Ltd. | | | 14,853 | | | | 70,044 | |
Symrise AG | | | 1,282 | | | | 189,601 | |
Toray Industries, Inc. | | | 13,825 | | | | 81,908 | |
| | | | | | | | |
Tosoh Corp. | | | 2,592 | | | | 38,508 | |
Umicore SA(c) | | | 1,965 | | | | 80,161 | |
Yara International ASA | | | 1,650 | | | | 83,190 | |
| | | | | | | | |
| | | | | | | 13,736,831 | |
| | | | | | | | |
CONSTRUCTION MATERIALS–0.1% | | | | | | | | |
CRH PLC | | | 7,766 | | | | 411,132 | |
HeidelbergCement AG | | | 1,483 | | | | 100,365 | |
Holcim Ltd.(a) | | | 5,219 | | | | 265,433 | |
James Hardie Industries PLC | | | 4,437 | | | | 178,599 | |
Martin Marietta Materials, Inc. | | | 650 | | | | 286,338 | |
Vulcan Materials Co. | | | 1,383 | | | | 287,083 | |
| | | | | | | | |
| | | | | | | 1,528,950 | |
| | | | | | | | |
CONTAINERS & PACKAGING–0.1% | | | | | | | | |
AMCOR PLC | | | 15,984 | | | | 191,968 | |
Avery Dennison Corp. | | | 863 | | | | 186,900 | |
Ball Corp. | | | 3,376 | | | | 325,008 | |
International Paper Co. | | | 4,037 | | | | 189,658 | |
Packaging Corp. of America | | | 990 | | | | 134,788 | |
Sealed Air Corp. | | | 1,544 | | | | 104,174 | |
Smurfit Kappa Group PLC | | | 2,453 | | | | 135,200 | |
Westrock Co. | | | 2,783 | | | | 123,454 | |
| | | | | | | | |
| | | | | | | 1,391,150 | |
| | | | | | | | |
METALS & MINING–0.6% | | | | | | | | |
Anglo American PLC | | | 12,882 | | | | 529,865 | |
Antofagasta PLC | | | 3,931 | | | | 71,494 | |
ArcelorMittal SA | | | 6,692 | | | | 214,670 | |
BHP Group Ltd.(c) | | | 29,411 | | | | 887,969 | |
BHP Group PLC | | | 21,055 | | | | 626,486 | |
BlueScope Steel Ltd. | | | 5,022 | | | | 76,668 | |
Boliden AB | | | 2,726 | | | | 105,114 | |
Evolution Mining Ltd.(c) | | | 18,271 | | | | 54,206 | |
Evraz PLC | | | 5,089 | | | | 41,607 | |
Fortescue Metals Group Ltd. | | | 16,882 | | | | 237,306 | |
Freeport-McMoRan, Inc. | | | 15,309 | | | | 638,844 | |
Glencore PLC(a) | | | 99,551 | | | | 507,240 | |
Hitachi Metals Ltd.(a) | | | 2,137 | | | | 39,597 | |
JFE Holdings, Inc. | | | 4,900 | | | | 62,514 | |
Newcrest Mining Ltd. | | | 8,147 | | | | 145,914 | |
Newmont Corp. | | | 8,313 | | | | 515,572 | |
Nippon Steel Corp. | | | 8,526 | | | | 139,281 | |
Norsk Hydro ASA | | | 13,407 | | | | 105,494 | |
Northern Star Resources Ltd.(c) | | | 11,026 | | | | 75,830 | |
Nucor Corp. | | | 2,979 | | | | 340,053 | |
Rio Tinto Ltd. | | | 3,700 | | | | 269,997 | |
Rio Tinto PLC | | | 11,196 | | | | 738,334 | |
South32 Ltd. | | | 46,601 | | | | 136,288 | |
Sumitomo Metal Mining Co., Ltd. | | | 2,464 | | | | 93,322 | |
voestalpine AG | | | 1,157 | | | | 41,980 | |
| | | | | | | | |
| | | | | | | 6,695,645 | |
| | | | | | | | |
21
| | |
| GLOBAL RISK ALLOCATION—MODERATE PORTFOLIO |
| PORTFOLIO OF INVESTMENTS | | |
| |
| (continued) | | AB Variable Products Series Fund |
| | | | | | | | |
Company | | Shares | | | U.S. $ Value | |
| | | | | | | | |
PAPER & FOREST PRODUCTS–0.1% | | | | | | | | |
Mondi PLC | | | 4,840 | | | $ | 120,051 | |
Oji Holdings Corp. | | | 8,090 | | | | 39,196 | |
Stora Enso Oyj–Class R | | | 5,799 | | | | 106,431 | |
Svenska Cellulosa AB SCA–Class B | | | 6,040 | | | | 107,176 | |
UPM-Kymmene Oyj | | | 5,320 | | | | 202,419 | |
| | | | | | | | |
| | | | | | | 575,273 | |
| | | | | | | | |
| | | | | | | 23,927,849 | |
| | | | | | | | |
ENERGY–1.6% | | | | | | | | |
ENERGY EQUIPMENT & SERVICES–0.1% | | | | | | | | |
Baker Hughes Co.–Class A | | | 9,112 | | | | 219,234 | |
Halliburton Co. | | | 9,332 | | | | 213,423 | |
Schlumberger NV | | | 14,623 | | | | 437,959 | |
Tenaris SA | | | 4,707 | | | | 49,127 | |
| | | | | | | | |
| | | | | | | 919,743 | |
| | | | | | | | |
OIL, GAS & CONSUMABLE FUELS–1.5% | | | | | | | | |
Aker BP ASA | | | 1,256 | | | | 38,620 | |
Ampol Ltd. | | | 2,375 | | | | 51,283 | |
APA Corp. | | | 3,787 | | | | 101,832 | |
BP PLC | | | 200,590 | | | | 898,768 | |
Chevron Corp. | | | 20,097 | | | | 2,358,383 | |
ConocoPhillips | | | 13,750 | | | | 992,475 | |
Coterra Energy, Inc. | | | 8,481 | | | | 161,139 | |
Devon Energy Corp. | | | 6,564 | | | | 289,144 | |
Diamondback Energy, Inc. | | | 1,775 | | | | 191,434 | |
ENEOS Holdings, Inc. | | | 30,593 | | | | 114,290 | |
Eni SpA | | | 25,161 | | | | 349,682 | |
EOG Resources, Inc. | | | 6,099 | | | | 541,774 | |
Equinor ASA | | | 9,743 | | | | 257,988 | |
Exxon Mobil Corp. | | | 44,137 | | | | 2,700,743 | |
Galp Energia SGPS SA | | | 4,997 | | | | 48,487 | |
Hess Corp. | | | 2,873 | | | | 212,688 | |
Idemitsu Kosan Co., Ltd. | | | 2,078 | | | | 53,030 | |
Inpex Corp. | | | 10,204 | | | | 88,730 | |
Kinder Morgan, Inc. | | | 20,329 | | | | 322,418 | |
Lundin Energy AB | | | 1,995 | | | | 71,387 | |
Marathon Oil Corp. | | | 8,116 | | | | 133,265 | |
Marathon Petroleum Corp. | | | 6,417 | | | | 410,624 | |
Neste Oyj | | | 4,217 | | | | 207,543 | |
Occidental Petroleum Corp. | | | 9,250 | | | | 268,157 | |
OMV AG | | | 1,468 | | | | 83,019 | |
ONEOK, Inc. | | | 4,649 | | | | 273,175 | |
Phillips 66 | | | 4,568 | | | | 330,997 | |
Pioneer Natural Resources Co. | | | 2,367 | | | | 430,510 | |
Repsol SA | | | 14,465 | | | | 171,311 | |
Royal Dutch Shell PLC–Class A | | | 40,886 | | | | 895,992 | |
Royal Dutch Shell PLC–Class B | | | 36,707 | | | | 805,960 | |
| | | | | | | | |
Santos Ltd. | | | 31,038 | | | | 142,976 | |
TotalEnergies SE | | | 25,007 | | | | 1,272,861 | |
Valero Energy Corp. | | | 4,262 | | | | 320,119 | |
Williams Cos., Inc. (The) | | | 12,667 | | | | 329,849 | |
Woodside Petroleum Ltd.(c) | | | 9,606 | | | | 153,138 | |
| | | | | | | | |
| | | | | | | 16,073,791 | |
| | | | | | | | |
| | | | | | | 16,993,534 | |
| | | | | | | | |
REAL ESTATE–1.6% | | | | | | | | |
EQUITY REAL ESTATE INVESTMENT TRUSTS (REITs)–1.3% | | | | | | | | |
Alexandria Real Estate Equities, Inc. | | | 1,470 | | | | 327,751 | |
American Tower Corp. | | | 4,748 | | | | 1,388,790 | |
Ascendas Real Estate Investment Trust | | | 33,456 | | | | 73,302 | |
AvalonBay Communities, Inc. | | | 1,457 | | | | 368,024 | |
Boston Properties, Inc. | | | 1,481 | | | | 170,582 | |
British Land Co. PLC (The) | | | 8,776 | | | | 63,374 | |
CapitaLand Integrated Commercial Trust | | | 48,439 | | | | 73,287 | |
Covivio | | | 518 | | | | 42,520 | |
Crown Castle International Corp. | | | 4,505 | | | | 940,374 | |
Daiwa House REIT Investment Corp. | | | 22 | | | | 66,646 | |
Dexus | | | 10,722 | | | | 86,697 | |
Digital Realty Trust, Inc. | | | 2,958 | | | | 523,181 | |
Duke Realty Corp. | | | 3,970 | | | | 260,591 | |
Equinix, Inc. | | | 939 | | | | 794,244 | |
Equity Residential | | | 3,557 | | | | 321,909 | |
Essex Property Trust, Inc. | | | 679 | | | | 239,164 | |
Extra Space Storage, Inc. | | | 1,395 | | | | 316,288 | |
Federal Realty Investment Trust | | | 729 | | | | 99,377 | |
Gecina SA | | | 457 | | | | 63,948 | |
GLP J-REIT | | | 42 | | | | 72,598 | |
Goodman Group | | | 16,575 | | | | 319,513 | |
GPT Group (The) | | | 19,096 | | | | 75,299 | |
Healthpeak Properties, Inc. | | | 5,620 | | | | 202,826 | |
Host Hotels & Resorts, Inc.(a) | | | 7,444 | | | | 129,451 | |
Iron Mountain, Inc. | | | 3,018 | | | | 157,932 | |
Japan Metropolitan Fund Invest | | | 69 | | | | 59,443 | |
Japan Real Estate Investment Corp. | | | 13 | | | | 73,796 | |
Kimco Realty Corp. | | | 6,426 | | | | 158,401 | |
Klepierre SA(a) | | | 2,026 | | | | 47,940 | |
Land Securities Group PLC | | | 7,022 | | | | 74,110 | |
Link REIT | | | 20,854 | | | | 183,708 | |
Mapletree Commercial Trust(d)(e) | | | 21,521 | | | | 31,940 | |
Mapletree Logistics Trust | | | 30,322 | | | | 42,764 | |
22
| | |
| |
| | | AB Variable Products Series Fund |
| | | | | | | | |
Company | | Shares | | | U.S. $ Value | |
| | | | | | | | |
Mid-America Apartment Communities, Inc. | | | 1,200 | | | $ | 275,328 | |
Mirvac Group | | | 39,305 | | | | 83,200 | |
Nippon Building Fund, Inc. | | | 15 | | | | 87,370 | |
Nippon Prologis REIT, Inc. | | | 21 | | | | 74,229 | |
Nomura Real Estate Master Fund, Inc. | | | 42 | | | | 59,108 | |
Orix JREIT, Inc. | | | 26 | | | | 40,644 | |
Prologis, Inc. | | | 7,707 | | | | 1,297,551 | |
Public Storage | | | 1,590 | | | | 595,550 | |
Realty Income Corp. | | | 5,898 | | | | 422,238 | |
Regency Centers Corp. | | | 1,606 | | | | 121,012 | |
SBA Communications Corp. | | | 1,134 | | | | 441,149 | |
Scentre Group | | | 51,744 | | | | 119,031 | |
Segro PLC | | | 11,965 | | | | 232,860 | |
Simon Property Group, Inc. | | | 3,425 | | | | 547,212 | |
Stockland | | | 23,798 | | | | 73,417 | |
UDR, Inc. | | | 3,030 | | | | 181,770 | |
Ventas, Inc. | | | 4,161 | | | | 212,710 | |
Vicinity Centres(c) | | | 38,575 | | | | 47,441 | |
Vornado Realty Trust | | | 1,657 | | | | 69,362 | |
Welltower, Inc. | | | 4,537 | | | | 389,138 | |
Weyerhaeuser Co. | | | 7,809 | | | | 321,575 | |
| | | | | | | | |
| | | | | | | 13,541,665 | |
| | | | | | | | |
REAL ESTATE MANAGEMENT & DEVELOPMENT–0.3% | | | | | | | | |
Aroundtown SA | | | 9,960 | | | | 60,082 | |
Azrieli Group Ltd. | | | 423 | | | | 40,359 | |
Capitaland Investment Ltd./Singapore(a) | | | 26,303 | | | | 66,505 | |
CBRE Group, Inc.–Class A(a) | | | 3,489 | | | | 378,591 | |
City Developments Ltd. | | | 4,079 | | | | 20,637 | |
CK Asset Holdings Ltd. | | | 19,978 | | | | 126,021 | |
Daito Trust Construction Co., Ltd. | | | 652 | | | | 74,798 | |
Daiwa House Industry Co., Ltd. | | | 5,645 | | | | 162,232 | |
ESR Cayman Ltd.(a)(b) | | | 19,834 | | | | 67,091 | |
Fastighets AB Balder–Class B(a)(c) | | | 1,048 | | | | 75,418 | |
Hang Lung Properties Ltd. | | | 20,183 | | | | 41,518 | |
Henderson Land Development Co., Ltd. | | | 14,479 | | | | 61,761 | |
Hongkong Land Holdings Ltd. | | | 11,633 | | | | 60,487 | |
Hulic Co., Ltd. | | | 3,781 | | | | 35,955 | |
LEG Immobilien SE | | | 726 | | | | 101,221 | |
Lendlease Corp Ltd.(c) | | | 6,864 | | | | 53,447 | |
Mitsubishi Estate Co., Ltd. | | | 11,791 | | | | 163,571 | |
Mitsui Fudosan Co., Ltd. | | | 9,143 | | | | 181,221 | |
New World Development Co., Ltd. | | | 15,209 | | | | 60,217 | |
Nomura Real Estate Holdings, Inc. | | | 1,182 | | | | 27,236 | |
| | | | | | | | |
Sagax AB | | | 1,605 | | | | 53,988 | |
Sino Land Co., Ltd. | | | 33,180 | | | | 41,314 | |
Sumitomo Realty & Development Co., Ltd. | | | 3,085 | | | | 90,948 | |
Sun Hung Kai Properties Ltd. | | | 12,999 | | | | 157,733 | |
Swire Pacific Ltd.–Class A | | | 4,963 | | | | 28,230 | |
Swire Properties Ltd. | | | 11,664 | | | | 29,240 | |
Swiss Prime Site AG | | | 757 | | | | 74,313 | |
Unibail-Rodamco-Westfield(a) | | | 1,243 | | | | 87,202 | |
UOL Group Ltd. | | | 4,629 | | | | 24,366 | |
Vonovia SE | | | 7,224 | | | | 398,058 | |
Wharf Real Estate Investment Co., Ltd. | | | 16,648 | | | | 84,593 | |
| | | | | | | | |
| | | | | | | 2,928,353 | |
| | | | | | | | |
| | | | | | | 16,470,018 | |
| | | | | | | | |
UTILITIES–1.5% | | | | | | | | |
ELECTRIC UTILITIES–0.9% | | | | | | | | |
Alliant Energy Corp. | | | 2,610 | | | | 160,437 | |
American Electric Power Co., Inc. | | | 5,250 | | | | 467,093 | |
AusNet Services Ltd.(c) | | | 19,091 | | | | 35,713 | |
Chubu Electric Power Co., Inc. | | | 6,423 | | | | 67,843 | |
CK Infrastructure Holdings Ltd. | | | 6,606 | | | | 42,088 | |
CLP Holdings Ltd. | | | 16,371 | | | | 165,425 | |
Duke Energy Corp. | | | 8,019 | | | | 841,193 | |
Edison International | | | 3,960 | | | | 270,270 | |
EDP–Energias de Portugal SA | | | 27,674 | | | | 152,022 | |
Electricite de France SA | | | 4,722 | | | | 55,537 | |
Elia Group SA/NV(c) | | | 307 | | | | 40,464 | |
Endesa SA(c) | | | 3,166 | | | | 72,886 | |
Enel SpA | | | 81,083 | | | | 648,346 | |
Entergy Corp. | | | 2,095 | | | | 236,002 | |
Evergy, Inc. | | | 2,390 | | | | 163,978 | |
Eversource Energy | | | 3,584 | | | | 326,072 | |
Exelon Corp. | | | 10,199 | | | | 589,094 | |
FirstEnergy Corp. | | | 5,675 | | | | 236,023 | |
Fortum Oyj | | | 4,427 | | | | 135,778 | |
HK Electric Investments & HK Electric Investments Ltd.–Class SS(b) | | | 26,427 | | | | 25,927 | |
Iberdrola SA | | | 57,118 | | | | 676,276 | |
Kansai Electric Power Co., Inc. (The) | | | 7,018 | | | | 65,597 | |
Mercury NZ Ltd. | | | 6,790 | | | | 28,446 | |
NextEra Energy, Inc. | | | 20,456 | | | | 1,909,772 | |
NRG Energy, Inc. | | | 2,552 | | | | 109,940 | |
Origin Energy Ltd.(c) | | | 17,558 | | | | 67,010 | |
Orsted AS(b) | | | 1,885 | | | | 241,406 | |
Pinnacle West Capital Corp. | | | 1,176 | | | | 83,014 | |
23
| | |
| GLOBAL RISK ALLOCATION—MODERATE PORTFOLIO |
| PORTFOLIO OF INVESTMENTS | | |
| |
| (continued) | | AB Variable Products Series Fund |
| | | | | | | | |
Company | | Shares | | | U.S. $ Value | |
| | | | | | | | |
Power Assets Holdings Ltd. | | | 13,830 | | | $ | 86,207 | |
PPL Corp. | | | 7,826 | | | | 235,250 | |
Red Electrica Corp. SA(c) | | | 4,315 | | | | 93,309 | |
Southern Co. (The) | | | 11,049 | | | | 757,740 | |
SSE PLC | | | 10,400 | | | | 232,494 | |
Terna–Rete Elettrica Nazionale(c) | | | 14,026 | | | | 113,465 | |
Tokyo Electric Power Co. Holdings, Inc.(a) | | | 15,219 | | | | 39,344 | |
Verbund AG | | | 678 | | | | 76,197 | |
Xcel Energy, Inc. | | | 5,615 | | | | 380,136 | |
| | | | | | | | |
| | | | | | | 9,927,794 | |
| | | | | | | | |
GAS UTILITIES–0.1% | | | | | | | | |
APA Group(c) | | | 11,762 | | | | 86,048 | |
Atmos Energy Corp. | | | 1,380 | | | | 144,583 | |
Enagas SA | | | 2,481 | | | | 57,637 | |
Hong Kong & China Gas Co., Ltd. | | | 111,615 | | | | 174,093 | |
Naturgy Energy Group SA | | | 1,933 | | | | 62,871 | |
Osaka Gas Co., Ltd. | | | 3,738 | | | | 61,824 | |
Snam SpA | | | 20,103 | | | | 121,084 | |
Tokyo Gas Co., Ltd. | | | 3,736 | | | | 67,062 | |
| | | | | | | | |
| | | | | | | 775,202 | |
| | | | | | | | |
INDEPENDENT POWER AND RENEWABLE ELECTRICITY PRODUCERS–0.0% | | | | | | | | |
AES Corp. (The) | | | 6,950 | | | | 168,885 | |
EDP Renovaveis SA | | | 2,872 | | | | 71,419 | |
Meridian Energy Ltd. | | | 12,771 | | | | 42,391 | |
Uniper SE | | | 912 | | | | 43,302 | |
| | | | | | | | |
| | | | | | | 325,997 | |
| | | | | | | | |
MULTI-UTILITIES–0.5% | | | | | | | | |
Ameren Corp. | | | 2,685 | | | | 238,992 | |
CenterPoint Energy, Inc. | | | 6,556 | | | | 182,978 | |
CMS Energy Corp. | | | 3,020 | | | | 196,451 | |
Consolidated Edison, Inc. | | | 3,688 | | | | 314,660 | |
Dominion Energy, Inc. | | | 8,443 | | | | 663,282 | |
DTE Energy Co. | | | 2,019 | | | | 241,351 | |
E.ON SE | | | 22,382 | | | | 311,053 | |
Engie SA | | | 18,208 | | | | 269,576 | |
National Grid PLC | | | 36,057 | | | | 519,916 | |
NiSource, Inc. | | | 4,094 | | | | 113,035 | |
Public Service Enterprise Group, Inc. | | | 5,271 | | | | 351,734 | |
RWE AG | | | 6,404 | | | | 259,468 | |
Sempra Energy | | | 3,329 | | | | 440,360 | |
Suez SA | | | 3,505 | | | | 79,051 | |
United Utilities Group PLC | | | 6,797 | | | | 100,293 | |
Veolia Environnement SA | | | 6,534 | | | | 239,954 | |
WEC Energy Group, Inc. | | | 3,288 | | | | 319,166 | |
| | | | | | | | |
| | | | | | | 4,841,320 | |
| | | | | | | | |
WATER UTILITIES–0.0% | | | | | | | | |
American Water Works Co., Inc. | | | 1,892 | | | | 357,323 | |
| | | | | | | | |
Severn Trent PLC | | | 2,494 | | | | 99,590 | |
| | | | | | | | |
| | | | | | | 456,913 | |
| | | | | | | | |
| | | | | | | 16,327,226 | |
| | | | | | | | |
Total Common Stocks
(cost $549,281,288) | | | | | | | 593,069,072 | |
| | | | | | | | |
| | | | | | | | | | | | |
| | | | | | | | | | | | |
| | | | | | Principal
Amount
(000) | | | | |
INFLATION-LINKED SECURITIES–0.7% | | | | | | | | | | | | |
JAPAN–0.7% | | | | | | | | | | | | |
Japanese Government CPI Linked Bond
Series 22
0.10%, 03/10/2027
(cost $7,375,704) | | | JPY | | | | 785,109 | | | | 7,170,271 | |
| | | | | | | | | | | | |
| | | | | | Notional
Amount | | | | |
OPTIONS PURCHASED–PUTS–0.1% | | | | | | | | | | | | |
OPTIONS ON EQUITY INDICES–0.1% | | | | | | | | | | | | |
Euro STOXX 50 Index
Expiration: Jan 2022; Contracts: 766; Exercise Price: EUR 4,050.00;
Counterparty: Morgan Stanley & Co., Inc.(a) | | | EUR | | | | 31,023,000 | | | | 136,046 | |
FTSE 100 Index
Expiration: Jan 2022; Contracts: 105; Exercise Price: GBP 7,100.00;
Counterparty: Morgan Stanley & Co., Inc.(a) | | | GBP | | | | 7,455,000 | | | | 29,135 | |
Nikkei 225 Index
Expiration: Jan 2022; Contracts: 76; Exercise Price: JPY 27,875.00;
Counterparty: Morgan Stanley & Co., Inc.(a) | | | JPY | | | | 2,118,500,000 | | | | 77,632 | |
S&P 500 Index
Expiration: Jan 2022; Contracts: 181; Exercise Price: USD 4,520.00;
Counterparty: Morgan Stanley & Co., Inc.(a) | | | USD | | | | 81,812,000 | | | | 219,010 | |
S&P 500 Index
Expiration: Jan 2022; Contracts: 182; Exercise Price: USD 4,540.00;
Counterparty: Morgan Stanley & Co., Inc.(a) | | | USD | | | | 82,628,000 | | | | 242,970 | |
| | | | | | | | | | | | |
Total Options Purchased–Puts
(premiums paid $3,448,425) | | | | | | | 704,793 | |
| | | | | | | | | | | | |
24
| | |
|
| | |
| |
| | | AB Variable Products Series Fund |
| | | | | | | | | | | | |
Company | | | | | Shares | | | U.S. $ Value | |
| | | | | | | | | | | | |
SHORT-TERM INVESTMENTS–41.6% | | | | | | | | | | | | |
INVESTMENT COMPANIES–41.6% | | | | | | | | | | | | |
AB Fixed Income Shares, Inc.–Government Money Market Portfolio–Class AB, 0.01%(f)(g)(h)
(cost $443,533,779) | | | | | | | 443,533,779 | | | $ | 443,533,779 | |
| | | | | | | | | | | | |
TOTAL INVESTMENTS BEFORE SECURITY LENDING COLLATERAL FOR SECURITIES LOANED–98.0%
(cost $1,003,639,196) | | | | | | | | | | | 1,044,477,915 | |
| | | | | | | | | | | | |
| | | | | | | | | | | | |
INVESTMENTS OF CASH COLLATERAL FOR SECURITIES LOANED–0.3% | | | | | | | | | | | | |
INVESTMENT COMPANIES–0.3% | | | | | | | | | | | | |
AB Fixed Income Shares, Inc.–Government Money Market Portfolio–Class AB, 0.01%(f)(g)(h)
(cost $3,247,645) | | | | | | | 3,247,645 | | | | 3,247,645 | |
| | | | | | | | | | | | |
TOTAL INVESTMENTS–98.3%
(cost $1,006,886,841) | | | | | | | | | | | 1,047,725,560 | |
| | | | | | | | | | | | |
Other assets less liabilities–1.7% | | | | | | | 18,117,417 | |
| | | | | | | | | | | | |
NET ASSETS–100.0% | | | | | | $ | 1,065,842,977 | |
| | | | | | | | | | | | |
FUTURES (see Note D)
| | | | | | | | | | | | | | | | |
| Description | | Number of
Contracts | | | Expiration
Month | | | Current
Notional | | | Value and
Unrealized
Appreciation/
(Depreciation) | |
Purchased Contracts | |
10 Yr Canadian Bond Futures | | | 48 | | | | March 2022 | | | $ | 5,411,882 | | | $ | 121,347 | |
10 Yr Mini Japan Government Bond Futures | | | 223 | | | | March 2022 | | | | 29,391,489 | | | | (77,297 | ) |
Euro STOXX 50 Index Futures | | | 313 | | | | March 2022 | | | | 15,278,523 | | | | 202,424 | |
Euro-BOBL Futures | | | 86 | | | | March 2022 | | | | 13,045,657 | | | | (99,600 | ) |
Euro-BTP Futures | | | 162 | | | | March 2022 | | | | 27,114,074 | | | | (343,847 | ) |
Euro-Bund Futures | | | 73 | | | | March 2022 | | | | 14,242,642 | | | | (245,257 | ) |
Euro-OAT Futures | | | 188 | | | | March 2022 | | | | 34,920,288 | | | | (636,037 | ) |
FTSE 100 Index Futures | | | 84 | | | | March 2022 | | | | 8,327,256 | | | | 30,684 | |
Japan 10 Yr Bond (OSE) Futures | | | 86 | | | | March 2022 | | | | 113,333,391 | | | | (247,212 | ) |
Long Gilt Futures | | | 367 | | | | March 2022 | | | | 62,044,429 | | | | (353,066 | ) |
MSCI Emerging Market Futures | | | 5 | | | | March 2022 | | | | 580,450 | | | | 12,948 | |
MSCI Singapore IX ETS Futures | | | 120 | | | | January 2022 | | | | 3,028,940 | | | | 19,505 | |
Nikkei 225 (CME) Futures | | | 46 | | | | March 2022 | | | | 6,642,400 | | | | (2,776 | ) |
S&P 500 E-Mini Futures | | | 163 | | | | March 2022 | | | | 38,781,775 | | | | 576,984 | |
S&P Mid 400 E Mini Futures | | | 5 | | | | March 2022 | | | | 1,418,850 | | | | 31,554 | |
S&P/TSX 60 Index Futures | | | 80 | | | | March 2022 | | | | 16,201,747 | | | | 259,064 | |
SPI 200 Futures | | | 6 | | | | March 2022 | | | | 801,797 | | | | 13,666 | |
TOPIX Index Futures | | | 6 | | | | March 2022 | | | | 1,039,033 | | | | 4,807 | |
U.S. T-Note 5 Yr (CBT) Futures | | | 217 | | | | March 2022 | | | | 26,251,914 | | | | 16,629 | |
U.S. T-Note 10 Yr (CBT) Futures | | | 974 | | | | March 2022 | | | | 127,076,563 | | | | 386,649 | |
U.S. Ultra Bond (CBT) Futures | | | 58 | | | | March 2022 | | | | 11,433,250 | | | | 181,617 | |
|
Sold Contracts | |
FTSE 100 Index Futures | | | 18 | | | | March 2022 | | | | 1,784,412 | | | | (31,981 | ) |
Hang Seng Index Futures | | | 18 | | | | January 2022 | | | | 2,706,735 | | | | (31,286 | ) |
25
| | |
| GLOBAL RISK ALLOCATION—MODERATE PORTFOLIO |
| PORTFOLIO OF INVESTMENTS | | |
| |
| (continued) | | AB Variable Products Series Fund |
| | | | | | | | | | | | | | | | |
| Description | | Number of
Contracts | | | Expiration
Month | | | Current
Notional | | | Value and
Unrealized
Appreciation/
(Depreciation) | |
Sold Contracts (continued) | |
MSCI Singapore IX ETS Futures | | | 37 | | | | January 2022 | | | $ | 933,923 | | | $ | (6,141 | ) |
OMXS30 Index Futures | | | 16 | | | | January 2022 | | | | 428,366 | | | | 25 | |
S&P 500 E-Mini Futures | | | 8 | | | | March 2022 | | | | 1,903,400 | | | | (39,714 | ) |
SPI 200 Futures | | | 12 | | | | March 2022 | | | | 1,603,593 | | | | 18,014 | |
| | | | | | | | | | | | | | | | |
| | | $ | (238,297 | ) |
| | | | | | | | | | | | | | | | |
FORWARD CURRENCY EXCHANGE CONTRACTS (see Note D)
| | | | | | | | | | | | | | | | | | | | | | | | |
| Counterparty | | Contracts to
Deliver
(000) | | | In Exchange
For
(000) | | | Settlement
Date | | | Unrealized
Appreciation/
(Depreciation) | |
Bank of America, NA | | | NOK | | | | 9,829 | | | | USD | | | | 1,178 | | | | 01/20/2022 | | | $ | 62,064 | |
Bank of America, NA | | | AUD | | | | 4,400 | | | | USD | | | | 3,254 | | | | 02/08/2022 | | | | 52,660 | |
Bank of America, NA | | | EUR | | | | 11,285 | | | | USD | | | | 13,038 | | | | 02/10/2022 | | | | 180,517 | |
Bank of America, NA | | | USD | | | | 3,194 | | | | CAD | | | | 4,101 | | | | 02/10/2022 | | | | 48,238 | |
Bank of America, NA | | | USD | | | | 12,742 | | | | EUR | | | | 11,269 | | | | 02/10/2022 | | | | 96,996 | |
Barclays Bank PLC | | | GBP | | | | 19,806 | | | | USD | | | | 26,862 | | | | 01/14/2022 | | | | 54,015 | |
Barclays Bank PLC | | | USD | | | | 5,311 | | | | GBP | | | | 4,003 | | | | 01/14/2022 | | | | 106,961 | |
HSBC Bank USA | | | SEK | | | | 29,189 | | | | USD | | | | 3,345 | | | | 01/20/2022 | | | | 114,611 | |
Morgan Stanley Capital Services, Inc. | | | CHF | | | | 7,863 | | | | USD | | | | 8,565 | | | | 01/13/2022 | | | | (66,235 | ) |
Morgan Stanley Capital Services, Inc. | | | AUD | | | | 8,126 | | | | USD | | | | 6,010 | | | | 02/08/2022 | | | | 97,522 | |
Morgan Stanley Capital Services, Inc. | | | JPY | | | | 3,950,938 | | | | USD | | | | 34,674 | | | | 02/09/2022 | | | | 318,578 | |
Morgan Stanley Capital Services, Inc. | | | USD | | | | 5,047 | | | | CAD | | | | 6,352 | | | | 02/10/2022 | | | | (25,390 | ) |
Standard Chartered Bank | | | EUR | | | | 35,492 | | | | USD | | | | 41,080 | | | | 02/10/2022 | | | | 642,226 | |
UBS AG | | | SGD | | | | 1,908 | | | | USD | | | | 1,416 | | | | 01/14/2022 | | | | (168 | ) |
| | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | $ | 1,682,595 | |
| | | | | | | | | | | | | | | | | | | | | | | | |
PUT OPTIONS WRITTEN (see Note D)
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| Description | | Counterparty | | | Contracts | | | Exercise
Price | | | Expiration
Month | | | Notional
(000) | | | Premiums
Received | | | U.S. $ Value | |
Euro STOXX 50 Index(i) | | | Morgan Stanley & Co., Inc. | | | | 766 | | | | EUR | | | | 3,875.00 | | | | January 2022 | | | | EUR | | | | 29,683 | | | $ | 308,768 | | | $ | (65,843 | ) |
FTSE 100 Index(i) | | | Morgan Stanley & Co., Inc. | | | | 105 | | | | GBP | | | | 6,750.00 | | | | January 2022 | | | | GBP | | | | 7,088 | | | | 42,253 | | | | (9,593 | ) |
Nikkei 225 Index(j) | | | Morgan Stanley & Co., Inc. | | | | 76 | | | | JPY | | | | 26,625.00 | | | | January 2022 | | | | JPY | | | | 2,023,500 | | | | 113,346 | | | | (27,089 | ) |
S&P 500 Index(k) | | | Morgan Stanley & Co., Inc. | | | | 182 | | | | USD | | | | 4,320.00 | | | | January 2022 | | | | USD | | | | 78,624 | | | | 508,501 | | | | (95,550 | ) |
S&P 500 Index(k) | | | Morgan Stanley & Co., Inc. | | | | 181 | | | | USD | | | | 4,330.00 | | | | January 2022 | | | | USD | | | | 78,373 | | | | 727,251 | | | | (98,645 | ) |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | $ | 1,700,119 | | | $ | (296,720) | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
VARIANCE SWAPS (see Note D)
| | | | | | | | | | | | | | | | | | | | | | | | | | |
Swap Counterparty &
Referenced Obligation | | Volatility
Strike
Rate | | Payment
Frequency | | | Notional
Amount
(000) | | | Market
Value | | | Upfront
Premiums
(Paid)/
Received | | | Unrealized
Appreciation/
(Depreciation) | |
Buy Contracts | | | | | | | | | | | | | | | | | | | | | | | | | | |
Citibank, NA USD/JPY 04/19/2022* | | 6.85% | | | Maturity | | | | USD | | | | 343 | | | $ | (53,550) | | | $ | –0 | – | | $ | (53,550) | |
| (a) | | Non-income producing security. |
26
| | |
| |
| | | AB Variable Products Series Fund |
| (b) | | 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 December 31, 2021, the aggregate market value of these securities amounted to $3,299,833 or 0.3% of net assets. |
| (c) | | Represents entire or partial securities out on loan. See Note E for securities lending information. |
| (d) | | Security in which significant unobservable inputs (Level 3) were used in determining fair value. |
| (e) | | Fair valued by the Adviser. |
| (f) | | Affiliated investments. |
| (g) | | To obtain a copy of the fund’s shareholder report, please go to the Securities and Exchange Commission’s website at www.sec.gov, or call AB at (800) 227-4618. |
| (h) | | The rate shown represents the 7-day yield as of period end. |
| (i) | | One contract relates to 10 shares. |
| (j) | | One contract relates to 1000 shares. |
| (k) | | One contract relates to 100 shares. |
Currency Abbreviations:
AUD—Australian Dollar
CAD—Canadian Dollar
CHF—Swiss Franc
EUR—Euro
GBP—Great British Pound
JPY—Japanese Yen
NOK—Norwegian Krone
SEK—Swedish Krona
SGD—Singapore Dollar
USD—United States Dollar
Glossary:
ADR—American Depositary Receipt
BOBL—Bundesobligationen
BTP—Buoni del Tesoro Poliennali
CBT—Chicago Board of Trade
CME—Chicago Mercantile Exchange
CPI—Consumer Price Index
ETS—Emission Trading Scheme
FTSE—Financial Times Stock Exchange
GDR—Global Depositary Receipt
MSCI—Morgan Stanley Capital International
OAT—Obligations Assimilables du Trésor
OMXS—Stockholm Stock Exchange
OSE—Osaka Securities Exchange
REG—Registered Shares
REIT—Real Estate Investment Trust
SPI—Share Price Index
TOPIX—Tokyo Price Index
TSX—Toronto Stock Exchange
See notes to financial statements.
27
| | |
| GLOBAL RISK ALLOCATION—MODERATE PORTFOLIO |
| STATEMENT OF ASSETS & LIABILITIES | | |
| |
| December 31, 2021 | | AB Variable Products Series Fund |
| | | | |
ASSETS | |
Investments in securities, at value | | | | |
Unaffiliated issuers (cost $560,105,417) | | $ | 600,944,136 | (a) |
Affiliated issuers (cost $446,781,424—including investment of cash collateral for securities loaned of $3,247,645) | | | 446,781,424 | |
Cash | | | 17,854 | |
Cash collateral due from broker | | | 16,632,080 | |
Foreign currencies, at value (cost $2,960,184) | | | 2,937,939 | |
Unrealized appreciation on forward currency exchange contracts | | | 1,774,388 | |
Receivable for investment securities sold | | | 690,777 | |
Receivable for capital stock sold | | | 507,011 | |
Unaffiliated dividends and interest receivable | | | 390,818 | |
Receivable for variation margin on futures | | | 29,988 | |
Affiliated dividends receivable | | | 3,822 | |
| | | | |
Total assets | | | 1,070,710,237 | |
| | | | |
LIABILITIES | |
Options written, at value (premiums received $1,700,119) | | | 296,720 | |
Payable for collateral received on securities loaned | | | 3,247,645 | |
Payable for capital stock redeemed | | | 418,637 | |
Advisory fee payable | | | 391,180 | |
Distribution fee payable | | | 225,533 | |
Unrealized depreciation on forward currency exchange contracts | | | 91,793 | |
Unrealized depreciation on variance swaps | | | 53,550 | |
Administrative fee payable | | | 22,843 | |
Transfer Agent fee payable | | | 146 | |
Directors’ fees payable | | | 57 | |
Accrued expenses | | | 119,156 | |
| | | | |
Total liabilities | | | 4,867,260 | |
| | | | |
NET ASSETS | | $ | 1,065,842,977 | |
| | | | |
COMPOSITION OF NET ASSETS | |
Capital stock, at par | | $ | 87,004 | |
Additional paid-in capital | | | 996,515,303 | |
Distributable earnings | | | 69,240,670 | |
| | | | |
NET ASSETS | | $ | 1,065,842,977 | |
| | | | |
Net Asset Value Per Share—1 billion shares of capital stock authorized, $.001 par value
| | | | | | | | | | | | |
| Class | | Net Assets | | | Shares
Outstanding | | | Net Asset
Value | |
| | | |
| A | | $ | 13,595 | | | | 1,100 | | | $ | 12.36 | |
| | | |
| B | | $ | 1,065,829,382 | | | | 87,002,659 | | | $ | 12.25 | |
| (a) | | Includes securities on loan with a value of $6,959,409 (see Note E). |
See notes to financial statements.
28
| | |
| GLOBAL RISK ALLOCATION—MODERATE PORTFOLIO |
| STATEMENT OF OPERATIONS | | |
| |
| Year Ended December 31, 2021 | | AB Variable Products Series Fund |
| | | | |
INVESTMENT INCOME | | | | |
Dividends | | | | |
Unaffiliated issuers (net of foreign taxes withheld of $162,038) | | $ | 4,950,699 | |
Affiliated issuers | | | 26,408 | |
Securities lending income | | | 9,526 | |
| | | | |
| | | 4,986,633 | |
| | | | |
EXPENSES | | | | |
Advisory fee (see Note B) | | | 2,825,586 | |
Distribution fee—Class B | | | 1,486,405 | |
Transfer agency—Class B | | | 3,144 | |
Administrative | | | 88,388 | |
Custody and accounting | | | 69,232 | |
Audit and tax | | | 52,581 | |
Legal | | | 31,300 | |
Directors’ fees | | | 25,659 | |
Printing | | | 23,208 | |
Miscellaneous | | | 51,591 | |
| | | | |
Total expenses | | | 4,657,094 | |
Less: expenses waived and reimbursed by the Adviser (see Notes B & E) | | | (188,387 | ) |
| | | | |
Net expenses | | | 4,468,707 | |
| | | | |
Net investment income | | | 517,926 | |
| | | | |
REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENT AND FOREIGN CURRENCY TRANSACTIONS | | | | |
Net realized gain (loss) on: | | | | |
Investment transactions | | | 6,378,454 | |
Forward currency exchange contracts | | | 3,590,128 | |
Futures | | | 10,390,143 | |
Options written | | | 6,401,403 | |
Foreign currency transactions | | | (740,088 | ) |
Net change in unrealized appreciation/depreciation of: | | | | |
Investments | | | 27,361,555 | |
Forward currency exchange contracts | | | 1,824,035 | |
Futures | | | (472,114 | ) |
Options written | | | 1,332,770 | |
Swaps | | | (53,550 | ) |
Foreign currency denominated assets and liabilities | | | (6,266 | ) |
| | | | |
Net gain on investment and foreign currency transactions | | | 56,006,470 | |
| | | | |
Contributions from Affiliates (see Note B) | | | 1,736 | |
| | | | |
NET INCREASE IN NET ASSETS FROM OPERATIONS | | $ | 56,526,132 | |
| | | | |
See notes to financial statements.
29
| | |
|
| GLOBAL RISK ALLOCATION—MODERATE PORTFOLIO |
| |
| STATEMENT OF CHANGES IN NET ASSETS | | AB Variable Products Series Fund |
| | | | | | | | |
| | | Year Ended
December 31,
2021 | | | Year Ended
December 31,
2020 | |
INCREASE (DECREASE) IN NET ASSETS FROM OPERATIONS | |
Net investment income | | $ | 517,926 | | | $ | 12,563 | |
Net realized gain (loss) on investment transactions and foreign currency transactions | | | 26,020,040 | | | | (981,815 | ) |
Net change in unrealized appreciation/depreciation of investments and foreign currency denominated assets and liabilities | | | 29,986,430 | | | | 2,857,990 | |
Contributions from Affiliates (see Note B) | | | 1,736 | | | | –0 | – |
| | | | | | | | |
Net increase in net assets from operations | | | 56,526,132 | | | | 1,888,738 | |
Distributions to Shareholders | |
Class A | | | –0 | – | | | (565 | ) |
Class B | | | –0 | – | | | (3,956,811 | ) |
CAPITAL STOCK TRANSACTIONS | |
Net increase (decrease) | | | 919,608,907 | | | | (3,585,153 | ) |
| | | | | | | | |
Total increase (decrease) | | | 976,135,039 | | | | (5,653,791 | ) |
Net Assets | |
Beginning of period | | | 89,707,938 | | | | 95,361,729 | |
| | | | | | | | |
End of period | | $ | 1,065,842,977 | | | $ | 89,707,938 | |
| | | | | | | | |
See notes to financial statements.
30
| | |
| GLOBAL RISK ALLOCATION—MODERATE PORTFOLIO |
| NOTES TO FINANCIAL STATEMENTS | | |
| |
| December 31, 2021 | | AB Variable Products Series Fund |
NOTE A: Significant Accounting Policies
The AB Global Risk Allocation—Moderate Portfolio (the “Portfolio”) is a series of AB Variable Products Series Fund, Inc. (the “Fund”). The Portfolio’s investment objective is to generate income and price appreciation without assuming what AllianceBernstein L.P. (the “Adviser”) considers undue risk. The Portfolio is non-diversified as defined under the Investment Company Act of 1940. The Fund was incorporated in the State of Maryland as an open-end series investment company. The Fund offers 11 separately managed pools of assets which have differing investment objectives and policies. The Portfolio offers Class A and Class B shares. At December 31, 2021 the Adviser was the sole shareholder of Class A shares. Both classes of shares have identical voting, dividend, liquidating and other rights, except that Class B shares bear a distribution expense and have exclusive voting rights with respect to the Class B distribution plan.
The Portfolio offers and sells its shares only to separate accounts of certain life insurance companies for the purpose of funding variable annuity contracts and variable life insurance policies. Sales are made without a sales charge at the Portfolio’s net asset value per share.
The financial statements have been prepared in conformity with U.S. generally accepted accounting principles (“U.S. GAAP”), which require management to make certain estimates and assumptions that affect the reported amounts of assets and liabilities in the financial statements and amounts of income and expenses during the reporting period. Actual results could differ from those estimates. The Portfolio is an investment company under U.S. GAAP and follows the accounting and reporting guidance applicable to investment companies. The following is a summary of significant accounting policies followed by the Portfolio.
1. Security Valuation
Portfolio securities are valued at their current market value determined on the basis of market quotations or, if market quotations are not readily available or are deemed unreliable, at “fair value” as determined in accordance with procedures established by and under the general supervision of the Portfolio’s Board of Directors (the “Board”).
In general, the market values of securities which are readily available and deemed reliable are determined as follows: securities listed on a national securities exchange (other than securities listed on the NASDAQ Stock Market, Inc. (“NASDAQ”)) or on a foreign securities exchange are valued at the last sale price at the close of the exchange or foreign securities exchange. If there has been no sale on such day, the securities are valued at the last traded price from the previous day. Securities listed on more than one exchange are valued by reference to the principal exchange on which the securities are traded; securities listed only on NASDAQ are valued in accordance with the NASDAQ Official Closing Price; listed or over the counter (“OTC”) market put or call options are valued at the mid level between the current bid and ask prices. If either a current bid or current ask price is unavailable, the Adviser will have discretion to determine the best valuation (e.g., last trade price in the case of listed options); open futures are valued using the closing settlement price or, in the absence of such a price, the most recent quoted bid price. If there are no quotations available for the day of valuation, the last available closing settlement price is used; U.S. Government securities and any other debt instruments having 60 days or less remaining until maturity are generally valued at market by an independent pricing vendor, if a market price is available. If a market price is not available, the securities are valued at amortized cost. This methodology is commonly used for short term securities that have an original maturity of 60 days or less, as well as short term securities that had an original term to maturity that exceeded 60 days. In instances when amortized cost is utilized, the Valuation Committee (the “Committee”) must reasonably conclude that the utilization of amortized cost is approximately the same as the fair value of the security. Factors the Committee will consider include, but are not limited to, an impairment of the creditworthiness of the issuer or material changes in interest rates. Fixed-income securities, including mortgage-backed and asset-backed securities, may be valued on the basis of prices provided by a pricing service or at a price obtained from one or more of the major broker-dealers. In cases where broker-dealer quotes are obtained, the Adviser may establish procedures whereby changes in market yields or spreads are used to adjust, on a daily basis, a recently obtained quoted price on a security. Swaps and other derivatives are valued daily, primarily using independent pricing services, independent pricing models using market inputs, as well as third party broker-dealers or counterparties. Open-end mutual funds are valued at the closing net asset value per share, while exchange traded funds are valued at the closing market price per share.
Securities for which market quotations are not readily available (including restricted securities) or are deemed unreliable are valued at fair value as deemed appropriate by the Adviser. Factors considered in making this determination may include, but are not limited to, information obtained by contacting the issuer, analysts, analysis of the issuer’s financial statements or other available documents. In addition, the Portfolio may use fair value pricing for securities primarily traded in non-U.S.
31
| | |
| GLOBAL RISK ALLOCATION—MODERATE PORTFOLIO |
| NOTES TO FINANCIAL STATEMENTS | | |
| |
| (continued) | | AB Variable Products Series Fund |
markets because most foreign markets close well before the Portfolio values its securities at 4:00 p.m., Eastern Time. The earlier close of these foreign markets gives rise to the possibility that significant events, including broad market moves, may have occurred in the interim and may materially affect the value of those securities. To account for this, the Portfolio generally values many of its foreign equity securities using fair value prices based on third party vendor modeling tools to the extent available.
2. Fair Value Measurements
In accordance with U.S. GAAP regarding fair value measurements, fair value is defined as the price that the Portfolio 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 as described in Note A.1 above). 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 Portfolio. Unobservable inputs reflect the Portfolio’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 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.
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 an 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.
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
32
| | |
| |
| | | AB Variable Products Series Fund |
valuation based upon industry or proprietary models which incorporate issuer specific data with relevant yield/spread comparisons with more widely quoted bonds with similar key characteristics. Those investments for which there are observable inputs are classified as Level 2. Where the inputs are not observable, the investments are classified as Level 3.
The following table summarizes the valuation of the Portfolio’s investments by the above fair value hierarchy levels as of December 31, 2021:
| | | | | | | | | | | | | | | | |
| | | Level 1 | | | Level 2 | | | Level 3 | | | Total | |
Investments in Securities: | | | | | | | | | | | | | | | | |
Assets: | |
Common Stocks: | | | | | | | | | | | | | | | | |
Information Technology | | $ | 123,000,240 | | | $ | 16,474,994 | | | $ | –0 | – | | $ | 139,475,234 | |
Health Care | | | 56,241,118 | | | | 21,590,459 | | | | –0 | – | | | 77,831,577 | |
Financials | | | 45,541,539 | | | | 29,089,173 | | | | –0 | – | | | 74,630,712 | |
Consumer Discretionary | | | 52,839,926 | | | | 21,535,232 | | | | –0 | – | | | 74,375,158 | |
Industrials | | | 32,428,802 | | | | 27,315,615 | | | | 45,036 | | | | 59,789,453 | |
Communication Services | | | 43,388,732 | | | | 7,182,019 | | | | –0 | – | | | 50,570,751 | |
Consumer Staples | | | 25,324,290 | | | | 17,353,270 | | | | –0 | – | | | 42,677,560 | |
Materials | | | 10,785,070 | | | | 13,142,779 | | | | –0 | – | | | 23,927,849 | |
Energy | | | 11,239,342 | | | | 5,754,192 | | | | –0 | – | | | 16,993,534 | |
Real Estate | | | 11,780,791 | | | | 4,657,287 | | | | 31,940 | | | | 16,470,018 | |
Utilities | | | 10,603,792 | | | | 5,723,434 | | | | –0 | – | | | 16,327,226 | |
Inflation-Linked Securities | | | –0 | – | | | 7,170,271 | | | | –0 | – | | | 7,170,271 | |
Options Purchased—Puts | | | –0 | – | | | 704,793 | | | | –0 | – | | | 704,793 | |
Short-Term Investments | | �� | 443,533,779 | | | | –0 | – | | | –0 | – | | | 443,533,779 | |
Investments of Cash Collateral for Securities Loaned in Affiliated Money Market Fund | | | 3,247,645 | | | | –0 | – | | | –0 | – | | | 3,247,645 | |
| | | | | | | | | | | | | | | | |
Total Investments in Securities | | | 869,955,066 | | | | 177,693,518 | | | | 76,976 | | | | 1,047,725,560 | |
Other Financial Instruments(a): | | | | | | | | | | | | | | | | |
Assets: | |
Futures | | | 1,875,917 | | | | –0 | – | | | –0 | – | | | 1,875,917 | (b) |
Forward Currency Exchange Contracts | | | –0 | – | | | 1,774,388 | | | | –0 | – | | | 1,774,388 | |
Liabilities: | | | | | | | | | |
Futures | | | (2,114,214 | ) | | | –0 | – | | | –0 | – | | | (2,114,214 | )(b) |
Forward Currency Exchange Contracts | | | –0 | – | | | (91,793 | ) | | | –0 | – | | | (91,793 | ) |
Put Options Written | | | –0 | – | | | (296,720 | ) | | | –0 | – | | | (296,720 | ) |
Variance Swaps | | | –0 | – | | | (53,550 | ) | | | –0 | – | | | (53,550 | ) |
| | | | | | | | | | | | | | | | |
Total | | $ | 869,716,769 | | | $ | 179,025,843 | | | $ | 76,976 | | | $ | 1,048,819,588 | |
| | | | | | | | | | | | | | | | |
| (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. |
| (b) | | 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. |
3. Currency Translation
Assets and liabilities denominated in foreign currencies and commitments under forward currency exchange contracts are translated into U.S. dollars at the mean of the quoted bid and ask prices of such currencies against the U.S. dollar. Purchases and sales of portfolio securities are translated into U.S. dollars at the rates of exchange prevailing when such securities were acquired or sold. Income and expenses are translated into U.S. dollars at rates of exchange prevailing when accrued.
Net realized gain or loss on foreign currency transactions represents foreign exchange gains and losses from sales and maturities of foreign fixed income investments, holding of foreign currencies, currency gains or losses realized between the trade
33
| | |
| GLOBAL RISK ALLOCATION—MODERATE PORTFOLIO |
| NOTES TO FINANCIAL STATEMENTS | | |
| |
| (continued) | | AB Variable Products Series Fund |
and settlement dates on foreign investment transactions, and the difference between the amounts of dividends, interest and foreign withholding taxes recorded on the Portfolio’s books and the U.S. dollar equivalent amounts actually received or paid. Net unrealized currency gains and losses from valuing foreign currency denominated assets and liabilities at period end exchange rates are reflected as a component of net unrealized appreciation or depreciation of foreign currency denominated assets and liabilities.
4. Taxes
It is the Portfolio’s policy to meet the requirements of the Internal Revenue Code applicable to regulated investment companies and to distribute all of its investment company taxable income and net realized gains, if any, to shareholders. Therefore, no provisions for federal income or excise taxes are required. The Portfolio may be subject to taxes imposed by countries in which it invests. Such taxes are generally based on income and/or capital gains earned or repatriated. Taxes are accrued and applied to net investment income, net realized gains and net unrealized appreciation/depreciation as such income and/or gains are earned.
In accordance with U.S. GAAP requirements regarding accounting for uncertainties in income taxes, management has analyzed the Portfolio’s tax positions taken or expected to be taken on federal and state income tax returns for all open tax years (the current and the prior three tax years) and has concluded that no provision for income tax is required in the Portfolio’s financial statements.
5. Investment Income and Investment Transactions
Dividend income is recorded on the ex-dividend date or as soon as the Portfolio is informed of the dividend. Interest income is accrued daily. Investment transactions are accounted for on the date the securities are purchased or sold. Investment gains or losses are determined on the identified cost basis. The Portfolio amortizes premiums and accretes discounts as adjustments to interest income. The Portfolio accounts for distributions received from REIT investments or from regulated investment companies as dividend income, realized gain, or return of capital based on information provided by the REIT or the investment company.
6. Class Allocations
All income earned and expenses incurred by the Portfolio are borne on a pro-rata basis by each outstanding class of shares, based on the proportionate interest in the Portfolio represented by the net assets of such class, except for class specific expenses which are allocated to the respective class. Expenses of the Portfolio are charged proportionately to each portfolio or based on other appropriate methods. Realized and unrealized gains and losses are allocated among the various share classes based on respective net assets.
7. Dividends and Distributions
Dividends and distributions to shareholders, if any, are recorded on the ex-dividend date. Income dividends and capital gains distributions are determined in accordance with federal tax regulations and may differ from those determined in accordance with U.S. GAAP. To the extent these differences are permanent, such amounts are reclassified within the capital accounts based on their federal tax basis treatment; temporary differences do not require such reclassification.
NOTE B: Advisory Fee and Other Transactions with Affiliates
Under the terms of the investment advisory agreement, the Portfolio pays the Adviser an advisory fee at an annual rate of .60% of the first $100 million, .45% of the excess over $100 million up to $1 billion and .40% of the excess over $1 billion of the Portfolio’s average daily net assets. The fee is accrued daily and paid monthly. Prior to January 1, 2020, the Portfolio paid the Adviser an advisory fee at an annual rate of .60% of the Portfolio’s average daily net assets. The Adviser has agreed to waive its fees and bear certain expenses, to the extent necessary to limit total operating expenses (excluding interest expense, taxes, extraordinary expenses, expenses associated with securities sold short, and brokerage commissions and other transaction costs), inclusive of the Portfolio’s proportionate share of fees and expenses of registered investment companies or series thereof in which the Portfolio invests (“Acquired Fund Expenses”) on an annual basis (the “Expense Caps”) to .75% and 1.00% of daily average net assets for Class A and Class B, respectively. The Expense Caps may not be terminated by the Adviser before May 1, 2022. For the year ended December 31, 2021, there were no such operating expenses waived by the Adviser. For the year ended December 31, 2021, such waiver for Acquired Fund Expenses for both affiliated and unaffiliated underlying portfolios amounted to $172,213 and $16,161, respectively.
34
| | |
| |
| | | AB Variable Products Series Fund |
A summary of the Portfolio’s transactions in AB mutual funds for the year ended December 31, 2021 is as follows:
| | | | | | | | | | | | | | | | | | | | |
Portfolio | | Market Value
12/31/20
(000) | | | Purchases
at Cost
(000) | | | Sales
Proceeds
(000) | | | Market Value
12/31/21
(000) | | | Dividend
Income
(000) | |
AB Government Money Market Portfolio | | $ | 12,180 | | | $ | 1,093,426 | | | $ | 662,073 | | | $ | 443,533 | | | $ | 26 | |
AB Government Money Market Portfolio* | | | –0 | – | | | 75,484 | | | | 72,236 | | | | 3,248 | | | | 0 | ** |
| | | | | | | | | | | | | | | | | | | | |
Total | | | | | | | | | | | | | | $ | 446,781 | | | $ | 26 | |
| | | | | | | | | | | | | | | | | | | | |
| * | | Investments of cash collateral for securities lending transactions (see Note E). |
| ** | | Amount is less than $500. |
During the year ended December 31, 2021, the Adviser reimbursed the Portfolio $1,736 for trading losses incurred due to a trade entry error.
Pursuant to the investment advisory agreement, the Portfolio may reimburse the Adviser for certain legal and accounting services provided to the Portfolio by the Adviser. For the year ended December 31, 2021, the reimbursement for such services amounted to $88,388.
The Portfolio compensates AllianceBernstein Investor Services, Inc. (“ABIS”), a wholly-owned subsidiary of the Adviser, under a Transfer Agency Agreement for providing personnel and facilities to perform transfer agency services for the Portfolio. Such compensation retained by ABIS amounted to $1,636 for the year ended December 31, 2021.
NOTE C: Distribution Plan
The Portfolio has adopted a Distribution Plan (the “Plan”) for Class B shares pursuant to Rule 12b-1 under the Investment Company Act of 1940. Under the Plan, the Portfolio pays distribution and servicing fees to AllianceBernstein Investments, Inc. (the “Distributor”), a wholly-owned subsidiary of the Adviser, at an annual rate of up to .50% of the Portfolio’s average daily net assets attributable to Class B shares. The fees are accrued daily and paid monthly. The Board currently limits payments under the Plan to .25% of the Portfolio’s average daily net assets attributable to Class B shares. The Plan provides that the Distributor will use such payments in their entirety for distribution assistance and promotional activities.
The Portfolio is not obligated under the Plan to pay any distribution and servicing fees in excess of the amounts set forth above. The purpose of the payments to the Distributor under the Plan is to compensate the Distributor for its distribution services with respect to the sale of the Portfolio’s Class B shares. Since the Distributor’s compensation is not directly tied to its expenses, the amount of compensation received by it under the Plan during any year may be more or less than its actual expenses. For this reason, the Plan is characterized by the staff of the Securities and Exchange Commission as being of the “compensation” variety.
In the event that the Plan is terminated or not continued, no distribution or servicing fees (other than current amounts accrued but not yet paid) would be owed by the Portfolio to the Distributor.
The Plan also provides that the Adviser may use its own resources to finance the distribution of the Portfolio’s shares.
NOTE D: Investment Transactions
Purchases and sales of investment securities (excluding short-term investments) for the year ended December 31, 2021 were as follows:
| | | | | | | | |
| | | Purchases | | | Sales | |
Investment securities (excluding U.S. government securities) | | $ | 556,925,434 | | | $ | 54,587,469 | |
U.S. government securities | | | –0 | – | | | 4,374,229 | |
35
| | |
| GLOBAL RISK ALLOCATION—MODERATE PORTFOLIO |
| NOTES TO FINANCIAL STATEMENTS | | |
| |
| (continued) | | AB Variable Products Series Fund |
The cost of investments for federal income tax purposes, gross unrealized appreciation and unrealized depreciation are as follows:
| | | | |
Cost | | $ | 1,007,117,247 | |
| | | | |
Gross unrealized appreciation | | | 67,826,543 | |
Gross unrealized depreciation | | | (25,794,058 | ) |
| | | | |
Net unrealized appreciation | | $ | 42,032,485 | |
| | | | |
1. Derivative Financial Instruments
The Portfolio may use derivatives in an effort to earn income and enhance returns, to replace more traditional direct investments, to obtain exposure to otherwise inaccessible markets (collectively, “investment purposes”), or to hedge or adjust the risk profile of its portfolio.
The principal types of derivatives utilized by the Portfolio, as well as the methods in which they may be used are:
The Portfolio may buy or sell futures for investment purposes or for the purpose of hedging its portfolio against adverse effects of potential movements in the market. The Portfolio bears the market risk that arises from changes in the value of these instruments and the imperfect correlation between movements in the price of the futures and movements in the price of the assets, reference rates or indices which they are designed to track. Among other things, the Portfolio may purchase or sell futures for foreign currencies or options thereon for non-hedging purposes as a means of making direct investment in foreign currencies, as described below under “Currency Transactions”.
At the time the Portfolio enters into futures, the Portfolio deposits and maintains as collateral an initial margin with the broker, as required by the exchange on which the transaction is effected. Such amount is shown as cash collateral due from broker on the statement of assets and liabilities. Pursuant to the contract, the Portfolio agrees to receive from or pay to the broker an amount of cash equal to the daily fluctuation in the value of the contract. Such receipts or payments are known as variation margin and are recorded by the Portfolio as unrealized gains or losses. Risks may arise from the potential inability of a counterparty to meet the terms of the contract. The credit/counterparty risk for exchange-traded futures is generally less than privately negotiated futures, since the clearinghouse, which is the issuer or counterparty to each exchange-traded future, has robust risk mitigation standards, including the requirement to provide initial and variation margin. When the contract is closed, the Portfolio records a realized gain or loss equal to the difference between the value of the contract at the time it was opened and the time it was closed.
Use of long futures subjects the Portfolio to risk of loss in excess of the amounts shown on the statement of assets and liabilities, up to the notional value of the futures. Use of short futures subjects the Portfolio to unlimited risk of loss. Under some circumstances, futures exchanges may establish daily limits on the amount that the price of futures can vary from the previous day’s settlement price, which could effectively prevent liquidation of unfavorable positions.
During the year ended December 31, 2021, the Portfolio held futures for hedging and non-hedging purposes.
| | • | | Forward Currency Exchange Contracts |
The Portfolio may enter into forward currency exchange contracts in order to hedge its exposure to changes in foreign currency exchange rates on its foreign portfolio holdings, to hedge certain firm purchase and sale commitments denominated in foreign currencies and for non-hedging purposes as a means of making direct investments in foreign currencies, as described below under “Currency Transactions”.
A forward currency exchange contract is a commitment to purchase or sell a foreign currency at a future date at a negotiated forward rate. The gain or loss arising from the difference between the original contract and the closing of such contract would be included in net realized gain or loss on forward currency exchange contracts. Fluctuations in the value of open forward currency exchange contracts are recorded for financial reporting purposes as unrealized appreciation and/or depreciation by the Portfolio. Risks may arise from the potential inability of a counterparty to meet the terms of a contract and from unanticipated movements in the value of a foreign currency relative to the U.S. dollar.
36
| | |
| |
| | | AB Variable Products Series Fund |
During the year ended December 31, 2021, the Portfolio held forward currency exchange contracts for hedging and non-hedging purposes.
For hedging and investment purposes, the Portfolio may purchase and write (sell) put and call options on U.S. and foreign securities, including government securities, and foreign currencies that are traded on U.S. and foreign securities exchanges and over-the-counter markets. Among other things, the Portfolio may use options transactions for non-hedging purposes as a means of making direct investments in foreign currencies, as described below under “Currency Transactions” and may use options strategies involving the purchase and/or writing of various combinations of call and/or put options, for hedging and investment purposes.
The risk associated with purchasing an option is that the Portfolio pays a premium whether or not the option is exercised. Additionally, the Portfolio bears the risk of loss of the premium and change in market value should the counterparty not perform under the contract. If a put or call option purchased by the Portfolio were permitted to expire without being sold or exercised, its premium would represent a loss to the Portfolio. Put and call options purchased are accounted for in the same manner as portfolio securities. The cost of securities acquired through the exercise of call options is increased by premiums paid. The proceeds from securities sold through the exercise of put options are decreased by the premiums paid.
When the Portfolio writes an option, the premium received by the Portfolio is recorded as a liability and is subsequently adjusted to the current market value of the option written. The Portfolio’s maximum payment for written put options equates to the number of shares multiplied by the strike price. In certain circumstances maximum payout amounts may be partially offset by recovery values of the respective referenced assets and upfront premium received upon entering into the contract. Premiums received from written options which expire unexercised are recorded by the Portfolio on the expiration date as realized gains from options written. The difference between the premium received and the amount paid on effecting a closing purchase transaction, including brokerage commissions, is also treated as a realized gain, or if the premium received is less than the amount paid for the closing purchase transaction, as a realized loss. If a call option is exercised, the premium received is added to the proceeds from the sale of the underlying security or currency in determining whether the Portfolio has realized a gain or loss. If a put option is exercised, the premium received reduces the cost basis of the security or currency purchased by the Portfolio. In writing an option, the Portfolio bears the market risk of an unfavorable change in the price of the security or currency underlying the written option. Exercise of an option written by the Portfolio could result in the Portfolio selling or buying a security or currency at a price different from the current market value.
During the year ended December 31, 2021, the Portfolio held purchased options for hedging and non-hedging purposes.
During the year ended December 31, 2021, the Portfolio held written options for hedging and non-hedging purposes.
The Portfolio may enter into swaps to hedge its exposure to interest rates, credit risk, equity markets or currencies. The Portfolio may also enter into swaps for non-hedging purposes as a means of gaining market exposures, making direct investments in foreign currencies, as described below under “Currency Transactions.” A swap is an agreement that obligates two parties to exchange a series of cash flows at specified intervals based upon or calculated by reference to changes in specified prices or rates for a specified amount of an underlying asset. The payment flows are usually netted against each other, with the difference being paid by one party to the other. In addition, collateral may be pledged or received by the Portfolio in accordance with the terms of the respective swaps to provide value and recourse to the Portfolio or its counterparties in the event of default, bankruptcy or insolvency by one of the parties to the swap.
Certain standardized swaps, including certain interest rate swaps and credit default swaps, are (or soon will be) subject to mandatory central clearing. Cleared swaps are transacted through futures commission merchants (“FCMs”) that are members of central clearinghouses, with the clearinghouse serving as central counterparty, similar to transactions in futures contracts. Centralized clearing will be required for additional categories of swaps on a phased-in basis based on requirements published by the Securities and Exchange Commission and Commodity Futures Trading Commission.
37
| | |
| GLOBAL RISK ALLOCATION—MODERATE PORTFOLIO |
| NOTES TO FINANCIAL STATEMENTS | | |
| |
| (continued) | | AB Variable Products Series Fund |
At the time the Portfolio enters into a centrally cleared swap, the Portfolio deposits and maintains as collateral an initial margin with the broker, as required by the clearinghouse on which the transaction is effected. Such amount is shown as cash collateral due from broker on the statement of assets and liabilities. Pursuant to the contract, the Portfolio agrees to receive from or pay to the broker an amount of cash equal to the daily fluctuation in the value of the contract. Such receipts or payments are known as variation margin and are recorded by the Portfolio as unrealized gains or losses. Risks may arise from the potential inability of a counterparty to meet the terms of the contract. The credit/counterparty risk for centrally cleared swaps is generally less than non-centrally cleared swaps, since the clearinghouse, which is the issuer or counterparty to each centrally cleared swap, has robust risk mitigation standards, including the requirement to provide initial and variation margin. When the contract is closed, the Portfolio records a realized gain or loss equal to the difference between the value of the contract at the time it was opened and the time it was closed.
Risks may arise as a result of the failure of the counterparty to the swap to comply with the terms of the swap. The loss incurred by the failure of a counterparty is generally limited to the net interim payment to be received by the Portfolio, and/or the termination value at the end of the contract. Therefore, the Portfolio considers the creditworthiness of each counterparty to a swap in evaluating potential counterparty risk. This risk is mitigated by having a netting arrangement between the Portfolio and the counterparty and by the posting of collateral by the counterparty to the Portfolio to cover the Portfolio’s exposure to the counterparty. Additionally, risks may arise from unanticipated movements in interest rates or in the value of the underlying securities. The Portfolio accrues for the interim payments on swaps on a daily basis, with the net amount recorded within unrealized appreciation/depreciation of swaps on the statement of assets and liabilities, where applicable. Once the interim payments are settled in cash, the net amount is recorded as realized gain/(loss) on swaps on the statement of operations, in addition to any realized gain/(loss) recorded upon the termination of swaps. Upfront premiums paid or received for swaps are recognized as cost or proceeds on the statement of assets and liabilities and are amortized on a straight line basis over the life of the contract. Amortized upfront premiums are included in net realized gain/(loss) from swaps on the statement of operations. Fluctuations in the value of swaps are recorded as a component of net change in unrealized appreciation/depreciation of swaps on the statement of operations.
Variance Swaps:
The Portfolio may enter into variance swaps to hedge equity market risk or adjust exposure to the equity markets. Variance swaps are contracts in which two parties agree to exchange cash payments based on the difference between the stated level of variance and the actual variance realized on underlying asset(s) or index(es). Actual “variance” as used here is defined as the sum of the square of the returns on the reference asset(s) or index(es) (which in effect is a measure of its “volatility”) over the length of the contract term. So the parties to a variance swap can be said to exchange actual volatility for a contractually stated rate of volatility.
During the year ended December 31, 2021, the Portfolio held variance swaps for hedging and non-hedging purposes.
The Portfolio typically enters into International Swaps and Derivatives Association, Inc. Master Agreements (“ISDA Master Agreement”) with its OTC derivative contract counterparties in order to, among other things, reduce its credit risk to OTC counterparties. ISDA Master Agreements include provisions for general obligations, representations, collateral and events of default or termination. Under an ISDA Master Agreement, the Portfolio typically may offset with the OTC counterparty certain derivative financial instruments’ payables and/or receivables with collateral held and/or posted and create one single net payment (close-out netting) in the event of default or termination. In the event of a default by an OTC counterparty, the return of collateral with market value in excess of the Portfolio’s net liability, held by the defaulting party, may be delayed or denied.
The Portfolio’s ISDA Master Agreements may contain provisions for early termination of OTC derivative transactions in the event the net assets of the Portfolio decline below specific levels (“net asset contingent features”). If these levels are triggered, the Portfolio’s OTC counterparty has the right to terminate such transaction and require the Portfolio to pay or receive a settlement amount in connection with the terminated transaction. If OTC derivatives were held at period end, please refer to netting arrangements by the OTC counterparty table below for additional details.
38
| | |
| |
| | | AB Variable Products Series Fund |
During the year ended December 31, 2021, the Portfolio had entered into the following derivatives:
| | | | | | | | | | | | |
| | | Asset Derivatives | | | Liability Derivatives | |
Derivative Type | | Statement of
Assets and Liabilities
Location | | Fair Value | | | Statement of
Assets and Liabilities
Location | | Fair Value | |
Interest rate contracts | | Receivable/Payable for variation margin on futures | | $ | 706,242 | * | | Receivable/Payable for variation margin on futures | | $ | 2,002,316 | * |
| | | | |
Equity contracts | | Receivable/Payable for variation margin on futures | | | 1,169,675 | * | | Receivable/Payable for variation margin on futures | | | 111,898 | * |
| | | | |
Foreign currency contracts | | Unrealized appreciation on forward currency exchange contracts | | | 1,774,388 | | | Unrealized depreciation on forward currency exchange contracts | | | 91,793 | |
| | | | |
Equity contracts | | Investments in securities, at value | | | 704,793 | | | | | | | |
| | | | |
Equity contracts | | | | | | | | Options written, at value | | | 296,720 | |
| | | | |
Foreign currency contracts | | | | | | | | Unrealized depreciation on variance swaps | | | 53,550 | |
| | | | | | | | | | | | |
Total | | | | $ | 4,355,098 | | | | | $ | 2,556,277 | |
| | | | | | | | | | | | |
| * | | 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.
| | | | | | | | | | |
Derivative Type | | Location of Gain or (Loss) on
Derivatives Within Statement of Operations | | Realized Gain or
(Loss) on
Derivatives | | | Change in Unrealized
Appreciation or
(Depreciation) | |
Interest rate contracts | | Net realized gain (loss) on futures; Net change in unrealized appreciation/depreciation of futures | | $ | 327,573 | | | $ | (1,375,986 | ) |
| | | |
Equity contracts | | Net realized gain (loss) on futures; Net change in unrealized appreciation/depreciation of futures | | | 10,062,570 | | | | 903,872 | |
| | | |
Foreign currency contracts | | Net realized gain (loss) on forward currency exchange contracts; Net change in unrealized appreciation/depreciation of forward currency exchange contracts | | | 3,590,128 | | | | 1,824,035 | |
| | | |
Equity contracts | | Net realized gain (loss) on investment transactions; Net change in unrealized appreciation/depreciation of investments | | | (12,133,935 | ) | | | (2,602,443 | ) |
| | | |
Equity contracts | | Net realized gain (loss) on options written; Net change in unrealized appreciation/depreciation of options written | | | 6,401,403 | | | | 1,332,770 | |
| | | |
Foreign exchange contracts | | Net realized gain (loss) on swaps; Net change in unrealized appreciation/depreciation of swaps | | | –0 | – | | | (53,550 | ) |
| | | | | | | | | | |
Total | | | | $ | 8,247,739 | | | $ | 28,698 | |
| | | | | | | | | | |
39
| | |
| GLOBAL RISK ALLOCATION—MODERATE PORTFOLIO |
| NOTES TO FINANCIAL STATEMENTS | | |
| |
| (continued) | | AB Variable Products Series Fund |
The following table represents the average monthly volume of the Portfolio’s derivative transactions during the year ended December 31, 2021:
| | | | |
Futures: | |
Average notional amount of buy contracts | | $ | 350,602,196 | |
Average notional amount of sale contracts | | $ | 7,921,691 | |
Forward Currency Exchange Contracts: | |
Average principal amount of buy contracts | | $ | 23,937,117 | |
Average principal amount of sale contracts | | $ | 102,861,086 | |
Purchased Options: | |
Average notional amount | | $ | 133,909,571 | |
Options Written: | |
Average notional amount | | $ | 134,462,796 | |
Variance Swaps: | |
Average notional amount | | $ | 342,500 | (a) |
| (a) | | Positions were open for nine months during the year. |
For financial reporting purposes, the Portfolio does not offset derivative assets and derivative liabilities that are subject to netting arrangements in the statement of assets and liabilities.
All OTC derivatives held at period end were subject to netting arrangements. The following table presents the Portfolio’s derivative assets and liabilities by OTC counterparty net of amounts available for offset under ISDA Master Agreements (“MA”) and net of the related collateral received/pledged by the Portfolio as of December 31, 2021. Exchange-traded derivatives and centrally cleared swaps are not subject to netting arrangements and as such are excluded from the table.
| | | | | | | | | | | | | | | | | | | | |
Counterparty | | Derivative
Assets Subject
to a MA | | | Derivatives
Available for
Offset | | | Cash Collateral
Received* | | | Security Collateral
Received* | | | Net Amount of
Derivative
Assets | |
Bank of America, NA | | $ | 440,475 | | | $ | –0 | – | | $ | –0 | – | | $ | –0 | – | | $ | 440,475 | |
Barclays Bank PLC | | | 160,976 | | | | –0 | – | | | –0 | – | | | –0 | – | | | 160,976 | |
HSBC Bank USA | | | 114,611 | | | | –0 | – | | | –0 | – | | | –0 | – | | | 114,611 | |
Morgan Stanley & Co., Inc./Morgan Stanley Capital Services, Inc. | | | 1,120,893 | | | | (388,345 | ) | | | –0 | – | | | –0 | – | | | 732,548 | |
Standard Chartered Bank | | | 642,226 | | | | –0 | – | | | –0 | – | | | –0 | – | | | 642,226 | |
| | | | | | | | | | | | | | | | | | | | |
Total | | $ | 2,479,181 | | | $ | (388,345 | ) | | $ | –0 | – | | $ | –0 | – | | $ | 2,090,836 | ^ |
| | | | | | | | | | | | | | | | | | | | |
| | | | | |
Counterparty | | Derivative
Liabilities Subject
to a MA | | | Derivatives
Available for
Offset | | | Cash Collateral
Pledged* | | | Security Collateral
Pledged* | | | Net Amount of
Derivative
Liabilities | |
Citibank, NA | | $ | 53,550 | | | $ | –0 | – | | $ | –0 | – | | $ | –0 | – | | $ | 53,550 | |
Morgan Stanley & Co., Inc./Morgan Stanley Capital Services, Inc. | | | 388,345 | | | | (388,345 | ) | | | –0 | – | | | –0 | – | | | –0 | – |
UBS AG | | | 168 | | | | –0 | – | | | –0 | – | | | –0 | – | | | 168 | |
| | | | | | | | | | | | | | | | | | | | |
Total | | $ | 442,063 | | | $ | (388,345 | ) | | $ | –0 | – | | $ | –0 | – | | $ | 53,718 | ^ |
| | | | | | | | | | | | | | | | | | | | |
| * | | The actual collateral received/pledged may be more than the amount reported due to over-collateralization. |
| ^ | | Net amount represents the net receivable/payable that would be due from/to the counterparty in the event of default or termination. The net amount from OTC financial derivative instruments can only be netted across transactions governed under the same master agreement with the same counterparty. |
40
| | |
| |
| | | AB Variable Products Series Fund |
2. Currency Transactions
The Portfolio may invest in non-U.S. Dollar-denominated securities on a currency hedged or unhedged basis. The Portfolio may seek investment opportunities by taking long or short positions in currencies through the use of currency-related derivatives, including forward currency exchange contracts, futures and options on futures, swaps, and other options. The Portfolio may enter into transactions for investment opportunities when it anticipates that a foreign currency will appreciate or depreciate in value but securities denominated in that currency are not held by the Portfolio and do not present attractive investment opportunities. Such transactions may also be used when the Adviser believes that it may be more efficient than a direct investment in a foreign currency-denominated security. The Portfolio may also conduct currency exchange contracts on a spot basis (i.e., for cash at the spot rate prevailing in the currency exchange market for buying or selling currencies).
NOTE E: Securities Lending
The Portfolio may enter into securities lending transactions. Under the Portfolio’s securities lending program, all loans of securities will be collateralized continually by cash collateral and/or non-cash collateral. Non-cash collateral will include only securities issued or guaranteed by the U.S. government or its agencies or instrumentalities. The Portfolio cannot sell or repledge any non-cash collateral, such collateral will not be reflected in the portfolio of investments. If a loan is collateralized by cash, the Portfolio will be compensated for the loan from a portion of the net return from the income earned on cash collateral after a rebate is paid to the borrower (in some cases, this rebate may be a “negative rebate” or fee paid by the borrower to the Portfolio in connection with the loan), and payments are made for fees of the securities lending agent and for certain other administrative expenses. If the Portfolio receives non-cash collateral, the Portfolio will receive a fee from the borrower generally equal to a negotiated percentage of the market value of the loaned securities. The Portfolio will have the right to call a loan and obtain the securities loaned at any time on notice to the borrower within the normal and customary settlement time for the securities. While the securities are on loan, the borrower is obligated to pay the Portfolio amounts equal to any dividend income or other distributions from the securities; however, these distributions will not be afforded the same preferential tax treatment as qualified dividends. The Portfolio will not be able to exercise voting rights with respect to any securities during the existence of a loan, but will have the right to regain ownership of loaned securities in order to exercise voting or other ownership rights. Collateral received and securities loaned are marked to market daily to ensure that the securities loaned are secured by collateral. The lending agent currently invests the cash collateral received in AB Government Money Market Portfolio, an eligible money market vehicle, in accordance with the investment restrictions of the Portfolio, and as approved by the Board. The collateral received on securities loaned is recorded as an asset as well as a corresponding liability in the statement of assets and liabilities. The collateral will be adjusted the next business day to maintain the required collateral amount. The amounts of securities lending income from the borrowers and AB Government Money Market Portfolio are reflected in the statement of operations. When the Portfolio earns net securities lending income from AB Government Money Market Portfolio, the income is inclusive of a rebate expense paid to the borrower. In connection with the cash collateral investment by the Portfolio in AB Government Money Market Portfolio, the Adviser has agreed to waive a portion of the Portfolio’s share of the advisory fees of AB Government Money Market Portfolio, as borne indirectly by the Portfolio as an acquired fund fee and expense. When the Portfolio lends securities, its investment performance will continue to reflect changes in the value of the securities loaned. A principal risk of lending portfolio securities is that the borrower may fail to return the loaned securities upon termination of the loan and that the collateral will not be sufficient to replace the loaned securities. The lending agent has agreed to indemnify the Portfolio in the case of default of any securities borrower.
A summary of the Portfolio’s transactions surrounding securities lending for the year ended December 31, 2021 is as follows:
| | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | AB Government Money
Market Portfolio | |
Market Value
of Securities
on Loan* | | | Cash Collateral* | | | Market Value of
Non-Cash
Collateral* | | | Income from
Borrowers | | | Income Earned | | | Advisory Fee
Waived | |
| $ | 6,959,409 | | | $ | 3,247,645 | | | $ | 4,055,407 | | | $ | 9,366 | | | $ | 160 | | | $ | 13 | |
| * | | As of December 31, 2021. |
41
| | |
| GLOBAL RISK ALLOCATION—MODERATE PORTFOLIO |
| NOTES TO FINANCIAL STATEMENTS | | |
| |
| (continued) | | AB Variable Products Series Fund |
NOTE F: Capital Stock
Each class consists of 500,000,000 authorized shares. Transactions in capital shares for each class were as follows:
| | | | | | | | | | | | | | | | | | | | |
| | | Shares | | | | | | Amount | |
| | | Year Ended
December 31,
2021 | | | Year Ended
December 31,
2020 | | | | | | Year Ended
December 31,
2021 | | | Year Ended
December 31,
2020 | |
Class B | |
Shares sold | | | 86,522,189 | | | | 618,184 | | | | | | | $ | 1,011,606,507 | | | $ | 6,428,418 | |
Shares issued in reinvestment of dividends and distributions | | | –0 | – | | | 383,737 | | | | | | | | –0 | – | | | 3,956,326 | |
Shares redeemed | | | (7,720,431 | ) | | | (1,324,181 | ) | | | | | | | (91,997,600 | ) | | | (13,969,897 | ) |
| | | | | | | | | | | | | | | | | | | | |
Net increase (decrease) | | | 78,801,758 | | | | (322,260 | ) | | | | | | $ | 919,608,907 | | | $ | (3,585,153 | ) |
| | | | | | | | | | | | | | | | | | | | |
There were no transactions in capital shares for Class A for the year ended December 31, 2021 and the year ended December 31, 2020.
At December 31, 2021, a shareholder of the Portfolio owned 97% of the Portfolio’s outstanding shares. Significant transactions by such shareholder, if any, may impact the Portfolio’s performance.
NOTE G: Risks Involved in Investing in the Portfolio
Market Risk—The value of the Portfolio’s investments will fluctuate as the stock or bond market fluctuates. The value of its investments may decline, sometimes rapidly and unpredictably, simply because of economic changes or other events, including public health crises (including the occurrence of a contagious disease or illness), that affect large portions of the market.
Allocation Risk—The allocation of investments among asset classes may have a significant effect on the Portfolio’s net asset value, or NAV, when the asset classes in which the Portfolio has invested more heavily perform worse than the asset classes invested in less heavily.
Interest-Rate Risk—Changes in interest rates will affect the value of investments in fixed-income securities. When interest rates rise, the value of existing investments in fixed-income securities tends to fall and this decrease in value may not be offset by higher income from new investments. Interest rate risk is generally greater for fixed-income securities with longer maturities or durations. The current historically low interest rate environment heightens the risks associated with rising interest rates.
Credit Risk—An issuer or guarantor of a fixed-income security, or the counterparty to a derivatives or other contract, may be unable or unwilling to make timely payments of interest or principal, or to otherwise honor its obligations. The issuer or guarantor may default, causing a loss of the full principal amount of a security and accrued interest. The degree of risk for a particular security may be reflected in its credit rating. There is the possibility that the credit rating of a fixed-income security may be downgraded after purchase, which may adversely affect the value of the security.
High Yield Securities Risk—Investments in fixed-income securities with ratings below investment grade (commonly known as “junk bonds”) tend to have a higher probability that an issuer will default or fail to meet its payment obligations. These securities may be subject to greater price volatility due to such factors as specific corporate developments, interest rate sensitivity and negative perceptions of the junk bond market generally, and may be more difficult to trade than other types of securities.
Foreign (Non-U.S.) Risk—Investments in securities of non-U.S. issuers may involve more risk than those of U.S. issuers. These securities may fluctuate more widely in price and may be more difficult to trade due to adverse market, economic, political, regulatory or other factors.
Currency Risk—Fluctuations in currency exchange rates may negatively affect the value of the Portfolio’s investments or reduce its returns.
Investment in Other Investment Companies Risk—As with other investments, investments in other investment companies, including ETFs, are subject to market and selection risk. In addition, Contractholders of the Portfolio bear both their proportionate share of expenses in the Portfolio (including advisory fees) and, indirectly, the expenses of the investment companies in which the Portfolio invests (to the extent these expenses are not waived or reimbursed by the Adviser).
42
| | |
| |
| | | AB Variable Products Series Fund |
Derivatives Risk—Derivatives may be difficult to price or unwind and leveraged so that small changes may produce disproportionate losses for the Portfolio. Derivatives, especially over-the-counter derivatives, are also subject to counterparty risk, which is the risk that the counterparty (the party on the other side of the transaction) on a derivative transaction will be unable or unwilling to honor its contractual obligation to the Portfolio.
Leverage Risk—When the Portfolio borrows money or otherwise leverages its investments, its performance may be volatile because leverage tends to exaggerate the effect of any increase or decrease in the value of the Portfolio’s investments. The Portfolio may create leverage through the use of reverse repurchase arrangements, forward currency exchange contracts, forward commitments, dollar rolls or futures or by borrowing money. The use of other types of derivative instruments by the Portfolio, such as options and swaps, may also result in a form of leverage. Leverage may result in higher returns to the Portfolio than if the Portfolio were not leveraged, but may also adversely affect returns, particularly if the market is declining.
Illiquid Investments Risk—Illiquid investments risk exists when certain investments are or become difficult to purchase or sell. Difficulty in selling such investments may result in sales at disadvantageous prices affecting the value of your investment in the Portfolio. Causes of illiquid investments risk may include low trading volumes and large positions. Foreign fixed-income securities may have more illiquid investments risk because secondary trading markets for these securities may be smaller and less well developed and the securities may trade less frequently. Illiquid investments risk may be higher in a rising interest rate environment, when the value and liquidity of fixed-income securities generally decline.
Non-Diversification Risk—The Portfolio may have more risk because it is “non-diversified”, meaning that it can invest more of its assets in a smaller number of issuers. Accordingly, changes in the value of a single security may have a more significant effect, either negative or positive, on the Portfolio’s net asset value, or NAV.
LIBOR Transition and Associated Risk—A Portfolio may be exposed to debt securities, derivatives or other financial instruments that are tied to the London Interbank Offered Rate, or “LIBOR,” as a “benchmark” or “reference rate” for various interest rate calculations. In 2017, the United Kingdom Financial Conduct Authority (“FCA”), which regulates LIBOR, announced a desire to phase out the use of LIBOR by the end of 2021. The FCA and LIBOR’s administrator, ICE Benchmark Administration, have since announced that most LIBOR settings (which reflect LIBOR rates quoted in different currencies over various time periods) will no longer be published after the end of 2021 but that the most widely used U.S. dollar LIBOR settings will continue to be published until June 30, 2023. However, banks were strongly encouraged to cease entering into agreements with counterparties referencing LIBOR by the end of 2021. It is possible that a subset of LIBOR settings will be published after these dates on a “synthetic” basis, but any such publications would be considered non-representative of the underlying market. The U.S. Federal Reserve, based on the recommendations of the New York Federal Reserve’s Alternative Reference Rate Committee (comprised of major derivative market participants and their regulators), has begun publishing a Secured Overnight Funding Rate (referred to as SOFR), which is intended to replace U.S. dollar LIBOR. Proposals for alternative reference rates for other currencies have also been announced or have already begun publication. Markets are slowly developing in response to these new rates.
The elimination of LIBOR or changes to other reference rates or any other changes or reforms to the determination or supervision of reference rates could have an adverse impact on the market for, or value of, any securities or payments linked to those reference rates, which may adversely affect a Portfolio’s performance and/or net asset value. Uncertainty and risk also remain regarding the willingness and ability of issuers and lenders to include revised provisions in new and existing contracts or instruments. Consequently, the transition away from LIBOR to other reference rates may lead to increased volatility and illiquidity in markets that are tied to LIBOR, fluctuations in values of LIBOR-related investments or investments in issuers that utilize LIBOR, increased difficulty in borrowing or refinancing and diminished effectiveness of hedging strategies, potentially adversely affecting a Portfolio’s performance. Furthermore, the risks associated with the expected discontinuation of LIBOR and transition may be exacerbated if the work necessary to effect an orderly transition to an alternative reference rate is not completed in a timely manner. The potential effects of a phase out of LIBOR on LIBOR-based investments are currently unknown.
Indemnification Risk—In the ordinary course of business, the Portfolio enters into contracts that contain a variety of indemnifications. The Portfolio’s maximum exposure under these arrangements is unknown. However, the Portfolio has not had prior claims or losses pursuant to these indemnification provisions and expects the risk of loss thereunder to be remote. Therefore, the Portfolio has not accrued any liability in connection with these indemnification provisions.
43
| | |
| GLOBAL RISK ALLOCATION—MODERATE PORTFOLIO |
| NOTES TO FINANCIAL STATEMENTS | | |
| |
| (continued) | | AB Variable Products Series Fund |
Management Risk—The Portfolio is subject to management risk because it is an actively-managed investment fund. The Adviser will apply its investment techniques and risk analyses in making investment decisions for the Portfolio, but there is no guarantee that its techniques will produce the intended results. Some of these techniques may incorporate, or rely upon, quantitative models, but there is no guarantee that these models will generate accurate forecasts, reduce risk or otherwise perform as expected.
NOTE H: Joint Credit Facility
A number of open-end mutual funds managed by the Adviser, including the Portfolio, participate in a $325 million revolving credit facility (the “Facility”) intended to provide short-term financing related to redemptions and other short term liquidity requirements, subject to certain restrictions. Commitment fees related to the Facility are paid by the participating funds and are included in miscellaneous expenses in the statement of operations. The Portfolio did not utilize the Facility during the year ended December 31, 2021.
NOTE I: Distributions to Shareholders
The tax character of distributions paid during the fiscal years ended December 31, 2021 and December 31, 2020 were as follows:
| | | | | | | | |
| | | 2021 | | | 2020 | |
Distributions paid from: | | | | | | | | |
Ordinary income | | $ | –0 | – | | $ | 1,703,669 | |
Net long-term capital gains | | | –0 | – | | | 2,253,707 | |
| | | | | | | | |
Total taxable distributions | | $ | –0 | – | | $ | 3,957,376 | |
| | | | | | | | |
As of December 31, 2021, the components of accumulated earnings/(deficit) on a tax basis were as follows:
| | | | |
Undistributed ordinary income | | $ | 5,557,493 | |
Undistributed capital gains | | | 22,292,039 | (a) |
Other losses | | | (666,661 | )(b) |
Unrealized appreciation/(depreciation) | | | 42,057,799 | (c) |
| | | | |
Total accumulated earnings/(deficit) | | $ | 69,240,670 | |
| | | | |
| (a) | | During the fiscal year, the Portfolio utilized $715,878 of capital loss carry forwards to offset current year net realized gains. |
| (b) | | As of December 31, 2021, the cumulative deferred loss on straddles was $666,661 |
| (c) | | The differences between book-basis and tax-basis unrealized appreciation/(depreciation) are attributable primarily to the recognition for tax purposes of unrealized gains/losses on certain derivative instruments, the tax treatment of passive foreign investment companies (PFICs), the tax treatment of Treasury inflation-protected securities, the tax deferral of losses on wash sales, and the tax treatment of partnership investments. |
For tax purposes, net realized capital losses may be carried over to offset future capital gains, if any. Funds are permitted to carry forward capital losses for an indefinite period, and such losses will retain their character as either short-term or long-term capital losses. As of December 31, 2021, the Portfolio did not have any capital loss carryforwards.
During the current fiscal year, there were no permanent differences that resulted in adjustments to distributable earnings or additional paid-in capital.
NOTE J: Recent Accounting Pronouncements
In March 2020, the Financial Accounting Standards Board issued an Accounting Standards Update, ASU 2020-04, “Reference Rate Reform (Topic 848) – Facilitation of the Effects of Reference Rate Reform on Financial Reporting.” ASU 2020-04 provides optional guidance to ease the potential accounting burden due to the discontinuation of the LIBOR and other interbank-offered based reference rates. ASU 2020-04 is effective as of March 12, 2020 through December 31, 2022. Management is currently evaluating the impact, if any, of applying ASU 2020-04.
NOTE K: Subsequent Events
Management has evaluated subsequent events for possible recognition or disclosure in the financial statements through the date the financial statements are issued. Management has determined that there are no material events that would require disclosure in the Portfolio’s financial statements through this date.
44
| | |
| | |
| GLOBAL RISK ALLOCATION—MODERATE PORTFOLIO |
| |
| FINANCIAL HIGHLIGHTS | | AB Variable Products Series Fund |
Selected Data For A Share Of Capital Stock Outstanding Throughout Each Period
| | | | | | | | | | | | | | | | | | | | |
| | | CLASS A | |
| | | Year Ended December 31, | |
| | | 2021 | | | 2020 | | | 2019 | | | 2018 | | | 2017 | |
Net asset value, beginning of period | | | $11.02 | | | | $11.27 | | | | $9.79 | | | | $10.83 | | | | $9.78 | |
| | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | |
Income From Investment Operations | | | | | | | | | | | | | | | | | | | | |
Net investment income (loss) (a)(b) | | | (.01 | ) | | | .03 | | | | .11 | | | | .09 | | | | .06 | |
Net realized and unrealized gain (loss) on investment transactions and foreign currency transactions | | | 1.35 | | | | .23 | | | | 1.61 | | | | (.55 | ) | | | 1.09 | |
Contributions from Affiliates | | | .00 | (c) | | | –0 | – | | | –0 | – | | | –0 | – | | | .00 | (c) |
| | | | | | | | | | | | | | | | | | | | |
Net increase (decrease) in net asset value from operations | | | 1.34 | | | | .26 | | | | 1.72 | | | | (.46 | ) | | | 1.15 | |
| | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | |
Less: Dividends and Distributions | | | | | | | | | | | | | | | | | | | | |
Dividends from net investment income | | | –0 | – | | | (.17 | ) | | | (.24 | ) | | | –0 | – | | | (.05 | ) |
Distributions from net realized gain on investment transactions | | | –0 | – | | | (.34 | ) | | | –0 | – | | | (.58 | ) | | | (.05 | ) |
| | | | | | | | | | | | | | | | | | | | |
Total dividends and distributions | | | –0 | – | | | (.51 | ) | | | (.24 | ) | | | (.58 | ) | | | (.10 | ) |
| | | | | | | | | | | | | | | | | | | | |
Net asset value, end of period | | | $12.36 | | | | $11.02 | | | | $11.27 | | | | $9.79 | | | | $10.83 | |
| | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | |
Total Return | | | | | | | | | | | | | | | | | | | | |
Total investment return based on net asset value (d) | | | 12.16 | % | | | 2.72 | % | | | 17.61 | % | | | (4.62 | )% | | | 11.87 | % |
| | | | | | | | | | | | | | | | | | | | |
Ratios/Supplemental Data | | | | | | | | | | | | | | | | | | | | |
Net assets, end of period (000’s omitted) | | | $14 | | | | $12 | | | | $12 | | | | $11 | | | | $12 | |
Ratio to average net assets of: | | | | | | | | | | | | | | | | | | | | |
Expenses, net of waivers/reimbursements (e)(f)‡ | | | .68 | % | | | .69 | % | | | .68 | % | | | .67 | % | | | .63 | % |
Expenses, before waivers/reimbursements (e)(f)‡ | | | .72 | % | | | .95 | % | | | .95 | % | | | .92 | % | | | .94 | % |
Net investment income (loss) (b) | | | (.09 | )% | | | .27 | % | | | 1.05 | % | | | .88 | % | | | .55 | % |
Portfolio turnover rate | | | 18 | % | | | 31 | % | | | 29 | % | | | 67 | % | | | 59 | % |
| | | | | | | | | | | | | | | | | | | | |
‡ Expense ratios exclude the estimated acquired fund fees of the affiliated/unaffiliated underlying | |
portfolios | | | .03 | % | | | .06 | % | | | .07 | % | | | .08 | % | | | .11 | % |
| See | | footnote summary on page 47. |
45
| | |
| GLOBAL RISK ALLOCATION—MODERATE PORTFOLIO |
| FINANCIAL HIGHLIGHTS | | |
| |
| (continued) | | AB Variable Products Series Fund |
Selected Data For A Share Of Capital Stock Outstanding Throughout Each Period
| | | | | | | | | | | | | | | | | | | | |
| | | CLASS B | |
| | | Year Ended December 31, | |
| | | 2021 | | | 2020 | | | 2019 | | | 2018 | | | 2017 | |
Net asset value, beginning of period | | | $10.94 | | | | $11.19 | | | | $9.72 | | | | $10.78 | | | | $9.75 | |
| | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | |
Income From Investment Operations | | | | | | | | | | | | | | | | | | | | |
Net investment income (a)(b) | | | .01 | | | | .00 | (c) | | | .08 | | | | .07 | | | | .03 | |
Net realized and unrealized gain (loss) on investment transactions and foreign currency transactions | | | 1.30 | | | | .23 | | | | 1.60 | | | | (.55 | ) | | | 1.09 | |
Contributions from Affiliates | | | .00 | (c) | | | –0 | – | | | –0 | – | | | –0 | – | | | .00 | (c) |
| | | | | | | | | | | | | | | | | | | | |
Net increase (decrease) in net asset value from operations | | | 1.31 | | | | .23 | | | | 1.68 | | | | (.48 | ) | | | 1.12 | |
| | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | |
Less: Dividends and Distributions | | | | | | | | | | | | | | | | | | | | |
Dividends from net investment income | | | –0 | – | | | (.14 | ) | | | (.21 | ) | | | –0 | – | | | (.04 | ) |
Distributions from net realized gain on investment transactions | | | –0 | – | | | (.34 | ) | | | –0 | – | | | (.58 | ) | | | (.05 | ) |
| | | | | | | | | | | | | | | | | | | | |
Total dividends and distributions | | | –0 | – | | | (.48 | ) | | | (.21 | ) | | | (.58 | ) | | | (.09 | ) |
| | | | | | | | | | | | | | | | | | | | |
Net asset value, end of period | | | $12.25 | | | | $10.94 | | | | $11.19 | | | | $9.72 | | | | $10.78 | |
| | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | |
Total Return | | | | | | | | | | | | | | | | | | | | |
Total investment return based on net asset value (d) | | | 11.97 | % | | | 2.45 | % | | | 17.32 | % | | | (4.84 | )% | | | 11.50 | % |
| | | | | | | | | | | | | | | | | | | | |
Ratios/Supplemental Data | | | | | | | | | | | | | | | | | | | | |
Net assets, end of period (000’s omitted) | | | $1,065,829 | | | | $89,696 | | | | $95,350 | | | | $89,127 | | | | $98,502 | |
Ratio to average net assets of: | | | | | | | | | | | | | | | | | | | | |
Expenses, net of waivers/reimbursements (e)(f)‡ | | | .75 | % | | | .94 | % | | | .94 | % | | | .92 | % | | | .89 | % |
Expenses, before waivers/reimbursements (e)(f)‡ | | | .78 | % | | | 1.20 | % | | | 1.20 | % | | | 1.16 | % | | | 1.17 | % |
Net investment income (b) | | | .09 | % | | | .01 | % | | | .78 | % | | | .64 | % | | | .31 | % |
Portfolio turnover rate | | | 18 | % | | | 31 | % | | | 29 | % | | | 67 | % | | | 59 | % |
| | | | | | | | | | | | | | | | | | | | |
‡ Expense ratios exclude the estimated acquired fund fees of the affiliated/unaffiliated underlying | |
portfolios | | | .03 | % | | | .06 | % | | | .07 | % | | | .08 | % | | | .11 | % |
| See | | footnote summary on page 47. |
46
| | |
| |
| | | AB Variable Products Series Fund |
| (a) | | Based on average shares outstanding. |
| (b) | | Net of expenses waived/reimbursed by the Adviser. |
| (c) | | Amount is less than $.005. |
| (d) | | Total investment return is calculated assuming an initial investment made at the net asset value at the beginning of the period, reinvestment of all dividends and distributions at net asset value during the period, and redemption on the last day of the period. Total return does not reflect (i) insurance company’s separate account related expense charges and (ii) the deductions of taxes that a shareholder would pay on Portfolio distributions or the redemption of Portfolio shares. Total investment return calculated for a period of less than one year is not annualized. |
| (e) | | In connection with the Portfolio’s investments in affiliated/unaffiliated underlying portfolios, the Portfolio incurs no direct expenses, but bears proportionate shares of the fees and expenses (i.e., operating, administrative and investment advisory fees) of the affiliated/unaffiliated underlying portfolios. The Adviser has contractually agreed to waive its fees from the Portfolio in an amount equal to the Portfolio’s pro rata share of affiliated/unaffiliated acquired fund fees and expenses, and for the year ended December 31, 2021, December 31, 2020, December 31, 2019 December 31, 2018 and December 31, 2017, such waiver amounted to .03%, .06%, .07%, .08% and .11%, respectively. |
| (f) | | The expense ratios presented below exclude interest/bank overdraft expense: |
| | | | | | | | | | | | | | | | | | | | |
| | | Year Ended December 31, | |
| | | 2021 | | | 2020 | | | 2019 | | | 2018 | | | 2017 | |
Class A | | | | | | | | | | | | | | | | | | | | |
Net of waivers/reimbursements | | | .68 | % | | | .69 | % | | | .68 | % | | | .67 | % | | | .63 | % |
Before waivers/reimbursements | | | .72 | % | | | .95 | % | | | .95 | % | | | .92 | % | | | .94 | % |
Class B | | | | | | | | | | | | | | | | | | | | |
Net of waivers/reimbursements | | | .75 | % | | | .94 | % | | | .94 | % | | | .92 | % | | | .89 | % |
Before waivers/reimbursements | | | .78 | % | | | 1.20 | % | | | 1.20 | % | | | 1.16 | % | | | 1.17 | % |
See notes to financial statements.
47
| | |
| | |
| REPORT OF INDEPENDENT REGISTERED | | |
| |
| PUBLIC ACCOUNTING FIRM | | AB Variable Products Series Fund |
To the Shareholders and the Board of Directors of AB Global Risk Allocation—Moderate Portfolio:
Opinion on the Financial Statements
We have audited the accompanying statement of assets and liabilities of AB Global Risk Allocation—Moderate Portfolio (the “Portfolio”) (one of the portfolios constituting AB Variable Products Series Fund, Inc. (the “Fund”)), including the portfolio of investments, as of December 31, 2021, and the related statement of operations for the year then ended, the statements of changes in net assets for each of the two years in the period then ended, the financial highlights for each of the five years in the period then ended and the related notes (collectively referred to as the “financial statements”). In our opinion, the financial statements present fairly, in all material respects, the financial position of the Portfolio (one of the portfolios constituting AB Variable Products Series Fund, Inc.) at December 31, 2021, the results of its operations for the year then ended, the changes in its net assets for each of the two years in the period then ended and its financial highlights for each of the five years in the period then ended, in conformity with U.S. generally accepted accounting principles.
Basis for Opinion
These financial statements are the responsibility of the Fund’s management. Our responsibility is to express an opinion on the Portfolio’s financial statements based on our audits. We are a public accounting firm registered with the Public Company Accounting Oversight Board (United States) (“PCAOB”) and are required to be independent with respect to the Fund in accordance with the U.S. federal securities laws and the applicable rules and regulations of the Securities and Exchange Commission and the PCAOB.
We conducted our audits in accordance with the standards of the PCAOB. Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements are free of material misstatement, whether due to error or fraud. The Fund is not required to have, nor were we engaged to perform, an audit of the Fund’s internal control over financial reporting. As part of our audits we are required to obtain an understanding of internal control over financial reporting but not for the purpose of expressing an opinion on the effectiveness of the Fund’s internal control over financial reporting. Accordingly, we express no such opinion.
Our audits included performing procedures to assess the risks of material misstatement of the financial statements, whether due to error or fraud, and performing procedures that respond to those risks. Such procedures included examining, on a test basis, evidence regarding the amounts and disclosures in the financial statements. Our procedures included confirmation of securities owned as of December 31, 2021, by correspondence with the custodian and others or by other appropriate auditing procedures where replies from others were not received. Our audits also included evaluating the accounting principles used and significant estimates made by management, as well as evaluating the overall presentation of the financial statements. We believe that our audits provide a reasonable basis for our opinion.
We have served as the auditor of one or more of the AB investment companies since 1968.
New York, New York
February 14, 2022
48
| | |
| | |
| GLOBAL RISK ALLOCATION— | | |
| |
| MODERATE PORTFOLIO | | AB Variable Products Series Fund |
| | |
| BOARD OF DIRECTORS | | |
Marshall C. Turner, Jr.(1), Chairman Jorge A. Bermudez(1) Michael J. Downey(1) Onur Erzan, President and
Chief Executive Officer | | Nancy P. Jacklin(1) Jeanette W. Loeb(1) Carol C. McMullen(1) Garry L. Moody(1) |
|
|
|
|
| | |
| | |
| OFFICERS | | |
Daniel J. Loewy(2), Vice President Leon Zhu(2), Vice President Emilie D. Wrapp, Secretary Michael B. Reyes, Senior Vice President and Senior Analyst | | Joseph J. Mantineo, Treasurer and
Chief Financial Officer Phyllis J. Clarke, Controller Vincent S. Noto, Chief Compliance Officer |
| | |
| | |
CUSTODIANAND ACCOUNTING AGENT State Street Bank and Trust Company State Street Corporation CCB/5 1 Iron Street Boston, MA 02210 | | INDEPENDENT REGISTERED PUBLIC ACCOUNTING FIRM Ernst & Young LLP One Manhattan West New York, NY 10001 |
| | |
PRINCIPAL UNDERWRITER AllianceBernstein Investments, Inc. 501 Commerce Street Nashville, TN 37203 | | LEGAL COUNSEL Seward & Kissel LLP One Battery Park Plaza New York, NY 10004 |
| | |
TRANSFER AGENT AllianceBernstein Investor Services, Inc. P.O. Box 786003 San Antonio, TX 78278 Toll-Free (800) 221-5672 | | |
| (1) | | Member of the Audit Committee, the Governance and Nominating Committee, and the Independent Directors Committee. |
| (2) | | The day-to-day management of, and investment decisions for, the Fund are made by the Adviser’s Quantitative Investment Team. Messrs. Loewy and Zhu are the investment professionals with the most significant responsibility for the day-to-day management of the Fund’s portfolio. |
49
| | |
| | |
| GLOBAL RISK ALLOCATION—MODERATE PORTFOLIO |
| |
| MANAGEMENT OF THE FUND | | AB Variable Products Series Fund |
| | | | | | | | |
NAME, ADDRESS*, AGE, (YEAR FIRST ELECTED**) | | PRINCIPAL OCCUPATION(S) DURING PAST FIVE YEARS AND OTHER INFORMATION*** | | PORTFOLIOS
IN AB FUND
COMPLEX
OVERSEEN BY
DIRECTOR | | | OTHER PUBLIC
COMPANY
DIRECTORSHIPS
CURRENTLY
HELD BY
DIRECTOR |
| INTERESTED DIRECTOR | | | | | | |
| | | | | | | | |
Onur Erzan,# 1345 Avenue of the Americas New York, NY 10105 46 (2021) | | Senior Vice President of AllianceBernstein L.P. (the “Adviser”) and Head of the Global Client Group overseeing AB’s institutional and retail businesses, where he is responsible for all client services, sales and marketing, as well as product strategy, management and development worldwide. Director, President and Chief Executive Officer of the AB Mutual Funds as of April 1, 2021. Prior to joining the firm in January 2021, he spent 20 years with McKinsey (management consulting firm), most recently as a senior partner and co-leader of its Wealth & Asset Management practice. In addition, he co-led McKinsey’s Banking & Securities Solutions (a portfolio of data, analytics, and digital assets and capabilities) globally. | | | 74 | | | None |
| | | | | | | | |
| DISINTERESTED DIRECTORS | | | | | | |
| | | | | | | | |
Marshall C. Turner, Jr.,## Chairman of the Board 80 (2005) | | Private Investor since prior to 2017. Former Chairman and CEO of Dupont Photomasks, Inc. (components of semi-conductor manufacturing). He was a Director of Xilinx, Inc. (programmable logic semiconductors and adaptable, intelligent computing) from 2007 through August 2020, and is a former director of 33 other companies and organizations. He has extensive operating leadership and venture capital investing experience, including five interim or full-time CEO roles, and prior service as general partner of institutional venture capital partnerships. He also has extensive non-profit board leadership experience, and currently serves on the boards of two education and science-related non-profit organizations. He has served as a director of one AB Fund since 1992, and director or trustee of all AB Funds since 2005. He has been Chairman of the AB Funds since January 2014, and the Chairman of the Independent Directors Committees of such AB Funds since February 2014. | | | 74 | | | None |
| | | | | | | | |
Jorge A. Bermudez,## 70 (2020) | | Private Investor since prior to 2017. Formerly, Chief Risk Officer of Citigroup, Inc., a global financial services company, from November 2007 to March 2008, Chief Executive Officer of Citigroup’s Commercial Business Group in North America and Citibank Texas from 2005 to 2007, and a variety of other executive and leadership roles at various businesses within Citigroup prior to then; Chairman (2018) of the Texas A&M Foundation Board of Trustees (Trustee since 2013) and Chairman of the Smart Grid Center Board at Texas A&M University since 2012; director of, among others, Citibank N.A. from 2005 to 2008, the Federal Reserve Bank of Dallas, Houston Branch from 2009 to 2011, the Federal Reserve Bank of Dallas from 2011 to 2017, and the Electric Reliability Council of Texas from 2010 to 2016. He has served as director or trustee of the AB Funds since January 2020. | | | 74 | | | Moody’s Corporation since April 2011 |
50
| | |
| |
| | | AB Variable Products Series Fund |
| | | | | | | | |
NAME, ADDRESS*, AGE, (YEAR FIRST ELECTED**) | | PRINCIPAL OCCUPATION(S) DURING PAST FIVE YEARS AND OTHER INFORMATION*** | | PORTFOLIOS
IN AB FUND
COMPLEX
OVERSEEN BY
DIRECTOR | | | OTHER PUBLIC
COMPANY
DIRECTORSHIPS
CURRENTLY
HELD BY
DIRECTOR |
DISINTERESTED DIRECTORS (continued) | | | | | | |
| | | | | | | | |
Michael J. Downey,## 78 (2005) | | Private Investor since prior to 2017. Formerly, Chairman of The Asia Pacific Fund, Inc. (registered investment company) since prior to 2017 until January 2019. From 1987 until 1993, Chairman and CEO of Prudential Mutual Fund Management, director of the Prudential mutual funds, and member of the Executive Committee of Prudential Securities, Inc. He has served as a director or trustee of the AB Funds since 2005. | | | 74 | | | None |
| | | | | | | | |
Nancy P. Jacklin,## 73 (2006) | | Private Investor since prior to 2017. Professorial Lecturer at the Johns Hopkins School of Advanced International Studies (2008–2015). U.S. Executive Director of the International Monetary Fund (which is responsible for ensuring the stability of the international monetary system), (December 2002–May 2006); Partner, Clifford Chance (1992–2002); Sector Counsel, International Banking and Finance, and Associate General Counsel, Citicorp (1985–1992); Assistant General Counsel (International), Federal Reserve Board of Governors (1982–1985); and Attorney Advisor, U.S. Department of the Treasury (1973–1982). Member of the Bar of the District of Columbia and of New York; and member of the Council on Foreign Relations. She has served as a director or trustee of the AB Funds since 2006 and has been Chair of the Governance and Nominating Committees of the AB Funds since August 2014. | | | 74 | | | None |
| | | | | | | | |
Jeanette W. Loeb,## 69 (2020) | | Chief Executive Officer of PetCareRx (e-commerce pet pharmacy) from 2002 to 2011 and 2015 to present. Director of New York City Center since 2005. She was a director of AB Multi-Manager Alternative Fund, Inc. (fund of hedge funds) from 2012 to 2018. Formerly, affiliated with Goldman Sachs Group, Inc. (financial services) from 1977 to 1994, including as a partner thereof from 1986 to 1994. She has served as director or trustee of the AB Funds since April 2020. | | | 74 | | | Apollo Investment Corp. (business development company) since August 2011 |
| | | | | | | | |
51
| | |
| GLOBAL RISK ALLOCATION—MODERATE PORTFOLIO |
| MANAGEMENT OF THE FUND | | |
| |
| (continued) | | AB Variable Products Series Fund |
| | | | | | | | |
NAME, ADDRESS*, AGE, (YEAR FIRST ELECTED**) | | PRINCIPAL OCCUPATION(S) DURING PAST FIVE YEARS AND OTHER INFORMATION*** | | PORTFOLIOS
IN AB FUND
COMPLEX
OVERSEEN BY
DIRECTOR | | | OTHER PUBLIC
COMPANY
DIRECTORSHIPS
CURRENTLY
HELD BY
DIRECTOR |
DISINTERESTED DIRECTORS (continued) | | | | | | |
| | | | | | | | |
Carol C. McMullen,## 66 (2016) | | Managing Director of Slalom Consulting (consulting) since 2014, private investor and a member of the Advisory Board of Butcher Box (since 2018). Formerly, member, Partners Healthcare Investment Committee (2010–2019); Director of Norfolk & Dedham Group (mutual property and casualty insurance) from 2011 until November 2016; Director of Partners Community Physicians Organization (healthcare) from 2014 until December 2016; and Managing Director of The Crossland Group (consulting) from 2012 until 2013. She has held a number of senior positions in the asset and wealth management industries, including at Eastern Bank (where her roles included President of Eastern Wealth Management), Thomson Financial (Global Head of Sales for Investment Management), and Putnam Investments (where her roles included Chief Investment Officer, Core and Growth and Head of Global Investment Research). She has served on a number of private company and non-profit boards, and as a director or trustee of the AB Funds since June 2016. | | | 74 | | | None |
| | | | | | | | |
Garry L. Moody,## 69 (2008) | | Private Investor since prior to 2017. Formerly, Partner, Deloitte & Touche LLP (1995–2008) where he held a number of senior positions, including Vice Chairman, and U.S. and Global Investment Management Practice Managing Partner; President, Fidelity Accounting and Custody Services Company (1993–1995), where he was responsible for accounting, pricing, custody, and reporting for the Fidelity mutual funds; and Partner, Ernst & Young LLP (1975–1993), where he served as the National Director of Mutual Fund Tax Services and Managing Partner of its Chicago Office Tax department. He is a member of the Trustee Advisory Board of BoardIQ, a biweekly publication focused on issues and news affecting directors of mutual funds. He is also a member of the Investment Company Institute’s Board of Governors and the Independent Directors Council’s Governing Council. He has served as a director or trustee, and as Chairman of the Audit Committees of the AB Funds since 2008. | | | 74 | | | None |
| * | The address for each of the Fund’s disinterested Directors is c/o AllianceBernstein L.P., Attention: Legal & Compliance Department—Mutual Fund Legal, 1345 Avenue of the Americas, New York, NY 10105 |
| ** | There is no stated term of office for the Fund’s Directors. |
| *** | The information above includes each Director’s principal occupation during the last five years and other information relating to the experience, attributes, and skills relevant to each Director’s qualifications to serve as a Director, which led to the conclusion that each Director should serve as a Director for the Fund. |
| # | Mr. Erzan is an “interested person” of the Fund, as defined in the “1940 Act”, due to his position as a Senior Vice President of the Adviser. |
| ## | Member of the Audit Committee, the Governance and Nominating Committee, and the Independent Directors Committee. |
52
| | |
| |
| | | AB Variable Products Series Fund |
Officer Information
Certain information concerning the Fund’s Officers is listed below.
| | | | |
NAME, ADDRESS*
AND AGE | | POSITION(S) HELD
WITH FUND | | PRINCIPAL OCCUPATION
DURING PAST FIVE YEARS |
Onur Erzan 46 | | President and Chief Executive Officer | | See biography above. |
| | | | |
Daniel J. Loewy 47 | | Vice President | | Senior Vice President of the Adviser**, with which he has been associated since prior to 2017. He is also Chief Investment Officer and Head of Multi-Asset Solutions and Chief Investment Officer for Dynamic Asset Allocation. |
| | | | |
Leon Zhu
54 | | Vice President | | Senior Vice President of the Adviser**, with which he has been associated since prior to 2017. |
| | | | |
Emilie D. Wrapp
66 | | Secretary | | Senior Vice President, Assistant General Counsel and Assistant Secretary of ABI**, with which she has been associated since prior to 2017. |
| | | | |
Michael B. Reyes
45 | | Senior Vice President and Senior Analyst | | Vice President of the Adviser**, with which he has been associated since prior to 2017. |
| | | | |
Joseph J. Mantineo
62 | | Treasurer and Chief Financial Officer | | Senior Vice President of AllianceBernstein Investor Services (“ABIS”)**, with which he has been associated since prior to 2017. |
| | | | |
Phyllis J. Clarke
61 | | Controller | | Vice President of ABIS**, with which she has been associated since prior to 2017. |
| | | | |
Vincent S. Noto
57 | | Chief Compliance Officer | | Senior Vice President and Mutual Fund Chief Compliance Officer of the Adviser** since prior to 2017. |
| * | | The address for each of the Fund’s Officers is 1345 Avenue of the Americas, New York, NY 10105. |
| ** | | The Adviser, ABI and ABIS are affiliates of the Fund. |
| | | The Fund’s Statement of Additional Information (“SAI”) has additional information about the Fund’s Directors and Officers and is available without charge upon request. Contact your financial representative or AB at (800) 227-4618, or visit www.abfunds.com, for a free prospectus or SAI. |
53
| | |
| | |
|
| |
| GLOBAL RISK ALLOCATION—MODERATE PORTFOLIO | | AB Variable Products Series Fund |
OPERATION AND EFFECTIVENESS OF THE PORTFOLIO’S LIQUIDITY RISK MANAGEMENT PROGRAM:
In October 2016, the Securities and Exchange Commission (“SEC”) adopted the open-end fund liquidity rule (the “Liquidity Rule”). In June 2018 the SEC adopted a requirement that funds disclose information about the operation and effectiveness of their Liquidity Risk Management Program (“LRMP”) in their reports to shareholders.
One of the requirements of the Liquidity Rule is for the Portfolio to designate an Administrator of the Portfolio’s Liquidity Risk Management Program. The Administrator of the Portfolio’s LRMP is AllianceBernstein L.P., the Portfolio’s investment adviser (the “Adviser”). The Adviser has delegated the responsibility to its Liquidity Risk Management Committee (the “Committee”).
Another requirement of the Liquidity Rule is for the Portfolio’s Board of Directors (the “Fund Board”) to receive an annual written report from the Administrator of the LRMP, which addresses the operation of the Portfolio’s LRMP and assesses its adequacy and effectiveness. The Adviser provided the Fund Board with such annual report during the first quarter of 2021, which covered the period January 1, 2020 through December 31, 2020 (the “Program Reporting Period”).
The LRMP’s principal objectives include supporting the Portfolio’s compliance with limits on investments in illiquid assets and mitigating the risk that the Portfolio will be unable to meet its redemption obligations in a timely manner.
Pursuant to the LRMP, the Portfolio classifies the liquidity of its portfolio investments into one of the four categories defined by the SEC: Highly Liquid, Moderately Liquid, Less Liquid, and Illiquid. These classifications are reported to the SEC on Form N-PORT.
During the Program Reporting Period, the Committee reviewed whether the Portfolio’s strategy is appropriate for an open-end structure, incorporating any holdings of less liquid and illiquid assets. If the Portfolio participated in derivative transactions, the exposure from such transactions were considered in the LRMP.
The Committee also performed an analysis to determine whether the Portfolio is required to maintain a Highly Liquid Investment Minimum (“HLIM”). The Committee also incorporated the following information when determining the Portfolio’s reasonably anticipated trading size for purposes of liquidity monitoring: historical net redemption activity, a Portfolio’s concentration in an issuer, shareholder concentration, investment performance, total net assets, and distribution channels.
The Adviser informed the Fund Board that the Committee believes the Portfolio’s LRMP is adequately designed, has been implemented as intended, and has operated effectively since its inception. No material exceptions have been noted since the implementation of the LRMP. During the Program Reporting Period, beginning in March 2020, all financial markets experienced extreme levels of price volatility and relative illiquidity resulting from the COVID-19 impacts on the global economy. This extreme relative illiquidity resulted in significantly wider bid-ask spreads to transact in securities, including many of those securities held by the Portfolio, and in a diminished depth of liquidity in most markets, to varying degrees. Nonetheless, there were no liquidity events that impacted the Portfolio or its ability to timely meet redemptions during the Program Reporting Period.
54
| | |
| | | |
| GLOBAL RISK ALLOCATION—MODERATE PORTFOLIO |
| |
| CONTINUANCE DISCLOSURE | | AB Variable Products Series Fund |
INFORMATION REGARDING THE REVIEW AND APPROVAL OF THE FUND’S ADVISORY AGREEMENT
The disinterested directors (the “directors”) of AB Variable Products Series Fund, Inc. (the “Company”) unanimously approved the continuance of the Company’s Advisory Agreement with the Adviser in respect of AB Global Risk Allocation—Moderate Portfolio (the “Fund”) at a meeting held by video conference on August 3-4, 2021 (the “Meeting”).
Prior to approval of the continuance of the Advisory Agreement, the directors had requested from the Adviser, and received and evaluated, extensive materials. They reviewed the proposed continuance of the Advisory Agreement with the Adviser and with experienced counsel who are independent of the Adviser, who advised on the relevant legal standards. The directors also reviewed additional materials, including comparative analytical data prepared by the Senior Analyst for the Fund. The directors also discussed the proposed continuance in private sessions with counsel.
The directors considered their knowledge of the nature and quality of the services provided by the Adviser to the Fund gained from their experience as directors or trustees of most of the registered investment companies advised by the Adviser, their overall confidence in the Adviser’s integrity and competence they have gained from that experience, the Adviser’s initiative in identifying and raising potential issues with the directors and its responsiveness, frankness and attention to concerns raised by the directors in the past, including the Adviser’s willingness to consider and implement organizational and operational changes designed to improve investment results and the services provided to the AB Funds. The directors noted that they have four regular meetings each year, at each of which they review extensive materials and information from the Adviser, including information on the investment performance of the Fund and the money market fund advised by the Adviser in which the Fund invests a portion of its assets.
The directors also considered all factors they believed relevant, including the specific matters discussed below. During the course of their deliberations, the directors evaluated, among other things, the reasonableness of the advisory fee. The directors did not identify any particular information that was all-important or controlling, and different directors may have attributed different weights to the various factors. The directors determined that the selection of the Adviser to manage the Fund and the overall arrangements between the Fund and the Adviser, as provided in the Advisory Agreement, including the advisory fee, were fair and reasonable in light of the services performed, expenses incurred and such other matters as the directors considered relevant in the exercise of their business judgment. The material factors and conclusions that formed the basis for the directors’ determinations included the following:
Nature, Extent and Quality of Services Provided
The directors considered the scope and quality of services provided by the Adviser under the Advisory Agreement, including the quality of the investment research capabilities of the Adviser and the other resources it has dedicated to performing services for the Fund. The directors noted that the Adviser from time to time reviews the Fund’s investment strategies and from time to time proposes changes intended to improve the Fund’s relative or absolute performance for the directors’ consideration. They also noted the professional experience and qualifications of the Fund’s portfolio management team and other senior personnel of the Adviser. The directors also considered that the Advisory Agreement provides that the Fund will reimburse the Adviser for the cost to it of providing certain clerical, accounting, administrative and other services to the Fund by employees of the Adviser or its affiliates. Requests for these reimbursements are made on a quarterly basis and subject to approval by the directors. Reimbursements, to the extent requested and paid, result in a higher rate of total compensation from the Fund to the Adviser than the fee rate stated in the Advisory Agreement. The directors noted that the methodology used to determine the reimbursement amounts had been reviewed by an independent consultant at the request of the directors. The quality of administrative and other services, including the Adviser’s role in coordinating the activities of the Fund’s other service providers, also was considered. The directors concluded that, overall, they were satisfied with the nature, extent and quality of services provided to the Fund under the Advisory Agreement.
Costs of Services Provided and Profitability
The directors reviewed a schedule of the revenues and expenses and related notes indicating the profitability of the Fund to the Adviser for calendar years 2019 and 2020 that had been prepared with an expense allocation methodology arrived at in consultation with an independent consultant at the request of the directors. The directors noted the assumptions and methods of allocation used by the Adviser in preparing fund-specific profitability data and understood that there are a number of potentially acceptable allocation methodologies for information of this type. The directors noted that the profitability information reflected all revenues and expenses of the Adviser’s relationship with the Fund, including those relating to its subsidiaries that provide transfer agency, distribution and brokerage services to the Fund. The directors recognized that it is difficult to make comparisons of the profitability of the Advisory Agreement with the profitability of fund advisory contracts
55
| | |
| GLOBAL RISK ALLOCATION—MODERATE PORTFOLIO |
| CONTINUANCE DISCLOSURE | | |
| |
| (continued) | | AB Variable Products Series Fund |
for unaffiliated funds because comparative information is not generally publicly available and is affected by numerous factors. The directors focused on the profitability of the Adviser’s relationship with the Fund before taxes and distribution expenses. The directors noted that the Fund was not profitable to the Adviser in periods reviewed.
Fall-Out Benefits
The directors considered the other benefits to the Adviser and its affiliates from their relationships with the Fund and the money market fund advised by the Adviser in which the Fund invests, including, but not limited to, benefits relating to soft dollar arrangements (whereby investment advisers receive brokerage and research services from brokers that execute agency transactions for their clients); 12b-1 fees and sales charges received by the Fund’s principal underwriter (which is a wholly owned subsidiary of the Adviser) in respect of the Fund’s Class B shares; brokerage commissions paid by the Fund to brokers affiliated with the Adviser; and transfer agency fees paid by the Fund to a wholly owned subsidiary of the Adviser. The directors recognized that the Fund’s unprofitability to the Adviser would be exacerbated without these benefits. The directors understood that the Adviser also might derive reputational and other benefits from its association with the Fund.
Investment Results
In addition to the information reviewed by the directors in connection with the Meeting, the directors receive detailed performance information for the Fund at each regular Board meeting during the year.
At the Meeting, the directors reviewed performance information prepared by an independent service provider (the “15(c) service provider”), showing the performance of the Class A Shares of the Fund against a group of similar funds (“peer group”) and a larger group of similar funds (“peer universe”), each selected by the 15(c) service provider, and information prepared by the Adviser showing performance of the Class A Shares against a broad-based securities market index, in each case for the 1-, 3- and 5-year periods ended May 31, 2021 and (in the case of comparisons with the broad-based securities market index) for the period from inception. Based on their review, the directors concluded that the Fund’s investment performance was acceptable.
Advisory Fees and Other Expenses
The directors considered the advisory fee rate payable by the Fund to the Adviser and information prepared by the 15(c) service provider concerning advisory fee rates payable by other funds in the same category as the Fund. The directors recognized that it is difficult to make comparisons of advisory fees because there are variations in the services that are included in the fees paid by other funds. The directors compared the Fund’s contractual effective advisory fee rate with a peer group median and took into account the impact on the advisory fee rate of the administrative expense reimbursement paid to the Adviser in the latest fiscal year.
The directors also considered the Adviser’s fee schedule for other clients utilizing investment strategies similar to those of the Fund. For this purpose, they reviewed the relevant advisory fee information from the Adviser’s Form ADV and in a report from the Fund’s Senior Analyst and noted the differences between the Fund’s fee schedule, on the one hand, and the Adviser’s institutional fee schedule and the schedule of fees charged by the Adviser to any offshore funds and for services to any sub-advised funds utilizing investment strategies similar to those of the Fund, on the other. The directors noted that the Adviser may, in some cases, agree to fee rates with large institutional clients that are lower than those reviewed by the directors and that they had previously discussed with the Adviser its policies in respect of such arrangements.
The Adviser reviewed with the directors the significantly greater scope of the services it provides to the Fund relative to institutional, offshore fund and sub-advised fund clients. In this regard, the Adviser noted, among other things, that, compared to institutional and offshore or sub-advisory accounts, the Fund (i) demands considerably more portfolio management, research and trading resources due to significantly higher daily cash flows; (ii) has more tax and regulatory restrictions and compliance obligations; (iii) must prepare and file or distribute regulatory and other communications about fund operations; and (iv) must provide shareholder servicing to retail investors. The Adviser also reviewed the greater legal risks presented by the large and changing population of Fund shareholders who may assert claims against the Adviser in individual or class actions, and the greater entrepreneurial risk in offering new fund products, which require substantial investment to launch, may not succeed, and generally must be priced to compete with larger, more established funds resulting in lack of profitability to the Adviser until a new fund achieves scale. In light of the substantial differences in services rendered by the Adviser to institutional, offshore fund and sub-advised fund clients as compared to the Fund, and the different risk profile, the directors considered these fee comparisons inapt and did not place significant weight on them in their deliberations.
56
| | |
| |
| | | AB Variable Products Series Fund |
The directors noted that the Fund invests in shares of exchange-traded funds (“ETFs”), subject to the restrictions and limitations of the Investment Company Act of 1940 as these may be varied as a result of exemptive orders issued, and rules adopted, by the SEC. The directors also noted that ETFs pay advisory fees pursuant to their advisory contracts, and that the Adviser had provided, and they had reviewed, information about the expense ratios of the relevant ETFs. The directors concluded, based on the Adviser’s explanation of how it uses ETFs when they are the most cost-effective way to obtain desired exposures, in some cases pending purchases of underlying securities, that the advisory fee for the Fund is for services that are in addition to, rather than duplicative of, the services provided under the advisory contracts of the ETFs.
In connection with their review of the Fund’s advisory fee, the directors also considered the total expense ratio of the Class A shares of the Fund in comparison to a peer group and a peer universe selected by the 15(c) service provider. The Class A expense ratio of the Fund was based on the Fund’s latest fiscal year and the directors considered the Adviser’s expense cap for the Class A Shares of the Fund. The directors noted that it was likely that the expense ratios of some of the other funds in the Fund’s category were lowered by waivers or reimbursements by those funds’ investment advisers, which in some cases might be voluntary or temporary. The directors view expense ratio information as relevant to their evaluation of the Adviser’s services because the Adviser is responsible for coordinating services provided to the Fund by others. Based on their review, the directors concluded that the Fund’s expense ratio was acceptable.
Economies of Scale
The directors noted that the advisory fee schedule for the Fund contains breakpoints that reduce the fee rates on assets above specified levels. The directors took into consideration prior presentations by an independent consultant on economies of scale in the mutual fund industry and for the AB Funds, and presentations from time to time by the Adviser concerning certain of its views on economies of scale. The directors also had requested and received from the Adviser certain updates on economies of scale in advance of the Meeting. The directors believe that economies of scale may be realized (if at all) by the Adviser across a variety of products and services, and not only in respect of a single fund. The directors noted that there is no established methodology for setting breakpoints that give effect to the fund-specific services provided by a fund’s adviser and to the economies of scale that an adviser may realize in its overall mutual fund business or those components of it which directly or indirectly affect a fund’s operations. The directors observed that in the mutual fund industry as a whole, as well as among funds similar to the Fund, there is no uniformity or pattern in the fees and asset levels at which breakpoints (if any) apply. The directors also noted that the advisory agreements for many funds do not have breakpoints at all. Having taken these factors into account, the directors concluded that the Fund’s shareholders would benefit from a sharing of economies of scale in the event the Fund’s net assets exceed a breakpoint in the future.
57
VPS-GRA-0151-1221
DEC 12.31.21
ANNUAL REPORT
AB VARIABLE PRODUCTS
SERIES FUND, INC.
| + | | GLOBAL THEMATIC GROWTH PORTFOLIO |
As of May 1, 2021, as permitted by regulations adopted by the Securities and Exchange Commission, you may not be receiving paper copies of the Portfolio’s shareholder reports from the insurance company that offers your contract unless you specifically requested paper copies from the insurance company or from your financial intermediary. Instead of delivering paper copies of the reports, the insurance company may choose to make the reports available on a website, and will notify you by mail each time a report is posted and provide you with a website link to access the report. Instructions for requesting paper copies will be provided by your insurance company.
You may elect to receive all future reports in paper free of charge from the insurance company. You can inform the insurance company or your financial intermediary that you wish to continue receiving paper copies of your shareholder reports by following the instructions provided by the insurance company or by contacting your financial intermediary. Your election to receive reports in paper will apply to all portfolio companies available under your contract with the insurance company.
Investment Products Offered
| | • | | Are Not Bank Guaranteed |
AllianceBernstein Investments, Inc. (ABI) is the distributor of the AB family of mutual funds. ABI is a member of FINRA and is an affiliate of AllianceBernstein L.P., the Adviser of the funds.
You may obtain a description of the Fund’s proxy voting policies and procedures, and information regarding how the Fund voted proxies relating to portfolio securities during the most recent 12-month period ended June 30, without charge. Simply visit AB’s website at www.abfunds.com or go to the Securities and Exchange Commission’s (the “Commission”) website at www.sec.gov, or call AB at (800) 227 4618.
The Fund files its complete schedule of portfolio holdings with the Commission for the first and third quarters of each fiscal year as an exhibit to its reports on Form N-PORT. The Fund’s Form N-PORT reports are available on the Commission’s website at www.sec.gov. The Fund’s Forms N-PORT may also be reviewed and copied at the Commission’s Public Reference Room in Washington, DC; information on the operation of the Public Reference Room may be obtained by calling (800) SEC 0330.
The [A/B] logo is a registered service mark of AllianceBernstein and AllianceBernstein® is a registered service mark used by permission of the owner, AllianceBernstein L.P.
| | |
| | |
| | |
| |
| GLOBAL THEMATIC GROWTH PORTFOLIO | | AB Variable Products Series Fund |
LETTER TO INVESTORS
February 14, 2022
The following is an update of AB Variable Products Series Fund—Global Thematic Growth Portfolio (the “Portfolio”) for the annual reporting period ended December 31, 2021.
At a meeting held on November 2-4, 2021, the Adviser recommended and the Portfolio’s Board of Directors approved certain changes to the Portfolio, including changing the Portfolio’s name to “AB Sustainable Global Thematic Portfolio” and changes to the Portfolio’s principal investment strategies. These changes are addressed in a prospectus supplement dated November 5, 2021, and will be effective on or about May 1, 2022.
INVESTMENT OBJECTIVE AND POLICIES
The Portfolio’s investment objective is long-term growth of capital. The Portfolio pursues opportunistic growth by investing in a global universe of companies in multiple industries that may benefit from innovation. The Adviser employs a combination of “top-down” and “bottom-up” investment processes with the goal of identifying the most attractive securities worldwide, fitting into broader themes, which are developments that have broad effects across industries and companies. Drawing on its global fundamental research capabilities, the Adviser seeks to identify long-term secular growth trends that will affect multiple industries. The Adviser will assess the effects of these trends on entire industries and on individual companies. Through this process, the Adviser intends to identify key investment themes, which will be the focus of the Portfolio’s investments and which are expected to change over time based on the Adviser’s research.
In addition to this “top-down” thematic approach, the Adviser will also use a “bottom-up” analysis of individual companies that focuses on prospective earnings growth, valuation and quality of company management. The Adviser normally considers a large universe of mid- to large-capitalization companies worldwide for investment.
The Portfolio invests in securities issued by US and non-US companies from multiple industry sectors in an attempt to maximize opportunity, which should also tend to reduce risk. The Portfolio invests in both developed- and emerging-market countries. Under normal market conditions, the Portfolio invests significantly (at least 40%—unless market conditions are not deemed favorable by the Adviser) in securities of non-US companies. In addition, the Portfolio invests, under normal circumstances, in the equity securities of companies located in at least three countries. The percentage of the Portfolio’s assets invested in securities of companies in a particular country or denominated in a particular currency varies in accordance with the Adviser’s assessment of the appreciation potential of such securities.
The Portfolio may invest in any company and industry and in any type of equity security, listed and unlisted, with potential for capital appreciation. It invests in well-known, established companies as well as new, smaller or less-seasoned companies. Investments in new, smaller or less-seasoned companies may offer more reward but may also entail more risk than is generally true of larger, established companies. The Portfolio may also invest in synthetic foreign equity securities, which are various types of warrants used internationally that entitle a holder to buy or sell underlying securities, real estate investment trusts and zero-coupon bonds.
The Portfolio may, at times, invest in shares of exchange-traded funds (“ETFs”) in lieu of making direct investments in equity securities. ETFs may provide more efficient and economical exposure to the type of companies and geographic locations in which the Portfolio seeks to invest than direct investments.
Currencies can have a dramatic impact on equity returns, significantly adding to returns in some years and greatly diminishing them in others. Currency and equity positions are evaluated separately. The Adviser may seek to hedge the currency exposure resulting from securities positions when it finds the currency exposure unattractive. To hedge all or a portion of its currency risk, the Portfolio may, from time to time, invest in currency-related derivatives, including forward currency exchange contracts, futures contracts, options on futures contracts, swaps and options. The Adviser may also seek investment opportunities by taking long or short positions in currencies through the use of currency-related derivatives.
The Portfolio may enter into other derivatives transactions, such as options, futures contracts, forwards and swaps. The Portfolio may use options strategies involving the purchase and/or writing of various combinations of call and/or put options, including on individual securities and stock indices, futures contracts (including futures contracts on individual securities and stock indices) or shares of ETFs. These transactions may be used, for example, to earn extra income, to adjust exposure to individual securities or markets, or to protect all or a portion of the Portfolio’s portfolio from a decline in value, sometimes within certain ranges.
INVESTMENT RESULTS
The table on page 5 shows the Portfolio’s performance compared to its benchmark, the Morgan Stanley Capital International All Country World Index (“MSCI ACWI”) (net), for the one-, five- and 10-year periods ended December 31, 2021.
All share classes of the Portfolio outperformed the benchmark for the annual period. Both security selection and sector allocation contributed to performance, relative to the benchmark. Selection within the health-care and industrials
1
| | |
| |
| | | AB Variable Products Series Fund |
sectors contributed most, while selection within technology and materials detracted. In terms of sector allocation, an underweight to communication services and an overweight to technology contributed, while underweights to energy and financials detracted. Country selection (a result of bottom-up security analysis driven by fundamental research) was positive; an underweight to China contributed most but was partially offset by an underweight to Canada, which detracted.
The Portfolio used derivatives in the form of currency forwards for hedging purposes, which had no material impact on absolute returns for the annual period.
MARKET REVIEW AND INVESTMENT STRATEGY
Global equities recorded double-digit returns and emerging markets lost ground during the annual period ended December 31, 2021. Global markets were supported by accommodative monetary policy and strong company earnings growth, while economic turbulence in China, geopolitical risks and inflation pressured emerging markets. Increased market volatility periodically sent risk assets lower, but investors continued to buy the dip. Toward the end of the period, global markets fell as the rapid spread of the coronavirus omicron variant triggered concern that new restrictions could derail the economic recovery. Encouraging developments in COVID-19 treatments and vaccines and a reluctance to reinstate shutdowns helped investors look past the potential impact of the omicron variant. Stock markets gave back gains, however, after the US Federal Reserve (the “Fed”) took a hawkish pivot and confirmed that it would accelerate the wind-down of its bond purchases and raise rates multiple times in 2022. After digesting the Fed’s comments, equity markets rose as investors appeared to adjust to the shift and remained focused on still generally supportive monetary policy. Growth outperformed value, in terms of style, and large-cap stocks outperformed their small-cap peers.
The Portfolio’s exposures remain focused on secular growth themes, particularly those promoting social and environmental sustainability. This has helped the Portfolio’s Senior Investment Management Team (the “Team”) to identify financially strong companies that the Team believes are more likely to sustain higher-than-average growth over the long term. The Team believes organic sales and earnings growth will be a key driver of returns going forward. The Portfolio is positioned particularly well in this regard.
2
| | |
| | | |
| GLOBAL THEMATIC GROWTH PORTFOLIO |
| |
| DISCLOSURES AND RISKS | | AB Variable Products Series Fund |
Benchmark Disclosure
The MSCI ACWI is unmanaged and does not reflect fees and expenses associated with the active management of a mutual fund portfolio. The MSCI ACWI (net, free float-adjusted, market capitalization weighted) represents the equity market performance of developed and emerging markets. MSCI makes no express or implied warranties or representations, and shall have no liability whatsoever with respect to any MSCI data contained herein. The MSCI data may not be further redistributed or used as a basis for other indices, any securities or financial products. This report is not approved, reviewed or produced by MSCI. Net returns reflect the reinvestment of dividends after deduction of non-US withholding tax. An investor cannot invest directly in an index, and its results are not indicative of the performance for any specific investment, including the Portfolio.
A Word About Risk
Market Risk: The value of the Portfolio’s assets will fluctuate as the stock or bond market fluctuates. The value of its investments may decline, sometimes rapidly and unpredictably, simply because of economic changes or other events, including public health crises (including the occurrence of a contagious disease or illness), that affect large portions of the market. It includes the risk that a particular style of investing, such as the Portfolio’s growth approach, may underperform the market generally.
Foreign (Non-US) Risk: Investments in securities of non-US issuers may involve more risk than those of US issuers. These securities may fluctuate more widely in price and may be more difficult to trade due to adverse market, economic, political, regulatory or other factors.
Emerging-Market Risk: Investments in emerging-market countries may have more risk because the markets are less developed and less liquid, and because these investments may be subject to increased economic, political, regulatory or other uncertainties.
Currency Risk: Fluctuations in currency exchange rates may negatively affect the value of the Portfolio’s investments or reduce its returns.
Capitalization Risk: Investments in mid-capitalization companies may be more volatile than investments in large-capitalization companies. Investments in mid-capitalization companies may have additional risks because these companies may have limited product lines, markets or financial resources.
Derivatives Risk: Derivatives may be difficult to price or unwind and leveraged so that small changes may produce disproportionate losses for the Portfolio. Derivatives, especially over-the-counter derivatives, are also subject to counterparty risk, which is the risk that the counterparty (the party on the other side of the transaction) on a derivative transaction will be unable or unwilling to honor its contractual obligations to the Portfolio.
Focused Portfolio Risk: Investments in a limited number of companies may have more risk because changes in the value of a single security may have a more significant effect, either negative or positive, on the Portfolio’s net asset value (“NAV”).
Industry/Sector Risk: Investments in a particular sector, industry or group of related industries, such as the information-technology or health-care sector, may have more risk because market or economic factors affecting that sector or industry could have a significant effect on the value of the Portfolio’s investments.
Management Risk: The Portfolio is subject to management risk because it is an actively managed investment fund. The Adviser will apply its investment techniques and risk analyses in making investment decisions for the Portfolio, but there is no guarantee that its techniques will produce the intended results. Some of these techniques may incorporate, or rely upon, quantitative models, but there is no guarantee that these models will generate accurate forecasts, reduce risk or otherwise perform as expected.
These risks are fully discussed in the Variable Products prospectus. As with all investments, you may lose money by investing in the Portfolio.
(Disclosures, Risks and Note About Historical Performance continued on next page)
3
| | |
| |
| DISCLOSURES AND RISKS | | |
| |
| (continued) | | AB Variable Products Series Fund |
An Important Note About Historical Performance
The investment return and principal value of an investment in the Portfolio will fluctuate, so that shares, when redeemed, may be worth more or less than their original cost. Performance shown in this report represents past performance and does not guarantee future results. Current performance may be lower or higher than the performance information shown. Please contact your financial advisor or insurance agent representative at your financial institution to obtain portfolio performance information current to the most recent month-end.
Investors should consider the investment objectives, risks, charges and expenses of the Portfolio carefully before investing. For additional copies of the Portfolio’s prospectus or summary prospectus, which contains this and other information, call your financial advisor or (800) 227 4618. Please read the prospectus and/or summary prospectus carefully before investing.
All fees and expenses related to the operation of the Portfolio have been deducted, but no adjustment has been made for insurance company separate account or annuity contract charges, which would reduce total return to a contract owner. Performance assumes reinvestment of distributions and does not account for taxes.
There are additional fees and expenses associated with all Variable Products. These fees can include mortality and expense risk charges, administrative charges, and other charges that can significantly reduce investment returns. Those fees and expenses are not reflected in this annual report. You should consult your Variable Products prospectus for a description of those fees and expenses and speak to your insurance agent or financial representative if you have any questions. You should read the prospectus before investing or sending money.
4
| | |
| | | |
| GLOBAL THEMATIC GROWTH PORTFOLIO |
| |
| HISTORICAL PERFORMANCE | | AB Variable Products Series Fund |
| | | | | | | | | | | | |
| | | | | | | | | | | | |
| THE PORTFOLIO VS. ITS BENCHMARK | | Net Asset Value Returns | |
| PERIODS ENDED DECEMBER 31, 2021 (unaudited) | | 1 Year | | | 5 Years1 | | | 10 Years1 | |
| | | |
| Global Thematic Growth Portfolio Class A | | | 22.87% | | | | 22.41% | | | | 15.24% | |
| | | |
| Global Thematic Growth Portfolio Class B | | | 22.57% | | | | 22.11% | | | | 14.95% | |
| | | |
| MSCI ACWI (net) | | | 18.54% | | | | 14.40% | | | | 11.85% | |
1 Average annual returns. Please keep in mind that high, double-digit returns are highly unusual and cannot be sustained. Investors should also be aware that these returns were primarily achieved during favorable market conditions. | |
| | | | | | | | | | | | |
The Portfolio’s current prospectus fee table shows the Portfolio’s total annual operating expense ratios as 1.01% and 1.26% for Class A and Class B shares, respectively, gross of any fee waivers or expense reimbursements. Contractual fee waivers and/or expense reimbursements limit the Portfolio’s annual operating expense ratios to 0.95% and 1.20% for Class A and Class B shares, respectively. These waivers/reimbursements may not be terminated before May 1, 2022, and may be extended by the Adviser for additional one-year terms. Absent reimbursements or waivers, performance would have been lower. The Financial Highlights section of this report sets forth expense ratio data for the current reporting period; the expense ratios shown above may differ from the expense ratios in the Financial Highlights section since they are based on different time periods.
GROWTH OF A $10,000 INVESTMENT
12/31/2011 TO 12/31/2021 (unaudited)
This chart illustrates the total value of an assumed $10,000 investment in Global Thematic Growth Portfolio Class A shares (from 12/31/2011 to 12/31/2021) as compared to the performance of the Portfolio’s benchmark. The chart assumes the reinvestment of dividends and capital gains distributions.
See Disclosures, Risks and Note About Historical Performance on pages 3-4.
5
| | |
|
| GLOBAL THEMATIC GROWTH PORTFOLIO |
| |
| EXPENSE EXAMPLE (unaudited) | | AB Variable Products Series Fund |
As a shareholder of the Portfolio, you incur two types of costs: (1) transaction costs, including sales charges (loads) on purchase payments, contingent deferred sales charges on redemptions and (2) ongoing costs, including management fees; distribution (12b-1) fees; and other Portfolio expenses. This example is intended to help you understand your ongoing costs (in dollars) of investing in the Portfolio and to compare these costs with the ongoing costs of investing in other mutual funds.
The Example is based on an investment of $1,000 invested at the beginning of the period and held for the entire period as indicated below.
Actual Expenses
The first line of each class’ table below provides information about actual account values and actual expenses. You may use the information in this line, together with the amount you invested, to estimate the expenses that you paid over the period. Simply divide your account value by $1,000 (for example, an $8,600 account value divided by $1,000 = 8.6), then multiply the result by the number in the first line under the heading entitled “Expenses Paid During Period” to estimate the expenses you paid on your account during this period. The estimate of expenses does not include fees or other expenses of any variable insurance product. If such expenses were included, the estimate of expenses you paid during the period would be higher and your ending account value would be lower.
Hypothetical Example for Comparison Purposes
The second line of each class’ table below provides information about hypothetical account values and hypothetical expenses based on the Portfolio’s actual expense ratio and an assumed annual rate of return of 5% before expenses, which is not the Portfolio’s actual return. The hypothetical account values and expenses may not be used to estimate the actual ending account balance or expenses you paid for the period. You may use this information to compare the ongoing costs of investing in the Portfolio and other funds by comparing this 5% hypothetical example with the 5% hypothetical examples that appear in the shareholder reports of other funds. The estimate of expenses does not include fees or other expenses of any variable insurance product. If such expenses were included, the estimate of expenses you paid during the period would be higher and your ending account value would be lower.
Please note that the expenses shown in the table are meant to highlight your ongoing costs only and do not reflect any transactional costs, such as sales charges (loads), or contingent deferred sales charges on redemptions. Therefore, the second line of each classes’ table is useful in comparing ongoing costs only, and will not help you determine the relative total costs of owning different funds. In addition, if these transactional costs were included, your costs would have been higher.
| | | | | | | | | | | | | | | | |
| | | Beginning
Account Value
July 1, 2021 | | | Ending
Account Value
December 31, 2021 | | | Expenses Paid
During Period* | | | Annualized
Expense Ratio* | |
Class A | | | | | | | | | | | | | | | | |
Actual | | $ | 1,000 | | | $ | 1,112.00 | | | $ | 4.68 | | | | 0.88 | % |
Hypothetical (5% annual return before expenses) | | $ | 1,000 | | | $ | 1,020.77 | | | $ | 4.48 | | | | 0.88 | % |
| | | | | | | | | | | | | | | | |
Class B | | | | | | | | | | | | |
Actual | | $ | 1,000 | | | $ | 1,110.60 | | | $ | 6.01 | | | | 1.13 | % |
Hypothetical (5% annual return before expenses) | | $ | 1,000 | | | $ | 1,019.51 | | | $ | 5.75 | | | | 1.13 | % |
| * | | Expenses are equal to each classes’ annualized expense ratios, multiplied by the average account value over the period, multiplied by 184/365 (to reflect the one-half year period). |
6
| | |
| GLOBAL THEMATIC GROWTH PORTFOLIO |
| TEN LARGEST HOLDINGS1 | | |
| |
| December 31, 2021 (unaudited) | | AB Variable Products Series Fund |
| | | | | | | | |
| COMPANY | | U.S. $ VALUE | | | PERCENT OF NET ASSETS | |
SVB Financial Group | | $ | 6,287,285 | | | | 2.9 | % |
Waste Management, Inc. | | | 5,602,833 | | | | 2.5 | |
Lumentum Holdings, Inc. | | | 5,570,377 | | | | 2.5 | |
Laboratory Corp. of America Holdings | | | 5,527,268 | | | | 2.5 | |
Calix, Inc. | | | 5,419,487 | | | | 2.5 | |
Danaher Corp. | | | 5,415,505 | | | | 2.5 | |
Erste Group Bank AG | | | 5,319,984 | | | | 2.4 | |
MSCI, Inc.—Class A | | | 5,263,007 | | | | 2.4 | |
Motorola Solutions, Inc. | | | 5,170,451 | | | | 2.3 | |
Rockwell Automation, Inc. | | | 4,999,020 | | | | 2.3 | |
| | | | | | | | | |
| | | $ | 54,575,217 | | | | 24.8 | % |
SECTOR BREAKDOWN2
December 31, 2021 (unaudited)
| | | | | | | | |
| SECTOR | | U.S. $ VALUE | | | PERCENT OF TOTAL INVESTMENTS | |
Information Technology | | $ | 66,633,365 | | | | 30.2 | % |
Industrials | | | 43,331,854 | | | | 19.7 | |
Health Care | | | 42,167,214 | | | | 19.1 | |
Financials | | | 27,027,909 | | | | 12.3 | |
Consumer Discretionary | | | 16,853,186 | | | | 7.6 | |
Utilities | | | 8,666,110 | | | | 3.9 | |
Materials | | | 6,561,309 | | | | 3.0 | |
Consumer Staples | | | 2,538,762 | | | | 1.2 | |
Short-Term Investments | | | 6,674,164 | | | | 3.0 | |
| | | | | | | | | |
Total Investments | | $ | 220,453,873 | | | | 100.0 | % |
| 2 | | The Portfolio’s sector breakdown is expressed as a percentage of total investments and may vary over time. The Portfolio 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). |
Please note: The sector classifications presented herein are based on the Global Industry Classification Standard (GICS) which was developed by Morgan Stanley Capital International and Standard & Poor’s. The components are divided into sector, industry group, and industry sub-indices as classified by the GICS for each of the market capitalization indices in the broad market. These sector classifications are broadly defined. The “Portfolio of Investments” section of the report reflects more specific industry information and is consistent with the investment restrictions discussed in the Portfolio’s prospectus.
7
| | |
| GLOBAL THEMATIC GROWTH PORTFOLIO |
| COUNTRY BREAKDOWN1 | | |
| |
| December 31, 2021 (unaudited) | | AB Variable Products Series Fund |
| | | | | | | | |
| COUNTRY | | U.S. $ VALUE | | | PERCENT OF TOTAL INVESTMENTS | |
United States | | $ | 132,167,422 | | | | 60.0 | % |
Netherlands | | | 14,733,531 | | | | 6.7 | |
Switzerland | | | 7,987,544 | | | | 3.6 | |
India | | | 7,747,318 | | | | 3.5 | |
Denmark | | | 7,369,512 | | | | 3.3 | |
Japan | | | 6,756,780 | | | | 3.1 | |
Germany | | | 6,630,503 | | | | 3.0 | |
Austria | | | 5,319,984 | | | | 2.4 | |
France | | | 4,568,404 | | | | 2.1 | |
Norway | | | 4,042,359 | | | | 1.8 | |
Taiwan | | | 3,432,761 | | | | 1.6 | |
United Kingdom | | | 3,123,068 | | | | 1.4 | |
Sweden | | | 2,749,021 | | | | 1.2 | |
Other | | | 7,151,502 | | | | 3.3 | |
Short-Term Investments | | | 6,674,164 | | | | 3.0 | |
| | | | | | | | | |
Total Investments | | $ | 220,453,873 | | | | 100.0 | % |
| 1 | | All data are as of December 31, 2021. The Portfolio’s country breakdown is expressed as a percentage of total investments and may vary over time. “Other” country weightings represent 1.2% or less in the following: Argentina, China, Hong Kong and United Arab Emirates. |
8
| | |
| GLOBAL THEMATIC GROWTH PORTFOLIO |
| PORTFOLIO OF INVESTMENTS | | |
| |
| December 31, 2021 | | AB Variable Products Series Fund |
| | | | | | | | |
| Company | | Shares | | | U.S. $ Value | |
| | | | | | | | |
COMMON STOCKS–97.0% | | | | | | | | |
INFORMATION TECHNOLOGY–30.2% | | | | | | | | |
COMMUNICATIONS EQUIPMENT–8.6% | | | | | | | | |
Calix, Inc.(a) | | | 67,769 | | | $ | 5,419,487 | |
Lumentum Holdings, Inc.(a) | | | 52,665 | | | | 5,570,377 | |
Motorola Solutions, Inc. | | | 19,030 | | | | 5,170,451 | |
Telefonaktiebolaget LM Ericsson–Class B | | | 249,842 | | | | 2,749,021 | |
| | | | | | | | |
| | | | | | | 18,909,336 | |
| | | | | | | | |
ELECTRONIC EQUIPMENT, INSTRUMENTS & COMPONENTS–2.1% | | | | | | | | |
Flex Ltd.(a) | | | 252,400 | | | | 4,626,492 | |
| | | | | | | | |
IT SERVICES–4.1% | | | | | | | | |
Adyen NV(a) | | | 1,285 | | | | 3,373,125 | |
Block, Inc.–Class A(a) | | | 11,289 | | | | 1,823,286 | |
Network International Holdings PLC(a)(b) | | | 263,150 | | | | 1,040,778 | |
Visa, Inc.–Class A | | | 12,640 | | | | 2,739,214 | |
| | | | | | | | |
| | | | | | | 8,976,403 | |
| | | | | | | | |
SEMICONDUCTORS & SEMICONDUCTOR EQUIPMENT–6.5% | | | | | | | | |
Infineon Technologies AG | | | 88,510 | | | | 4,074,864 | |
MediaTek, Inc. | | | 80,000 | | | | 3,432,761 | |
NXP Semiconductors NV | | | 17,700 | | | | 4,031,706 | |
Wolfspeed, Inc.(a) | | | 25,150 | | | | 2,811,015 | |
| | | | | | | | |
| | | | | | | 14,350,346 | |
| | | | | | | | |
SOFTWARE–6.9% | | | | | | | | |
Adobe, Inc.(a) | | | 7,180 | | | | 4,071,491 | |
Coinbase Global, Inc.(a) | | | 7,620 | | | | 1,923,059 | |
Dassault Systemes SE | | | 76,980 | | | | 4,568,404 | |
Microsoft Corp. | | | 13,920 | | | | 4,681,575 | |
| | | | | | | | |
| | | | | | | 15,244,529 | |
| | | | | | | | |
TECHNOLOGY HARDWARE, STORAGE & PERIPHERALS–2.0% | | | | | | | | |
Apple, Inc. | | | 25,490 | | | | 4,526,259 | |
| | | | | | | | |
| | | | | | | 66,633,365 | |
| | | | | | | | |
INDUSTRIALS–19.7% | | | | | | | | |
AEROSPACE & DEFENSE–1.2% | | | | | | | | |
Hexcel Corp.(a) | | | 52,390 | | | | 2,713,802 | |
| | | | | | | | |
BUILDING PRODUCTS–2.0% | | | | | | | | |
Trex Co., Inc.(a) | | | 32,680 | | | | 4,412,780 | |
| | | | | | | | |
COMMERCIAL SERVICES & SUPPLIES–5.8% | | | | | | | | |
Tetra Tech, Inc. | | | 18,180 | | | | 3,086,964 | |
TOMRA Systems ASA | | | 56,530 | | | | 4,042,359 | |
Waste Management, Inc. | | | 33,570 | | | | 5,602,833 | |
| | | | | | | | |
| | | | | | | 12,732,156 | |
| | | | | | | | |
| | | | | | | | |
ELECTRICAL EQUIPMENT–5.2% | | | | | | | | |
Rockwell Automation, Inc. | | | 14,330 | | | | 4,999,020 | |
Schneider Electric SE | | | 18,310 | | | | 3,599,662 | |
Vestas Wind Systems A/S | | | 94,400 | | | | 2,874,964 | |
| | | | | | | | |
| | | | | | | 11,473,646 | |
| | | | | | | | |
MACHINERY–3.9% | | | | | | | | |
Deere & Co. | | | 7,050 | | | | 2,417,374 | |
SMC Corp. | | | 5,000 | | | | 3,379,290 | |
Xylem, Inc./NY | | | 23,560 | | | | 2,825,315 | |
| | | | | | | | |
| | | | | | | 8,621,979 | |
| | | | | | | | |
PROFESSIONAL SERVICES–1.6% | | | | | | | | |
Recruit Holdings Co., Ltd. | | | 55,500 | | | | 3,377,491 | |
| | | | | | | | |
| | | | | | | 43,331,854 | |
| | | | | | | | |
HEALTH CARE–19.1% | | | | | | | | |
BIOTECHNOLOGY–1.4% | | | | | | | | |
Abcam PLC(a) | | | 133,140 | | | | 3,123,068 | |
| | | | | | | | |
HEALTH CARE EQUIPMENT & SUPPLIES–6.1% | | | | | | | | |
Alcon, Inc. | | | 39,650 | | | | 3,497,342 | |
Becton Dickinson and Co. | | | 10,670 | | | | 2,683,291 | |
Koninklijke Philips NV | | | 83,070 | | | | 3,074,554 | |
STERIS PLC | | | 17,441 | | | | 4,245,314 | |
| | | | | | | | |
| | | | | | | 13,500,501 | |
| | | | | | | | |
HEALTH CARE PROVIDERS & SERVICES–4.4% | | | | | | | | |
Apollo Hospitals Enterprise Ltd. | | | 62,811 | | | | 4,237,736 | |
Laboratory Corp. of America Holdings(a) | | | 17,591 | | | | 5,527,268 | |
| | | | | | | | |
| | | | | | | 9,765,004 | |
| | | | | | | | |
LIFE SCIENCES TOOLS & SERVICES–7.2% | | | | | | | | |
Bio-Rad Laboratories, Inc.–Class A(a) | | | 5,760 | | | | 4,352,083 | |
Bruker Corp. | | | 41,180 | | | | 3,455,414 | |
Danaher Corp. | | | 16,460 | | | | 5,415,505 | |
Gerresheimer AG | | | 26,580 | | | | 2,555,639 | |
| | | | | | | | |
| | | | | | | 15,778,641 | |
| | | | | | | | |
| | | | | | | 42,167,214 | |
| | | | | | | | |
FINANCIALS–12.3% | | | | | | | | |
BANKS–6.9% | | | | | | | | |
Erste Group Bank AG | | | 113,480 | | | | 5,319,984 | |
HDFC Bank Ltd. | | | 177,085 | | | | 3,509,582 | |
SVB Financial Group(a) | | | 9,270 | | | | 6,287,285 | |
| | | | | | | | |
| | | | | | | 15,116,851 | |
| | | | | | | | |
CAPITAL MARKETS–4.4% | | | | | | | | |
MSCI, Inc.–Class A | | | 8,590 | | | | 5,263,007 | |
Partners Group Holding AG | | | 2,720 | | | | 4,490,202 | |
| | | | | | | | |
| | | | | | | 9,753,209 | |
| | | | | | | | |
9
| | |
| GLOBAL THEMATIC GROWTH PORTFOLIO |
| PORTFOLIO OF INVESTMENTS | | |
| |
| (continued) | | AB Variable Products Series Fund |
| | | | | | | | |
| Company | | Shares | | | U.S. $ Value | |
| | | | | | | | |
INSURANCE–1.0% | | | | | | | | |
AIA Group Ltd. | | | 213,800 | | | $ | 2,157,849 | |
| | | | | | | | |
| | | | | | | 27,027,909 | |
| | | | | | | | |
CONSUMER DISCRETIONARY–7.6% | | | | | | | | |
AUTO COMPONENTS–1.6% | | | | | | | | |
Aptiv PLC(a) | | | 21,431 | | | | 3,535,043 | |
| | | | | | | | |
AUTOMOBILES–1.2% | | | | | | | | |
BYD Co., Ltd.–Class H | | | 77,000 | | | | 2,604,475 | |
| | | | | | | | |
HOUSEHOLD DURABLES–2.2% | | | | | | | | |
TopBuild Corp.(a) | | | 17,603 | | | | 4,856,844 | |
| | | | | | | | |
INTERNET & DIRECT MARKETING RETAIL–0.6% | | | | | | | | |
MercadoLibre, Inc.(a) | | | 1,000 | | | | 1,348,400 | |
| | | | | | | | |
TEXTILES, APPAREL & LUXURY GOODS–2.0% | | | | | | | | |
NIKE, Inc.–Class B | | | 27,050 | | | | 4,508,424 | |
| | | | | | | | |
| | | | | | | 16,853,186 | |
| | | | | | | | |
UTILITIES–3.9% | | | | | | | | |
ELECTRIC UTILITIES–2.7% | | | | | | | | |
NextEra Energy, Inc. | | | 40,530 | | | | 3,783,881 | |
Orsted AS | | | 17,080 | | | | 2,187,385 | |
| | | | | | | | |
| | | | | | | 5,971,266 | |
| | | | | | | | |
WATER UTILITIES–1.2% | | | | | | | | |
American Water Works Co., Inc. | | | 14,269 | | | | 2,694,844 | |
| | | | | | | | |
| | | | | | | 8,666,110 | |
| | | | | | | | |
| | | | | | | | |
MATERIALS–3.0% | | | | | | | | |
CHEMICALS–3.0% | | | | | | | | |
Chr Hansen Holding A/S | | | 29,260 | | | | 2,307,162 | |
Koninklijke DSM NV | | | 18,890 | | | | 4,254,147 | |
| | | | | | | | |
| | | | | | | 6,561,309 | |
| | | | | | | | |
CONSUMER STAPLES–1.2% | | | | | | | | |
HOUSEHOLD PRODUCTS–1.2% | | | | | | | | |
Procter & Gamble Co. (The) | | | 15,520 | | | | 2,538,762 | |
| | | | | | | | |
Total Common Stocks
(cost $126,019,685) | | | | | | | 213,779,709 | |
| | | | | | | | |
SHORT-TERM INVESTMENTS–3.0% | | | | | | | | |
INVESTMENT COMPANIES–3.0% | | | | | | | | |
AB Fixed Income Shares, Inc.–Government Money Market Portfolio–Class AB, 0.01%(c)(d)(e)
(cost $6,674,164) | | | 6,674,164 | | | | 6,674,164 | |
| | | | | | | | |
TOTAL INVESTMENTS–100.0%
(cost $132,693,849) | | | | | | | 220,453,873 | |
Other assets less liabilities–0.0% | | | | | | | 77,265 | |
| | | | | | | | |
NET ASSETS–100.0% | | | | | | $ | 220,531,138 | |
| | | | | | | | |
FORWARD CURRENCY EXCHANGE CONTRACTS (see Note D)
| | | | | | | | | | | | | | | | | | | | | | | | |
| Counterparty | | Contracts to
Deliver
(000) | | | In Exchange
For
(000) | | | Settlement
Date | | | Unrealized
Appreciation/
(Depreciation) | |
Bank of America, NA | | | USD | | | | 749 | | | | EUR | | | | 664 | | | | 02/10/2022 | | | $ | 7,275 | |
Barclays Bank PLC | | | INR | | | | 378,776 | | | | USD | | | | 5,052 | | | | 01/07/2022 | | | | (36,796 | ) |
Barclays Bank PLC | | | USD | | | | 325 | | | | INR | | | | 24,608 | | | | 01/07/2022 | | | | 5,356 | |
Barclays Bank PLC | | | NOK | | | | 8,769 | | | | USD | | | | 989 | | | | 01/20/2022 | | | | (6,682 | ) |
Barclays Bank PLC | | | USD | | | | 6,196 | | | | CAD | | | | 7,808 | | | | 02/10/2022 | | | | (24,035 | ) |
Barclays Bank PLC | | | USD | | | | 642 | | | | RUB | | | | 47,981 | | | | 03/02/2022 | | | | (7,354 | ) |
BNP Paribas SA | | | HKD | | | | 6,152 | | | | USD | | | | 790 | | | | 02/10/2022 | | | | 1,023 | |
Citibank, NA | | | USD | | | | 3,005 | | | | KRW | | | | 3,545,961 | | | | 01/20/2022 | | | | (24,528 | ) |
Citibank, NA | | | USD | | | | 776 | | | | TWD | | | | 21,719 | | | | 01/20/2022 | | | | 8,773 | |
Citibank, NA | | | USD | | | | 5,720 | | | | JPY | | | | 651,152 | | | | 02/09/2022 | | | | (58,093 | ) |
Citibank, NA | | | USD | | | | 1,239 | | | | EUR | | | | 1,098 | | | | 02/10/2022 | | | | 12,400 | |
Citibank, NA | | | CNH | | | | 2,694 | | | | USD | | | | 423 | | | | 02/17/2022 | | | | 273 | |
Deutsche Bank AG | | | BRL | | | | 5,081 | | | | USD | | | | 900 | | | | 01/04/2022 | | | | (11,960 | ) |
Deutsche Bank AG | | | USD | | | | 910 | | | | BRL | | | | 5,081 | | | | 01/04/2022 | | | | 1,716 | |
Deutsche Bank AG | | | USD | | | | 894 | | | | BRL | | | | 5,081 | | | | 02/02/2022 | | | | 12,044 | |
10
| | |
| |
| | | AB Variable Products Series Fund |
| | | | | | | | | | | | | | | | | | | | | | | | |
| Counterparty | | Contracts to
Deliver
(000) | | | In Exchange
For
(000) | | | Settlement
Date | | | Unrealized
Appreciation/
(Depreciation) | |
Deutsche Bank AG | | | EUR | | | | 16,996 | | | | USD | | | | 19,650 | | | | 02/10/2022 | | | $ | 285,249 | |
Goldman Sachs Bank USA | | | USD | | | | 5,659 | | | | CNH | | | | 36,278 | | | | 02/17/2022 | | | | 27,713 | |
JPMorgan Chase Bank, NA | | | NOK | | | | 5,506 | | | | USD | | | | 643 | | | | 01/20/2022 | | | | 18,224 | |
Morgan Stanley Capital Services, Inc. | | | USD | | | | 548 | | | | INR | | | | 41,501 | | | | 01/07/2022 | | | | 9,294 | |
Morgan Stanley Capital Services, Inc. | | | USD | | | | 729 | | | | ZAR | | | | 11,611 | | | | 01/25/2022 | | | | (2,783 | ) |
Morgan Stanley Capital Services, Inc. | | | USD | | | | 3,357 | | | | AUD | | | | 4,541 | | | | 02/08/2022 | | | | (53,130 | ) |
Morgan Stanley Capital Services, Inc. | | | EUR | | | | 1,136 | | | | USD | | | | 1,286 | | | | 02/10/2022 | | | | (8,434 | ) |
Morgan Stanley Capital Services, Inc. | | | USD | | | | 1,629 | | | | EUR | | | | 1,440 | | | | 02/10/2022 | | | | 11,218 | |
Natwest Markets PLC | | | NOK | | | | 12,176 | | | | USD | | | | 1,427 | | | | 01/20/2022 | | | | 44,497 | |
Standard Chartered Bank | | | INR | | | | 28,571 | | | | USD | | | | 382 | | | | 01/07/2022 | | | | (2,185 | ) |
Standard Chartered Bank | | | USD | | | | 1,143 | | | | INR | | | | 85,791 | | | | 01/07/2022 | | | | 9,518 | |
Standard Chartered Bank | | | TWD | | | | 7,197 | | | | USD | | | | 259 | | | | 01/20/2022 | | | | (726 | ) |
State Street Bank & Trust Co. | | | CHF | | | | 2,317 | | | | USD | | | | 2,525 | | | | 01/13/2022 | | | | (17,909 | ) |
State Street Bank & Trust Co. | | | USD | | | | 543 | | | | CHF | | | | 499 | | | | 01/13/2022 | | | | 4,507 | |
State Street Bank & Trust Co. | | | GBP | | | | 291 | | | | USD | | | | 387 | | | | 01/14/2022 | | | | (6,991 | ) |
State Street Bank & Trust Co. | | | NOK | | | | 2,924 | | | | USD | | | | 350 | | | | 01/20/2022 | | | | 18,327 | |
State Street Bank & Trust Co. | | | JPY | | | | 94,820 | | | | USD | | | | 836 | | | | 02/09/2022 | | | | 11,508 | |
State Street Bank & Trust Co. | | | USD | | | | 497 | | | | JPY | | | | 56,425 | | | | 02/09/2022 | | | | (6,368 | ) |
State Street Bank & Trust Co. | | | USD | | | | 336 | | | | HKD | | | | 2,616 | | | | 02/10/2022 | | | | (246 | ) |
UBS AG | | | BRL | | | | 5,081 | | | | USD | | | | 910 | | | | 01/04/2022 | | | | (1,716 | ) |
UBS AG | | | USD | | | | 901 | | | | BRL | | | | 5,081 | | | | 01/04/2022 | | | | 11,700 | |
UBS AG | | | USD | | | | 3,135 | | | | GBP | | | | 2,311 | | | | 01/14/2022 | | | | (7,391 | ) |
UBS AG | | | EUR | | | | 1,202 | | | | USD | | | | 1,361 | | | | 02/10/2022 | | | | (8,165 | ) |
| | | | | | | | | | | | | | | | | | | | | | | | |
| | | $ | 215,123 | |
| | | | | | | | | | | | | | | | | | | | | | | | |
| (a) | | Non-income producing security. |
| (b) | | Security is exempt from registration under Rule 144A or Regulation S of the Securities Act of 1933. This security is considered restricted, but liquid and may be resold in transactions exempt from registration. At December 31, 2021, the market value of this security amounted to $1,040,778 or 0.5% of net assets. |
| (c) | | Affiliated investments. |
| (d) | | The rate shown represents the 7-day yield as of period end. |
| (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, or call AB at (800) 227-4618. |
11
| | |
| GLOBAL THEMATIC GROWTH PORTFOLIO |
| PORTFOLIO OF INVESTMENTS | | |
| |
| (continued) | | AB Variable Products Series Fund |
Currency Abbreviations:
AUD—Australian Dollar
BRL—Brazilian Real
CAD—Canadian Dollar
CHF—Swiss Franc
CNH—Chinese Yuan Renminbi (Offshore)
EUR—Euro
GBP—Great British Pound
HKD—Hong Kong Dollar
INR—Indian Rupee
JPY—Japanese Yen
KRW—South Korean Won
NOK—Norwegian Krone
RUB—Russian Ruble
TWD—New Taiwan Dollar
USD—United States Dollar
ZAR—South African Rand
See notes to financial statements.
12
| | |
| GLOBAL THEMATIC GROWTH PORTFOLIO |
| STATEMENT OF ASSETS & LIABILITIES | | |
| |
| December 31, 2021 | | AB Variable Products Series Fund |
| | | | |
ASSETS | | | | |
Investments in securities, at value | | | | |
Unaffiliated issuers (cost $126,019,685) | | $ | 213,779,709 | |
Affiliated issuers (cost $6,674,164) | | | 6,674,164 | |
Foreign currencies, at value (cost $309,899) | | | 312,601 | |
Unrealized appreciation on forward currency exchange contracts | | | 500,615 | |
Unaffiliated dividends receivable | | | 174,994 | |
Receivable for capital stock sold | | | 134,811 | |
Affiliated dividends receivable | | | 37 | |
| | | | |
Total assets | | | 221,576,931 | |
| | | | |
LIABILITIES | | | | |
Foreign capital gains tax payable | | | 353,740 | |
Unrealized depreciation on forward currency exchange contracts | | | 285,492 | |
Advisory fee payable | | | 128,532 | |
Custody and accounting fees payable | | | 79,779 | |
Printing fee payable | | | 53,982 | |
Payable for capital stock redeemed | | | 45,485 | |
Distribution fee payable | | | 31,325 | |
Administrative fee payable | | | 22,471 | |
Transfer Agent fee payable | | | 146 | |
Accrued expenses | | | 44,841 | |
| | | | |
Total liabilities | | | 1,045,793 | |
| | | | |
NET ASSETS | | $ | 220,531,138 | |
| | | | |
COMPOSITION OF NET ASSETS | | | | |
Capital stock, at par | | $ | 4,951 | |
Additional paid-in capital | | | 116,093,440 | |
Distributable earnings | | | 104,432,747 | |
| | | | |
NET ASSETS | | $ | 220,531,138 | |
| | | | |
Net Asset Value Per Share—1 billion shares of capital stock authorized, $.001 par value
| | | | | | | | | | | | |
| Class | | Net Assets | | | Shares
Outstanding | | | Net Asset
Value | |
| | | |
| A | | $ | 70,722,842 | | | | 1,530,784 | | | $ | 46.20 | |
| | | |
| B | | $ | 149,808,296 | | | | 3,420,637 | | | $ | 43.80 | |
See notes to financial statements.
13
| | |
| GLOBAL THEMATIC GROWTH PORTFOLIO |
| STATEMENT OF OPERATIONS | | |
| |
| Year Ended December 31, 2021 | | AB Variable Products Series Fund |
| | | | |
INVESTMENT INCOME | | | | |
Dividends | | | | |
Unaffiliated issuers (net of foreign taxes withheld of $122,836) | | $ | 1,344,206 | |
Affiliated issuers | | | 560 | |
Securities lending income | | | 4,923 | |
| | | | |
| | | 1,349,689 | |
| | | | |
EXPENSES | | | | |
Advisory fee (see Note B) | | | 1,527,308 | |
Distribution fee—Class B | | | 347,451 | |
Transfer agency—Class A | | | 2,098 | |
Transfer agency—Class B | | | 4,507 | |
Custody and accounting | | | 91,282 | |
Administrative | | | 87,441 | |
Printing | | | 60,170 | |
Audit and tax | | | 58,782 | |
Legal | | | 30,445 | |
Directors’ fees | | | 21,059 | |
Miscellaneous | | | 16,522 | |
| | | | |
Total expenses | | | 2,247,065 | |
Less: expenses waived and reimbursed by the Adviser (see Note B) | | | (104,540 | ) |
| | | | |
Net expenses | | | 2,142,525 | |
| | | | |
Net investment loss | | | (792,836 | ) |
| | | | |
REALIZED AND UNREALIZED GAIN ON INVESTMENT AND FOREIGN CURRENCY TRANSACTIONS | | | | |
Net realized gain on: | | | | |
Investment transactions(a) | | | 17,463,865 | |
Forward currency exchange contracts | | | 124,792 | |
Foreign currency transactions | | | 520,859 | |
Net change in unrealized appreciation/depreciation of: | | | | |
Investments(b) | | | 23,924,970 | |
Forward currency exchange contracts | | | 138,989 | |
Foreign currency denominated assets and liabilities | | | 6,297 | |
| | | | |
Net gain on investment and foreign currency transactions | | | 42,179,772 | |
| | | | |
NET INCREASE IN NET ASSETS FROM OPERATIONS | | $ | 41,386,936 | |
| | | | |
| (a) | | Net of foreign realized capital gains taxes of $146,914. |
| (b) | | Net of increase in accrued foreign capital gains taxes on unrealized gains of $358,173. |
See notes to financial statements.
14
| | |
| | |
| GLOBAL THEMATIC GROWTH PORTFOLIO |
| |
| STATEMENT OF CHANGES IN NET ASSETS | | AB Variable Products Series Fund |
| | | | | | | | |
| | | Year Ended
December 31,
2021 | | | Year Ended
December 31,
2020 | |
INCREASE (DECREASE) IN NET ASSETS FROM OPERATIONS | | | | | | | | |
Net investment loss | | $ | (792,836 | ) | | $ | (665,917 | ) |
Net realized gain on investment and foreign currency transactions | | | 18,109,516 | | | | 25,123,789 | |
Net change in unrealized appreciation/depreciation of investments and foreign currency denominated assets and liabilities | | | 24,070,256 | | | | 26,215,492 | |
| | | | | | | | |
Net increase in net assets from operations | | | 41,386,936 | | | | 50,673,364 | |
Distributions to Shareholders | |
Class A | | | (7,534,996 | ) | | | (4,560,500 | ) |
Class B | | | (17,177,009 | ) | | | (9,895,739 | ) |
CAPITAL STOCK TRANSACTIONS | | | | | | | | |
Net increase | | | 18,478,020 | | | | 12,279,122 | |
| | | | | | | | |
Total increase | | | 35,152,951 | | | | 48,496,247 | |
NET ASSETS | | | | | | | | |
Beginning of period | | | 185,378,187 | | | | 136,881,940 | |
| | | | | | | | |
End of period | | $ | 220,531,138 | | | $ | 185,378,187 | |
| | | | | | | | |
See notes to financial statements.
15
| | |
| GLOBAL THEMATIC GROWTH PORTFOLIO |
| NOTES TO FINANCIAL STATEMENTS | | |
| |
| December 31, 2021 | | AB Variable Products Series Fund |
NOTE A: Significant Accounting Policies
The AB Global Thematic Growth Portfolio (the “Portfolio”) is a series of AB Variable Products Series Fund, Inc. (the “Fund”). The Portfolio’s investment objective is long-term growth of capital. The Portfolio is diversified as defined under the Investment Company Act of 1940. The Fund was incorporated in the State of Maryland as an open-end series investment company. The Fund offers 11 separately managed pools of assets which have differing investment objectives and policies. The Portfolio offers Class A and Class B shares. Both classes of shares have identical voting, dividend, liquidating and other rights, except that Class B shares bear a distribution expense and have exclusive voting rights with respect to the Class B distribution plan.
The Portfolio offers and sells its shares only to separate accounts of certain life insurance companies for the purpose of funding variable annuity contracts and variable life insurance policies. Sales are made without a sales charge at the Portfolio’s net asset value per share.
The financial statements have been prepared in conformity with U.S. generally accepted accounting principles (“U.S. GAAP”), which require management to make certain estimates and assumptions that affect the reported amounts of assets and liabilities in the financial statements and amounts of income and expenses during the reporting period. Actual results could differ from those estimates. The Portfolio is an investment company under U.S. GAAP and follows the accounting and reporting guidance applicable to investment companies. The following is a summary of significant accounting policies followed by the Portfolio.
1. Security Valuation
Portfolio securities are valued at their current market value determined on the basis of market quotations or, if market quotations are not readily available or are deemed unreliable, at “fair value” as determined in accordance with procedures established by and under the general supervision of the Fund’s Board of Directors (the “Board”).
In general, the market values of securities which are readily available and deemed reliable are determined as follows: securities listed on a national securities exchange (other than securities listed on the NASDAQ Stock Market, Inc. (“NASDAQ”)) or on a foreign securities exchange are valued at the last sale price at the close of the exchange or foreign securities exchange. If there has been no sale on such day, the securities are valued at the last traded price from the previous day. Securities listed on more than one exchange are valued by reference to the principal exchange on which the securities are traded; securities listed only on NASDAQ are valued in accordance with the NASDAQ Official Closing Price; listed or over the counter (“OTC”) market put or call options are valued at the mid level between the current bid and ask prices. If either a current bid or current ask price is unavailable, AllianceBernstein L.P. (the “Adviser”) will have discretion to determine the best valuation (e.g., last trade price in the case of listed options); open futures are valued using the closing settlement price or, in the absence of such a price, the most recent quoted bid price. If there are no quotations available for the day of valuation, the last available closing settlement price is used; U.S. Government securities and any other debt instruments having 60 days or less remaining until maturity are generally valued at market by an independent pricing vendor, if a market price is available. If a market price is not available, the securities are valued at amortized cost. This methodology is commonly used for short term securities that have an original maturity of 60 days or less, as well as short term securities that had an original term to maturity that exceeded 60 days. In instances when amortized cost is utilized, the Valuation Committee (the “Committee”) must reasonably conclude that the utilization of amortized cost is approximately the same as the fair value of the security. Factors the Committee will consider include, but are not limited to, an impairment of the creditworthiness of the issuer or material changes in interest rates. Fixed-income securities, including mortgage-backed and asset-backed securities, may be valued on the basis of prices provided by a pricing service or at a price obtained from one or more of the major broker-dealers. In cases where broker-dealer quotes are obtained, the Adviser may establish procedures whereby changes in market yields or spreads are used to adjust, on a daily basis, a recently obtained quoted price on a security. Swaps and other derivatives are valued daily, primarily using independent pricing services, independent pricing models using market inputs, as well as third party broker-dealers or counterparties. Open-end mutual funds are valued at the closing net asset value per share, while exchange traded funds are valued at the closing market price per share.
Securities for which market quotations are not readily available (including restricted securities) or are deemed unreliable are valued at fair value as deemed appropriate by the Adviser. Factors considered in making this determination may include, but are not limited to, information obtained by contacting the issuer, analysts, analysis of the issuer’s financial statements or other available documents. In addition, the Portfolio may use fair value pricing for securities primarily traded in non-U.S. markets because most foreign markets close well before the Portfolio values its securities at 4:00 p.m., Eastern Time. The
16
| | |
| |
| | | AB Variable Products Series Fund |
earlier close of these foreign markets gives rise to the possibility that significant events, including broad market moves, may have occurred in the interim and may materially affect the value of those securities. To account for this, the Portfolio generally values many of its foreign equity securities using fair value prices based on third party vendor modeling tools to the extent available.
2. Fair Value Measurements
In accordance with U.S. GAAP regarding fair value measurements, fair value is defined as the price that the Portfolio 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 as described in Note A.1 above). 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 Portfolio. Unobservable inputs reflect the Portfolio’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 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.
17
| | |
| GLOBAL THEMATIC GROWTH PORTFOLIO |
| NOTES TO FINANCIAL STATEMENTS | | |
| |
| (continued) | | AB Variable Products Series Fund |
The following table summarizes the valuation of the Portfolio’s investments by the above fair value hierarchy levels as of December 31, 2021:
| | | | | | | | | | | | | | | | |
| | | Level 1 | | | Level 2 | | | Level 3 | | | Total | |
Investments in Securities: | | | | | | | | | | | | | | | | |
Assets: | |
Common Stocks: | | | | | | | | | | | | | | | | |
Information Technology | | $ | 48,435,190 | | | $ | 18,198,175 | | | $ | –0 | – | | $ | 66,633,365 | |
Industrials | | | 26,058,088 | | | | 17,273,766 | | | | –0 | – | | | 43,331,854 | |
Health Care | | | 28,801,943 | | | | 13,365,271 | | | | –0 | – | | | 42,167,214 | |
Financials | | | 11,550,292 | | | | 15,477,617 | | | | –0 | – | | | 27,027,909 | |
Consumer Discretionary | | | 14,248,711 | | | | 2,604,475 | | | | –0 | – | | | 16,853,186 | |
Utilities | | | 6,478,725 | | | | 2,187,385 | | | | –0 | – | | | 8,666,110 | |
Materials | | | –0 | – | | | 6,561,309 | | | | –0 | – | | | 6,561,309 | |
Consumer Staples | | | 2,538,762 | | | | –0– | | | | –0 | – | | | 2,538,762 | |
Short-Term Investments | | | 6,674,164 | | | | –0– | | | | –0 | – | | | 6,674,164 | |
| | | | | | | | | | | | | | | | |
Total Investments in Securities | | | 144,785,875 | | | | 75,667,998 | (a) | | | –0 | – | | | 220,453,873 | |
Other Financial Instruments(b): | | | | | | | | | | | | | | | | |
Assets: | |
Forward Currency Exchange Contracts | | | –0 | – | | | 500,615 | | | | –0 | – | | | 500,615 | |
Liabilities: | |
Forward Currency Exchange Contracts | | | –0 | – | | | (285,492 | ) | | | –0 | – | | | (285,492 | ) |
| | | | | | | | | | | | | | | | |
Total | | $ | 144,785,875 | | | $ | 75,883,121 | | | $ | –0 | – | | $ | 220,668,996 | |
| | | | | | | | | | | | | | | | |
| (a) | | A significant portion of the Portfolio’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. |
| (b) | | 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. |
3. Currency Translation
Assets and liabilities denominated in foreign currencies and commitments under forward currency exchange contracts are translated into U.S. dollars at the mean of the quoted bid and ask prices of such currencies against the U.S. dollar. Purchases and sales of portfolio securities are translated into U.S. dollars at the rates of exchange prevailing when such securities were acquired or sold. Income and expenses are translated into U.S. dollars at rates of exchange prevailing when accrued.
Net realized gain or loss on foreign currency transactions represents foreign exchange gains and losses from sales and maturities of foreign fixed income investments, holding of foreign currencies, currency gains or losses realized between the trade and settlement dates on foreign investment transactions, and the difference between the amounts of dividends, interest and foreign withholding taxes recorded on the Portfolio’s books and the U.S. dollar equivalent amounts actually received or paid. Net unrealized currency gains and losses from valuing foreign currency denominated assets and liabilities at period end exchange rates are reflected as a component of net unrealized appreciation or depreciation of foreign currency denominated assets and liabilities.
4. Taxes
It is the Portfolio’s policy to meet the requirements of the Internal Revenue Code applicable to regulated investment companies and to distribute all of its investment company taxable income and net realized gains, if any, to shareholders. Therefore, no provisions for federal income or excise taxes are required. The Portfolio may be subject to taxes imposed by countries in which it invests. Such taxes are generally based on income and/or capital gains earned or repatriated. Taxes are accrued and applied to net investment income, net realized gains and net unrealized appreciation/depreciation as such income and/or gains are earned.
In accordance with U.S. GAAP requirements regarding accounting for uncertainties in income taxes, management has analyzed the Portfolio’s tax positions taken or expected to be taken on federal and state income tax returns for all open tax years (the current and the prior three tax years) and has concluded that no provision for income tax is required in the Portfolio’s financial statements.
18
| | |
| |
| | | AB Variable Products Series Fund |
5. Investment Income and Investment Transactions
Dividend income is recorded on the ex-dividend date or as soon as the Portfolio is informed of the dividend. Interest income is accrued daily. Investment transactions are accounted for on the date the securities are purchased or sold. Investment gains or losses are determined on the identified cost basis. The Portfolio amortizes premiums and accretes discounts as adjustments to interest income. The Portfolio accounts for distributions received from REIT investments or from regulated investment companies as dividend income, realized gain, or return of capital based on information provided by the REIT or the investment company.
6. Class Allocations
All income earned and expenses incurred by the Portfolio are borne on a pro-rata basis by each outstanding class of shares, based on the proportionate interest in the Portfolio represented by the net assets of such class, except for class specific expenses which are allocated to the respective class. Expenses of the Fund are charged proportionately to each portfolio or based on other appropriate methods. Realized and unrealized gains and losses are allocated among the various share classes based on respective net assets.
7. Dividends and Distributions
Dividends and distributions to shareholders, if any, are recorded on the ex-dividend date. Income dividends and capital gains distributions are determined in accordance with federal tax regulations and may differ from those determined in accordance with U.S. GAAP. To the extent these differences are permanent, such amounts are reclassified within the capital accounts based on their federal tax basis treatment; temporary differences do not require such reclassification.
NOTE B: Advisory Fee and Other Transactions with Affiliates
Under the terms of the investment advisory agreement, the Portfolio pays the Adviser an advisory fee at an annual rate of .75% of the first $2.5 billion, .65% of the next $2.5 billion and .60% in excess of $5 billion, of the Portfolio’s average daily net assets. The fee is accrued daily and paid monthly. The Adviser has contractually agreed to waive its management fee and/or bear expenses of the Portfolio in order to reduce the Portfolio’s total operating expenses by an amount equal to .05% on an annual basis of the average net assets for Class A and Class B. For the year ended December 31, 2021, such reimbursements/waivers amounted to $101,820. This fee waiver and/or expense reimbursement agreement extends through May 1, 2022 and then may be extended by the Adviser for additional one-year terms.
Pursuant to the investment advisory agreement, the Portfolio may reimburse the Adviser for certain legal and accounting services provided to the Portfolio by the Adviser. For the year ended December 31, 2021, the reimbursement for such services amounted to $87,441.
The Portfolio compensates AllianceBernstein Investor Services, Inc. (“ABIS”), a wholly-owned subsidiary of the Adviser, under a Transfer Agency Agreement for providing personnel and facilities to perform transfer agency services for the Portfolio. Such compensation retained by ABIS amounted to $1,636 for the year ended December 31, 2021.
The Portfolio may invest in AB Government Money Market Portfolio (the “Government Money Market Portfolio”) which has a contractual annual advisory fee rate of .20% of the portfolio’s average daily net assets and bears its own expenses. The Adviser has contractually agreed to waive .10% of the advisory fee of Government Money Market Portfolio (resulting in a net advisory fee of .10%) until August 31, 2022. In connection with the investment by the Portfolio in Government Money Market Portfolio, the Adviser has contractually agreed to waive its advisory fee from the Portfolio in an amount equal to the Portfolio’s pro rata share of the effective advisory fee of Government Money Market Portfolio, as borne indirectly by the Portfolio as an acquired fund fee and expense. For the year ended December 31, 2021, such waiver amounted to $2,720.
19
| | |
| GLOBAL THEMATIC GROWTH PORTFOLIO |
| NOTES TO FINANCIAL STATEMENTS | | |
| |
| (continued) | | AB Variable Products Series Fund |
A summary of the Portfolio’s transactions in AB mutual funds for the year ended December 31, 2021 is as follows:
| | | | | | | | | | | | | | | | | | | | |
Portfolio | | Market Value
12/31/20
(000) | | | Purchases
at Cost
(000) | | | Sales
Proceeds
(000) | | | Market Value
12/31/21
(000) | | | Dividend
Income
(000) | |
Government Money Market Portfolio | | $ | 8,795 | | | $ | 37,001 | | | $ | 39,122 | | | $ | 6,674 | | | $ | 1 | |
Government Money Market Portfolio* | | | –0 | – | | | 5,611 | | | | 5,611 | | | | –0 | – | | | 0 | ** |
| | | | | | | | | | | | | | | | | | | | |
Total | | | | | | | | | | | | | | $ | 6,674 | | | $ | 1 | |
| | | | | | | | | | | | | | | | | | | | |
| * | | Investments of cash collateral for securities lending transactions (see Note E). |
| ** | | Amount is less than $500. |
NOTE C: Distribution Plan
The Portfolio has adopted a Distribution Plan (the “Plan”) for Class B shares pursuant to Rule 12b-1 under the Investment Company Act of 1940. Under the Plan, the Portfolio pays distribution and servicing fees to AllianceBernstein Investments, Inc. (the “Distributor”), a wholly-owned subsidiary of the Adviser, at an annual rate of up to ..50% of the Portfolio’s average daily net assets attributable to Class B shares. The fees are accrued daily and paid monthly. The Board currently limits payments under the Plan to .25% of the Portfolio’s average daily net assets attributable to Class B shares. The Plan provides that the Distributor will use such payments in their entirety for distribution assistance and promotional activities.
The Portfolio is not obligated under the Plan to pay any distribution and servicing fees in excess of the amounts set forth above. The purpose of the payments to the Distributor under the Plan is to compensate the Distributor for its distribution services with respect to the sale of the Portfolio’s Class B shares. Since the Distributor’s compensation is not directly tied to its expenses, the amount of compensation received by it under the Plan during any year may be more or less than its actual expenses. For this reason, the Plan is characterized by the staff of the Securities and Exchange Commission as being of the “compensation” variety.
In the event that the Plan is terminated or not continued, no distribution or servicing fees (other than current amounts accrued but not yet paid) would be owed by the Portfolio to the Distributor.
The Plan also provides that the Adviser may use its own resources to finance the distribution of the Portfolio’s shares.
NOTE D: Investment Transactions
Purchases and sales of investment securities (excluding short-term investments) for the year ended December 31, 2021 were as follows:
| | | | | | | | |
| | | Purchases | | | Sales | |
Investment securities (excluding U.S. government securities) | | $ | 47,229,812 | | | $ | 51,579,966 | |
U.S. government securities | | | –0 | – | | | –0 | – |
The cost of investments for federal income tax purposes, gross unrealized appreciation and unrealized depreciation are as follows:
| | | | |
Cost | | $ | 133,056,566 | |
| | | | |
Gross unrealized appreciation | | $ | 91,084,958 | |
Gross unrealized depreciation | | | (3,678,827 | ) |
| | | | |
Net unrealized appreciation | | $ | 87,406,131 | |
| | | | |
1. Derivative Financial Instruments
The Portfolio may use derivatives in an effort to earn income and enhance returns, to replace more traditional direct investments, to obtain exposure to otherwise inaccessible markets (collectively, “investment purposes”), or to hedge or adjust the risk profile of its portfolio.
The principal type of derivative utilized by the Portfolio, as well as the methods in which they may be used are:
| | • | | Forward Currency Exchange Contracts |
The Portfolio may enter into forward currency exchange contracts in order to hedge its exposure to changes in foreign currency exchange rates on its foreign portfolio holdings, to hedge certain firm purchase and sale
20
| | |
| |
| | | AB Variable Products Series Fund |
commitments denominated in foreign currencies and for non-hedging purposes as a means of making direct investments in foreign currencies, as described below under “Currency Transactions”.
A forward currency exchange contract is a commitment to purchase or sell a foreign currency at a future date at a negotiated forward rate. The gain or loss arising from the difference between the original contract and the closing of such contract would be included in net realized gain or loss on forward currency exchange contracts. Fluctuations in the value of open forward currency exchange contracts are recorded for financial reporting purposes as unrealized appreciation and/or depreciation by the Portfolio. Risks may arise from the potential inability of a counterparty to meet the terms of a contract and from unanticipated movements in the value of a foreign currency relative to the U.S. dollar.
During the year ended December 31, 2021, the Portfolio held forward currency exchange contracts for hedging purposes.
The Portfolio typically enters into International Swaps and Derivatives Association, Inc. Master Agreements (“ISDA Master Agreement”) with its OTC derivative contract counterparties in order to, among other things, reduce its credit risk to OTC counterparties. ISDA Master Agreements include provisions for general obligations, representations, collateral and events of default or termination. Under an ISDA Master Agreement, the Portfolio typically may offset with the OTC counterparty certain derivative financial instruments’ payables and/or receivables with collateral held and/or posted and create one single net payment (close-out netting) in the event of default or termination. In the event of a default by an OTC counterparty, the return of collateral with market value in excess of the Portfolio’s net liability, held by the defaulting party, may be delayed or denied.
The Portfolio’s ISDA Master Agreements may contain provisions for early termination of OTC derivative transactions in the event the net assets of the Portfolio decline below specific levels (“net asset contingent features”). If these levels are triggered, the Portfolio’s OTC counterparty has the right to terminate such transaction and require the Portfolio to pay or receive a settlement amount in connection with the terminated transaction. If OTC derivatives were held at period end, please refer to netting arrangements by the OTC counterparty table below for additional details.
During the year ended December 31, 2021, the Portfolio had entered into the following derivatives:
| | | | | | | | | | | | |
| | | Asset Derivatives | | | Liability Derivatives | |
Derivative Type | | Statement of
Assets and Liabilities Location | | Fair Value | | | Statement of
Assets and Liabilities Location | | Fair Value | |
Foreign currency contracts | | Unrealized appreciation on forward currency exchange contracts | | $ | 500,615 | | | Unrealized depreciation on forward currency exchange contracts | | $ | 285,492 | |
| | | | | | | | | | | | |
Total | | | | $ | 500,615 | | | | | $ | 285,492 | |
| | | | | | | | | | | | |
| | | | | | | | | | |
Derivative Type | | Location of Gain or (Loss) on Derivatives
Within Statement of Operations | | Realized Gain or
(Loss) on
Derivatives | | | Change in Unrealized
Appreciation or
(Depreciation) | |
Foreign currency contracts | | Net realized gain (loss) on forward currency exchange contracts; Net change in unrealized appreciation/depreciation of forward currency exchange contracts | | $ | 124,792 | | | $ | 138,989 | |
| | | | | | | | | | |
Total | | | | $ | 124,792 | | | $ | 138,989 | |
| | | | | | | | | | |
The following table represents the average monthly volume of the Portfolio’s derivative transactions during the year ended December 31, 2021:
| | | | |
Forward Currency Exchange Contracts: | | | | |
Average principal amount of buy contracts | | $ | 41,704,562 | |
Average principal amount of sale contracts | | $ | 40,869,350 | |
21
| | |
| GLOBAL THEMATIC GROWTH PORTFOLIO |
| NOTES TO FINANCIAL STATEMENTS | | |
| |
| (continued) | | AB Variable Products Series Fund |
For financial reporting purposes, the Portfolio does not offset derivative assets and derivative liabilities that are subject to netting arrangements in the statement of assets and liabilities.
All OTC derivatives held at period end were subject to netting arrangements. The following table presents the Portfolio’s derivative assets and liabilities by OTC counterparty net of amounts available for offset under ISDA Master Agreements (“MA”) and net of the related collateral received/pledged by the Portfolio as of December 31, 2021. Exchange-traded derivatives and centrally cleared swaps are not subject to netting arrangements and as such are excluded from the table.
| | | | | | | | | | | | | | | | | | | | |
Counterparty | | Derivative Assets
Subject to a MA | | | Derivatives
Available for
Offset | | | Cash Collateral
Received* | | | Security Collateral
Received* | | | Net Amount of
Derivative Assets | |
Bank of America, NA | | $ | 7,275 | | | $ | –0 | – | | $ | –0 | – | | $ | –0 | – | | $ | 7,275 | |
Barclays Bank PLC | | | 5,356 | | | | (5,356 | ) | | | –0 | – | | | –0 | – | | | –0 | – |
BNP Paribas SA | | | 1,023 | | | | –0 | – | | | –0 | – | | | –0 | – | | | 1,023 | |
Citibank, NA | | | 21,446 | | | | (21,446 | ) | | | –0 | – | | | –0 | – | | | –0 | – |
Deutsche Bank AG | | | 299,009 | | | | (11,960 | ) | | | –0 | – | | | –0 | – | | | 287,049 | |
Goldman Sachs Bank USA | | | 27,713 | | | | –0 | – | | | –0 | – | | | –0 | – | | | 27,713 | |
JPMorgan Chase Bank, NA | | | 18,224 | | | | –0 | – | | | –0 | – | | | –0 | – | | | 18,224 | |
Morgan Stanley Capital Services, Inc. | | | 20,512 | | | | (20,512 | ) | | | –0 | – | | | –0 | – | | | –0 | – |
Natwest Markets PLC | | | 44,497 | | | | –0 | – | | | –0 | – | | | –0 | – | | | 44,497 | |
Standard Chartered Bank | | | 9,518 | | | | (2,911 | ) | | | –0 | – | | | –0 | – | | | 6,607 | |
State Street Bank & Trust Co. | | | 34,342 | | | | (31,514 | ) | | | –0 | – | | | –0 | – | | | 2,828 | |
UBS AG | | | 11,700 | | | | (11,700 | ) | | | –0 | – | | | –0 | – | | | –0 | – |
| | | | | | | | | | | | | | | | | | | | |
Total | | $ | 500,615 | | | $ | (105,399 | ) | | $ | –0 | – | | $ | –0 | – | | $ | 395,216 | ^ |
| | | | | | | | | | | | | | | | | | | | |
| | | | | |
Counterparty | | Derivative Liabilities
Subject to a MA | | | Derivatives
Available for
Offset | | | Cash Collateral
Pledged* | | | Security Collateral
Pledged* | | | Net Amount of
Derivative Liabilities | |
Barclays Bank PLC | | $ | 74,867 | | | $ | (5,356 | ) | | $ | –0 | – | | $ | –0 | – | | $ | 69,511 | |
Citibank, NA | | | 82,621 | | | | (21,446 | ) | | | –0 | – | | | –0 | – | | | 61,175 | |
Deutsche Bank AG | | | 11,960 | | | | (11,960 | ) | | | –0 | – | | | –0 | – | | | –0 | – |
Morgan Stanley Capital Services, Inc. | | | 64,347 | | | | (20,512 | ) | | | –0 | – | | | –0 | – | | | 43,835 | |
Standard Chartered Bank | | | 2,911 | | | | (2,911 | ) | | | –0 | – | | | –0 | – | | | –0 | – |
State Street Bank & Trust Co. | | | 31,514 | | | | (31,514 | ) | | | –0 | – | | | –0 | – | | | –0 | – |
UBS AG | | | 17,272 | | | | (11,700 | ) | | | –0 | – | | | –0 | – | | | 5,572 | |
| | | | | | | | | | | | | | | | | | | | |
Total | | $ | 285,492 | | | $ | (105,399 | ) | | $ | –0 | – | | $ | –0 | – | | $ | 180,093 | ^ |
| | | | | | | | | | | | | | | | | | | | |
| * | | The actual collateral received/pledged may be more than the amount reported due to over-collateralization. |
| ^ | | Net amount represents the net receivable/payable that would be due from/to the counterparty in the event of default or termination. The net amount from OTC financial derivative instruments can only be netted across transactions governed under the same master agreement with the same counterparty. |
2. Currency Transactions
The Portfolio may invest in non-U.S. Dollar-denominated securities on a currency hedged or unhedged basis. The Portfolio may seek investment opportunities by taking long or short positions in currencies through the use of currency-related derivatives, including forward currency exchange contracts, futures and options on futures, swaps, and other options. The Portfolio may enter into transactions for investment opportunities when it anticipates that a foreign currency will appreciate or depreciate in value but securities denominated in that currency are not held by the Portfolio and do not present attractive investment opportunities. Such transactions may also be used when the Adviser believes that it may be more efficient than a direct investment in a foreign currency-denominated security. The Portfolio may also conduct currency exchange contracts on a spot basis (i.e., for cash at the spot rate prevailing in the currency exchange market for buying or selling currencies).
NOTE E: Securities Lending
The Portfolio may enter into securities lending transactions. Under the Portfolio’s securities lending program, all loans of securities will be collateralized continually by cash collateral and/or non-cash collateral. Non-cash collateral will include only securities issued or guaranteed by the U.S. government or its agencies or instrumentalities. The Portfolio cannot sell or
22
| | |
| |
| | | AB Variable Products Series Fund |
repledge any non-cash collateral, such collateral will not be reflected in the portfolio of investments. If a loan is collateralized by cash, the Portfolio will be compensated for the loan from a portion of the net return from the income earned on cash collateral after a rebate is paid to the borrower (in some cases, this rebate may be a “negative rebate” or fee paid by the borrower to the Portfolio in connection with the loan), and payments are made for fees of the securities lending agent and for certain other administrative expenses. If the Portfolio receives non-cash collateral, the Portfolio will receive a fee from the borrower generally equal to a negotiated percentage of the market value of the loaned securities. The Portfolio will have the right to call a loan and obtain the securities loaned at any time on notice to the borrower within the normal and customary settlement time for the securities. While the securities are on loan, the borrower is obligated to pay the Portfolio amounts equal to any dividend income or other distributions from the securities; however, these distributions will not be afforded the same preferential tax treatment as qualified dividends. The Portfolio will not be able to exercise voting rights with respect to any securities during the existence of a loan, but will have the right to regain ownership of loaned securities in order to exercise voting or other ownership rights. Collateral received and securities loaned are marked to market daily to ensure that the securities loaned are secured by collateral. The lending agent currently invests the cash collateral received in Government Money Market Portfolio, an eligible money market vehicle, in accordance with the investment restrictions of the Portfolio, and as approved by the Board. The collateral received on securities loaned is recorded as an asset as well as a corresponding liability in the statement of assets and liabilities. The collateral will be adjusted the next business day to maintain the required collateral amount. The amounts of securities lending income from the borrowers and Government Money Market Portfolio are reflected in the statement of operations. When the Portfolio earns net securities lending income from Government Money Market Portfolio, the income is inclusive of a rebate expense paid to the borrower. In connection with the cash collateral investment by the Portfolio in Government Money Market Portfolio, the Adviser has agreed to waive a portion of the Portfolio’s share of the advisory fees of Government Money Market Portfolio, as borne indirectly by the Portfolio as an acquired fund fee and expense. When the Portfolio lends securities, its investment performance will continue to reflect changes in the value of the securities loaned. A principal risk of lending portfolio securities is that the borrower may fail to return the loaned securities upon termination of the loan and that the collateral will not be sufficient to replace the loaned securities. The lending agent has agreed to indemnify the Portfolio in the case of default of any securities borrower.
A summary of the Portfolio’s transactions surrounding securities lending for the year ended December 31, 2021 is as follows:
| | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | Government Money Market
Portfolio | |
Market Value of
Securities on Loan* | | | Cash Collateral* | | | Market Value of
Non-Cash
Collateral* | | | Income from
Borrowers | | | Income Earned | | | Advisory Fee
Waived | |
| $ | –0 | – | | $ | –0 | – | | $ | –0 | – | | $ | 4,904 | | | $ | 19 | | | $ | –0 | – |
| * | | As of December 31, 2021. |
NOTE F: Capital Stock
Each class consists of 500,000,000 authorized shares. Transactions in capital shares for each class were as follows:
| | | | | | | | | | | | | | | | | | | | |
| | | SHARES | | | | | | AMOUNT | |
| | | Year Ended
December 31,
2021 | | | Year Ended
December 31,
2020 | | | | | | Year Ended
December 31,
2021 | | | Year Ended
December 31,
2020 | |
Class A | |
Shares sold | | | 168,391 | | | | 200,725 | | | | | | | $ | 7,542,892 | | | $ | 7,348,517 | |
Shares issued in reinvestment of dividends and distributions | | | 173,059 | | | | 127,211 | | | | | | | | 7,534,996 | | | | 4,560,500 | |
Shares redeemed | | | (186,103 | ) | | | (242,399 | ) | | | | | | | (8,388,232 | ) | | | (8,398,976 | ) |
| | | | | | | | | | | | | | | | | | | | |
Net increase | | | 155,347 | | | | 85,537 | | | | | | | $ | 6,689,656 | | | $ | 3,510,041 | |
| | | | | | | | | | | | | | | | | | | | |
Class B | |
Shares sold | | | 519,440 | | | | 515,559 | | | | | | | $ | 22,261,300 | | | $ | 18,322,349 | |
Shares issued in reinvestment of dividends and distributions | | | 415,707 | | | | 288,421 | | | | | | | | 17,177,009 | | | | 9,895,739 | |
Shares redeemed | | | (649,032 | ) | | | (578,470 | ) | | | | | | | (27,649,945 | ) | | | (19,449,007 | ) |
| | | | | | | | | | | | | | | | | | | | |
Net increase | | | 286,115 | | | | 225,510 | | | | | | | $ | 11,788,364 | | | $ | 8,769,081 | |
| | | | | | | | | | | | | | | | | | | | |
23
| | |
| GLOBAL THEMATIC GROWTH PORTFOLIO |
| NOTES TO FINANCIAL STATEMENTS | | |
| |
| (continued) | | AB Variable Products Series Fund |
At December 31, 2021, certain shareholders of the Portfolio owned 57 % in aggregate of the Portfolio’s outstanding shares. Significant transactions by such shareholders, if any, may impact the Portfolio’s performance.
NOTE G: Risks Involved in Investing in the Portfolio
Market Risk—The value of the Portfolio’s assets will fluctuate as the stock or bond market fluctuates. The value of its investments may decline, sometimes rapidly and unpredictably, simply because of economic changes or other events, including public health crises (including the occurrence of a contagious disease or illness), that affect large portions of the market. It includes the risk that a particular style of investing, such as the Portfolio’s growth approach, may underperform the market generally.
Foreign (Non-U.S.) Risk—Investments in securities of non-U.S. issuers may involve more risk than those of U.S. issuers. These securities may fluctuate more widely in price and may be more difficult to trade due to adverse market, economic, political, regulatory or other factors.
Emerging-Market Risk—Investments in emerging market countries may have more risk because the markets are less developed and less liquid, and because these investments may be subject to increased economic, political, regulatory or other uncertainties.
Currency Risk—Fluctuations in currency exchange rates may negatively affect the value of the Portfolio’s investments or reduce its returns.
Capitalization Risk—Investments in mid-capitalization companies may be more volatile than investments in large-capitalization companies. Investments in mid-capitalization companies may have additional risks because these companies have limited product lines, markets or financial resources.
Derivatives Risk—Derivatives may be difficult to price or unwind and leveraged so that small changes may produce disproportionate losses for the Portfolio. Derivatives, especially over-the-counter derivatives, are also subject to counterparty risk, which is the risk that the counterparty (the party on the other side of the transaction) on a derivative transaction will be unable or unwilling to honor its contractual obligation to the Portfolio.
Focused Portfolio Risk—Investments in a limited number of companies may have more risk because changes in the value of a single security may have a more significant effect, either negative or positive, on the Portfolio’s net asset value, or NAV.
Industry/Sector Risk—Investments in a particular sector, industry or group of related industries, such as the information technology or health care sector, may have more risk because market or economic factors affecting that sector or industry could have a significant effect on the value of the Portfolio’s investments.
LIBOR Transition and Associated Risk—A Portfolio may be exposed to debt securities, derivatives or other financial instruments that are tied to the London Interbank Offered Rate, or “LIBOR,” as a “benchmark” or “reference rate” for various interest rate calculations. In 2017, the United Kingdom Financial Conduct Authority (“FCA”), which regulates LIBOR, announced a desire to phase out the use of LIBOR by the end of 2021. The FCA and LIBOR’s administrator, ICE Benchmark Administration, have since announced that most LIBOR settings (which reflect LIBOR rates quoted in different currencies over various time periods) will no longer be published after the end of 2021 but that the most widely used U.S. dollar LIBOR settings will continue to be published until June 30, 2023. However, banks were strongly encouraged to cease entering into agreements with counterparties referencing LIBOR by the end of 2021. It is possible that a subset of LIBOR settings will be published after these dates on a “synthetic” basis, but any such publications would be considered non-representative of the underlying market. The U.S. Federal Reserve, based on the recommendations of the New York Federal Reserve’s Alternative Reference Rate Committee (comprised of major derivative market participants and their regulators), has begun publishing a Secured Overnight Funding Rate (referred to as SOFR), which is intended to replace U.S. dollar LIBOR. Proposals for alternative reference rates for other currencies have also been announced or have already begun publication. Markets are slowly developing in response to these new rates.
The elimination of LIBOR or changes to other reference rates or any other changes or reforms to the determination or supervision of reference rates could have an adverse impact on the market for, or value of, any securities or payments linked to those reference rates, which may adversely affect a Portfolio’s performance and/or net asset value. Uncertainty and risk also remain regarding the willingness and ability of issuers and lenders to include revised provisions in new and existing contracts or instruments. Consequently, the transition away from LIBOR to other reference rates may lead to increased volatility
24
| | |
| |
| | | AB Variable Products Series Fund |
and illiquidity in markets that are tied to LIBOR, fluctuations in values of LIBOR-related investments or investments in issuers that utilize LIBOR, increased difficulty in borrowing or refinancing and diminished effectiveness of hedging strategies, potentially adversely affecting a Portfolio’s performance. Furthermore, the risks associated with the expected discontinuation of LIBOR and transition may be exacerbated if the work necessary to effect an orderly transition to an alternative reference rate is not completed in a timely manner. The potential effects of a phase out of LIBOR on LIBOR-based investments are currently unknown.
Indemnification Risk—In the ordinary course of business, the Portfolio enters into contracts that contain a variety of indemnifications. The Portfolio’s maximum exposure under these arrangements is unknown. However, the Portfolio has not had prior claims or losses pursuant to these indemnification provisions and expects the risk of loss thereunder to be remote. Therefore, the Portfolio has not accrued any liability in connection with these indemnification provisions.
Management Risk—The Portfolio is subject to management risk because it is an actively-managed investment fund. The Adviser will apply its investment techniques and risk analyses in making investment decisions for the Portfolio, but there is no guarantee that its techniques will produce the intended results. Some of these techniques may incorporate, or rely upon, quantitative models, but there is no guarantee that these models will generate accurate forecasts, reduce risk or otherwise perform as expected.
NOTE H: Joint Credit Facility
A number of open-end mutual funds managed by the Adviser, including the Portfolio, participate in a $325 million revolving credit facility (the “Facility”) intended to provide short-term financing related to redemptions and other short term liquidity requirements, subject to certain restrictions. Commitment fees related to the Facility are paid by the participating funds and are included in miscellaneous expenses in the statement of operations. The Portfolio did not utilize the Facility during the year ended December 31, 2021.
NOTE I: Distributions to Shareholders
The tax character of distributions paid during the fiscal years ended December 31, 2021 and December 31, 2020 were as follows:
| | | | | | | | |
| | | 2021 | | | 2020 | |
Distributions paid from: | | | | | | | | |
Ordinary income | | $ | 1,797,950 | | | $ | 1,036,748 | |
Net long-term capital gains | | | 22,914,055 | | | | 13,419,491 | |
| | | | | | | | |
Total taxable distributions paid | | $ | 24,712,005 | | | $ | 14,456,239 | |
| | | | | | | | |
As of December 31, 2021, the components of accumulated earnings/(deficit) on a tax basis were as follows:
| | | | |
Undistributed ordinary income | | $ | 175,923 | |
Undistributed capital gains | | | 17,205,843 | |
Unrealized appreciation/(depreciation) | | | 87,050,981 | (a) |
| | | | |
Total accumulated earnings/(deficit) | | $ | 104,432,747 | |
| | | | |
| (a) | | The differences between book-basis and tax-basis unrealized appreciation/(depreciation) are attributable primarily to the recognition for tax purposes of unrealized gains/losses on certain derivative instruments and the tax deferral of losses on wash sales. |
For tax purposes, net realized capital losses may be carried over to offset future capital gains, if any. Funds are permitted to carry forward capital losses for an indefinite period, and such losses will retain their character as either short-term or long-term capital losses. As of December 31, 2021, the Portfolio did not have any capital loss carryforwards.
During the current fiscal year, there were no permanent differences that resulted in adjustments to distributable earnings or additional paid-in capital.
25
| | |
| GLOBAL THEMATIC GROWTH PORTFOLIO |
| NOTES TO FINANCIAL STATEMENTS | | |
| |
| (continued) | | AB Variable Products Series Fund |
NOTE J: Recent Accounting Pronouncements
In March 2020, the Financial Accounting Standards Board issued an Accounting Standards Update, ASU 2020-04, “Reference Rate Reform (Topic 848)—Facilitation of the Effects of Reference Rate Reform on Financial Reporting.” ASU 2020-04 provides optional guidance to ease the potential accounting burden due to the discontinuation of the LIBOR and other interbank-offered based reference rates. ASU 2020-04 is effective as of March 12, 2020 through December 31, 2022. Management is currently evaluating the impact, if any, of applying ASU 2020-04.
NOTE K: Subsequent Events
At a meeting held on November 2-4, 2021, the Adviser recommended and the Portfolio’s Board of Directors approved certain changes to the Portfolio, including changing the Portfolio’s name to “AB Sustainable Global Thematic Portfolio” and changes to the Portfolio’s principal investment strategies. These changes are addressed in a supplement (dated November 5, 2021) to the Fund’s prospectus and will be effective on or about May 1, 2022.
Management has evaluated subsequent events for possible recognition or disclosure in the financial statements through the date the financial statements are issued. Management has determined that there are no other material events that would require disclosure in the Portfolio’s financial statements through this date.
26
| | |
| | | |
| GLOBAL THEMATIC GROWTH PORTFOLIO |
| |
| FINANCIAL HIGHLIGHTS | | AB Variable Products Series Fund |
Selected Data For A Share Of Capital Stock Outstanding Throughout Each Period
| | | | | | | | | | | | | | | | | | | | |
| | | CLASS A | |
| | | Year Ended December 31, | |
| | | 2021 | | | 2020 | | | 2019 | | | 2018 | | | 2017 | |
Net asset value, beginning of period | | | $42.40 | | | | $33.52 | | | | $27.35 | | | | $30.32 | | | | $22.29 | |
| | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | |
Income From Investment Operations | | | | | | | | | | | | | | | | | | | | |
Net investment income (loss) (a)(b) | | | (.10 | ) | | | (.10 | ) | | | .08 | | | | .11 | | | | .03 | |
Net realized and unrealized gain (loss) on investment and foreign currency transactions | | | 9.46 | | | | 12.64 | | | | 8.00 | | | | (3.08 | ) | | | 8.13 | |
| | | | | | | | | | | | | | | | | | | | |
Net increase (decrease) in net asset value from operations | | | 9.36 | | | | 12.54 | | | | 8.08 | | | | (2.97 | ) | | | 8.16 | |
| | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | |
Less: Dividends and Distributions | | | | | | | | | | | | | | | | | | | | |
Dividends from net investment income | | | –0 | – | | | (.24 | ) | | | (.13 | ) | | | –0 | – | | | (.13 | ) |
Distributions from net realized gain on investment transactions | | | (5.56 | ) | | | (3.42 | ) | | | (1.78 | ) | | | –0 | – | | | –0 | – |
| | | | | | | | | | | | | | | | | | | | |
Total dividends and distributions | | | (5.56 | ) | | | (3.66 | ) | | | (1.91 | ) | | | –0 | – | | | (.13 | ) |
| | | | | | | | | | | | | | | | | | | | |
Net asset value, end of period | | | $46.20 | | | | $42.40 | | | | $33.52 | | | | $27.35 | | | | $30.32 | |
| | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | |
Total Return | | | | | | | | | | | | | | | | | | | | |
Total investment return based on net asset value (c)* | | | 22.87 | % | | | 39.41 | % | | | 30.16 | % | | | (9.79 | )% | | | 36.66 | % |
| | | | | | | | | | | | | | | | | | | | |
Ratios/Supplemental Data | | | | | | | | | | | | | | | | | | | | |
Net assets, end of period (000’s omitted) | | | $70,723 | | | | $58,316 | | | | $43,237 | | | | $35,799 | | | | $40,121 | |
Ratio to average net assets of: | | | | | | | | | | | | | | | | | | | | |
Expenses, net of waivers/reimbursements (d)‡ | | | .88 | % | | | .94 | % | | | .99 | % | | | .99 | % | | | 1.02 | % |
Expenses, before waivers/reimbursements (d)‡ | | | .93 | % | | | 1.00 | % | | | 1.04 | % | | | 1.01 | % | | | 1.02 | % |
Net investment income (loss) (b) | | | (.22 | )% | | | (.29 | )% | | | .27 | % | | | .37 | % | | | .09 | % |
Portfolio turnover rate | | | 24 | % | | | 44 | % | | | 43 | % | | | 32 | % | | | 40 | % |
| | | | | | | | | | | | | | | | | | | | |
‡ Expense ratios exclude the estimated acquired fund fees of the affiliated/unaffiliated underlying | |
portfolios | | | .00 | % | | | .01 | % | | | .00 | % | | | .00 | % | | | .00 | % |
See footnote summary on page 28.
27
| | |
| GLOBAL THEMATIC GROWTH PORTFOLIO |
| FINANCIAL HIGHLIGHTS | | |
| |
| (continued) | | AB Variable Products Series Fund |
Selected Data For A Share Of Capital Stock Outstanding Throughout Each Period
| | | | | | | | | | | | | | | | | | | | |
| | | CLASS B | |
| | | Year Ended December 31, | |
| | | 2021 | | | 2020 | | | 2019 | | | 2018 | | | 2017 | |
Net asset value, beginning of period | | | $40.54 | | | | $32.19 | | | | $26.33 | | | | $29.25 | | | | $21.52 | |
| | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | |
Income From Investment Operations | | | | | | | | | | | | | | | | | | | | |
Net investment income (loss) (a)(b) | | | (.20 | ) | | | (.18 | ) | | | .01 | | | | .04 | | | | (.04 | ) |
Net realized and unrealized gain (loss) on investment and foreign currency transactions | | | 9.02 | | | | 12.11 | | | | 7.68 | | | | (2.96 | ) | | | 7.84 | |
| | | | | | | | | | | | | | | | | | | | |
Net increase (decrease) in net asset value from operations | | | 8.82 | | | | 11.93 | | | | 7.69 | | | | (2.92 | ) | | | 7.80 | |
| | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | |
Less: Dividends and Distributions | | | | | | | | | | | | | | | | | | | | |
Dividends from net investment income | | | –0 | – | | | (.16 | ) | | | (.05 | ) | | | –0 | – | | | (.07 | ) |
Distributions from net realized gain on investment transactions | | | (5.56 | ) | | | (3.42 | ) | | | (1.78 | ) | | | –0 | – | | | –0 | – |
| | | | | | | | | | | | | | | | | | | | |
Total dividends and distributions | | | (5.56 | ) | | | (3.58 | ) | | | (1.83 | ) | | | –0 | – | | | (.07 | ) |
| | | | | | | | | | | | | | | | | | | | |
Net asset value, end of period | | | $43.80 | | | | $40.54 | | | | $32.19 | | | | $26.33 | | | | $29.25 | |
| | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | |
Total Return | | | | | | | | | | | | | | | | | | | | |
Total investment return based on net asset value (c)* | | | 22.57 | % | | | 39.08 | % | | | 29.78 | % | | | (9.98 | )% | | | 36.30 | % |
| | | | | | | | | | | | | | | | | | | | |
Ratios/Supplemental Data | | | | | | | | | | | | | | | | | | | | |
Net assets, end of period (000’s omitted) | | | $149,808 | | | | $127,062 | | | | $93,645 | | | | $80,949 | | | | $106,331 | |
Ratio to average net assets of: | | | | | | | | | | | | | | | | | | | | |
Expenses, net of waivers/reimbursements (d)‡ | | | 1.13 | % | | | 1.19 | % | | | 1.24 | % | | | 1.24 | % | | | 1.26 | % |
Expenses, before waivers/reimbursements (d)‡ | | | 1.18 | % | | | 1.25 | % | | | 1.29 | % | | | 1.25 | % | | | 1.27 | % |
Net investment income (loss) (b) | | | (.47 | )% | | | (.54 | )% | | | .02 | % | | | .13 | % | | | (.15 | )% |
Portfolio turnover rate | | | 24 | % | | | 44 | % | | | 43 | % | | | 32 | % | | | 40 | % |
| | | | | | | | | | | | | | | | | | | | |
‡ Expense ratios exclude the estimated acquired fund fees of the affiliated/unaffiliated underlying | |
portfolios | | | .00 | % | | | .01 | % | | | .00 | % | | | .00 | % | | | .00 | % |
| (a) | | Based on average shares outstanding. |
| (b) | | Net of expenses waived/reimbursed by the Adviser. |
| (c) | | Total investment return is calculated assuming an initial investment made at the net asset value at the beginning of the period, reinvestment of all dividends and distributions at net asset value during the period, and redemption on the last day of the period. Total return does not reflect (i) insurance company’s separate account related expense charges and (ii) the deductions of taxes that a shareholder would pay on Portfolio distributions or the redemption of Portfolio shares. Total investment return calculated for a period of less than one year is not annualized. |
| (d) | | In connection with the Portfolio’s investments in affiliated underlying portfolios, the Portfolio incurs no direct expenses, but bears proportionate shares of the fees and expenses (i.e., operating, administrative and investment advisory fees) of the affiliated underlying portfolios. The Adviser has contractually agreed to waive its fees from the Portfolio in an amount equal to the Portfolio’s pro rata share of certain acquired fund fees and expenses, and for the year ended December 31, 2020, such waiver amounted to .01%. |
| * | | Includes the impact of proceeds received and credited to the Portfolio resulting from class action settlements, which enhanced the Portfolio’s performance for the year ended December 31, 2017 by .04%. |
See notes to financial statements.
28
| | |
| | | |
| REPORT OF INDEPENDENT REGISTERED | | |
| |
| PUBLIC ACCOUNTING FIRM | | AB Variable Products Series Fund |
To the Shareholders and the Board of Directors of AB Global Thematic Growth Portfolio
Opinion on the Financial Statements
We have audited the accompanying statement of assets and liabilities of AB Global Thematic Growth Portfolio (the “Portfolio”) (one of the portfolios constituting AB Variable Products Series Fund, Inc. (the “Fund”)), including the portfolio of investments, as of December 31, 2021, and the related statement of operations for the year then ended, the statements of changes in net assets for each of the two years in the period then ended, the financial highlights for each of the five years in the period then ended and the related notes (collectively referred to as the “financial statements”). In our opinion, the financial statements present fairly, in all material respects, the financial position of the Portfolio (one of the portfolios constituting AB Variable Products Series Fund, Inc.) at December 31, 2021, the results of its operations for the year then ended, the changes in its net assets for each of the two years in the period then ended and its financial highlights for each of the five years in the period then ended, in conformity with U.S. generally accepted accounting principles.
Basis for Opinion
These financial statements are the responsibility of the Fund’s management. Our responsibility is to express an opinion on the Portfolio’s financial statements based on our audits. We are a public accounting firm registered with the Public Company Accounting Oversight Board (United States) (“PCAOB”) and are required to be independent with respect to the Fund in accordance with the U.S. federal securities laws and the applicable rules and regulations of the Securities and Exchange Commission and the PCAOB.
We conducted our audits in accordance with the standards of the PCAOB. Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements are free of material misstatement, whether due to error or fraud. The Fund is not required to have, nor were we engaged to perform, an audit of the Fund’s internal control over financial reporting. As part of our audits we are required to obtain an understanding of internal control over financial reporting but not for the purpose of expressing an opinion on the effectiveness of the Fund’s internal control over financial reporting. Accordingly, we express no such opinion.
Our audits included performing procedures to assess the risks of material misstatement of the financial statements, whether due to error or fraud, and performing procedures that respond to those risks. Such procedures included examining, on a test basis, evidence regarding the amounts and disclosures in the financial statements. Our procedures included confirmation of securities owned as of December 31, 2021, by correspondence with the custodian and others or by other appropriate auditing procedures where replies from others were not received. Our audits also included evaluating the accounting principles used and significant estimates made by management, as well as evaluating the overall presentation of the financial statements. We believe that our audits provide a reasonable basis for our opinion.
We have served as the auditor of one or more of the AB investment companies since 1968.
New York, New York
February 14, 2022
29
| | |
| | |
| | |
| |
| 2021 FEDERAL TAX INFORMATION (unaudited) | | AB Variable Products Series Fund |
For Federal income tax purposes, the following information is furnished with respect to the distributions paid by the Portfolio during the taxable year ended December 31, 2021. For corporate shareholders, 25.55% of dividends paid qualify for the dividends received deduction. The Portfolio designates $22,914,055 of dividends paid as long-term capital gain dividends.
30
| | |
| | | |
| | |
| |
| GLOBAL THEMATIC GROWTH PORTFOLIO | | AB Variable Products Series Fund |
| | |
| BOARD OF DIRECTORS | | |
Marshall C. Turner, Jr.(1), Chairman Jorge A. Bermudez(1) Michael J. Downey(1) Onur Erzan, President and
Chief Executive Officer | | Nancy P. Jacklin(1) Jeanette W. Loeb(1) Carol C. McMullen(1) Garry L. Moody(1) |
| | |
| OFFICERS | | |
Daniel C. Roarty(2), Vice President Emilie D. Wrapp, Secretary Michael B. Reyes, Senior Vice President and
Senior Analyst | | Joseph J. Mantineo, Treasurer and
Chief Financial Officer Phyllis J. Clarke, Controller Vincent S. Noto, Chief Compliance Officer |
| | |
| CUSTODIANAND ACCOUNTING AGENT | | LEGAL COUNSEL |
| State Street Bank and Trust Company | | Seward & Kissel LLP |
State Street Corporation CCB/5 1 Iron Street Boston, MA 02210 | | One Battery Park Plaza New York, NY 10004 |
| | |
| DISTRIBUTOR | | TRANSFER AGENT |
| AllianceBernstein Investments, Inc. | | AllianceBernstein Investor Services, Inc. |
501 Commerce Street Nashville, TN 37203 | | P.O. Box 786003 San Antonio, TX 78278 Toll-Free (800) 221-5672 |
| | |
| INDEPENDENT REGISTERED PUBLIC | | |
| ACCOUNTING FIRM | | |
| Ernst & Young LLP | | |
One Manhattan West New York, NY 10001 | | |
| (1) | | Member of the Audit Committee, the Governance and Nominating Committee, and the Independent Directors Committee. |
| (2) | | The day-to-day management of, and investment decisions for, the Portfolio’s portfolio are made by the Adviser’s Thematic and Sustainable Equities Investment Team. Mr. Roarty is the investment professional with the most significant responsibility for the day-to-day management of the Portfolio’s portfolio. |
31
| | |
| | | |
| GLOBAL THEMATIC GROWTH PORTFOLIO |
| |
| MANAGEMENT OF THE FUND | | AB Variable Products Series Fund |
Board of Directors Information
The business and affairs of the Fund are managed under the direction of the Board of Directors. Certain information concerning the Fund’s Directors is set forth below.
| | | | | | | | |
NAME, ADDRESS*,
AGE,
(YEAR FIRST ELECTED**) | | PRINCIPAL
OCCUPATION(S)
DURING PAST FIVE YEARS
AND OTHER INFORMATION*** | | PORTFOLIOS
IN AB FUND
COMPLEX
OVERSEEN BY
DIRECTOR | | | OTHER PUBLIC
COMPANY
DIRECTORSHIPS
CURRENTLY
HELD BY
DIRECTOR |
| INTERESTED DIRECTOR | | | | | | |
| | | | | | | | |
Onur Erzan,# 1345 Avenue of the Americas New York, NY 10105 46 (2021) | | Senior Vice President of AllianceBernstein L.P. (the “Adviser”) and Head of the Global Client Group overseeing AB’s institutional and retail businesses, where he is responsible for all client services, sales and marketing, as well as product strategy, management and development worldwide. Director, President and Chief Executive Officer of the AB Mutual Funds as of April 1, 2021. Prior to joining the firm in January 2021, he spent 20 years with McKinsey (management consulting firm), most recently as a senior partner and co-leader of its Wealth & Asset Management practice. In addition, he co-led McKinsey’s Banking & Securities Solutions (a portfolio of data, analytics, and digital assets and capabilities) globally. | | | 74 | | | None |
| | | | | | | | |
| DISINTERESTED DIRECTORS | | | | | | |
| | | | | | | | |
Marshall C. Turner, Jr.,## Chairman of the Board 80 (2005) | | Private Investor since prior to 2017. Former Chairman and CEO of Dupont Photomasks, Inc. (components of semi-conductor manufacturing). He was a Director of Xilinx, Inc. (programmable logic semiconductors and adaptable, intelligent computing) from 2007 through August 2020, and is a former director of 33 other companies and organizations. He has extensive operating leadership and venture capital investing experience, including five interim or full-time CEO roles, and prior service as general partner of institutional venture capital partnerships. He also has extensive non-profit board leadership experience, and currently serves on the boards of two education and science-related non-profit organizations. He has served as a director of one AB Fund since 1992, and director or trustee of all AB Funds since 2005. He has been Chairman of the AB Funds since January 2014, and the Chairman of the Independent Directors Committees of such AB Funds since February 2014. | | | 74 | | | None |
| | | | | | | | |
Jorge A. Bermudez,## 70 (2020) | | Private Investor since prior to 2017. Formerly, Chief Risk Officer of Citigroup, Inc., a global financial services company, from November 2007 to March 2008, Chief Executive Officer of Citigroup’s Commercial Business Group in North America and Citibank Texas from 2005 to 2007, and a variety of other executive and leadership roles at various businesses within Citigroup prior to then; Chairman (2018) of the Texas A&M Foundation Board of Trustees (Trustee since 2013) and Chairman of the Smart Grid Center Board at Texas A&M University since 2012; director of, among others, Citibank N.A. from 2005 to 2008, the Federal Reserve Bank of Dallas, Houston Branch from 2009 to 2011, the Federal Reserve Bank of Dallas from 2011 to 2017, and the Electric Reliability Council of Texas from 2010 to 2016. He has served as director or trustee of the AB Funds since January 2020. | | | 74 | | | Moody’s Corporation since April 2011 |
32
| | |
| |
| | | AB Variable Products Series Fund |
| | | | | | | | |
NAME, ADDRESS*,
AGE,
(YEAR FIRST ELECTED**) | | PRINCIPAL
OCCUPATION(S)
DURING PAST FIVE YEARS
AND OTHER INFORMATION*** | | PORTFOLIOS
IN AB FUND
COMPLEX
OVERSEEN BY
DIRECTOR | | | OTHER PUBLIC
COMPANY
DIRECTORSHIPS
CURRENTLY
HELD BY
DIRECTOR |
DISINTERESTED DIRECTORS
(continued) | | | | | | |
| | | | | | | | |
Michael J. Downey,## 78 (2005) | | Private Investor since prior to 2017. Formerly, Chairman of The Asia Pacific Fund, Inc. (registered investment company) since prior to 2017 until January 2019. From 1987 until 1993, Chairman and CEO of Prudential Mutual Fund Management, director of the Prudential mutual funds, and member of the Executive Committee of Prudential Securities, Inc. He has served as a director or trustee of the AB Funds since 2005. | | | 74 | | | None |
| | | | | | | | |
Nancy P. Jacklin,## 73 (2006) | | Private Investor since prior to 2017. Professorial Lecturer at the Johns Hopkins School of Advanced International Studies (2008–2015). U.S. Executive Director of the International Monetary Fund (which is responsible for ensuring the stability of the international monetary system), (December 2002–May 2006); Partner, Clifford Chance (1992–2002); Sector Counsel, International Banking and Finance, and Associate General Counsel, Citicorp (1985–1992); Assistant General Counsel (International), Federal Reserve Board of Governors (1982–1985); and Attorney Advisor, U.S. Department of the Treasury (1973–1982). Member of the Bar of the District of Columbia and of New York; and member of the Council on Foreign Relations. She has served as a director or trustee of the AB Funds since 2006 and has been Chair of the Governance and Nominating Committees of the AB Funds since August 2014. | | | 74 | | | None |
| | | | | | | | |
Jeanette W. Loeb,##
69
(2020) | | Chief Executive Officer of PetCareRx (e-commerce pet pharmacy) from 2002 to 2011 and 2015 to present. Director of New York City Center since 2005. She was a director of AB Multi-Manager Alternative Fund, Inc. (fund of hedge funds) from 2012 to 2018. Formerly, affiliated with Goldman Sachs Group, Inc. (financial services) from 1977 to 1994, including as a partner thereof from 1986 to 1994. She has served as director or trustee of the AB Funds since April 2020. | | | 74 | | | Apollo Investment Corp. (business development company) since August 2011 |
| | | | | | | | |
Carol C. McMullen,## 66 (2016) | | Managing Director of Slalom Consulting (consulting) since 2014, private investor and a member of the Advisory Board of Butcher Box (since 2018). Formerly, member, Partners Healthcare Investment Committee (2010–2019); Director of Norfolk & Dedham Group (mutual property and casualty insurance) from 2011 until November 2016; Director of Partners Community Physicians Organization (healthcare) from 2014 until December 2016; and Managing Director of The Crossland Group (consulting) from 2012 until 2013. She has held a number of senior positions in the asset and wealth management industries, including at Eastern Bank (where her roles included President of Eastern Wealth Management), Thomson Financial (Global Head of Sales for Investment Management), and Putnam Investments (where her roles included Chief Investment Officer, Core and Growth and Head of Global Investment Research). She has served on a number of private company and non-profit boards, and as a director or trustee of the AB Funds since June 2016. | | | 74 | | | None |
33
| | |
| GLOBAL THEMATIC GROWTH PORTFOLIO |
| MANAGEMENT OF THE FUND | | |
| |
| (continued) | | AB Variable Products Series Fund |
| | | | | | | | |
NAME, ADDRESS*,
AGE,
(YEAR FIRST ELECTED**) | | PRINCIPAL
OCCUPATION(S)
DURING PAST FIVE YEARS
AND OTHER INFORMATION*** | | PORTFOLIOS
IN AB FUND
COMPLEX
OVERSEEN BY
DIRECTOR | | | OTHER PUBLIC
COMPANY
DIRECTORSHIPS
CURRENTLY
HELD BY
DIRECTOR |
DISINTERESTED DIRECTORS
(continued) | | | | | | |
| | | | | | | | |
Garry L. Moody,## 69 (2008) | | Private Investor since prior to 2017. Formerly, Partner, Deloitte & Touche LLP (1995–2008) where he held a number of senior positions, including Vice Chairman, and U.S. and Global Investment Management Practice Managing Partner; President, Fidelity Accounting and Custody Services Company (1993–1995) where he was responsible for accounting, pricing, custody and reporting for the Fidelity Mutual funds; and Partner, Ernst & Young LLP (1975–1993), where he served as the National Director of Mutual Fund Tax Services and Managing Partner of its Chicago Office Tax department. He is a member of the Trustee Advisory Board of BoardIQ, a biweekly publication focused on issues and news affecting directors of mutual funds. He is also a member of the Investment Company Institute’s Board of Governors and the Independent Directors Council’s Governing Council. He has served as a director or trustee, and as Chairman of the Audit Committees of the AB Funds since 2008. | | | 74 | | | None |
| * | The address for each of the Fund’s disinterested Directors is c/o AllianceBernstein L.P., Attention: Legal & Compliance Department—Mutual Fund Legal, 1345 Avenue of the Americas, New York, NY 10105 |
| ** | There is no stated term of office for the Fund’s Directors. |
| *** | The information above includes each Director’s principal occupation during the last five years and other information relating to the experience, attributes, and skills relevant to each Director’s qualifications to serve as a Director, which led to the conclusion that each Director should serve as a Director for the Fund. |
| # | Mr. Erzan is an “interested person” of the Fund, as defined in the “1940 Act”, due to his position as a Senior Vice President of the Adviser. |
| ## | Member of the Audit Committee, the Governance and Nominating Committee, and the Independent Directors Committee. |
34
| | |
| |
| | | AB Variable Products Series Fund |
Officer Information
Certain information concerning the Portfolio’s Officers is listed below.
| | | | |
NAME, ADDRESS,* AGE | | PRINCIPAL POSITION(S)
HELD WITH FUND | | PRINCIPAL OCCUPATION
DURING PAST FIVE YEARS |
Onur Erzan 46 | | President and Chief
Executive Officer | | See biography above. |
| | | | |
Daniel C. Roarty
50 | | Vice President
| | Senior Vice President of the Adviser**, with which he has been associated since prior to 2017. He is also Chief Investment Officer of Sustainable Thematic Equities. |
| | | | |
Emilie D. Wrapp
66 | | Secretary | | Senior Vice President, Assistant General Counsel and Assistant Secretary of ABI**, with which she has been associated since prior to 2017. |
| | | | |
Michael B. Reyes
45 | | Senior Vice President and
Senior Analyst | | Vice President of the Adviser**, with which he has been associated since prior to 2017. |
| | | | |
Joseph J. Mantineo
62 | | Treasurer and Chief
Financial Officer | | Senior Vice President of AllianceBernstein Investor Services, Inc. (“ABIS”)**, with which he has been associated since prior to 2017. |
| | | | |
Phyllis J. Clarke
61 | | Controller | | Vice President of ABIS**, with which she has been associated since prior to 2017. |
| | | | |
Vincent S. Noto
57 | | Chief Compliance Officer | | Senior Vice President and Mutual Fund Chief Compliance Officer of the Adviser** since prior to 2017. |
| * | | The address for each of the Portfolio’s Officers is 1345 Avenue of the Americas, New York, NY 10105. |
| ** | | The Adviser, ABI and ABIS are affiliates of the Fund. |
| | | The Fund’s Statement of Additional Information (“SAI”) has additional information about the Fund’s Directors and Officers and is available without charge upon request. Contact your financial representative or the Adviser at (800) 227-4618, or visit www.abfunds.com, for a free prospectus or SAI. |
35
| | |
| | |
| | |
| |
| GLOBAL THEMATIC GROWTH PORTFOLIO | | AB Variable Products Series Fund |
OPERATION AND EFFECTIVENESS OF THE PORTFOLIO’S LIQUIDITY RISK MANAGEMENT PROGRAM:
In October 2016, the Securities and Exchange Commission (“SEC”) adopted the open-end fund liquidity rule (the “Liquidity Rule”). In June 2018 the SEC adopted a requirement that funds disclose information about the operation and effectiveness of their Liquidity Risk Management Program (“LRMP”) in their reports to shareholders.
One of the requirements of the Liquidity Rule is for the Portfolio to designate an Administrator of the Portfolio’s Liquidity Risk Management Program. The Administrator of the Portfolio’s LRMP is AllianceBernstein L.P., the Portfolio’s investment adviser (the “Adviser”). The Adviser has delegated the responsibility to its Liquidity Risk Management Committee (the “Committee”).
Another requirement of the Liquidity Rule is for the Portfolio’s Board of Directors (the “Fund Board”) to receive an annual written report from the Administrator of the LRMP, which addresses the operation of the Portfolio’s LRMP and assesses its adequacy and effectiveness. The Adviser provided the Fund Board with such annual report during the first quarter of 2021, which covered the period January 1, 2020 through December 31, 2020 (the “Program Reporting Period”).
The LRMP’s principal objectives include supporting the Portfolio’s compliance with limits on investments in illiquid assets and mitigating the risk that the Portfolio will be unable to meet its redemption obligations in a timely manner.
Pursuant to the LRMP, the Portfolio classifies the liquidity of its portfolio investments into one of the four categories defined by the SEC: Highly Liquid, Moderately Liquid, Less Liquid, and Illiquid. These classifications are reported to the SEC on Form N-PORT.
During the Program Reporting Period, the Committee reviewed whether the Portfolio’s strategy is appropriate for an open-end structure, incorporating any holdings of less liquid and illiquid assets. If the Portfolio participated in derivative transactions, the exposure from such transactions were considered in the LRMP.
The Committee also performed an analysis to determine whether the Portfolio is required to maintain a Highly Liquid Investment Minimum (“HLIM”). The Committee also incorporated the following information when determining the Portfolio’s reasonably anticipated trading size for purposes of liquidity monitoring: historical net redemption activity, a Portfolio’s concentration in an issuer, shareholder concentration, investment performance, total net assets, and distribution channels.
The Adviser informed the Fund Board that the Committee believes the Portfolio’s LRMP is adequately designed, has been implemented as intended, and has operated effectively since its inception. No material exceptions have been noted since the implementation of the LRMP. During the Program Reporting Period, beginning in March 2020, all financial markets experienced extreme levels of price volatility and relative illiquidity resulting from the COVID-19 impacts on the global economy. This extreme relative illiquidity resulted in significantly wider bid-ask spreads to transact in securities, including many of those securities held by the Portfolio, and in a diminished depth of liquidity in most markets, to varying degrees. Nonetheless, there were no liquidity events that impacted the Portfolio or its ability to timely meet redemptions during the Program Reporting Period.
36
| | |
| | | |
| GLOBAL THEMATIC GROWTH PORTFOLIO |
| |
| CONTINUANCE DISCLOSURE | | AB Variable Products Series Fund |
INFORMATION REGARDING THE REVIEW AND APPROVAL OF THE FUND’S ADVISORY AGREEMENT
The disinterested directors (the “directors”) of AB Variable Products Series Fund, Inc. (the “Company”) unanimously approved the continuance of the Company’s Advisory Agreement with the Adviser in respect of AB Global Thematic Growth Portfolio (the “Fund”) at a meeting held by video conference on May 3-5, 2021 (the “Meeting”).
Prior to approval of the continuance of the Advisory Agreement, the directors had requested from the Adviser, and received and evaluated, extensive materials. They reviewed the proposed continuance of the Advisory Agreement with the Adviser and with experienced counsel who are independent of the Adviser, who advised on the relevant legal standards. The directors also reviewed additional materials, including comparative analytical data prepared by the Senior Analyst for the Fund. The directors also discussed the proposed continuance in private sessions with counsel.
The directors considered their knowledge of the nature and quality of the services provided by the Adviser to the Fund gained from their experience as directors or trustees of most of the registered investment companies advised by the Adviser, their overall confidence in the Adviser’s integrity and competence they have gained from that experience, the Adviser’s initiative in identifying and raising potential issues with the directors and its responsiveness, frankness and attention to concerns raised by the directors in the past, including the Adviser’s willingness to consider and implement organizational and operational changes designed to improve investment results and the services provided to the AB Funds. The directors noted that they have four regular meetings each year, at each of which they review extensive materials and information from the Adviser, including information on the investment performance of the Fund.
The directors also considered all factors they believed relevant, including the specific matters discussed below. During the course of their deliberations, the directors evaluated, among other things, the reasonableness of the advisory fee. The directors did not identify any particular information that was all-important or controlling, and different directors may have attributed different weights to the various factors. The directors determined that the selection of the Adviser to manage the Fund and the overall arrangements between the Fund and the Adviser, as provided in the Advisory Agreement, including the advisory fee, were fair and reasonable in light of the services performed, expenses incurred and such other matters as the directors considered relevant in the exercise of their business judgment. The material factors and conclusions that formed the basis for the directors’ determinations included the following:
Nature, Extent and Quality of Services Provided
The directors considered the scope and quality of services provided by the Adviser under the Advisory Agreement, including the quality of the investment research capabilities of the Adviser and the other resources it has dedicated to performing services for the Fund. The directors noted that the Adviser from time to time reviews the Fund’s investment strategies and from time to time proposes changes intended to improve the Fund’s relative or absolute performance for the directors’ consideration. They also noted the professional experience and qualifications of the Fund’s portfolio management team and other senior personnel of the Adviser. The directors also considered that the Advisory Agreement provides that the Fund will reimburse the Adviser for the cost to it of providing certain clerical, accounting, administrative and other services to the Fund by employees of the Adviser or its affiliates. Requests for these reimbursements are made on a quarterly basis and subject to approval by the directors. Reimbursements, to the extent requested and paid, result in a higher rate of total compensation from the Fund to the Adviser than the fee rate stated in the Advisory Agreement. The directors noted that the methodology used to determine the reimbursement amounts had been reviewed by an independent consultant at the request of the directors. The quality of administrative and other services, including the Adviser’s role in coordinating the activities of the Fund’s other service providers, also was considered. The directors concluded that, overall, they were satisfied with the nature, extent and quality of services provided to the Fund under the Advisory Agreement.
Costs of Services Provided and Profitability
The directors reviewed a schedule of the revenues and expenses and related notes indicating the profitability of the Fund to the Adviser for calendar years 2019 and 2020 that had been prepared with an expense allocation methodology arrived at in consultation with an independent consultant at the request of the directors. The directors noted the assumptions and methods of allocation used by the Adviser in preparing fund-specific profitability data and understood that there are a number of potentially acceptable allocation methodologies for information of this type. The directors noted that the profitability information reflected all revenues and expenses of the Adviser’s relationship with the Fund, including those relating to its subsidiaries that provide transfer agency, distribution and brokerage services to the Fund. The directors recognized that it is difficult to make comparisons of the profitability of the Advisory Agreement with the profitability of fund advisory contracts for unaffiliated funds because comparative information is not generally publicly available and is
37
| | |
| GLOBAL THEMATIC GROWTH PORTFOLIO |
| CONTINUANCE DISCLOSURE | | |
| |
| (continued) | | AB Variable Products Series Fund |
affected by numerous factors. The directors focused on the profitability of the Adviser’s relationship with the Fund before taxes and distribution expenses. The directors concluded that the Adviser’s level of profitability from its relationship with the Fund was not unreasonable.
Fall-Out Benefits
The directors considered the other benefits to the Adviser and its affiliates from their relationships with the Fund, including, but not limited to, benefits relating to soft dollar arrangements (whereby investment advisers receive brokerage and research services from brokers that execute agency transactions for their clients); 12b-1 fees and sales charges received by the Fund’s principal underwriter (which is a wholly owned subsidiary of the Adviser) in respect of the Fund’s Class B shares; brokerage commissions paid by the Fund to brokers affiliated with the Adviser; and transfer agency fees paid by the Fund to a wholly owned subsidiary of the Adviser. The directors recognized that the Adviser’s profitability would be somewhat lower without these benefits. The directors understood that the Adviser also might derive reputational and other benefits from its association with the Fund.
Investment Results
In addition to the information reviewed by the directors in connection with the Meeting, the directors receive detailed performance information for the Fund at each regular Board meeting during the year.
At the Meeting, the directors reviewed performance information prepared by an independent service provider (the “15(c) service provider”), showing the performance of the Class A Shares of the Fund against a group of similar funds (“peer group”) and a larger group of similar funds (“peer universe”), each selected by the 15(c) service provider, and information prepared by the Adviser showing performance of the Class A Shares against a broad-based securities market index, in each case for the 1-, 3-, 5- and 10-year periods ended February 28, 2021. Based on their review, the directors concluded that the Fund’s investment performance was acceptable.
Advisory Fees and Other Expenses
The directors considered the advisory fee rate payable by the Fund to the Adviser and information prepared by the 15(c) service provider concerning advisory fee rates payable by other funds in the same category as the Fund. The directors recognized that it is difficult to make comparisons of advisory fees because there are variations in the services that are included in the fees paid by other funds. The directors compared the Fund’s contractual effective advisory fee rate with a peer group median and the directors took into account the impact on the advisory fee rate of the administrative expense reimbursement paid to the Adviser in the latest fiscal year.
The directors also considered the Adviser’s fee schedule for other clients utilizing investment strategies similar to those of the Fund. For this purpose, they reviewed the relevant advisory fee information from the Adviser’s Form ADV and in a report from the Fund’s Senior Analyst and noted the differences between the Fund’s fee schedule, on the one hand, and the Adviser’s institutional fee schedule and the schedule of fees charged by the Adviser to any offshore funds and for services to any sub-advised funds utilizing investment strategies similar to those of the Fund, on the other. The directors noted that the Adviser may, in some cases, agree to fee rates with large institutional clients that are lower than those reviewed by the directors and that they had previously discussed with the Adviser its policies in respect of such arrangements. The directors also compared the advisory fee rate for the Fund with those for two other funds advised by the Adviser utilizing similar investment strategies.
The Adviser reviewed with the directors the significantly greater scope of the services it provides to the Fund relative to institutional, offshore fund and sub-advised fund clients. In this regard, the Adviser noted, among other things, that, compared to institutional and offshore or sub-advisory accounts, the Fund (i) demands considerably more portfolio management, research and trading resources due to significantly higher daily cash flows; (ii) has more tax and regulatory restrictions and compliance obligations; (iii) must prepare and file or distribute regulatory and other communications about fund operations; and (iv) must provide shareholder servicing to retail investors. The Adviser also reviewed the greater legal risks presented by the large and changing population of Fund shareholders who may assert claims against the Adviser in individual or class actions, and the greater entrepreneurial risk in offering new fund products, which require substantial investment to launch, may not succeed, and generally must be priced to compete with larger, more established funds resulting in lack of profitability to the Adviser until a new fund achieves scale. In light of the substantial differences in services rendered by the Adviser to institutional, offshore fund and sub-advised fund clients as compared to funds such as the Fund, and the different risk profile, the directors considered these fee comparisons inapt and did not place significant weight on them in their deliberations.
38
| | |
| |
| | | AB Variable Products Series Fund |
In connection with their review of the Fund’s advisory fee, the directors also considered the total expense ratio of the Class A shares of the Fund in comparison to a peer group and a peer universe selected by the 15(c) service provider. The Class A expense ratio of the Fund was based on the Fund’s latest fiscal year. The directors noted that it was likely that the expense ratios of some of the other funds in the Fund’s category were lowered by waivers or reimbursements by those funds’ investment advisers, which in some cases might be voluntary or temporary. The directors view expense ratio information as relevant to their evaluation of the Adviser’s services because the Adviser is responsible for coordinating services provided to the Fund by others. The directors noted that the Fund’s expense ratio was above the peer group median, after giving effect to a voluntary waiver by the Adviser. After reviewing and discussing the Adviser’s explanations of the reasons for this, the directors concluded that the Fund’s expense ratio was acceptable.
Economies of Scale
The directors noted that the advisory fee schedule for the Fund contains breakpoints that reduce the fee rates on assets above specified levels. The directors took into consideration prior presentations by an independent consultant on economies of scale in the mutual fund industry and for the AB Funds, and presentations from time to time by the Adviser concerning certain of its views on economies of scale. The directors also had requested and received from the Adviser certain updates on economies of scale in advance of the Meeting. The directors believe that economies of scale may be realized (if at all) by the Adviser across a variety of products and services, and not only in respect of a single fund. The directors noted that there is no established methodology for setting breakpoints that give effect to the fund-specific services provided by a fund’s adviser and to the economies of scale that an adviser may realize in its overall mutual fund business or those components of it which directly or indirectly affect a fund’s operations. The directors observed that in the mutual fund industry as a whole, as well as among funds similar to the Fund, there is no uniformity or pattern in the fees and asset levels at which breakpoints (if any) apply. The directors also noted that the advisory agreements for many funds do not have breakpoints at all. Having taken these factors into account, the directors concluded that the Fund’s shareholders would benefit from a sharing of economies of scale in the event the Fund’s net assets exceed a breakpoint in the future.
39
VPS-GTG-0151-1221
DEC 12.31.21
ANNUAL REPORT
AB VARIABLE PRODUCTS SERIES FUND, INC.
| + | | GROWTH AND INCOME PORTFOLIO |
As of May 1, 2021, as permitted by regulations adopted by the Securities and Exchange Commission, you may not be receiving paper copies of the Portfolio’s shareholder reports from the insurance company that offers your contract unless you specifically requested paper copies from the insurance company or from your financial intermediary. Instead of delivering paper copies of the reports, the insurance company may choose to make the reports available on a website, and will notify you by mail each time a report is posted and provide you with a website link to access the report. Instructions for requesting paper copies will be provided by your insurance company.
You may elect to receive all future reports in paper free of charge from the insurance company. You can inform the insurance company or your financial intermediary that you wish to continue receiving paper copies of your shareholder reports by following the instructions provided by the insurance company or by contacting your financial intermediary. Your election to receive reports in paper will apply to all portfolio companies available under your contract with the insurance company.
Investment Products Offered
| | • | | Are Not Bank Guaranteed |
AllianceBernstein Investments, Inc. (ABI) is the distributor of the AB family of mutual funds. ABI is a member of FINRA and is an affiliate of AllianceBernstein L.P., the Adviser of the funds.
You may obtain a description of the Fund’s proxy voting policies and procedures, and information regarding how the Fund voted proxies relating to portfolio securities during the most recent 12-month period ended June 30, without charge. Simply visit AB’s website at www.abfunds.com or go to the Securities and Exchange Commission’s (the “Commission”) website at www.sec.gov, or call AB at (800) 227 4618.
The Fund files its complete schedule of portfolio holdings with the Commission for the first and third quarters of each fiscal year as an exhibit to its reports on Form N-PORT. The Fund’s Form N-PORT reports are available on the Commission’s website at www.sec.gov. The Fund’s Forms N-PORT may also be reviewed and copied at the Commission’s Public Reference Room in Washington, DC; information on the operation of the Public Reference Room may be obtained by calling (800) SEC 0330.
The [A/B] logo is a registered service mark of AllianceBernstein and AllianceBernstein® is a registered service mark used by permission of the owner, AllianceBernstein L.P.
| | |
| | |
| | |
| |
| GROWTH AND INCOME PORTFOLIO | | AB Variable Products Series Fund |
LETTER TO INVESTORS
February 14, 2022
The following is an update of AB Variable Products Series Fund—Growth and Income Portfolio (the “Portfolio”) for the annual reporting period ended December 31, 2021.
INVESTMENT OBJECTIVE AND POLICIES
The Portfolio’s investment objective is long-term growth of capital. The Portfolio invests primarily in the equity securities of US companies that the Adviser believes are trading at attractive valuations that have strong or improving business models.
The Portfolio may enter into derivatives transactions, such as options, futures contracts, forwards and swaps. The Portfolio may use options strategies involving the purchase and/or writing of various combinations of call and/or put options, including on individual securities and stock indices, futures contracts (including futures contracts on individual securities and stock indices) or shares of exchange-traded funds (“ETFs”). These transactions may be used, for example, to earn extra income, to adjust exposure to individual securities or markets, or to protect all or a portion of the Portfolio’s portfolio from a decline in value, sometimes within certain ranges.
INVESTMENT RESULTS
The table on page 3 shows the Portfolio’s performance compared to its benchmark, the Russell 1000 Value Index, for the one-, five- and 10-year periods ended December 31, 2021.
All share classes of the Portfolio outperformed the benchmark for the annual period. Security selection contributed most, relative to the benchmark, due to selection within the industrials and consumer-discretionary sectors. Selection within financials and consumer staples detracted. Overall sector selection detracted from performance. Losses from underweights to energy and real estate offset gains from underweights to communication services and materials.
The Portfolio did not utilize derivatives during the annual period.
MARKET REVIEW AND INVESTMENT STRATEGY
Global equities recorded double-digit returns and emerging markets lost ground during the annual period ended December 31, 2021. Global markets were supported by accommodative monetary policy and strong company earnings growth, while economic turbulence in China, geopolitical risks and inflation pressured emerging markets. Increased market volatility periodically sent risk assets lower, but investors continued to buy the dip. Toward the end of the period, global markets fell as the rapid spread of the coronavirus omicron variant triggered concern that new restrictions could derail the economic recovery. Encouraging developments in COVID-19 treatments and vaccines and a reluctance to reinstate shutdowns helped investors look past the potential impact of the omicron variant. Stock markets gave back gains, however, after the US Federal Reserve (the “Fed”) took a hawkish pivot and confirmed that it would accelerate the wind-down of its bond purchases and raise rates multiple times in 2022. After digesting the Fed’s comments, equity markets rose as investors appeared to adjust to the shift and remained focused on still generally supportive monetary policy. Growth outperformed value, in terms of style, and large-cap stocks outperformed their small-cap peers.
The Portfolio’s Senior Investment Management Team (the “Team”) remains committed to using bottom-up research to build a Portfolio composed of well-managed companies that are attractively valued relative to their long-term earnings power. The Team’s objective is to find companies that stand out and deploy capital wisely, allowing these companies to grow dividends and enhance the long-term value of their shares.
1
| | |
| | |
| GROWTH AND INCOME PORTFOLIO | | |
| |
| DISCLOSURES AND RISKS | | AB Variable Products Series Fund |
Benchmark Disclosure
The Russell 1000® Value Index is unmanaged and does not reflect fees and expenses associated with the active management of a mutual fund portfolio. The Russell 1000 Value Index represents the performance of large-cap value companies within the US. An investor cannot invest directly in an index, and its results are not indicative of the performance for any specific investment, including the Portfolio.
A Word About Risk
Market Risk: The value of the Portfolio’s assets will fluctuate as the stock or bond market fluctuates. The value of its investments may decline, sometimes rapidly and unpredictably, simply because of economic changes or other events, including public health crises (including the occurrence of a contagious disease or illness), that affect large portions of the market. It includes the risk that a particular style of investing, such as the Portfolio’s value approach, may be underperforming the market generally.
Capitalization Risk: Investments in small- and mid-capitalization companies may be more volatile than investments in large-capitalization companies. Investments in small- and mid-capitalization companies may have additional risks because these companies have limited product lines, markets or financial resources.
Derivatives Risk: Derivatives may be difficult to price or unwind and leveraged so that small changes may produce disproportionate losses for the Portfolio. Derivatives, especially over-the-counter derivatives, are also subject to counterparty risk, which is the risk that the counterparty (the party on the other side of the transaction) on a derivative transaction will be unable or unwilling to honor its contractual obligations to the Portfolio.
Management Risk: The Portfolio is subject to management risk because it is an actively managed investment fund. The Adviser will apply its investment techniques and risk analyses in making investment decisions for the Portfolio, but there is no guarantee that its techniques will produce the intended results. Some of these techniques may incorporate, or rely upon, quantitative models, but there is no guarantee that these models will generate accurate forecasts, reduce risk or otherwise perform as expected.
These risks are fully discussed in the Variable Products prospectus. As with all investments, you may lose money by investing in the Portfolio.
An Important Note About Historical Performance
The investment return and principal value of an investment in the Portfolio will fluctuate, so that shares, when redeemed, may be worth more or less than their original cost. Performance shown in this report represents past performance and does not guarantee future results. Current performance may be lower or higher than the performance information shown. Please contact your financial advisor or insurance agent representative at your financial institution to obtain portfolio performance information current to the most recent month-end.
Investors should consider the investment objectives, risks, charges and expenses of the Portfolio carefully before investing. For additional copies of the Portfolio’s prospectus or summary prospectus, which contains this and other information, call your financial advisor or (800) 227 4618. Please read the prospectus and/or summary prospectus carefully before investing.
All fees and expenses related to the operation of the Portfolio have been deducted, but no adjustment has been made for insurance company separate account or annuity contract charges, which would reduce total return to a contract owner. Performance assumes reinvestment of distributions and does not account for taxes.
There are additional fees and expenses associated with all Variable Products. These fees can include mortality and expense risk charges, administrative charges, and other charges that can significantly reduce investment returns. Those fees and expenses are not reflected in this annual report. You should consult your Variable Products prospectus for a description of those fees and expenses and speak to your insurance agent or financial representative if you have any questions. You should read the prospectus before investing or sending money.
2
| | |
| | |
| GROWTH AND INCOME PORTFOLIO | | |
| |
| HISTORICAL PERFORMANCE | | AB Variable Products Series Fund |
| | | | | | | | | | | | |
| | | | | | | | | | | | |
| THE PORTFOLIO VS. ITS BENCHMARK | | Net Asset Value Returns | |
| PERIODS ENDED DECEMBER 31, 2021 (unaudited) | | 1 Year | | | 5 Years1 | | | 10 Years1 | |
| | | |
| Growth and Income Portfolio Class A | | | 28.15% | | | | 12.86% | | | | 13.67% | |
| | | |
| Growth and Income Portfolio Class B | | | 27.84% | | | | 12.58% | | | | 13.39% | |
| | | |
| Russell 1000 Value Index | | | 25.16% | | | | 11.16% | | | | 12.97% | |
1 Average annual returns. Please keep in mind that high, double-digit returns are highly unusual and cannot be sustained. Investors should also be aware that these returns were primarily achieved during favorable market conditions. | |
| | | | | | | | | | | | |
The Portfolio’s current prospectus fee table shows the Portfolio’s total annual operating expense ratios as 0.63% and 0.88% for Class A and Class B shares, respectively, gross of any fee waivers or expense reimbursements. The Financial Highlights section of this report sets forth expense ratio data for the current reporting period; the expense ratios shown above may differ from the expense ratios in the Financial Highlights section since they are based on different time periods.
GROWTH OF A $10,000 INVESTMENT
12/31/2011 to 12/31/2021 (unaudited)
This chart illustrates the total value of an assumed $10,000 investment in Growth and Income Portfolio Class A shares (from 12/31/2011 to 12/31/2021) as compared to the performance of the Portfolio’s benchmark. The chart assumes the reinvestment of dividends and capital gains distributions.
See Disclosures, Risks and Note About Historical Performance on page 2.
3
| | |
| | |
| GROWTH AND INCOME PORTFOLIO | | |
| |
| EXPENSE EXAMPLE (unaudited) | | AB Variable Products Series Fund |
As a shareholder of the Portfolio, you incur two types of costs: (1) transaction costs, including sales charges (loads) on purchase payments, contingent deferred sales charges on redemptions and (2) ongoing costs, including management fees; distribution (12b-1) fees; and other Portfolio expenses. This example is intended to help you understand your ongoing costs (in dollars) of investing in the Portfolio and to compare these costs with the ongoing costs of investing in other mutual funds.
The Example is based on an investment of $1,000 invested at the beginning of the period and held for the entire period as indicated below.
Actual Expenses
The table below provides information about actual account values and actual expenses. You may use the information in this line, together with the amount you invested, to estimate the expenses that you paid over the period. Simply divide your account value by $1,000 (for example, an $8,600 account value divided by $1,000 = 8.6), then multiply the result by the number in the first line under the heading entitled “Expenses Paid During Period” to estimate the expenses you paid on your account during this period. The estimate of expenses does not include fees or other expenses of any variable insurance product. If such expenses were included, the estimate of expenses you paid during the period would be higher and your ending account value would be lower.
Hypothetical Example for Comparison Purposes
The table below provides information about hypothetical account values and hypothetical expenses based on the Portfolio’s actual expense ratio and an assumed annual rate of return of 5% before expenses, which is not the Portfolio’s actual return. The hypothetical account values and expenses may not be used to estimate the actual ending account balance or expenses you paid for the period. You may use this information to compare the ongoing costs of investing in the Portfolio and other funds by comparing this 5% hypothetical example with the 5% hypothetical examples that appear in the shareholder reports of other funds. The estimate of expenses does not include fees or other expenses of any variable insurance product. If such expenses were included, the estimate of expenses you paid during the period would be higher and your ending account value would be lower.
Please note that the expenses shown in the table are meant to highlight your ongoing costs only and do not reflect any transactional costs, such as sales charges (loads), or contingent deferred sales charges on redemptions. Therefore, the second line of each classes’ table is useful in comparing ongoing costs only, and will not help you determine the relative total costs of owning different funds. In addition, if these transactional costs were included, your costs would have been higher.
| | | | | | | | | | | | | | | | | | | | |
| | | Beginning
Account Value
July 1, 2021 | | | Ending
Account Value
December 31, 2021 | | | Expenses Paid
During Period* | | | | | | Annualized
Expense Ratio* | |
Class A* | | | | | | | | | | | | |
Actual | | $ | 1,000 | | | $ | 1,069.60 | | | $ | 3.08 | | | | | | | | 0.59 | % |
Hypothetical (5% annual return before expenses) | | $ | 1,000 | | | $ | 1,022.23 | | | $ | 3.01 | | | | | | | | 0.59 | % |
| | | | | | | | | | | | | | | | | | | | |
Class B | | | | | | | | | | | | |
Actual | | $ | 1,000 | | | $ | 1,068.30 | | | $ | 4.38 | | | | | | | | 0.84 | % |
Hypothetical (5% annual return before expenses) | | $ | 1,000 | | | $ | 1,020.97 | | | $ | 4.28 | | | | | | | | 0.84 | % |
| * | | Expenses are equal to the classes’ annualized expense ratios, multiplied by the average account value over the period, multiplied by 184/365 (to reflect the one-half year period). |
4
| | |
| GROWTH AND INCOME PORTFOLIO | | |
| TEN LARGEST HOLDINGS1 | | |
| |
| December 31, 2021 (unaudited) | | AB Variable Products Series Fund |
| | | | | | | | |
| COMPANY | | U.S. $ VALUE | | | PERCENT OF NET ASSETS | |
Wells Fargo & Co. | | $ | 35,123,999 | | | | 3.8 | % |
Philip Morris International, Inc. | | | 32,896,980 | | | | 3.6 | |
Anthem, Inc. | | | 32,599,377 | | | | 3.5 | |
Comcast Corp.—Class A | | | 32,295,906 | | | | 3.5 | |
Raytheon Technologies Corp. | | | 31,917,416 | | | | 3.5 | |
Berkshire Hathaway, Inc.—Class B | | | 28,109,289 | | | | 3.0 | |
Amgen, Inc. | | | 26,826,548 | | | | 2.9 | |
Goldman Sachs Group, Inc. (The) | | | 26,246,756 | | | | 2.8 | |
Walmart, Inc. | | | 24,966,838 | | | | 2.7 | |
Roche Holding AG (Sponsored ADR) | | | 23,972,271 | | | | 2.6 | |
| | | | | | | | | |
| | | $ | 294,955,380 | | | | 31.9 | % |
SECTOR BREAKDOWN2
December 31, 2021 (unaudited)
| | | | | | | | |
| SECTOR | | U.S. $ VALUE | | | PERCENT OF TOTAL INVESTMENTS | |
Industrials | | $ | 183,436,770 | | | | 19.9 | % |
Financials | | | 159,118,424 | | | | 17.2 | |
Health Care | | | 145,409,291 | | | | 15.8 | |
Information Technology | | | 122,353,315 | | | | 13.3 | |
Consumer Discretionary | | | 96,089,292 | | | | 10.4 | |
Consumer Staples | | | 57,863,818 | | | | 6.3 | |
Communication Services | | | 52,886,095 | | | | 5.7 | |
Real Estate | | | 28,837,090 | | | | 3.1 | |
Energy | | | 28,139,506 | | | | 3.0 | |
Materials | | | 22,981,575 | | | | 2.5 | |
Utilities | | | 9,015,510 | | | | 1.0 | |
Short-Term Investments | | | 16,506,798 | | | | 1.8 | |
| | | | | | | | | |
Total Investments | | $ | 922,637,484 | | | | 100.0 | % |
| 2 | | The Portfolio’s sector breakdown is expressed as a percentage of total investments (excluding security lending collateral) and may vary over time. |
Please note: The sector classifications presented herein are based on the Global Industry Classification Standard (GICS) which was developed by Morgan Stanley Capital International and Standard & Poor’s. The components are divided into sector, industry group, and industry sub-indices as classified by the GICS for each of the market capitalization indices in the broad market. These sector classifications are broadly defined. The “Portfolio of Investments” section of the report reflects more specific industry information and is consistent with the investment restrictions discussed in the Portfolio’s prospectus.
5
| | |
| GROWTH AND INCOME PORTFOLIO | | |
| PORTFOLIO OF INVESTMENTS | | |
| |
| December 31, 2021 | | AB Variable Products Series Fund |
| | | | | | | | |
Company | | Shares | | | U.S. $ Value | |
| | | | | | | | |
COMMON STOCKS–98.2% | | | | | | | | |
INDUSTRIALS–19.9% | | | | | | | | |
AEROSPACE & DEFENSE–7.2% | | | | | | | | |
Curtiss-Wright Corp. | | | 65,339 | | | $ | 9,060,559 | |
Hexcel Corp.(a) | | | 154,590 | | | | 8,007,762 | |
Raytheon Technologies Corp. | | | 370,874 | | | | 31,917,416 | |
Textron, Inc. | | | 222,783 | | | | 17,198,848 | |
| | | | | | | | |
| | | | | | | 66,184,585 | |
| | | | | | | | |
AIR FREIGHT & LOGISTICS–0.9% | | | | | | | | |
Expeditors International of Washington, Inc. | | | 59,854 | | | | 8,037,794 | |
| | | | | | | | |
CONSTRUCTION & ENGINEERING–0.9% | | | | | | | | |
EMCOR Group, Inc. | | | 69,020 | | | | 8,792,458 | |
| | | | | | | | |
Electrical Equipment–2.4% | | | | | | | | |
Acuity Brands, Inc. | | | 19,513 | | | | 4,131,292 | |
Emerson Electric Co. | | | 197,879 | | | | 18,396,811 | |
| | | | | | | | |
| | | | | | | 22,528,103 | |
| | | | | | | | |
INDUSTRIAL CONGLOMERATES–0.6% | | | | | | | | |
3M Co. | | | 29,420 | | | | 5,225,875 | |
| | | | | | | | |
MACHINERY–2.7% | | | | | | | | |
Altra Industrial Motion Corp. | | | 59,336 | | | | 3,059,957 | |
Flowserve Corp. | | | 103,287 | | | | 3,160,582 | |
Middleby Corp. (The)(a) | | | 17,971 | | | | 3,535,974 | |
Westinghouse Air Brake Technologies Corp. | | | 161,517 | | | | 14,877,331 | |
| | | | | | | | |
| | | | | | | 24,633,844 | |
| | | | | | | | |
PROFESSIONAL SERVICES–2.2% | | | | | | | | |
Leidos Holdings, Inc. | | | 80,706 | | | | 7,174,763 | |
Robert Half International, Inc. | | | 114,277 | | | | 12,744,171 | |
| | | | | | | | |
| | | | | | | 19,918,934 | |
| | | | | | | | |
ROAD & RAIL–2.0% | | | | | | | | |
Knight-Swift Transportation Holdings, Inc. | | | 302,483 | | | | 18,433,314 | |
| | | | | | | | |
TRADING COMPANIES & DISTRIBUTORS–1.0% | | | | | | | | |
MSC Industrial Direct Co., Inc.–Class A | | | 115,178 | | | | 9,681,863 | |
| | | | | | | | |
| | | | | | | 183,436,770 | |
| | | | | | | | |
FINANCIALS–17.2% | | | | | | | | |
BANKS–7.7% | | | | | | | | |
Citigroup, Inc. | | | 260,783 | | | | 15,748,685 | |
JPMorgan Chase & Co. | | | 125,708 | | | | 19,905,862 | |
Wells Fargo & Co. | | | 732,055 | | | | 35,123,999 | |
| | | | | | | | |
| | | | | | | 70,778,546 | |
| | | | | | | | |
CAPITAL MARKETS–4.2% | | | | | | | | |
Goldman Sachs Group, Inc. (The) | | | 68,610 | | | | 26,246,756 | |
Northern Trust Corp. | | | 104,333 | | | | 12,479,270 | |
| | | | | | | | |
| | | | | | | 38,726,026 | |
| | | | | | | | |
| | | | | | | | |
CONSUMER FINANCE–0.3% | | | | | | | | |
Capital One Financial Corp. | | | 20,373 | | | | 2,955,918 | |
| | | | | | | | |
DIVERSIFIED FINANCIAL SERVICES–3.0% | | | | | | | | |
Berkshire Hathaway, Inc.–Class B(a) | | | 94,011 | | | | 28,109,289 | |
| | | | | | | | |
INSURANCE–2.0% | | | | | | | | |
Aflac, Inc. | | | 116,133 | | | | 6,781,006 | |
Allstate Corp. (The) | | | 70,147 | | | | 8,252,794 | |
Fidelity National Financial, Inc. | | | 67,360 | | | | 3,514,845 | |
| | | | | | | | |
| | | | | | | 18,548,645 | |
| | | | | | | | |
| | | | | | | 159,118,424 | |
| | | | | | | | |
HEALTH CARE–15.8% | | | | | | | | |
BIOTECHNOLOGY–3.5% | | | | | | | | |
Amgen, Inc. | | | 119,245 | | | | 26,826,548 | |
Regeneron Pharmaceuticals, Inc.(a) | | | 8,390 | | | | 5,298,453 | |
| | | | | | | | |
| | | | | | | 32,125,001 | |
| | | | | | | | |
HEALTH CARE PROVIDERS & SERVICES–5.9% | | | | | | | | |
Anthem, Inc. | | | 70,327 | | | | 32,599,377 | |
Cigna Corp. | | | 68,052 | | | | 15,626,781 | |
Quest Diagnostics, Inc. | | | 36,699 | | | | 6,349,294 | |
| | | | | | | | |
| | | | | | | 54,575,452 | |
| | | | | | | | |
LIFE SCIENCES TOOLS & SERVICES–2.0% | | | | | | | | |
Bio-Rad Laboratories, Inc.–Class A(a) | | | 10,866 | | | | 8,210,024 | |
PerkinElmer, Inc. | | | 51,949 | | | | 10,444,866 | |
| | | | | | | | |
| | | | | | | 18,654,890 | |
| | | | | | | | |
PHARMACEUTICALS–4.4% | | | | | | | | |
Pfizer, Inc. | | | 272,340 | | | | 16,081,677 | |
Roche Holding AG (Sponsored ADR) | | | 463,770 | | | | 23,972,271 | |
| | | | | | | | |
| | | | | | | 40,053,948 | |
| | | | | | | | |
| | | | | | | 145,409,291 | |
| | | | | | | | |
INFORMATION TECHNOLOGY–13.3% | | | | | | | | |
COMMUNICATIONS EQUIPMENT–5.2% | | | | | | | | |
Ciena Corp.(a) | | | 171,037 | | | | 13,164,718 | |
Cisco Systems, Inc./Delaware | | | 349,862 | | | | 22,170,755 | |
F5, Inc.(a) | | | 51,557 | | | | 12,616,514 | |
| | | | | | | | |
| | | | | | | 47,951,987 | |
| | | | | | | | |
ELECTRONIC EQUIPMENT, INSTRUMENTS & COMPONENTS–0.4% | | | | | | | | |
Keysight Technologies, Inc.(a) | | | 17,022 | | | | 3,515,213 | |
| | | | | | | | |
IT SERVICES–6.3% | | | | | | | | |
Cognizant Technology Solutions Corp.–Class A | | | 260,746 | | | | 23,133,385 | |
FleetCor Technologies, Inc.(a) | | | 91,669 | | | | 20,519,189 | |
6
| | |
| |
| | | AB Variable Products Series Fund |
| | | | | | | | |
Company | | Shares | | | U.S. $ Value | |
| | | | | | | | |
MAXIMUS, Inc. | | | 182,127 | | | $ | 14,510,058 | |
| | | | | | | | |
| | | | | | | 58,162,632 | |
| | | | | | | | |
SEMICONDUCTORS & SEMICONDUCTOR EQUIPMENT–1.2% | | | | | | | | |
MKS Instruments, Inc. | | | 64,401 | | | | 11,216,722 | |
| | | | | | | | |
SOFTWARE–0.2% | | | | | | | | |
Dolby Laboratories, Inc.–Class A | | | 15,824 | | | | 1,506,761 | |
| | | | | | | | |
| | | | | | | 122,353,315 | |
| | | | | | | | |
CONSUMER DISCRETIONARY–10.4% | | | | | | | | |
AUTO COMPONENTS–0.9% | | | | | | | | |
BorgWarner, Inc. | | | 190,851 | | | | 8,601,655 | |
| | | | | | | | |
DISTRIBUTORS–2.5% | | | | | | | | |
LKQ Corp. | | | 383,116 | | | | 22,998,453 | |
| | | | | | | | |
HOUSEHOLD DURABLES–2.3% | | | | | | | | |
DR Horton, Inc. | | | 193,071 | | | | 20,938,550 | |
| | | | | | | | |
INTERNET & DIRECT MARKETING RETAIL–0.3% | | | | | | | | |
eBay, Inc. | | | 43,852 | | | | 2,916,158 | |
| | | | | | | | |
MULTILINE RETAIL–2.6% | | | | | | | | |
Target Corp. | | | 101,632 | | | | 23,521,710 | |
| | | | | | | | |
SPECIALTY RETAIL–1.5% | | | | | | | | |
AutoZone, Inc.(a) | | | 4,993 | | | | 10,467,275 | |
Murphy USA, Inc. | | | 18,030 | | | | 3,592,297 | |
| | | | | | | | |
| | | | | | | 14,059,572 | |
| | | | | | | | |
TEXTILES, APPAREL & LUXURY GOODS–0.3% | | | | | | | | |
Deckers Outdoor Corp.(a) | | | 8,335 | | | | 3,053,194 | |
| | | | | | | | |
| | | | | | | 96,089,292 | |
| | | | | | | | |
CONSUMER STAPLES–6.3% | | | | | | | | |
FOOD & STAPLES RETAILING–2.7% | | | | | | | | |
Walmart, Inc. | | | 172,554 | | | | 24,966,838 | |
| | | | | | | | |
TOBACCO–3.6% | | | | | | | | |
Philip Morris International, Inc. | | | 346,284 | | | | 32,896,980 | |
| | | | | | | | |
| | | | | | | 57,863,818 | |
| | | | | | | | |
COMMUNICATION SERVICES–5.7% | | | | | | | | |
DIVERSIFIED TELECOMMUNICATION SERVICES–5.7% | | | | | | | | |
Comcast Corp.–Class A | | | 641,683 | | | | 32,295,906 | |
Verizon Communications, Inc. | | | 396,270 | | | | 20,590,189 | |
| | | | | | | | |
| | | | | | | 52,886,095 | |
| | | | | | | | |
REAL ESTATE–3.1% | | | | | | | | |
EQUITY REAL ESTATE INVESTMENT TRUSTS (REITs)–0.6% | | | | | | | | |
Weyerhaeuser Co. | | | 134,460 | | | | 5,537,063 | |
| | | | | | | | |
| | | | | | | | |
REAL ESTATE MANAGEMENT & DEVELOPMENT–2.5% | | | | | | | | |
CBRE Group, Inc.–Class A(a) | | | 214,727 | | | | 23,300,027 | |
| | | | | | | | |
| | | | | | | 28,837,090 | |
| | | | | | | | |
ENERGY–3.0% | | | | | | | | |
ENERGY EQUIPMENT & SERVICES–0.4% | | | | | | | | |
Helmerich & Payne, Inc. | | | 147,522 | | | | 3,496,271 | |
| | | | | | | | |
OIL, GAS & CONSUMABLE FUELS–2.6% | | | | | | | | |
Chevron Corp. | | | 57,254 | | | | 6,718,757 | |
ConocoPhillips | | | 92,751 | | | | 6,694,767 | |
EOG Resources, Inc. | | | 126,418 | | | | 11,229,711 | |
| | | | | | | | |
| | | | | | | 24,643,235 | |
| | | | | | | | |
| | | | | | | 28,139,506 | |
| | | | | | | | |
MATERIALS–2.5% | | | | | | | | |
CHEMICALS–1.0% | | | | | | | | |
Mosaic Co. (The) | | | 224,660 | | | | 8,826,892 | |
| | | | | | | | |
METALS & MINING–1.5% | | | | | | | | |
BHP Group Ltd. (Sponsored ADR)(b) | | | 112,308 | | | | 6,777,788 | |
Steel Dynamics, Inc. | | | 118,848 | | | | 7,376,895 | |
| | | | | | | | |
| | | | | | | 14,154,683 | |
| | | | | | | | |
| | | | | | | 22,981,575 | |
| | | | | | | | |
UTILITIES–1.0% | | | | | | | | |
ELECTRIC UTILITIES–1.0% | | | | | | | | |
IDACORP, Inc. | | | 79,565 | | | | 9,015,510 | |
| | | | | | | | |
Total Common Stocks
(cost $674,104,500) | | | | | | | 906,130,686 | |
| | | | | | | | |
SHORT-TERM INVESTMENTS–1.8% | | | | | | | | |
INVESTMENT COMPANIES–1.8% | | | | | | | | |
AB Fixed Income Shares, Inc.–Government Money Market Portfolio–
Class AB, 0.01%(c)(d)(e)
(cost $16,506,798) | | | 16,506,798 | | | | 16,506,798 | |
| | | | | | | | |
TOTAL INVESTMENTS BEFORE SECURITY LENDING COLLATERAL FOR SECURITIES LOANED–100.0%
(cost $690,611,298) | | | | | | | 922,637,484 | |
| | | | | | | | |
7
| | |
| GROWTH AND INCOME PORTFOLIO | | |
| PORTFOLIO OF INVESTMENTS | | |
| |
| (continued) | | AB Variable Products Series Fund |
| | | | | | | | |
Company | | Shares | | | U.S. $ Value | |
| | | | | | | | |
INVESTMENTS OF CASH COLLATERAL FOR SECURITIES LOANED–0.7% | | | | | | | | |
INVESTMENT COMPANIES–0.7% | | | | | | | | |
AB Fixed Income Shares, Inc.–Government Money Market Portfolio–Class AB, 0.01%(c)(d)(e)
(cost $6,837,816) | | | 6,837,816 | | | $ | 6,837,816 | |
| | | | | | | | |
TOTAL INVESTMENTS–100.7%
(cost $697,449,114) | | | | | | | 929,475,300 | |
Other assets less liabilities–(0.7)% | | | | | | | (6,723,483 | ) |
| | | | | | | | |
NET ASSETS–100.0% | | | | | | $ | 922,751,817 | |
| | | | | | | | |
| (a) | | Non-income producing security. |
| (b) | | Represents entire or partial securities out on loan. See Note E for securities lending information. |
| (c) | | Affiliated investments. |
| (d) | | The rate shown represents the 7-day yield as of period end. |
| (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, or call AB at (800) 227-4618. |
Glossary:
ADR—American Depositary Receipt
REIT—Real Estate Investment Trust
See notes to financial statements.
8
| | |
| GROWTH AND INCOME PORTFOLIO | | |
| STATEMENT OF ASSETS & LIABILITIES | | |
| |
| December 31, 2021 | | AB Variable Products Series Fund |
| | | | |
ASSETS | | | | |
Investments in securities, at value | | | | |
Unaffiliated issuers (cost $674,104,500) | | $ | 906,130,686 | (a) |
Affiliated issuers (cost $23,344,614—including investment of cash collateral for securities loaned of $6,837,816) | | | 23,344,614 | |
Unaffiliated dividends receivable | | | 1,257,876 | |
Receivable for capital stock sold | | | 201,225 | |
Affiliated dividends receivable | | | 167 | |
| | | | |
Total assets | | | 930,934,568 | |
| | | | |
LIABILITIES | |
Payable for collateral received on securities loaned | | | 6,837,816 | |
Advisory fee payable | | | 419,374 | |
Payable for capital stock redeemed | | | 369,917 | |
Distribution fee payable | | | 155,954 | |
Administrative fee payable | | | 22,472 | |
Transfer Agent fee payable | | | 146 | |
Accrued expenses | | | 377,072 | |
| | | | |
Total liabilities | | | 8,182,751 | |
| | | | |
NET ASSETS | | $ | 922,751,817 | |
| | | | |
COMPOSITION OF NET ASSETS | |
Capital stock, at par | | $ | 25,457 | |
Additional paid-in capital | | | 547,946,581 | |
Distributable earnings | | | 374,779,779 | |
| | | | |
NET ASSETS | | $ | 922,751,817 | |
| | | | |
Net Asset Value Per Share—1 billion shares of capital stock authorized, $.001 par value
| | | | | | | | | | | | |
| Class | | Net Assets | | | Shares
Outstanding | | | Net Asset
Value | |
| | | |
| A | | $ | 170,189,828 | | | | 4,621,208 | | | $ | 36.83 | |
| | | |
| B | | $ | 752,561,989 | | | | 20,836,034 | | | $ | 36.12 | |
| (a) | | Includes securities on loan with a value of $6,709,954 (see Note E). |
See notes to financial statements.
9
| | |
| GROWTH AND INCOME PORTFOLIO | | |
| STATEMENT OF OPERATIONS | | |
| |
| Year Ended December 31, 2021 | | AB Variable Products Series Fund |
| | | | |
INVESTMENT INCOME | | | | |
Dividends | | | | |
Unaffiliated issuers (net of foreign taxes withheld of $126,610) | | $ | 18,353,222 | |
Affiliated issuers | | | 5,174 | |
Securities lending income | | | 53,948 | |
| | | | |
| | | 18,412,344 | |
| | | | |
EXPENSES | | | | |
Advisory fee (see Note B) | | | 5,912,227 | |
Distribution fee—Class B | | | 2,280,997 | |
Transfer agency—Class A | | | 1,526 | |
Transfer agency—Class B | | | 8,446 | |
Custody and accounting | | | 147,716 | |
Administrative | | | 87,359 | |
Legal | | | 73,569 | |
Printing | | | 58,050 | |
Audit and tax | | | 45,557 | |
Directors’ fees | | | 31,923 | |
Miscellaneous | | | 30,674 | |
| | | | |
Total expenses | | | 8,678,044 | |
Less: expenses waived and reimbursed by the Adviser (see Notes B & E) | | | (25,574 | ) |
| | | | |
Net expenses | | | 8,652,470 | |
| | | | |
Net investment income | | | 9,759,874 | |
| | | | |
REALIZED AND UNREALIZED GAIN ON INVESTMENT TRANSACTIONS | | | | |
Net realized gain on investment transactions(a) | | | 232,012,332 | |
Net change in unrealized appreciation/depreciation of investments | | | 23,259,079 | |
| | | | |
Net gain on investment transactions | | | 255,271,411 | |
| | | | |
NET INCREASE IN NET ASSETS FROM OPERATIONS | | $ | 265,031,285 | |
| | | | |
| (a) | | On October 22, 2021, the Portfolio had a redemption-in-kind with total proceeds in the amount of $210,503,898. The realized gain of $58,959,295, resulting from redemption-in-kind, will not be recognized for tax purposes. |
See notes to financial statements.
10
| | |
| | | |
| GROWTH AND INCOME PORTFOLIO | | |
| |
| STATEMENT OF CHANGES IN NET ASSETS | | AB Variable Products Series Fund |
| | | | | | | | |
| | | Year Ended
December 31,
2021 | | | Year Ended
December 31,
2020 | |
INCREASE (DECREASE) IN NET ASSETS FROM OPERATIONS | |
Net investment income | | $ | 9,759,874 | | | $ | 12,028,926 | |
Net realized gain (loss) on investment transactions | | | 232,012,332 | | | | (36,028,265 | ) |
Net change in unrealized appreciation/depreciation of investments | | | 23,259,079 | | | | 38,846,348 | |
| | | | | | | | |
Net increase in net assets from operations | | | 265,031,285 | | | | 14,847,009 | |
Distributions to Shareholders | |
Class A | | | (1,352,804 | ) | | | (9,106,244 | ) |
Class B | | | (6,060,547 | ) | | | (53,075,328 | ) |
CAPITAL STOCK TRANSACTIONS | |
Net decrease | | | (346,850,196 | ) | | | (19,049,810 | ) |
| | | | | | | | |
Total decrease | | | (89,232,262 | ) | | | (66,384,373 | ) |
NET ASSETS | |
Beginning of period | | | 1,011,984,079 | | | | 1,078,368,452 | |
| | | | | | | | |
End of period | | $ | 922,751,817 | | | $ | 1,011,984,079 | |
| | | | | | | | |
See notes to financial statements.
11
| | |
| GROWTH AND INCOME PORTFOLIO | | |
| NOTES TO FINANCIAL STATEMENTS | | |
| |
| December 31, 2021 | | AB Variable Products Series Fund |
NOTE A: Significant Accounting Policies
The AB Growth and Income Portfolio (the “Portfolio”) is a series of AB Variable Products Series Fund, Inc. (the “Fund”). The Portfolio’s investment objective is long-term growth of capital. The Portfolio is diversified as defined under the Investment Company Act of 1940. The Fund was incorporated in the State of Maryland as an open-end series investment company. The Fund offers 11 separately managed pools of assets which have differing investment objectives and policies. The Portfolio offers Class A and Class B shares. Both classes of shares have identical voting, dividend, liquidating and other rights, except that Class B shares bear a distribution expense and have exclusive voting rights with respect to the Class B distribution plan.
The Portfolio offers and sells its shares only to separate accounts of certain life insurance companies for the purpose of funding variable annuity contracts and variable life insurance policies. Sales are made without a sales charge at the Portfolio’s net asset value per share.
The financial statements have been prepared in conformity with U.S. generally accepted accounting principles (“U.S. GAAP”), which require management to make certain estimates and assumptions that affect the reported amounts of assets and liabilities in the financial statements and amounts of income and expenses during the reporting period. Actual results could differ from those estimates. The Portfolio is an investment company under U.S. GAAP and follows the accounting and reporting guidance applicable to investment companies. The following is a summary of significant accounting policies followed by the Portfolio.
1. Security Valuation
Portfolio securities are valued at their current market value determined on the basis of market quotations or, if market quotations are not readily available or are deemed unreliable, at “fair value” as determined in accordance with procedures established by and under the general supervision of the Fund’s Board of Directors (the “Board”).
In general, the market values of securities which are readily available and deemed reliable are determined as follows: securities listed on a national securities exchange (other than securities listed on the NASDAQ Stock Market, Inc. (“NASDAQ”)) or on a foreign securities exchange are valued at the last sale price at the close of the exchange or foreign securities exchange. If there has been no sale on such day, the securities are valued at the last traded price from the previous day. Securities listed on more than one exchange are valued by reference to the principal exchange on which the securities are traded; securities listed only on NASDAQ are valued in accordance with the NASDAQ Official Closing Price; listed or over the counter (“OTC”) market put or call options are valued at the mid level between the current bid and ask prices. If either a current bid or current ask price is unavailable, AllianceBernstein L.P. (the “Adviser”) will have discretion to determine the best valuation (e.g., last trade price in the case of listed options); open futures are valued using the closing settlement price or, in the absence of such a price, the most recent quoted bid price. If there are no quotations available for the day of valuation, the last available closing settlement price is used; U.S. Government securities and any other debt instruments having 60 days or less remaining until maturity are generally valued at market by an independent pricing vendor, if a market price is available. If a market price is not available, the securities are valued at amortized cost. This methodology is commonly used for short term securities that have an original maturity of 60 days or less, as well as short term securities that had an original term to maturity that exceeded 60 days. In instances when amortized cost is utilized, the Valuation Committee (the “Committee”) must reasonably conclude that the utilization of amortized cost is approximately the same as the fair value of the security. Factors the Committee will consider include, but are not limited to, an impairment of the creditworthiness of the issuer or material changes in interest rates. Fixed-income securities, including mortgage-backed and asset-backed securities, may be valued on the basis of prices provided by a pricing service or at a price obtained from one or more of the major broker-dealers. In cases where broker-dealer quotes are obtained, the Adviser may establish procedures whereby changes in market yields or spreads are used to adjust, on a daily basis, a recently obtained quoted price on a security. Swaps and other derivatives are valued daily, primarily using independent pricing services, independent pricing models using market inputs, as well as third party broker-dealers or counterparties. Open-end mutual funds are valued at the closing net asset value per share, while exchange traded funds are valued at the closing market price per share.
Securities for which market quotations are not readily available (including restricted securities) or are deemed unreliable are valued at fair value as deemed appropriate by the Adviser. Factors considered in making this determination may include, but are not limited to, information obtained by contacting the issuer, analysts, analysis of the issuer’s financial statements or other available documents. In addition, the Portfolio may use fair value pricing for securities primarily traded in non-U.S. markets because most foreign markets close well before the Portfolio values its securities at 4:00 p.m., Eastern Time. The
12
| | |
| |
| | | AB Variable Products Series Fund |
earlier close of these foreign markets gives rise to the possibility that significant events, including broad market moves, may have occurred in the interim and may materially affect the value of those securities. To account for this, the Portfolio generally values many of its foreign equity securities using fair value prices based on third party vendor modeling tools to the extent available.
2. Fair Value Measurements
In accordance with U.S. GAAP regarding fair value measurements, fair value is defined as the price that the Portfolio 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 as described in Note A.1 above). 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 Portfolio. Unobservable inputs reflect the Portfolio’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) |
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.
The following table summarizes the valuation of the Portfolio’s investments by the above fair value hierarchy levels as of December 31, 2021:
| | | | | | | | | | | | | | | | |
| | | Level 1 | | | Level 2 | | | Level 3 | | | Total | |
Investments in Securities: | | | | | | | | | | | | | | | | |
Assets: | |
Common Stocks(a) | | $ | 906,130,686 | | | $ | –0 | – | | $ | –0 | – | | $ | 906,130,686 | |
Short-Term Investments | | | 16,506,798 | | | | –0 | – | | | –0 | – | | | 16,506,798 | |
Investments of Cash Collateral for Securities Loaned in Affiliated Money Market Fund | | | 6,837,816 | | | | –0 | – | | | –0 | – | | | 6,837,816 | |
| | | | | | | | | | | | | | | | |
Total Investments in Securities | | | 929,475,300 | | | | –0 | – | | | –0 | – | | | 929,475,300 | |
Other Financial Instruments(b) | | | –0 | – | | | –0 | – | | | –0 | – | | | –0 | – |
| | | | | | | | | | | | | | | | |
Total | | $ | 929,475,300 | | | $ | –0 | – | | $ | –0 | – | | $ | 929,475,300 | |
| | | | | | | | | | | | | | | | |
| (a) | | See Portfolio of Investments for sector classifications. |
| (b) | | 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. |
3. Currency Translation
Assets and liabilities denominated in foreign currencies and commitments under forward currency exchange contracts are translated into U.S. dollars at the mean of the quoted bid and ask prices of such currencies against the U.S. dollar. Purchases
13
| | |
| GROWTH AND INCOME PORTFOLIO | | |
| NOTES TO FINANCIAL STATEMENTS | | |
| |
| (continued) | | AB Variable Products Series Fund |
and sales of portfolio securities are translated into U.S. dollars at the rates of exchange prevailing when such securities were acquired or sold. Income and expenses are translated into U.S. dollars at rates of exchange prevailing when accrued.
Net realized gain or loss on foreign currency transactions represents foreign exchange gains and losses from sales and maturities of foreign fixed income investments, holding of foreign currencies, currency gains or losses realized between the trade and settlement dates on foreign investment transactions, and the difference between the amounts of dividends, interest and foreign withholding taxes recorded on the Portfolio’s books and the U.S. dollar equivalent amounts actually received or paid. Net unrealized currency gains and losses from valuing foreign currency denominated assets and liabilities at period end exchange rates are reflected as a component of net unrealized appreciation or depreciation of foreign currency denominated assets and liabilities.
4. Taxes
It is the Portfolio’s policy to meet the requirements of the Internal Revenue Code applicable to regulated investment companies and to distribute all of its investment company taxable income and net realized gains, if any, to shareholders. Therefore, no provisions for federal income or excise taxes are required. The Portfolio may be subject to taxes imposed by countries in which it invests. Such taxes are generally based on income and/or capital gains earned or repatriated. Taxes are accrued and applied to net investment income, net realized gains and net unrealized appreciation/depreciation as such income and/or gains are earned.
In accordance with U.S. GAAP requirements regarding accounting for uncertainties in income taxes, management has analyzed the Portfolio’s tax positions taken or expected to be taken on federal and state income tax returns for all open tax years (the current and the prior three tax years) and has concluded that no provision for income tax is required in the Portfolio’s financial statements.
5. Investment Income and Investment Transactions
Dividend income is recorded on the ex-dividend date or as soon as the Portfolio is informed of the dividend. Interest income is accrued daily. Investment transactions are accounted for on the date the securities are purchased or sold. Investment gains or losses are determined on the identified cost basis. The Portfolio amortizes premiums and accretes discounts as adjustments to interest income. The Portfolio accounts for distributions received from REIT investments or from regulated investment companies as dividend income, realized gain, or return of capital based on information provided by the REIT or the investment company.
6. Class Allocations
All income earned and expenses incurred by the Portfolio are borne on a pro-rata basis by each outstanding class of shares, based on the proportionate interest in the Portfolio represented by the net assets of such class, except for class specific expenses which are allocated to the respective class. Expenses of the Fund are charged proportionately to each portfolio or based on other appropriate methods. Realized and unrealized gains and losses are allocated among the various share classes based on respective net assets.
7. Dividends and Distributions
Dividends and distributions to shareholders, if any, are recorded on the ex-dividend date. Income dividends and capital gains distributions are determined in accordance with federal tax regulations and may differ from those determined in accordance with U.S. GAAP. To the extent these differences are permanent, such amounts are reclassified within the capital accounts based on their federal tax basis treatment; temporary differences do not require such reclassification.
NOTE B: Advisory Fee and Other Transactions with Affiliates
Under the terms of the investment advisory agreement, the Portfolio pays the Adviser an advisory fee at an annual rate of .55% of the first $2.5 billion, ..45% of the next $2.5 billion and .40% in excess of $5 billion, of the Portfolio’s average daily net assets. The fee is accrued daily and paid monthly.
Pursuant to the investment advisory agreement, the Portfolio may reimburse the Adviser for certain legal and accounting services provided to the Portfolio by the Adviser. For the year ended December 31, 2021, the reimbursement for such services amounted to $87,359.
The Portfolio compensates AllianceBernstein Investor Services, Inc. (“ABIS”), a wholly-owned subsidiary of the Adviser, under a Transfer Agency Agreement for providing personnel and facilities to perform transfer agency services for the Portfolio. Such compensation retained by ABIS amounted to $1,636 for the year ended December 31, 2021.
14
| | |
| |
| | | AB Variable Products Series Fund |
The Portfolio may invest in AB Government Money Market Portfolio (the “Government Money Market Portfolio”) which has a contractual annual advisory fee rate of .20% of the portfolio’s average daily net assets and bears its own expenses. The Adviser has contractually agreed to waive .10% of the advisory fee of Government Money Market Portfolio (resulting in a net advisory fee of .10%) until August 31, 2022. In connection with the investment by the Portfolio in Government Money Market Portfolio, the Adviser has contractually agreed to waive its advisory fee from the Portfolio in an amount equal to the Portfolio’s pro rata share of the effective advisory fee of Government Money Market Portfolio, as borne indirectly by the Portfolio as an acquired fund fee and expense. For the year ended December 31, 2021, such waiver amounted to $25,381.
A summary of the Portfolio’s transactions in AB mutual funds for the year ended December 31, 2021 is as follows:
| | | | | | | | | | | | | | | | | | | | |
Portfolio | | Market Value
12/31/20
(000) | | | Purchases
at Cost
(000) | | | Sales
Proceeds
(000) | | | Market Value
12/31/21
(000) | | | Dividend
Income
(000) | |
Government Money Market Portfolio | | $ | 38,262 | | | $ | 357,687 | | | $ | 379,442 | | | $ | 16,507 | | | $ | 5 | |
Government Money Market Portfolio* | | | 13,101 | | | | 48,476 | | | | 54,739 | | | | 6,838 | | | | 1 | |
| | | | | | | | | | | | | | | | | | | | |
Total | | | | | | | | | | | | | | $ | 23,345 | | | $ | 6 | |
| | | | | | | | | | | | | | | | | | | | |
| * | | Investments of cash collateral for securities lending transactions (see Note E). |
NOTE C: Distribution Plan
The Portfolio has adopted a Distribution Plan (the “Plan”) for Class B shares pursuant to Rule 12b-1 under the Investment Company Act of 1940. Under the Plan, the Portfolio pays distribution and servicing fees to AllianceBernstein Investments, Inc. (the “Distributor”), a wholly-owned subsidiary of the Adviser, at an annual rate of up to .50% of the Portfolio’s average daily net assets attributable to Class B shares. The fees are accrued daily and paid monthly. The Board currently limits payments under the Plan to .25% of the Portfolio’s average daily net assets attributable to Class B shares. The Plan provides that the Distributor will use such payments in their entirety for distribution assistance and promotional activities.
The Portfolio is not obligated under the Plan to pay any distribution and servicing fees in excess of the amounts set forth above. The purpose of the payments to the Distributor under the Plan is to compensate the Distributor for its distribution services with respect to the sale of the Portfolio’s Class B shares. Since the Distributor’s compensation is not directly tied to its expenses, the amount of compensation received by it under the Plan during any year may be more or less than its actual expenses. For this reason, the Plan is characterized by the staff of the Securities and Exchange Commission as being of the “compensation” variety.
In the event that the Plan is terminated or not continued, no distribution or servicing fees (other than current amounts accrued but not yet paid) would be owed by the Portfolio to the Distributor.
The Plan also provides that the Adviser may use its own resources to finance the distribution of the Portfolio’s shares.
NOTE D: Investment Transactions
Purchases and sales of investment securities (excluding short-term investments) for the year ended December 31, 2021 were as follows:
| | | | | | | | |
| | | Purchases | | | Sales | |
Investment securities (excluding U.S. government securities) | | $ | 517,717,088 | | | $ | 630,598,095 | |
U.S. government securities | | | –0 | – | | | –0 | – |
The cost of investments for federal income tax purposes, gross unrealized appreciation and unrealized depreciation are as follows:
| | | | |
Cost | | $ | 701,493,898 | |
| | | | |
Gross unrealized appreciation | | $ | 238,506,952 | |
Gross unrealized depreciation | | | (10,525,550 | ) |
| | | | |
Net unrealized appreciation | | $ | 227,981,402 | |
| | | | |
1. Derivative Financial Instruments
The Portfolio may use derivatives in an effort to earn income and enhance returns, to replace more traditional direct investments, to obtain exposure to otherwise inaccessible markets (collectively, “investment purposes”), or to hedge or adjust the risk profile of its portfolio.
15
| | |
| GROWTH AND INCOME PORTFOLIO | | |
| NOTES TO FINANCIAL STATEMENTS | | |
| |
| (continued) | | AB Variable Products Series Fund |
The Portfolio did not engage in derivatives transactions for the year ended December 31, 2021.
2. Currency Transactions
The Portfolio may invest in non-U.S. Dollar-denominated securities on a currency hedged or unhedged basis. The Portfolio may seek investment opportunities by taking long or short positions in currencies through the use of currency-related derivatives, including forward currency exchange contracts, futures and options on futures, swaps, and other options. The Portfolio may enter into transactions for investment opportunities when it anticipates that a foreign currency will appreciate or depreciate in value but securities denominated in that currency are not held by the Portfolio and do not present attractive investment opportunities. Such transactions may also be used when the Adviser believes that it may be more efficient than a direct investment in a foreign currency-denominated security. The Portfolio may also conduct currency exchange contracts on a spot basis (i.e., for cash at the spot rate prevailing in the currency exchange market for buying or selling currencies).
NOTE E: Securities Lending
The Portfolio may enter into securities lending transactions. Under the Portfolio’s securities lending program, all loans of securities will be collateralized continually by cash collateral and/or non-cash collateral. Non-cash collateral will include only securities issued or guaranteed by the U.S. government or its agencies or instrumentalities. The Portfolio cannot sell or repledge any non-cash collateral, such collateral will not be reflected in the portfolio of investments. If a loan is collateralized by cash, the Portfolio will be compensated for the loan from a portion of the net return from the income earned on cash collateral after a rebate is paid to the borrower (in some cases, this rebate may be a “negative rebate” or fee paid by the borrower to the Portfolio in connection with the loan), and payments are made for fees of the securities lending agent and for certain other administrative expenses. If the Portfolio receives non-cash collateral, the Portfolio will receive a fee from the borrower generally equal to a negotiated percentage of the market value of the loaned securities. The Portfolio will have the right to call a loan and obtain the securities loaned at any time on notice to the borrower within the normal and customary settlement time for the securities. While the securities are on loan, the borrower is obligated to pay the Portfolio amounts equal to any dividend income or other distributions from the securities; however, these distributions will not be afforded the same preferential tax treatment as qualified dividends. The Portfolio will not be able to exercise voting rights with respect to any securities during the existence of a loan, but will have the right to regain ownership of loaned securities in order to exercise voting or other ownership rights. Collateral received and securities loaned are marked to market daily to ensure that the securities loaned are secured by collateral. The lending agent currently invests the cash collateral received in Government Money Market Portfolio, an eligible money market vehicle, in accordance with the investment restrictions of the Portfolio, and as approved by the Board. The collateral received on securities loaned is recorded as an asset as well as a corresponding liability in the statement of assets and liabilities. The collateral will be adjusted the next business day to maintain the required collateral amount. The amounts of securities lending income from the borrowers and Government Money Market Portfolio are reflected in the statement of operations. When the Portfolio earns net securities lending income from Government Money Market Portfolio, the income is inclusive of a rebate expense paid to the borrower. In connection with the cash collateral investment by the Portfolio in Government Money Market Portfolio, the Adviser has agreed to waive a portion of the Portfolio’s share of the advisory fees of Government Money Market Portfolio, as borne indirectly by the Portfolio as an acquired fund fee and expense. When the Portfolio lends securities, its investment performance will continue to reflect changes in the value of the securities loaned. A principal risk of lending portfolio securities is that the borrower may fail to return the loaned securities upon termination of the loan and that the collateral will not be sufficient to replace the loaned securities. The lending agent has agreed to indemnify the Portfolio in the case of default of any securities borrower.
A summary of the Portfolio’s transactions surrounding securities lending for the year ended December 31, 2021 is as follows:
| | | | | | | | | | | | | | | | | | | | | | |
Market Value of
Securities on Loan* | | | Cash Collateral* | | | Market Value of
Non-Cash
Collateral* | | | Income from
Borrowers | | | Government Money Market
Portfolio | |
| | Income Earned | | | Advisory Fee
Waived | |
| $ | 6,709,954 | | | $ | 6,837,816 | | | $ | –0– | | | $ | 52,945 | | | $ | 1,003 | | | $ | 193 | |
| * | | As of December 31, 2021. |
16
| | |
| |
| | | AB Variable Products Series Fund |
NOTE F: Capital Stock
Each class consists of 500,000,000 authorized shares. Transactions in capital shares for each class were as follows:
| | | | | | | | | | | | | | | | | | | | |
| | | SHARES | | | | | | AMOUNT | |
| | | Year Ended
December 31,
2021 | | | Year Ended
December 31,
2020 | | | | | | Year Ended
December 31,
2021 | | | Year Ended
December 31,
2020 | |
Class A | |
Shares sold | | | 519,539 | | | | 711,385 | | | | | | | $ | 17,715,000 | | | $ | 18,355,193 | |
Shares issued in reinvestment of dividends and distributions | | | 38,563 | | | | 361,798 | | | | | | | | 1,352,804 | | | | 9,106,244 | |
Shares redeemed | | | (881,629 | ) | | | (1,268,671 | ) | | | | | | | (29,886,720 | ) | | | (32,792,160 | ) |
| | | | | | | | | | | | | | | | | | | | |
Net decrease | | | (323,527 | ) | | | (195,488 | ) | | | | | | $ | (10,818,916 | ) | | $ | (5,330,723 | ) |
| | | | | | | | | | | | | | | | | | | | |
Class B | |
Shares sold | | | 1,732,963 | | | | 2,404,541 | | | | | | | $ | 57,304,403 | | | $ | 60,446,536 | |
Shares issued in reinvestment of dividends and distributions | | | 175,974 | | | | 2,145,887 | | | | | | | | 6,060,547 | | | | 53,075,328 | |
Shares redeemed | | | (11,625,535 | ) | | | (4,994,251 | ) | | | | | | | (399,396,230 | ) | | | (127,240,951 | ) |
| | | | | | | | | | | | | | | | | | | | |
Net decrease | | | (9,716,598 | ) | | | (443,823 | ) | | | | | | $ | (336,031,280 | ) | | $ | (13,719,087 | ) |
| | | | | | | | | | | | | | | | | | | | |
At December 31, 2021, certain shareholders of the Portfolio owned 49% in aggregate of the Portfolio’s outstanding shares. Significant transactions by such shareholders, if any, may impact the Portfolio’s performance.
NOTE G: Risks Involved in Investing in the Portfolio
Market Risk—The value of the Portfolio’s assets will fluctuate as the stock or bond market fluctuates. The value of its investments may decline, sometimes rapidly and unpredictably, simply because of economic changes or other events, including public health crises (including the occurrence of a contagious disease or illness), that affect large portions of the market. It includes the risk that a particular style of investing, such as the Portfolio’s value approach, may be underperforming the market generally.
Capitalization Risk—Investments in small- and mid-capitalization companies may be more volatile than investments in large-capitalization companies. Investments in small- and mid-capitalization companies may have additional risks because these companies may have limited product lines, markets or financial resources.
Derivatives Risk—Derivatives may be difficult to price or unwind and leveraged so that small changes may produce disproportionate losses for the Portfolio. Derivatives, especially over-the-counter derivatives, are also subject to counterparty risk, which is the risk that the counterparty (the party on the other side of the transaction) on a derivative transaction will be unable or unwilling to honor its contractual obligation to the Portfolio.
LIBOR Transition and Associated Risk—A Portfolio may be exposed to debt securities, derivatives or other financial instruments that are tied to the London Interbank Offered Rate, or “LIBOR,” as a “benchmark” or “reference rate” for various interest rate calculations. In 2017, the United Kingdom Financial Conduct Authority (“FCA”), which regulates LIBOR, announced a desire to phase out the use of LIBOR by the end of 2021. The FCA and LIBOR’s administrator, ICE Benchmark Administration, have since announced that most LIBOR settings (which reflect LIBOR rates quoted in different currencies over various time periods) will no longer be published after the end of 2021 but that the most widely used U.S. dollar LIBOR settings will continue to be published until June 30, 2023. However, banks were strongly encouraged to cease entering into agreements with counterparties referencing LIBOR by the end of 2021. It is possible that a subset of LIBOR settings will be published after these dates on a “synthetic” basis, but any such publications would be considered non-representative of the underlying market. The U.S. Federal Reserve, based on the recommendations of the New York Federal Reserve’s Alternative Reference Rate Committee (comprised of major derivative market participants and their regulators), has begun publishing a Secured Overnight Funding Rate (referred to as SOFR), which is intended to replace U.S. dollar LIBOR. Proposals for alternative reference rates for other currencies have also been announced or have already begun publication. Markets are slowly developing in response to these new rates.
17
| | |
| GROWTH AND INCOME PORTFOLIO | | |
| NOTES TO FINANCIAL STATEMENTS | | |
| |
| (continued) | | AB Variable Products Series Fund |
The elimination of LIBOR or changes to other reference rates or any other changes or reforms to the determination or supervision of reference rates could have an adverse impact on the market for, or value of, any securities or payments linked to those reference rates, which may adversely affect a Portfolio’s performance and/or net asset value. Uncertainty and risk also remain regarding the willingness and ability of issuers and lenders to include revised provisions in new and existing contracts or instruments. Consequently, the transition away from LIBOR to other reference rates may lead to increased volatility and illiquidity in markets that are tied to LIBOR, fluctuations in values of LIBOR-related investments or investments in issuers that utilize LIBOR, increased difficulty in borrowing or refinancing and diminished effectiveness of hedging strategies, potentially adversely affecting a Portfolio’s performance. Furthermore, the risks associated with the expected discontinuation of LIBOR and transition may be exacerbated if the work necessary to effect an orderly transition to an alternative reference rate is not completed in a timely manner. The potential effects of a phase out of LIBOR on LIBOR-based investments are currently unknown.
Indemnification Risk—In the ordinary course of business, the Portfolio enters into contracts that contain a variety of indemnifications. The Portfolio’s maximum exposure under these arrangements is unknown. However, the Portfolio has not had prior claims or losses pursuant to these indemnification provisions and expects the risk of loss thereunder to be remote. Therefore, the Portfolio has not accrued any liability in connection with these indemnification provisions.
Management Risk—The Portfolio is subject to management risk because it is an actively-managed investment fund. The Adviser will apply its investment techniques and risk analyses in making investment decisions for the Portfolio, but there is no guarantee that its techniques will produce the intended results. Some of these techniques may incorporate, or rely upon, quantitative models, but there is no guarantee that these models will generate accurate forecasts, reduce risk or otherwise perform as expected.
NOTE H: Joint Credit Facility
A number of open-end mutual funds managed by the Adviser, including the Portfolio, participate in a $325 million revolving credit facility (the “Facility”) intended to provide short-term financing related to redemptions and other short term liquidity requirements, subject to certain restrictions. Commitment fees related to the Facility are paid by the participating funds and are included in miscellaneous expenses in the statement of operations. The Portfolio did not utilize the Facility during the year ended December 31, 2021.
NOTE I: Distributions to Shareholders
The tax character of distributions paid during the fiscal years ended December 31, 2021 and December 31, 2020 were as follows:
| | | | | | | | |
| | | 2021 | | | 2020 | |
Distributions paid from: | | | | | | | | |
Ordinary income | | $ | 7,413,351 | | | $ | 17,089,865 | |
Net long-term capital gains | | | –0 | – | | | 45,091,707 | |
| | | | | | | | |
Total taxable distributions paid | | $ | 7,413,351 | | | $ | 62,181,572 | |
| | | | | | | | |
As of December 31, 2021, the components of accumulated earnings/(deficit) on a tax basis were as follows:
| | | | |
Undistributed ordinary income | | $ | 21,192,615 | |
Undistributed capital gains | | | 125,605,762 | (a) |
Unrealized appreciation/(depreciation) | | | 227,981,402 | (b) |
| | | | |
Total accumulated earnings/(deficit) | | $ | 374,779,779 | |
| | | | |
| (a) | | During the fiscal year, the Portfolio utilized $35,158,323 of capital loss carry forwards to offset current year net realized gains. |
| (b) | | The difference between book-basis and tax-basis unrealized appreciation/(depreciation) is attributable primarily to the tax deferral of losses on wash sales. |
For tax purposes, net realized capital losses may be carried over to offset future capital gains, if any. Funds are permitted to carry forward capital losses for an indefinite period, and such losses will retain their character as either short-term or long-term capital losses. As of December 31, 2021, the Portfolio did not have any capital loss carryforwards.
18
| | |
| |
| | | AB Variable Products Series Fund |
During the current fiscal year, permanent differences primarily due to the tax treatment of gains from a redemption-in-kind resulted in a net decrease in distributable earnings and a net increase in additional paid-in capital. These reclassifications had no effect on net assets.
NOTE J: Recent Accounting Pronouncements
In March 2020, the Financial Accounting Standards Board issued an Accounting Standards Update, ASU 2020-04, “Reference Rate Reform (Topic 848)—Facilitation of the Effects of Reference Rate Reform on Financial Reporting.” ASU 2020-04 provides optional guidance to ease the potential accounting burden due to the discontinuation of the LIBOR and other interbank-offered based reference rates. ASU 2020-04 is effective as of March 12, 2020 through December 31, 2022. Management is currently evaluating the impact, if any, of applying ASU 2020-04.
NOTE K: Subsequent Events
Management has evaluated subsequent events for possible recognition or disclosure in the financial statements through the date the financial statements are issued. Management has determined that there are no material events that would require disclosure in the Portfolio’s financial statements through this date.
19
| | |
| | |
| GROWTH AND INCOME PORTFOLIO | | |
| |
| FINANCIAL HIGHLIGHTS | | AB Variable Products Series Fund |
Selected Data For A Share Of Capital Stock Outstanding Throughout Each Period
| | | | | | | | | | | | | | | | | | | | |
| | | CLASS A | |
| | | Year Ended December 31, | |
| | | 2021 | | | 2020 | | | 2019 | | | 2018 | | | 2017 | |
Net asset value, beginning of period | | | $28.97 | | | | $30.30 | | | | $27.78 | | | | $33.35 | | | | $31.21 | |
| | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | |
Income From Investment Operations | | | | | | | | | | | | | | | | | | | | |
Net investment income (a)(b) | | | .38 | | | | .40 | | | | .43 | | | | .41 | | | | .31 | |
Net realized and unrealized gain (loss) on investment transactions | | | 7.76 | | | | .13 | | | | 5.84 | | | | (1.84 | ) | | | 5.21 | |
Contributions from Affiliates | | | –0 | – | | | –0 | – | | | –0 | – | | | –0 | – | | | .00 | (c) |
| | | | | | | | | | | | | | | | | | | | |
Net increase (decrease) in net asset value from operations | | | 8.14 | | | | .53 | | | | 6.27 | | | | (1.43 | ) | | | 5.52 | |
| | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | |
Less: Dividends and Distributions | | | | | | | | | | | | | | | | | | | | |
Dividends from net investment income | | | (.28 | ) | | | (.42 | ) | | | (.39 | ) | | | (.34 | ) | | | (.49 | ) |
Distributions from net realized gain on investment transactions | | | –0 | – | | | (1.44 | ) | | | (3.36 | ) | | | (3.80 | ) | | | (2.89 | ) |
| | | | | | | | | | | | | | | | | | | | |
Total dividends and distributions | | | (.28 | ) | | | (1.86 | ) | | | (3.75 | ) | | | (4.14 | ) | | | (3.38 | ) |
| | | | | | | | | | | | | | | | | | | | |
Net asset value, end of period | | | $36.83 | | | | $28.97 | | | | $30.30 | | | | $27.78 | | | | $33.35 | |
| | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | |
Total Return | | | | | | | | | | | | | | | | | | | | |
Total investment return based on net asset value (d)* | | | 28.15 | % | | | 2.72 | % | | | 23.91 | % | | | (5.61 | )% | | | 18.93 | % |
| | | | | | | | | | | | | | | | | | | | |
Ratios/Supplemental Data | | | | | | | | | | | | | | | | | | | | |
Net assets, end of period (000’s omitted) | | | $170,190 | | | | $143,269 | | | | $155,765 | | | | $133,188 | | | | $159,324 | |
Ratio to average net assets of: | | | | | | | | | | | | | | | | | | | | |
Expenses, net of waivers/reimbursements (e)‡ | | | .59 | % | | | .61 | % | | | .61 | % | | | .59 | % | | | .60 | % |
Expenses, before waivers/reimbursements (e)‡ | | | .59 | % | | | .62 | % | | | .62 | % | | | .60 | % | | | .60 | % |
Net investment income (b) | | | 1.13 | % | | | 1.53 | % | | | 1.43 | % | | | 1.28 | % | | | .97 | % |
Portfolio turnover rate | | | 51 | % | | | 54 | % | | | 66 | % | | | 96 | % | | | 85 | % |
| | | | | | | | | | | | | | | | | | | | |
‡ Expense ratios exclude the estimated acquired fund fees of the affiliated/unaffiliated underlying | |
portfolios | | | .00 | % | | | .01 | % | | | .01 | % | | | .01 | % | | | .00 | % |
See footnote summary on page 22.
20
| | |
| |
| | | AB Variable Products Series Fund |
Selected Data For A Share Of Capital Stock Outstanding Throughout Each Period
| | | | | | | | | | | | | | | | | | | | |
| | | CLASS B | |
| | | Year Ended December 31, | |
| | | 2021 | | | 2020 | | | 2019 | | | 2018 | | | 2017 | |
Net asset value, beginning of period | | | $28.43 | | | | $29.76 | | | | $27.34 | | | | $32.88 | | | | $30.82 | |
| | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | |
Income From Investment Operations | | | | | | | | | | | | | | | | | | | | |
Net investment income (a)(b) | | | .29 | | | | .33 | | | | .35 | | | | .33 | | | | .23 | |
Net realized and unrealized gain (loss) on investment transactions | | | 7.61 | | | | .13 | | | | 5.74 | | | | (1.81 | ) | | | 5.14 | |
Contributions from Affiliates | | | –0 | – | | | –0 | – | | | –0 | – | | | –0 | – | | | .00 | (c) |
| | | | | | | | | | | | | | | | | | | | |
Net increase (decrease) in net asset value from operations | | | 7.90 | | | | .46 | | | | 6.09 | | | | (1.48 | ) | | | 5.37 | |
| | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | |
Less: Dividends and Distributions | | | | | | | | | | | | | | | | | | | | |
Dividends from net investment income | | | (.21 | ) | | | (.35 | ) | | | (.31 | ) | | | (.26 | ) | | | (.42 | ) |
Distributions from net realized gain on investment transactions | | | –0 | – | | | (1.44 | ) | | | (3.36 | ) | | | (3.80 | ) | | | (2.89 | ) |
| | | | | | | | | | | | | | | | | | | | |
Total dividends and distributions | | | (.21 | ) | | | (1.79 | ) | | | (3.67 | ) | | | (4.06 | ) | | | (3.31 | ) |
| | | | | | | | | | | | | | | | | | | | |
Net asset value, end of period | | | $36.12 | | | | $28.43 | | | | $29.76 | | | | $27.34 | | | | $32.88 | |
| | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | |
Total Return | | | | | | | | | | | | | | | | | | | | |
Total investment return based on net asset value (d)* | | | 27.84 | % | | | 2.47 | % | | | 23.61 | % | | | (5.84 | )% | | | 18.59 | % |
| | | | | | | | | | | | | | | | | | | | |
Ratios/Supplemental Data | | | | | | | | | | | | | | | | | | | | |
Net assets, end of period (000’s omitted) | | | $752,562 | | | | $868,715 | | | | $922,603 | | | | $772,904 | | | | $906,790 | |
Ratio to average net assets of: | | | | | | | | | | | | | | | | | | | | |
Expenses, net of waivers/reimbursements (e)‡ | | | .84 | % | | | .86 | % | | | .86 | % | | | .84 | % | | | .85 | % |
Expenses, before waivers/reimbursements (e)‡ | | | .85 | % | | | .87 | % | | | .87 | % | | | .85 | % | | | .85 | % |
Net investment income (b) | | | .87 | % | | | 1.28 | % | | | 1.18 | % | | | 1.03 | % | | | .72 | % |
Portfolio turnover rate | | | 51 | % | | | 54 | % | | | 66 | % | | | 96 | % | | | 85 | % |
| | | | | | | | | | | | | | | | | | | | |
‡ Expense ratios exclude the estimated acquired fund fees of the affiliated/unaffiliated underlying | |
portfolios | | | .00 | % | | | .01 | % | | | .01 | % | | | .01 | % | | | .00 | % |
See footnote summary on page 22.
21
| | |
| GROWTH AND INCOME PORTFOLIO | | |
| FINANCIAL HIGHLIGHTS | | |
| |
| (continued) | | AB Variable Products Series Fund |
| (a) | | Based on average shares outstanding. |
| (b) | | Net of expenses waived/reimbursed by the Adviser. |
| (c) | | Amount is less than $.005. |
| (d) | | Total investment return is calculated assuming an initial investment made at the net asset value at the beginning of the period, reinvestment of all dividends and distributions at net asset value during the period, and redemption on the last day of the period. Total return does not reflect (i) insurance company’s separate account related expense charges and (ii) the deductions of taxes that a shareholder would pay on Portfolio distributions or the redemption of Portfolio shares. Total investment return calculated for a period of less than one year is not annualized. |
| (e) | | In connection with the Portfolio’s investments in affiliated underlying portfolios, the Portfolio incurs no direct expenses, but bears proportionate shares of the fees and expenses (i.e., operating, administrative and investment advisory fees) of the affiliated underlying portfolios. The Adviser has contractually agreed to waive its fees from the Portfolio in an amount equal to the Portfolio’s pro rata share of certain acquired fund fees and expenses, and for the years ended December 31, 2020, December 31, 2019 and December 31, 2018, such waiver amounted to .01%, .01% and .01%, respectively. |
| * | | Includes the impact of proceeds received and credited to the Portfolio resulting from class action settlements, which enhanced the Portfolio’s performance for the years ended December 31, 2019, December 31, 2018 and December 31, 2017 by .15%, .02% and .68%, respectively. |
Includes the impact of a reimbursement from the Adviser as a result of an error made by the Adviser in processing a claim for class action settlement, which enhanced the Portfolio’s performance for the year ended December 31, 2017 by .01%.
See notes to financial statements.
22
| | |
| | |
| REPORT OF INDEPENDENT REGISTERED |
| |
| PUBLIC ACCOUNTING FIRM | | AB Variable Products Series Fund |
To the Shareholders and the Board of Directors of AB Growth and Income Portfolio
Opinion on the Financial Statements
We have audited the accompanying statement of assets and liabilities of AB Growth and Income Portfolio (the “Portfolio”) (one of the portfolios constituting AB Variable Products Series Fund, Inc. (the “Fund”)), including the portfolio of investments, as of December 31, 2021, and the related statement of operations for the year then ended, the statements of changes in net assets for each of the two years in the period then ended, the financial highlights for each of the five years in the period then ended and the related notes (collectively referred to as the “financial statements”). In our opinion, the financial statements present fairly, in all material respects, the financial position of the Portfolio (one of the portfolios constituting AB Variable Products Series Fund, Inc.) at December 31, 2021, the results of its operations for the year then ended, the changes in its net assets for each of the two years in the period then ended and its financial highlights for each of the five years in the period then ended, in conformity with U.S. generally accepted accounting principles.
Basis for Opinion
These financial statements are the responsibility of the Fund’s management. Our responsibility is to express an opinion on the Portfolio’s financial statements based on our audits. We are a public accounting firm registered with the Public Company Accounting Oversight Board (United States) (“PCAOB”) and are required to be independent with respect to the Fund in accordance with the U.S. federal securities laws and the applicable rules and regulations of the Securities and Exchange Commission and the PCAOB.
We conducted our audits in accordance with the standards of the PCAOB. Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements are free of material misstatement, whether due to error or fraud. The Fund is not required to have, nor were we engaged to perform, an audit of the Fund’s internal control over financial reporting. As part of our audits we are required to obtain an understanding of internal control over financial reporting but not for the purpose of expressing an opinion on the effectiveness of the Fund’s internal control over financial reporting. Accordingly, we express no such opinion.
Our audits included performing procedures to assess the risks of material misstatement of the financial statements, whether due to error or fraud, and performing procedures that respond to those risks. Such procedures included examining, on a test basis, evidence regarding the amounts and disclosures in the financial statements. Our procedures included confirmation of securities owned as of December 31, 2021, by correspondence with the custodian and others or by other appropriate auditing procedures where replies from others were not received. Our audits also included evaluating the accounting principles used and significant estimates made by management, as well as evaluating the overall presentation of the financial statements. We believe that our audits provide a reasonable basis for our opinion.
We have served as the auditor of one or more of the AB investment companies since 1968.
New York, New York
February 14, 2022
23
| | |
| | |
| | |
| |
| 2021 FEDERAL TAX INFORMATION (unaudited) | | AB Variable Products Series Fund |
For Federal income tax purposes, the following information is furnished with respect to the distributions paid by the Portfolio during the taxable year ended December 31, 2021. For corporate shareholders, 100.00% of dividends paid qualify for the dividends received deduction.
24
| | |
| | |
| | |
| |
| GROWTH AND INCOME PORTFOLIO | | AB Variable Products Series Fund |
| | |
| BOARD OF DIRECTORS | | |
Marshall C. Turner, Jr.(1), Chairman Jorge A. Bermudez(1) Michael J. Downey(1) Onur Erzan, President and Chief Executive Officer | | Nancy P. Jacklin(1) Jeanette W. Loeb(1) Carol C. McMullen(1) Garry L. Moody(1) |
|
|
|
| | |
| OFFICERS | | |
Frank V. Caruso(2), Vice President John H. Fogarty(2), Vice President Vinay Thapar(2), Vice President Emilie D. Wrapp, Secretary Michael B. Reyes, Senior Vice President and Senior Analyst | | Joseph J. Mantineo, Treasurer and
Chief Financial Officer Phyllis J. Clarke, Controller Vincent S. Noto, Chief Compliance Officer |
| | |
CUSTODIANAND ACCOUNTING AGENT State Street Bank and Trust Company State Street Corporation CCB/5 1 Iron Street Boston, MA 02210 | | LEGAL COUNSEL Seward & Kissel LLP One Battery Park Plaza New York, NY 10004 |
| | |
DISTRIBUTOR AllianceBernstein Investments, Inc. 501 Commerce Street Nashville, TN 37203 | | TRANSFER AGENT AllianceBernstein Investor Services, Inc. P.O. Box 786003
San Antonio, TX 78278 Toll-Free (800) 221-5672 |
| | |
INDEPENDENT REGISTERED PUBLIC ACCOUNTING FIRM Ernst & Young LLP One Manhattan West New York, NY 1000 | | |
| (1) | | Member of the Audit Committee, the Governance and Nominating Committee, and the Independent Directors Committee. |
| (2) | | The day-to-day management of, and investment decisions for, the Portfolio’s portfolio are made by the Adviser’s Relative Value Investment Team. Messrs. Caruso, Fogarty and Thapar are the investment professionals with the most significant responsibility for the day-to-day management of the Portfolio’s portfolio. |
25
| | |
| | |
| GROWTH AND INCOME PORTFOLIO | | |
| |
| MANAGEMENT OF THE FUND | | AB Variable Products Series Fund |
Board of Directors Information
The business and affairs of the Fund are managed under the direction of the Board of Directors. Certain information concerning the Fund’s Directors is set forth below.
| | | | | | | | |
NAME, ADDRESS*,
AGE,
(YEAR FIRST ELECTED**) | | PRINCIPAL
OCCUPATION(S)
DURING PAST FIVE YEARS
AND OTHER INFORMATION*** | | PORTFOLIOS
IN AB FUND
COMPLEX
OVERSEEN BY
DIRECTOR | | | OTHER PUBLIC
COMPANY
DIRECTORSHIPS
CURRENTLY
HELD BY
DIRECTOR |
| INTERESTED DIRECTOR | | | | | | |
| | | | | | | | |
Onur Erzan,# 1345 Avenue of the Americas New York, NY 10105 46 (2021) | | Senior Vice President of AllianceBernstein L.P. (the “Adviser”) and Head of the Global Client Group overseeing AB’s institutional and retail businesses, where he is responsible for all client services, sales and marketing, as well as product strategy, management and development worldwide. Director, President and Chief Executive Officer of the AB Mutual Funds as of April 1, 2021. Prior to joining the firm in January 2021, he spent 20 years with McKinsey (management consulting firm), most recently as a senior partner and co-leader of its Wealth & Asset Management practice. In addition, he co-led McKinsey’s Banking & Securities Solutions (a portfolio of data, analytics, and digital assets and capabilities) globally. | | | 74 | | | None |
| | | | | | | | |
| INDEPENDENT DIRECTORS | | | | | | |
| | | | | | | | |
Marshall C. Turner, Jr.,## Chairman of the Board 80 (2005) | | Private Investor since prior to 2017. Former Chairman and CEO of Dupont Photomasks, Inc. (components of semi-conductor manufacturing). He was a Director of Xilinx, Inc. (programmable logic semiconductors and adaptable, intelligent computing) from 2007 through August 2020, and is a former director of 33 other companies and organizations. He has extensive operating leadership, and venture capital investing experience, including five interim or full-time CEO roles, and prior service as general partner of institutional venture capital partnerships. He also has extensive non-profit board leadership experience, and currently serves on the boards of two education and science-related non-profit organizations. He has served as a director of one AB Fund since 1992, and director or trustee of all AB Funds since 2005. He has been Chairman of the AB Funds since January 2014, and the Chairman of the Independent Directors Committees of such AB Funds since February 2014. | | | 74 | | | None |
26
| | |
| |
| | | AB Variable Products Series Fund |
| | | | | | | | |
NAME, ADDRESS*,
AGE,
(YEAR FIRST ELECTED**) | | PRINCIPAL
OCCUPATION(S)
DURING PAST FIVE YEARS
AND OTHER INFORMATION*** | | PORTFOLIOS
IN AB FUND
COMPLEX
OVERSEEN BY
DIRECTOR | | | OTHER PUBLIC
COMPANY
DIRECTORSHIPS
CURRENTLY
HELD BY
DIRECTOR |
INDEPENDENT DIRECTORS
(continued) | | | | | | |
| | | | | | | | |
Jorge A. Bermudez,## 70 (2020) | | Private Investor since prior to 2017. Formerly, Chief Risk Officer of Citigroup, Inc., a global financial services company, from November 2007 to March 2008, Chief Executive Officer of Citigroup’s Commercial Business Group in North America and Citibank Texas from 2005 to 2007, and a variety of other executive and leadership roles at various businesses within Citigroup prior to then; Chairman (2018) of the Texas A&M Foundation Board of Trustees (Trustee since 2013) and Chairman of the Smart Grid Center Board at Texas A&M University since 2012; director of, among others, Citibank N.A. from 2005 to 2008, the Federal Reserve Bank of Dallas, Houston Branch from 2009 to 2011, the Federal Reserve Bank of Dallas from 2011 to 2017, and the Electric Reliability Council of Texas from 2010 to 2016. He has served as director or trustee of the AB Funds since January 2020. | | | 74 | | | Moody’s Corporation since April 2011 |
| | | | | | | | |
Michael J. Downey,## 78 (2005) | | Private Investor since prior to 2017. Formerly, Chairman of The Asia Pacific Fund, Inc. (registered investment company) since prior to 2017 until January 2019. From 1987 until 1993, Chairman and CEO of Prudential Mutual Fund Management, director of the Prudential mutual funds, and member of the Executive Committee of Prudential Securities, Inc. He has served as a director or trustee of the AB Funds since 2005. | | | 74 | | | None |
| | | | | | | | |
Nancy P. Jacklin,## 73 (2006) | | Private Investor since prior to 2017. Professorial Lecturer at the Johns Hopkins School of Advanced International Studies (2008-2015). U.S. Executive Director of the International Monetary Fund (which is responsible for ensuring the stability of the international monetary system), (December 2002-May 2006); Partner, Clifford Chance (1992-2002); Sector Counsel, International Banking and Finance, and Associate General Counsel, Citicorp (1985-1992); Assistant General Counsel (International), Federal Reserve Board of Governors (1982-1985); and Attorney Advisor, U.S. Department of the Treasury (1973-1982). Member of the Bar of the District of Columbia and of New York; and member of the Council on Foreign Relations. She has served as a director or trustee of the AB Funds since 2006 and has been Chair of the Governance and Nominating Committees of the AB Funds since August 2014. | | | 74 | | | None |
| | | | | | | | |
27
| | |
| GROWTH AND INCOME PORTFOLIO | | |
| MANAGEMENT OF THE FUND | | |
| |
| (continued) | | AB Variable Products Series Fund |
| | | | | | | | |
NAME, ADDRESS*,
AGE,
(YEAR FIRST ELECTED**) | | PRINCIPAL
OCCUPATION(S)
DURING PAST FIVE YEARS
AND OTHER INFORMATION*** | | PORTFOLIOS
IN AB FUND
COMPLEX
OVERSEEN BY
DIRECTOR | | | OTHER PUBLIC
COMPANY
DIRECTORSHIPS
CURRENTLY
HELD BY
DIRECTOR |
INDEPENDENT DIRECTORS
(continued) | | | | | | |
| | | | | | | | |
Jeanette W. Loeb,## 69 (2020) | | Chief Executive Officer of PetCareRx (e-commerce pet pharmacy) from 2002 to 2011 and 2015 to present. Director of New York City Center since 2005. She was a director of AB Multi-Manager Alternative Fund, Inc. (fund of hedge funds) from 2012 to 2018. Formerly, affiliated with Goldman Sachs Group, Inc. (financial services) from 1977 to 1994, including as a partner thereof from 1986 to 1994. She has served as director or trustee of the AB Funds since April 2020. | | | 74 | | | Apollo Investment Corp. (business development company) since August 2011 |
| | | | | | | | |
Carol C. McMullen,## 66 (2016) | | Managing Director of Slalom Consulting (consulting) since 2014, private investor and a member of the Advisory Board of Butcher Box (since 2018). Formerly, member, Partners Healthcare Investment Committee (2010-2019); Director of Norfolk & Dedham Group (mutual property and casualty insurance) from 2011 until November 2016; Director of Partners Community Physicians Organization (healthcare) from 2014 until December 2016; and Managing Director of The Crossland Group (consulting) from 2012 until 2013. She has held a number of senior positions in the asset and wealth management industries, including at Eastern Bank (where her roles included President of Eastern Wealth Management), Thomson Financial (Global Head of Sales for Investment Management), and Putnam Investments (where her roles included Chief Investment Officer, Core and Growth and Head of Global Investment Research). She has served on a number of private company and non-profit boards, and as a director or trustee of the AB Funds since June 2016. | | | 74 | | | None |
| | | | | | | | |
Garry L. Moody,## 69 (2008) | | Private Investor since prior to 2017. Formerly, Partner, Deloitte & Touche LLP (1995-2008) where he held a number of senior positions, including Vice Chairman, and U.S. and Global Investment Management Practice Managing Partner; President, Fidelity Accounting and Custody Services Company (1993-1995), where he was responsible for accounting, pricing, custody and reporting for the Fidelity mutual funds; and Partner, Ernst & Young LLP (1975-1993), where he served as the National Director of Mutual Fund Tax Services and Managing Partner of its Chicago Office Tax department. He is a member of the Trustee Advisory Board of BoardIQ, a biweekly publication focused on issues and news affecting directors of mutual funds. He is also a member of the Investment Company Institute’s Board of Governors and the Independent Directors Council’s Governing Council. He has served as a director or trustee, and as Chairman of the Audit Committees, of the AB Funds since 2008. | | | 74 | | | None |
28
| | |
| |
| | | AB Variable Products Series Fund |
| * | The address for each of the Fund’s disinterested Directors is c/o AllianceBernstein L.P., Attention: Legal & Compliance Department—Mutual Fund Legal, 1345 Avenue of the Americas, New York, NY 10105. |
| ** | There is no stated term of office for the Fund’s Directors. |
| *** | The information above includes each Director’s principal occupation during the last five years and other information relating to the experience, attributes, and skills relevant to each Director’s qualifications to serve as a Director, which led to the conclusion that each Director should serve as a Director for the Fund. |
| # | Mr. Erzan is an “interested person” of the Fund, as defined in the “1940 Act”, due to his position as a Senior Vice President of the Adviser. |
| ## | Member of the Audit Committee, the Governance and Nominating Committee, and the Independent Directors Committee. |
29
| | |
| GROWTH AND INCOME PORTFOLIO | | |
| MANAGEMENT OF THE FUND | | |
| |
| (continued) | | AB Variable Products Series Fund |
Officer Information
Certain information concerning the Portfolio’s Officers is listed below.
| | | | |
NAME, ADDRESS,* AND AGE | | PRINCIPAL POSITION(S)
HELD WITH FUND | | PRINCIPAL OCCUPATION
DURING PAST FIVE YEARS |
Onur Erzan
46 | | President and Chief
Executive Officer | | See biography above. |
| | | | |
Frank V. Caruso
65 | | Vice President | | Senior Vice President of the Adviser**, with which he has been associated since prior to 2017. He is also Chief Investment Officer of US Growth Equities. |
| | | | |
John H. Fogarty
52 | | Vice President | | Senior Vice President of the Adviser**, with which he has been associated since prior to 2017. |
| | | | |
Vinay Thapar
43 | | Vice President | | Senior Vice President of the Adviser**, with which he has been associated since prior to 2017. |
| | | | |
Emilie D. Wrapp
66 | | Secretary | | Senior Vice President, Assistant General Counsel and Assistant Secretary of ABI**, with which she has been associated since prior to 2017. |
| | | | |
Michael B. Reyes
45 | | Senior Vice President and Senior Analyst | | Vice President of the Adviser**, with which he has been associated since prior to 2017. |
| | | | |
Joseph J. Mantineo
62 | | Treasurer and Chief Financial Officer | | Senior Vice President of AllianceBernstein Investor Services, Inc. (“ABIS”)**, with which he has been associated since prior to 2017. |
| | | | |
Phyllis J. Clarke
61 | | Controller | | Vice President of ABIS**, with which she has been associated since prior to 2017. |
| | | | |
Vincent S. Noto
57 | | Chief Compliance Officer | | Senior Vice President and Mutual Fund Chief Compliance Officer of the Adviser** since prior to 2017. |
| * | | The address for each of the Portfolio’s Officers is 1345 Avenue of the Americas, New York, NY 10105. |
| ** | | The Adviser, ABIS and ABI are affiliates of the Fund. |
| | | The Fund’s Statement of Additional Information (“SAI”) has additional information about the Fund’s Directors and Officers and is available without charge upon request. Contact your financial representative or the Adviser at (800) 227-4618, or visit www.abfunds.com, for a free prospectus or SAI. |
30
| | |
| | |
| | |
| |
| GROWTH AND INCOME PORTFOLIO | | AB Variable Products Series Fund |
OPERATION AND EFFECTIVENESS OF THE PORTFOLIO’S LIQUIDITY RISK MANAGEMENT PROGRAM:
In October 2016, the Securities and Exchange Commission (“SEC”) adopted the open-end fund liquidity rule (the “Liquidity Rule”). In June 2018 the SEC adopted a requirement that funds disclose information about the operation and effectiveness of their Liquidity Risk Management Program (“LRMP”) in their reports to shareholders.
One of the requirements of the Liquidity Rule is for the Portfolio to designate an Administrator of the Portfolio’s Liquidity Risk Management Program. The Administrator of the Portfolio’s LRMP is AllianceBernstein L.P., the Portfolio’s investment adviser (the “Adviser”). The Adviser has delegated the responsibility to its Liquidity Risk Management Committee (the “Committee”).
Another requirement of the Liquidity Rule is for the Portfolio’s Board of Directors (the “Fund Board”) to receive an annual written report from the Administrator of the LRMP, which addresses the operation of the Portfolio’s LRMP and assesses its adequacy and effectiveness. The Adviser provided the Fund Board with such annual report during the first quarter of 2021, which covered the period January 1, 2020 through December 31, 2020 (the “Program Reporting Period”).
The LRMP’s principal objectives include supporting the Portfolio’s compliance with limits on investments in illiquid assets and mitigating the risk that the Portfolio will be unable to meet its redemption obligations in a timely manner.
Pursuant to the LRMP, the Portfolio classifies the liquidity of its portfolio investments into one of the four categories defined by the SEC: Highly Liquid, Moderately Liquid, Less Liquid, and Illiquid. These classifications are reported to the SEC on Form N-PORT.
During the Program Reporting Period, the Committee reviewed whether the Portfolio’s strategy is appropriate for an open-end structure, incorporating any holdings of less liquid and illiquid assets. If the Portfolio participated in derivative transactions, the exposure from such transactions were considered in the LRMP.
The Committee also performed an analysis to determine whether the Portfolio is required to maintain a Highly Liquid Investment Minimum (“HLIM”). The Committee also incorporated the following information when determining the Portfolio’s reasonably anticipated trading size for purposes of liquidity monitoring: historical net redemption activity, a Portfolio’s concentration in an issuer, shareholder concentration, investment performance, total net assets, and distribution channels.
The Adviser informed the Fund Board that the Committee believes the Portfolio’s LRMP is adequately designed, has been implemented as intended, and has operated effectively since its inception. No material exceptions have been noted since the implementation of the LRMP. During the Program Reporting Period, beginning in March 2020, all financial markets experienced extreme levels of price volatility and relative illiquidity resulting from the COVID-19 impacts on the global economy. This extreme relative illiquidity resulted in significantly wider bid-ask spreads to transact in securities, including many of those securities held by the Portfolio, and in a diminished depth of liquidity in most markets, to varying degrees. Nonetheless, there were no liquidity events that impacted the Portfolio or its ability to timely meet redemptions during the Program Reporting Period.
31
| | |
| | |
| GROWTH AND INCOME PORTFOLIO | | |
| |
| CONTINUANCE DISCLOSURE | | AB Variable Products Series Fund |
INFORMATION REGARDING THE REVIEW AND APPROVAL OF THE FUND’S ADVISORY AGREEMENT
The disinterested directors (the “directors”) of AB Variable Products Series Fund, Inc. (the “Company”) unanimously approved the continuance of the Company’s Advisory Agreement with the Adviser in respect of AB Growth and Income Portfolio (the “Fund”) at a meeting held by video conference on May 3-5, 2021 (the “Meeting”).
Prior to approval of the continuance of the Advisory Agreement, the directors had requested from the Adviser, and received and evaluated, extensive materials. They reviewed the proposed continuance of the Advisory Agreement with the Adviser and with experienced counsel who are independent of the Adviser, who advised on the relevant legal standards. The directors also reviewed additional materials, including comparative analytical data prepared by the Senior Analyst for the Fund. The directors also discussed the proposed continuance in private sessions with counsel.
The directors considered their knowledge of the nature and quality of the services provided by the Adviser to the Fund gained from their experience as directors or trustees of most of the registered investment companies advised by the Adviser, their overall confidence in the Adviser’s integrity and competence they have gained from that experience, the Adviser’s initiative in identifying and raising potential issues with the directors and its responsiveness, frankness and attention to concerns raised by the directors in the past, including the Adviser’s willingness to consider and implement organizational and operational changes designed to improve investment results and the services provided to the AB Funds. The directors noted that they have four regular meetings each year, at each of which they review extensive materials and information from the Adviser, including information on the investment performance of the Fund.
The directors also considered all factors they believed relevant, including the specific matters discussed below. During the course of their deliberations, the directors evaluated, among other things, the reasonableness of the advisory fee. The directors did not identify any particular information that was all-important or controlling, and different directors may have attributed different weights to the various factors. The directors determined that the selection of the Adviser to manage the Fund and the overall arrangements between the Fund and the Adviser, as provided in the Advisory Agreement, including the advisory fee, were fair and reasonable in light of the services performed, expenses incurred and such other matters as the directors considered relevant in the exercise of their business judgment. The material factors and conclusions that formed the basis for the directors’ determinations included the following:
Nature, Extent and Quality of Services Provided
The directors considered the scope and quality of services provided by the Adviser under the Advisory Agreement, including the quality of the investment research capabilities of the Adviser and the other resources it has dedicated to performing services for the Fund. The directors noted that the Adviser from time to time reviews the Fund’s investment strategies and from time to time proposes changes intended to improve the Fund’s relative or absolute performance for the directors’ consideration. They also noted the professional experience and qualifications of the Fund’s portfolio management team and other senior personnel of the Adviser. The directors also considered that the Advisory Agreement provides that the Fund will reimburse the Adviser for the cost to it of providing certain clerical, accounting, administrative and other services to the Fund by employees of the Adviser or its affiliates. Requests for these reimbursements are made on a quarterly basis and subject to approval by the directors. Reimbursements, to the extent requested and paid, result in a higher rate of total compensation from the Fund to the Adviser than the fee rate stated in the Advisory Agreement. The directors noted that the methodology used to determine the reimbursement amounts had been reviewed by an independent consultant at the request of the directors. The quality of administrative and other services, including the Adviser’s role in coordinating the activities of the Fund’s other service providers, also was considered. The directors concluded that, overall, they were satisfied with the nature, extent and quality of services provided to the Fund under the Advisory Agreement.
Costs of Services Provided and Profitability
The directors reviewed a schedule of the revenues and expenses and related notes indicating the profitability of the Fund to the Adviser for calendar years 2019 and 2020 that had been prepared with an expense allocation methodology arrived at in consultation with an independent consultant at the request of the directors. The directors noted the assumptions and methods of allocation used by the Adviser in preparing fund-specific profitability data and understood that there are a number of potentially acceptable allocation methodologies for information of this type. The directors noted that the profitability information reflected all revenues and expenses of the Adviser’s relationship with the Fund, including those relating to its subsidiaries that provide transfer agency, distribution and brokerage services to the Fund. The directors recognized that it is difficult to make comparisons of the profitability of the Advisory Agreement with the profitability of fund advisory contracts for unaffiliated funds because comparative information is not generally publicly available and is affected by numerous
32
| | |
| |
| | | AB Variable Products Series Fund |
factors. The directors focused on the profitability of the Adviser’s relationship with the Fund before taxes and distribution expenses. The directors noted that the Fund was not profitable to the Adviser in 2019 and concluded that the Adviser’s level of profitability from its relationship with the Fund in 2020 was not unreasonable.
Fall-Out Benefits
The directors considered the other benefits to the Adviser and its affiliates from their relationships with the Fund, including, but not limited to, benefits relating to soft dollar arrangements (whereby investment advisers receive brokerage and research services from brokers that execute agency transactions for their clients); 12b-1 fees and sales charges received by the Fund’s principal underwriter (which is a wholly owned subsidiary of the Adviser) in respect of the Fund’s Class B shares; brokerage commissions paid by the Fund to brokers affiliated with the Adviser; and transfer agency fees paid by the Fund to a wholly owned subsidiary of the Adviser. The directors recognized that the Fund’s recent profitability to the Adviser would be somewhat lower without these benefits. The directors understood that the Adviser also might derive reputational and other benefits from its association with the Fund.
Investment Results
In addition to the information reviewed by the directors in connection with the Meeting, the directors receive detailed performance information for the Fund at each regular Board meeting during the year.
At the Meeting, the directors reviewed performance information prepared by an independent service provider (the “15(c) service provider”), showing the performance of the Class A Shares of the Fund against a group of similar funds (“peer group”) and a larger group of similar funds (“peer universe”), each selected by the 15(c) service provider, and information prepared by the Adviser showing performance of the Class A Shares against a broad-based securities market index, in each case for the 1-, 3-, 5- and 10-year periods ended February 28, 2021 and (in the case of comparisons with the broad-based securities market index) for the period from inception. Based on their review, the directors concluded that the Fund’s investment performance was acceptable.
Advisory Fees and Other Expenses
The directors considered the advisory fee rate payable by the Fund to the Adviser and information prepared by the 15(c) service provider concerning advisory fee rates payable by other funds in the same category as the Fund. The directors recognized that it is difficult to make comparisons of advisory fees because there are variations in the services that are included in the fees paid by other funds. The directors compared the Fund’s contractual effective advisory fee rate with a peer group median and took into account the impact on the advisory fee rate of the administrative expense reimbursement paid to the Adviser in the latest fiscal year.
The directors also considered the Adviser’s fee schedule for other clients utilizing investment strategies similar to those of the Fund. For this purpose, they reviewed the relevant advisory fee information from the Adviser’s Form ADV and in a report from the Fund’s Senior Analyst and noted the differences between the Fund’s fee schedule, on the one hand, and the Adviser’s institutional fee schedule and the schedule of fees charged by the Adviser to any offshore funds and for services to any sub-advised funds utilizing investment strategies similar to those of the Fund, on the other. The directors noted that the Adviser may, in some cases, agree to fee rates with large institutional clients that are lower than those reviewed by the directors and that they had previously discussed with the Adviser its policies in respect of such arrangements. The directors also compared the advisory fee rate for the Fund with that for another fund advised by the Adviser utilizing similar investment strategies.
The Adviser reviewed with the directors the significantly greater scope of the services it provides to the Fund relative to institutional, offshore fund and sub-advised fund clients. In this regard, the Adviser noted, among other things, that, compared to institutional and offshore or sub-advisory accounts, the Fund (i) demands considerably more portfolio management, research and trading resources due to significantly higher daily cash flows; (ii) has more tax and regulatory restrictions and compliance obligations; (iii) must prepare and file or distribute regulatory and other communications about fund operations; and (iv) must provide shareholder servicing to retail investors. The Adviser also reviewed the greater legal risks presented by the large and changing population of Fund shareholders who may assert claims against the Adviser in individual or class actions, and the greater entrepreneurial risk in offering new fund products, which require substantial investment to launch, may not succeed, and generally must be priced to compete with larger, more established funds resulting in lack of profitability to the Adviser until a new fund achieves scale. In light of the substantial differences in services rendered by the Adviser to institutional, offshore fund and sub-advised fund clients as compared to the Fund, and the different risk profile, the directors considered these fee comparisons inapt and did not place significant weight on them in their deliberations.
33
| | |
| GROWTH AND INCOME PORTFOLIO | | |
| CONTINUANCE DISCLOSURE | | |
| |
| (continued) | | AB Variable Products Series Fund |
In connection with their review of the Fund’s advisory fee, the directors also considered the total expense ratio of the Class A shares of the Fund in comparison to a peer group and a peer universe selected by the 15(c) service provider. The Class A expense ratio of the Fund was based on the Fund’s latest fiscal year. The directors noted that it was likely that the expense ratios of some of the other funds in the Fund’s category were lowered by waivers or reimbursements by those funds’ investment advisers, which in some cases might be voluntary or temporary. The directors view expense ratio information as relevant to their evaluation of the Adviser’s services because the Adviser is responsible for coordinating services provided to the Fund by others. Based on their review, the directors concluded that the Fund’s expense ratio was acceptable.
Economies of Scale
The directors noted that the advisory fee schedule for the Fund contains breakpoints that reduce the fee rates on assets above specified levels. The directors took into consideration prior presentations by an independent consultant on economies of scale in the mutual fund industry and for the AB Funds, and presentations from time to time by the Adviser concerning certain of its views on economies of scale. The directors also had requested and received from the Adviser certain updates on economies of scale in advance of the Meeting. The directors believe that economies of scale may be realized (if at all) by the Adviser across a variety of products and services, and not only in respect of a single fund. The directors noted that there is no established methodology for setting breakpoints that give effect to the fund-specific services provided by a fund’s adviser and to the economies of scale that an adviser may realize in its overall mutual fund business or those components of it which directly or indirectly affect a fund’s operations. The directors observed that in the mutual fund industry as a whole, as well as among funds similar to the Fund, there is no uniformity or pattern in the fees and asset levels at which breakpoints (if any) apply. The directors also noted that the advisory agreements for many funds do not have breakpoints at all. Having taken these factors into account, the directors concluded that the Fund’s shareholders would benefit from a sharing of economies of scale in the event the Fund’s net assets exceed a breakpoint in the future.
34
VPS-GI-0151-1221
DEC 12.31.21
ANNUAL REPORT
AB VARIABLE PRODUCTS SERIES FUND, INC.
| + | | INTERMEDIATE BOND PORTFOLIO |
As of May 1, 2021, as permitted by regulations adopted by the Securities and Exchange Commission, you may not be receiving paper copies of the Portfolio’s shareholder reports from the insurance company that offers your contract unless you specifically requested paper copies from the insurance company or from your financial intermediary. Instead of delivering paper copies of the reports, the insurance company may choose to make the reports available on a website, and will notify you by mail each time a report is posted and provide you with a website link to access the report. Instructions for requesting paper copies will be provided by your insurance company.
You may elect to receive all future reports in paper free of charge from the insurance company. You can inform the insurance company or your financial intermediary that you wish to continue receiving paper copies of your shareholder reports by following the instructions provided by the insurance company or by contacting your financial intermediary. Your election to receive reports in paper will apply to all portfolio companies available under your contract with the insurance company.
Investment Products Offered
| | • | | Are Not Bank Guaranteed |
AllianceBernstein Investments, Inc. (ABI) is the distributor of the AB family of mutual funds. ABI is a member of FINRA and is an affiliate of AllianceBernstein L.P., the Adviser of the funds.
You may obtain a description of the Fund’s proxy voting policies and procedures, and information regarding how the Fund voted proxies relating to portfolio securities during the most recent 12-month period ended June 30, without charge. Simply visit AB’s website at www.abfunds.com or go to the Securities and Exchange Commission’s (the “Commission”) website at www.sec.gov, or call AB at (800) 227 4618.
The Fund files its complete schedule of portfolio holdings with the Commission for the first and third quarters of each fiscal year as an exhibit to its reports on Form N-PORT. The Fund’s Form N-PORT reports are available on the Commission’s website at www.sec.gov. The Fund’s Forms N-PORT may also be reviewed and copied at the Commission’s Public Reference Room in Washington, DC; information on the operation of the Public Reference Room may be obtained by calling (800) SEC 0330.
The [A/B] logo is a registered service mark of AllianceBernstein and AllianceBernstein® is a registered service mark used by permission of the owner, AllianceBernstein L.P.
| | |
| | |
| | |
| |
| INTERMEDIATE BOND PORTFOLIO | | AB Variable Products Series Fund |
LETTER TO INVESTORS
February 14, 2022
The following is an update of AB Variable Products Series Fund—Intermediate Bond Portfolio (the “Portfolio”) for the annual reporting period ended December 31, 2021.
At a meeting of the Board of Directors of AB Variable Products Series Fund, Inc. (the “Fund”) held on November 2-4, 2021, the Board approved the liquidation and termination of the Portfolio (the “Liquidation”). The Portfolio expects to make liquidating distributions on or shortly after March 4, 2022, and will convert its assets to cash shortly before this date. The insurance company separate accounts through which owners of variable insurance contracts hold interests in the Portfolio will give such Contractholders notice of the Liquidation as well as information about allocating their variable insurance contract assets to other investment options available under their contracts.
INVESTMENT OBJECTIVE AND POLICIES
The Portfolio’s investment objective is to generate income and price appreciation without assuming what the Adviser considers undue risk. The Portfolio invests, under normal circumstances, at least 80% of its net assets in fixed-income securities. The Portfolio expects to invest in readily marketable fixed-income securities with a range of maturities from short- to long-term and relatively attractive yields that do not involve undue risk of loss of capital. The Portfolio expects to invest in fixed-income securities with a dollar-weighted average maturity of between three and 10 years and an average duration of three to six years. The Portfolio may invest up to 25% of its net assets in below investment-grade bonds (commonly known as “junk bonds”). The Portfolio may use leverage for investment purposes.
The Portfolio may invest without limit in US dollar-denominated foreign fixed-income securities and may invest up to 25% of its assets in non-US dollar-denominated foreign fixed-income securities. These investments may include, in each case, developed- and emerging-market debt securities.
The Portfolio may invest in mortgage-related and other asset-backed securities, loan participations and assignments, inflation-indexed securities, structured securities, variable, floating and inverse floating-rate instruments, and preferred stock, and may use other investment techniques. The Portfolio intends, among other things, to enter into transactions such as reverse repurchase agreements and dollar rolls. The Portfolio may invest, without limit, in derivatives, such as options, futures contracts, forwards and swaps.
INVESTMENT RESULTS
The table on page 5 shows the Portfolio’s performance compared to its benchmark, the Bloomberg US Aggregate Bond Index, for the one-, five- and 10-year periods ended December 31, 2021.
During the annual period, Class B shares underperformed the benchmark while Class A shares outperformed. Off-benchmark country allocations to Canada and Brazil detracted, relative to the benchmark. Sector allocation contributed due to an underweight to US Treasuries, off-benchmark allocations to agency risk-sharing transactions, high-yield corporate bonds in the US and exposure to US Treasury inflation-protected securities, which more than offset a loss from exposure to collateralized mortgage obligations. Security selection among commercial mortgage-backed securities and investment-grade corporate bonds added to returns, offsetting a loss within US agency mortgages. Yield-curve duration positioning also contributed, as an underweight to the 20-year part of the curve exceeded a shortfall from an underweight to the five- to 10-year parts of the curve. Currency decisions did not have a meaningful impact on performance during the period. Gains from short positions in the Australian dollar and Swedish krona, and a long position in the Russian ruble, offset losses from shorts in the euro and New Zealand dollar, as well as long positions in the Swiss franc and yen.
During the annual period, the Portfolio utilized currency forwards to hedge currency risk and actively manage currency positions. Credit default swaps were utilized in the corporate and commercial mortgage-backed securities sectors for hedging and investment purposes. Treasury futures and interest rate swaps were utilized to manage duration, country exposure and yield-curve positioning. Written swaptions were used for duration management. Consumer Price Index swaps were held to gain exposure to rising inflation expectations. The utilization of government-agency-related To Be Announced mortgage short-term positions was a significant contributor to the Portfolio’s turnover rate of 144%.
MARKET REVIEW AND INVESTMENT STRATEGY
Fixed-income government bond market yields were higher for the annual period ended December 31, 2021. Numerous central banks became more hawkish, prompting short-term yields to rise more than longer-term yields and causing all major treasury market returns to fall on inflation concerns. Treasury losses were the greatest in the UK, Australia and the eurozone. Inflation bonds significantly outperformed nominal government bonds. Low interest rates set the stage for the continued outperformance of most risk assets, led by the large positive performance of high-yield corporate bonds—particularly
1
| | |
| | |
| INTERMEDIATE BOND PORTFOLIO | | |
| |
| (continued) | | AB Variable Products Series Fund Inc. |
in the US, eurozone and emerging markets. Emerging-market investment-grade corporate bonds rose, while developed-market bonds fell on rising yields and outperformed developed-market treasuries with a smaller loss. Securitized assets fell but outperformed US Treasuries.
Emerging-market sovereign and local-currency bonds trailed as the US dollar gained against most developed- and emerging-market currencies. Commodity prices were strong, with Brent crude oil and copper climbing from pandemic-related lows.
2
| | |
| | |
| INTERMEDIATE BOND PORTFOLIO | | |
| |
| DISCLOSURES AND RISKS | | AB Variable Products Series Fund |
Benchmark Disclosure
The Bloomberg US Aggregate Bond Index is unmanaged and does not reflect fees and expenses associated with the active management of a mutual fund portfolio. The Bloomberg US Aggregate Bond Index represents the performance of securities within the US investment-grade fixed-rate bond market, with index components for government and corporate securities, mortgage pass-through securities, asset-backed securities and commercial mortgage-backed securities. An investor cannot invest directly in an index, and its results are not indicative of the performance for any specific investment, including the Portfolio.
A Word About Risk
Market Risk: The value of the Portfolio’s assets will fluctuate as the stock or bond market fluctuates. The value of its investments may decline, sometimes rapidly and unpredictably, simply because of economic changes or other events, including public health crises (including the occurrence of a contagious disease or illness), that affect large portions of the market.
Interest-Rate Risk: Changes in interest rates will affect the value of investments in fixed-income securities. When interest rates rise, the value of existing investments in fixed-income securities tends to fall and this decrease in value may not be offset by higher income from new investments. Interest-rate risk is generally greater for fixed-income securities with longer maturities or durations. The current historically low interest rate environment heightens the risks associated with rising interest rates.
Credit Risk: An issuer or guarantor of a fixed-income security, or the counterparty to a derivatives or other contract, may be unable or unwilling to make timely payments of interest or principal, or to otherwise honor its obligations. The issuer or guarantor may default, causing a loss of the full principal amount of a security and accrued interest. The degree of risk for a particular security may be reflected in its credit rating. There is the possibility that the credit rating of a fixed-income security may be downgraded after purchase, which may adversely affect the value of the security.
Below Investment-Grade Security Risk: Investments in fixed-income securities with lower ratings (“junk bonds”) tend to have a higher probability that an issuer will default or fail to meet its payment obligations. These securities may be subject to greater price volatility due to such factors as specific corporate developments, interest-rate sensitivity and negative perceptions of the junk bond market generally, and may be more difficult to trade than other types of securities.
Duration Risk: Duration is a measure that relates the expected price volatility of a fixed-income security to changes in interest rates. The duration of a fixed-income security may be shorter than or equal to full maturity of a fixed-income security. Fixed-income securities with longer durations have more risk and will decrease in price as interest rates rise.
Inflation Risk: This is the risk that the value of assets or income from investments will be less in the future as inflation decreases the value of money. As inflation increases, the value of the Portfolio’s assets can decline as can the value of the Portfolio’s distributions. This risk is significantly greater if the Portfolio invests a significant portion of its assets in fixed-income securities with longer maturities.
Foreign (Non-US) Risk: Investments in securities of non-US issuers may involve more risk than those of US issuers. These securities may fluctuate more widely in price and may be more difficult to trade due to adverse market, economic, political, regulatory or other factors.
Emerging-Market Risk: Investments in emerging-market countries may have more risk because the markets are less developed and less liquid, and because these investments may be subject to increased economic, political, regulatory or other uncertainties.
Currency Risk: Fluctuations in currency exchange rates may negatively affect the value of the Portfolio’s investments or reduce its returns.
Mortgage-Related and/or Other Asset-Backed Securities Risk: Investments in mortgage-related and other asset-backed securities are subject to certain additional risks. The value of these securities may be particularly sensitive to changes in interest rates. These risks include “extension risk”, which is the risk that, in periods of rising interest rates, issuers may delay the payment of principal, and “prepayment risk”, which is the risk that in periods of falling interest rates, issuers may pay
(Disclosures, Risks and Note About Historical Performance continued on next page)
3
| | |
| INTERMEDIATE BOND PORTFOLIO | | |
| DISCLOSURES AND RISKS | | |
| |
| (continued) | | AB Variable Products Series Fund |
principal sooner than expected, exposing the Portfolio to a lower rate of return upon reinvestment of principal. Mortgage-backed securities offered by nongovernmental issuers and other asset-backed securities may be subject to other risks, such as higher rates of default in the mortgages or assets backing the securities or risks associated with the nature and servicing of mortgages or assets backing the securities.
Leverage Risk: To the extent the Portfolio uses leveraging techniques, its net asset value (“NAV”) may be more volatile because leverage tends to exaggerate the effect of changes in interest rates and any increase or decrease in the value of the Portfolio’s investments.
Illiquid Investments Risk: Illiquid investments risk exists when certain investments are or become difficult to purchase or sell. Difficulty in selling such investments may result in sales at disadvantageous prices affecting the value of your investment in the Portfolio. Causes of illiquid investments risk may include low trading volumes, large positions and heavy redemptions of Portfolio shares. Illiquid investments risk may be higher in a rising interest-rate environment, when the value and liquidity of fixed-income securities generally decline.
Derivatives Risk: Derivatives may be difficult to price or unwind and leveraged so that small changes may produce disproportionate losses for the Portfolio. Derivatives, especially over-the-counter derivatives, are also subject to counterparty risk, which is the risk that the counterparty (the party on the other side of the transaction) on a derivative transaction will be unable or unwilling to honor its contractual obligations to the Portfolio.
Management Risk: The Portfolio is subject to management risk because it is an actively managed investment fund. The Adviser will apply its investment techniques and risk analyses in making investment decisions for the Portfolio, but there is no guarantee that its techniques will produce the intended results. Some of these techniques may incorporate, or rely upon, quantitative models, but there is no guarantee that these models will generate accurate forecasts, reduce risk or otherwise perform as expected.
These risks are fully discussed in the Variable Products prospectus. As with all investments, you may lose money by investing in the Portfolio.
An Important Note About Historical Performance
The investment return and principal value of an investment in the Portfolio will fluctuate, so that shares, when redeemed, may be worth more or less than their original cost. Performance shown in this report represents past performance and does not guarantee future results. Current performance may be lower or higher than the performance information shown. Please contact your financial advisor or insurance agent representative at your financial institution to obtain portfolio performance information current to the most recent month-end.
Investors should consider the investment objectives, risks, charges and expenses of the Portfolio carefully before investing. For additional copies of the Portfolio’s prospectus or summary prospectus, which contains this and other information, call your financial advisor or (800) 227 4618. Please read the prospectus and/or summary prospectus carefully before investing.
All fees and expenses related to the operation of the Portfolio have been deducted, but no adjustment has been made for insurance company separate account or annuity contract charges, which would reduce total return to a contract owner. Performance assumes reinvestment of distributions and does not account for taxes.
There are additional fees and expenses associated with all Variable Products. These fees can include mortality and expense risk charges, administrative charges, and other charges that can significantly reduce investment returns. Those fees and expenses are not reflected in this annual report. You should consult your Variable Products prospectus for a description of those fees and expenses and speak to your insurance agent or financial representative if you have any questions. You should read the prospectus before investing or sending money.
4
| | |
| | |
| INTERMEDIATE BOND PORTFOLIO | | |
| |
| HISTORICAL PERFORMANCE | | AB Variable Products Series Fund |
| | | | | | | | | | | | |
| | | | | | | | | | | | |
| THE PORTFOLIO VS. ITS BENCHMARK | | Net Asset Value Returns | |
| PERIODS ENDED DECEMBER 31, 2021 (unaudited) | | 1 Year | | | 5 Years1 | | | 10 Years1 | |
| | | |
| Intermediate Bond Portfolio Class A | | | -1.45% | | | | 3.03% | | | | 3.00% | |
| | | |
| Intermediate Bond Portfolio Class B | | | -1.64% | | | | 2.78% | | | | 2.75% | |
| | | |
| Bloomberg US Aggregate Bond Index | | | -1.54% | | | | 3.57% | | | | 2.90% | |
1 Average annual returns. | | | | | | | | | | | | |
| | | | | | | | | | | | |
The Portfolio’s current prospectus fee table shows the Portfolio’s total annual operating expense ratios as 1.27% and 1.52% for Class A and Class B shares, respectively. The Financial Highlights section of this report sets forth expense ratio data for the current reporting period; the expense ratios shown above may differ from the expense ratios in the Financial Highlights section since they are based on different time periods.
GROWTH OF A $10,000 INVESTMENT
12/31/2011 TO 12/31/2021 (unaudited)
This chart illustrates the total value of an assumed $10,000 investment in Intermediate Bond Portfolio Class A shares (from 12/31/2011 to 12/31/2021) as compared to the performance of the Portfolio’s benchmark. The chart assumes the reinvestment of dividends and capital gains distributions.
See Disclosures, Risks and Note About Historical Performance on pages 3-4.
5
| | |
| | |
| INTERMEDIATE BOND PORTFOLIO |
| |
| EXPENSE EXAMPLE (unaudited) | | AB Variable Products Series Fund |
As a shareholder of the Portfolio, you incur two types of costs: (1) transaction costs, including sales charges (loads) on purchase payments, contingent deferred sales charges on redemptions and (2) ongoing costs, including management fees; distribution (12b-1) fees; and other Portfolio expenses. This example is intended to help you understand your ongoing costs (in dollars) of investing in the Portfolio and to compare these costs with the ongoing costs of investing in other mutual funds.
The Example is based on an investment of $1,000 invested at the beginning of the period and held for the entire period as indicated below.
Actual Expenses
The table below provides information about actual account values and actual expenses. You may use the information in this line, together with the amount you invested, to estimate the expenses that you paid over the period. Simply divide your account value by $1,000 (for example, an $8,600 account value divided by $1,000 = 8.6), then multiply the result by the number in the first line under the heading entitled “Expenses Paid During Period” to estimate the expenses you paid on your account during this period. The estimate of expenses does not include fees of other expenses of any variable insurance product. If such expenses were included, the estimate of expenses you paid during the period would be higher and your ending account value would be lower.
Hypothetical Example for Comparison Purposes
The table below provides information about hypothetical account values and hypothetical expenses based on the Portfolio’s actual expense ratio and an assumed annual rate of return of 5% before expenses, which is not the Portfolio’s actual return. The hypothetical account values and expenses may not be used to estimate the actual ending account balance or expenses you paid for the period. You may use this information to compare the ongoing costs of investing in the Portfolio and other funds by comparing this 5% hypothetical example with the 5% hypothetical examples that appear in the shareholder reports of other funds. The estimate of expenses does not include fees of other expenses of any variable insurance product. If such expenses were included, the estimate of expenses you paid during the period would be higher and your ending account value would be lower.
Please note that the expenses shown in the table are meant to highlight your ongoing costs only and do not reflect any transactional costs, such as sales charges (loads), or contingent deferred sales charges on redemptions. Therefore, the second line of each class’ table is useful in comparing ongoing costs only, and will not help you determine the relative total costs of owning different funds. In addition, if these transactional costs were included, your costs would have been higher.
| | | | | | | | | | | | | | | | |
| | | Beginning
Account Value
July 1, 2021 | | | Ending
Account Value
December 31, 2021 | | | Expenses Paid
During Period* | | | Annualized
Expense Ratio* | |
Class A | | | | | | | | | | | | | | | | |
Actual | | $ | 1,000 | | | $ | 997.30 | | | $ | 7.20 | | | | 1.43 | % |
Hypothetical (5% annual return before expenses) | | $ | 1,000 | | | $ | 1,018.00 | | | $ | 7.27 | | | | 1.43 | % |
| | | | | | | | | | | | | | | | |
Class B | | | | | | | | | | | | | | | | |
Actual | | $ | 1,000 | | | $ | 997.40 | | | $ | 8.46 | | | | 1.68 | % |
Hypothetical (5% annual return before expenses) | | $ | 1,000 | | | $ | 1,016.74 | | | $ | 8.54 | | | | 1.68 | % |
| * | | Expenses are equal to each classes’ annualized expense ratios, multiplied by the average account value over the period, multiplied by 184/365 (to reflect the one-half year period). |
6
| | |
| INTERMEDIATE BOND PORTFOLIO | | |
| TOP TEN SECTORS (including derivatives)1 | | |
| |
| December 31, 2021 (unaudited) | | AB Variable Products Series Fund |
| | | | |
Governments—Treasuries2 | | | 32.3 | % |
Corporates—Investment Grade | | | 24.7 | |
Commercial Mortgage-Backed Securities | | | 17.7 | |
Mortgage Pass-Throughs | | | 12.6 | |
Collateralized Mortgage Obligations | | | 9.8 | |
Corporates—Non-Investment Grade | | | 6.3 | |
Asset-Backed Securities | | | 5.5 | |
Inflation-Linked Securities | | | 3.1 | |
Interest Rate Swaps3 | | | 2.0 | |
Local Governments—US Municipal Bonds | | | 1.7 | |
SECTOR BREAKDOWN (excluding derivatives)4
December 31, 2021 (unaudited)
| | | | |
Corporates—Investment Grade | | | 23.5 | % |
Governments—Treasuries | | | 18.7 | |
Commercial Mortgage-Backed Securities | | | 16.8 | |
Mortgage Pass-Throughs | | | 12.0 | |
Collateralized Mortgage Obligations | | | 9.3 | |
Asset-Backed Securities | | | 5.2 | |
Corporates—Non-Investment Grade | | | 5.0 | |
Inflation-Linked Securities | | | 3.0 | |
Local Governments—US Municipal Bonds | | | 1.6 | |
Emerging Markets—Corporate Bonds | | | 0.3 | |
Short-Term Investments | | | 4.6 | |
| 1 | | All data are as of December 31, 2021. The Portfolio’s sectors include derivative exposure and are expressed as approximate percentages of the Portfolio’s total net assets, based on the Adviser’s internal classification. The percentages will vary over time. |
| 2 | | Includes Treasury Futures. |
| 3 | | Represents the exposure of the Portfolio’s fixed-rate payments on the Interest Rate Swaps. Interest Rate Swaps involve the exchange by a fund with another party of payments calculated by reference to specified interest rates (e.g., an exchange of floating-rate payments for fixed-rate payments). |
| 4 | | All data are as of December 31, 2021. The Portfolio’s sector breakdown is expressed as a percentage of total investments and may vary over time. The Portfolio 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). |
7
| | |
| INTERMEDIATE BOND PORTFOLIO | | |
| PORTFOLIO OF INVESTMENTS | | |
| |
| December 31, 2021 | | AB Variable Products Series Fund |
| | | | | | | | | | | | |
| | |
Principal
Amount
(000) | | | U.S. $ Value | |
| | | | | | | | | | | | |
CORPORATES–INVESTMENT
GRADE–24.7% | |
INDUSTRIAL–14.4% | |
BASIC–1.3% | | | | | | | | | | | | |
Alpek SAB de CV
4.25%, 09/18/2029(a) | | | U.S.$ | | | | 200 | | | $ | 212,413 | |
Suzano Austria GmbH | | | | | | | | | | | | |
2.50%, 09/15/2028 | | | | | | | 82 | | | | 79,104 | |
3.75%, 01/15/2031 | | | | | | | 17 | | | | 17,253 | |
WRKCo., Inc.
4.00%, 03/15/2028 | | | | | | | 62 | | | | 68,428 | |
Yamana Gold, Inc.
2.63%, 08/15/2031(a) | | | | | | | 70 | | | | 67,572 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 444,770 | |
| | | | | | | | | | | | |
CAPITAL GOODS–0.6% | |
Flowserve Corp.
2.80%, 01/15/2032 | | | | | | | 46 | | | | 44,810 | |
Parker-Hannifin Corp.
3.25%, 06/14/2029 | | | | | | | 25 | | | | 26,479 | |
Raytheon Technologies Corp.
4.125%, 11/16/2028 | | | | | | | 80 | | | | 89,526 | |
Westinghouse Air Brake
Technologies Corp. | | | | | | | | | |
3.20%, 06/15/2025 | | | | | | | 15 | | | | 15,655 | |
4.40%, 03/15/2024 | | | | | | | 37 | | | | 39,223 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 215,693 | |
| | | | | | | | | | | | |
COMMUNICATIONS–MEDIA–1.2% | |
Charter Communications Operating LLC/Charter Communications Operating Capital | | | | | | | | | |
4.80%, 03/01/2050 | | | | | | | 15 | | | | 16,815 | |
5.125%, 07/01/2049 | | | | | | | 23 | | | | 26,636 | |
Comcast Corp.
4.15%, 10/15/2028 | | | | | | | 95 | | | | 107,806 | |
Discovery Communications LLC | | | | | | | | | | | | |
4.65%, 05/15/2050 | | | | | | | 9 | | | | 10,590 | |
5.20%, 09/20/2047 | | | | | | | 15 | | | | 18,548 | |
5.30%, 05/15/2049 | | | | | | | 10 | | | | 12,644 | |
Fox Corp. | | | | | | | | | | | | |
4.709%, 01/25/2029 | | | | | | | 25 | | | | 28,578 | |
5.576%, 01/25/2049 | | | | | | | 43 | | | | 58,638 | |
Interpublic Group of Cos., Inc. (The)
4.65%, 10/01/2028 | | | | 20 | | | | 22,969 | |
Netflix, Inc.
5.875%, 11/15/2028 | | | | | | | 83 | | | | 100,074 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 403,298 | |
| | | | | | | | | | | | |
COMMUNICATIONS–
TELECOMMUNICATIONS–0.5% | |
AT&T, Inc. | | | | | | | | | | | | |
3.50%, 09/15/2053 | | | | | | | 16 | | | | 16,172 | |
3.65%, 09/15/2059 | | | | | | | 74 | | | | 74,699 | |
4.30%, 12/15/2042 | | | | | | | 31 | | | | 34,961 | |
T-Mobile USA, Inc. | | | | | | | | | | | | |
2.625%, 02/15/2029 | | | | | | | 10 | | | | 9,843 | |
2.875%, 02/15/2031 | | | | | | | 41 | | | | 40,479 | |
3.375%, 04/15/2029(a) | | | | | | | 7 | | | | 7,143 | |
| | | | | | | | | | | | |
| | | | | | | | 183,297 | |
| | | | | | | | | | | | |
| | | | | | | | | | | | |
|
CONSUMER CYCLICAL–
AUTOMOTIVE–0.6% | |
General Motors Co.
6.125%, 10/01/2025 | | | U.S.$ | | | | 25 | | | | 28,744 | |
General Motors Financial Co., Inc. | | | | | | | | | |
4.30%, 07/13/2025 | | | | | | | 30 | | | | 32,341 | |
5.25%, 03/01/2026 | | | | | | | 21 | | | | 23,553 | |
Harley-Davidson Financial Services, Inc.
3.35%, 06/08/2025(a) | | | | | | | 128 | | | | 134,123 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 218,761 | |
| | | | | | | | | | | | |
CONSUMER CYCLICAL–
OTHER –0.4% | |
Las Vegas Sands Corp.
3.90%, 08/08/2029 | | | | | | | 85 | | | | 85,488 | |
Marriott International, Inc./MD
Series EE
5.75%, 05/01/2025 | | | | | | | 12 | | | | 13,514 | |
MDC Holdings, Inc.
6.00%, 01/15/2043 | | | | | | | 38 | | | | 47,944 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 146,946 | |
| | | | | | | | | | | | |
CONSUMER CYCLICAL–
RETAILERS–0.7% | | | | | | | | | | | | |
Advance Auto Parts, Inc.
3.90%, 04/15/2030 | | | | | | | 88 | | | | 96,304 | |
Lowe’s Cos., Inc.
3.65%, 04/05/2029 | | | | | | | 29 | | | | 31,784 | |
Ross Stores, Inc.
4.70%, 04/15/2027 | | | | | | | 113 | | | | 127,410 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 255,498 | |
| | | | | | | | | | | | |
CONSUMER NON-CYCLICAL–1.4% | | | | | | | | | | | | |
Altria Group, Inc. | | | | | | | | | | | | |
3.40%, 05/06/2030 | | | | | | | 85 | | | | 88,268 | |
4.80%, 02/14/2029 | | | | | | | 26 | | | | 29,364 | |
BAT Capital Corp.
2.726%, 03/25/2031 | | | | | | | 50 | | | | 48,564 | |
Cigna Corp.
4.375%, 10/15/2028 | | | | | | | 58 | | | | 65,934 | |
CVS Health Corp.
4.30%, 03/25/2028 | | | | | | | 4 | | | | 4,492 | |
Ochsner LSU Health System of North Louisiana
Series 2021
2.51%, 05/15/2031 | | | | | | | 50 | | | | 48,917 | |
Takeda Pharmaceutical Co., Ltd.
4.40%, 11/26/2023 | | | | | | | 200 | | | | 211,654 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 497,193 | |
| | | | | | | | | | | | |
ENERGY–4.1% | | | | | | | | | | | | |
BP Capital Markets America, Inc.
2.939%, 06/04/2051 | | | | 129 | | | | 124,619 | |
Cenovus Energy, Inc. | | | | | | | | | | | | |
4.25%, 04/15/2027 | | | | | | | 12 | | | | 13,095 | |
4.40%, 04/15/2029 | | | | | | | 132 | | | | 146,081 | |
Chevron USA, Inc.
3.85%, 01/15/2028 | | | | | | | 30 | | | | 33,332 | |
8
| | |
| |
| | | AB Variable Products Series Fund |
| | | | | | | | | | | | |
| | |
Principal
Amount
(000) | | | U.S. $ Value | |
| | | | | | | | | | | | |
Continental Resources, Inc./OK | | | | | | | | | | | | |
2.875%, 04/01/2032(a) | | U.S.$ | | | | | 51 | | | $ | 49,909 | |
5.75%, 01/15/2031(a) | | | | | | | 36 | | | | 42,434 | |
Devon Energy Corp.
5.60%, 07/15/2041 | | | | | | | 50 | | | | 62,945 | |
Enbridge Energy Partners LP
7.375%, 10/15/2045 | | | | | | | 70 | | | | 109,145 | |
Energy Transfer LP | | | | | | | | | | | | |
4.75%, 01/15/2026 | | | | | | | 175 | | | | 191,403 | |
6.25%, 04/15/2049 | | | | | | | 14 | | | | 18,308 | |
Marathon Oil Corp.
6.80%, 03/15/2032 | | | | | | | 100 | | | | 129,064 | |
Marathon Petroleum Corp. | | | | | | | | | | | | |
5.125%, 12/15/2026 | | | | | | | 30 | | | | 34,210 | |
6.50%, 03/01/2041 | | | | | | | 18 | | | | 24,827 | |
ONEOK Partners LP
6.125%, 02/01/2041 | | | | | | | 5 | | | | 6,333 | |
ONEOK, Inc. | | | | | | | | | | | | |
4.00%, 07/13/2027 | | | | | | | 87 | | | | 94,095 | |
4.35%, 03/15/2029 | | | | | | | 57 | | | | 62,536 | |
6.35%, 01/15/2031 | | | | | | | 23 | | | | 28,994 | |
Plains All American Pipeline LP/PAA Finance Corp. | | | | | | | | | | | | |
3.55%, 12/15/2029 | | | | | | | 40 | | | | 41,599 | |
4.50%, 12/15/2026 | | | | | | | 25 | | | | 27,445 | |
Suncor Energy, Inc.
6.80%, 05/15/2038 | | | | | | | 59 | | | | 82,886 | |
TransCanada PipeLines Ltd.
6.10%, 06/01/2040 | | | | | | | 91 | | | | 126,266 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 1,449,526 | |
| | | | | | | | | | | | |
SERVICES–0.8% | | | | | | | | | | | | |
Booking Holdings, Inc.
4.625%, 04/13/2030 | | | | | | | 104 | | | | 121,240 | |
Expedia Group, Inc.
4.625%, 08/01/2027 | | | | | | | 40 | | | | 44,701 | |
Global Payments, Inc.
3.20%, 08/15/2029 | | | | | | | 28 | | | | 29,154 | |
IHS Markit Ltd. | | | | | | | | | | | | |
4.25%, 05/01/2029 | | | | | | | 19 | | | | 21,525 | |
4.75%, 08/01/2028 | | | | | | | 7 | | | | 8,094 | |
Moody’s Corp.
4.25%, 02/01/2029 | | | | | | | 41 | | | | 46,357 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 271,071 | |
| | | | | | | | | | | | |
TECHNOLOGY–2.5% | | | | | | | | | | | | |
Broadcom, Inc. | | | | | | | | | | | | |
3.137%, 11/15/2035(a) | | | | | | | 16 | | | | 16,083 | |
3.187%, 11/15/2036(a) | | | | | | | 52 | | | | 52,168 | |
4.11%, 09/15/2028 | | | | | | | 56 | | | | 61,447 | |
4.15%, 11/15/2030 | | | | | | | 120 | | | | 133,080 | |
Dell International LLC/EMC Corp.
6.02%, 06/15/2026 | | | | | | | 78 | | | | 90,383 | |
Fiserv, Inc.
3.50%, 07/01/2029 | | | | | | | 87 | | | | 93,569 | |
Infor, Inc.
1.75%, 07/15/2025(a) | | | | | | | 34 | | | | 33,838 | |
| | | | | | | | | | | | |
KLA Corp.
4.10%, 03/15/2029 | | U.S.$ | | | | | 14 | | | | 15,841 | |
Kyndryl Holdings, Inc.
2.05%, 10/15/2026(a) | | | | | | | 90 | | | | 87,764 | |
Micron Technology, Inc.
4.185%, 02/15/2027 | | | | | | | 59 | | | | 64,777 | |
NXP BV/NXP Funding LLC
5.55%, 12/01/2028(a) | | | | | | | 28 | | | | 33,553 | |
NXP BV/NXP Funding LLC/NXP USA, Inc.
3.40%, 05/01/2030(a) | | | | | | | 30 | | | | 31,946 | |
Oracle Corp. | | | | | | | | | | | | |
2.875%, 03/25/2031 | | | | | | | 57 | | | | 57,286 | |
3.95%, 03/25/2051 | | | | | | | 68 | | | | 70,758 | |
Western Digital Corp.
3.10%, 02/01/2032 | | | | | | | 30 | | | | 30,216 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 872,709 | |
| | | | | | | | | | | | |
TRANSPORTATION–
AIRLINES–0.3% | | | | | | | | | | | | |
Delta Air Lines, Inc./SkyMiles IP Ltd. | | | | | | | | | | | | |
4.50%, 10/20/2025(a) | | | | | | | 39 | | | | 41,332 | |
4.75%, 10/20/2028(a) | | | | | | | 46 | | | | 50,317 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 91,649 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 5,050,411 | |
| | | | | | | | | | | | |
FINANCIAL INSTITUTIONS–9.9% | | | | | |
BANKING–6.5% | | | | | |
Banco de Credito del Peru
3.125%, 07/01/2030(a) | | | | | | | 87 | | | | 85,956 | |
Banco Santander SA
3.49%, 05/28/2030 | | | | | | | 200 | | | | 211,742 | |
Bank of America Corp. | | | | | | | | | | | | |
2.299%, 07/21/2032 | | | | | | | 52 | | | | 51,066 | |
2.687%, 04/22/2032 | | | | | | | 56 | | | | 56,882 | |
Series DD | | | | | | | | | | | | |
6.30%, 03/10/2026(b) | | | | | | | 27 | | | | 30,426 | |
Series Z | | | | | | | | | | | | |
6.50%, 10/23/2024(b) | | | | | | | 41 | | | | 44,765 | |
Bank of New York Mellon Corp. (The)
Series G
4.70%, 09/20/2025(b) | | | | | | | 17 | | | | 18,192 | |
Barclays Bank PLC
6.86%, 06/15/2032(a)(b) | | | | | | | 29 | | | | 39,186 | |
BNP Paribas SA
2.871%, 04/19/2032(a) | | | | | | | 200 | | | | 202,622 | |
CIT Group, Inc.
5.25%, 03/07/2025 | | | | | | | 56 | | | | 61,536 | |
Citigroup, Inc. | | | | | | | | | | | | |
3.98%, 03/20/2030 | | | | | | | 37 | | | | 40,815 | |
4.075%, 04/23/2029 | | | | | | | 52 | | | | 57,336 | |
5.95%, 01/30/2023(b) | | | | | | | 55 | | | | 56,691 | |
Series W | | | | | | | | | | | | |
4.00%, 12/10/2025(b) | | | | | | | 37 | | | | 37,244 | |
Citizens Financial Group, Inc.
4.30%, 12/03/2025 | | | | | | | 99 | | | | 107,649 | |
Credit Suisse Group AG
3.80%, 06/09/2023 | | | | | | | 265 | | | | 274,680 | |
9
| | |
| INTERMEDIATE BOND PORTFOLIO | | |
| PORTFOLIO OF INVESTMENTS | | |
| |
| (continued) | | AB Variable Products Series Fund |
| | | | | | | | | | | | |
| | |
Principal
Amount
(000) | | | U.S. $ Value | |
| | | | | | | | | | | | |
Fifth Third Bancorp
Series L
4.50%, 09/30/2025(b) | | U.S.$ | | | | | 24 | | | $ | 25,323 | |
Goldman Sachs Group, Inc. (The) | | | | | |
2.383%, 07/21/2032 | | | | | | | 19 | | | | 18,709 | |
2.615%, 04/22/2032 | | | | | | | 78 | | | | 78,396 | |
Series V | | | | | |
4.125%, 11/10/2026(b) | | | | | | | 28 | | | | 28,394 | |
JPMorgan Chase & Co. | | | | | |
2.58%, 04/22/2032 | | | | | | | 116 | | | | 117,445 | |
Series I | | | | | |
3.599% (LIBOR 3 Month + 3.47%), 04/30/2022(b)(c) | | | | | | | 36 | | | | 36,095 | |
Series V | | | | | |
3.534% (LIBOR 3 Month + 3.32%), 04/01/2022(b)(c) | | | | | | | 18 | | | | 18,009 | |
Series Z | | | | | |
3.932% (LIBOR 3 Month + 3.80%), 02/01/2022(b)(c) | | | | | | | 51 | | | | 51,070 | |
Morgan Stanley | | | | | |
Series G | | | | | |
3.772%, 01/24/2029 | | | | | | | 82 | | | | 89,285 | |
Series H | | | | | |
3.734% (LIBOR 3 Month + 3.61%), 01/18/2022(b) (c) | | | | | | | 10 | | | | 10,004 | |
Santander Holdings USA, Inc.
4.40%, 07/13/2027 | | | | | | | 41 | | | | 45,056 | |
Standard Chartered PLC
1.639% (LIBOR 3 Month + 1.51%), 01/30/2027(a)(b)(c) | | | | | | | 100 | | | | 96,320 | |
Truist Financial Corp.
Series Q
5.10%, 03/01/2030(b) | | | | | | | 81 | | | | 90,637 | |
US Bancorp
Series J
5.30%, 04/15/2027(b) | | | | | | | 63 | | | | 67,968 | |
Wells Fargo & Co. | | | | | |
2.188%, 04/30/2026 | | | | | | | 62 | | | | 63,171 | |
3.584%, 05/22/2028 | | | | | | | 20 | | | | 21,507 | |
Series BB | | | | | |
3.90%, 03/15/2026(b) | | | | | | | 33 | | | | 33,762 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 2,267,939 | |
| | | | | | | | | | | | |
BROKERAGE–0.3% | |
Charles Schwab Corp. (The) | | | | | |
Series G | | | | | |
5.375%, 06/01/2025(b) | | | | | | | 44 | | | | 47,993 | |
Series I | | | | | |
4.00%, 06/01/2026(b) | | | | | | | 72 | | | | 73,651 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 121,644 | |
| | | | | | | | | | | | |
FINANCE–1.5% | | | | | | | | | | | | |
Air Lease Corp. | | | | | | | | | | | | |
2.10%, 09/01/2028 | | | | | | | 23 | | | | 22,242 | |
2.875%, 01/15/2026 | | | | | | | 7 | | | | 7,219 | |
3.625%, 04/01/2027 | | | | | | | 8 | | | | 8,420 | |
Aircastle Ltd. | | | | | | | | | | | | |
2.85%, 01/26/2028(a) | | | | | | | 88 | | | | 88,648 | |
| | | | | | | | | | | | |
4.125%, 05/01/2024 | | U.S.$ | | | | | 18 | | | | 18,829 | |
4.25%, 06/15/2026 | | | | | | | 7 | | | | 7,505 | |
5.25%, 08/11/2025(a) | | | | | | | 47 | | | | 51,673 | |
Aviation Capital Group LLC | | | | | | | | | | | | |
1.95%, 01/30/2026-09/20/2026(a) | | | | | | | 62 | | | | 60,549 | |
3.50%, 11/01/2027(a) | | | | | | | 17 | | | | 17,521 | |
4.125%, 08/01/2025(a) | | | | | | | 2 | | | | 2,114 | |
4.375%, 01/30/2024(a) | | | | | | | 14 | | | | 14,691 | |
4.875%, 10/01/2025(a) | | | | | | | 20 | | | | 21,654 | |
5.50%, 12/15/2024(a) | | | | | | | 46 | | | | 50,348 | |
Synchrony Financial | | | | | | | | | | | | |
2.875%, 10/28/2031 | | | | | | | 53 | | | | 52,864 | |
4.50%, 07/23/2025 | | | | | | | 81 | | | | 87,568 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 511,845 | |
| | | | | | | | | | | | |
INSURANCE–0.9% | | | | | | | | | | | | |
Alleghany Corp.
3.625%, 05/15/2030 | | | | | | | 95 | | | | 103,055 | |
Centene Corp.
2.625%, 08/01/2031 | | | | | | | 21 | | | | 20,658 | |
Nationwide Mutual Insurance Co.
9.375%, 08/15/2039(a) | | | | | | | 35 | | | | 60,474 | |
Prudential Financial, Inc.
5.875%, 09/15/2042 | | | | | | | 83 | | | | 84,889 | |
Voya Financial, Inc.
5.65%, 05/15/2053 | | | | | | | 31 | | | | 32,235 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 301,311 | |
| | | | | | | | | | | | |
REITs–0.7% | | | | | | | | | | | | |
Digital Realty Trust LP
3.60%, 07/01/2029 | | | | | | | 56 | | | | 60,840 | |
GLP Capital LP/GLP Financing II, Inc.
3.25%, 01/15/2032 | | | | | | | 45 | | | | 45,230 | |
Host Hotels & Resorts LP | | | | | | | | | | | | |
Series | | | | | | | | | | | | |
4.00%, 06/15/2025 | | | | | | | 39 | | | | 41,385 | |
Series I | | | | | | | | | | | | |
3.50%, 09/15/2030 | | | | | | | 7 | | | | 7,188 | |
Series J | | | | | | | | | | | | |
2.90%, 12/15/2031 | | | | | | | 22 | | | | 21,278 | |
Vornado Realty LP
3.40%, 06/01/2031 | | | | | | | 77 | | | | 79,348 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 255,269 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 3,458,008 | |
| | | | | | | | | | | | |
UTILITY–0.4% | |
ELECTRIC–0.3% | |
Duke Energy Carolinas NC Storm Funding LLC
Series A-2
2.617%, 07/01/2041 | | | | | | | 34 | | | | 34,196 | |
Entergy Corp.
1.90%, 06/15/2028 | | | | | | | 81 | | | | 79,431 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 113,627 | |
| | | | | | | | | | | | |
10
| | |
| |
| | | AB Variable Products Series Fund |
| | | | | | | | | | | | |
| | |
Principal
Amount
(000) | | | U.S. $ Value | |
| | | | | | | | | | | | |
OTHER UTILITY–0.1% | |
American Water Capital Corp.
3.45%, 06/01/2029 | | | U.S.$ | | | | 17 | | | $ | 18,350 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 131,977 | |
| | | | | | | | | | | | |
Total Corporates–Investment Grade
(cost $8,380,667) | | | | | | | | | | | 8,640,396 | |
| | | | | | | | | | | | |
GOVERNMENTS–
TREASURIES–19.6% | |
MALAYSIA–0.3% | | | | | | | | | | | | |
Malaysia Government Bond
Series 117
3.882%, 03/10/2022 | | | MYR | | | | 474 | | | | 114,210 | |
| | | | | | | | | | | | |
UNITED STATES–19.3% | |
U.S. Treasury Bonds | | | | | | | | | | | | |
1.75%, 08/15/2041 | | | | | | | 1,218 | | | | 1,184,310 | |
1.875%, 02/15/2051 | | | | | | | 382 | | | | 379,871 | |
2.00%,
11/15/2041-08/15/2051 | | | | | | | 654 | | | | 669,022 | |
2.375%, 05/15/2051 | | | | | | | 15 | | | | 16,756 | |
5.375%, 02/15/2031 | | | | | | | 244 | | | | 325,681 | |
U.S. Treasury Notes | | | | | |
0.125%, 08/31/2022(d) | | | | | | | 883 | | | | 882,572 | |
0.375%, 09/15/2024 | | | | | | | 493 | | | | 486,046 | |
0.875%, 09/30/2026-11/15/2030 | | | | | | | 825 | | | | 801,046 | |
1.125%, 10/31/2026 | | | | | | | 74 | | | | 73,362 | |
1.25%, 11/30/2026-08/15/2031 | | | | | | | 1,359 | | | | 1,337,112 | |
1.375%, 11/15/2031 | | | | | | | 192 | | | | 190,235 | |
1.625%, 05/15/2026 | | | | | | | 391 | | | | 398,087 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 6,744,100 | |
| | | | | | | | | | | | |
Total Governments–Treasuries
(cost $6,797,932) | | | | | | | | | | | 6,858,310 | |
| | | | | | | | | | | | |
COMMERCIAL MORTGAGE-BACKED SECURITIES–17.6% | | | | | | | | | |
NON-AGENCY FIXED RATE
CMBS–14.0% | |
BAMLL Commercial Mortgage Securities Trust
Series 2013-WBRK, Class D
3.534%, 03/10/2037(a) | | | | | | | 110 | | | | 100,089 | |
Banc of America Commercial Mortgage Trust
Series 2015-UBS7, Class AS
3.989%, 09/15/2048 | | | | | | | 100 | | | | 106,288 | |
CCUBS Commercial Mortgage Trust
Series 2017-C1, Class A4
3.544%, 11/15/2050 | | | | | | | 155 | | | | 167,347 | |
CFCRE Commercial Mortgage Trust | | | | | | | | | | | | |
Series 2016-C4, Class A4 | | | | | | | | | | | | |
3.283%, 05/10/2058 | | | | | | | 115 | | | | 120,847 | |
Series 2016-C4, Class AM | | | | | | | | | | | | |
3.691%, 05/10/2058 | | | | | | | 45 | | | | 47,499 | |
CGRBS Commercial
Mortgage Trust
Series 2013-VN05,
Class A
3.369%, 03/13/2035(a) | | | | | | | 260 | | | | 265,053 | |
| | | | | | | | | | | | |
Citigroup Commercial Mortgage Trust | | | | | | | | | | | | |
Series 2015-GC27, Class A5 | | | | | | | | | | | | |
3.137%, 02/10/2048 | | | U.S.$ | | | | 144 | | | | 149,699 | |
Series 2015-GC35, Class A4 | | | | | | | | | | | | |
3.818%, 11/10/2048 | | | | | | | 55 | | | | 58,965 | |
Series 2016-C1, Class A4 | | | | | | | | | | | | |
3.209%, 05/10/2049 | | | | | | | 192 | | | | 202,295 | |
Series 2016-GC36, Class A5 | | | | | | | | | | | | |
3.616%, 02/10/2049 | | | | | | | 65 | | | | 69,312 | |
Commercial Mortgage Trust | | | | | | | | | | | | |
Series 2013-SFS, Class A1 | | | | | | | | | | | | |
1.873%, 04/12/2035(a) | | | | | | | 20 | | | | 19,991 | |
Series 2014-UBS3, Class A4 | | | | | | | | | | | | |
3.819%, 06/10/2047 | | | | | | | 130 | | | | 136,750 | |
Series 2014-UBS5, Class A4 | | | | | | | | | | | | |
3.838%, 09/10/2047 | | | | | | | 130 | | | | 137,216 | |
Series 201-4UBS6,Class AM | | | | | | | | | |
4.048%, 12/10/2047 | | | | | | | 45 | | | | 47,483 | |
Series 2015-CR24, Class A5 | | | | | | | | | | | | |
3.696%, 08/10/2048 | | | | | | | 65 | | | | 69,126 | |
Series 2015-DC1, Class A5 | | | | | | | | | | | | |
3.35%, 02/10/2048 | | | | | | | 80 | | | | 83,867 | |
CSAIL Commercial Mortgage Trust | | | | | | | | | | | | |
Series 2015-C2, Class A4 | | | | | | | | | | | | |
3.504%, 06/15/2057 | | | | | | | 100 | | | | 105,410 | |
Series 2015-C3, Class A4 | | | | | | | | | | | | |
3.718%, 08/15/2048 | | | | | | | 117 | | | | 123,911 | |
Series 2015-C4, Class A4 | | | | | | | | | | | | |
3.808%, 11/15/2048 | | | | | | | 215 | | | | 230,113 | |
GS Mortgage Securities Trust | | | | | | | | | | | | |
Series 2013-G1, Class A2 | | | | | | | | | | | | |
3.557%, 04/10/2031(a) | | | | | | | 136 | | | | 135,236 | |
Series 2014-GC22, Class A5 | | | | | | | | | | | | |
3.862%, 06/10/2047 | | | | | | | 77 | | | | 81,075 | |
Series 2015-GC28, Class A5 | | | | | | | | | | | | |
3.396%, 02/10/2048 | | | | | | | 95 | | | | 99,602 | |
Series 2018-GS9, Class A4 | | | | | | | | | | | | |
3.992%, 03/10/2051 | | | | | | | 75 | | | | 83,233 | |
GSF | | | | | | | | | | | | |
Series 2021-1, Class A1
1.433%,08/15/2026(e)(f) | | | | | | | 23 | | | | 22,286 | |
Series 2021-1, Class A2
2.435%,08/15/2026(e)(f) | | | | | | | 46 | | | | 46,590 | |
Series 2021-1, Class AS
2.638%, 08/15/2026(e)(f) | | | | | | | 4 | | | | 4,024 | |
JPMBB Commercial Mortgage Securities Trust | | | | | | | | | | | | |
Series 2014-C21, Class A5
3.775%, 08/15/2047 | | | | | | | 100 | | | | 105,292 | |
Series 2014-C22, Class XA
0.823%, 09/15/2047(g) | | | | | | | 2,434 | | | | 43,434 | |
Series 2014-C24, Class C
4.385%, 11/15/2047 | | | | | | | 110 | | | | 106,343 | |
Series 2015-C30, Class A5 | | | | | |
3.822%, 07/15/2048 | | | | | | | 65 | | | | 69,649 | |
11
| | |
| INTERMEDIATE BOND PORTFOLIO | | |
| PORTFOLIO OF INVESTMENTS | | |
| |
| (continued) | | AB Variable Products Series Fund |
| | | | | | | | | | | | |
| | |
Principal
Amount
(000) | | | U.S. $ Value | |
| | | | | | | | | | | | |
Series 2015-C31, Class A3 | | | | | |
3.801%, 08/15/2048 | | U.S.$ | | | | | 194 | | | $ | 206,441 | |
JPMorgan Chase Commercial Mortgage Securities Trust | | | | | | | | | | | | |
Series 2012-C6, Class D | | | | | |
5.122%, 05/15/2045 | | | | | | | 110 | | | | 107,483 | |
Series 2012-C6, Class E | | | | | |
5.122%, 05/15/2045(a) | | | | | | | 132 | | | | 92,111 | |
LB-UBS Commercial Mortgage Trust Series 2006-C6, Class AJ
5.452%, 09/15/2039 | | | | | | | 14 | | | | 6,307 | |
LSTAR Commercial Mortgage Trust Series 2016-4, Class A2
2.579%, 03/10/2049(a) | | | | | | | 136 | | | | 137,402 | |
Morgan Stanley Capital I Trust
Series 2016-UB12, Class A4
3.596%, 12/15/2049 | | | | | | | 100 | | | | 107,353 | |
UBS Commercial Mortgage
Trust | | | | | |
Series 2018-C8, Class A4 | | | | | |
3.983%, 02/15/2051 | | | | | | | 100 | | | | 110,686 | |
Series 2018-C9, Class A4 | | | | | |
4.117%, 03/15/2051 | | | | | | | 125 | | | | 138,037 | |
Series 2018-C10, Class A4 | | | | | |
4.313%, 05/15/2051 | | | | | | | 125 | | | | 140,104 | |
UBS-Barclays Commercial
Mortgage Trust | | | | | |
Series 2012-C4, Class A5 | | | | | |
2.85%, 12/10/2045 | | | | | | | 112 | | | | 112,900 | |
Series 2012-C4, Class C | | | | | |
4.31%, 12/10/2045(a) | | | | | | | 90 | | | | 89,467 | |
Wells Fargo Commercial
Mortgage Trust | | | | | |
Series 2015-SG1, Class A4 | | | | | |
3.789%, 09/15/2048 | | | | | | | 94 | | | | 98,695 | |
Series 2016-C35, Class XA | | | | | |
1.888%, 07/15/2048(g) | | | | | | | 857 | | | | 59,330 | |
Series 2016-LC25, Class C | | | | | |
4.341%, 12/15/2059 | | | | | | | 85 | | | | 88,369 | |
Series 2016-NXS6, Class C | | | | | |
4.392%, 11/15/2049 | | | | | | | 100 | | | | 104,678 | |
WF-RBS Commercial Mortgage
Trust | | | | | |
Series 2013-C11, Class XA | | | | | |
1.13%, 03/15/2045(a)(g) | | | | | | | 999 | | | | 8,351 | |
Series 2014-C19, Class A5 | | | | | |
4.101%, 03/15/2047 | | | | | | | 130 | | | | 136,689 | |
Series 2014-C24, Class AS | | | | | |
3.931%, 11/15/2047 | | | | | | | 110 | | | | 114,505 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 4,896,933 | |
| | | | | | | | | | | | |
NON–AGENCY FLOATING
RATE CMBS–3.6% | |
Atrium Hotel Portfolio Trust
Series 2018-ATRM, Class A 1.06% (LIBOR 1 Month + 0.95%), 06/15/2035(a)(c) | | | | | | | 100 | | | | 99,810 | |
| | | | | | | | | | | | |
BAMLL Commercial Mortgage Securities Trust
Series 2017-SCH, Class AF
1.11% (LIBOR 1 Month +
1.00%), 11/15/2033 (a)(c) | | U.S.$ | | | | | 185 | | | | 184,430 | |
BBCMS Mortgage Trust Series 2020-BID, Class A
2.25% (LIBOR 1 Month +
2.14%), 10/15/2037(a)(c) | | | | | | | 71 | | | | 71,199 | |
BCP Trust
Series 2021-330N, Class A
0.909% (LIBOR 1 Month +
0.80%) , 06/15/2038(a)(c) | | | | | | | 21 | | | | 20,687 | |
BFLD Trust
Series 2021-FPM, Class A
1.71% (LIBOR 1 Month +
1.60%), 06/15/2038(a)(c) | | | | | | | 113 | | | | 112,932 | |
BHMS
Series 2018-ATLS, Class A
1.36% (LIBOR 1 Month +
1.25%), 07/15/2035(a)(c) | | | | | | | 81 | | | | 80,997 | |
BX Trust
Series 2018-EXCL, Class A
1.198% (LIBOR 1 Month +
1.09%), 09/15/2037(a)(c) | | | | | | | 78 | | | | 77,891 | |
CLNY Trust
Series 2019-IKPR, Class D
2.135% (LIBOR 1 Month +
2.03%), 11/15/2038(a)(c) | | | | | | | 65 | | | | 64,511 | |
DBWF Mortgage Trust
Series 2018-GLKS, Class A
1.134% (LIBOR 1 Month +
1.03%), 12/19/2030(a)(c) | | | | | | | 100 | | | | 99,759 | |
Federal Home Loan Mortgage Corp.
Series 2021-MN1, Class M1 2.05% (SOFR +
2.00%), 01/25/2051(a)(c) | | | | | | | 18 | | | | 17,892 | |
Great Wolf Trust Series 2019-WOLF, Class A 1.144% (LIBOR 1 Month +
1.03%), 12/15/2036(a)(c) | | | | | | | 111 | | | | 110,865 | |
GS Mortgage Securities Corp. Trust | | | | | | | | | | | | |
Series 2019-BOCA,Class A 1.31% (LIBOR 1 Month + 1.20%), 06/15/2038(a)(c) | | | | | | | 115 | | | | 114,929 | |
Series 2019-SMP, Class A 1.26% (LIBOR 1 Month + 1.15%), 08/15/2032(a) (c) | | | | | | | 100 | | | | 99,878 | |
Invitation Homes Trust
Series 2018-SFR2, Class C 1.39% (LIBOR 1 Month +
1.28%), 06/17/2037(a)(c) | | | | | | | 100 | | | | 99,889 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 1,255,669 | |
| | | | | | | | | | | | |
Total Commercial Mortgage-Backed Securities
(cost $6,099,583) | | | | | | | | | | | 6,152,602 | |
| | | | | | | | | | | | |
12
| | |
| |
| | | AB Variable Products Series Fund |
| | | | | | | | | | | | |
| | |
Principal
Amount
(000) | | | U.S. $ Value | |
| | | | | | | | | | | | |
MORTGAGE PASS–THROUGHS–12.6% | |
AGENCY FIXED RATE
30-YEAR–11.0% | |
Federal Home Loan Mortgage
Corp. | | | | | |
Series 2019
3.50%,
10/01/2049-11/01/2049 | | U.S.$ | | | | | 138 | | | $ | 146,800 | |
Series 2020
3.50%, 01/01/2050 | | | | | | | 75 | | | | 81,187 | |
Federal Home Loan Mortgage
Corp. Gold | | | | | |
Series 2005
5.50%, 01/01/2035 | | | | | | | 36 | | | | 40,491 | |
Series 2007
5.50%, 07/01/2035 | | | | | | | 12 | | | | 13,579 | |
Series 2016
4.00%, 02/01/2046 | | | | | | | 98 | | | | 105,902 | |
Series 2017
4.00%, 07/01/2044 | | | | | | | 67 | | | | 72,581 | |
Series 2018
4.50%,
10/01/2048-11/01/2048 | | | | | | | 131 | | | | 141,896 | |
5.00%,
11/01/2048 | | | | | | | 34 | | | | 37,626 | |
Federal National Mortgage
Association | | | | | |
Series 2003
5.50%, 04/01/2033-07/01/2033 | | | | | | | 35 | | | | 39,043 | |
Series 2004 | | | | | | | | | | | | |
5.50%, 04/01/2034-11/01/2034 | | | | | | | 31 | | | | 35,090 | |
Series 2005 | | | | | | | | | | | | |
5.50%, 02/01/2035 | | | | | | | 36 | | | | 40,296 | |
Series 2010 | | | | | |
4.00%, 12/01/2040 | | | | | | | 43 | | | | 46,424 | |
Series 2012 | | | | | | | | | | | | |
3.50%, 02/01/2042-01/01/2043 | | | | | | | 138 | | | | 149,110 | |
Series 2013 | | | | | |
3.50%, 04/01/2043 | | | | | | | 65 | | | | 70,578 | |
4.00%, 10/01/2043 | | | | | | | 171 | | | | 185,538 | |
Series 2018 | | | | | |
3.50%, 04/01/2048-05/01/2048 | | | | | | | 497 | | | | 530,567 | |
4.50%, 09/01/2048 | | | | | | | 108 | | | | 117,117 | |
Series 2019 | | | | | |
3.50%, 09/01/2049-11/01/2049 | | | | | | | 233 | | | | 248,021 | |
Series 2020 | | | | | |
3.50%, 01/01/2050 | | | | | | | 67 | | | | 72,068 | |
Government National
Mortgage Association | | | | | |
Series 1994 | | | | | |
9.00%, 09/15/2024 | | | | | | | 0 | ** | | | 181 | |
Series 2016 | | | | | |
3.00%, 04/20/2046 | | | | | | | 73 | | | | 76,921 | |
Uniform Mortgage-Backed
Security | | | | | |
Series 2022 | | | | | |
2.00%, 01/01/2052, TBA | | | | | | | 415 | | | | 414,222 | |
2.50%, 01/01/2052, TBA | | | | | | | 1,162 | | | | 1,186,874 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 3,852,112 | |
| | | | | | | | | | | | |
| | | | | | | | | | | | |
AGENCY FIXED RATE
15-Year–1.6% | |
Federal National Mortgage Association Series 2016
2.50%, 07/01/2031-01/01/2032 | | U.S.$ | | | | | 538 | | | | 558,261 | |
| | | | | | | | | | | | |
Total Mortgage Pass-Throughs
(cost $4,286,461) | | | | | | | | | | | 4,410,373 | |
| | | | | | | | | | | | |
COLLATERALIZED
MORTGAGE
OBLIGATIONS – 9.9% | |
RISK SHARE FLOATING
RATE–6.8% | |
Bellemeade Re Ltd. | | | | | |
Series 2018-3A, Class M1B | | | | | |
1.953% (LIBOR 1 Month + 1.85%), 10/25/2028(a)(c) | | | | | | | 82 | | | | 81,858 | |
Series 2019-4A, Class M1B | | | | | |
2.102% (LIBOR 1 Month + 2.00%), 10/25/2029(a)(c) | | | | | | | 150 | | | | 150,000 | |
Series 2020-4A, Class M2A | | | | | |
2.702% (LIBOR 1 Month + 2.60%), 06/25/2030(a)(c) | | | | | | | 7 | | | | 7,359 | |
Connecticut Avenue Securities
Trust | | | | | |
Series 2018-R07, Class 1M2 | | | | | |
2.502% (LIBOR 1 Month + 2.40%), 04/25/2031(a)(c) | | | | | | | 10 | | | | 9,673 | |
Series 2019-R02, Class 1M2 | | | | | |
2.403% (LIBOR 1 Month + 2.30%), 08/25/2031(a)(c) | | | | | | | 11 | | | | 11,190 | |
Series 2019-R03, Class 1M2 | | | | | |
2.253% (LIBOR 1 Month + 2.15%), 09/25/2031(a)(c) | | | | | | | 18 | | | | 18,498 | |
Series 2019-R04, Class 2M2 | | | | | |
2.202% (LIBOR 1 Month + 2.10%), 06/25/2039(a)(c) | | | | | | | 8 | | | | 8,236 | |
Series 2019-R05, Class 1M2 | | | | | |
2.103% (LIBOR 1 Month + 2.00%), 07/25/2039(a)(c) | | | | | | | 7 | | | | 7,191 | |
Series 2019-R06, Class 2M2 | | | | | |
2.202% (LIBOR 1 Month + 2.10%), 09/25/2039(a)(c) | | | | | | | 20 | | | | 19,550 | |
Series 2019-R07, Class 1M2 | | | | | |
2.203% (LIBOR 1 Month + 2.10%), 10/25/2039(a)(c) | | | | | | | 25 | | | | 24,890 | |
Series 2020-R01, Class 1M2 | | | | | |
2.153% (LIBOR 1 Month + 2.05%), 01/25/2040(a)(c) | | | | | | | 64 | | | | 64,056 | |
Series 2020-R02, Class 2M2 | | | | | |
2.103% (LIBOR 1 Month + 2.00%), 01/25/2040(a)(c) | | | | | | | 53 | | | | 52,674 | |
Series 2021-R01, Class 1M2 | | | | | |
1.60% (SOFR + 1.55%), 10/25/2041(a)(c) | | | | | | | 107 | | | | 107,482 | |
Series 2021-R03, Class 1M2 | | | | | |
1.70%, 12/25/2041(a)(c) | | | | | | | 27 | | | | 26,845 | |
13
| | |
| INTERMEDIATE BOND PORTFOLIO | | |
| PORTFOLIO OF INVESTMENTS | | |
| |
| (continued) | | AB Variable Products Series Fund |
| | | | | | | | | | | | |
| | |
Principal
Amount
(000) | | | U.S. $ Value | |
| | | | | | | | | | | | |
Eagle Re Ltd.
Series 2020-1, Class M1A
1.002% (LIBOR 1 Month + 0.90%), 01/25/2030 (a)(c) | | U.S.$ | | | | | 150 | | | $ | 149,193 | |
Federal Home Loan Mortgage
Corp. Structured Agency Credit
Risk Debt Notes | | | | | |
Series 2019-DNA3, Class M2 | | | | | |
2.153% (LIBOR 1 Month + 2.05%), 07/25/2049(a)(c) | | | | | | | 75 | | | | 75,332 | |
Series 2019-DNA4, Class M2 | | | | | |
2.053% (LIBOR 1 Month + 1.95%), 10/25/2049(a)(c) | | | | | | | 27 | | | | 26,716 | |
Series 2019-FTR2, Class M2 | | | | | |
2.252% (LIBOR 1 Month + 2.15%), 11/25/2048(a)(c) | | | | | | | 115 | | | | 114,598 | |
Series 2019-HQA1, Class M2 | | | | | |
2.453% (LIBOR 1 Month + 2.35%), 02/25/2049(a)(c) | | | | | | | 65 | | | | 65,687 | |
Series 2020-DNA1, Class M2 | | | | | |
1.803% (LIBOR 1 Month + 1.70%), 01/25/2050(a)(c) | | | | | | | 44 | | | | 44,554 | |
Series 2020-DNA5, Class M2 | | | | | |
2.85% (SOFR + 2.80%), 10/25/2050(a)(c) | | | | | | | 50 | | | | 49,983 | |
Series 2021-DNA3, Class B1 | | | | | |
3.55% (SOFR + 3.50%), 10/25/2033(a)(c) | | | | | | | 71 | | | | 73,510 | |
Series 2021-HQA4, Class M2 | | | | | |
2.40% (SOFR + 2.35%), 12/25/2041(a)(c) | | | | | | | 56 | | | | 56,503 | |
Federal National Mortgage
Association Connecticut
Avenue Securities | | | | | |
Series 2014-C04, Class 1M2 | | | | | |
5.003% (LIBOR 1 Month + 4.90%), 11/25/2024(c) | | | | | | | 34 | | | | 35,802 | |
Series 2014-C04, Class 2M2 | | | | | |
5.103% (LIBOR 1 Month + 5.00%), 11/25/2024(c) | | | | | | | 6 | | | | 6,483 | |
Series 2015-C02, Class 1M2 | | | | | |
4.103% (LIBOR 1 Month + 4.00%), 05/25/2025(c) | | | | | | | 25 | | | | 25,078 | |
Series 2015-C02, Class 2M2 | | | | | |
4.103% (LIBOR 1 Month + 4.00%), 05/25/2025(c) | | | | | | | 3 | | | | 2,860 | |
Series 2015-C03, Class 1M2 | | | | | |
5.103% (LIBOR 1 Month + 5.00%), 07/25/2025(c) | | | | | | | 26 | | | | 27,210 | |
Series 2015-C03, Class 2M2 | | | | | |
5.103% (LIBOR 1 Month + 5.00%), 07/25/2025(c) | | | | | | | 3 | | | | 3,095 | |
Series 2015-C04, Class 1M2 | | | | | |
5.803% (LIBOR 1 Month + 5.70%), 04/25/2028(c)
| | | | | | | 65 | | | | 68,059 | |
Series 2016-C01, Class 1M2 6.853% (LIBOR 1 Month + 6.75%), 08/25/2028(c)
| | | | | | | 71 | | | | 74,565 | |
| | | | | | | | | | | | |
Series 2016-C02, Class 1M2 | | | | | | | | | | | | |
6.103% (LIBOR 1 Month + 6.00%), 09/25/2028(c)
| | U.S.$ | | | | | 49 | | | $ | 51,009 | |
Series 2016-C05,
Class 2M2
4.553% (LIBOR 1 Month + 4.45%), 01/25/2029(c)
| | | | | | | 50 | | | | 51,286 | |
Series 2016-C06,
Class 1M2
4.353% (LIBOR 1 Month + 4.25%), 04/25/2029(c)
| | | | | | | 82 | | | | 84,606 | |
Series 2017-C01,
Class 1M2
3.653% (LIBOR 1 Month + 3.55%), 07/25/2029(c)
| | | | | | | 67 | | | | 68,624 | |
Series 2017-C04,
Class 2M2
2.953% (LIBOR 1 Month + 2.85%), 11/25/2029(c)
| | | | | | | 38 | | | | 38,472 | |
Series 2021-R02,
Class 2B1
3.35% (SOFR+ 3.30%), 11/25/2041 (a)(c) | | | | | | | 48 | | | | 48,322 | |
PMT Credit Risk Transfer Trust
| | | | | | | | | | | | |
Series 2019-1R, Class A 2.102% (LIBOR 1 Month + 2.00%), 03/27/2024(a)(c)
| | | | | | | 31 | | | | 30,929 | |
2.852% (LIBOR 1 Month + Series 2019-2R, Class A 2.75%), 05/27/2023(a)(c)
| | | | | | | 44 | | | | 43,459 | |
Series 2019-3R, Class A 2.802% (LIBOR 1 Month + 2.70%), 10/27/2022(a)(c) | | | | | | | 22 | | | | 22,442 | |
Radnor Re Ltd.
Series 2020-1, Class M1A | | | | | | | | | | | | |
1.052% (LIBOR 1 Month + 0.95%), 01/25/2030(a) (c)
| | | | | | | 150 | | | | 148,905 | |
Series 2020-1, Class M2A 2.102% (LIBOR 1 Month + 2.00%), 01/25/2030(a)(c) | | | | | | | 150 | | | | 146,572 | |
STACR Trust
Series 2018-DNA3, Class M2
2.203% (LIBOR 1 Month + 2.10%), 09/25/2048 (a)(c) | | | | | | | 31 | | | | 30,915 | |
Traingle Re Ltd.
Series 2020-1, Class M1B
4.002% (LIBOR 1 Month + 3.90%), 10/25/2030 (a)(c) | | | | | | | 100 | | | | 99,603 | |
Wells Far go Credit Risk Transfer
Securities Trust
Series 2015-WF1, Class 1M2 | | | | | |
5.353% (LIBOR 1 Month + 5.25%), 11/25/2025(c)(f)
| | | | | | | 15 | | | | 14,464 | |
Series 2015-WF1, Class 2M2
5.603% (LIBOR 1 Month + 5.50%), 11/25/2025(c)(f) | | | | | | | 6 | | | | 5,917 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 2,374,255 | |
| | | | | | | | | | | | |
14
| | |
| | |
| | |
| |
| | | AB Variable Products Series Fund |
| | | | | | | | | | | | |
| | |
Principal
Amount
(000) | | | U.S. $ Value | |
| | | | | | | | | | | | |
NON-AGENCY FIXED RATE–1.6% | |
Alternative Loan Trust
Series 2005-20CB, Class 3A6 | | | | | |
5.50%, 07/25/2035
| | U.S.$ | | | | | 10 | | | $ | 8,374 | |
Series 2006-24CB, Class A16
5.75%, 08/25/2036
| | | | | | | 47 | | | | 35,170 | |
Series 2006-28CB, Class A14
6.25%, 10/25/2036
| | | | | | | 34 | | | | 24,344 | |
Series 2006-J1,
Class 1A13
5.50%, 02/25/2036 | | | | | | | 21 | | | | 18,722 | |
Bayview MSR Opportunity Master Fund Trust
Series 2021-2, Class A2
2.50%, 06/25/2051(a) | | | | | | | 94 | | | | 93,990 | |
Chase Mortgage Finance Trust
Series 2007-S5, Class 1A17 6.00%, 07/25/2037 | | | | | | | 16 | | | | 10,709 | |
CIM Trust
Series 2021-INV1, Class A2
2.50%, 07/01/2051(a) | | | | | | | 95 | | | | 94,419 | |
Countrywide Home Loan Mortgage Pass-Through Trust
Series 2006-10, Class 1A8 | | | | | | | | | | | | |
6.00%, 05/25/2036
| | | | | | | 20 | | | | 13,115 | |
Series 2006-13,
Class 1A19
6.25%, 09/25/2036 | | | | | | | 11 | | | | 6,933 | |
First Horizon Alternative Mortgage Securities Trust
Series 2006-FA3, Class A9
6.00%, 07/25/2036 | | | | | | | 35 | | | | 22,611 | |
JPMorgan Alternative Loan Trust
Series 2006-A3, Class 2A1
3.159%, 07/25/2036 | | | | | | | 64 | | | | 54,880 | |
New Residential Mortgage Loan Trust
Series 2021-INV1, Class A2
2.50%, 06/25/2051(a) | | | | | | | 96 | | | | 96,312 | |
United Wholesale Mortgage Trust
Series 2021-INV1, Class A3
2.50%, 08/25/2051(a) | | | | | | | 72 | | | | 71,894 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 551,473 | |
| | | | | | | | | | | | |
AGENCY FLOATING RATE – 0.8% | | | | | |
Federal Home Loan Mortgage Corp. REMICs
Series 4981, Class HS
5.998% (6.10%–LIBOR 1 Month),
06/25/2050(c)(h) | | | | | | | 287 | | | | 45,779 | |
| | | | | | | | | | | | |
Federal National Mortgage Association REMICs
| | | | | | | | | | | | |
Series 2011-131, Class ST 6.438% (6.54%–LIBOR 1 Month), 12/25/2041(c)(h)
| | U.S.$ | | | | | 85 | | | | 15,912 | |
Series 2015-90, Class SL 6.048% (6.15%–LIBOR 1 Month), 12/25/2045(c)(h)
| | | | | | | 169 | | | | 33,004 | |
Series 2016-77, Class DS 5.898% (6.00%–LIBOR 1 Month), 10/25/2046(c)(h)
| | | | | | | 132 | | | | 22,750 | |
Series 2017-26, Class TS 5.848% (5.95%7–LIBOR 1 Month), 04/25/2047(c)(h)
| | | | | | | 165 | | | | 30,870 | |
Series 2017-62, Class AS 6.048% (6.15%–LIBOR 1 Month), 08/25/2047(c)(h)
| | | | | | | 152 | | | | 26,332 | |
Series 2017-81, Class SA
6.098% (6.20%–LIBOR 1 Month), 10/25/2047(c)(h)
| | | | | | | 168 | | | | 31,885 | |
Series 2017-97, Class LS 6.098% (6.20%–LIBOR 1 Month), 12/25/2047(c)(h) | | | | | | | 186 | | | | 36,498 | |
Government National Mortgage Association
Series 2017-134, Class SE | | | | | | | | | | | | |
6.096% (6.20%–LIBOR 1 Month), 09/20/2047(c)(h)
| | | | | | | 98 | | | | 15,510 | |
Series 2017-65, Class ST 6.046% (6.15%–LIBOR 1 Month), 04/20/2047(c)(h) | | | | | | | 153 | | | | 27,570 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 286,110 | |
| | | | | | | | | | | | |
AGENCY FIXED RATE–0.5% | |
Federal Home Loan Mortgage Corp. REMICs
Series 5015, Class BI | | | | | | | | | | | | |
4.00%, 09/25/2050(g)
| | | | | | | 180 | | | | 30,571 | |
Series 5049, Class CI
3.50%, 12/25/2050(g) | | | | | | | 191 | | | | 25,883 | |
Federal National Mortgage Association Grantor Trust Series 2004-T5, Class AB4
0.632%, 05/28/2035 | | | | | | | 50 | | | | 48,515 | |
Federal National Mortgage Association REMICs
Series 2020-89, Class KI
4.00%, 12/25/2050 (g) | | | | | | | 382 | | | | 56,988 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 161,957 | |
| | | | | | | | | | | | |
NON-AGENCY FLOATING
RATE–0.2% | |
Deutsche Alt-A Securities Mortgage Loan Trust
Series 2006-AR4, Class A2
0.482% (LIBOR 1 Month + 0.38%), 12/25/2036 (c) | | | | | | | 95 | | | | 44,018 | |
15
| | |
| INTERMEDIATE BOND PORTFOLIO | | |
| PORTFOLIO OF INVESTMENTS | | |
| |
| (continued) | | AB Variable Products Series Fund |
| | | | | | | | | | | | |
| | |
Principal
Amount
(000) | | | U.S. $ Value | |
| | | | | | | | | | | | |
HomeBanc Mortgage Trust
Series 2005-1, Class A1
0.602% (LIBOR 1 Month + 0.50%), 03/25/2035(c) | | U.S.$ | | | | | 21 | | | $ | 18,862 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 62,880 | |
| | | | | | | | | | | | |
Total Collateralized Mortgage Obligations
(cost $3,510,170) | | | | | | | | | | | 3,436,675 | |
| | | | | | | | | | | | |
ASSET-BACKED SECURITIES–5.5%
| |
OTHER ABS–FIXED RATE 3.7% | |
AB Issuer LLC
Series 2021-1, Class A2
3.734%, 07/30/2051(a)(e) | | | | | | | 80 | | | | 79,439 | |
Affirm Asset Securitization Trust
Series 2020-A, Class A 2.10%, 02/18/2025(a)
| | | | | | | 100 | | | | 100,242 | |
Series 2021-A, Class C
1.66%, 08/15/2025(a)
| | | | | | | 100 | | | | 100,221 | |
Series 2021-Z1, Class A | | | | | | | | | | | | |
1.07%, 08/15/2025(a) | | | | | | | 69 | | | | 69,062 | |
Atalaya Equipment Leasing Trust
Series 2021-1A, Class C
2.69%, 06/15/2028(a) | | | | | | | 100 | | | | 99,697 | |
College Ave Student Loans
Series 2021-C, Class C
3.06%, 07/26/2055(a) | | | | | | | 100 | | | | 100,091 | |
Conn’s Receivables Funding Series 2021-A, Class A
1.05%, 05/15/2026(a) | | | | | | | 100 | | | | 100,041 | |
Diamond Issuer
Series 2021-1A, Class B
2.701%, 11/20/2051(a) | | | | | | | 63 | | | | 62,100 | |
Domino’s Pizza Master Issuer LLC
Series 2021-1A, Class A2I
2.662%, 04/25/2051(a) | | | | | | | 50 | | | | 49,959 | |
GCI Funding I LLC
Series 2021-1, Class A
2.38%, 06/18/2046(a)(e) | | | | | | | 94 | | | | 94,166 | |
Hardee’s Funding LLC
Series 2018-1A, Class A23 5.71%, 06/20/2048(a) | | | | | | | 36 | | | | 40,127 | |
Series 2020-1A, Class A2 3.981%, 12/20/2050(a) | | | | | | | 84 | | | | 88,425 | |
MVW
Series 2021-2A, Class C
2.23%, 05/20/2039(a) | | | | | | | 104 | | | | 103,393 | |
Neighborly Issuer LLC
Series 2021-1A, Class A2
3.584%, 04/30/2051(a) | | | | | | | 33 | | | | 33,259 | |
Nelnet Student Loan Trust
Series 2021-BA, Class B
2.68%, 04/20/2062(a) | | | | | | | 100 | | | | 99,700 | |
SEB Funding LLC
Series 2021-1A, Class A2
4.969%, 01/30/2052(a) | | | | | | | 76 | | | | 75,567 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 1,295,489 | |
| | | | | | | | | | | | |
| | | | | | | | | | | | |
AUTOS–FIXED RATE–1.6% | |
Avis Budget Rental Car Funding AESOP LLC
Series 2018-2A, Class A
4.00%, 03/20/2025(a) | | U.S.$ | | | | | 105 | | | | 110,688 | |
Carvana Auto Receivables
Trust
Series 2021-N3, Class C
1.02%, 06/12/2028 | | | | | | | 33 | | | | 32,664 | |
CPS Auto Receivables Trust
Series 2021-C, Class D
1.69%, 06/15/2027(a) | | | | | | | 100 | | | | 98,748 | |
Exeter Automobile Receivables Trust
Series 2017-3A, Class C
3.68%, 07/17/2023(a) | | | | | | | 20 | | | | 20,003 | |
FHF Trust
Series 2021-2A, Class A
0.83%, 12/15/2026(a) | | | | | | | 32 | | | | 31,528 | |
First Investors Auto Owner Trust
Series 2020-1A, Class A
1.49%, 01/15/2025(a) | | | | | | | 6 | | | | 6,396 | |
Ford Credit Auto Owner Trust
Series 2021-1, Class D
2.31%, 10/17/2033(a) | | | | | | | 150 | | | | 148,110 | |
LAD Auto Receivables Trust
Series 2021-1A, Class C
2.35%, 04/15/2027(a) | | | | | | | 94 | | | | 93,699 | |
| | | | | | | | | | | | |
| | | | 541,836 | |
| | | | | | | | | | | | |
CREDIT CARDS–FIXED RATE–0.2% | |
World Financial Network Credit Card Master Trust
Series 2019-B, Class M
3.04%, 04/15/2026 | | | | | | | 80 | | | | 80,909 | |
| | | | | | | | | | | | |
Total Asset-Backed Securities
(cost $1,913,290) | | | | | | | | | | | 1,918,234 | |
| | | | | | | | | | | | |
CORPORATES–NON-INVESTMENT
GRADE–5.2% | |
INDUSTRIAL–3.2% | |
BASIC–0.3% | |
Ingevity Corp.
3.875%, 11/01/2028(a) | | | | | | | 65 | | | | 63,383 | |
Sealed Air Corp.
4.00%, 12/01/2027(a) | | | | | | | 47 | | | | 49,028 | |
| | | | | | | | | | | | |
| | | | 112,411 | |
| | | | | | | | | | | | |
CAPITAL GOODS–0.3% | |
GFL Environmental, Inc.
3.50%, 09/01/2028(a) | | | | | | | 37 | | | | 36,447 | |
TransDigm, Inc.
6.25%, 03/15/2026(a) | | | | | | | 50 | | | | 51,956 | |
| | | | | | | | | | | | |
| | | | 88,403 | |
| | | | | | | | | | | | |
COMMUNICATIONS–MEDIA–0.6% | |
Cable One, Inc.
4.00%, 11/15/2030(a) | | | | | | | 37 | | | | 36,482 | |
16
| | |
| |
| | | AB Variable Products Series Fund |
| | | | | | | | | | | | |
| | |
Principal
Amount
(000) | | | U.S. $ Value | |
| | | | | | | | | | | | |
CCO Holdings LLC/CCO Holdings Capital Corp.
4.50%, 08/15/2030-06/01/2033(a) | | | U.S.$ | | | | 75 | | | $ | 76,649 | |
DISH DBS Corp.
5.75%, 12/01/2028(a) | | | | | | | 36 | | | | 36,360 | |
Sirius XM Radio, Inc.
4.00%, 07/15/2028(a) | | | | | | | 57 | | | | 57,385 | |
| | | | | | | | | | | | |
| | | | 206,876 | |
| | | | | | | | | | | | |
COMMUNICATIONS–
TELECOMMUNICATIONS–0.2% | |
Lumen Technologies, Inc.
4.50%, 01/15/2029(a) | | | | | | | 60 | | | | 58,184 | |
| | | | | | | | | | | | |
CONSUMER CYCLICAL–
AUTOMOTIVE–0.4% | |
ZF Finance GmbH
3.75%, 09/21/2028(a) | | | EUR | | | | 100 | | | | 122,673 | |
| | | | | | | | | | | | |
CONSUMER CYCLICAL–
ENTERTAINMENT–0.4% | |
Carnival Corp.
4.00%, 08/01/2028(a) | | | U.S.$ | | | | 56 | | | | 55,593 | |
Mattel, Inc.
3.75%, 04/01/2029(a) | | | | | | | 21 | | | | 21,805 | |
Royal Caribbean Cruises Ltd.
11.50%, 06/01/2025(a) | | | | | | | 44 | | | | 49,443 | |
| | | | | | | | | | | | |
| | | | 126,841 | |
| | | | | | | | | | | | |
CONSUMER CYCLICAL–
RESTAURANTS–0.2% | |
1011778 BC ULC/New Red Finance, Inc.
3.50%, 02/15/2029(a) | | | | | | | 77 | | | | 76,227 | |
| | | | | | | | | | | | |
CONSUMER CYCLICAL–
RETAILERS–0.1% | |
Levi Strauss & Co.
3.50%, 03/01/2031(a) | | | | | | | 42 | | | | 42,828 | |
| | | | | | | | | | | | |
CONSUMER NON-CYCLICAL–0.3% | |
Albertsons Cos., Inc./Safeway, Inc./New Albertsons LP
/Albertsons LLC
3.50%, 03/15/2029(a) | | | | | | | 41 | | | | 41,031 | |
Mozart Debt Merger Sub, Inc.
3.875%, 04/01/2029(a) | | | | | | | 50 | | | | 49,826 | |
Newell Brands, Inc.
4.70%, 04/01/2026 | | | | | | | 26 | | | | 28,358 | |
| | | | | | | | | | | | |
| | | | 119,215 | |
| | | | | | | | | | | | |
ENERGY–0.1% | |
Transocean Poseidon Ltd.
6.875%, 02/01/2027(a) | | | | | | | 33 | | | | 32,012 | |
| | | | | | | | | | | | |
TRANSPORTATION–AIRLINES–0.3% | |
Deutsche Lufthansa AG
3.00%, 05/29/2026(a) | | | EUR | | | | 100 | | | | 113,694 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 1,099,364 | |
| | | | | | | | | | | | |
FINANCIAL INSTITUTIONS–1.8% | |
BANKING–1.6% | |
Banco Santander SA
7.50%, 02/08/2024(a)(b) | | | U.S.$ | | | | 200 | | | | 215,428 | |
Credit Suisse Group AG
7.50%, 07/17/2023(a)(b) | | | | | | | 200 | | | | 210,880 | |
| | | | | | | | | | | | |
Discover Financial Services
Series D
6.125%, 06/23/2025(b) | | | U.S.$ | | | | 127 | | | | 139,536 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 565,844 | |
| | | | | | | | | | | | |
FINANCE–0.2% | |
SLM Corp.
4.20%, 10/29/2025 | | | | | | | 68 | | | | 71,223 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 637,067 | |
| | | | | | | | | | | | |
UTILITY–0.2% | |
ELECTRIC–0.2% | |
Vistra Corp.
7.00%, 12/15/2026(a)(b) | | | | | | | 25 | | | | 25,365 | |
Vistra Operations Co. LLC
4.375%, 05/01/2029(a) | | | | | | | 58 | | | | 58,219 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 83,584 | |
| | | | | | | | | | | | |
Total Corporates–
Non-investment Grade
(cost $1,791,473) | | | | | | | | | | | 1,820,015 | |
| | | | | | | | | | | | |
INFLATION-LINKED SECURITIES–3.1% | |
CANADA–0.6% | |
Canadian Government Real Return Bond
1.50%, 12/01/2044 | | | CAD | | | | 208 | | | | 226,254 | |
| | | | | | | | | | | | |
UNITED STATES–2.5% | |
U.S. Treasury Inflation Index | | | | | |
0.125%, 01/15/2031 (TIPS) | | | U.S.$ | | | | 85 | | | | 95,123 | |
0.375%, 01/15/2027 (TIPS) | | | | | | | 692 | | | | 761,589 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 856,712 | |
| | | | | | | | | | | | |
Total Inflation-linked Securities
(cost $1,071,736) | | | | | | | | | | | 1,082,966 | |
| | | | | | | | | | | | |
LOCAL GOVERNMENTS–
US MUNICIPAL BONDS–1.7% | |
UNITED STATES–1.7% | |
Port Authority of New York & New Jersye
Series 2020-A
1.086%, 07/01/2023 | | | | | | | 50 | | | | 50,267 | |
State Board of Administration Finance Corp.
Series 2020-A
1.705%, 07/01/2027 | | | | | | | 80 | | | | 79,800 | |
State of California
Series 2010
7.625%, 03/01/2040 | | | | | | | 200 | | | | 331,253 | |
Tobacco Settlement Finance Authority/WV
Series 2020
3.00%, 06/01/2035 | | | | | | | 46 | | | | 47,315 | |
University of California
Series 2021-B
3.071%, 05/15/2051 | | | | | | | 75 | | | | 75,631 | |
| | | | | | | | | | | | |
Total Local Governments–US
Municipal Bonds
(cost $453,293) | | | | | | | | | | | 584,266 | |
| | | | | | | | | | | | |
17
| | |
| INTERMEDIATE BOND PORTFOLIO | | |
| PORTFOLIO OF INVESTMENTS | | |
| |
| (continued) | | AB Variable Products Series Fund |
| | | | | | | | | | | | |
| | |
Principal
Amount
(000) | | | U.S. $ Value | |
| | | | | | | | | | | | |
EMERGING MARKETS–
CORPORATE BONDS–0.3% | |
INDUSTRIAL–0.3% | |
BASIC–0.1% | |
Volcan Cia Minera SAA
4.375%, 02/11/2026(a) | | U.S.$ | | | | | 19 | | | $ | 18,333 | |
| | | | | | | | | | | | |
CAPITAL GOODS–0.2% | |
Embraer Netherlands Finance BV
5.40%, 02/01/2027 | | | | | | | 85 | | | | 88,559 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 106,892 | |
| | | | | | | | | | | | |
UTILITY–0.0% | |
ELECTRIC–0.0% | |
Terraform Global Operating LLC
6.125%, 03/01/2026(f) | | | | | | | 5 | | | | 5,108 | |
| | | | | | | | | | | | |
Total Emerging Markets–
Corporate Bonds
(cost $109,100) | | | | | | | | | | | 112,000 | |
| | | | | | | | | | | | |
SHORT-TERM INVESTMENTS–4.8% | |
U.S. TREASURY BILLS–3.9% | |
U.S. Treasury Bill
Zero Coupon 01/06/2022-09/08/2022
(cost $1,369,829) | | | | | | | 1,370 | | | | 1,369,538 | |
| | | | | | | | | | | | |
| | | Shares | | | U.S. $ Value | |
| | | | | | | | | | | | |
INVESTMENT COMPANIES–0.9% | |
AB Fixed Income Shares, Inc.–Government Money Market Portfolio–Class AB, 0.01%(i)(j)(k)
(cost $313,732) | | | | | | | 313,732 | | | | 313,732 | |
| | | | | | | | | | | | |
Total Short-Term Investments
(cost $1,683,561) | | | | | | | | | | | 1,683,270 | |
| | | | | | | | | | | | |
TOTAL
INVESTMENTS–105.0%
(cost $36,097,266) | | | | | | | | | | | 36,699,107 | |
Other assets less
liabilities–(5.0)% | | | | | | | | | | | (1,758,427 | ) |
| | | | | | | | | | | | |
NET ASSETS–100.0% | | | | | | | | | | $ | 34,940,680 | |
| | | | | | | | | | | | |
FUTURES (see Note D)
| | | | | | | | | | | | | | | | |
| Description | | Number of
Contracts | | | Expiration
Month | | | Current
Notional | | | Value and
Unrealized
Appreciation/
(Depreciation) | |
Purchased Contracts | |
U.S. 10 Yr Ultra Futures | | | 1 | | | | March 2022 | | | $ | 146,437 | | | $ | 45 | |
U.S. T-Note 2 Yr (CBT) Futures | | | 8 | | | | March 2022 | | | | 1,745,375 | | | | (4,408 | ) |
U.S. T-Note 5 Yr (CBT) Futures | | | 3 | | | | March 2022 | | | | 362,930 | | | | (35 | ) |
U.S. Ultra Bond (CBT) Futures | | | 11 | | | | March 2022 | | | | 2,168,375 | | | | 54,297 | |
| | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | $ | 49,899 | |
| | | | | | | | | | | | | | | | |
FORWARD CURRENCY EXCHANGE CONTRACTS (see Note D)
| | | | | | | | | | | | | | | | | | | | | | | | |
| Counterparty | | Contracts to
Deliver
(000) | | | In Exchange
For
(000) | | | Settlement
Date | | | Unrealized
Appreciation/
(Depreciation) | |
Citibank, NA | | | USD | | | | 361 | | | | RUB | | | | 26,970 | | | | 03/02/2022 | | | $ | (4,496 | ) |
Goldman Sachs Bank USA | | | MYR | | | | 497 | | | | USD | | | | 117 | | | | 06/16/2022 | | | | (1,500 | ) |
Morgan Stanley Capital Services, Inc. | | | AUD | | | | 953 | | | | USD | | | | 704 | | | | 02/08/2022 | | | | 11,149 | |
Morgan Stanley Capital Services, Inc. | | | CAD | | | | 1,146 | | | | USD | | | | 911 | | | | 02/10/2022 | | | | 4,546 | |
State Street Bank & Trust Co. | | | SEK | | | | 3,094 | | | | USD | | | | 354 | | | | 01/20/2022 | | | | 11,110 | |
State Street Bank & Trust Co. | | | SEK | | | | 323 | | | | USD | | | | 35 | | | | 01/20/2022 | | | | (205 | ) |
State Street Bank & Trust Co. | | | USD | | | | 41 | | | | SEK | | | | 354 | | | | 01/20/2022 | | | | (2,153 | ) |
State Street Bank & Trust Co. | | | AUD | | | | 63 | | | | USD | | | | 45 | | | | 02/08/2022 | | | | (1,053 | ) |
State Street Bank & Trust Co. | | | USD | | | | 27 | | | | AUD | | | | 38 | | | | 02/08/2022 | | | | 112 | |
State Street Bank & Trust Co. | | | EUR | | | | 63 | | | | USD | | | | 72 | | | | 02/10/2022 | | | | 1,130 | |
State Street Bank & Trust Co. | | | EUR | | | | 210 | | | | USD | | | | 237 | | | | 02/10/2022 | | | | (2,453 | ) |
State Street Bank & Trust Co. | | | USD | | | | 72 | | | | EUR | | | | 64 | | | | 02/10/2022 | | | | 581 | |
| | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | $ | 16,768 | |
| | | | | | | | | | | | | | | | | | | | | | | | |
18
| | |
| |
| | | AB Variable Products Series Fund |
CENTRALLY CLEARED CREDIT DEFAULT SWAPS (see Note D)
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Description | | Fixed
Rate
(Pay)
Receive | | | Payment
Frequency | | | Implied
Credit
Spread at
December 31,
2021 | | | Notional
Amount
(000) | | | Market
Value | | | Upfront
Premiums
Paid/
(Received) | | | Unrealized
Appreciation/
(Depreciation) | |
Sale Contracts | |
CDX-NAHY Series 34, 5 Year Index, 06/20/2025* | | | 5.00 | % | | | Quarterly | | | | 2.48 | % | | | USD | | | | 104 | | | $ | 8,680 | | | $ | 4,045 | | | $ | 4,635 | |
CDX-NAHY Series 37, 5 Year Index, 12/20/2026* | | | 5.00 | | | | Quarterly | | | | 2.93 | | | | USD | | | | 239 | | | | 22,270 | | | | 21,616 | | | | 654 | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | $ | 30,950 | | | $ | 25,661 | | | $ | 5,289 | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
CENTRALLY CLEARED INFLATION (CPI) SWAPS (see Note D)
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | 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 | | | 450 | | | | 09/07/2031 | | | | 2.519 | % | | | CPI | # | | | Maturity | | | $ | 20,283 | | | $ | — | | | $ | 20,283 | |
| # | | Variable interest rate based on the rate of inflation as determined by the Consumer Price Index (CPI). |
CENTRALLY CLEARED INTEREST RATE SWAPS (see Note D)
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | 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) | |
SEK | | | 15,600 | | | | 08/30/2024 | | | | 3 Month STIBOR | | | | (0.165)% | | | Quarterly/Annual | | $ | (27,658 | ) | | $ | 10 | | | $ | (27,668 | ) |
USD | | | 130 | | | | 09/27/2029 | | | | 1.593% | | | | 3 Month LIBOR | | | Semi-Annual/Quarterly | | | (1,455 | ) | | | –0 | – | | | (1,455 | ) |
USD | | | 250 | | | | 12/13/2029 | | | | 1.764% | | | | 3 Month LIBOR | | | Semi-Annual/Quarterly | | | (5,077 | ) | | | –0 | – | | | (5,077 | ) |
CAD | | | 240 | | | | 03/04/2051 | | | | 2.333% | | | | 3 Month CDOR | | | Semi-Annual | | | (9,950 | ) | | | –0 | – | | | (9,950 | ) |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | $ | (44,140) | | | $ | 10 | | | $ | (44,150) | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
CREDIT DEFAULT SWAPS (see Note D)
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Swap Counterparty &
Referenced Obligation | | Fixed
Rate
(Pay)
Receive | | | Payment
Frequency | | | Implied
Credit
Spread at
December 31,
2021 | | | Notional
Amount
(000) | | | Market
Value | | | Upfront
Premiums
Paid/
(Received) | | | Unrealized
Appreciation/
(Depreciation) | |
Buy Contracts | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Citigroup Global Markets, Inc. | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
CDX-CMBX.NA.BBB-
Series 9, 09/17/2058* | | | (3.00 | )% | | | Monthly | | | | 5.83 | % | | | USD | | | | 7 | | | $ | 654 | | | $ | 1,379 | | | $ | (725 | ) |
CDX-CMBX.NA.BBB-
Series 9, 09/17/2058* | | | (3.00 | ) | | | Monthly | | | | 5.83 | | | | USD | | | | 7 | | | | 654 | | | | 1,380 | | | | (726 | ) |
CDX-CMBX.NA.BBB-
Series 9, 09/17/2058* | | | (3.00 | ) | | | Monthly | | | | 5.83 | | | | USD | | | | 119 | | | | 11,116 | | | | 22,974 | | | | (11,858 | ) |
CDX-CMBX.NA.BBB-
Series 9, 09/17/2058* | | | (3.00 | ) | | | Monthly | | | | 5.83 | | | | USD | | | | 128 | | | | 11,958 | | | | 25,568 | | | | (13,610 | ) |
CDX-CMBX.NA.BBB-
Series 9, 09/17/2058* | | | (3.00 | ) | | | Monthly | | | | 5.83 | | | | USD | | | | 298 | | | | 27,838 | | | | 58,055 | | | | (30,217 | ) |
19
| | |
| INTERMEDIATE BOND PORTFOLIO | | |
| NOTES TO FINANCIAL STATEMENTS | | |
| |
| (continued) | | AB Variable Products Series Fund |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Swap Counterparty &
Referenced Obligation | | Fixed
Rate
(Pay)
Receive | | | Payment
Frequency | | | Implied
Credit
Spread at
December 31,
2021 | | | Notional
Amount
(000) | | | Market
Value | | | Upfront
Premiums
Paid/
(Received) | | | Unrealized
Appreciation/
(Depreciation) | |
Buy Contracts (continued) | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
CDX-CMBX.NA.BBB-
Series 9, 09/17/2058* | | | (3.00 | )% | | | Monthly | | | | 5.83 | % | | | USD | | | | 595 | | | $ | 55,583 | | | $ | 118,102 | | | $ | (62,519) | |
Goldman Sachs International | |
CDX-CMBX.NA.BBB-
Series 9, 09/17/2058* | | | (3.00 | ) | | | Monthly | | | | 5.83 | | | | USD | | | | 51 | | | | 4,764 | | | | 8,668 | | | | (3,904 | ) |
JPMorgan Securities, LLC | |
CDX-CMBX.NA.BBB-
Series 9, 09/17/2058* | | | (3.00 | ) | | | Monthly | | | | 5.83 | | | | USD | | | | 68 | | | | 6,353 | | | | 13,443 | | | | (7,090 | ) |
Morgan Stanley & Co.
International PLC | |
CDX-CMBX.NA.BBB-
Series 9, 09/17/2058* | | | (3.00 | ) | | | Monthly | | | | 5.83 | | | | USD | | | | 27 | | | | 2,522 | | | | 5,133 | | | | (2,611 | ) |
CDX-CMBX.NA.BBB-
Series 9, 09/17/2058* | | | (3.00 | ) | | | Monthly | | | | 5.83 | | | | USD | | | | 54 | | | | 5,044 | | | | 10,801 | | | | (5,757 | ) |
|
Sale Contracts | |
Citigroup Global Markets, Inc. | |
CDX-CMBX.NA.BBB-
Series 6, 05/11/2063* | | | 3.00 | | | | Monthly | | | | 10.00 | | | | USD | | | | 1 | | | | (279 | ) | | | (153 | ) | | | (126 | ) |
CDX-CMBX.NA.BBB-
Series 6, 05/11/2063* | | | 3.00 | | | | Monthly | | | | 10.00 | | | | USD | | | | 1 | | | | (279 | ) | | | (123 | ) | | | (156 | ) |
CDX-CMBX.NA.BBB-
Series 6, 05/11/2063* | | | 3.00 | | | | Monthly | | | | 10.00 | | | | USD | | | | 2 | | | | (558 | ) | | | (230 | ) | | | (328 | ) |
CDX-CMBX.NA.BBB-
Series 6, 05/11/2063* | | | 3.00 | | | | Monthly | | | | 10.00 | | | | USD | | | | 3 | | | | (837 | ) | | | (363 | ) | | | (474 | ) |
CDX-CMBX.NA.BBB-
Series 6, 05/11/2063* | | | 3.00 | | | | Monthly | | | | 10.00 | | | | USD | | | | 4 | | | | (1,116 | ) | | | (505 | ) | | | (611 | ) |
CDX-CMBX.NA.BBB-
Series 6, 05/11/2063* | | | 3.00 | | | | Monthly | | | | 10.00 | | | | USD | | | | 4 | | | | (1,116 | ) | | | (410 | ) | | | (706 | ) |
CDX-CMBX.NA.BBB-
Series 6, 05/11/2063* | | | 3.00 | | | | Monthly | | | | 10.00 | | | | USD | | | | 5 | | | | (1,395 | ) | | | (545 | ) | | | (850 | ) |
CDX-CMBX.NA.BBB-
Series 6, 05/11/2063* | | | 3.00 | | | | Monthly | | | | 10.00 | | | | USD | | | | 6 | | | | (1,674 | ) | | | (749 | ) | | | (925 | ) |
CDX-CMBX.NA.BBB-
Series 6, 05/11/2063* | | | 3.00 | | | | Monthly | | | | 10.00 | | | | USD | | | | 6 | | | | (1,674 | ) | | | (725 | ) | | | (949 | ) |
CDX-CMBX.NA.BBB-
Series 6, 05/11/2063* | | | 3.00 | | | | Monthly | | | | 10.00 | | | | USD | | | | 7 | | | | (1,953 | ) | | | (994 | ) | | | (959 | ) |
CDX-CMBX.NA.BBB-
Series 6, 05/11/2063* | | | 3.00 | | | | Monthly | | | | 10.00 | | | | USD | | | | 6 | | | | (1,674 | ) | | | (689 | ) | | | (985 | ) |
CDX-CMBX.NA.BBB-
Series 6, 05/11/2063* | | | 3.00 | | | | Monthly | | | | 10.00 | | | | USD | | | | 7 | | | | (1,952 | ) | | | (763 | ) | | | (1,189 | ) |
CDX-CMBX.NA.BBB-
Series 6, 05/11/2063* | | | 3.00 | | | | Monthly | | | | 10.00 | | | | USD | | | | 8 | | | | (2,232 | ) | | | (1,035 | ) | | | (1,197 | ) |
CDX-CMBX.NA.BBB-
Series 6, 05/11/2063* | | | 3.00 | | | | Monthly | | | | 10.00 | | | | USD | | | | 8 | | | | (2,232 | ) | | | (967 | ) | | | (1,265 | ) |
CDX-CMBX.NA.BBB-
Series 6, 05/11/2063* | | | 3.00 | | | | Monthly | | | | 10.00 | | | | USD | | | | 9 | | | | (2,511 | ) | | | (960 | ) | | | (1,551 | ) |
CDX-CMBX.NA.BBB-
Series 6, 05/11/2063* | | | 3.00 | | | | Monthly | | | | 10.00 | | | | USD | | | | 9 | | | | (2,511 | ) | | | (941 | ) | | | (1,570 | ) |
CDX-CMBX.NA.BBB-
Series 6, 05/11/2063* | | | 3.00 | | | | Monthly | | | | 10.00 | | | | USD | | | | 12 | | | | (3,347 | ) | | | (1,225 | ) | | | (2,122 | ) |
20
| | |
| |
| | | AB Variable Products Series Fund |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Swap Counterparty &
Referenced Obligation | | Fixed
Rate
(Pay)
Receive | | | Payment
Frequency | | | Implied
Credit
Spread at
December 31,
2021 | | | Notional
Amount
(000) | | | Market
Value | | | Upfront
Premiums
Paid/
(Received) | | | Unrealized
Appreciation/
(Depreciation) | |
Sale Contracts (continued) | |
CDX-CMBX.NA.BBB- Series 6, 05/11/2063* | | | 3.00 | % | | | Monthly | | | | 10.00 | % | | | USD | | | | 14 | | | $ | (3,906) | | | $ | (1,493) | | | $ | (2,413) | |
Credit Suisse International | |
CDX-CMBX.NA.BBB- Series 6, 05/11/2063* | | | 3.00 | | | | Monthly | | | | 10.00 | | | | USD | | | | 28 | | | | (7,811 | ) | | | (1,844 | ) | | | (5,967 | ) |
CDX-CMBX.NA.BBB- Series 6, 05/11/2063* | | | 3.00 | | | | Monthly | | | | 10.00 | | | | USD | | | | 56 | | | | (15,622 | ) | | | (7,913 | ) | | | (7,709 | ) |
CDX-CMBX.NA.BBB- Series 6, 05/11/2063* | | | 3.00 | | | | Monthly | | | | 10.00 | | | | USD | | | | 94 | | | | (26,223 | ) | | | (5,792 | ) | | | (20,431 | ) |
CDX-CMBX.NA.BBB- Series 6, 05/11/2063* | | | 3.00 | | | | Monthly | | | | 10.00 | | | | USD | | | | 318 | | | | (88,763 | ) | | | (12,391 | ) | | | (76,372 | ) |
CDX-CMBX.NA.BBB- Series 6, 05/11/2063* | | | 3.00 | | | | Monthly | | | | 10.00 | | | | USD | | | | 350 | | | | (97,638 | ) | | | (19,293 | ) | | | (78,345 | ) |
Deutsche Bank AG | |
CDX-CMBX.NA.A Series 6, 05/11/2063* | | | 2.00 | | | | Monthly | | | | 10.00 | | | | USD | | | | 135 | | | | (13,164 | ) | | | (2,518 | ) | | | (10,646 | ) |
CDX-CMBX.NA.BBB- Series 6, 05/11/2063* | | | 3.00 | | | | Monthly | | | | 10.00 | | | | USD | | | | 8 | | | | (2,232 | ) | | | (893 | ) | | | (1,339 | ) |
CDX-CMBX.NA.BBB- Series 6, 05/11/2063* | | | 3.00 | | | | Monthly | | | | 10.00 | | | | USD | | | | 8 | | | | (2,231 | ) | | | (437 | ) | | | (1,794 | ) |
CDX-CMBX.NA.BBB- Series 6, 05/11/2063* | | | 3.00 | | | | Monthly | | | | 10.00 | | | | USD | | | | 27 | | | | (7,532 | ) | | | (2,940 | ) | | | (4,592 | ) |
CDX-CMBX.NA.BBB- Series 6, 05/11/2063* | | | 3.00 | | | | Monthly | | | | 10.00 | | | | USD | | | | 28 | | | | (7,811 | ) | | | (3,051 | ) | | | (4,760 | ) |
CDX-CMBX.NA.BBB- Series 6, 05/11/2063* | | | 3.00 | | | | Monthly | | | | 10.00 | | | | USD | | | | 51 | | | | (14,227 | ) | | | (6,121 | ) | | | (8,106 | ) |
CDX-CMBX.NA.BBB- Series 6, 05/11/2063* | | | 3.00 | | | | Monthly | | | | 10.00 | | | | USD | | | | 132 | | | | (36,824 | ) | | | (8,812 | ) | | | (28,012 | ) |
Goldman Sachs International | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
CDX-CMBX.NA.BBB- Series 6, 05/11/2063* | | | 3.00 | | | | Monthly | | | | 10.00 | | | | USD | | | | 4 | | | | (1,116 | ) | | | (579 | ) | | | (537 | ) |
CDX-CMBX.NA.BBB- Series 6, 05/11/2063* | | | 3.00 | | | | Monthly | | | | 10.00 | | | | USD | | | | 4 | | | | (1,115 | ) | | | (341 | ) | | | (774 | ) |
CDX-CMBX.NA.BBB- Series 6, 05/11/2063* | | | 3.00 | | | | Monthly | | | | 10.00 | | | | USD | | | | 8 | | | | (2,232 | ) | | | (753 | ) | | | (1,479 | ) |
CDX-CMBX.NA.BBB- Series 6, 05/11/2063* | | | 3.00 | | | | Monthly | | | | 10.00 | | | | USD | | | | 8 | | | | (2,232 | ) | | | (696 | ) | | | (1,536 | ) |
CDX-CMBX.NA.BBB- Series 6, 05/11/2063* | | | 3.00 | | | | Monthly | | | | 10.00 | | | | USD | | | | 14 | | | | (3,905 | ) | | | (1,710 | ) | | | (2,195 | ) |
CDX-CMBX.NA.BBB- Series 6, 05/11/2063* | | | 3.00 | | | | Monthly | | | | 10.00 | | | | USD | | | | 16 | | | | (4,463 | ) | | | (1,645 | ) | | | (2,818 | ) |
CDX-CMBX.NA.BBB- Series 6, 05/11/2063* | | | 3.00 | | | | Monthly | | | | 10.00 | | | | USD | | | | 28 | | | | (7,811 | ) | | | (4,359 | ) | | | (3,452 | ) |
CDX-CMBX.NA.BBB- Series 6, 05/11/2063* | | | 3.00 | | | | Monthly | | | | 10.00 | | | | USD | | | | 39 | | | | (10,880 | ) | | | (6,159 | ) | | | (4,721 | ) |
CDX-CMBX.NA.BBB- Series 6, 05/11/2063* | | | 3.00 | | | | Monthly | | | | 10.00 | | | | USD | | | | 41 | | | | (11,438 | ) | | | (5,315 | ) | | | (6,123 | ) |
CDX-CMBX.NA.BBB- Series 6, 05/11/2063* | | | 3.00 | | | | Monthly | | | | 10.00 | | | | USD | | | | 49 | | | | (13,669 | ) | | | (4,033 | ) | | | (9,636 | ) |
21
| | |
| INTERMEDIATE BOND PORTFOLIO | | |
| PORTFOLIO OF INVESTMENTS | | |
| |
| (continued) | | AB Variable Products Series Fund |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Swap Counterparty &
Referenced Obligation | | Fixed
Rate
(Pay)
Receive | | | Payment
Frequency | | | Implied
Credit
Spread at
December 31,
2021 | | | Notional
Amount
(000) | | | Market
Value | | | Upfront
Premiums
Paid/
(Received) | | | Unrealized
Appreciation/
(Depreciation) | |
Sale Contracts (continued) | |
CDX-CMBX.NA.BBB- Series 6, 05/11/2063* | | | 3.00 | % | | | Monthly | | | | 10.00 | % | | | USD | | | | 57 | | | $ | (15,901 | ) | | $ | (5,784 | ) | | $ | (10,117 | ) |
JPMorgan Securities, LLC | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
CDX-CMBX.NA.BBB- Series 6, 05/11/2063* | | | 3.00 | | | | Monthly | | | | 10.00 | | | | USD | | | | 9 | | | | (2,511 | ) | | | (1,094 | ) | | | (1,417 | ) |
CDX-CMBX.NA.BBB- Series 6, 05/11/2063* | | | 3.00 | | | | Monthly | | | | 10.00 | | | | USD | | | | 18 | | | | (5,021 | ) | | | (2,121 | ) | | | (2,900 | ) |
CDX-CMBX.NA.BBB- Series 6, 05/11/2063* | | | 3.00 | | | | Monthly | | | | 10.00 | | | | USD | | | | 51 | | | | (14,227 | ) | | | (5,957 | ) | | | (8,270 | ) |
Morgan Stanley Capital Services LLC | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
CDX-CMBX.NA.BBB- Series 6, 05/11/2063* | | | 3.00 | | | | Monthly | | | | 10.00 | | | | USD | | | | 35 | | | | (9,764 | ) | | | (2,351 | ) | | | (7,413 | ) |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | $ | (331,123) | | | $ | 137,731 | | | $ | (468,854) | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| ** | | Principal amount less than 500. |
| (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 December 31, 2021, the aggregate market value of these securities amounted to $9,332,952 or 26.7% of net assets. |
| (b) | | Securities are perpetual and, thus, do not have a predetermined maturity date. The date shown, if applicable, reflects the next call date. |
| (c) | | Floating Rate Security. Stated interest/floor/ceiling rate was in effect at December 31, 2021. |
| (d) | | Position, or a portion thereof, has been segregated to collateralize OTC derivatives outstanding. |
| (e) | | Security in which significant unobservable inputs (Level 3) were used in determining fair value. |
| (f) | | Security is exempt from registration under Rule 144A or Regulation S of the Securities Act of 1933. These securities, which represent 0.27% of net assets as of December 31, 2021, are considered illiquid and restricted. Additional information regarding such securities follows: |
| | | | | | | | | | | | | | | | |
144A/Restricted & Illiquid
Securities | | Acquisition
Date | | | Cost | | | Market
Value | | | Percentage
of
Net Assets | |
GSF
Series 2021-1, Class A1
1.433%, 08/15/2026 | | | 02/25/2021 | | | $ | 22,472 | | | $ | 22,286 | | | | 0.06 | % |
GSF
Series 2021-1, Class A2
2.435%, 08/15/2026 | | | 02/25/2021 | | | | 47,286 | | | | 46,590 | | | | 0.13 | % |
GSF
Series 2021-1, Class AS
2.638%, 08/15/2026 | | | 02/25/2021 | | | | 4,103 | | | | 4,024 | | | | 0.01 | % |
Terraform Global Operating LLC
6.125%, 03/01/2026 | | | 02/08/2018 | | | | 5,000 | | | | 5,108 | | | | 0.01 | % |
Wells Fargo Credit Risk Transfer Securities Trust Series 2015-WF1, Class 1M2
5.353%, 11/25/2025 | | | 09/28/2015 | | | | 15,023 | | | | 14,464 | | | | 0.04 | % |
Wells Fargo Credit Risk Transfer Securities Trust Series 2015-WF1, Class 2M2
5.603%, 11/25/2025 | | | 09/28/2015 | | | | 5,947 | | | | 5,917 | | | | 0.02 | % |
22
| | |
| |
| | | AB Variable Products Series Fund |
| (h) | | Inverse interest only security. |
| (i) | | Affiliated investments. |
| (j) | | To obtain a copy of the fund’s shareholder report, please go to the Securities and Exchange Commission’s website at www.sec.gov, or call AB at (800) 227-4618. |
| (k) | | The rate shown represents the 7-day yield as of period end. |
|
Currency Abbreviations: |
|
AUD—Australian Dollar |
CAD—Canadian Dollar |
EUR—Euro |
MYR—Malaysian Ringgit |
RUB—Russian Ruble |
SEK—Swedish Krona |
USD—United States Dollar |
|
Glossary: |
|
ABS—Asset-Backed Securities |
CBT—Chicago Board of Trade |
CDOR—Canadian Dealer Offered Rate |
CDX-CMBX.NA—North American Commercial Mortgage-Backed Index |
CDX-NAHY—North American High Yield Credit Default Swap Index |
CMBS—Commercial Mortgage-Backed Securities |
CPI—Consumer Price Index |
LIBOR—London Interbank Offered Rate |
REIT—Real Estate Investment Trust |
REMICs—Real Estate Mortgage Investment Conduits |
STIBOR—Stockholm Interbank Offered Rate |
TBA—To Be Announced |
TIPS—Treasury Inflation Protected Security |
|
See notes to financial statements. |
23
| | |
| INTERMEDIATE BOND PORTFOLIO |
| STATEMENT OF ASSETS & LIABILITIES | | |
| |
| December 31, 2021 | | AB Variable Products Series Fund |
| | | | | | | | |
ASSETS | |
Investments in securities, at value | |
Unaffiliated issuers (cost $35,783,534) | | $ | 36,385,375 | |
Affiliated issuers (cost $313,732) | | | 313,732 | |
Cash | | | 45,058 | |
Cash collateral due from broker | | | 169,014 | |
Foreign currencies, at value (cost $502) | | | 476 | |
Receivable for investment securities sold | | | 763,285 | |
Interest receivable | | | 181,673 | |
Market value on credit default swaps (net premiums paid $265,503) | | | 126,486 | |
Unrealized appreciation on forward currency exchange contracts | | | 28,628 | |
Receivable for capital stock sold | | | 22,520 | |
Receivable for variation margin on futures | | | 17,026 | |
Receivable for variation margin on centrally cleared swaps | | | 533 | |
Affiliated dividends receivable | | | 2 | |
| | | | |
Total assets | | | 38,053,808 | |
| | | | |
LIABILITIES | |
Payable for investment securities purchased | | | 2,425,473 | |
Market value on credit default swaps (net premiums received $127,772) | | | 457,609 | |
Administrative fee payable | | | 22,472 | |
Advisory fee payable | | | 13,403 | |
Unrealized depreciation on forward currency exchange contracts | | | 11,860 | |
Foreign capital gains tax payable | | | 2,860 | |
Payable for capital stock redeemed | | | 2,520 | |
Distribution fee payable | | | 2,103 | |
Transfer Agent fee payable | | | 146 | |
Accrued expenses | | | 174,682 | |
| | | | |
Total liabilities | | | 3,113,128 | |
| | | | |
NET ASSETS | | $ | 34,940,680 | |
| | | | |
COMPOSITION OF NET ASSETS | |
Capital stock, at par | | $ | 3,379 | |
Additional paid-in capital | | | 33,686,308 | |
Distributable earnings | | | 1,250,993 | |
| | | | |
NET ASSETS | | $ | 34,940,680 | |
| | | | | | | | |
Net Asset Value Per Share—1 billion shares of capital stock authorized, $.001 par value
| | | | | | | | | | | | |
| Class | | Net Assets | | | Shares
Outstanding | | | Net Asset
Value | |
| | | |
| A | | $ | 25,114,269 | | | | 2,421,097 | | | $ | 10.37 | |
| | | |
| B | | $ | 9,826,411 | | | | 957,904 | | | $ | 10.26 | |
See notes to financial statements.
24
| | |
| INTERMEDIATE BOND PORTFOLIO |
| STATEMENT OF OPERATIONS | | |
| |
| Year Ended December 31, 2021 | | AB Variable Products Series Fund |
| | | | |
INVESTMENT INCOME | |
Interest | | $ | 1,012,768 | |
Dividends—Affiliated issuers | | | 52 | |
| | | | |
| | | 1,012,820 | |
| | | | |
EXPENSES | |
Advisory fee (see Note B) | | | 169,896 | |
Distribution fee—Class B | | | 26,131 | |
Transfer agency—Class A | | | 3,576 | |
Transfer agency—Class B | | | 1,372 | |
Custody and accounting | | | 97,252 | |
Administrative | | | 87,443 | |
Audit and tax | | | 80,651 | |
Printing | | | 33,145 | |
Legal | | | 22,962 | |
Directors’ fees | | | 18,953 | |
Miscellaneous | | | 9,656 | |
| | | | |
Total expenses | | | 551,037 | |
Less: expenses waived and reimbursed by the Adviser (see Note B) | | | (255 | ) |
| | | | |
Net expenses | | | 550,782 | |
| | | | |
Net investment income | | | 462,038 | |
| | | | |
REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENT AND FOREIGN CURRENCY TRANSACTIONS | |
Net realized gain (loss) on: | | | | |
Investment transactions | | | 422,052 | |
Forward currency exchange contracts | | | 76,861 | |
Futures | | | (207,166 | ) |
Swaps | | | (3,170 | ) |
Swaptions written | | | (8,549 | ) |
Foreign currency transactions | | | (44,736 | ) |
Net change in unrealized appreciation/depreciation of: | | | | |
Investments (a) | | | (1,369,659 | ) |
Forward currency exchange contracts | | | 45,535 | |
Futures | | | 119,576 | |
Swaps | | | (102,064 | ) |
Foreign currency denominated assets and liabilities | | | (10,373 | ) |
| | | | |
Net loss on investment and foreign currency transactions | | | (1,081,693 | ) |
| | | | |
NET DECREASE IN NET ASSETS FROM OPERATIONS | | $ | (619,655 | ) |
| | | | |
| (a) | | Net of decrease in accrued foreign capital gains taxes on unrealized gains of $9,868. |
See notes to financial statements.
25
| | |
| | |
| INTERMEDIATE BOND PORTFOLIO | | |
| |
| STATEMENT OF CHANGES IN NET ASSETS | | AB Variable Products Series Fund |
| | | | | | | | |
| | | Year Ended
December 31,
2021 | | | Year Ended
December 31,
2020 | |
INCREASE (DECREASE) IN NET ASSETS FROM OPERATIONS | |
Net investment income | | $ | 462,038 | | | $ | 819,646 | |
Net realized gain on investment and foreign currency transactions | | | 235,292 | | | | 1,348,708 | |
Net change in unrealized appreciation/depreciation of investments and foreign currency denominated assets and liabilities | | | (1,316,985 | ) | | | 241,431 | |
| | | | | | | | |
Net increase (decrease) in net assets from operations | | | (619,655 | ) | | | 2,409,785 | |
Distributions to Shareholders | | | | | | | | |
Class A | | | (1,137,170 | ) | | | (1,056,131 | ) |
Class B | | | (425,287 | ) | | | (355,053 | ) |
CAPITAL STOCK TRANSACTIONS | |
Net decrease | | | (4,715,609 | ) | | | (3,575,324 | ) |
| | | | | | | | |
Total decrease | | | (6,897,721 | ) | | | (2,576,723 | ) |
NET ASSETS | |
Beginning of period | | | 41,838,401 | | | | 44,415,124 | |
| | | | | | | | |
End of period | | $ | 34,940,680 | | | $ | 41,838,401 | |
| | | | | | | | |
See notes to financial statements.
26
| | |
| INTERMEDIATE BOND PORTFOLIO | | |
| NOTES TO FINANCIAL STATEMENTS | | |
| |
| December 31, 2021 | | AB Variable Products Series Fund |
NOTE A: Significant Accounting Policies
The AB Intermediate Bond Portfolio (the “Portfolio”), is a series of AB Variable Products Series Fund, Inc. (the “Fund”). The Portfolio’s investment objective is to generate income and price appreciation without assuming what AllianceBernstein L.P. (the “Adviser”) considers undue risk. The Portfolio is diversified as defined under the Investment Company Act of 1940. The Fund was incorporated in the State of Maryland as an open-end series investment company. The Fund offers 11 separately managed pools of assets which have differing investment objectives and policies. The Portfolio offers Class A and Class B shares. Both classes of shares have identical voting, dividend, liquidating and other rights, except that Class B shares bear a distribution expense and have exclusive voting rights with respect to the Class B distribution plan.
The Portfolio offers and sells its shares only to separate accounts of certain life insurance companies for the purpose of funding variable annuity contracts and variable life insurance policies. Sales are made without a sales charge at the Portfolio’s net asset value per share.
The financial statements have been prepared in conformity with U.S. generally accepted accounting principles (“U.S. GAAP”), which require management to make certain estimates and assumptions that affect the reported amounts of assets and liabilities in the financial statements and amounts of income and expenses during the reporting period. Actual results could differ from those estimates. The Portfolio is an investment company under U.S. GAAP and follows the accounting and reporting guidance applicable to investment companies. The following is a summary of significant accounting policies followed by the Portfolio.
1. Security Valuation
Portfolio securities are valued at their current market value determined on the basis of market quotations or, if market quotations are not readily available or are deemed unreliable, at “fair value” as determined in accordance with procedures established by and under the general supervision of the Fund’s Board of Directors (the “Board”).
In general, the market values of securities which are readily available and deemed reliable are determined as follows: securities listed on a national securities exchange (other than securities listed on the NASDAQ Stock Market, Inc. (“NASDAQ”)) or on a foreign securities exchange are valued at the last sale price at the close of the exchange or foreign securities exchange. If there has been no sale on such day, the securities are valued at the last traded price from the previous day. Securities listed on more than one exchange are valued by reference to the principal exchange on which the securities are traded; securities listed only on NASDAQ are valued in accordance with the NASDAQ Official Closing Price; listed or over the counter (“OTC”) market put or call options are valued at the mid level between the current bid and ask prices. If either a current bid or current ask price is unavailable, the Adviser will have discretion to determine the best valuation (e.g., last trade price in the case of listed options); open futures are valued using the closing settlement price or, in the absence of such a price, the most recent quoted bid price. If there are no quotations available for the day of valuation, the last available closing settlement price is used; U.S. Government securities and any other debt instruments having 60 days or less remaining until maturity are generally valued at market by an independent pricing vendor, if a market price is available. If a market price is not available, the securities are valued at amortized cost. This methodology is commonly used for short term securities that have an original maturity of 60 days or less, as well as short term securities that had an original term to maturity that exceeded 60 days. In instances when amortized cost is utilized, the Valuation Committee (the “Committee”) must reasonably conclude that the utilization of amortized cost is approximately the same as the fair value of the security. Factors the Committee will consider include, but are not limited to, an impairment of the creditworthiness of the issuer or material changes in interest rates. Fixed-income securities, including mortgage-backed and asset-backed securities, may be valued on the basis of prices provided by a pricing service or at a price obtained from one or more of the major broker-dealers. In cases where broker-dealer quotes are obtained, the Adviser may establish procedures whereby changes in market yields or spreads are used to adjust, on a daily basis, a recently obtained quoted price on a security. Swaps and other derivatives are valued daily, primarily using independent pricing services, independent pricing models using market inputs, as well as third party broker-dealers or counterparties. Open-end mutual funds are valued at the closing net asset value per share, while exchange traded funds are valued at the closing market price per share.
Securities for which market quotations are not readily available (including restricted securities) or are deemed unreliable are valued at fair value as deemed appropriate by the Adviser. Factors considered in making this determination may include, but are not limited to, information obtained by contacting the issuer, analysts, analysis of the issuer’s financial statements or other available documents. In addition, the Portfolio may use fair value pricing for securities primarily traded in non-U.S. markets because most foreign markets close well before the Portfolio values its securities at 4:00 p.m., Eastern Time. The
27
| | |
| INTERMEDIATE BOND PORTFOLIO | | |
| NOTES TO FINANCIAL STATEMENTS | | |
| |
| (continued) | | AB Variable Products Series Fund |
earlier close of these foreign markets gives rise to the possibility that significant events, including broad market moves, may have occurred in the interim and may materially affect the value of those securities. To account for this, the Portfolio generally values many of its foreign equity securities using fair value prices based on third party vendor modeling tools to the extent available.
2. Fair Value Measurements
In accordance with U.S. GAAP regarding fair value measurements, fair value is defined as the price that the Portfolio 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 as described in Note A.1 above). 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 Portfolio. Unobservable inputs reflect the Portfolio’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 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.
Valuations of mortgage-backed or other asset-backed securities, by pricing vendors, are based on both proprietary and industry recognized models and discounted cash flow techniques. Significant inputs to the valuation of these instruments are value of the collateral, the rates and timing of delinquencies, the rates and timing of prepayments, and default and loss expectations, which are driven in part by housing prices for residential mortgages. Significant inputs are determined based on relative value analyses, which incorporate comparisons to instruments with similar collateral and risk profiles, including relevant indices. Mortgage and asset-backed securities for which management has collected current observable data through pricing services are generally categorized within Level 2. Those investments for which current observable data has not been provided 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.
28
| | |
| |
| | | AB Variable Products Series Fund |
The following table summarizes the valuation of the Portfolio’s investments by the above fair value hierarchy levels as of December 31, 2021:
| | | | | | | | | | | | | | | | |
| | | Level 1 | | | Level 2 | | | Level 3 | | | Total | |
Investments in Securities: | |
Assets: | |
Corporates—Investment Grade | | $ | –0 | – | | $ | 8,640,396 | | | $ | –0 | – | | $ | 8,640,396 | |
Governments—Treasuries | | | –0 | – | | | 6,858,310 | | | | –0 | – | | | 6,858,310 | |
Commercial Mortgage-Backed Securities | | | –0 | – | | | 6,079,702 | | | | 72,900 | | | | 6,152,602 | |
Mortgage Pass-Throughs | | | –0 | – | | | 4,410,373 | | | | –0 | – | | | 4,410,373 | |
Collateralized Mortgage Obligations | | | –0 | – | | | 3,436,675 | | | | –0 | – | | | 3,436,675 | |
Asset-Backed Securities | | | –0 | – | | | 1,744,629 | | | | 173,605 | | | | 1,918,234 | |
Corporates—Non-Investment Grade | | | –0 | – | | | 1,820,015 | | | | –0 | – | | | 1,820,015 | |
Inflation-Linked Securities | | | –0 | – | | | 1,082,966 | | | | –0 | – | | | 1,082,966 | |
Local Governments—US Municipal Bonds | | | –0 | – | | | 584,266 | | | | –0 | – | | | 584,266 | |
Emerging Markets—Corporate Bonds | | | –0 | – | | | 112,000 | | | | –0 | – | | | 112,000 | |
Short-Term Investments: | | | | | | | | | | | | | | | | |
U.S. Treasury Bills | | | –0 | – | | | 1,369,538 | | | | –0 | – | | | 1,369,538 | |
Investment Companies | | | 313,732 | | | | –0 | – | | | –0 | – | | | 313,732 | |
| | | | | | | | | | | | | | | | |
Total Investments in Securities | | | 313,732 | | | | 36,138,870 | | | | 246,505 | | | | 36,699,107 | |
Other Financial Instruments(a): | | | | | | | | | | | | | | | | |
Assets: | |
Futures | | | 54,342 | | | | –0 | – | | | –0 | – | | | 54,342 | (b) |
Forward Currency Exchange Contracts | | | –0 | – | | | 28,628 | | | | –0 | – | | | 28,628 | |
Centrally Cleared Credit Default Swaps | | | –0 | – | | | 30,950 | | | | –0 | – | | | 30,950 | (b) |
Centrally Cleared Inflation (CPI) Swaps | | | –0 | – | | | 20,283 | | | | –0 | – | | | 20,283 | (b) |
Credit Default Swaps | | | –0 | – | | | 126,486 | | | | –0 | – | | | 126,486 | |
Liabilities: | |
Futures | | | (4,443 | ) | | | –0 | – | | | –0 | – | | | (4,443 | )(b) |
Forward Currency Exchange Contracts | | | –0 | – | | | (11,860 | ) | | | –0 | – | | | (11,860 | ) |
Centrally Cleared Interest Rate Swaps | | | –0 | – | | | (44,140 | ) | | | –0 | – | | | (44,140 | )(b) |
Credit Default Swaps | | | –0 | – | | | (457,609 | ) | | | –0 | – | | | (457,609 | ) |
| | | | | | | | | | | | | | | | |
Total | | $ | 363,631 | | | $ | 35,831,608 | | | $ | 246,505 | | | $ | 36,441,744 | |
| | | | | | | | | | | | | | | | |
| (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. |
| (b) | | 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. |
3. Currency Translation
Assets and liabilities denominated in foreign currencies and commitments under forward currency exchange contracts are translated into U.S. dollars at the mean of the quoted bid and ask prices of such currencies against the U.S. dollar. Purchases and sales of portfolio securities are translated into U.S. dollars at the rates of exchange prevailing when such securities were acquired or sold. Income and expenses are translated into U.S. dollars at rates of exchange prevailing when accrued.
Net realized gain or loss on foreign currency transactions represents foreign exchange gains and losses from sales and maturities of foreign fixed income investments, holding of foreign currencies, currency gains or losses realized between the trade and settlement dates on foreign investment transactions, and the difference between the amounts of dividends, interest and foreign withholding taxes recorded on the Portfolio’s books and the U.S. dollar equivalent amounts actually received or paid. Net unrealized currency gains and losses from valuing foreign currency denominated assets and liabilities at period end exchange rates are reflected as a component of net unrealized appreciation or depreciation of foreign currency denominated assets and liabilities.
29
| | |
| INTERMEDIATE BOND PORTFOLIO | | |
| NOTES TO FINANCIAL STATEMENTS | | |
| |
| (continued) | | AB Variable Products Series Fund |
4. Taxes
It is the Portfolio’s policy to meet the requirements of the Internal Revenue Code applicable to regulated investment companies and to distribute all of its investment company taxable income and net realized gains, if any, to shareholders. Therefore, no provisions for federal income or excise taxes are required. The Portfolio may be subject to taxes imposed by countries in which it invests. Such taxes are generally based on income and/or capital gains earned or repatriated. Taxes are accrued and applied to net investment income, net realized gains and net unrealized appreciation/depreciation as such income and/or gains are earned.
In accordance with U.S. GAAP requirements regarding accounting for uncertainties in income taxes, management has analyzed the Portfolio’s tax positions taken or expected to be taken on federal and state income tax returns for all open tax years (the current and the prior three tax years) and has concluded that no provision for income tax is required in the Portfolio’s financial statements.
5. Investment Income and Investment Transactions
Dividend income is recorded on the ex-dividend date or as soon as the Portfolio is informed of the dividend. Interest income is accrued daily. Investment transactions are accounted for on the date the securities are purchased or sold. Investment gains or losses are determined on the identified cost basis. The Portfolio amortizes premiums and accretes discounts as adjustments to interest income. The Portfolio accounts for distributions received from REIT investments or from regulated investment companies as dividend income, realized gain, or return of capital based on information provided by the REIT or the investment company.
6. Class Allocations
All income earned and expenses incurred by the Portfolio are borne on a pro-rata basis by each outstanding class of shares, based on the proportionate interest in the Portfolio represented by the net assets of such class, except for class specific expenses which are allocated to the respective class. Expenses of the Fund are charged proportionately to each portfolio or based on other appropriate methods. Realized and unrealized gains and losses are allocated among the various share classes based on respective net assets.
7. Dividends and Distributions
Dividends and distributions to shareholders, if any, are recorded on the ex-dividend date. Income dividends and capital gains distributions are determined in accordance with federal tax regulations and may differ from those determined in accordance with U.S. GAAP. To the extent these differences are permanent, such amounts are reclassified within the capital accounts based on their federal tax basis treatment; temporary differences do not require such reclassification.
NOTE B: Advisory Fee and Other Transactions with Affiliates
Under the terms of the investment advisory agreement, the Portfolio pays the Adviser an advisory fee at an annual rate of .45% of the first $2.5 billion, ..40% of the next $2.5 billion up to $5 billion, .35% of the excess over $5 billion up to $8 billion and .30% in excess of $8 billion, of the Portfolio’s average daily net assets. The fee is accrued daily and paid monthly.
Pursuant to the investment advisory agreement, the Portfolio may reimburse the Adviser for certain legal and accounting services provided to the Portfolio by the Adviser. For the year ended December 31, 2021, the reimbursement for such services amounted to $87,443.
The Portfolio compensates AllianceBernstein Investor Services, Inc. (“ABIS”), a wholly-owned subsidiary of the Adviser, under a Transfer Agency Agreement for providing personnel and facilities to perform transfer agency services for the Portfolio. Such compensation retained by ABIS amounted to $1,636 for the year ended December 31, 2021.
The Portfolio may invest in AB Government Money Market Portfolio (the “Government Money Market Portfolio”) which has a contractual annual advisory fee rate of .20% of the portfolio’s average daily net assets and bears its own expenses. The Adviser has contractually agreed to waive .10% of the advisory fee of Government Money Market Portfolio (resulting in a net advisory fee of .10%) until August 31, 2022. In connection with the investment by the Portfolio in Government Money Market Portfolio, the Adviser has contractually agreed to waive its advisory fee from the Portfolio in an amount equal to the Portfolio’s pro rata share of the effective advisory fee of Government Money Market Portfolio, as borne indirectly by the Portfolio as an acquired fund fee and expense. For the year ended December 31, 2021, such waiver amounted to $255.
30
| | |
| |
| | | AB Variable Products Series Fund |
A summary of the Portfolio’s transactions in AB mutual funds for the year ended December 31, 2021 is as follows:
| | | | | | | | | | | | | | | | | | | | |
Portfolio | | Market Value
12/31/20
(000) | | | Purchases
at Cost
(000) | | | Sales
Proceeds
(000) | | | Market Value
12/31/21
(000) | | | Dividend
Income
(000) | |
Government Money Market Portfolio | | $ | 765 | | | $ | 25,244 | | | $ | 25,695 | | | $ | 314 | | | $ | 0 | * |
| * | | Amount is less than $500. |
NOTE C: Distribution Plan
The Portfolio has adopted a Distribution Plan (the “Plan”) for Class B shares pursuant to Rule 12b-1 under the Investment Company Act of 1940. Under the Plan, the Portfolio pays distribution and servicing fees to AllianceBernstein Investments, Inc. (the “Distributor”), a wholly-owned subsidiary of the Adviser, at an annual rate of up to ..50% of the Portfolio’s average daily net assets attributable to Class B shares. The fees are accrued daily and paid monthly. The Board currently limits payments under the Plan to .25% of the Portfolio’s average daily net assets attributable to Class B shares. The Plan provides that the Distributor will use such payments in their entirety for distribution assistance and promotional activities.
The Portfolio is not obligated under the Plan to pay any distribution and servicing fees in excess of the amounts set forth above. The purpose of the payments to the Distributor under the Plan is to compensate the Distributor for its distribution services with respect to the sale of the Portfolio’s Class B shares. Since the Distributor’s compensation is not directly tied to its expenses, the amount of compensation received by it under the Plan during any year may be more or less than its actual expenses. For this reason, the Plan is characterized by the staff of the Securities and Exchange Commission as being of the “compensation” variety.
In the event that the Plan is terminated or not continued, no distribution or servicing fees (other than current amounts accrued but not yet paid) would be owed by the Portfolio to the Distributor.
The Plan also provides that the Adviser may use its own resources to finance the distribution of the Portfolio’s shares.
NOTE D: Investment Transactions
Purchases and sales of investment securities (excluding short-term investments) for the year ended December 31, 2021 were as follows:
| | | | | | | | |
| | | Purchases | | | Sales | |
Investment securities (excluding U.S. government securities) | | $ | 9,945,906 | | | $ | 14,496,999 | |
U.S. government securities | | | 42,521,252 | | | | 40,856,009 | |
The cost of investments for federal income tax purposes, gross unrealized appreciation and unrealized depreciation are as follows:
| | | | |
Cost | | $ | 36,125,063 | |
| | | | |
Gross unrealized appreciation | | $ | 1,299,320 | |
Gross unrealized depreciation | | | (800,676 | ) |
| | | | |
Net unrealized appreciation | | $ | 498,644 | |
| | | | |
1. Derivative Financial Instruments
The Portfolio may use derivatives in an effort to earn income and enhance returns, to replace more traditional direct investments, to obtain exposure to otherwise inaccessible markets (collectively, “investment purposes”), or to hedge or adjust the risk profile of its portfolio.
The principal types of derivatives utilized by the Portfolio, as well as the methods in which they may be used are:
The Portfolio may buy or sell futures for investment purposes or for the purpose of hedging its portfolio against adverse effects of potential movements in the market. The Portfolio bears the market risk that arises from changes in the value of these instruments and the imperfect correlation between movements in the price of the futures and movements in the price of the assets, reference rates or indices which they are designed to track. Among other things, the Portfolio may purchase or sell futures for foreign currencies or options thereon for non-hedging purposes as a means of making direct investment in foreign currencies, as described below under “Currency Transactions”.
31
| | |
| INTERMEDIATE BOND PORTFOLIO | | |
| NOTES TO FINANCIAL STATEMENTS | | |
| |
| (continued) | | AB Variable Products Series Fund |
At the time the Portfolio enters into futures, the Portfolio deposits and maintains as collateral an initial margin with the broker, as required by the exchange on which the transaction is effected. Such amount is shown as cash collateral due from broker on the statement of assets and liabilities. Pursuant to the contract, the Portfolio agrees to receive from or pay to the broker an amount of cash equal to the daily fluctuation in the value of the contract. Such receipts or payments are known as variation margin and are recorded by the Portfolio as unrealized gains or losses. Risks may arise from the potential inability of a counterparty to meet the terms of the contract. The credit/counterparty risk for exchange-traded futures is generally less than privately negotiated futures, since the clearinghouse, which is the issuer or counterparty to each exchange-traded future, has robust risk mitigation standards, including the requirement to provide initial and variation margin. When the contract is closed, the Portfolio records a realized gain or loss equal to the difference between the value of the contract at the time it was opened and the time it was closed.
Use of long futures subjects the Portfolio to risk of loss in excess of the amounts shown on the statement of assets and liabilities, up to the notional value of the futures. Use of short futures subjects the Portfolio to unlimited risk of loss. Under some circumstances, futures exchanges may establish daily limits on the amount that the price of futures can vary from the previous day’s settlement price, which could effectively prevent liquidation of unfavorable positions.
During the year ended December 31, 2021, the Portfolio held futures for hedging and non-hedging purposes.
| | • | | Forward Currency Exchange Contracts |
The Portfolio may enter into forward currency exchange contracts in order to hedge its exposure to changes in foreign currency exchange rates on its foreign portfolio holdings, to hedge certain firm purchase and sale commitments denominated in foreign currencies and for non-hedging purposes as a means of making direct investments in foreign currencies, as described below under “Currency Transactions”.
A forward currency exchange contract is a commitment to purchase or sell a foreign currency at a future date at a negotiated forward rate. The gain or loss arising from the difference between the original contract and the closing of such contract would be included in net realized gain or loss on forward currency exchange contracts. Fluctuations in the value of open forward currency exchange contracts are recorded for financial reporting purposes as unrealized appreciation and/or depreciation by the Portfolio. Risks may arise from the potential inability of a counterparty to meet the terms of a contract and from unanticipated movements in the value of a foreign currency relative to the U.S. dollar.
During the year ended December 31, 2021, the Portfolio held forward currency exchange contracts for hedging and non-hedging purposes.
For hedging and investment purposes, the Portfolio may purchase and write (sell) put and call options on U.S. and foreign securities, including government securities, and foreign currencies that are traded on U.S. and foreign securities exchanges and over-the-counter markets. Among other things, the Portfolio may use options transactions for non-hedging purposes as a means of making direct investments in foreign currencies, as described below under “Currency Transactions” and may use options strategies involving the purchase and/or writing of various combinations of call and/or put options, for hedging and investment purposes.
The risk associated with purchasing an option is that the Portfolio pays a premium whether or not the option is exercised. Additionally, the Portfolio bears the risk of loss of the premium and change in market value should the counterparty not perform under the contract. If a put or call option purchased by the Portfolio were permitted to expire without being sold or exercised, its premium would represent a loss to the Portfolio. Put and call options purchased are accounted for in the same manner as portfolio securities. The cost of securities acquired through the exercise of call options is increased by premiums paid. The proceeds from securities sold through the exercise of put options are decreased by the premiums paid.
When the Portfolio writes an option, the premium received by the Portfolio is recorded as a liability and is subsequently adjusted to the current market value of the option written. The Portfolio’s maximum payment for written put options equates to the number of shares multiplied by the strike price. In certain circumstances maximum
32
| | |
| |
| | | AB Variable Products Series Fund |
payout amounts may be partially offset by recovery values of the respective referenced assets and upfront premium received upon entering into the contract. Premiums received from written options which expire unexercised are recorded by the Portfolio on the expiration date as realized gains from options written. The difference between the premium received and the amount paid on effecting a closing purchase transaction, including brokerage commissions, is also treated as a realized gain, or if the premium received is less than the amount paid for the closing purchase transaction, as a realized loss. If a call option is exercised, the premium received is added to the proceeds from the sale of the underlying security or currency in determining whether the Portfolio has realized a gain or loss. If a put option is exercised, the premium received reduces the cost basis of the security or currency purchased by the Portfolio. In writing an option, the Portfolio bears the market risk of an unfavorable change in the price of the security or currency underlying the written option. Exercise of an option written by the Portfolio could result in the Portfolio selling or buying a security or currency at a price different from the current market value.
The Portfolio may also invest in options on swap agreements, also called “swaptions”. A swaption is an option that gives the buyer the right, but not the obligation, to enter into a swap on a future date in exchange for paying a market-based “premium”. A receiver swaption gives the owner the right to receive the total return of a specified asset, reference rate, or index. A payer swaption gives the owner the right to pay the total return on a specified asset, reference rate, or index. Swaptions also include options that allow an existing swap to be terminated or extended by one of the counterparties. The Portfolio’s maximum payment for written put swaptions equates to the notional amount of the underlying swap. In certain circumstances maximum payout amounts may be partially offset by recovery values of the respective referenced assets and upfront premium received upon entering into the contract.
During the year ended December 31, 2021, the Portfolio held written swaptions for hedging and non-hedging purposes.
The Portfolio may enter into swaps to hedge its exposure to interest rates, credit risk or currencies. The Portfolio may also enter into swaps for non-hedging purposes as a means of gaining market exposures, making direct investments in foreign currencies, as described below under “Currency Transactions.” A swap is an agreement that obligates two parties to exchange a series of cash flows at specified intervals based upon or calculated by reference to changes in specified prices or rates for a specified amount of an underlying asset. The payment flows are usually netted against each other, with the difference being paid by one party to the other. In addition, collateral may be pledged or received by the Portfolio in accordance with the terms of the respective swaps to provide value and recourse to the Portfolio or its counterparties in the event of default, bankruptcy or insolvency by one of the parties to the swap.
Risks may arise as a result of the failure of the counterparty to the swap to comply with the terms of the swap. The loss incurred by the failure of a counterparty is generally limited to the net interim payment to be received by the Portfolio, and/or the termination value at the end of the contract. Therefore, the Portfolio considers the creditworthiness of each counterparty to a swap in evaluating potential counterparty risk. This risk is mitigated by having a netting arrangement between the Portfolio and the counterparty and by the posting of collateral by the counterparty to the Portfolio to cover the Portfolio’s exposure to the counterparty. Additionally, risks may arise from unanticipated movements in interest rates or in the value of the underlying securities. The Portfolio accrues for the interim payments on swaps on a daily basis, with the net amount recorded within unrealized appreciation/depreciation of swaps on the statement of assets and liabilities, where applicable. Once the interim payments are settled in cash, the net amount is recorded as realized gain/(loss) on swaps on the statement of operations, in addition to any realized gain/(loss) recorded upon the termination of swaps. Upfront premiums paid or received for swaps are recognized as cost or proceeds on the statement of assets and liabilities and are amortized on a straight line basis over the life of the contract. Amortized upfront premiums are included in net realized gain/(loss) from swaps on the statement of operations. Fluctuations in the value of swaps are recorded as a component of net change in unrealized appreciation/depreciation of swaps on the statement of operations.
Certain standardized swaps, including certain interest rate swaps and credit default swaps, are (or soon will be) subject to mandatory central clearing. Cleared swaps are transacted through futures commission merchants (“FCMs”) that are members of central clearinghouses, with the clearinghouse serving as central counterparty, similar to transactions in futures contracts. Centralized clearing will be required for additional categories of swaps on a
33
| | |
| INTERMEDIATE BOND PORTFOLIO | | |
| NOTES TO FINANCIAL STATEMENTS | | |
| |
| (continued) | | AB Variable Products Series Fund |
phased-in basis based on requirements published by the Securities and Exchange Commission and Commodity Futures Trading Commission.
At the time the Portfolio enters into a centrally cleared swap, the Portfolio deposits and maintains as collateral an initial margin with the broker, as required by the clearinghouse on which the transaction is effected. Such amount is shown as cash collateral due from broker on the statement of assets and liabilities. Pursuant to the contract, the Portfolio agrees to receive from or pay to the broker an amount of cash equal to the daily fluctuation in the value of the contract. Such receipts or payments are known as variation margin and are recorded by the Portfolio as unrealized gains or losses. Risks may arise from the potential inability of a counterparty to meet the terms of the contract. The credit/counterparty risk for centrally cleared swaps is generally less than non-centrally cleared swaps, since the clearinghouse, which is the issuer or counterparty to each centrally cleared swap, has robust risk mitigation standards, including the requirement to provide initial and variation margin. When the contract is closed, the Portfolio records a realized gain or loss equal to the difference between the value of the contract at the time it was opened and the time it was closed.
Interest Rate Swaps:
The Portfolio is subject to interest rate risk exposure in the normal course of pursuing its investment objectives. Because the Portfolio holds fixed rate bonds, the value of these bonds may decrease if interest rates rise. To help hedge against this risk and to maintain its ability to generate income at prevailing market rates, the Portfolio may enter into interest rate swaps. Interest rate swaps are agreements between two parties to exchange cash flows based on a notional amount. The Portfolio may elect to pay a fixed rate and receive a floating rate, or, receive a fixed rate and pay a floating rate on a notional amount.
In addition, the Portfolio may also enter into interest rate swap transactions to preserve a return or spread on a particular investment or portion of its portfolio, or protecting against an increase in the price of securities the Portfolio anticipates purchasing at a later date. Interest rate swaps involve the exchange by a Portfolio with another party of their respective commitments to pay or receive interest (e.g., an exchange of floating rate payments for fixed rate payments) computed based on a contractually-based principal (or “notional”) amount. Interest rate swaps are entered into on a net basis (i.e., the two payment streams are netted out, with the Portfolio receiving or paying, as the case may be, only the net amount of the two payments).
During the year ended December 31, 2021, the Portfolio held interest rate swaps for hedging and non-hedging purposes.
Inflation (CPI) Swaps:
Inflation swap agreements are contracts in which one party agrees to pay the cumulative percentage increase in a price index (the Consumer Price Index with respect to CPI swaps) over the term of the swap (with some lag on the inflation index), and the other pays a compounded fixed rate. Inflation swaps may be used to protect the net asset value, or NAV, of a Portfolio against an unexpected change in the rate of inflation measured by an inflation index since the value of these agreements is expected to increase if there are unexpected inflation increases.
During the year ended December 31, 2021, the Portfolio held inflation (CPI) swaps for hedging and non-hedging purposes.
Credit Default Swaps:
The Portfolio may enter into credit default swaps, including to manage its exposure to the market or certain sectors of the market, to reduce its risk exposure to defaults by corporate and sovereign issuers held by the Portfolio, or to create exposure to corporate or sovereign issuers to which it is not otherwise exposed. The Portfolio may purchase credit protection (“Buy Contract”) or provide credit protection (“Sale Contract”) on the referenced obligation of the credit default swap. During the term of the swap, the Portfolio receives/(pays) fixed payments from/(to) the respective counterparty, calculated at the agreed upon rate applied to the notional amount. If the Portfolio is a buyer/(seller) of protection and a credit event occurs, as defined under the terms of the swap, the Portfolio will either (i) receive from the seller/(pay to the buyer) of protection an amount equal to the notional amount of the swap (the “Maximum Payout Amount”) and deliver/(take delivery of) the referenced obligation or (ii) receive/(pay) a net settlement amount in the form of cash or securities equal to the notional amount of the swap less the recovery value of the referenced obligation. In certain circumstances Maximum Payout Amounts may be partially offset by
34
| | |
| |
| | | AB Variable Products Series Fund |
recovery values of the respective referenced obligations, upfront premium received upon entering into the agreement, or net amounts received from settlement of buy protection credit default swaps entered into by the Portfolio for the same referenced obligations with the same counterparty.
Credit default swaps may involve greater risks than if a Portfolio had invested in the referenced obligation directly. Credit default swaps are subject to general market risk, liquidity risk, counterparty risk and credit risk. If the Portfolio is a buyer of protection and no credit event occurs, it will lose the payments it made to its counterparty. If the Portfolio is a seller of protection and a credit event occurs, the value of the referenced obligation received by the Portfolio coupled with the periodic payments previously received, may be less than the Maximum Payout Amount it pays to the buyer, resulting in a net loss to the Portfolio.
Implied credit spreads over U.S. Treasuries of comparable maturity utilized in determining the market value of credit default swaps on issuers as of period end are disclosed in the portfolio of investments. The implied spreads serve as an indicator of the current status of the payment/performance risk and typically reflect the likelihood of default by the issuer of the referenced obligation. The implied credit spread of a particular reference obligation also reflects the cost of buying/selling protection and may reflect upfront payments required to be made to enter into the agreement. Widening credit spreads typically represent a deterioration of the referenced obligation’s credit soundness and greater likelihood of default or other credit event occurring as defined under the terms of the agreement. A credit spread identified as “Defaulted” indicates a credit event has occurred for the referenced obligation.
During the year ended December 31, 2021, the Portfolio held credit default swaps for hedging and non-hedging purposes.
The Portfolio typically enters into International Swaps and Derivatives Association, Inc. Master Agreements (“ISDA Master Agreement”) with its OTC derivative contract counterparties in order to, among other things, reduce its credit risk to OTC counterparties. ISDA Master Agreements include provisions for general obligations, representations, collateral and events of default or termination. Under an ISDA Master Agreement, the Portfolio typically may offset with the OTC counterparty certain derivative financial instruments’ payables and/or receivables with collateral held and/or posted and create one single net payment (close-out netting) in the event of default or termination. In the event of a default by an OTC counterparty, the return of collateral with market value in excess of the Portfolio’s net liability, held by the defaulting party, may be delayed or denied.
The Portfolio’s ISDA Master Agreements may contain provisions for early termination of OTC derivative transactions in the event the net assets of the Portfolio decline below specific levels (“net asset contingent features”). If these levels are triggered, the Portfolio’s OTC counterparty has the right to terminate such transaction and require the Portfolio to pay or receive a settlement amount in connection with the terminated transaction. If OTC derivatives were held at period end, please refer to netting arrangements by the OTC counterparty table below for additional details.
35
| | |
| INTERMEDIATE BOND PORTFOLIO |
| NOTES TO FINANCIAL STATEMENTS | | |
| |
| (continued) | | AB Variable Products Series Fund |
During the year ended December 31, 2021, the Portfolio had entered into the following derivatives:
| | | | | | | | | | | | |
| | | Asset Derivatives | | | Liability Derivatives | |
Derivative Type | | Statement of
Assets and Liabilities
Location | | Fair Value | | | Statement of
Assets and Liabilities
Location | | Fair Value | |
Interest rate contracts | | Receivable/Payable for variation margin on futures | | $ | 54,342 | * | | Receivable/Payable for variation margin on futures | | $ | 4,443 | * |
Credit contracts | | Receivable/Payable for variation margin on centrally cleared swaps | | | 5,289 | * | | | | | | |
Interest rate contracts | | Receivable/Payable for variation margin on centrally cleared swaps | | | 20,283 | * | | Receivable/Payable for variation margin on centrally cleared swaps | | | 44,150 | * |
Foreign currency contracts | | Unrealized appreciation on forward currency exchange contracts | | | 28,628 | | | Unrealized depreciation on forward currency exchange contracts | | | 11,860 | |
Credit contracts | | Market value on credit default swaps | | | 126,486 | | | Market value on credit default swaps | | | 457,609 | |
| | | | | | | | | | | | |
Total | | | | $ | 235,028 | | | | | | $518,062 | |
| | | | | | | | | | | | |
* 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. | |
| | | | | | | | | | |
Derivative Type | | Location of Gain or (Loss) on Derivatives
Within Statement of Operations | | Realized Gain or
(Loss) on
Derivatives | | | Change in Unrealized
Appreciation or
(Depreciation) | |
| | | |
Interest rate contracts | | Net realized gain (loss) on futures; Net change in unrealized appreciation/depreciation of futures | | $ | (207,166 | ) | | $ | 119,576 | |
| | | |
Foreign currency contracts | | Net realized gain (loss) on forward currency exchange contracts; Net change in unrealized appreciation/depreciation of forward currency exchange contracts | | | 76,861 | | | | 45,535 | |
| | | |
Interest rate contracts | | Net realized gain (loss) on swaptions written; Net change in unrealized appreciation/depreciation of swaptions written | | | (8,549 | ) | | | –0 | – |
| | | |
Interest rate contracts | | Net realized gain (loss) on swaps; Net change in unrealized appreciation/depreciation of swaps | | | (82,746 | ) | | | 7,320 | |
| | | |
Credit contracts | | Net realized gain (loss) on swaps; Net change in unrealized appreciation/depreciation of swaps | | | 79,576 | | | | (109,384 | ) |
| | | | | | | | | | |
Total | | | | $ | (142,024 | ) | | $ | 63,047 | |
| | | | | | | | | | |
36
| | |
| |
| | | AB Variable Products Series Fund |
| | | | |
The following table represents the average monthly volume of the Portfolio’s derivative transactions during the year ended December 31, 2021: | |
Futures: | | | | |
Average notional amount of buy contracts | | $ | 8,125,343 | |
Average notional amount of sale contracts | | $ | 3,395,927 | (a) |
Forward Currency Exchange Contracts: | | | | |
Average principal amount of buy contracts | | $ | 2,299,846 | |
Average principal amount of sale contracts | | $ | 4,430,142 | |
Swaptions Written: | | | | |
Average notional amount | | $ | 954,000 | (b) |
Centrally Cleared Interest Rate Swaps: | | | | |
Average notional amount | | $ | 4,062,109 | |
Centrally Cleared Inflation Swaps: | | | | |
Average notional amount | | $ | 787,500 | (c) |
Credit Default Swaps: | | | | |
Average notional amount of buy contracts | | $ | 1,375,692 | |
Average notional amount of sale contracts | | $ | 1,733,303 | |
Centrally Cleared Credit Default Swaps: | | | | |
Average notional amount of sale contracts | | $ | 401,932 | |
| (a) | | Positions were open for nine months during the year. |
| (b) | | Positions were open for three months during the year. |
| (c) | | Positions were open for four months during the year. |
For financial reporting purposes, the Portfolio does not offset derivative assets and derivative liabilities that are subject to netting arrangements in the statement of assets and liabilities.
All OTC derivatives held at period end were subject to netting arrangements. The following table presents the Portfolio’s derivative assets and liabilities by OTC counterparty net of amounts available for offset under ISDA Master Agreements (“MA”) and net of the related collateral received/pledged by the Portfolio as of December 31, 2021. Exchange-traded derivatives and centrally cleared swaps are not subject to netting arrangements and as such are excluded from the table.
| | | | | | | | | | | | | | | | | | | | |
Counterparty | | Derivative Assets
Subject to a MA | | | Derivatives
Available
for Offset | | | Cash
Collateral
Received* | | | Security
Collateral
Received* | | | Net
Amount of
Derivative
Assets | |
Citibank, NA/Citigroup Global Markets, Inc.. | | $ | 107,803 | | | $ | (35,742 | ) | | $ | –0 | – | | $ | –0 | – | | $ | 72,061 | |
Goldman Sachs Bank USA/Goldman Sachs International | | | 4,764 | | | | (4,764 | ) | | | –0 | – | | | –0 | – | | | –0 | – |
JPMorgan Securities, LLC | | | 6,353 | | | | (6,353 | ) | | | –0 | – | | | –0 | – | | | –0 | – |
Morgan Stanley & Co. International PLC/Morgan Stanley Capital Services, Inc/Morgan Stanley Capital Services LLC | | | 23,261 | | | | (9,764 | ) | | | –0 | – | | | –0 | – | | | 13,497 | |
State Street Bank & Trust Co. | | | 12,933 | | | | (5,864 | ) | | | –0 | – | | | –0 | – | | | 7,069 | |
| | | | | | | | | | | | | | | | | | | | |
Total | | $ | 155,114 | | | $ | (62,487 | ) | | $ | –0 | – | | $ | –0 | – | | $ | 92,627 | ^ |
| | | | | | | | | | | | | | | | | | | | |
37
| | |
| INTERMEDIATE BOND PORTFOLIO | | |
| NOTES TO FINANCIAL STATEMENTS | | |
| |
| (continued) | | AB Variable Products Series Fund |
| | | | | | | | | | | | | | | | | | | | |
Counterparty | | Derivative Liabilities
Subject to a MA | | | Derivatives
Available
for Offset | | | Cash
Collateral
Pledged* | | | Security
Collateral
Pledged* | | | Net
Amount of
Derivative
Liabilities | |
Citibank, NA/Citigroup Global Markets, Inc. | | $ | 35,742 | | | $ | (35,742 | ) | | $ | –0 | – | | $ | –0 | – | | $ | –0 | – |
Credit Suisse International | | | 236,057 | | | | –0 | – | | | –0 | – | | | (236,057 | ) | | | –0 | – |
Deutsche Bank AG | | | 84,021 | | | | –0 | – | | | –0 | – | | | –0 | – | | | 84,021 | |
Goldman Sachs Bank USA/Goldman Sachs International | | | 76,262 | | | | (4,764 | ) | | | –0 | – | | | –0 | – | | | 71,498 | |
JPMorgan Securities, LLC | | | 21,759 | | | | (6,353 | ) | | | –0 | – | | | –0 | – | | | 15,406 | |
Morgan Stanley & Co. International PLC/Morgan Stanley Capital Services, Inc/Morgan Stanley Capital Services LLC | | | 9,764 | | | | (9,764 | ) | | | –0 | – | | | –0 | – | | | –0 | – |
State Street Bank & Trust Co. | | | 5,864 | | | | (5,864 | ) | | | –0 | – | | | –0 | – | | | –0 | – |
| | | | | | | | | | | | | | | | | | | | |
Total | | $ | 469,469 | | | $ | (62,487 | ) | | $ | –0 | – | | $ | (236,057 | ) | | $ | 170,925 | ^ |
| | | | | | | | | | | | | | | | | | | | |
| * | | The actual collateral received/pledged may be more than the amount reported due to over-collateralization. |
| ^ | | Net amount represents the net receivable/payable that would be due from/to the counterparty in the event of default or termination. The net amount from OTC financial derivative instruments can only be netted across transactions governed under the same master agreement with the same counterparty. |
2. Currency Transactions
The Portfolio may invest in non-U.S. Dollar-denominated securities on a currency hedged or unhedged basis. The Portfolio may seek investment opportunities by taking long or short positions in currencies through the use of currency-related derivatives, including forward currency exchange contracts, futures and options on futures, swaps, and other options. The Portfolio may enter into transactions for investment opportunities when it anticipates that a foreign currency will appreciate or depreciate in value but securities denominated in that currency are not held by the Portfolio and do not present attractive investment opportunities. Such transactions may also be used when the Adviser believes that it may be more efficient than a direct investment in a foreign currency-denominated security. The Portfolio may also conduct currency exchange contracts on a spot basis (i.e., for cash at the spot rate prevailing in the currency exchange market for buying or selling currencies).
3. TBA and Dollar Rolls
The Portfolio may invest in TBA mortgage-backed securities. A TBA, or “To Be Announced”, trade represents a contract for the purchase or sale of mortgage-backed securities to be delivered at a future agree-upon date; however, the specific mortgage pool numbers or the number of pools that will be delivered to fulfill the trade obligation or terms of the contract are unknown at the time of the trade. Mortgage pools (including fixed-rate or variable-rate mortgages) guaranteed by the Government National Mortgage Association, or GNMA, the Federal National Mortgage Association, or FNMA, or the Federal Home Loan Mortgage Corporation, or FHLMC, are subsequently allocated to the TBA transactions.
The Portfolio may enter into certain TBA transactions known as dollar rolls. Dollar rolls involve sales by the Portfolio of securities for delivery in the current month and the Portfolio’s simultaneously contracting to repurchase substantially similar (same type and coupon) securities on a specified future date. During the roll period, the Portfolio forgoes principal and interest paid on the securities. The Portfolio is compensated by the difference between the current sales price and the lower forward price for the future purchase (often referred to as the “drop”) as well as by the interest earned on the cash proceeds of the initial sale. Dollar rolls involve the risk that the market value of the securities the Portfolio is obligated to repurchase under the agreement may decline below the repurchase price. Dollar rolls are speculative techniques. For the year ended December 31, 2021, the Portfolio earned drop income of $37,317 which is included in interest income in the accompanying statement of operations.
38
| | |
| |
| | | AB Variable Products Series Fund |
NOTE E: Capital Stock
Each class consists of 500,000,000 authorized shares. Transactions in capital shares for each class were as follows:
| | | | | | | | | | | | | | | | | | | | |
| | | SHARES | | | | | | AMOUNT | |
| | | Year Ended
December 31,
2021 | | | Year Ended
December 31,
2020 | | | | | | Year Ended
December 31,
2021 | | | Year Ended
December 31,
2020 | |
Class A | |
Shares sold | | | 152,317 | | | | 137,413 | | | | | | | $ | 1,636,861 | | | $ | 1,476,072 | |
Shares issued in reinvestment of dividends and distributions | | | 108,199 | | | | 97,250 | | | | | | | | 1,137,170 | | | | 1,056,131 | |
Shares redeemed | | | (617,683 | ) | | | (509,318 | ) | | | | | | | (6,612,901 | ) | | | (5,519,329 | ) |
| | | | | | | | | | | | | | | | | | | | |
Net decrease | | | (357,167 | ) | | | (274,655 | ) | | | | | | $ | (3,838,870 | ) | | $ | (2,987,126 | ) |
| | | | | | | | | | | | | | | | | | | | |
Class B | |
Shares sold | | | 111,263 | | | | 132,767 | | | | | | | $ | 1,175,080 | | | $ | 1,411,697 | |
Shares issued in reinvestment of dividends and distributions | | | 40,893 | | | | 33,028 | | | | | | | | 425,287 | | | | 355,053 | |
Shares redeemed | | | (234,651 | ) | | | (222,779 | ) | | | | | | | (2,477,106 | ) | | | (2,354,948 | ) |
| | | | | | | | | | | | | | | | | | | | |
Net decrease | | | (82,495 | ) | | | (56,984 | ) | | | | | | $ | (876,739 | ) | | $ | (588,198 | ) |
| | | | | | | | | | | | | | | | | | | | |
At December 31, 2021, certain shareholders of the Portfolio owned 80% in aggregate of the Portfolio’s outstanding shares. Significant transactions by such shareholders, if any, may impact the Portfolio’s performance.
NOTE F: Risks Involved in Investing in the Portfolio
Market Risk—The value of the Portfolio’s assets will fluctuate as the stock or bond market fluctuates. The value of its investments may decline, sometimes rapidly and unpredictably, simply because of economic changes or other events, including public health crises (including the occurrence of a contagious disease or illness), that affect large portions of the market.
Interest-Rate Risk—Changes in interest rates will affect the value of investments in fixed-income securities. When interest rates rise, the value of existing investments in fixed-income securities tends to fall and this decrease in value may not be offset by higher income from new investments. Interest rate risk is generally greater for fixed-income securities with longer maturities or durations. The current historically low interest rate environment heightens the risks associated with rising interest rates.
Credit Risk—An issuer or guarantor of a fixed-income security, or the counterparty to a derivatives or other contract, may be unable or unwilling to make timely payments of interest or principal, or to otherwise honor its obligations. The issuer or guarantor may default, causing a loss of the full principal amount of a security and accrued interest. The degree of risk for a particular security may be reflected in its credit rating. There is the possibility that the credit rating of a fixed-income security may be downgraded after purchase, which may adversely affect the value of the security.
Below Investment-Grade Securities Risk—Investments in fixed-income securities with lower ratings (“junk bonds”) tend to have a higher probability that an issuer will default or fail to meet its payment obligations. These securities may be subject to greater price volatility due to such factors as specific corporate developments, interest rate sensitivity and negative perceptions of the junk bond market generally, and may be more difficult to trade than other types of securities.
Duration Risk—Duration is a measure that relates the expected price volatility of a fixed-income security to changes in interest rates. The duration of a fixed-income security may be shorter than or equal to full maturity of a fixed-income security. Fixed-income securities with longer durations have more risk and will decrease in price as interest rates rise.
Inflation Risk—This is the risk that the value of assets or income from investments will be less in the future as inflation decreases the value of money. As inflation increases, the value of the Portfolio’s assets can decline as can the value of the Portfolio’s distributions. This risk is significantly greater if the Portfolio invests a significant portion of its assets in fixed-income securities with longer maturities.
39
| | |
| INTERMEDIATE BOND PORTFOLIO | | |
| NOTES TO FINANCIAL STATEMENTS | | |
| |
| (continued) | | AB Variable Products Series Fund |
Foreign (Non-U.S.) Risk—Investments in securities of non-U.S. issuers may involve more risk than those of U.S. issuers. These securities may fluctuate more widely in price and may be more difficult to trade due to adverse market, economic, political, regulatory or other factors.
Emerging Market Risk—Investments in emerging market countries may have more risk because the markets are less developed and less liquid, and because these investments may be subject to increased economic, political, regulatory or other uncertainties.
Currency Risk—Fluctuations in currency exchange rates may negatively affect the value of the Portfolio’s investments or reduce its returns.
Mortgage-Related and/or Other Asset-Backed Securities Risk—Investments in mortgage-related and other asset-backed securities are subject to certain additional risks. The value of these securities may be particularly sensitive to changes in interest rates. These risks include “extension risk”, which is the risk that, in periods of rising interest rates, issuers may delay the payment of principal, and “prepayment risk”, which is the risk that in periods of falling interest rates, issuers may pay principal sooner than expected, exposing the Portfolio to a lower rate of return upon reinvestment of principal. Mortgage-backed securities offered by nongovernmental issuers and other asset-backed securities may be subject to other risks, such as higher rates of default in the mortgages or assets backing the securities or risks associated with the nature and servicing of mortgages or assets backing the securities.
Leverage Risk—When the Portfolio borrows money or otherwise leverages its investments, its performance may be volatile because leverage tends to exaggerate the effect of any increase or decrease in the value of the Portfolio’s investments. The Portfolio may create leverage through the use of reverse repurchase arrangements, forward currency exchange contracts, forward commitments, dollar rolls or futures or by borrowing money. The use of other types of derivative instruments by the Portfolio, such as options and swaps, may also result in a form of leverage. Leverage may result in higher returns to the Portfolio than if the Portfolio were not leveraged, but may also adversely affect returns, particularly if the market is declining.
Illiquid Investments Risk—Illiquid investments risk exists when certain investments are or become difficult to purchase or sell. Difficulty in selling such investments may result in sales at disadvantageous prices affecting the value of your investment in the Portfolio. Causes of illiquid investments risk may include low trading volumes, large positions and heavy redemptions of Portfolio shares. lliquid investments risk may be higher in a rising interest rate environment, when the value and liquidity of fixed-income securities generally decline.
Derivatives Risk—Derivatives may be difficult to price or unwind and leveraged so that small changes may produce disproportionate losses for the Portfolio. Derivatives, especially over-the-counter derivatives, are also subject to counterparty risk, which is the risk that the counterparty (the party on the other side of the transaction) on a derivative transaction will be unable or unwilling to honor its contractual obligation to the Portfolio.
LIBOR Transition and Associated Risk—A Portfolio may be exposed to debt securities, derivatives or other financial instruments that are tied to the London Interbank Offered Rate, or “LIBOR,” as a “benchmark” or “reference rate” for various interest rate calculations. In 2017, the United Kingdom Financial Conduct Authority (“FCA”), which regulates LIBOR, announced a desire to phase out the use of LIBOR by the end of 2021. The FCA and LIBOR’s administrator, ICE Benchmark Administration, have since announced that most LIBOR settings (which reflect LIBOR rates quoted in different currencies over various time periods) will no longer be published after the end of 2021 but that the most widely used U.S. dollar LIBOR settings will continue to be published until June 30, 2023. However, banks were strongly encouraged to cease entering into agreements with counterparties referencing LIBOR by the end of 2021. It is possible that a subset of LIBOR settings will be published after these dates on a “synthetic” basis, but any such publications would be considered non-representative of the underlying market. The U.S. Federal Reserve, based on the recommendations of the New York Federal Reserve’s Alternative Reference Rate Committee (comprised of major derivative market participants and their regulators), has begun publishing a Secured Overnight Funding Rate (referred to as SOFR), which is intended to replace U.S. dollar LIBOR. Proposals for alternative reference rates for other currencies have also been announced or have already begun publication. Markets are slowly developing in response to these new rates.
40
| | |
| |
| | | AB Variable Products Series Fund |
The elimination of LIBOR or changes to other reference rates or any other changes or reforms to the determination or supervision of reference rates could have an adverse impact on the market for, or value of, any securities or payments linked to those reference rates, which may adversely affect a Portfolio’s performance and/or net asset value. Uncertainty and risk also remain regarding the willingness and ability of issuers and lenders to include revised provisions in new and existing contracts or instruments. Consequently, the transition away from LIBOR to other reference rates may lead to increased volatility and illiquidity in markets that are tied to LIBOR, fluctuations in values of LIBOR-related investments or investments in issuers that utilize LIBOR, increased difficulty in borrowing or refinancing and diminished effectiveness of hedging strategies, potentially adversely affecting a Portfolio’s performance. Furthermore, the risks associated with the expected discontinuation of LIBOR and transition may be exacerbated if the work necessary to effect an orderly transition to an alternative reference rate is not completed in a timely manner. The potential effects of a phase out of LIBOR on LIBOR-based investments are currently unknown.
Indemnification Risk—In the ordinary course of business, the Portfolio enters into contracts that contain a variety of indemnifications. The Portfolio’s maximum exposure under these arrangements is unknown. However, the Portfolio has not had prior claims or losses pursuant to these indemnification provisions and expects the risk of loss thereunder to be remote. Therefore, the Portfolio has not accrued any liability in connection with these indemnification provisions.
Management Risk—The Portfolio is subject to management risk because it is an actively-managed investment fund. The Adviser will apply its investment techniques and risk analyses in making investment decisions for the Portfolio, but there is no guarantee that its techniques will produce the intended results. Some of these techniques may incorporate, or rely upon, quantitative models, but there is no guarantee that these models will generate accurate forecasts, reduce risk or otherwise perform as expected.
NOTE G: Joint Credit Facility
A number of open-end mutual funds managed by the Adviser, including the Portfolio, participate in a $325 million revolving credit facility (the “Facility”) intended to provide short-term financing related to redemptions and other short term liquidity requirements, subject to certain restrictions. Commitment fees related to the Facility are paid by the participating funds and are included in miscellaneous expenses in the statement of operations. The Portfolio did not utilize the Facility during the year ended December 31, 2021.
NOTE H: Distributions to Shareholders
The tax character of distributions paid during the fiscal years ended December 31, 2021 and December 31, 2020 were as follows:
| | | | | | | | |
| | | 2021 | | | 2020 | |
Distributions paid from: | | | | | | | | |
Ordinary income | | $ | 1,364,360 | | | $ | 1,411,184 | |
Net long-term capital gains | | | 198,097 | | | | 0 | |
| | | | | | | | |
Total taxable distributions paid | | $ | 1,562,457 | | | $ | 1,411,184 | |
| | | | | | | | |
As of December 31, 2021, the components of accumulated earnings/(deficit) on a tax basis were as follows:
| | | | |
Undistributed ordinary income | | $ | 491,453 | |
Undistributed capital gains | | | 270,798 | |
Other losses | | | (3,643 | )(a) |
Unrealized appreciation/(depreciation) | | | 492,385 | (b) |
| | | | |
Total accumulated earnings/(deficit) | | $ | 1,250,993 | |
| | | | |
| (a) | | As of December 31, 2021, the cumulative deferred loss on straddles was $3,643. |
| (b) | | The differences between book-basis and tax-basis unrealized appreciation/(depreciation) are attributable primarily to the recognition for tax purposes of unrealized gains/losses on certain derivative instruments, the tax treatment of swaps, the tax deferral of losses on wash sales, and the tax treatment of callable bonds. |
41
| | |
| INTERMEDIATE BOND PORTFOLIO | | |
| NOTES TO FINANCIAL STATEMENTS | | |
| |
| (continued) | | AB Variable Products Series Fund |
For tax purposes, net realized capital losses may be carried over to offset future capital gains, if any. Funds are permitted to carry forward capital losses for an indefinite period, and such losses will retain their character as either short-term or long-term capital losses. As of December 31, 2021, the Portfolio did not have any capital loss carryforwards.
During the current fiscal year, there were no permanent differences that resulted in adjustments to distributable earnings or additional paid-in capital.
NOTE I: Recent Accounting Pronouncements
In March 2020, the Financial Accounting Standards Board issued an Accounting Standards Update, ASU 2020-04, “Reference Rate Reform (Topic 848) – Facilitation of the Effects of Reference Rate Reform on Financial Reporting.” ASU 2020-04 provides optional guidance to ease the potential accounting burden due to the discontinuation of the LIBOR and other interbank-offered based reference rates. ASU 2020-04 is effective as of March 12, 2020 through December 31, 2022. Management is currently evaluating the impact, if any, of applying ASU 2020-04.
NOTE J: Subsequent Events
At a meeting held on November 2-4, 2021, the Portfolio’s Board of Directors approved the liquidation and termination of the Portfolio (the “Liquidation”). The Portfolio expects to make liquidating distributions on or shortly after March 4, 2022 and will convert its assets to cash shortly before this date. The insurance company separate accounts through which owners of variable insurance contracts hold interests in the Portfolio will give such Contractholders notice of the Liquidation as well as information about allocating their variable insurance contract assets to other investment options available under their contracts.
Management has evaluated subsequent events for possible recognition or disclosure in the financial statements through the date the financial statements are issued. Management has determined that there are no other material events that would require disclosure in the Portfolio’s financial statements through this date.
42
| | |
| | |
| | |
| |
| 2021 TAX INFORMATION (unaudited) | | AB Variable Products Series Fund |
For Federal income tax purposes, the following information is furnished with respect to the distributions paid by the Portfolio during the taxable year ended December 31, 2021. The Portfolio designates $198,097 of dividends paid as long-term capital gains dividends.
43
| | |
| | |
| INTERMEDIATE BOND PORTFOLIO | | |
| |
| FINANCIAL HIGHLIGHTS | | AB Variable Products Series Fund |
Selected Data For A Share Of Capital Stock Outstanding Throughout Each Period
| | | | | | | | | | | | | | | | | | | | |
| | | CLASS A | |
| | | Year Ended December 31, | |
| | | 2021 | | | 2020 | | | 2019 | | | 2018 | | | 2017 | |
Net asset value, beginning of period | | | $10.99 | | | | $10.73 | | | | $10.21 | | | | $10.56 | | | | $10.65 | |
| | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | |
Income From Investment Operations | | | | | | | | | | | | | | | | | | | | |
Net investment income (a) | | | .14 | (b) | | | .22 | (b) | | | .26 | (b) | | | .23 | (b) | | | .23 | |
Net realized and unrealized gain (loss) on investment and foreign currency transactions | | | (.29 | ) | | | .41 | | | | .57 | | | | (.31 | ) | | | .14 | |
Contributions from Affiliates | | | –0 | – | | | –0 | – | | | .00 | (c) | | | –0 | – | | | .00 | (c) |
| | | | | | | | | | | | | | | | | | | | |
Net increase (decrease) in net asset value from operations | | | (.15 | ) | | | .63 | | | | .83 | | | | (.08 | ) | | | .37 | |
| | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | |
Less: Dividends and Distributions | | | | | | | | | | | | | | | | | | | | |
Dividends from net investment income | | | (.17 | ) | | | (.37 | ) | | | (.31 | ) | | | (.13 | ) | | | (.36 | ) |
Distributions from net realized gain on investment transactions | | | (.30 | ) | | | –0 | – | | | –0 | – | | | (.14 | ) | | | (.10 | ) |
| | | | | | | | | | | | | | | | | | | | |
Total dividends and distributions | | | (.47 | ) | | | (.37 | ) | | | (.31 | ) | | | (.27 | ) | | | (.46 | ) |
| | | | | | | | | | | | | | | | | | | | |
Net asset value, end of period | | | $10.37 | | | | $10.99 | | | | $10.73 | | | | $10.21 | | | | $10.56 | |
| | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | |
Total Return | | | | | | | | | | | | | | | | | | | | |
Total investment return based on net asset value (d)* | | | (1.45 | )% | | | 5.96 | % | | | 8.20 | % | | | (.72 | )% | | | 3.52 | % |
Ratios/Supplemental Data | | | | | | | | | | | | | | | | | | | | |
Net assets, end of period (000’s omitted) | | | $25,115 | | | | $30,529 | | | | $32,763 | | | | $33,267 | | | | $38,172 | |
Ratio to average net assets of: | | | | | | | | | | | | | | | | | | | | |
Expenses, net of waivers/reimbursements | | | 1.39 | % | | | 1.27 | % | | | 1.26 | % | | | 1.16 | % | | | 1.11 | % |
Expenses, before waivers/reimbursements | | | 1.39 | % | | | 1.27 | % | | | 1.27 | % | | | 1.16 | % | | | 1.11 | % |
Net investment income | | | 1.30 | %(b) | | | 1.99 | %(b) | | | 2.48 | %(b) | | | 2.20 | %(b) | | | 2.11 | % |
Portfolio turnover rate** | | | 144 | % | | | 89 | % | | | 75 | % | | | 155 | % | | | 216 | % |
See footnote summary on page 45.
44
| | |
| INTERMEDIATE BOND PORTFOLIO | | |
| FINANCIAL HIGHLIGHTS | | |
| |
| (continued) | | AB Variable Products Series Fund |
Selected Data For A Share Of Capital Stock Outstanding Throughout Each Period
| | | | | | | | | | | | | | | | | | | | |
| | | CLASS B | |
| | | Year Ended December 31, | |
| | | 2021 | | | 2020 | | | 2019 | | | 2018 | | | 2017 | |
Net asset value, beginning of period | | | $10.87 | | | | $10.62 | | | | $10.10 | | | | $10.45 | | | | $10.54 | |
| | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | |
Income From Investment Operations | | | | | | | | | | | | | | | | | | | | |
Net investment income (a) | | | .11 | (b) | | | .19 | (b) | | | .23 | (b) | | | .20 | (b) | | | .20 | |
Net realized and unrealized gain (loss) on investment and foreign currency transactions | | | (.28 | ) | | | .41 | | | | .58 | | | | (.31 | ) | | | .14 | |
Contributions from Affiliates | | | –0 | – | | | –0 | – | | | .00 | (c) | | | –0 | – | | | .00 | (c) |
| | | | | | | | | | | | | | | | | | | | |
Net increase (decrease) in net asset value from operations | | | (.17 | ) | | | .60 | | | | .81 | | | | (.11 | ) | | | .34 | |
| | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | |
Less: Dividends and Distributions | | | | | | | | | | | | | | | | | | | | |
Dividends from net investment income | | | (.14) | | | | (.35) | | | | (.29) | | | | (.10) | | | | (.33) | |
Distributions from net realized gain on investment transactions | | | (.30 | ) | | | –0 | – | | | –0 | – | | | (.14 | ) | | | (.10 | ) |
| | | | | | | | | | | | | | | | | | | | |
Total dividends and distributions | | | (.44 | ) | | | (.35 | ) | | | (.29 | ) | | | (.24 | ) | | | (.43 | ) |
| | | | | | | | | | | | | | | | | | | | |
Net asset value, end of period | | | $10.26 | | | | $10.87 | | | | $10.62 | | | | $10.10 | | | | $10.45 | |
| | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | |
Total Return | | | | | | | | | | | | | | | | | | | | |
Total investment return based on net asset value (d)* | | | (1.64 | )% | | | 5.64 | % | | | 7.99 | % | | | (1.01 | )% | | | 3.28 | % |
Ratios/Supplemental Data | | | | | | | | | | | | | | | | | | | | |
Net assets, end of period (000’s omitted) | | | $9,826 | | | | $11,309 | | | | $11,652 | | | | $12,054 | | | | $14,786 | |
Ratio to average net assets of: | | | | | | | | | | | | | | | | | | | | |
Expenses, net of waivers/reimbursements | | | 1.64 | % | | | 1.52 | % | | | 1.51 | % | | | 1.41 | % | | | 1.36 | % |
Expenses, before waivers/reimbursements | | | 1.64 | % | | | 1.52 | % | | | 1.52 | % | | | 1.41 | % | | | 1.36 | % |
Net investment income | | | 1.03 | %(b) | | | 1.74 | %(b) | | | 2.23 | %(b) | | | 1.95 | %(b) | | | 1.87 | % |
Portfolio turnover rate ** | | | 144 | % | | | 89 | % | | | 75 | % | | | 155 | % | | | 216 | % |
| (a) | | Based on average shares outstanding. |
| (b) | | Net of expenses waived/reimbursed by the Adviser. |
| (c) | | Amount is less than $.005. |
| (d) | | Total investment return is calculated assuming an initial investment made at the net asset value at the beginning of the period, reinvestment of all dividends and distributions at net asset value during the period, and redemption on the last day of the period. Total return does not reflect (i) insurance company’s separate account related expense charges and (ii) the deductions of taxes that a shareholder would pay on Portfolio distributions or the redemption of Portfolio shares. Total investment return calculated for a period of less than one year is not annualized. |
| * | | Includes the impact of proceeds received and credited to the Portfolio resulting from class action settlements, which enhanced the Portfolio’s performance for the years ended December 31, 2019 and December 31, 2017 by .03% and .03%, respectively. |
| ** | | The Portfolio accounts for dollar roll transactions as purchases and sales. |
See notes to financial statements.
45
| | |
| | |
| REPORT OF INDEPENDENT REGISTERED | | |
| |
| PUBLIC ACCOUNTING FIRM | | AB Variable Products Series Fund |
To the Shareholders and the Board of Directors of AB Intermediate Bond Portfolio
Opinion on the Financial Statements
We have audited the accompanying statement of assets and liabilities of AB Intermediate Bond Portfolio (the “Portfolio”) (one of the portfolios constituting AB Variable Products Series Fund, Inc. (the “Fund”)), including the portfolio of investments, as of December 31, 2021, and the related statement of operations for the year then ended, the statements of changes in net assets for each of the two years in the period then ended, the financial highlights for each of the five years in the period then ended and the related notes (collectively referred to as the “financial statements”). In our opinion, the financial statements present fairly, in all material respects, the financial position of the Portfolio (one of the portfolios constituting AB Variable Products Series Fund, Inc.) at December 31, 2021, the results of its operations for the year then ended, the changes in its net assets for each of the two years in the period then ended and its financial highlights for each of the five years in the period then ended, in conformity with U.S. generally accepted accounting principles.
Basis for Opinion
These financial statements are the responsibility of the Fund’s management. Our responsibility is to express an opinion on the Portfolio’s financial statements based on our audits. We are a public accounting firm registered with the Public Company Accounting Oversight Board (United States) (“PCAOB”) and are required to be independent with respect to the Fund in accordance with the U.S. federal securities laws and the applicable rules and regulations of the Securities and Exchange Commission and the PCAOB.
We conducted our audits in accordance with the standards of the PCAOB. Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements are free of material misstatement, whether due to error or fraud. The Fund is not required to have, nor were we engaged to perform, an audit of the Fund’s internal control over financial reporting. As part of our audits we are required to obtain an understanding of internal control over financial reporting but not for the purpose of expressing an opinion on the effectiveness of the Fund’s internal control over financial reporting. Accordingly, we express no such opinion.
Our audits included performing procedures to assess the risks of material misstatement of the financial statements, whether due to error or fraud, and performing procedures that respond to those risks. Such procedures included examining, on a test basis, evidence regarding the amounts and disclosures in the financial statements. Our procedures included confirmation of securities owned as of December 31, 2021, by correspondence with the custodian and others or by other appropriate auditing procedures where replies from others were not received. Our audits also included evaluating the accounting principles used and significant estimates made by management, as well as evaluating the overall presentation of the financial statements. We believe that our audits provide a reasonable basis for our opinion.
We have served as the auditor of one or more of the AB investment companies since 1968.
New York, New York
February 14, 2022
46
| | |
| | |
| | |
| |
| INTERMEDIATE BOND PORTFOLIO | | AB Variable Products Series Fund |
| | |
| BOARD OF DIRECTORS | | |
Marshall C. Turner, Jr.(1), Chairman Jorge A. Bermudez(1) Michael J. Downey(1) Onur Erzan, President and
Chief Executive Officer | | Nancy P. Jacklin(1) Jeanette W. Loeb(1) Carol C. McMullen(1) Garry L. Moody(1) |
|
|
|
|
| | |
| | |
| OFFICERS | | |
Michael Canter(2), Vice President Janaki Rao(2), Vice President Emilie D. Wrapp, Secretary Michael B. Reyes, Senior Vice President and
Senior Analyst | | Joseph J. Mantineo, Treasurer and
Chief Financial Officer Phyllis J. Clarke, Controller Vincent S. Noto, Chief Compliance Officer |
| | |
CUSTODIANAND ACCOUNTING AGENT State Street Bank and Trust Company State Street Corporation CCB/5 1 Iron Street Boston, MA 02210 | | LEGAL COUNSEL Seward & Kissel LLP One Battery Park Plaza New York, NY 10004 |
| | |
DISTRIBUTOR AllianceBernstein Investments, Inc. 501 Commerce Street Nashville, TN 37203 | | TRANSFER AGENT AllianceBernstein Investor Services, Inc. P.O. Box 786003 San Antonio, TX 78278 Toll-Free (800) 221-5672 |
| | |
INDEPENDENT REGISTERED PUBLIC ACCOUNTING FIRM Ernst & Young LLP One Manhattan West New York, NY 10001 | | |
| (1) | | Member of the Audit Committee, the Governance and Nominating Committee, and the Independent Directors Committee. |
| (2) | | The day-to-day management of, and investment decisions for, the Portfolio’s portfolio are made by the Adviser’s U.S. Core Fixed Income Investment Team. Messrs. Canter and Rao are the investment professionals with the most significant responsibility for the day-to-day management of the Portfolio’s portfolio. |
47
| | |
| | |
| INTERMEDIATE BOND PORTFOLIO | | |
| |
| MANAGEMENT OF THE FUND | | AB Variable Products Series Fund |
Board of Directors Information
The business and affairs of the Fund are managed under the direction of the Board of Directors. Certain information concerning the Fund’s Directors is set forth below.
| | | | | | | | |
NAME, ADDRESS*, AGE, (YEAR FIRST ELECTED**) | | PRINCIPAL OCCUPATION(S) DURING PAST FIVE YEARS
AND OTHER INFORMATION*** | | PORTFOLIOS
IN AB FUND
COMPLEX
OVERSEEN BY
DIRECTOR | | | OTHER PUBLIC
COMPANY
DIRECTORSHIPS
CURRENTLY
HELD BY
DIRECTOR |
| | | | | | | | |
| INTERESTED DIRECTOR | | | | | | |
| | | | | | | | |
Onur Erzan, # 1345 Avenue of the Americas New York, NY 10105 46 (2021) | | Senior Vice President of AllianceBernstein L.P. (the “Adviser”) and Head of the Global Client Group overseeing AB’s institutional and retail businesses, where he is responsible for all client services, sales and marketing, as well as product strategy, management and development worldwide. Director, President and Chief Executive Officer of the AB Mutual Funds as of April 1, 2021. Prior to joining the firm in January 2021, he spent 20 years with McKinsey (management consulting firm), most recently as a senior partner and co-leader of its Wealth & Asset Management practice. In addition, he co-led McKinsey’s Banking & Securities Solutions (a portfolio of data, analytics, and digital assets and capabilities) globally. | | | 74 | | | None |
| | | | | | | | |
| DISINTERESTED DIRECTORS | | | | | | |
| | | | | | | | |
Marshall C. Turner, Jr., ## Chairman of the Board 80 (2005) | | Private Investor since prior to 2017. Former Chairman and CEO of Dupont Photomasks, Inc. (components of semi-conductor manufacturing). He was a Director of Xilinx, Inc. (programmable logic semiconductors and adaptable, intelligent computing) from 2007 through August 2020, and is a former director of 33 other companies and organizations. He has extensive operating leadership and venture capital investing experience, including five interim or full-time CEO roles, and prior service as general partner of institutional venture capital partnerships. He also has extensive non-profit board leadership experience, and currently serves on the boards of two education and science-related non-profit organizations. He has served as a director of one AB Fund since 1992, and director or trustee of all AB Funds since 2005. He has been Chairman of the AB Funds since January 2014, and the Chairman of the Independent Directors Committees of such AB Funds since February 2014. | | | 74 | | | None |
| | | | | | | | |
48
| | |
| INTERMEDIATE BOND PORTFOLIO | | |
| MANAGEMENT OF THE FUND | | |
| |
| (continued) | | AB Variable Products Series Fund |
| | | | | | | | |
NAME, ADDRESS*, AGE, (YEAR FIRST ELECTED**) | | PRINCIPAL OCCUPATION(S) DURING PAST FIVE YEARS
AND OTHER INFORMATION*** | | PORTFOLIOS
IN AB FUND
COMPLEX
OVERSEEN BY
DIRECTOR | | | OTHER PUBLIC
COMPANY
DIRECTORSHIPS
CURRENTLY
HELD BY
DIRECTOR |
DISINTERESTED DIRECTORS
(continued) | | | | | | |
Jorge A. Bermudez, ## 70 (2020) | | Private Investor since prior to 2017. Formerly, Chief Risk Officer of Citigroup, Inc., a global financial services company, from November 2007 to March 2008, Chief Executive Officer of Citigroup’s Commercial Business Group in North America and Citibank Texas from 2005 to 2007, and a variety of other executive and leadership roles at various businesses within Citigroup prior to then; Chairman (2018) of the Texas A&M Foundation Board of Trustees (Trustee since 2013) and Chairman of the Smart Grid Center Board at Texas A&M University since 2012; director of, among others, Citibank N.A. from 2005 to 2008, the Federal Reserve Bank of Dallas, Houston Branch from 2009 to 2011, the Federal Reserve Bank of Dallas from 2011 to 2017, and the Electric Reliability Council of Texas from 2010 to 2016. He has served as director or trustee of the AB Funds since January 2020. | | | 74 | | | Moody’s Corporation since April 2011 |
| | | | | | | | |
Michael J. Downey, ## 78 (2005) | | Private Investor since prior to 2017. Formerly, Chairman of The Asia Pacific Fund, Inc. (registered investment company) since prior to 2017 until January 2019. From 1987 until 1993, Chairman and CEO of Prudential Mutual Fund Management, director of the Prudential mutual funds, and member of the Executive Committee of Prudential Securities, Inc. He has served as a director or trustee of the AB Funds since 2005. | | | 74 | | | None |
| | | | | | | | |
Nancy P. Jacklin, ## 73 (2006) | | Private Investor since prior to 2017. Professorial Lecturer at the Johns Hopkins School of Advanced International Studies (2008–2015). U.S. Executive Director of the International Monetary Fund (which is responsible for ensuring the stability of the international monetary system), (December 2002–May 2006); Partner, Clifford Chance (1992–2002); Sector Counsel, International Banking and Finance, and Associate General Counsel, Citicorp (1985–1992); Assistant General Counsel (International), Federal Reserve Board of Governors (1982–1985); and Attorney Advisor, U.S. Department of the Treasury (1973–1982). Member of the Bar of the District of Columbia and of New York; and member of the Council on Foreign Relations. She has served as a director or trustee of the AB Funds since 2006 and has been Chair of the Governance and Nominating Committees of the AB Funds since August 2014. | | | 74 | | | None |
| | | | | | | | |
49
| | |
| |
| | | AB Variable Products Series Fund |
| | | | | | | | |
NAME, ADDRESS*, AGE, (YEAR FIRST ELECTED**) | | PRINCIPAL OCCUPATION(S) DURING PAST FIVE YEARS
AND OTHER INFORMATION*** | | PORTFOLIOS
IN AB FUND
COMPLEX
OVERSEEN BY
DIRECTOR | | | OTHER PUBLIC
COMPANY
DIRECTORSHIPS
CURRENTLY
HELD BY
DIRECTOR |
DISINTERESTED DIRECTORS
(continued) | | | | | | |
| | | | | | | | |
Jeanette W. Loeb, ## 69 (2020) | | Chief Executive Officer of PetCareRx (e-commerce pet pharmacy) from 2002 to 2011 and 2015 to present. Director of New York City Center since 2005. She was a director of AB Multi-Manager Alternative Fund, Inc. (fund of hedge funds) from 2012 to 2018. Formerly, affiliated with Goldman Sachs Group, Inc. (financial services) from 1977 to 1994, including as a partner thereof from 1986 to 1994. She has served as director or trustee of the AB Funds since April 2020. | | | 74 | | | Apollo Investment Corp. (business development company) since August 2011 |
| | | | | | | | |
Carol C. McMullen, ## 66 (2016) | | Managing Director of Slalom Consulting (consulting) since 2014, private investor and a member of the Advisory Board of Butcher Box (since 2018). Formerly, member, Partners Healthcare Investment Committee (2010–2019); Director of Norfolk & Dedham Group (mutual property and casualty insurance) from 2011 until November 2016; Director of Partners Community Physicians Organization (healthcare) from 2014 until December 2016; and Managing Director of The Crossland Group (consulting) from 2012 until 2013. She has held a number of senior positions in the asset and wealth management industries, including at Eastern Bank (where her roles included President of Eastern Wealth Management), Thomson Financial (Global Head of Sales for Investment Management), and Putnam Investments (where her roles included Chief Investment Officer, Core and Growth and Head of Global Investment Research). She has served on a number of private company and non-profit boards, and as a director or trustee of the AB Funds since June 2016. | | | 74 | | | None |
| | | | | | | | |
Garry L. Moody, ## 69 (2008) | | Private Investor since prior to 2017. Formerly, Partner, Deloitte & Touche LLP (1995-2008) where he held a number of senior positions, including Vice Chairman, and U.S. and Global Investment Management Practice Managing Partner; President, Fidelity Accounting and Custody Services Company (1993-1995), where he was responsible for accounting, pricing, custody and reporting for the Fidelity mutual funds; and Partner, Ernst & Young LLP (1975-1993), where he served as the National Director of Mutual Fund Tax Services and Managing Partner of its Chicago Office Tax department. He is a member of the Trustee Advisory Board of BoardIQ, a biweekly publication focused on issues and news affecting directors of mutual funds. He is also a member of the Investment Company Institute’s Board of Governors and the Independent Directors Council’s Governing Council. He has served as a director or trustee, and as Chairman of the Audit Committees, of the AB Funds since 2008. | | | 74 | | | None |
50
| | |
| INTERMEDIATE BOND PORTFOLIO | | |
| MANAGEMENT OF THE FUND | | |
| |
| (continued) | | AB Variable Products Series Fund |
| * | The address for the Fund’s disinterested Directors is c/o AllianceBernstein L.P., Attention: Legal & Compliance Department—Mutual Fund Legal, 1345 Avenue of the Americas, New York, NY 10105. |
| ** | There is no stated term of office for the Fund’s Directors. |
| *** | The information above includes each Director’s principal occupation during the last five years and other information relating to the experience, attributes and skills relevant to each Director’s qualifications to serve as a Director, which led to the conclusion that each Director should serve as a Director for the Fund. |
| # | Mr. Erzan is an “interested person” of the Fund, as defined in the “1940 Act”, due to his position as a Senior Vice President of the Adviser. |
| ## | Member of the Audit Committee, the Governance and Nominating Committee, and the Independent Directors Committee. |
51
| | |
| |
| | | AB Variable Products Series Fund |
Officer Information
Certain information concerning the Portfolio’s Officers is listed below.
| | | | |
NAME, ADDRESS*, AGE | | PRINCIPAL POSITION(S) HELD WITH FUND | | PRINCIPAL OCCUPATION
DURING PAST FIVE YEARS |
Onur Erzan 46 | | President and Chief Executive Officer | | See biography above. |
| | | | |
Michael Canter 52 | | Vice President | | Senior Vice President of the Adviser**, with which he has been associated since prior to 2017. He is also the Director of Securitized Assets and US Multi-Sector Fixed-Income. |
| | | | |
Janaki Rao 51 | | Vice President | | Senior Vice President of the Adviser**, with which he has been associated since prior to 2017. |
| | | | |
Emilie D. Wrapp 66 | | Secretary | | Senior Vice President, Assistant General Counsel and Assistant Secretary of ABI**, with which she has been associated since prior to 2017. |
| | | | |
Michael B. Reyes 45 | | Senior Vice President and
Senior Analyst | | Vice President of the Adviser**, with which he has been associated since prior to 2017. |
| | | | |
Joseph J. Mantineo 62 | | Treasurer and Chief Financial Officer | | Senior Vice President of AllianceBernstein Investor Services, Inc. (“ABIS”)**, with which he has been associated since prior to 2017. |
| | | | |
Phyllis J. Clarke 61 | | Controller | | Vice President of ABIS**, with which she has been associated since prior to 2017. |
| | | | |
Vincent S. Noto 57 | | Chief Compliance Officer | | Senior Vice President and Mutual Fund Chief Compliance Officer of the Adviser** since prior to 2017. |
| * | | The address for each of the Portfolio’s Officers is 1345 Avenue of the Americas, New York, NY 10105. |
| ** | | The Adviser, ABI and ABIS are affiliates of the Fund. |
| | | The Fund’s Statement of Additional Information (“SAI”) has additional information about the Directors and Officers and is available without charge upon request. Contact your financial representative or the Adviser at (800) 227-4618, or visit www.abfunds.com, for a free prospectus or SAI. |
52
| | |
| | |
| | |
| |
| INTERMEDIATE BOND PORTFOLIO | | AB Variable Products Series Fund |
OPERATION AND EFFECTIVENESS OF THE PORTFOLIO’S LIQUIDITY RISK MANAGEMENT PROGRAM:
In October 2016, the Securities and Exchange Commission (“SEC”) adopted the open-end fund liquidity rule (the “Liquidity Rule”). In June 2018 the SEC adopted a requirement that funds disclose information about the operation and effectiveness of their Liquidity Risk Management Program (“LRMP”) in their reports to shareholders.
One of the requirements of the Liquidity Rule is for the Portfolio to designate an Administrator of the Portfolio’s Liquidity Risk Management Program. The Administrator of the Portfolio’s LRMP is AllianceBernstein L.P., the Portfolio’s investment adviser (the “Adviser”). The Adviser has delegated the responsibility to its Liquidity Risk Management Committee (the “Committee”).
Another requirement of the Liquidity Rule is for the Portfolio’s Board of Directors (the “Fund Board”) to receive an annual written report from the Administrator of the LRMP, which addresses the operation of the Portfolio’s LRMP and assesses its adequacy and effectiveness. The Adviser provided the Fund Board with such annual report during the first quarter of 2021, which covered the period January 1, 2020 through December 31, 2020 (the “Program Reporting Period”).
The LRMP’s principal objectives include supporting the Portfolio’s compliance with limits on investments in illiquid assets and mitigating the risk that the Portfolio will be unable to meet its redemption obligations in a timely manner.
Pursuant to the LRMP, the Portfolio classifies the liquidity of its portfolio investments into one of the four categories defined by the SEC: Highly Liquid, Moderately Liquid, Less Liquid, and Illiquid. These classifications are reported to the SEC on Form N-PORT.
During the Program Reporting Period, the Committee reviewed whether the Portfolio’s strategy is appropriate for an open-end structure, incorporating any holdings of less liquid and illiquid assets. If the Portfolio participated in derivative transactions, the exposure from such transactions were considered in the LRMP.
The Committee also performed an analysis to determine whether the Portfolio is required to maintain a Highly Liquid Investment Minimum (“HLIM”). The Committee also incorporated the following information when determining the Portfolio’s reasonably anticipated trading size for purposes of liquidity monitoring: historical net redemption activity, a Portfolio’s concentration in an issuer, shareholder concentration, investment performance, total net assets, and distribution channels.
The Adviser informed the Fund Board that the Committee believes the Portfolio’s LRMP is adequately designed, has been implemented as intended, and has operated effectively since its inception. No material exceptions have been noted since the implementation of the LRMP. During the Program Reporting Period, beginning in March 2020, all financial markets experienced extreme levels of price volatility and relative illiquidity resulting from the COVID-19 impacts on the global economy. This extreme relative illiquidity resulted in significantly wider bid-ask spreads to transact in securities, including many of those securities held by the Portfolio, and in a diminished depth of liquidity in most markets, to varying degrees. Nonetheless, there were no liquidity events that impacted the Portfolio or its ability to timely meet redemptions during the Program Reporting Period.
53
| | |
| | |
| INTERMEDIATE BOND PORTFOLIO | | |
| |
| CONTINUANCE DISCLOSURE | | AB Variable Products Series Fund |
INFORMATION REGARDING THE REVIEW AND APPROVAL OF THE FUND’S ADVISORY AGREEMENT
The disinterested directors (the “directors”) of AB Variable Products Series Fund, Inc. (the “Company”) approved the continuance of the Company’s Advisory Agreement with the Adviser in respect of AB Intermediate Bond Portfolio (the “Fund”) at a meeting held by video conference on November 2-4, 2021 (the “Meeting”). At the Meeting the directors also approved the liquidation and termination of the Fund (the “Liquidation”) with the Liquidation expected to be effective on or shortly after March 4, 2022.
Prior to approval of the continuance of the Advisory Agreement, the directors had requested from the Adviser, and received and evaluated, extensive materials. They reviewed the proposed continuance of the Advisory Agreement with the Adviser and with experienced counsel who are independent of the Adviser, who advised on the relevant legal standards. The directors also reviewed additional materials, including comparative analytical data prepared by the Senior Analyst for the Fund. The directors also discussed the proposed continuance in private sessions with counsel.
The directors considered their knowledge of the nature and quality of the services provided by the Adviser to the Fund gained from their experience as directors or trustees of most of the registered investment companies advised by the Adviser, their overall confidence in the Adviser’s integrity and competence they have gained from that experience, the Adviser’s initiative in identifying and raising potential issues with the directors and its responsiveness, frankness and attention to concerns raised by the directors in the past, including the Adviser’s willingness to consider and implement organizational and operational changes designed to improve investment results and the services provided to the AB Funds. The directors noted that they have four regular meetings each year, at each of which they review extensive materials and information from the Adviser, including information on the investment performance of the Fund and the money market fund advised by the Adviser in which the Fund invests a portion of its assets.
The directors also considered all factors they believed relevant, including the specific matters discussed below. During the course of their deliberations, the directors evaluated, among other things, the reasonableness of the advisory fee. The directors did not identify any particular information that was all-important or controlling, and different directors may have attributed different weights to the various factors. The directors determined that the selection of the Adviser to manage the Fund and the overall arrangements between the Fund and the Adviser, as provided in the Advisory Agreement, including the advisory fee, were fair and reasonable in light of the services performed, expenses incurred and such other matters as the directors considered relevant in the exercise of their business judgment. The material factors and conclusions that formed the basis for the directors’ determinations included the following:
Nature, Extent and Quality of Services Provided
The directors considered the scope and quality of services provided by the Adviser under the Advisory Agreement, including the quality of the investment research capabilities of the Adviser and the other resources it has dedicated to performing services for the Fund. The directors noted that the Adviser from time to time reviews the Fund’s investment strategies and from time to time proposes changes intended to improve the Fund’s relative or absolute performance for the directors’ consideration. They also noted the professional experience and qualifications of the Fund’s portfolio management team and other senior personnel of the Adviser. The directors also considered that the Advisory Agreement provides that the Fund will reimburse the Adviser for the cost to it of providing certain clerical, accounting, administrative and other services to the Fund by employees of the Adviser or its affiliates. Requests for these reimbursements are made on a quarterly basis and subject to approval by the directors. Reimbursements, to the extent requested and paid, result in a higher rate of total compensation from the Fund to the Adviser than the fee rate stated in the Advisory Agreement. The directors noted that the methodology used to determine the reimbursement amounts had been reviewed by an independent consultant at the request of the directors. The quality of administrative and other services, including the Adviser’s role in coordinating the activities of the Fund’s other service providers, also was considered. The directors concluded that, overall, they were satisfied with the nature, extent and quality of services provided to the Fund under the Advisory Agreement.
Costs of Services Provided and Profitability
The directors reviewed a schedule of the revenues and expenses and related notes indicating the profitability of the Fund to the Adviser for calendar years 2019 and 2020 that had been prepared with an expense allocation methodology arrived at in consultation with an independent consultant at the request of the directors. The directors noted the assumptions and methods of allocation used by the Adviser in preparing fund-specific profitability data and understood that there are a number of potentially acceptable allocation methodologies for information of this type. The directors noted that the profitability information reflected all revenues and expenses of the Adviser’s relationship with the Fund, including those relating to its
54
| | |
| INTERMEDIATE BOND PORTFOLIO | | |
| CONTINUANCE DISCLOSURE | | |
| |
| (continued) | | AB Variable Products Series Fund |
subsidiaries that provide transfer agency and distribution services to the Fund. The directors recognized that it is difficult to make comparisons of the profitability of the Advisory Agreement with the profitability of fund advisory contracts for unaffiliated funds because comparative information is not generally publicly available and is affected by numerous factors. The directors focused on the profitability of the Adviser’s relationship with the Fund before taxes and distribution expenses. The directors concluded that the Adviser’s level of profitability from its relationship with the Fund was not unreasonable.
Fall-Out Benefits
The directors considered the other benefits to the Adviser and its affiliates from their relationships with the Fund and the money market fund advised by the Adviser in which the Fund invests, including, but not limited to, benefits relating to 12b-1 fees and sales charges received by the Fund’s principal underwriter (which is a wholly owned subsidiary of the Adviser) in respect of the Fund’s Class B shares; and transfer agency fees paid by the Fund to a wholly owned subsidiary of the Adviser. The directors recognized that the Adviser’s profitability would be somewhat lower without these benefits. The directors understood that the Adviser also might derive reputational and other benefits from its association with the Fund.
Investment Results
In addition to the information reviewed by the directors in connection with the Meeting, the directors receive detailed performance information for the Fund at each regular Board meeting during the year.
At the Meeting, the directors reviewed performance information prepared by an independent service provider (the “15(c) service provider”), showing the performance of the Class A Shares of the Fund against a group of similar funds (“peer group”) and a larger group of similar funds (“peer universe”), each selected by the 15(c) service provider, and information prepared by the Adviser showing performance of the Class A Shares against a broad-based securities market index, in each case for the 1-, 3-, 5- and 10-year periods ended July 31, 2021 and (in the case of comparisons with the broad-based securities market index) for the period from inception. Based on their review, the directors concluded that the Fund’s investment performance was acceptable.
Advisory Fees and Other Expenses
The directors considered the advisory fee rate payable by the Fund to the Adviser and information prepared by the 15(c) service provider concerning advisory fee rates payable by other funds in the same category as the Fund. The directors recognized that it is difficult to make comparisons of advisory fees because there are variations in the services that are included in the fees payable by other funds. The directors compared the Fund’s contractual effective advisory fee rate with a peer group median. Taking into account the administrative expense reimbursement paid to the Adviser in the latest fiscal year, the directors noted that the Adviser’s total rate of compensation was above the median.
The directors also considered the Adviser’s fee schedule for other clients utilizing investment strategies similar to those of the Fund. For this purpose, they reviewed the relevant advisory fee information from the Adviser’s Form ADV and in a report from the Fund’s Senior Analyst and noted the differences between the Fund’s fee schedule, on the one hand, and the Adviser’s institutional fee schedule and the schedule of fees charged by the Adviser to any offshore funds and for services to any sub-advised funds utilizing investment strategies similar to those of the Fund, on the other. The directors noted that the Adviser may, in some cases, agree to fee rates with large institutional clients that are lower than those reviewed by the directors and that they had previously discussed with the Adviser its policies in respect of such arrangements. The directors also compared the advisory fee rate for the Fund with that for another fund advised by the Adviser utilizing similar investment strategies.
The Adviser reviewed with the directors the significantly greater scope of the services it provides to the Fund relative to institutional, offshore fund and sub-advised fund clients. In this regard, the Adviser noted, among other things, that, compared to institutional and offshore or sub-advisory accounts, the Fund (i) demands considerably more portfolio management, research and trading resources due to significantly higher daily cash flows; (ii) has more tax and regulatory restrictions and compliance obligations; (iii) must prepare and file or distribute regulatory and other communications about fund operations; and (iv) must provide shareholder servicing to retail investors. The Adviser also reviewed the greater legal risks presented by the large and changing population of Fund shareholders who may assert claims against the Adviser in individual or class actions, and the greater entrepreneurial risk in offering new fund products, which require substantial investment to launch, may not succeed, and generally must be priced to compete with larger, more established funds resulting in lack of profitability to the Adviser until a new fund achieves scale. In light of the substantial differences in services rendered by the Adviser to institutional, offshore fund and sub-advised fund clients as compared to the Fund, and the different risk profile, the directors considered these fee comparisons inapt and did not place significant weight on them in their deliberations.
55
| | |
| |
| | | AB Variable Products Series Fund |
In connection with their review of the Fund’s advisory fee, the directors also considered the total expense ratio of the Class A shares of the Fund in comparison to a peer group and a peer universe selected by the 15(c) service provider. The Class A expense ratio of the Fund was based on the Fund’s latest fiscal year. The directors noted that it was likely that the expense ratios of some of the other funds in the Fund’s category were lowered by waivers or reimbursements by those funds’ investment advisers, which in some cases might be voluntary or temporary. The directors view expense ratio information as relevant to their evaluation of the Adviser’s services because the Adviser is responsible for coordinating services provided to the Fund by others. The directors noted that the Fund’s expense ratio was above the medians. After reviewing and discussing the Adviser’s explanations of the reasons for this, the directors concluded that the Fund’s expense ratio was acceptable.
Economies of Scale
The directors noted that the advisory fee schedule for the Fund contains breakpoints that reduce the fee rates on assets above specified levels. The directors took into consideration prior presentations by an independent consultant on economies of scale in the mutual fund industry and for the AB Funds, and presentations from time to time by the Adviser concerning certain of its views on economies of scale. The directors also had requested and received from the Adviser certain updates on economies of scale in advance of the Meeting. The directors believe that economies of scale may be realized (if at all) by the Adviser across a variety of products and services, and not only in respect of a single fund. The directors noted that there is no established methodology for setting breakpoints that give effect to the fund-specific services provided by a fund’s adviser and to the economies of scale that an adviser may realize in its overall mutual fund business or those components of it which directly or indirectly affect a fund’s operations. The directors observed that in the mutual fund industry as a whole, as well as among funds similar to the Fund, there is no uniformity or pattern in the fees and asset levels at which breakpoints (if any) apply. The directors also noted that the advisory agreements for many funds do not have breakpoints at all. Having taken these factors into account, the directors concluded that the Fund’s shareholders would benefit from a sharing of economies of scale in the event the Fund’s net assets exceed a breakpoint in the future.
56
VPS-IB-0151-1221
DEC 12.31.21
ANNUAL REPORT
AB VARIABLE PRODUCTS
SERIES FUND, INC.
| + | | INTERNATIONAL GROWTH PORTFOLIO |
As of May 1, 2021, as permitted by regulations adopted by the Securities and Exchange Commission, you may not be receiving paper copies of the Portfolio’s shareholder reports from the insurance company that offers your contract unless you specifically requested paper copies from the insurance company or from your financial intermediary. Instead of delivering paper copies of the reports, the insurance company may choose to make the reports available on a website, and will notify you by mail each time a report is posted and provide you with a website link to access the report. Instructions for requesting paper copies will be provided by your insurance company.
You may elect to receive all future reports in paper free of charge from the insurance company. You can inform the insurance company or your financial intermediary that you wish to continue receiving paper copies of your shareholder reports by following the instructions provided by the insurance company or by contacting your financial intermediary. Your election to receive reports in paper will apply to all portfolio companies available under your contract with the insurance company.
Investment Products Offered
| | • | | Are Not Bank Guaranteed |
AllianceBernstein Investments, Inc. (ABI) is the distributor of the AB family of mutual funds. ABI is a member of FINRA and is an affiliate of AllianceBernstein L.P., the Adviser of the funds.
You may obtain a description of the Fund’s proxy voting policies and procedures, and information regarding how the Fund voted proxies relating to portfolio securities during the most recent 12-month period ended June 30, without charge. Simply visit AB’s website at www.abfunds.com or go to the Securities and Exchange Commission’s (the “Commission”) website at www.sec.gov, or call AB at (800) 227 4618.
The Fund files its complete schedule of portfolio holdings with the Commission for the first and third quarters of each fiscal year as an exhibit to its reports on Form N-PORT. The Fund’s Form N-PORT reports are available on the Commission’s website at www.sec.gov. The Fund’s Forms N-PORT may also be reviewed and copied at the Commission’s Public Reference Room in Washington, DC; information on the operation of the Public Reference Room may be obtained by calling (800) SEC 0330.
The [A/B] logo is a registered service mark of AllianceBernstein and AllianceBernstein® is a registered service mark used by permission of the owner, AllianceBernstein L.P.
| | |
| | |
| | |
| |
| INTERNATIONAL GROWTH PORTFOLIO | | AB Variable Products Series Fund |
LETTER TO INVESTORS
February 14, 2022
The following is an update of AB Variable Products Series Fund—International Growth Portfolio (the “Portfolio”) for the annual reporting period ended December 31, 2021.
At a meeting held on November 2-4, 2021, the Adviser recommended and the Portfolio’s Board of Directors approved certain changes to the Portfolio, including changing the Portfolio’s name to “AB Sustainable International Thematic Portfolio” and changes to the Portfolio’s principal investment strategies. The changes to the principal investment strategies became effective on January 4, 2022, while the change to the Portfolio’s name will be effective on or about May 1, 2022.
INVESTMENT OBJECTIVE AND POLICIES
Effective until January 4, 2022
The Portfolio’s investment objective is long-term growth of capital. The Portfolio invests primarily in an international portfolio of equity securities of companies selected by the Adviser for their growth potential within various market sectors. Examples of the types of market sectors in which the Portfolio may invest include, but are not limited to, information technology (which includes telecommunications), health care, financial services, infrastructure, energy and natural resources, and consumer groups.
The Portfolio invests, under normal circumstances, in the equity securities of companies located in at least three countries (and normally substantially more) other than the United States. The Portfolio invests in securities of companies in both developed- and emerging-market countries. Geographic distribution of the Portfolio’s investments among countries or regions also will be a product of the stock selection process rather than a predetermined allocation.
The Portfolio may also invest in synthetic foreign equity securities, which are various types of warrants used internationally that entitle a holder to buy or sell underlying securities. The Adviser expects that normally the Portfolio’s portfolio will tend to emphasize investments in larger capitalization companies, although the Portfolio may invest in smaller or medium capitalization companies.
The Portfolio may, at times, invest in shares of exchange-traded funds (“ETFs”) in lieu of making direct investments in equity securities. ETFs may provide more efficient and economical exposure to the type of companies and geographic locations in which the Portfolio seeks to invest than direct investments.
Currencies can have a dramatic impact on equity returns, significantly adding to returns in some years and greatly diminishing them in others. Currency and equity positions are evaluated separately. The Adviser may seek to hedge the currency exposure resulting from securities positions when it finds the currency exposure unattractive. To hedge all or a portion of its currency risk, the Portfolio may, from time to time, invest in currency-related derivatives, including forward currency exchange contracts, futures contracts, options on futures contracts, swaps and options. The Adviser may also seek investment opportunities by taking long or short positions in currencies through the use of currency-related derivatives.
The Portfolio may enter into other derivatives transactions, such as options, futures contracts, forwards and swaps. The Portfolio may use options strategies involving the purchase and/or writing of various combinations of call and/or put options, including on individual securities and stock indices, futures contracts (including futures contracts on individual securities and stock indices) or shares of ETFs. These transactions may be used, for example, in an effort to earn extra income, to adjust exposure to individual securities or markets, or to protect all or a portion of the Portfolio’s portfolio from a decline in value, sometimes within certain ranges.
Effective on January 4, 2022
The Portfolio’s investment objective is long-term growth of capital. The Portfolio invests primarily in a focused international portfolio of equity securities of companies whose business activities the Adviser believes position the company to benefit from certain sustainable investment themes that align with one or more of the United Nations Sustainable Development Goals (“SDGs”) and thereby are expected to experience growth. These themes principally include the advancement of climate, health and empowerment. Under normal circumstances, the Portfolio invests at least 80% of its net assets in equity securities of issuers located outside of the United States that satisfy the Portfolio’s sustainability criteria and in derivative instruments related to such securities. An issuer that derives at least 25% of its total revenues from activities consistent with the achievement of the SDGs meets such criteria, although many of the issuers in which the Portfolio invests will derive a much greater portion of their revenues from such activities.
The Adviser employs a combination of “top-down” and “bottom-up” investment processes with the goal of identifying, based on its internal research and analysis, securities of companies worldwide that fit into sustainable investment themes. First, the Adviser identifies through its “top-down” process the sustainable investment themes. In
1
| | |
| |
| | | AB Variable Products Series Fund |
addition to this “top-down” thematic approach, the Adviser then uses a “bottom-up” analysis of individual companies that focuses on prospective earnings growth, valuation, and quality of company management and on evaluating a company’s risks, including those related to environmental, social and corporate governance (“ESG”) factors. ESG factors, which can vary across companies and industries, may include environmental impact, corporate governance, ethical business practices, diversity and employee practices, product safety, supply-chain management, and community impact. Eligible investments include securities of issuers that the Adviser believes will maximize total return while also contributing to positive societal impact aligned with one or more SDGs. While the Adviser emphasizes focusing on individual companies with favorable ESG attributes over the use of broad-based negative screens (e.g., disqualifying business activities) in assessing a company’s exposure to ESG factors, the Portfolio will not invest in companies that derive revenue from direct involvement in alcohol, coal, gambling, pornography, prisons, tobacco or weapons.
The Adviser normally considers a large universe of mid- to large-capitalization companies worldwide for investment, but may invest in companies of any size. The Portfolio invests, under normal circumstances, in the equity securities of companies located in at least three countries (and normally substantially more) other than the United States. The Portfolio invests in securities of companies in both developed- and emerging-market countries, with the stock selection process determining the geographic distribution of the Portfolio’s investments. The Portfolio also invests in the equity securities of companies located in the United States with exposure to international markets. The Portfolio may sell securities that no longer meet the investment criteria described above.
Currency exposures can have a dramatic impact on equity returns, significantly adding to returns in some years and greatly diminishing them in others. The Adviser may seek to hedge the currency exposure resulting from a securities position when it finds the currency exposure unattractive. To hedge all or a portion of its currency risk, the Portfolio may, from time to time, invest in currency-related derivatives, including forward currency exchange contracts, futures contracts, options on futures contracts, swaps and options. Equity positions and whether to hedge currency exposure are evaluated separately by the Adviser.
The Portfolio may enter into other derivatives transactions, such as options, futures contracts, forwards, and swaps. The Portfolio may use options strategies involving the purchase and/or writing of various combinations of call and/or put options, including on individual securities and stock indices or futures contracts (including futures contracts on individual securities and stock indices). These transactions may be used, for example, in an effort to earn extra income, to adjust exposure to individual securities or markets, or to protect all or a portion of the Portfolio’s portfolio from a decline in value, sometimes within certain ranges.
INVESTMENT RESULTS
The table on page 6 shows the Portfolio’s performance compared to its primary benchmark, the Morgan Stanley Capital International (“MSCI”) World Index ex USA (net), and the Morgan Stanley Capital International All Country World Index (“MSCI ACWI”) ex USA (net) for the one-, five- and 10-year periods ended December 31, 2021.
All share classes underperformed the primary benchmark and outperformed the MSCI ACWI ex USA (net) for the annual period. Security selection within the financials and energy sectors detracted from relative returns, while selection within health care and technology contributed. Regarding sector allocation, underweights to energy and materials detracted but were partially offset by gains from an underweight to communication services and an overweight to technology. Country selection (a result of bottom-up security analysis driven by fundamental research) contributed, mainly because of an underweight to China and an overweight to the Netherlands, while underweights to Canada and Taiwan detracted.
The Portfolio used derivatives in the form of currency forwards for hedging purposes, which had no material impact on absolute returns for the annual period.
MARKET REVIEW AND INVESTMENT STRATEGY
International equities recorded double-digit returns and emerging markets lost ground during the annual period ended December 31, 2021. Equity markets were supported by accommodative monetary policy and strong company earnings growth, while economic turbulence in China, geopolitical risks and inflation pressured emerging markets. Increased market volatility periodically sent risk assets lower, but investors continued to buy the dip. Toward the end of the period, global markets fell as the rapid spread of the coronavirus omicron variant triggered concern that new restrictions could derail the economic recovery. Encouraging developments in COVID-19 treatments and vaccines and a reluctance to reinstate shutdowns helped investors look past the potential impact of the omicron variant. Stock markets gave back gains, however, after the US Federal Reserve (the “Fed”) took a hawkish pivot and confirmed that it would accelerate the wind-down of its bond purchases and raise rates multiple times in 2022. After digesting the Fed’s comments, equity markets rose as investors appeared to adjust to the shift and
2
| | |
| |
| | | AB Variable Products Series Fund |
remained focused on still generally supportive monetary policy. Growth outperformed value, in terms of style, and large-cap stocks outperformed their small-cap peers.
The Portfolio’s exposures remain focused on secular growth themes, particularly those promoting social and environmental sustainability. This has helped the Portfolio’s Senior Investment Management Team (the “Team”) to identify financially strong companies that the Team believes are more likely to sustain higher-than-average growth over the long term. The Team believes organic sales and earnings growth will be key drivers of returns going forward. The Portfolio is positioned particularly well in this regard.
3
| | |
| | |
| INTERNATIONAL GROWTH PORTFOLIO |
| |
| DISCLOSURES AND RISKS | | AB Variable Products Series Fund |
Benchmark Disclosure
The MSCI World Index ex USA and the MSCI ACWI ex USA are unmanaged and do not reflect fees and expenses associated with the active management of a mutual fund portfolio. The MSCI World Index ex USA (net, free float-adjusted, market capitalization weighted) represents the equity market performance of developed markets, excluding the US. The MSCI ACWI ex USA (net, free float-adjusted, market capitalization weighted) represents the equity market performance of developed and emerging markets, excluding the US. MSCI makes no express or implied warranties or representations, and shall have no liability whatsoever with respect to any MSCI data contained herein. The MSCI data may not be further redistributed or used as a basis for other indices, any securities or financial products. This report is not approved, reviewed or produced by MSCI. Net returns include the reinvestment of dividends after deduction of non-US withholding tax. An investor cannot invest directly in an index, and its results are not indicative of the performance for any specific investment, including the Portfolio.
A Word About Risk
Market Risk: The value of the Portfolio’s assets will fluctuate as the stock or bond market fluctuates. The value of its investments may decline, sometimes rapidly and unpredictably, simply because of economic changes or other events, including public health crises (including the occurrence of a contagious disease or illness), that affect large portions of the market. It includes the risk that a particular style of investing, such as the Portfolio’s growth approach, may underperform the market generally.
Focused Portfolio Risk: Investments in a limited number of companies may have more risk because changes in the value of a single security may have a more significant effect, either negative or positive, on the Portfolio’s net asset value (“NAV”).
Sector Risk: The Portfolio may have more risk because it may invest to a significant extent in one or more particular market sectors, such as the information-technology or financial-services sector. To the extent it does so, market or economic factors affecting the relevant sector(s) could have a major effect on the value of the Portfolio’s investments.
ESG Risk: Applying ESG and sustainability criteria to the investment process may exclude securities of certain issuers for non-investment reasons and, therefore, the Portfolio may forgo some market opportunities available to funds that do not use ESG or sustainability criteria. Securities of companies with ESG practices may shift into and out of favor depending on market and economic conditions, and the Portfolio’s performance may at times be better or worse than the performance of funds that do not use ESG or sustainability criteria. Furthermore, “sustainability” is not a uniformly defined characteristic, and the Portfolio’s sustainability criteria may differ from those used by other funds. In addition, in evaluating an investment, the investment adviser is dependent upon information and data that may be incomplete, inaccurate or unavailable, which could adversely affect the analysis of the ESG and sustainability factors relevant to a particular investment.
Foreign (Non-US) Risk: Investments in securities of non-US issuers may involve more risk than those of US issuers. These securities may fluctuate more widely in price and may be more difficult to trade due to adverse market, economic, political, regulatory or other factors.
Emerging-Market Risk: Investments in emerging-market countries may have more risk because the markets are less developed and less liquid, and because these investments may be subject to increased economic, political, regulatory or other uncertainties.
Currency Risk: Fluctuations in currency exchange rates may negatively affect the value of the Portfolio’s investments or reduce its returns.
Capitalization Risk: Investments in small- and mid-capitalization companies may be more volatile than investments in large-capitalization companies. Investments in small- and mid-capitalization companies may have additional risks because these companies have limited product lines, markets or financial resources.
Derivatives Risk: Derivatives may be difficult to price or unwind and leveraged so that small changes may produce disproportionate losses for the Portfolio. Derivatives, especially over-the-counter derivatives, are also subject to counterparty risk, which is the risk that the counterparty (the party on the other side of the transaction) on a derivative transaction will be unable or unwilling to honor its contractual obligations to the Portfolio.
Management Risk: The Portfolio is subject to management risk because it is an actively managed investment fund. The Adviser will apply its investment techniques and risk analyses in making investment decisions for the Portfolio, but there is
4
| | |
| | |
| | |
| |
| | | AB Variable Products Series Fund |
no guarantee that its techniques will produce the intended results. Some of these techniques may incorporate, or rely upon, quantitative models, but there is no guarantee that these models will generate accurate forecasts, reduce risk or otherwise perform as expected.
These risks are fully discussed in the Variable Products prospectus. As with all investments, you may lose money by investing in the Portfolio.
An Important Note About Historical Performance
The investment return and principal value of an investment in the Portfolio will fluctuate, so that shares, when redeemed, may be worth more or less than their original cost. Performance shown in this report represents past performance and does not guarantee future results. Current performance may be lower or higher than the performance information shown. Please contact your financial advisor or insurance agent representative at your financial institution to obtain portfolio performance information current to the most recent month-end.
Investors should consider the investment objectives, risks, charges and expenses of the Portfolio carefully before investing. For additional copies of the Portfolio’s prospectus or summary prospectus, which contains this and other information, call your financial advisor or (800) 227 4618. Please read the prospectus and/or summary prospectus carefully before investing.
All fees and expenses related to the operation of the Portfolio have been deducted, but no adjustment has been made for insurance company separate account or annuity contract charges, which would reduce total return to a contract owner. Performance assumes reinvestment of distributions and does not account for taxes.
There are additional fees and expenses associated with all Variable Products. These fees can include mortality and expense risk charges, administrative charges, and other charges that can significantly reduce investment returns. Those fees and expenses are not reflected in this annual report. You should consult your Variable Products prospectus for a description of those fees and expenses and speak to your insurance agent or financial representative if you have any questions. You should read the prospectus before investing or sending money.
5
| | |
| | |
| INTERNATIONAL GROWTH PORTFOLIO |
| |
| HISTORICAL PERFORMANCE | | AB Variable Products Series Fund |
| | | | | | | | | | | | |
| | | | | | | | | | | | |
| THE PORTFOLIO VS. ITS BENCHMARKS | | Net Asset Value Returns | |
| PERIODS ENDED DECEMBER 31, 2021 (unaudited) | | 1 Year | | | 5 Years1 | | | 10 Years1 | |
| | | |
| International Growth Portfolio Class A | | | 8.25% | | | | 14.87% | | | | 9.02% | |
| | | |
| International Growth Portfolio Class B | | | 8.01% | | | | 14.59% | | | | 8.74% | |
| | | |
| Primary Benchmark: MSCI World Index ex USA (net) | | | 12.62% | | | | 9.63% | | | | 7.84% | |
| | | |
| MSCI ACWI ex USA (net) | | | 7.82% | | | | 9.61% | | | | 7.28% | |
1 Average annual returns. | | | | | | | | | | | | |
| Please keep in mind that high, double-digit returns are highly unusual and cannot be sustained. Investors should also be aware that these returns were primarily achieved during favorable market conditions. | |
| | | | | | | | | | | | |
The Portfolio’s current prospectus fee table shows the Portfolio’s total annual operating expense ratios as 1.37% and 1.62% for Class A and Class B shares, respectively, gross of any fee waivers or expense reimbursements. Contractual fee waivers and/or expense reimbursements limit the Portfolio’s annual operating expense ratios to 1.31% and 1.56% for Class A and Class B shares, respectively. These waivers/reimbursements may not be terminated before May 1, 2023, and may be extended by the Adviser for additional one-year terms. Absent reimbursements or waivers, performance would have been lower. The Financial Highlights section of this report sets forth expense ratio data for the current reporting period; the expense ratios shown above may differ from the expense ratios in the Financial Highlights section since they are based on different time periods.
GROWTH OF A $10,000 INVESTMENT
12/31/2011 to 12/31/2021 (unaudited)
This chart illustrates the total value of an assumed $10,000 investment in International Growth Portfolio Class A shares (from 12/31/2011 to 12/31/2021) as compared to the performance of the Portfolio’s benchmarks. The chart assumes the reinvestment of dividends and capital gains distributions.
See Disclosures, Risks and Note About Historical Performance on pages 4-5.
6
| | |
| | |
| INTERNATIONAL GROWTH PORTFOLIO |
| |
| EXPENSE EXAMPLE (unaudited) | | AB Variable Products Series Fund |
As a shareholder of the Portfolio, you incur two types of costs: (1) transaction costs, including sales charges (loads) on purchase payments, contingent deferred sales charges on redemptions and (2) ongoing costs, including management fees; distribution (12b-1) fees; and other Portfolio expenses. This example is intended to help you understand your ongoing costs (in dollars) of investing in the Portfolio and to compare these costs with the ongoing costs of investing in other mutual funds.
The Example is based on an investment of $1,000 invested at the beginning of the period and held for the entire period as indicated below.
Actual Expenses
The table below provides information about actual account values and actual expenses. You may use the information in this line, together with the amount you invested, to estimate the expenses that you paid over the period. Simply divide your account value by $1,000 (for example, an $8,600 account value divided by $1,000 = 8.6), then multiply the result by the number in the first line under the heading entitled “Expenses Paid During Period” to estimate the expenses you paid on your account during this period. The estimate of expenses does not include fees or other expenses of any variable insurance product. If such expenses were included, the estimate of expenses you paid during the period would be higher and your ending account value would be lower.
Hypothetical Example for Comparison Purposes
The table below provides information about hypothetical account values and hypothetical expenses based on the Portfolio’s actual expense ratio and an assumed annual rate of return of 5% before expenses, which is not the Portfolio’s actual return. The hypothetical account values and expenses may not be used to estimate the actual ending account balance or expenses you paid for the period. You may use this information to compare the ongoing costs of investing in the Portfolio and other funds by comparing this 5% hypothetical example with the 5% hypothetical examples that appear in the shareholder reports of other funds. The estimate of expenses does not include fees or other expenses of any variable insurance product. If such expenses were included, the estimate of expenses you paid during the period would be higher and your ending account value would be lower.
Please note that the expenses shown in the table are meant to highlight your ongoing costs only and do not reflect any transactional costs, such as sales charges (loads), or contingent deferred sales charges on redemptions. Therefore, the second line of each class’ table is useful in comparing ongoing costs only, and will not help you determine the relative total costs of owning different funds. In addition, if these transactional costs were included, your costs would have been higher.
| | | | | | | | | | | | | | | | |
| | | Beginning
Account Value
July 1, 2021 | | | Ending
Account Value
December 31, 2021 | | | Expenses Paid
During Period* | | | Annualized
Expense Ratio* | |
Class A | | | | | | | | | | | | |
Actual | | $ | 1,000 | | | $ | 1,034.40 | | | $ | 6.36 | | | | 1.24 | % |
Hypothetical (5% annual return before expenses) | | $ | 1,000 | | | $ | 1,018.95 | | | $ | 6.31 | | | | 1.24 | % |
| | | | | | | | | | | | | | | | |
Class B | | | | | | | | | | | | |
Actual | | $ | 1,000 | | | $ | 1,033.20 | | | $ | 7.64 | | | | 1.49 | % |
Hypothetical (5% annual return before expenses) | | $ | 1,000 | | | $ | 1,017.69 | | | $ | 7.58 | | | | 1.49 | % |
| * | | Expenses are equal to each classes’ annualized expense ratios, multiplied by the average account value over the period, multiplied by 184/365 (to reflect the one-half year period). |
7
| | |
| INTERNATIONAL GROWTH PORTFOLIO |
| TEN LARGEST HOLDINGS1 | | |
| |
| December 31, 2021 (unaudited) | | AB Variable Products Series Fund |
| | | | | | | | |
| COMPANY | | U.S. $ VALUE | | | PERCENT OF NET ASSETS | |
Erste Group Bank AG | | $ | 1,791,299 | | | | 3.1 | % |
Partners Group Holding AG | | | 1,774,620 | | | | 3.1 | |
Schneider Electric SE | | | 1,508,673 | | | | 2.6 | |
STMicroelectronics NV | | | 1,476,084 | | | | 2.6 | |
Alcon, Inc. | | | 1,454,506 | | | | 2.5 | |
NXP Semiconductors NV | | | 1,448,681 | | | | 2.5 | |
Dassault Systemes SE | | | 1,441,202 | | | | 2.5 | |
STERIS PLC | | | 1,409,344 | | | | 2.4 | |
Recruit Holdings Co., Ltd. | | | 1,387,510 | | | | 2.4 | |
TOMRA Systems ASA | | | 1,375,818 | | | | 2.4 | |
| | | | | | | | | |
| | | $ | 15,067,737 | | | | 26.1 | % |
SECTOR BREAKDOWN2
December 31, 2021 (unaudited)
| | | | | | | | |
| SECTOR | | U.S. $ VALUE | | | PERCENT OF TOTAL INVESTMENTS | |
Information Technology | | $ | 11,618,553 | | | | 20.2 | % |
Financials | | | 9,682,587 | | | | 16.8 | |
Industrials | | | 9,187,247 | | | | 16.0 | |
Health Care | | | 7,487,423 | | | | 13.0 | |
Consumer Discretionary | | | 5,403,674 | | | | 9.4 | |
Consumer Staples | | | 4,449,315 | | | | 7.7 | |
Materials | | | 4,082,350 | | | | 7.0 | |
Communication Services | | | 1,076,649 | | | | 1.9 | |
Energy | | | 1,007,299 | | | | 1.7 | |
Utilities | | | 969,468 | | | | 1.7 | |
Short-Term Investments | | | 2,634,479 | | | | 4.6 | |
| | | | | | | | | |
Total Investments | | $ | 57,599,044 | | | | 100.0 | % |
| 2 | | The Portfolio’s sector breakdown is expressed as a percentage of total investments (excluding security lending collateral) and may vary over time. The Portfolio 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). |
Please note: The sector classifications presented herein are based on the Global Industry Classification Standard (GICS) which was developed by Morgan Stanley Capital International and Standard & Poor’s. The components are divided into sector, industry group, and industry sub-indices as classified by the GICS for each of the market capitalization indices in the broad market. These sector classifications are broadly defined. The “Portfolio of Investments” section of the report reflects more specific industry information and is consistent with the investment restrictions discussed in the Portfolio’s prospectus.
8
| | |
| INTERNATIONAL GROWTH PORTFOLIO |
| COUNTRY BREAKDOWN1 | | |
| |
| December 31, 2021 (unaudited) | | AB Variable Products Series Fund |
| | | | | | | | |
| COUNTRY | | U.S. $ VALUE | | | PERCENT OF TOTAL INVESTMENTS | |
United States | | $ | 7,226,967 | | | | 12.5 | % |
Switzerland | | | 4,967,579 | | | | 8.6 | |
Netherlands | | | 4,680,265 | | | | 8.1 | |
United Kingdom | | | 4,119,469 | | | | 7.2 | |
France | | | 3,806,725 | | | | 6.6 | |
Sweden | | | 3,512,364 | | | | 6.1 | |
Japan | | | 3,300,168 | | | | 5.7 | |
Germany | | | 3,080,082 | | | | 5.3 | |
Denmark | | | 2,516,360 | | | | 4.4 | |
India | | | 2,458,716 | | | | 4.3 | |
Ireland | | | 2,114,879 | | | | 3.7 | |
Canada | | | 1,979,494 | | | | 3.4 | |
Finland | | | 1,902,535 | | | | 3.3 | |
Other | | | 9,298,962 | | | | 16.2 | |
Short-Term Investments | | | 2,634,479 | | | | 4.6 | |
| | | | | | | | | |
Total Investments | | $ | 57,599,044 | | | | 100.0 | % |
| 1 | | All data are as of December 31, 2021. The Portfolio’s country breakdown is expressed as a percentage of total investments (excluding security lending collateral) and may vary over time. “Other” country weightings represent 3.1% or less in the following: Argentina, Austria, China, Hong Kong, Indonesia, Norway, Spain, Taiwan and United Arab Emirates. |
9
| | |
| INTERNATIONAL GROWTH PORTFOLIO |
| PORTFOLIO OF INVESTMENTS | | |
| |
| December 31, 2021 | | AB Variable Products Series Fund |
| | | | | | | | |
| Company | |
Shares | | | U.S. $ Value | |
| | | | | | | | |
COMMON STOCKS–95.5% | | | | | | | | |
| | | | | | | | |
INFORMATION TECHNOLOGY–20.2% | | | | | | | | |
COMMUNICATIONS EQUIPMENT–1.3% | | | | | | | | |
Telefonaktiebolaget LM Ericsson–Class B | | | 66,454 | | | $ | 731,196 | |
| | | | | | | | |
ELECTRONIC EQUIPMENT, INSTRUMENTS & COMPONENTS–3.8% | | | | | | | | |
Flex Ltd.(a) | | | 45,210 | | | | 828,699 | |
Halma PLC | | | 31,040 | | | | 1,345,859 | |
| | | | | | | | |
| | | | | | | 2,174,558 | |
| | | | | | | | |
IT SERVICES–3.4% | | | | | | | | |
Adyen NV(a)(b) | | | 377 | | | | 989,625 | |
Network International Holdings PLC(a)(c) | | | 75,230 | | | | 297,540 | |
Shopify, Inc.–Class A(a) | | | 477 | | | | 657,015 | |
| | | | | | | | |
| | | | | | | 1,944,180 | |
| | | | | | | | |
SEMICONDUCTORS & SEMICONDUCTOR EQUIPMENT–9.2% | | | | | | | | |
Infineon Technologies AG | | | 27,955 | | | | 1,287,005 | |
MediaTek, Inc. | | | 26,000 | | | | 1,115,647 | |
NXP Semiconductors NV | | | 6,360 | | | | 1,448,681 | |
STMicroelectronics NV | | | 30,017 | | | | 1,476,084 | |
| | | | | | | | |
| | | | | | | 5,327,417 | |
| | | | | | | | |
SOFTWARE–2.5% | | | | | | | | |
Dassault Systemes SE | | | 24,285 | | | | 1,441,202 | |
| | | | | | | | |
| | | | | | | 11,618,553 | |
| | | | | | | | |
FINANCIALS–16.8% | | | | | | | | |
BANKS–8.4% | | | | | | | | |
Bank Mandiri Persero Tbk PT | | | 1,106,000 | | | | 546,120 | |
Erste Group Bank AG | | | 38,210 | | | | 1,791,299 | |
HDFC Bank Ltd. | | | 65,572 | | | | 1,299,547 | |
Svenska Handelsbanken AB–Class A | | | 113,434 | | | | 1,225,988 | |
| | | | | | | | |
| | | | | | | 4,862,954 | |
| | | | | | | | |
CAPITAL MARKETS–4.8% | | | | | | | | |
London Stock Exchange Group PLC | | | 10,643 | | | | 1,001,189 | |
Partners Group Holding AG | | | 1,075 | | | | 1,774,620 | |
| | | | | | | | |
| | | | | | | 2,775,809 | |
| | | | | | | | |
INSURANCE–3.6% | | | | | | | | |
Aflac, Inc. | | | 14,500 | | | | 846,655 | |
AIA Group Ltd. | | | 72,800 | | | | 734,759 | |
Prudential PLC | | | 26,740 | | | | 462,410 | |
| | | | | | | | |
| | | | | | | 2,043,824 | |
| | | | | | | | |
| | | | | | | 9,682,587 | |
| | | | | | | | |
INDUSTRIALS–16.0% | | | | | | | | |
AEROSPACE & DEFENSE–1.8% | | | | | | | | |
Hexcel Corp.(a) | | | 19,690 | | | | 1,019,942 | |
| | | | | | | | |
| | | | | | | | |
COMMERCIAL SERVICES & SUPPLIES–2.4% | | | | | | | | |
TOMRA Systems ASA | | | 19,240 | | | | 1,375,818 | |
| | | | | | | | |
CONSTRUCTION & ENGINEERING–2.3% | | | | | | | | |
WSP Global, Inc. | | | 9,110 | | | | 1,322,478 | |
| | | | | | | | |
ELECTRICAL EQUIPMENT–4.1% | | | | | | | | |
Schneider Electric SE | | | 7,674 | | | | 1,508,673 | |
Vestas Wind Systems A/S | | | 27,610 | | | | 840,866 | |
| | | | | | | | |
| | | | | | | 2,349,539 | |
| | | | | | | | |
MACHINERY–3.0% | | | | | | | | |
SMC Corp. | | | 1,800 | | | | 1,216,544 | |
Xylem, Inc./NY | | | 4,298 | | | | 515,416 | |
| | | | | | | | |
| | | | | | | 1,731,960 | |
| | | | | | | | |
PROFESSIONAL SERVICES–2.4% | | | | | | | | |
Recruit Holdings Co., Ltd. | | | 22,800 | | | | 1,387,510 | |
| | | | | | | | |
| | | | | | | 9,187,247 | |
| | | | | | | | |
HEALTH CARE–13.0% | | | | | | | | |
BIOTECHNOLOGY–1.4% | | | | | | | | |
Abcam PLC(a) | | | 34,541 | | | | 810,229 | |
| | | | | | | | |
HEALTH CARE EQUIPMENT & SUPPLIES–7.6% | | | | | | | | |
Alcon, Inc. | | | 16,490 | | | | 1,454,506 | |
ConvaTec Group PLC(c) | | | 191,320 | | | | 499,782 | |
Koninklijke Philips NV | | | 27,224 | | | | 1,007,604 | |
STERIS PLC | | | 5,790 | | | | 1,409,344 | |
| | | | | | | | |
| | | | | | | 4,371,236 | |
| | | | | | | | |
HEALTH CARE PROVIDERS & SERVICES–2.0% | | | | | | | | |
Apollo Hospitals Enterprise Ltd. | | | 17,181 | | | | 1,159,169 | |
| | | | | | | | |
LIFE SCIENCES TOOLS & SERVICES–1.3% | | | | | | | | |
Gerresheimer AG | | | 7,483 | | | | 719,482 | |
| | | | | | | | |
PHARMACEUTICALS–0.7% | | | | | | | | |
Roche Holding AG | | | 1,030 | | | | 427,307 | |
| | | | | | | | |
| | | | | | | 7,487,423 | |
| | | | | | | | |
CONSUMER DISCRETIONARY–9.4% | | | | | | | | |
AUTO COMPONENTS–3.4% | | | | | | | | |
Aptiv PLC(a) | | | 6,658 | | | | 1,098,237 | |
Autoliv, Inc. | | | 8,420 | | | | 870,712 | |
| | | | | | | | |
| | | | | | | 1,968,949 | |
| | | | | | | | |
AUTOMOBILES–1.2% | | | | | | | | |
BYD Co., Ltd.–Class H | | | 21,000 | | | | 710,312 | |
| | | | | | | | |
INTERNET & DIRECT MARKETING RETAIL–1.2% | | | | | | | | |
MercadoLibre, Inc.(a) | | | 512 | | | | 690,381 | |
| | | | | | | | |
10
| | |
| | |
| | |
| |
| | | AB Variable Products Series Fund |
| | | | | | | | |
| Company | |
Shares | | | U.S. $ Value | |
| | | | | | | | |
TEXTILES, APPAREL & LUXURY GOODS–3.6% | | | | | | | | |
Puma SE | | | 8,791 | | | $ | 1,073,594 | |
Shenzhou International Group Holdings Ltd. | | | 49,600 | | | | 960,438 | |
| | | | | | | | |
| | | | | | | 2,034,032 | |
| | | | | | | | |
| | | | | | | 5,403,674 | |
| | | | | | | | |
CONSUMER STAPLES–7.7% | | | | | | | | |
FOOD PRODUCTS–5.3% | | | | | | | | |
Danone SA | | | 14,309 | | | | 889,440 | |
Kerry Group PLC–Class A | | | 6,729 | | | | 868,146 | |
Nestle SA | | | 9,391 | | | | 1,311,146 | |
| | | | | | | | |
| | | | | | | 3,068,732 | |
| | | | | | | | |
HOUSEHOLD PRODUCTS–2.4% | | | | | | | | |
Essity AB–Class B | | | 20,980 | | | | 684,468 | |
Unicharm Corp. | | | 16,000 | | | | 696,115 | |
| | | | | | | | |
| | | | | | | 1,380,583 | |
| | | | | | | | |
| | | | | | | 4,449,315 | |
| | | | | | | | |
MATERIALS–7.1% | | | | | | | | |
CHEMICALS–3.4% | | | | | | | | |
Chr Hansen Holding A/S | | | 8,954 | | | | 706,026 | |
Koninklijke DSM NV | | | 5,481 | | | | 1,234,356 | |
| | | | | | | | |
| | | | | | | 1,940,382 | |
| | | | | | | | |
CONTAINERS & PACKAGING–3.7% | | | | | | | | |
Huhtamaki Oyj | | | 20,240 | | | | 895,235 | |
Smurfit Kappa Group PLC | | | 22,620 | | | | 1,246,733 | |
| | | | | | | | |
| | | | | | | 2,141,968 | |
| | | | | | | | |
| | | | | | | 4,082,350 | |
| | | | | | | | |
COMMUNICATION SERVICES–1.9% | | | | | | | | |
DIVERSIFIED TELECOMMUNICATION SERVICES–1.3% | | | | | | | | |
Cellnex Telecom SA | | | 13,025 | | | | 754,507 | |
| | | | | | | | |
ENTERTAINMENT–0.6% | | | | | | | | |
Sea Ltd. (ADR)(a) | | | 1,440 | | | | 322,142 | |
| | | | | | | | |
| | | | | | | 1,076,649 | |
| | | | | | | | |
| | | | | | | | |
ENERGY–1.7% | | | | | | | | |
OIL, GAS & CONSUMABLE FUELS–1.7% | | | | | | | | |
Neste Oyj | | | 20,467 | | | | 1,007,299 | |
| | | | | | | | |
UTILITIES–1.7% | | | | | | | | |
ELECTRIC UTILITIES–1.7% | | | | | | | | |
Orsted AS | | | 7,570 | | | | 969,468 | |
| | | | | | | | |
Total Common Stocks
(cost $35,738,393) | | | | | | | 54,964,565 | |
| | | | | | | | |
SHORT-TERM INVESTMENTS–4.6% | | | | | | | | |
INVESTMENT COMPANIES–4.6% | | | | | | | | |
AB Fixed Income Shares, Inc.–Government Money Market Portfolio–Class AB,
0.01%(d)(e)(f)
(cost $2,634,479) | | | 2,634,479 | | | | 2,634,479 | |
| | | | | | | | |
TOTAL INVESTMENTS BEFORE SECURITY LENDING COLLATERAL FOR SECURITIES LOANED–100.1%
(cost $38,372,872) | | | | | | | 57,599,044 | |
| | | | | | | | |
INVESTMENTS OF CASH COLLATERAL FOR SECURITIES
LOANED–1.8% | | | | | | | | |
INVESTMENT
COMPANIES–1.8% | | | | | | | | |
AB Fixed Income Shares, Inc.–Government Money Market Portfolio–Class AB,
0.01%(d)(e)(f)
(cost $1,024,492) | | | 1,024,492 | | | | 1,024,492 | |
| | | | | | | | |
TOTAL
INVESTMENTS–101.9%
(cost $39,397,364) | | | | | | | 58,623,536 | |
Other assets less
liabilities–(1.9)% | | | | | | | (1,078,796 | ) |
| | | | | | | | |
NET ASSETS–100.0% | | | | | | $ | 57,544,740 | |
| | | | | | | | |
FORWARD CURRENCY EXCHANGE CONTRACTS (see Note D)
| | | | | | | | | | | | | | | | | | | | | | | | |
| Counterparty | | Contracts to
Deliver
(000) | | | In Exchange
For
(000) | | | Settlement
Date | | | Unrealized
Appreciation/
(Depreciation) | |
Barclays Bank PLC | | | INR | | | | 50,217 | | | | USD | | | | 670 | | | | 01/07/2022 | | | $ | (4,642 | ) |
Barclays Bank PLC | | | USD | | | | 589 | | | | RUB | | | | 43,982 | | | | 03/02/2022 | | | | (6,741 | ) |
Citibank, NA | | | USD | | | | 2,032 | | | | KRW | | | | 2,397,232 | | | | 01/20/2022 | | | | (16,582 | ) |
Citibank, NA | | | USD | | | | 5,202 | | | | JPY | | | | 592,206 | | | | 02/09/2022 | | | | (52,834 | ) |
Deutsche Bank AG | | | BRL | | | | 3,588 | | | | USD | | | | 636 | | | | 01/04/2022 | | | | (8,446 | ) |
Deutsche Bank AG | | | USD | | | | 643 | | | | BRL | | | | 3,588 | | | | 01/04/2022 | | | | 1,212 | |
11
| | |
| INTERNATIONAL GROWTH PORTFOLIO |
| PORTFOLIO OF INVESTMENTS | | |
| |
| (continued) | | AB Variable Products Series Fund |
| | | | | | | | | | | | | | | | | | | | | | | | |
| Counterparty | | Contracts to
Deliver
(000) | | | In Exchange
For
(000) | | | Settlement
Date | | | Unrealized
Appreciation/
(Depreciation) | |
Deutsche Bank AG | | | USD | | | | 631 | | | | BRL | | | | 3,588 | | | | 02/02/2022 | | | $ | 8,505 | |
Deutsche Bank AG | | | EUR | | | | 6,385 | | | | USD | | | | 7,382 | | | | 02/10/2022 | | | | 107,161 | |
Goldman Sachs Bank USA | | | CNH | | | | 1,602 | | | | USD | | | | 250 | | | | 02/17/2022 | | | | (1,277 | ) |
Goldman Sachs Bank USA | | | USD | | | | 3,990 | | | | CNH | | | | 25,582 | | | | 02/17/2022 | | | | 19,543 | |
JPMorgan Chase Bank, NA | | | SEK | | | | 9,349 | | | | USD | | | | 1,072 | | | | 01/20/2022 | | | | 36,798 | |
Morgan Stanley Capital Services, Inc. | | | USD | | | | 116 | | | | INR | | | | 8,763 | | | | 01/07/2022 | | | | 1,963 | |
Morgan Stanley Capital Services, Inc. | | | USD | | | | 1,090 | | | | TWD | | | | 30,497 | | | | 01/20/2022 | | | | 11,732 | |
Morgan Stanley Capital Services, Inc. | | | USD | | | | 2,518 | | | | AUD | | | | 3,406 | | | | 02/08/2022 | | | | (39,850 | ) |
Morgan Stanley Capital Services, Inc. | | | USD | | | | 2,241 | | | | CAD | | | | 2,821 | | | | 02/10/2022 | | | | (11,189 | ) |
Natwest Markets PLC | | | USD | | | | 130 | | | | INR | | | | 9,801 | | | | 01/07/2022 | | | | 1,921 | |
Standard Chartered Bank | | | USD | | | | 292 | | | | INR | | | | 21,925 | | | | 01/07/2022 | | | | 2,432 | |
Standard Chartered Bank | | | USD | | | | 96 | | | | TWD | | | | 2,667 | | | | 01/20/2022 | | | | 379 | |
State Street Bank & Trust Co. | | | CHF | | | | 1,102 | | | | USD | | | | 1,201 | | | | 01/13/2022 | | | | (8,431 | ) |
State Street Bank & Trust Co. | | | USD | | | | 214 | | | | CHF | | | | 197 | | | | 01/13/2022 | | | | 2,278 | |
State Street Bank & Trust Co. | | | USD | | | | 262 | | | | MXN | | | | 5,349 | | | | 01/13/2022 | | | | (1,151 | ) |
State Street Bank & Trust Co. | | | USD | | | | 119 | | | | GBP | | | | 89 | | | | 01/14/2022 | | | | 1,236 | |
State Street Bank & Trust Co. | | | USD | | | | 398 | | | | GBP | | | | 293 | | | | 01/14/2022 | | | | (1,086 | ) |
State Street Bank & Trust Co. | | | USD | | | | 348 | | | | SGD | | | | 475 | | | | 01/14/2022 | | | | 4,727 | |
State Street Bank & Trust Co. | | | NOK | | | | 6,838 | | | | USD | | | | 803 | | | | 01/20/2022 | | | | 26,904 | |
State Street Bank & Trust Co. | | | NOK | | | | 2,397 | | | | USD | | | | 269 | | | | 01/20/2022 | | | | (2,628 | ) |
State Street Bank & Trust Co. | | | SEK | | | | 1,560 | | | | USD | | | | 179 | | | | 01/20/2022 | | | | 6,711 | |
State Street Bank & Trust Co. | | | SEK | | | | 2,858 | | | | USD | | | | 314 | | | | 01/20/2022 | | | | (2,084 | ) |
State Street Bank & Trust Co. | | | USD | | | | 182 | | | | SEK | | | | 1,652 | | | | 01/20/2022 | | | | 962 | |
State Street Bank & Trust Co. | | | USD | | | | 233 | | | | SEK | | | | 1,988 | | | | 01/20/2022 | | | | (12,519 | ) |
State Street Bank & Trust Co. | | | USD | | | | 442 | | | | ZAR | | | | 7,023 | | | | 01/25/2022 | | | | (2,401 | ) |
State Street Bank & Trust Co. | | | AUD | | | | 120 | | | | USD | | | | 85 | | | | 02/08/2022 | | | | (1,926 | ) |
State Street Bank & Trust Co. | | | USD | | | | 98 | | | | AUD | | | | 135 | | | | 02/08/2022 | | | | 279 | |
State Street Bank & Trust Co. | | | JPY | | | | 82,222 | | | | USD | | | | 727 | | | | 02/09/2022 | | | | 11,948 | |
State Street Bank & Trust Co. | | | USD | | | | 127 | | | | JPY | | | | 14,575 | | | | 02/09/2022 | | | | 123 | |
State Street Bank & Trust Co. | | | USD | | | | 451 | | | | JPY | | | | 51,416 | | | | 02/09/2022 | | | | (4,257 | ) |
State Street Bank & Trust Co. | | | CAD | | | | 175 | | | | USD | | | | 136 | | | | 02/10/2022 | | | | (1,915 | ) |
State Street Bank & Trust Co. | | | EUR | | | | 755 | | | | USD | | | | 878 | | | | 02/10/2022 | | | | 17,686 | |
State Street Bank & Trust Co. | | | USD | | | | 132 | | | | CAD | | | | 169 | | | | 02/10/2022 | | | | 1,681 | |
State Street Bank & Trust Co. | | | USD | | | | 917 | | | | EUR | | | | 809 | | | | 02/10/2022 | | | | 4,937 | |
State Street Bank & Trust Co. | | | CNH | | | | 812 | | | | USD | | | | 127 | | | | 02/17/2022 | | | | 181 | |
State Street Bank & Trust Co. | | | USD | | | | 192 | | | | ILS | | | | 602 | | | | 03/03/2022 | | | | 1,396 | |
UBS AG | | | BRL | | | | 4,544 | | | | USD | | | | 812 | | | | 01/04/2022 | | | | (3,511 | ) |
UBS AG | | | USD | | | | 806 | | | | BRL | | | | 4,544 | | | | 01/04/2022 | | | | 9,524 | |
| | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | $ | 98,749 | |
| | | | | | | | | | | | | | | | | | | | | | | | |
| (a) | | Non-income producing security. |
| (b) | | Represents entire or partial securities out on loan. See Note E for securities lending information. |
| (c) | | 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 December 31, 2021, the aggregate market value of these securities amounted to $797,322 or 1.4% of net assets. |
| (d) | | Affiliated investments. |
| (e) | | The rate shown represents the 7-day yield as of period end. |
| (f) | | To obtain a copy of the fund’s shareholder report, please go to the Securities and Exchange Commission’s website at www.sec.gov, or call AB at (800) 227-4618. |
12
| | |
| |
| | | AB Variable Products Series Fund |
Currency Abbreviations:
AUD—Australian Dollar
BRL—Brazilian Real
CAD—Canadian Dollar
CHF—Swiss Franc
CNH—Chinese Yuan Renminbi (Offshore)
EUR—Euro
GBP—Great British Pound
ILS—Israeli Shekel
INR—Indian Rupee
JPY—Japanese Yen
KRW—South Korean Won
MXN—Mexican Peso
NOK—Norwegian Krone
RUB—Russian Ruble
SEK—Swedish Krona
SGD—Singapore Dollar
TWD—New Taiwan Dollar
USD—United States Dollar
ZAR—South African Rand
Glossary:
ADR—American Depositary Receipt
See notes to financial statements.
13
| | |
| INTERNATIONAL GROWTH PORTFOLIO |
| STATEMENT OF ASSETS & LIABILITIES | | |
| |
| December 31, 2021 | | AB Variable Products Series Fund |
| | | | |
ASSETS | | | | |
Investments in securities, at value | | | | |
Unaffiliated issuers (cost $35,738,393) | | $ | 54,964,565 | (a) |
Affiliated issuers (cost $3,658,971—including investment of cash collateral for securities loaned of $1,024,492) | | | 3,658,971 | |
Foreign currencies, at value (cost $64,824) | | | 65,577 | |
Unrealized appreciation on forward currency exchange contracts | | | 282,219 | |
Unaffiliated dividends receivable | | | 94,783 | |
Receivable for capital stock sold | | | 1,207 | |
Affiliated dividends receivable | | | 20 | |
| | | | |
Total assets | | | 59,067,342 | |
| | | | |
LIABILITIES | | | | |
Payable for collateral received on securities loaned | | | 1,024,492 | |
Unrealized depreciation on forward currency exchange contracts | | | 183,470 | |
Foreign capital gains tax payable | | | 106,053 | |
Advisory fee payable | | | 33,402 | |
Administrative fee payable | | | 22,472 | |
Payable for capital stock redeemed | | | 19,699 | |
Distribution fee payable | | | 6,428 | |
Transfer Agent fee payable | | | 146 | |
Accrued expenses | | | 126,440 | |
| | | | |
Total liabilities | | | 1,522,602 | |
| | | | |
NET ASSETS | | $ | 57,544,740 | |
| | | | |
COMPOSITION OF NET ASSETS | | | | |
Capital stock, at par | | $ | 2,146 | |
Additional paid-in capital | | | 31,426,375 | |
Distributable earnings | | | 26,116,219 | |
| | | | |
NET ASSETS | | $ | 57,544,740 | |
| | | | |
Net Asset Value Per Share—1 billion shares of capital stock authorized, $.001 par value
| | | | | | | | | | | | |
| Class | | Net Assets | | | Shares
Outstanding | | | Net Asset
Value | |
| | | |
| A | | $ | 26,640,719 | | | | 982,619 | | | $ | 27.11 | |
| | | |
| B | | $ | 30,904,021 | | | | 1,163,229 | | | $ | 26.57 | |
| (a) | | Includes securities on loan with a value of $968,625 (see Note E). |
See notes to financial statements.
14
| | |
| INTERNATIONAL GROWTH PORTFOLIO |
| STATEMENT OF OPERATIONS | | |
| |
| Year Ended December 31, 2021 | | AB Variable Products Series Fund |
| | | | |
INVESTMENT INCOME | | | | |
Dividends | | | | |
Unaffiliated issuers (net of foreign taxes withheld of $103,309) | | $ | 590,121 | |
Affiliated issuers | | | 297 | |
Interest (net of foreign taxes withheld of $211) | | | 828 | |
Non-cash dividend income | | | 76,448 | |
Securities lending income | | | 9,044 | |
| | | | |
| | | 676,738 | |
| | | | |
EXPENSES | | | | |
Advisory fee (see Note B) | | | 443,642 | |
Distribution fee—Class B | | | 79,676 | |
Transfer agency—Class A | | | 2,323 | |
Transfer agency—Class B | | | 2,713 | |
Administrative | | | 87,443 | |
Custody and accounting | | | 74,148 | |
Audit and tax | | | 60,088 | |
Printing | | | 29,893 | |
Legal | | | 24,183 | |
Directors’ fees | | | 19,227 | |
Miscellaneous | | | 15,676 | |
| | | | |
Total expenses | | | 839,012 | |
Less: expenses waived and reimbursed by the Adviser (see Notes B & E) | | | (31,096 | ) |
| | | | |
Net expenses | | | 807,916 | |
| | | | |
Net investment loss | | | (131,178 | ) |
| | | | |
REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENT AND FOREIGN CURRENCY TRANSACTIONS | | | | |
Net realized gain (loss) on: | | | | |
Investment transactions(a) | | | 7,008,323 | |
Forward currency exchange contracts | | | (46,124 | ) |
Foreign currency transactions | | | 268,315 | |
Net change in unrealized appreciation/depreciation of: | | | | |
Investments(b) | | | (2,291,114 | ) |
Forward currency exchange contracts | | | (141,891 | ) |
Foreign currency denominated assets and liabilities | | | 5,049 | |
| | | | |
Net gain on investment and foreign currency transactions | | | 4,802,558 | |
| | | | |
NET INCREASE IN NET ASSETS FROM OPERATIONS | | $ | 4,671,380 | |
| | | | |
| (a) | | Net of foreign realized capital gains taxes of $65,098. |
| (b) | | Net of increase in accrued foreign capital gains taxes on unrealized gains of $54,187. |
See notes to financial statements.
15
| | |
| | |
| INTERNATIONAL GROWTH PORTFOLIO |
| |
| STATEMENT OF CHANGES IN NET ASSETS | | AB Variable Products Series Fund |
| | | | | | | | |
| | | Year Ended
December 31,
2021 | | | Year Ended
December 31,
2020 | |
INCREASE (DECREASE) IN NET ASSETS FROM OPERATIONS | |
Net investment loss | | $ | (131,178 | ) | | $ | (287,752 | ) |
Net realized gain on investment and foreign currency transactions | | | 7,230,514 | | | | 5,175,567 | |
Net change in unrealized appreciation/depreciation of investments and foreign currency denominated assets and liabilities | | | (2,427,956 | ) | | | 9,124,962 | |
| | | | | | | | |
Net increase in net assets from operations | | | 4,671,380 | | | | 14,012,777 | |
Distributions to Shareholders | |
Class A | | | (2,543,196 | ) | | | (2,359,331 | ) |
Class B | | | (3,008,549 | ) | | | (2,741,392 | ) |
CAPITAL STOCK TRANSACTIONS | |
Net decrease | | | (1,053,333 | ) | | | (3,312,483 | ) |
| | | | | | | | |
Total increase (decrease) | | | (1,933,698 | ) | | | 5,599,571 | |
NET ASSETS | |
Beginning of period | | | 59,478,438 | | | | 53,878,867 | |
| | | | | | | | |
End of period | | $ | 57,544,740 | | | $ | 59,478,438 | |
| | | | | | | | |
See notes to financial statements.
16
| | |
| INTERNATIONAL GROWTH PORTFOLIO |
| NOTES TO FINANCIAL STATEMENTS | | |
| |
| December 31, 2021 | | AB Variable Products Series Fund |
NOTE A: Significant Accounting Policies
The AB International Growth Portfolio (the “Portfolio”) is a series of AB Variable Products Series Fund, Inc. (the “Fund”). The Portfolio’s investment objective is long-term growth of capital. The Portfolio is diversified as defined under the Investment Company Act of 1940. The Fund was incorporated in the State of Maryland as an open-end series investment company. The Fund offers 11 separately managed pools of assets which have differing investment objectives and policies. The Portfolio offers Class A and Class B shares. Both classes of shares have identical voting, dividend, liquidating and other rights, except that Class B shares bear a distribution expense and have exclusive voting rights with respect to the Class B distribution plan.
The Portfolio offers and sells its shares only to separate accounts of certain life insurance companies for the purpose of funding variable annuity contracts and variable life insurance policies. Sales are made without a sales charge at the Portfolio’s net asset value per share.
The financial statements have been prepared in conformity with U.S. generally accepted accounting principles (“U.S. GAAP”), which require management to make certain estimates and assumptions that affect the reported amounts of assets and liabilities in the financial statements and amounts of income and expenses during the reporting period. Actual results could differ from those estimates. The Portfolio is an investment company under U.S. GAAP and follows the accounting and reporting guidance applicable to investment companies. The following is a summary of significant accounting policies followed by the Portfolio.
1. Security Valuation
Portfolio securities are valued at their current market value determined on the basis of market quotations or, if market quotations are not readily available or are deemed unreliable, at “fair value” as determined in accordance with procedures established by and under the general supervision of the Fund’s Board of Directors (the “Board”).
In general, the market values of securities which are readily available and deemed reliable are determined as follows: securities listed on a national securities exchange (other than securities listed on the NASDAQ Stock Market, Inc. (“NASDAQ”)) or on a foreign securities exchange are valued at the last sale price at the close of the exchange or foreign securities exchange. If there has been no sale on such day, the securities are valued at the last traded price from the previous day. Securities listed on more than one exchange are valued by reference to the principal exchange on which the securities are traded; securities listed only on NASDAQ are valued in accordance with the NASDAQ Official Closing Price; listed or over the counter (“OTC”) market put or call options are valued at the mid level between the current bid and ask prices. If either a current bid or current ask price is unavailable, AllianceBernstein L.P. (the “Adviser”) will have discretion to determine the best valuation (e.g., last trade price in the case of listed options); open futures are valued using the closing settlement price or, in the absence of such a price, the most recent quoted bid price. If there are no quotations available for the day of valuation, the last available closing settlement price is used; U.S. Government securities and any other debt instruments having 60 days or less remaining until maturity are generally valued at market by an independent pricing vendor, if a market price is available. If a market price is not available, the securities are valued at amortized cost. This methodology is commonly used for short term securities that have an original maturity of 60 days or less, as well as short term securities that had an original term to maturity that exceeded 60 days. In instances when amortized cost is utilized, the Valuation Committee (the “Committee”) must reasonably conclude that the utilization of amortized cost is approximately the same as the fair value of the security. Factors the Committee will consider include, but are not limited to, an impairment of the creditworthiness of the issuer or material changes in interest rates. Fixed-income securities, including mortgage-backed and asset-backed securities, may be valued on the basis of prices provided by a pricing service or at a price obtained from one or more of the major broker-dealers. In cases where broker-dealer quotes are obtained, the Adviser may establish procedures whereby changes in market yields or spreads are used to adjust, on a daily basis, a recently obtained quoted price on a security. Swaps and other derivatives are valued daily, primarily using independent pricing services, independent pricing models using market inputs, as well as third party broker-dealers or counterparties. Open-end mutual funds are valued at the closing net asset value per share, while exchange traded funds are valued at the closing market price per share.
Securities for which market quotations are not readily available (including restricted securities) or are deemed unreliable are valued at fair value as deemed appropriate by the Adviser. Factors considered in making this determination may include, but are not limited to, information obtained by contacting the issuer, analysts, analysis of the issuer’s financial statements or other available documents. In addition, the Portfolio may use fair value pricing for securities primarily traded in non-U.S. markets because most foreign markets close well before the Portfolio values its securities at 4:00 p.m., Eastern Time. The
17
| | |
| INTERNATIONAL GROWTH PORTFOLIO |
| NOTES TO FINANCIAL STATEMENTS | | |
| |
| (continued) | | AB Variable Products Series Fund |
earlier close of these foreign markets gives rise to the possibility that significant events, including broad market moves, may have occurred in the interim and may materially affect the value of those securities. To account for this, the Portfolio generally values many of its foreign equity securities using fair value prices based on third party vendor modeling tools to the extent available.
2. Fair Value Measurements
In accordance with U.S. GAAP regarding fair value measurements, fair value is defined as the price that the Portfolio 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 as described in Note A.1 above). 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 Portfolio. Unobservable inputs reflect the Portfolio’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 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.
The following table summarizes the valuation of the Portfolio’s investments by the above fair value hierarchy levels as of December 31, 2021:
| | | | | | | | | | | | | | | | |
| | | Level 1 | | | Level 2 | | | Level 3 | | | Total | |
Investments in Securities: | | | | | | | | | | | | | | | | |
Assets: | | | | | | | | | | | | | | | | |
Common Stocks: | | | | | | | | | | | | | | | | |
Information Technology | | $ | 3,231,935 | | | $ | 8,386,618 | | | $ | –0 | – | | $ | 11,618,553 | |
Financials | | | 846,655 | | | | 8,835,932 | | | | –0 | – | | | 9,682,587 | |
Industrials | | | 2,857,836 | | | | 6,329,411 | | | | –0 | – | | | 9,187,247 | |
Health Care | | | 2,219,573 | | | | 5,267,850 | | | | –0 | – | | | 7,487,423 | |
Consumer Discretionary | | | 2,659,330 | | | | 2,744,344 | | | | –0 | – | | | 5,403,674 | |
Consumer Staples | | | –0 | – | | | 4,449,315 | | | | –0 | – | | | 4,449,315 | |
Materials | | | –0 | – | | | 4,082,350 | | | | –0 | – | | | 4,082,350 | |
Communication Services | | | 322,142 | | | | 754,507 | | | | –0 | – | | | 1,076,649 | |
18
| | |
| |
| | | AB Variable Products Series Fund |
| | | | | | | | | | | | | | | | |
| | | Level 1 | | | Level 2 | | | Level 3 | | | Total | |
Energy | | $ | –0 | – | | $ | 1,007,299 | | | $ | –0 | – | | $ | 1,007,299 | |
Utilities | | | –0 | – | | | 969,468 | | | | –0 | – | | | 969,468 | |
Short-Term Investments | | | 2,634,479 | | | | –0 | – | | | –0 | – | | | 2,634,479 | |
Investments of Cash Collateral for Securities Loaned in Affiliated Money Market Fund | | | 1,024,492 | | | | –0 | – | | | –0 | – | | | 1,024,492 | |
| | | | | | | | | | | | | | | | |
Total Investments in Securities | | | 15,796,442 | | | | 42,827,094 | (a) | | | –0 | – | | | 58,623,536 | |
Other Financial Instruments(b): | | | | | | | | | | | | | | | | |
Assets: | | | | | | | | | | | | | | | | |
Forward Currency Exchange Contracts | | | –0 | – | | | 282,219 | | | | –0 | – | | | 282,219 | |
Liabilities: | | | | | | | | | | | | | | | | |
Forward Currency Exchange Contracts | | | –0 | – | | | (183,470 | ) | | | –0 | – | | | (183,470 | ) |
| | | | | | | | | | | | | | | | |
Total | | $ | 15,796,442 | | | $ | 42,925,843 | | | $ | –0 | – | | $ | 58,722,285 | |
| | | | | | | | | | | | | | | | |
| (a) | | A significant portion of the Portfolio’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. |
| (b) | | 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. |
3. Currency Translation
Assets and liabilities denominated in foreign currencies and commitments under forward currency exchange contracts are translated into U.S. dollars at the mean of the quoted bid and ask prices of such currencies against the U.S. dollar. Purchases and sales of portfolio securities are translated into U.S. dollars at the rates of exchange prevailing when such securities were acquired or sold. Income and expenses are translated into U.S. dollars at rates of exchange prevailing when accrued.
Net realized gain or loss on foreign currency transactions represents foreign exchange gains and losses from sales and maturities of foreign fixed income investments, holding of foreign currencies, currency gains or losses realized between the trade and settlement dates on foreign investment transactions, and the difference between the amounts of dividends, interest and foreign withholding taxes recorded on the Portfolio’s books and the U.S. dollar equivalent amounts actually received or paid. Net unrealized currency gains and losses from valuing foreign currency denominated assets and liabilities at period end exchange rates are reflected as a component of net unrealized appreciation or depreciation of foreign currency denominated assets and liabilities.
4. Taxes
It is the Portfolio’s policy to meet the requirements of the Internal Revenue Code applicable to regulated investment companies and to distribute all of its investment company taxable income and net realized gains, if any, to shareholders. Therefore, no provisions for federal income or excise taxes are required. The Portfolio may be subject to taxes imposed by countries in which it invests. Such taxes are generally based on income and/or capital gains earned or repatriated. Taxes are accrued and applied to net investment income, net realized gains and net unrealized appreciation/depreciation as such income and/or gains are earned.
In accordance with U.S. GAAP requirements regarding accounting for uncertainties in income taxes, management has analyzed the Portfolio’s tax positions taken or expected to be taken on federal and state income tax returns for all open tax years (the current and the prior three tax years) and has concluded that no provision for income tax is required in the Portfolio’s financial statements.
5. Investment Income and Investment Transactions
Dividend income is recorded on the ex-dividend date or as soon as the Portfolio is informed of the dividend. Non-cash dividends, if any, are recorded on the ex-dividend date at the fair value of the securities received. Interest income is accrued daily. Investment transactions are accounted for on the date the securities are purchased or sold. Investment gains or losses are determined on the identified cost basis. The Portfolio amortizes premiums and accretes discounts as adjustments to interest income. The Portfolio accounts for distributions received from REIT investments or from regulated investment companies as dividend income, realized gain, or return of capital based on information provided by the REIT or the investment company.
19
| | |
| INTERNATIONAL GROWTH PORTFOLIO |
| NOTES TO FINANCIAL STATEMENTS | | |
| |
| (continued) | | AB Variable Products Series Fund |
6. Class Allocations
All income earned and expenses incurred by the Portfolio are borne on a pro-rata basis by each outstanding class of shares, based on the proportionate interest in the Portfolio represented by the net assets of such class, except for class specific expenses which are allocated to the respective class. Expenses of the Fund are charged proportionately to each portfolio or based on other appropriate methods. Realized and unrealized gains and losses are allocated among the various share classes based on respective net assets.
7. Dividends and Distributions
Dividends and distributions to shareholders, if any, are recorded on the ex-dividend date. Income dividends and capital gains distributions are determined in accordance with federal tax regulations and may differ from those determined in accordance with U.S. GAAP. To the extent these differences are permanent, such amounts are reclassified within the capital accounts based on their federal tax basis treatment; temporary differences do not require such reclassification.
NOTE B: Advisory Fee and Other Transactions with Affiliates
Under the terms of the investment advisory agreement, the Portfolio pays the Adviser an advisory fee at an annual rate of .75% of the first $2.5 billion, .65% of the next $2.5 billion and .60% in excess of $5 billion, of the Portfolio’s average daily net assets. The fee is accrued daily and paid monthly. The Adviser has contractually agreed to waive its management fee and/or bear expenses of the Portfolio in order to reduce the Portfolio’s total operating expenses by an amount equal to 0.05% on an annual basis of the average net assets for Class A and Class B. For the year ended December 31, 2021, such reimbursements/waivers amounted to $29,576. This fee waiver and/or expense reimbursement agreement extends through May 1, 2023 and then may be extended by the Adviser for additional one-year terms.
Pursuant to the investment advisory agreement, the Portfolio may reimburse the Adviser for certain legal and accounting services provided to the Portfolio by the Adviser. For the year ended December 31, 2021, the reimbursement for such services amounted to $87,443.
The Portfolio compensates AllianceBernstein Investor Services, Inc. (“ABIS”), a wholly-owned subsidiary of the Adviser, under a Transfer Agency Agreement for providing personnel and facilities to perform transfer agency services for the Portfolio. Such compensation retained by ABIS amounted to $1,636 for the year ended December 31, 2021.
The Portfolio may invest in AB Government Money Market Portfolio (the “Government Money Market Portfolio”) which has a contractual annual advisory fee rate of .20% of the portfolio’s average daily net assets and bears its own expenses. The Adviser has contractually agreed to waive .10% of the advisory fee of Government Money Market Portfolio (resulting in a net advisory fee of .10%) until August 31, 2022. In connection with the investment by the Portfolio in Government Money Market Portfolio, the Adviser has contractually agreed to waive its advisory fee from the Portfolio in an amount equal to the Portfolio’s pro rata share of the effective advisory fee of Government Money Market Portfolio, as borne indirectly by the Portfolio as an acquired fund fee and expense. For the year ended December 31, 2021, such waiver amounted to $1,507.
A summary of the Portfolio’s transactions in AB mutual funds for the year ended December 31, 2021 is as follows:
| | | | | | | | | | | | | | | | | | | | |
Portfolio | | Market Value
12/31/20
(000) | | | Purchases
at Cost
(000) | | | Sales
Proceeds
(000) | | | Market Value
12/31/21
(000) | | | Dividend
Income
(000) | |
Government Money Market Portfolio | | $ | 1,456 | | | $ | 13,717 | | | $ | 12,538 | | | $ | 2,635 | | | $ | 0 | * |
Government Money Market Portfolio** | | | 2,335 | | | | 17,220 | | | | 18,531 | | | | 1,024 | | | | 0 | * |
| | | | | | | | | | | | | | | | | | | | |
Total | | | | | | | | | | | | | | $ | 3,659 | | | $ | 0 | * |
| | | | | | | | | | | | | | | | | | | | |
| * | | Amount is less than $500. |
| ** | | Investments of cash collateral for securities lending transactions (see Note E). |
NOTE C: Distribution Plan
The Portfolio has adopted a Distribution Plan (the “Plan”) for Class B shares pursuant to Rule 12b-1 under the Investment Company Act of 1940. Under the Plan, the Portfolio pays distribution and servicing fees to AllianceBernstein Investments, Inc. (the “Distributor”), a wholly-owned subsidiary of the Adviser, at an annual rate of up to .50% of the Portfolio’s average daily net assets attributable to Class B shares. The fees are accrued daily and paid monthly. The Board currently limits payments under the Plan to .25% of the Portfolio’s average daily net assets attributable to Class B shares. The Plan provides that the Distributor will use such payments in their entirety for distribution assistance and promotional activities.
20
| | |
| |
| | | AB Variable Products Series Fund |
The Portfolio is not obligated under the Plan to pay any distribution and servicing fees in excess of the amounts set forth above. The purpose of the payments to the Distributor under the Plan is to compensate the Distributor for its distribution services with respect to the sale of the Portfolio’s Class B shares. Since the Distributor’s compensation is not directly tied to its expenses, the amount of compensation received by it under the Plan during any year may be more or less than its actual expenses. For this reason, the Plan is characterized by the staff of the Securities and Exchange Commission as being of the “compensation” variety.
In the event that the Plan is terminated or not continued, no distribution or servicing fees (other than current amounts accrued but not yet paid) would be owed by the Portfolio to the Distributor.
The Plan also provides that the Adviser may use its own resources to finance the distribution of the Portfolio’s shares.
NOTE D: Investment Transactions
Purchases and sales of investment securities (excluding short-term investments) for the year ended December 31, 2021 were as follows:
| | | | | | | | |
| | | Purchases | | | Sales | |
Investment securities (excluding U.S. government securities) | | $ | 13,990,947 | | | $ | 20,862,857 | |
U.S. government securities | | | –0 | – | | | –0 | – |
The cost of investments for federal income tax purposes, gross unrealized appreciation and unrealized depreciation are as follows:
| | | | |
Cost | | $ | 39,485,156 | |
| | | | |
Gross unrealized appreciation | | $ | 20,247,929 | |
Gross unrealized depreciation | | | (1,092,711 | ) |
| | | | |
Net unrealized appreciation | | $ | 19,155,218 | |
| | | | |
1. Derivative Financial Instruments
The Portfolio may use derivatives in an effort to earn income and enhance returns, to replace more traditional direct investments, to obtain exposure to otherwise inaccessible markets (collectively, “investment purposes”), or to hedge or adjust the risk profile of its portfolio.
The principal type of derivative utilized by the Portfolio, as well as the methods in which they may be used are:
| | • | | Forward Currency Exchange Contracts |
The Portfolio may enter into forward currency exchange contracts in order to hedge its exposure to changes in foreign currency exchange rates on its foreign portfolio holdings, to hedge certain firm purchase and sale commitments denominated in foreign currencies and for non-hedging purposes as a means of making direct investments in foreign currencies, as described below under “Currency Transactions”.
A forward currency exchange contract is a commitment to purchase or sell a foreign currency at a future date at a negotiated forward rate. The gain or loss arising from the difference between the original contract and the closing of such contract would be included in net realized gain or loss on forward currency exchange contracts. Fluctuations in the value of open forward currency exchange contracts are recorded for financial reporting purposes as unrealized appreciation and/or depreciation by the Portfolio. Risks may arise from the potential inability of a counterparty to meet the terms of a contract and from unanticipated movements in the value of a foreign currency relative to the U.S. dollar.
During the year ended December 31, 2021, the Portfolio held forward currency exchange contracts for hedging purposes.
The Portfolio typically enters into International Swaps and Derivatives Association, Inc. Master Agreements (“ISDA Master Agreement”) with its OTC derivative contract counterparties in order to, among other things, reduce its credit risk to OTC counterparties. ISDA Master Agreements include provisions for general obligations, representations, collateral and events of default or termination. Under an ISDA Master Agreement, the Portfolio typically may offset with the OTC counterparty certain derivative financial instruments’ payables and/or receivables with collateral held and/or posted and create one single net payment (close-out netting) in the event of default or termination. In the event of a default by an OTC counterparty, the return of collateral with market value in excess of the Portfolio’s net liability, held by the defaulting party, may be delayed or denied.
21
| | |
| INTERNATIONAL GROWTH PORTFOLIO |
| NOTES TO FINANCIAL STATEMENTS | | |
| |
| (continued) | | AB Variable Products Series Fund |
The Portfolio’s ISDA Master Agreements may contain provisions for early termination of OTC derivative transactions in the event the net assets of the Portfolio decline below specific levels (“net asset contingent features”). If these levels are triggered, the Portfolio’s OTC counterparty has the right to terminate such transaction and require the Portfolio to pay or receive a settlement amount in connection with the terminated transaction. If OTC derivatives were held at period end, please refer to netting arrangements by the OTC counterparty table below for additional details.
During the year ended December 31, 2021, the Portfolio had entered into the following derivatives:
| | | | | | | | | | | | |
| | | Asset Derivatives | | | Liability Derivatives | |
Derivative Type | | Statement of
Assets and Liabilities
Location | | Fair Value | | | Statement of
Assets and Liabilities
Location | | Fair Value | |
Foreign currency contracts | | Unrealized appreciation on forward currency exchange contracts | | $ | 282,219 | | | Unrealized depreciation on forward currency exchange contracts | | $ | 183,470 | |
| | | | | | | | | | | | |
Total | | | | $ | 282,219 | | | | | $ | 183,470 | |
| | | | | | | | | | | | |
| | | | | | | | | | |
Derivative Type | | Location of Gain or (Loss) on Derivatives
Within Statement of Operations | | Realized Gain or
(Loss) on
Derivatives | | | Change in Unrealized
Appreciation or
(Depreciation) | |
Foreign currency contracts | | Net realized gain (loss) on forward currency exchange contracts; Net change in unrealized appreciation/depreciation of forward currency exchange contracts | | $ | (46,124 | ) | | $ | (141,891 | ) |
| | | | | | | | | | |
Total | | | | $ | (46,124 | ) | | $ | (141,891 | ) |
| | | | | | | | | | |
The following table represents the average monthly volume of the Portfolio’s derivative transactions during the year ended December 31, 2021:
| | | | |
Forward Currency Exchange Contracts: | | | | |
Average principal amount of buy contracts | | $ | 26,056,534 | |
Average principal amount of sale contracts | | $ | 17,739,450 | |
For financial reporting purposes, the Portfolio does not offset derivative assets and derivative liabilities that are subject to netting arrangements in the statement of assets and liabilities.
All OTC derivatives held at period end were subject to netting arrangements. The following table presents the Portfolio’s derivative assets and liabilities by OTC counterparty net of amounts available for offset under ISDA Master Agreements (“MA”) and net of the related collateral received/pledged by the Portfolio as of December 31, 2021. Exchange-traded derivatives and centrally cleared swaps are not subject to netting arrangements and as such are excluded from the table.
| | | | | | | | | | | | | | | | | | | | |
Counterparty | | Derivative
Assets Subject
to a MA | | | Derivatives
Available for
Offset | | | Cash Collateral
Received* | | | Security Collateral
Received* | | | Net Amount of
Derivative
Assets | |
Deutsche Bank AG | | $ | 116,878 | | | $ | (8,446 | ) | | $ | –0 | – | | $ | –0 | – | | $ | 108,432 | |
Goldman Sachs Bank USA | | | 19,543 | | | | (1,277 | ) | | | –0 | – | | | –0 | – | | | 18,266 | |
JPMorgan Chase Bank, NA | | | 36,798 | | | | –0 | – | | | –0 | – | | | –0 | – | | | 36,798 | |
Morgan Stanley Capital Services, Inc. | | | 13,695 | | | | (13,695 | ) | | | –0 | – | | | –0 | – | | | –0 | – |
Natwest Markets PLC | | | 1,921 | | | | –0 | – | | | –0 | – | | | –0 | – | | | 1,921 | |
Standard Chartered Bank | | | 2,811 | | | | –0 | – | | | –0 | – | | | –0 | – | | | 2,811 | |
State Street Bank & Trust Co. | | | 81,049 | | | | (38,398 | ) | | | –0 | – | | | –0 | – | | | 42,651 | |
UBS AG | | | 9,524 | | | | (3,511 | ) | | | –0 | – | | | –0 | – | | | 6,013 | |
| | | | | | | | | | | | | | | | | | | | |
Total | | $ | 282,219 | | | $ | (65,327 | ) | | $ | –0 | – | | $ | –0 | – | | $ | 216,892 | ^ |
| | | | | | | | | | | | | | | | | | | | |
22
| | |
| |
| | | AB Variable Products Series Fund |
| | | | | | | | | | | | | | | | | | | | |
Counterparty | | Derivative
Liabilities Subject
to a MA | | | Derivatives
Available for
Offset | | | Cash Collateral
Pledged* | | | Security Collateral
Pledged* | | | Net Amount of
Derivative
Liabilities | |
Barclays Bank PLC | | $ | 11,383 | | | $ | –0 | – | | $ | –0 | – | | $ | –0 | – | | $ | 11,383 | |
Citibank, NA | | | 69,416 | | | | –0 | – | | | –0 | – | | | –0 | – | | | 69,416 | |
Deutsche Bank AG | | | 8,446 | | | | (8,446 | ) | | | –0 | – | | | –0 | – | | | –0 | – |
Goldman Sachs Bank USA | | | 1,277 | | | | (1,277 | ) | | | –0 | – | | | –0 | – | | | –0 | – |
Morgan Stanley Capital Services, Inc. | | | 51,039 | | | | (13,695 | ) | | | –0 | – | | | –0 | – | | | 37,344 | |
State Street Bank & Trust Co. | | | 38,398 | | | | (38,398 | ) | | | –0 | – | | | –0 | – | | | –0 | – |
UBS AG | | | 3,511 | | | | (3,511 | ) | | | –0 | – | | | –0 | – | | | –0 | – |
| | | | | | | | | | | | | | | | | | | | |
Total | | $ | 183,470 | | | $ | (65,327 | ) | | $ | –0 | – | | $ | –0 | – | | $ | 118,143 | ^ |
| | | | | | | | | | | | | | | | | | | | |
| * | | The actual collateral received/pledged may be more than the amount reported due to over-collateralization. |
| ^ | | Net amount represents the net receivable/payable that would be due from/to the counterparty in the event of default or termination. The net amount from OTC financial derivative instruments can only be netted across transactions governed under the same master agreement with the same counterparty. |
2. Currency Transactions
The Portfolio may invest in non-U.S. Dollar-denominated securities on a currency hedged or unhedged basis. The Portfolio may seek investment opportunities by taking long or short positions in currencies through the use of currency-related derivatives, including forward currency exchange contracts, futures and options on futures, swaps, and other options. The Portfolio may enter into transactions for investment opportunities when it anticipates that a foreign currency will appreciate or depreciate in value but securities denominated in that currency are not held by the Portfolio and do not present attractive investment opportunities. Such transactions may also be used when the Adviser believes that it may be more efficient than a direct investment in a foreign currency-denominated security. The Portfolio may also conduct currency exchange contracts on a spot basis (i.e., for cash at the spot rate prevailing in the currency exchange market for buying or selling currencies).
NOTE E: Securities Lending
The Portfolio may enter into securities lending transactions. Under the Portfolio’s securities lending program, all loans of securities will be collateralized continually by cash collateral and/or non-cash collateral. Non-cash collateral will include only securities issued or guaranteed by the U.S. government or its agencies or instrumentalities. The Portfolio cannot sell or repledge any non-cash collateral, such collateral will not be reflected in the portfolio of investments. If a loan is collateralized by cash, the Portfolio will be compensated for the loan from a portion of the net return from the income earned on cash collateral after a rebate is paid to the borrower (in some cases, this rebate may be a “negative rebate” or fee paid by the borrower to the Portfolio in connection with the loan), and payments are made for fees of the securities lending agent and for certain other administrative expenses. If the Portfolio receives non-cash collateral, the Portfolio will receive a fee from the borrower generally equal to a negotiated percentage of the market value of the loaned securities. The Portfolio will have the right to call a loan and obtain the securities loaned at any time on notice to the borrower within the normal and customary settlement time for the securities. While the securities are on loan, the borrower is obligated to pay the Portfolio amounts equal to any dividend income or other distributions from the securities; however, these distributions will not be afforded the same preferential tax treatment as qualified dividends. The Portfolio will not be able to exercise voting rights with respect to any securities during the existence of a loan, but will have the right to regain ownership of loaned securities in order to exercise voting or other ownership rights. Collateral received and securities loaned are marked to market daily to ensure that the securities loaned are secured by collateral. The lending agent currently invests the cash collateral received in Government Money Market Portfolio, an eligible money market vehicle, in accordance with the investment restrictions of the Portfolio, and as approved by the Board. The collateral received on securities loaned is recorded as an asset as well as a corresponding liability in the statement of assets and liabilities. The collateral will be adjusted the next business day to maintain the required collateral amount. The amounts of securities lending income from the borrowers and Government Money Market Portfolio are reflected in the statement of operations. When the Portfolio earns net securities lending income from Government Money Market Portfolio, the income is inclusive of a rebate expense paid to the borrower. In connection with the cash collateral investment by the Portfolio in Government Money Market Portfolio, the Adviser has agreed to waive a portion of the Portfolio’s share of the advisory fees of Government Money Market Portfolio, as borne indirectly by the Portfolio as an acquired fund fee and expense. When the Portfolio lends securities, its investment performance will continue to reflect changes in the value of the securities loaned. A principal risk of lending portfolio securities is that the borrower may fail to
23
| | |
| INTERNATIONAL GROWTH PORTFOLIO |
| NOTES TO FINANCIAL STATEMENTS | | |
| |
| (continued) | | AB Variable Products Series Fund |
return the loaned securities upon termination of the loan and that the collateral will not be sufficient to replace the loaned securities. The lending agent has agreed to indemnify the Portfolio in the case of default of any securities borrower.
A summary of the Portfolio’s transactions surrounding securities lending for the year ended December 31, 2021 is as follows:
| | | | | | | | | | |
| | | | | | | | | Government Money Market
Portfolio |
Market Value of
Securities
on Loan* | | Cash Collateral* | | Market Value of
Non-Cash
Collateral* | | Income from
Borrowers | | Income
Earned | | Advisory Fee
Waived |
| $968,625 | | $1,024,492 | | $–0– | | $8,883 | | $161 | | $13 |
| * | | As of December 31, 2021. |
NOTE F: Capital Stock
Each class consists of 500,000,000 authorized shares. Transactions in capital shares for each class were as follows:
| | | | | | | | | | | | | | | | | | | | |
| | | SHARES | | | | | | AMOUNT | |
| | | Year Ended
December 31,
2021 | | | Year Ended
December 31,
2020 | | | | | | Year Ended
December 31,
2021 | | | Year Ended
December 31,
2020 | |
Class A | |
Shares sold | | | 25,160 | | | | 19,172 | | | | | | | $ | 699,611 | | | $ | 434,740 | |
Shares issued in reinvestment of dividends and distributions | | | 93,984 | | | | 102,313 | | | | | | | | 2,543,196 | | | | 2,359,331 | |
Shares redeemed | | | (131,186 | ) | | | (153,877 | ) | | | | | | | (3,650,448 | ) | | | (3,611,499 | ) |
| | | | | | | | | | | | | | | | | | | | |
Net decrease | | | (12,042 | ) | | | (32,392 | ) | | | | | | $ | (407,641 | ) | | $ | (817,428 | ) |
| | | | | | | | | | | | | | | | | | | | |
Class B | |
Shares sold | | | 69,412 | | | | 108,028 | | | | | | | $ | 1,884,980 | | | $ | 2,392,079 | |
Shares issued in reinvestment of dividends and distributions | | | 113,359 | | | | 120,660 | | | | | | | | 3,008,549 | | | | 2,741,392 | |
Shares redeemed | | | (202,023 | ) | | | (331,740 | ) | | | | | | | (5,539,221 | ) | | | (7,628,526 | ) |
| | | | | | | | | | | | | | | | | | | | |
Net decrease | | | (19,252 | ) | | | (103,052 | ) | | | | | | $ | (645,692 | ) | | $ | (2,495,055 | ) |
| | | | | | | | | | | | | | | | | | | | |
At December 31, 2021, certain shareholders of the Portfolio owned 79% in aggregate of the Portfolio’s outstanding shares. Significant transactions by such shareholders, if any, may impact the Portfolio’s performance.
NOTE G: Risks Involved in Investing in the Portfolio
Market Risk—The value of the Portfolio’s assets will fluctuate as the stock or bond market fluctuates. The value of its investments may decline, sometimes rapidly and unpredictably, simply because of economic changes or other events, including public health crises (including the occurrence of a contagious disease or illness), that affect large portions of the market. It includes the risk that a particular style of investing, such as the Portfolio’s growth approach, may underperform the market generally.
Focused Portfolio Risk—Investments in a limited number of companies may have more risk because changes in the value of a single security may have a more significant effect, either negative or positive, on the Portfolio’s net asset value, or NAV.
Sector Risk—The Portfolio may have more risk because it may invest to a significant extent in one or more particular market sectors, such as the information technology or financial services sector. To the extent it does so, market or economic factors affecting the relevant sector(s) could have a major effect on the value of the Portfolio’s investments.
ESG Risk—Applying ESG and sustainability criteria to the investment process may exclude securities of certain issuers for non-investment reasons and, therefore, the Portfolio may forgo some market opportunities available to funds that do not use ESG or sustainability criteria. Securities of companies with ESG practices may shift into and out of favor depending on market and economic conditions, and the Portfolio’s performance may at times be better or worse than the performance of funds that do not use ESG or sustainability criteria. Furthermore, “sustainability” is not a uniformly defined characteristic, and the Portfolio’s sustainability criteria may differ from those used by other funds. In addition, in evaluating an investment, the investment adviser is dependent upon information and data that may be incomplete, inaccurate or unavailable, which could adversely affect the analysis of the ESG and sustainability factors relevant to a particular investment.
24
| | |
| |
| | | AB Variable Products Series Fund |
Foreign (Non-U.S.) Risk—Investments in securities of non-U.S. issuers may involve more risk than those of U.S. issuers. These securities may fluctuate more widely in price and may be more difficult to trade due to adverse market, economic, political, regulatory or other factors.
Emerging-Market Risk—Investments in emerging market countries may have more risk because the markets are less developed and less liquid, and because these investments may be subject to increased economic, political, regulatory or other uncertainties.
Currency Risk—Fluctuations in currency exchange rates may negatively affect the value of the Portfolio’s investments or reduce its returns.
Capitalization Risk—Investments in small- and mid-capitalization companies may be more volatile than investments in large-capitalization companies. Investments in small- and mid-capitalization companies may have additional risks because these companies may have limited product lines, markets or financial resources.
Derivatives Risk—Derivatives may be difficult to price or unwind and leveraged so that small changes may produce disproportionate losses for the Portfolio. Derivatives, especially over-the-counter derivatives, are also subject to counterparty risk, which is the risk that the counterparty (the party on the other side of the transaction) on a derivative transaction will be unable or unwilling to honor its contractual obligation to the Portfolio.
LIBOR Transition and Associated Risk—A Portfolio may be exposed to debt securities, derivatives or other financial instruments that are tied to the London Interbank Offered Rate, or “LIBOR,” as a “benchmark” or “reference rate” for various interest rate calculations. In 2017, the United Kingdom Financial Conduct Authority (“FCA”), which regulates LIBOR, announced a desire to phase out the use of LIBOR by the end of 2021. The FCA and LIBOR’s administrator, ICE Benchmark Administration, have since announced that most LIBOR settings (which reflect LIBOR rates quoted in different currencies over various time periods) will no longer be published after the end of 2021 but that the most widely used U.S. dollar LIBOR settings will continue to be published until June 30, 2023. However, banks were strongly encouraged to cease entering into agreements with counterparties referencing LIBOR by the end of 2021. It is possible that a subset of LIBOR settings will be published after these dates on a “synthetic” basis, but any such publications would be considered non-representative of the underlying market. The U.S. Federal Reserve, based on the recommendations of the New York Federal Reserve’s Alternative Reference Rate Committee (comprised of major derivative market participants and their regulators), has begun publishing a Secured Overnight Funding Rate (referred to as SOFR), which is intended to replace U.S. dollar LIBOR. Proposals for alternative reference rates for other currencies have also been announced or have already begun publication. Markets are slowly developing in response to these new rates.
The elimination of LIBOR or changes to other reference rates or any other changes or reforms to the determination or supervision of reference rates could have an adverse impact on the market for, or value of, any securities or payments linked to those reference rates, which may adversely affect a Portfolio’s performance and/or net asset value. Uncertainty and risk also remain regarding the willingness and ability of issuers and lenders to include revised provisions in new and existing contracts or instruments. Consequently, the transition away from LIBOR to other reference rates may lead to increased volatility and illiquidity in markets that are tied to LIBOR, fluctuations in values of LIBOR-related investments or investments in issuers that utilize LIBOR, increased difficulty in borrowing or refinancing and diminished effectiveness of hedging strategies, potentially adversely affecting a Portfolio’s performance. Furthermore, the risks associated with the expected discontinuation of LIBOR and transition may be exacerbated if the work necessary to effect an orderly transition to an alternative reference rate is not completed in a timely manner. The potential effects of a phase out of LIBOR on LIBOR-based investments are currently unknown.
Indemnification Risk—In the ordinary course of business, the Portfolio enters into contracts that contain a variety of indemnifications. The Portfolio’s maximum exposure under these arrangements is unknown. However, the Portfolio has not had prior claims or losses pursuant to these indemnification provisions and expects the risk of loss thereunder to be remote. Therefore, the Portfolio has not accrued any liability in connection with these indemnification provisions.
Management Risk—The Portfolio is subject to management risk because it is an actively-managed investment fund. The Adviser will apply its investment techniques and risk analyses in making investment decisions for the portfolio, but there is no guarantee that its techniques will produce the intended results. Some of these techniques may incorporate, or rely upon, quantitative models, but there is no guarantee that these models will generate accurate forecasts, reduce risk or otherwise perform as expected.
25
| | |
| INTERNATIONAL GROWTH PORTFOLIO |
| NOTES TO FINANCIAL STATEMENTS | | |
| |
| (continued) | | AB Variable Products Series Fund |
NOTE H: Joint Credit Facility
A number of open-end mutual funds managed by the Adviser, including the Portfolio, participate in a $325 million revolving credit facility (the “Facility”) intended to provide short-term financing related to redemptions and other short term liquidity requirements, subject to certain restrictions. Commitment fees related to the Facility are paid by the participating funds and are included in miscellaneous expenses in the statement of operations. The Portfolio did not utilize the Facility during the year ended December 31, 2021.
NOTE I: Distributions to Shareholders
The tax character of distributions paid during the fiscal years ended December 31, 2021 and December 31, 2020 were as follows:
| | | | | | | | |
| | | 2021 | | | 2020 | |
Distributions paid from: | | | | | | | | |
Ordinary income | | $ | –0 | – | | $ | 1,009,224 | |
Net long-term capital gains | | | 5,551,745 | | | | 4,091,499 | |
| | | | | | | | |
Total taxable distributions paid | | $ | 5,551,745 | | | $ | 5,100,723 | |
| | | | | | | | |
As of December 31, 2021, the components of accumulated earnings/(deficit) on a tax basis were as follows:
| | | | |
Undistributed capital gains | | $ | 7,065,749 | |
Unrealized appreciation/(depreciation) | | | 19,050,470 | (a) |
| | | | |
Total accumulated earnings/(deficit) | | $ | 26,116,219 | |
| | | | |
| (a) | | The differences between book-basis and tax-basis unrealized appreciation/(depreciation) are attributable primarily to the recognition for tax purposes of unrealized gains/losses on certain derivative instruments and the tax deferral of losses on wash sales. |
For tax purposes, net realized capital losses may be carried over to offset future capital gains, if any. Funds are permitted to carry forward capital losses for an indefinite period, and such losses will retain their character as either short-term or long-term capital losses. As of December 31, 2021, the Portfolio did not have any capital loss carryforwards.
During the current fiscal year, permanent differences primarily due to the disallowance of a net operating loss resulted in a net increase in distributable earnings and a net decrease in additional paid-in capital. These reclassifications had no effect on net assets.
NOTE J: Recent Accounting Pronouncements
In March 2020, the Financial Accounting Standards Board issued an Accounting Standards Update, ASU 2020-04, “Reference Rate Reform (Topic 848)—Facilitation of the Effects of Reference Rate Reform on Financial Reporting.” ASU 2020-04 provides optional guidance to ease the potential accounting burden due to the discontinuation of the LIBOR and other interbank-offered based reference rates. ASU 2020-04 is effective as of March 12, 2020 through December 31, 2022. Management is currently evaluating the impact, if any, of applying ASU 2020-04.
NOTE K: Subsequent Events
At a meeting held on November 2-4, 2021, the Adviser recommended and the Portfolio’s Board of Directors approved certain changes to the Portfolio, including changing the Portfolio’s name to “AB Sustainable International Thematic Portfolio” and changes to the Portfolio’s principal investment strategies. The changes to the principal investment strategies became effective on January 4, 2022, while the change to the Portfolio’s name will be effective on or about May 1, 2022.
Management has evaluated subsequent events for possible recognition or disclosure in the financial statements through the date the financial statements are issued. Management has determined that there are no other material events that would require disclosure in the Portfolio’s financial statements through this date.
26
| | |
| | |
| INTERNATIONAL GROWTH PORTFOLIO |
| |
| FINANCIAL HIGHLIGHTS | | AB Variable Products Series Fund |
Selected Data For A Share Of Capital Stock Outstanding Throughout Each Period
| | | | | | | | | | | | | | | | | | | | |
| | | CLASS A | |
| | | Year Ended December 31, | |
| | | 2021 | | | 2020 | | | 2019 | | | 2018 | | | 2017 | |
Net asset value, beginning of period | | | $27.56 | | | | $23.49 | | | | $18.99 | | | | $23.15 | | | | $17.34 | |
| | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | |
Income From Investment Operations | | | | | | | | | | | | | | | | | | | | |
Net investment income (loss) (a)(b) | | | (.02 | ) | | | (.10 | ) | | | .08 | | | | .15 | | | | .06 | |
Net realized and unrealized gain (loss) on investment and foreign currency transactions | | | 2.29 | | | | 6.65 | | | | 5.08 | | | | (4.16 | ) | | | 6.00 | |
| | | | | | | | | | | | | | | | | | | | |
Net increase (decrease) in net asset value from operations | | | 2.27 | | | | 6.55 | | | | 5.16 | | | | (4.01 | ) | | | 6.06 | |
| | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | |
Less: Dividends and Distributions | | | | | | | | | | | | | | | | | | | | |
Dividends from net investment income | | | –0 | – | | | (.34 | ) | | | (.13 | ) | | | (.15 | ) | | | (.25 | ) |
Distributions from net realized gain on investment transactions | | | (2.72 | ) | | | (2.14 | ) | | | (.53 | ) | | | –0 | – | | | –0 | – |
| | | | | | | | | | | | | | | | | | | | |
Total dividends and distributions | | | (2.72 | ) | | | (2.48 | ) | | | (.66 | ) | | | (.15 | ) | | | (.25 | ) |
| | | | | | | | | | | | | | | | | | | | |
Net asset value, end of period | | | $27.11 | | | | $27.56 | | | | $23.49 | | | | $18.99 | | | | $23.15 | |
| | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | |
Total Return | | | | | | | | | | | | | | | | | | | | |
Total investment return based on net asset value (c)* | | | 8.25 | % | | | 29.94 | % | | | 27.53 | % | | | (17.41 | )% | | | 35.02 | % |
| | | | | | | | | | | | | | | | | | | | |
Ratios/Supplemental Data | | | | | | | | | | | | | | | | | | | | |
Net assets, end of period (000’s omitted) | | | $26,641 | | | | $27,410 | | | | $24,123 | | | | $21,522 | | | | $30,318 | |
Ratio to average net assets of: | | | | | | | | | | | | | | | | | | | | |
Expenses, net of waivers/reimbursements | | | 1.23 | % | | | 1.31 | % | | | 1.36 | % | | | 1.27 | % | | | 1.24 | % |
Expenses, before waivers/reimbursements | | | 1.28 | % | | | 1.37 | % | | | 1.41 | % | | | 1.29 | % | | | 1.24 | % |
Net investment income (loss) (b) | | | (.09 | )% | | | (.42 | )% | | | .40 | % | | | .69 | % | | | .30 | % |
Portfolio turnover rate | | | 25 | % | | | 34 | % | | | 49 | % | | | 33 | % | | | 52 | % |
See footnote summary on page 28.
27
| | |
| INTERNATIONAL GROWTH PORTFOLIO |
| FINANCIAL HIGHLIGHTS | | |
| |
| (continued) | | AB Variable Products Series Fund |
Selected Data For A Share Of Capital Stock Outstanding Throughout Each Period
| | | | | | | | | | | | | | | | | | | | |
| | | CLASS B | |
| | | Year Ended December 31, | |
| | | 2021 | | | 2020 | | | 2019 | | | 2018 | | | 2017 | |
Net asset value, beginning of period | | | $27.12 | | | | $23.15 | | | | $18.71 | | | | $22.80 | | | | $17.09 | |
| | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | |
Income From Investment Operations | | | | | | | | | | | | | | | | | | | | |
Net investment income (loss) (a)(b) | | | (.09 | ) | | | (.15 | ) | | | .03 | | | | .09 | | | | .01 | |
Net realized and unrealized gain (loss) on investment and foreign currency transactions | | | 2.26 | | | | 6.54 | | | | 5.00 | | | | (4.09 | ) | | | 5.90 | |
| | | | | | | | | | | | | | | | | | | | |
Net increase (decrease) in net asset value from operations | | | 2.17 | | | | 6.39 | | | | 5.03 | | | | (4.00 | ) | | | 5.91 | |
| | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | |
Less: Dividends and Distributions | | | | | | | | | | | | | | | | | | | | |
Dividends from net investment income | | | –0 | – | | | (.28 | ) | | | (.06 | ) | | | (.09 | ) | | | (.20 | ) |
Distributions from net realized gain on investment transactions | | | (2.72 | ) | | | (2.14 | ) | | | (.53 | ) | | | –0 | – | | | –0 | – |
| | | | | | | | | | | | | | | | | | | | |
Total dividends and distributions | | | (2.72 | ) | | | (2.42 | ) | | | (.59 | ) | | | (.09 | ) | | | (.20 | ) |
| | | | | | | | | | | | | | | | | | | | |
Net asset value, end of period | | | $26.57 | | | | $27.12 | | | | $23.15 | | | | $18.71 | | | | $22.80 | |
| | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | |
Total Return | | | | | | | | | | | | | | | | | | | | |
Total investment return based on net asset value (c)* | | | 8.01 | % | | | 29.60 | % | | | 27.23 | % | | | (17.60 | )% | | | 34.63 | % |
| | | | | | | | | | | | | | | | | | | | |
Ratios/Supplemental Data | | | | | | | | | | | | | | | | | | | | |
Net assets, end of period (000’s omitted) | | | $30,904 | | | | $32,068 | | | | $29,756 | | | | $28,169 | | | | $41,007 | |
Ratio to average net assets of: | | | | | | | | | | | | | | | | | | | | |
Expenses, net of waivers/reimbursements | | | 1.48 | % | | | 1.56 | % | | | 1.61 | % | | | 1.52 | % | | | 1.49 | % |
Expenses, before waivers/reimbursements | | | 1.53 | % | | | 1.62 | % | | | 1.66 | % | | | 1.54 | % | | | 1.49 | % |
Net investment income (loss) (b) | | | (.34 | )% | | | (.67 | )% | | | .15 | % | | | .43 | % | | | .04 | % |
Portfolio turnover rate | | | 25 | % | | | 34 | % | | | 49 | % | | | 33 | % | | | 52 | % |
| (a) | | Based on average shares outstanding. |
| (b) | | Net of expenses waived/reimbursed by the Adviser. |
| (c) | | Total investment return is calculated assuming an initial investment made at the net asset value at the beginning of the period, reinvestment of all dividends and distributions at net asset value during the period, and redemption on the last day of the period. Total return does not reflect (i) insurance company’s separate account related expense charges and (ii) the deductions of taxes that a shareholder would pay on Portfolio distributions or the redemption of Portfolio shares. Total investment return calculated for a period of less than one year is not annualized. |
| * | | Includes the impact of proceeds received and credited to the Portfolio resulting from class action settlements, which enhanced the Portfolio’s performance for the year ended December 31, 2017 by .01%. |
See notes to financial statements.
28
| | |
| | |
| REPORT OF INDEPENDENT REGISTERED | | |
| |
| PUBLIC ACCOUNTING FIRM | | AB Variable Products Series Fund |
To the Shareholders and the Board of Directors of AB International Growth Portfolio
Opinion on the Financial Statements
We have audited the accompanying statement of assets and liabilities of AB International Growth Portfolio (the “Portfolio”) (one of the portfolios constituting AB Variable Products Series Fund, Inc. (the “Fund”)), including the portfolio of investments, as of December 31, 2021, and the related statement of operations for the year then ended, the statements of changes in net assets for each of the two years in the period then ended, the financial highlights for each of the five years in the period then ended and the related notes (collectively referred to as the “financial statements”). In our opinion, the financial statements present fairly, in all material respects, the financial position of the Portfolio (one of the portfolios constituting AB Variable Products Series Fund, Inc.) at December 31, 2021, the results of its operations for the year then ended, the changes in its net assets for each of the two years in the period then ended and its financial highlights for each of the five years in the period then ended, in conformity with U.S. generally accepted accounting principles.
Basis for Opinion
These financial statements are the responsibility of the Fund’s management. Our responsibility is to express an opinion on the Portfolio’s financial statements based on our audits. We are a public accounting firm registered with the Public Company Accounting Oversight Board (United States) (“PCAOB”) and are required to be independent with respect to the Fund in accordance with the U.S. federal securities laws and the applicable rules and regulations of the Securities and Exchange Commission and the PCAOB.
We conducted our audits in accordance with the standards of the PCAOB. Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements are free of material misstatement, whether due to error or fraud. The Fund is not required to have, nor were we engaged to perform, an audit of the Fund’s internal control over financial reporting. As part of our audits we are required to obtain an understanding of internal control over financial reporting but not for the purpose of expressing an opinion on the effectiveness of the Fund’s internal control over financial reporting. Accordingly, we express no such opinion.
Our audits included performing procedures to assess the risks of material misstatement of the financial statements, whether due to error or fraud, and performing procedures that respond to those risks. Such procedures included examining, on a test basis, evidence regarding the amounts and disclosures in the financial statements. Our procedures included confirmation of securities owned as of December 31, 2021, by correspondence with the custodian and others or by other appropriate auditing procedures where replies from others were not received. Our audits also included evaluating the accounting principles used and significant estimates made by management, as well as evaluating the overall presentation of the financial statements. We believe that our audits provide a reasonable basis for our opinion.
We have served as the auditor of one or more of the AB investment companies since 1968.
New York, New York
February 14, 2022
29
| | |
| | |
| | |
| |
| 2021 TAX INFORMATION (unaudited) | | AB Variable Products Series Fund |
For Federal income tax purposes, the following information is furnished with respect to the earnings of the Portfolio for the taxable year ended December 31, 2021. For Corporate shareholders, 19.64% of dividends paid qualify for the dividends received deduction. The Portfolio designates $5,551,745 of dividends paid as long-term capital gain dividends.
The Portfolio intends to make an election to pass through foreign taxes to its shareholders. For the taxable year ended December 31, 2021, $125,881 of foreign taxes may be passed through and the associated foreign source income for information reporting purposes is $744,103.
30
| | |
| | |
| | |
| |
| INTERNATIONAL GROWTH PORTFOLIO | | AB Variable Products Series Fund |
| | |
| BOARD OF DIRECTORS | | |
Marshall C. Turner, Jr.(1), Chairman Jorge A. Bermudez(1) Michael J. Downey(1) Onur Erzan*, President and
Chief Executive Officer | | Nancy P. Jacklin(1) Jeanette W. Loeb(1) Carol C. McMullen(1) Garry L. Moody(1) |
| | |
| | |
| OFFICERS | | |
Daniel C. Roarty(2), Vice President Emilie D. Wrapp, Secretary Michael B. Reyes, Senior Vice President and Senior Analyst | | Joseph J. Mantineo, Treasurer and
Chief Financial Officer Phyllis J. Clarke, Controller Vincent S. Noto, Chief Compliance Officer |
| | |
| | |
CUSTODIANAND ACCOUNTING AGENT State Street Bank and Trust Company State Street Corporation CCB/5 1 Iron Street Boston, MA 02210 | | LEGAL COUNSEL Seward & Kissel LLP One Battery Park Plaza New York, NY 10004 |
| | |
| | |
DISTRIBUTOR AllianceBernstein Investments, Inc. 501 Commerce Street Nashville, TN 37203 | | TRANSFER AGENT AllianceBernstein Investor Services, Inc. P.O. Box 786003 San Antonio, TX 78278 Toll-Free (800) 221-5672 |
| | |
| | |
INDEPENDENT REGISTERED PUBLIC ACCOUNTING FIRM Ernst & Young LLP One Manhattan West New York, NY 10001 | | |
| (1) | | Member of the Audit Committee, the Governance and Nominating Committee, and the Independent Directors Committee. |
| (2) | | The day-to-day management of, and investment decisions for, the Portfolio’s portfolio are made by the Adviser’s Sustainable Thematic Equities Investment Team. Mr. Roarty is the investment professional with the most significant responsibility for the day-to-day management of the Portfolio’s portfolio. |
31
| | |
| | |
| INTERNATIONAL GROWTH PORTFOLIO |
| |
| MANAGEMENT OF THE FUND | | AB Variable Products Series Fund |
Board of Directors Information
The business and affairs of the Fund are managed under the direction of the Board of Directors. Certain information concerning the Fund’s Directors is set forth below.
| | | | | | | | |
NAME, ADDRESS*,
AGE,
(YEAR FIRST ELECTED**) | | PRINCIPAL
OCCUPATION(S)
DURING PAST FIVE YEARS
AND OTHER INFORMATION*** | | PORTFOLIOS
IN AB FUND
COMPLEX
OVERSEEN BY
DIRECTOR | | | OTHER PUBLIC
COMPANY
DIRECTORSHIPS
CURRENTLY
HELD BY
DIRECTOR |
| | | | | | | | |
| INTERESTED DIRECTOR | | | | | | |
| | | | | | | | |
Onur Erzan,#
1345 Avenue of the Americas
New York, NY 10105
46
(2021) | | Senior Vice President of AllianceBernstein L.P. (the “Adviser”) and Head of the Global Client Group overseeing AB’s institutional and retail businesses, where he is responsible for all client services, sales and marketing, as well as product strategy, management and development worldwide. Director, President and Chief Executive Officer of the AB Mutual Funds as of April 1, 2021. Prior to joining the firm in January 2021, he spent 20 years with McKinsey (management consulting firm), most recently as a senior partner and co-leader of its Wealth & Asset Management practice. In addition, he co-led McKinsey’s Banking & Securities Solutions (a portfolio of data, analytics, and digital assets and capabilities) globally. | | | 74 | | | None |
| | | | | | | | |
| DISINTERESTED DIRECTORS | | | | | | |
| | | | | | | | |
Marshall C. Turner, Jr.,##
Chairman of the Board
80
(2005) | | Private Investor since prior to 2017. Former Chairman and CEO of Dupont Photomasks, Inc. (components of semi-conductor manufacturing). He was a Director of Xilinx, Inc. (programmable logic semiconductors and adaptable, intelligent computing) from 2007 through August 2020, and is a former director of 33 other companies and organizations. He has extensive operating leadership experience and venture capital investing experience, including five interim or full-time CEO roles, and prior service as general partner of institutional venture capital partnerships. He also has extensive non-profit board leadership experience, and currently serves on the boards of two education and science-related non-profit organizations. He has served as a director of one AB Fund since 1992, and director or trustee of all AB Funds since 2005. He has been Chairman of the AB Funds since January 2014, and the Chairman of the Independent Directors Committees of such AB Funds since February 2014. | | | 74 | | | None |
| | | | | | | | |
32
| | |
| |
| | | AB Variable Products Series Fund |
| | | | | | | | |
NAME, ADDRESS*,
AGE,
(YEAR FIRST ELECTED**) | | PRINCIPAL
OCCUPATION(S)
DURING PAST FIVE YEARS
AND OTHER INFORMATION*** | | PORTFOLIOS
IN AB FUND
COMPLEX
OVERSEEN BY
DIRECTOR | | | OTHER PUBLIC
COMPANY
DIRECTORSHIPS
CURRENTLY
HELD BY
DIRECTOR |
DISINTERESTED DIRECTORS
(continued) | | | | | | |
| | | | | | | | |
Jorge A. Bermudez,##
70
(2020) | | Private Investor since prior to 2017. Formerly, Chief Risk Officer of Citigroup, Inc., a global financial services company, from November 2007 to March 2008, Chief Executive Officer of Citigroup’s Commercial Business Group in North America and Citibank Texas from 2005 to 2007, and a variety of other executive and leadership roles at various businesses within Citigroup prior to then; Chairman (2018) of the Texas A&M Foundation Board of Trustees (Trustee since 2013) and Chairman of the Smart Grid Center Board at Texas A&M University since 2012; director of, among others, Citibank N.A. from 2005 to 2008, the Federal Reserve Bank of Dallas, Houston Branch from 2009 to 2011, the Federal Reserve Bank of Dallas from 2011 to 2017, and the Electric Reliability Council of Texas from 2010 to 2016. He has served as director or trustee of the AB Funds since January 2020. | | | 74 | | | Moody’s Corporation since April 2011 |
| | | | | | | | |
Michael J. Downey,##
78
(2005) | | Private Investor since prior to 2017. Formerly, Chairman of The Asia Pacific Fund, Inc. (registered investment company) since prior to 2017 until January 2019. From 1987 until 1993, Chairman and CEO of Prudential Mutual Fund Management, director of the Prudential mutual funds, and member of the Executive Committee of Prudential Securities, Inc. He has served as a director or trustee of the AB Funds since 2005. | | | 74 | | | None |
| | | | | | | | |
Nancy P. Jacklin,##
73
(2006) | | Private Investor since prior to 2017. Professorial Lecturer at the Johns Hopkins School of Advanced International Studies (2008–2015). U.S. Executive Director of the International Monetary Fund (which is responsible for ensuring the stability of the international monetary system), (December 2002–May 2006); Partner, Clifford Chance (1992–2002); Sector Counsel, International Banking and Finance, and Associate General Counsel, Citicorp (1985–1992); Assistant General Counsel (International), Federal Reserve Board of Governors (1982–1985); and Attorney Advisor, U.S. Department of the Treasury (1973–1982). Member of the Bar of the District of Columbia and of New York; and member of the Council on Foreign Relations. She has served as a director or trustee of the AB Funds since 2006 and has been Chair of the Governance and Nominating Committees of the AB Funds since August 2014. | | | 74 | | | None |
| | | | | | | | |
33
| | |
| INTERNATIONAL GROWTH PORTFOLIO |
| MANAGEMENT OF THE FUND | | |
| |
| (continued) | | AB Variable Products Series Fund |
| | | | | | | | |
NAME, ADDRESS*,
AGE,
(YEAR FIRST ELECTED**) | | PRINCIPAL
OCCUPATION(S)
DURING PAST FIVE YEARS
AND OTHER INFORMATION*** | | PORTFOLIOS
IN AB FUND
COMPLEX
OVERSEEN BY
DIRECTOR | | | OTHER PUBLIC
COMPANY
DIRECTORSHIPS
CURRENTLY
HELD BY
DIRECTOR |
DISINTERESTED DIRECTORS
(continued) | | | | | | |
| | | | | | | | |
Jeanette W. Loeb,##
69
(2020) | | Chief Executive Officer of PetCareRx (e-commerce pet pharmacy) from 2002 to 2011 and 2015 to present. Director of New York City Center since 2005. She was a director of AB Multi-Manager Alternative Fund, Inc. (fund of hedge funds) from 2012 to 2018. Formerly, affiliated with Goldman Sachs Group, Inc. (financial services) from 1977 to 1994, including as a partner thereof from 1986 to 1994. She has served as director or trustee of the AB Funds since April 2020. | | | 74 | | | Apollo Investment Corp. (business development company) since August 2011 |
| | | | | | | | |
Carol C. McMullen,##
66
(2016) | | Managing Director of Slalom Consulting (consulting) since 2014, private investor and a member of the Advisory Board of Butcher Box (since 2018). Formerly, member, Partners Healthcare Investment Committee (2010–2019); Director of Norfolk & Dedham Group (mutual property and casualty insurance) from 2011 until November 2016; Director of Partners Community Physicians Organization (healthcare) from 2014 until December 2016; and Managing Director of The Crossland Group (consulting) from 2012 until 2013. She has held a number of senior positions in the asset and wealth management industries, including at Eastern Bank (where her roles included President of Eastern Wealth Management), Thomson Financial (Global Head of Sales for Investment Management), and Putnam Investments (where her roles included Chief Investment Officer, Core and Growth and Head of Global Investment Research). She has served on a number of private company and non-profit boards, and as a director or trustee of the AB Funds since June 2016. | | | 74 | | | None |
| | | | | | | | |
Garry L. Moody,##
69
(2008) | | Private Investor since prior to 2017. Formerly, Partner, Deloitte & Touche LLP (1995–2008) where he held a number of senior positions, including Vice Chairman, and U.S. and Global Investment Management Practice Managing Partner; President, Fidelity Accounting and Custody Services Company (1993–1995), where he was responsible for accounting, pricing, custody and reporting for the Fidelity mutual funds; and Partner, Ernst & Young LLP (1975–1993), where he served as the National Director of Mutual Fund Tax Services and Managing Partner of its Chicago Office Tax department. He is a member of the Trustee Advisory Board of BoardIQ, a biweekly publication focused on issues and news affecting directors of mutual funds. He is also a member of the Investment Company Institute’s Board of Governors and the Independent Directors Council’s Governing Council. He has served as a director or trustee, and as Chairman of the Audit Committees, of the AB Funds since 2008. | | | 74 | | | None |
34
| | |
| |
| | | AB Variable Products Series Fund |
| * | The address for the Portfolio’s disinterested Directors is c/o AllianceBernstein L.P., Attention: Legal & Compliance Department—Mutual Fund Legal, 1345 Avenue of the Americas, New York, NY 10105. |
| ** | There is no stated term of office for the Fund’s Directors. |
| *** | The information above includes each Director’s principal occupation during the last five years and other information relating to the experience, attributes and skills relevant to each Director’s qualifications to serve as a Director, which led to the conclusion that each Director should serve as a Director for the Fund. |
| # | Mr. Erzan is an “interested person” of the Fund, as defined in the “1940 Act”, due to his position as a Senior Vice President of the Adviser. |
| ## | Member of the Audit Committee, the Governance and Nominating Committee, and the Independent Directors Committee. |
35
| | |
| INTERNATIONAL GROWTH PORTFOLIO |
| MANAGEMENT OF THE FUND | | |
| |
| (continued) | | AB Variable Products Series Fund |
Officer Information
Certain information concerning the Portfolio’s Officers is listed below.
| | | | |
NAME, ADDRESS*
AND AGE | | PRINCIPAL POSITION(S)
HELD WITH FUND | | PRINCIPAL OCCUPATION
DURING PAST FIVE YEARS |
Onur Erzan
46 | | President and Chief Executive Officer | | See biography above. |
| | | | |
Daniel C. Roarty
50 | | Vice President | | Senior Vice President of the Adviser**, with which he has been associated since prior to 2017. He is also Chief Investment Officer of Sustainable Thematic Equities. |
| | | | |
Emilie D. Wrapp
66 | | Secretary | | Senior Vice President, Assistant General Counsel and Assistant Secretary of ABI**, with which she has been associated since prior to 2017. |
| | | | |
Michael B. Reyes 45 | | Senior Vice President and Senior Analyst | | Vice President of the Adviser**, with which he has been associated since prior to 2017. |
| | | | |
Joseph J. Mantineo
62 | | Treasurer and Chief Financial Officer | | Senior Vice President of AllianceBernstein Investor Services, Inc. (“ABIS”)**, with which he has been associated since prior to 2017. |
| | | | |
Phyllis J. Clarke
61 | | Controller | | Vice President of ABIS**, with which she has been associated since prior to 2017. |
| | | | |
Vincent S. Noto
57 | | Chief Compliance Officer | | Senior Vice President and Mutual Fund Chief Compliance Officer of the Adviser** since prior to 2017. |
| * | | The address for each of the Portfolio’s Officers is 1345 Avenue of the Americas, New York, NY 10105. |
| ** | | The Adviser, ABIS and ABI are affiliates of the Fund. |
| | | The Fund’s Statement of Additional Information (“SAI”) has additional information about the Fund’s Directors and Officers and is available without charge upon request. Contact your financial representative or the Adviser at (800) 227-4618, or visit www.abfunds.com, for a free prospectus or SAI. |
36
| | |
| | |
| | |
| |
| INTERNATIONAL GROWTH PORTFOLIO | | AB Variable Products Series Fund |
OPERATION AND EFFECTIVENESS OF THE PORTFOLIO’S LIQUIDITY RISK MANAGEMENT PROGRAM:
In October 2016, the Securities and Exchange Commission (“SEC”) adopted the open-end fund liquidity rule (the “Liquidity Rule”). In June 2018 the SEC adopted a requirement that funds disclose information about the operation and effectiveness of their Liquidity Risk Management Program (“LRMP”) in their reports to shareholders.
One of the requirements of the Liquidity Rule is for the Portfolio to designate an Administrator of the Portfolio’s Liquidity Risk Management Program. The Administrator of the Portfolio’s LRMP is AllianceBernstein L.P., the Portfolio’s investment adviser (the “Adviser”). The Adviser has delegated the responsibility to its Liquidity Risk Management Committee (the “Committee”).
Another requirement of the Liquidity Rule is for the Portfolio’s Board of Directors (the “Fund Board”) to receive an annual written report from the Administrator of the LRMP, which addresses the operation of the Portfolio’s LRMP and assesses its adequacy and effectiveness. The Adviser provided the Fund Board with such annual report during the first quarter of 2021, which covered the period January 1, 2020 through December 31, 2020 (the “Program Reporting Period”).
The LRMP’s principal objectives include supporting the Portfolio’s compliance with limits on investments in illiquid assets and mitigating the risk that the Portfolio will be unable to meet its redemption obligations in a timely manner.
Pursuant to the LRMP, the Portfolio classifies the liquidity of its portfolio investments into one of the four categories defined by the SEC: Highly Liquid, Moderately Liquid, Less Liquid, and Illiquid. These classifications are reported to the SEC on Form N-PORT.
During the Program Reporting Period, the Committee reviewed whether the Portfolio’s strategy is appropriate for an open-end structure, incorporating any holdings of less liquid and illiquid assets. If the Portfolio participated in derivative transactions, the exposure from such transactions were considered in the LRMP.
The Committee also performed an analysis to determine whether the Portfolio is required to maintain a Highly Liquid Investment Minimum (“HLIM”). The Committee also incorporated the following information when determining the Portfolio’s reasonably anticipated trading size for purposes of liquidity monitoring: historical net redemption activity, a Portfolio’s concentration in an issuer, shareholder concentration, investment performance, total net assets, and distribution channels.
The Adviser informed the Fund Board that the Committee believes the Portfolio’s LRMP is adequately designed, has been implemented as intended, and has operated effectively since its inception. No material exceptions have been noted since the implementation of the LRMP. During the Program Reporting Period, beginning in March 2020, all financial markets experienced extreme levels of price volatility and relative illiquidity resulting from the COVID-19 impacts on the global economy. This extreme relative illiquidity resulted in significantly wider bid-ask spreads to transact in securities, including many of those securities held by the Portfolio, and in a diminished depth of liquidity in most markets, to varying degrees. Nonetheless, there were no liquidity events that impacted the Portfolio or its ability to timely meet redemptions during the Program Reporting Period.
37
| | |
| | | |
| INTERNATIONAL GROWTH PORTFOLIO |
| |
| CONTINUANCE DISCLOSURE | | AB Variable Products Series Fund |
INFORMATION REGARDING THE REVIEW AND APPROVAL OF THE FUND’S ADVISORY AGREEMENT
The disinterested directors (the “directors”) of AB Variable Products Series Fund, Inc. (the “Company”) unanimously approved the continuance of the Company’s Advisory Agreement with the Adviser in respect of AB International Growth Portfolio (the “Fund”) at a meeting held by video conference on May 3-5, 2021 (the “Meeting”).
Prior to approval of the continuance of the Advisory Agreement, the directors had requested from the Adviser, and received and evaluated, extensive materials. They reviewed the proposed continuance of the Advisory Agreement with the Adviser and with experienced counsel who are independent of the Adviser, who advised on the relevant legal standards. The directors also reviewed additional materials, including comparative analytical data prepared by the Senior Analyst for the Fund. The directors also discussed the proposed continuance in private sessions with counsel.
The directors considered their knowledge of the nature and quality of the services provided by the Adviser to the Fund gained from their experience as directors or trustees of most of the registered investment companies advised by the Adviser, their overall confidence in the Adviser’s integrity and competence they have gained from that experience, the Adviser’s initiative in identifying and raising potential issues with the directors and its responsiveness, frankness and attention to concerns raised by the directors in the past, including the Adviser’s willingness to consider and implement organizational and operational changes designed to improve investment results and the services provided to the AB Funds. The directors noted that they have four regular meetings each year, at each of which they review extensive materials and information from the Adviser, including information on the investment performance of the Fund.
The directors also considered all factors they believed relevant, including the specific matters discussed below. During the course of their deliberations, the directors evaluated, among other things, the reasonableness of the advisory fee. The directors did not identify any particular information that was all-important or controlling, and different directors may have attributed different weights to the various factors. The directors determined that the selection of the Adviser to manage the Fund and the overall arrangements between the Fund and the Adviser, as provided in the Advisory Agreement, including the advisory fee, were fair and reasonable in light of the services performed, expenses incurred and such other matters as the directors considered relevant in the exercise of their business judgment. The material factors and conclusions that formed the basis for the directors’ determinations included the following:
Nature, Extent and Quality of Services Provided
The directors considered the scope and quality of services provided by the Adviser under the Advisory Agreement, including the quality of the investment research capabilities of the Adviser and the other resources it has dedicated to performing services for the Fund. The directors noted that the Adviser from time to time reviews the Fund’s investment strategies and from time to time proposes changes intended to improve the Fund’s relative or absolute performance for the directors’ consideration. They also noted the professional experience and qualifications of the Fund’s portfolio management team and other senior personnel of the Adviser. The directors also considered that the Advisory Agreement provides that the Fund will reimburse the Adviser for the cost to it of providing certain clerical, accounting, administrative and other services to the Fund by employees of the Adviser or its affiliates. Requests for these reimbursements are made on a quarterly basis and subject to approval by the directors. Reimbursements, to the extent requested and paid, result in a higher rate of total compensation from the Fund to the Adviser than the fee rate stated in the Advisory Agreement. The directors noted that the methodology used to determine the reimbursement amounts had been reviewed by an independent consultant at the request of the directors. The quality of administrative and other services, including the Adviser’s role in coordinating the activities of the Fund’s other service providers, also was considered. The directors concluded that, overall, they were satisfied with the nature, extent and quality of services provided to the Fund under the Advisory Agreement.
Costs of Services Provided and Profitability
The directors reviewed a schedule of the revenues and expenses and related notes indicating the profitability of the Fund to the Adviser for calendar years 2019 and 2020 that had been prepared with an expense allocation methodology arrived at in consultation with an independent consultant at the request of the directors. The directors noted the assumptions and methods of allocation used by the Adviser in preparing fund-specific profitability data and understood that there are a number of potentially acceptable allocation methodologies for information of this type. The directors noted that the profitability information reflected all revenues and expenses of the Adviser’s relationship with the Fund, including those relating to its subsidiaries that provide transfer agency, distribution and brokerage services to the Fund. The directors recognized that it is difficult to make comparisons of the profitability of the Advisory Agreement with the profitability of fund advisory contracts for unaffiliated funds because comparative information is not generally publicly available and is affected by numerous
38
| | |
| |
| | | AB Variable Products Series Fund |
factors. The directors focused on the profitability of the Adviser’s relationship with the Fund before taxes and distribution expenses. The directors concluded that the Adviser’s level of profitability from its relationship with the Fund was not unreasonable.
Fall-Out Benefits
The directors considered the other benefits to the Adviser and its affiliates from their relationships with the Fund, including, but not limited to, benefits relating to soft dollar arrangements (whereby investment advisers receive brokerage and research services from brokers that execute agency transactions for their clients); 12b-1 fees and sales charges received by the Fund’s principal underwriter (which is a wholly owned subsidiary of the Adviser) in respect of the Fund’s Class B shares; brokerage commissions paid by the Fund to brokers affiliated with the Adviser; and transfer agency fees paid by the Fund to a wholly owned subsidiary of the Adviser. The directors recognized that the Adviser’s profitability would be somewhat lower without these benefits. The directors understood that the Adviser also might derive reputational and other benefits from its association with the Fund.
Investment Results
In addition to the information reviewed by the directors in connection with the Meeting, the directors receive detailed performance information for the Fund at each regular Board meeting during the year.
At the Meeting, the directors reviewed performance information prepared by an independent service provider (the “15(c) service provider”), showing the performance of the Class A Shares of the Fund against a group of similar funds (“peer group”) and a larger group of similar funds (“peer universe”), each selected by the 15(c) service provider, and information prepared by the Adviser showing performance of the Class A Shares against a broad-based securities market index, in each case for the 1-, 3-, 5- and 10-year periods ended February 28, 2021 and (in the case of comparisons with the broad-based securities market index) for the period from inception. Based on their review, the directors concluded that the Fund’s investment performance was acceptable.
Advisory Fees and Other Expenses
The directors considered the advisory fee rate payable by the Fund to the Adviser and information prepared by the 15(c) service provider concerning advisory fee rates payable by other funds in the same category as the Fund. The directors recognized that it is difficult to make comparisons of advisory fees because there are variations in the services that are included in the fees paid by other funds. The directors compared the Fund’s contractual effective advisory fee rate with a peer group median. Taking into account the administrative expense reimbursement paid to the Adviser in the latest fiscal year, the directors noted that the Adviser’s total rate of compensation was above the median.
The directors also considered the Adviser’s fee schedule for other clients utilizing investment strategies similar to those of the Fund. For this purpose, they reviewed the relevant advisory fee information from the Adviser’s Form ADV and in a report from the Fund’s Senior Analyst and noted the differences between the Fund’s fee schedule, on the one hand, and the Adviser’s institutional fee schedule, on the other. The directors noted that the Adviser may, in some cases, agree to fee rates with large institutional clients that are lower than those reviewed by the directors and that they had previously discussed with the Adviser its policies in respect of such arrangements. The directors also compared the advisory fee rate for the Fund with that for another fund advised by the Adviser utilizing similar investment strategies.
The Adviser reviewed with the directors the significantly greater scope of the services it provides to the Fund relative to institutional clients. In this regard, the Adviser noted, among other things, that, compared to institutional accounts, the Fund (i) demands considerably more portfolio management, research and trading resources due to significantly higher daily cash flows; (ii) has more tax and regulatory restrictions and compliance obligations; (iii) must prepare and file or distribute regulatory and other communications about fund operations; and (iv) must provide shareholder servicing to retail investors. The Adviser also reviewed the greater legal risks presented by the large and changing population of Fund shareholders who may assert claims against the Adviser in individual or class actions, and the greater entrepreneurial risk in offering new fund products, which require substantial investment to launch, may not succeed, and generally must be priced to compete with larger, more established funds resulting in lack of profitability to the Adviser until a new fund achieves scale. In light of the substantial differences in services rendered by the Adviser to institutional clients as compared to the Fund, and the different risk profile, the directors considered these fee comparisons inapt and did not place significant weight on them in their deliberations.
39
| | |
| INTERNATIONAL GROWTH PORTFOLIO | | |
| CONTINUANCE DISCLOSURE | | |
| |
| (continued) | | AB Variable Products Series Fund |
In connection with their review of the Fund’s advisory fee, the directors also considered the total expense ratio of the Class A shares of the Fund in comparison to a peer group and a peer universe selected by the 15(c) service provider. The Class A expense ratio of the Fund was based on the Fund’s latest fiscal year. The directors noted that it was likely that the expense ratios of some of the other funds in the Fund’s category were lowered by waivers or reimbursements by those funds’ investment advisers, which in some cases might be voluntary or temporary. The directors view expense ratio information as relevant to their evaluation of the Adviser’s services because the Adviser is responsible for coordinating services provided to the Fund by others. The directors noted that the Fund’s expense ratio was above a median, after giving effect to a voluntary waiver by the Adviser. After reviewing and discussing the Adviser’s explanations of the reasons for this, the directors concluded that the Fund’s expense ratio was acceptable.
Economies of Scale
The directors noted that the advisory fee schedule for the Fund contains breakpoints that reduce the fee rates on assets above specified levels. The directors took into consideration prior presentations by an independent consultant on economies of scale in the mutual fund industry and for the AB Funds, and presentations from time to time by the Adviser concerning certain of its views on economies of scale. The directors also had requested and received from the Adviser certain updates on economies of scale in advance of the Meeting. The directors believe that economies of scale may be realized (if at all) by the Adviser across a variety of products and services, and not only in respect of a single fund. The directors noted that there is no established methodology for setting breakpoints that give effect to the fund-specific services provided by a fund’s adviser and to the economies of scale that an adviser may realize in its overall mutual fund business or those components of it which directly or indirectly affect a fund’s operations. The directors observed that in the mutual fund industry as a whole, as well as among funds similar to the Fund, there is no uniformity or pattern in the fees and asset levels at which breakpoints (if any) apply. The directors also noted that the advisory agreements for many funds do not have breakpoints at all. Having taken these factors into account, the directors concluded that the Fund’s shareholders would benefit from a sharing of economies of scale in the event the Fund’s net assets exceed a breakpoint in the future.
40
VPS-IG-0151-1221
DEC 12.31.21
ANNUAL REPORT
AB VARIABLE PRODUCTS SERIES FUND, INC.
| + | | INTERNATIONAL VALUE PORTFOLIO |
As of May 1, 2021, as permitted by regulations adopted by the Securities and Exchange Commission, you may not be receiving paper copies of the Portfolio’s shareholder reports from the insurance company that offers your contract unless you specifically requested paper copies from the insurance company or from your financial intermediary. Instead of delivering paper copies of the reports, the insurance company may choose to make the reports available on a website, and will notify you by mail each time a report is posted and provide you with a website link to access the report. Instructions for requesting paper copies will be provided by your insurance company.
You may elect to receive all future reports in paper free of charge from the insurance company. You can inform the insurance company or your financial intermediary that you wish to continue receiving paper copies of your shareholder reports by following the instructions provided by the insurance company or by contacting your financial intermediary. Your election to receive reports in paper will apply to all portfolio companies available under your contract with the insurance company.
Investment Products Offered
| | • | | Are Not Bank Guaranteed |
AllianceBernstein Investments, Inc. (ABI) is the distributor of the AB family of mutual funds. ABI is a member of FINRA and is an affiliate of AllianceBernstein L.P., the Adviser of the funds.
You may obtain a description of the Fund’s proxy voting policies and procedures, and information regarding how the Fund voted proxies relating to portfolio securities during the most recent 12-month period ended June 30, without charge. Simply visit AB’s website at www.abfunds.com or go to the Securities and Exchange Commission’s (the “Commission”) website at www.sec.gov, or call AB at (800) 227 4618.
The Fund files its complete schedule of portfolio holdings with the Commission for the first and third quarters of each fiscal year as an exhibit to its reports on Form N-PORT. The Fund’s Form N-PORT reports are available on the Commission’s website at www.sec.gov. The Fund’s Forms N-PORT may also be reviewed and copied at the Commission’s Public Reference Room in Washington, DC; information on the operation of the Public Reference Room may be obtained by calling (800) SEC 0330.
The [A/B] logo is a registered service mark of AllianceBernstein and AllianceBernstein® is a registered service mark used by permission of the owner, AllianceBernstein L.P.
| | |
| | |
| | |
| |
| INTERNATIONAL VALUE PORTFOLIO | | AB Variable Products Series Fund |
LETTER TO INVESTORS
February 14, 2022
The following is an update of AB Variable Products Series Fund—International Value Portfolio (the “Portfolio”) for the annual reporting period ended December 31, 2021.
INVESTMENT OBJECTIVE AND POLICIES
The Portfolio’s investment objective is long-term growth of capital. The Portfolio invests primarily in a diversified portfolio of equity securities of established companies selected from more than 40 industries and more than 40 developed- and emerging-market countries. These countries currently include the developed nations in Europe and the Far East, Canada, Australia and emerging-market countries worldwide. Under normal market conditions, the Portfolio invests significantly, at least 40%—unless market conditions are not deemed favorable by the Adviser—in securities of non-US companies. In addition, the Portfolio invests, under normal circumstances, in the equity securities of companies located in at least three countries.
The Portfolio invests in companies that are determined by the Adviser to be undervalued, using a fundamental value approach. In selecting securities for the Portfolio, the Adviser uses its fundamental and quantitative research to identify companies whose stocks are priced low in relation to their perceived long-term earnings power.
Currencies can have a dramatic impact on equity returns, significantly adding to returns in some years and greatly diminishing them in others. The Adviser evaluates currency and equity positions separately and may seek to hedge the currency exposure resulting from securities positions when it finds the currency exposure unattractive. To hedge a portion of its currency risk, the Portfolio may from time to time invest in currency-related derivatives, including forward currency exchange contracts, futures, options on futures, swaps and options. The Adviser may also seek investment opportunities by taking long or short positions in currencies through the use of currency-related derivatives.
The Portfolio may enter into other derivatives transactions, such as options, futures contracts, forwards and swaps. The Portfolio may use options strategies involving the purchase and/or writing of various combinations of call and/or put options, including on individual securities and stock indices, futures contracts (including futures contracts on individual securities and stock indices) or shares of exchange-traded funds (“ETFs”).
The Portfolio may, at times, invest in shares of ETFs in lieu of making direct investments in equity securities. ETFs may provide more efficient and economical exposure to the type of companies and geographic locations in which the Portfolio seeks to invest than direct investments. The Portfolio may invest in depositary receipts, instruments of supranational entities denominated in the currency of any country, securities of multinational companies and “semi-governmental securities,” and enter into forward commitments.
INVESTMENT RESULTS
The table on page 5 shows the Portfolio’s performance compared to its benchmark, the Morgan Stanley Capital International Europe, Australasia and the Far East (“MSCI EAFE”) Index (net), for the one-, five- and 10-year periods ended December 31, 2021.
During the annual period, all share classes of the Portfolio underperformed the benchmark. Sector selection drove underperformance, relative to the benchmark. Losses from underweights to the technology and industrials sectors detracted most, while underweights to health care and consumer staples contributed. Overall security selection was positive. Selection within financials and consumer staples contributed, offsetting losses within the materials and technology sectors. In terms of country positioning (a result of bottom-up security analysis driven by fundamental research), an overweight to South Korea detracted while an underweight to Hong Kong contributed.
The Portfolio used derivatives in the form of forwards for hedging purposes, which added to absolute returns during the annual period.
MARKET REVIEW AND INVESTMENT STRATEGY
International equities recorded double-digit returns and emerging markets lost ground during the annual period ended December 31, 2021. International markets were supported by accommodative monetary policy and strong company earnings growth, while economic turbulence in China, geopolitical risks and inflation pressured emerging markets. Increased market volatility periodically sent risk assets lower, but investors continued to buy the dip. Toward the end of the period, equity markets fell as the rapid spread of the coronavirus omicron variant triggered concern that new restrictions could derail the economic recovery. Encouraging developments in COVID-19 treatments and vaccines and a reluctance to reinstate shutdowns helped investors look past the potential impact of the omicron variant. Stock markets gave back gains, however, after the US Federal Reserve (the “Fed”) took a hawkish pivot and confirmed that it would accelerate the wind-down of its bond purchases and raise rates multiple times in 2022. After digesting the Fed’s comments, equity markets rose as investors appeared to adjust to the shift and
1
| | |
| |
| | | AB Variable Products Series Fund |
remained focused on still generally supportive monetary policy. Growth outperformed value, in terms of style, and large-cap stocks outperformed their small-cap peers.
The Portfolio’s Senior Investment Management Team (the “Team”) has continued to identify opportunities against a changing market backdrop. The Team has flexibility to adjust the Portfolio’s positions in real time when warranted, and to maintain conviction through short-term volatility. As markets face new uncertainties, the Team believes that this disciplined approach is the best way to capture the long-term potential for equities.
2
| | |
| | |
| INTERNATIONAL VALUE PORTFOLIO | | |
| |
| DISCLOSURES AND RISKS | | AB Variable Products Series Fund |
Benchmark Disclosure
The MSCI EAFE Index is unmanaged and does not reflect fees and expenses associated with the active management of a mutual fund portfolio. The MSCI EAFE Index (net, free float-adjusted, market capitalization weighted) represents the equity market performance of developed markets, excluding the US and Canada. MSCI makes no express or implied warranties or representations, and shall have no liability whatsoever with respect to any MSCI data contained herein. The MSCI data may not be further redistributed or used as a basis for other indices, any securities or financial products. This report is not approved, reviewed or produced by MSCI. Net returns reflect the reinvestment of dividends after the deduction of non-US withholding tax. An investor cannot invest directly in an index, and its results are not indicative of the performance for any specific investment, including the Portfolio.
A Word About Risk
Market Risk: The value of the Portfolio’s assets will fluctuate as the stock or bond market fluctuates. The value of its investments may decline, sometimes rapidly and unpredictably, simply because of economic changes or other events, including public health crises (including the occurrence of a contagious disease or illness), that affect large portions of the market. It includes the risk that a particular style of investing, such as the Portfolio’s value approach, may underperform the market generally.
Foreign (Non-US) Risk: Investments in securities of non-US issuers may involve more risk than those of US issuers. These securities may fluctuate more widely in price and may be more difficult to trade due to adverse market, economic, political, regulatory or other factors.
Emerging-Market Risk: Investments in emerging-market countries may have more risk because the markets are less developed and less liquid, and because these investments may be subject to increased economic, political, regulatory or other uncertainties.
Currency Risk: Fluctuations in currency exchange rates may negatively affect the value of the Portfolio’s investments or reduce its returns.
Derivatives Risk: Derivatives may be difficult to price or unwind and leveraged so that small changes may produce disproportionate losses for the Portfolio. Derivatives, especially over-the-counter derivatives, are also subject to counterparty risk, which is the risk that the counterparty (the party on the other side of the transaction) on a derivative transaction will be unable or unwilling to honor its contractual obligations to the Portfolio.
Leverage Risk: When the Portfolio borrows money or otherwise leverages its portfolio, its net asset value (“NAV”) may be more volatile because leverage tends to exaggerate the effect of changes in interest rates and any increase or decrease in the value of the Portfolio’s investments. The Portfolio may create leverage through the use of reverse repurchase agreements, forward commitments, or by borrowing money.
Management Risk: The Portfolio is subject to management risk because it is an actively managed investment fund. The Adviser will apply its investment techniques and risk analyses in making investment decisions for the Portfolio, but there is no guarantee that its techniques will produce the intended results. Some of these techniques may incorporate, or rely upon, quantitative models, but there is no guarantee that these models will generate accurate forecasts, reduce risk or otherwise perform as expected.
These risks are fully discussed in the Variable Products prospectus. As with all investments, you may lose money by investing in the Portfolio.
An Important Note About Historical Performance
The investment return and principal value of an investment in the Portfolio will fluctuate, so that shares, when redeemed, may be worth more or less than their original cost. Performance shown in this report represents past performance and does not guarantee future results. Current performance may be lower or higher than the performance information shown. Please contact your financial advisor or insurance agent representative at your financial institution to obtain portfolio performance information current to the most recent month-end.
Investors should consider the investment objectives, risks, charges and expenses of the Portfolio carefully before investing. For additional copies of the Portfolio’s prospectus or summary prospectus, which contains this and other
(Disclosures, Risks and Note About Historical Performance continued on next page)
3
| | |
| | |
| DISCLOSURES AND RISKS | | |
| |
| (continued) | | AB Variable Products Series Fund |
information, call your financial advisor or (800) 227 4618. Please read the prospectus and/or summary prospectus carefully before investing.
All fees and expenses related to the operation of the Portfolio have been deducted, but no adjustment has been made for insurance company separate account or annuity contract charges, which would reduce total return to a contract owner. Performance assumes reinvestment of distributions and does not account for taxes.
There are additional fees and expenses associated with all Variable Products. These fees can include mortality and expense risk charges, administrative charges, and other charges that can significantly reduce investment returns. Those fees and expenses are not reflected in this annual report. You should consult your Variable Products prospectus for a description of those fees and expenses and speak to your insurance agent or financial representative if you have any questions. You should read the prospectus before investing or sending money.
4
| | |
| | |
| INTERNATIONAL VALUE PORTFOLIO | | |
| |
| HISTORICAL PERFORMANCE | | AB Variable Products Series Fund |
| | | | | | | | | | | | |
| | | | | | | | | | | | |
| THE PORTFOLIO VS. ITS BENCHMARK | | Net Asset Value Returns | |
| PERIODS ENDED DECEMBER 31, 2021 (unaudited) | | 1 Year | | | 5 Years1 | | | 10 Years1 | |
| | | |
| International Value Portfolio Class A | | | 11.08% | | | | 5.24% | | | | 5.70% | |
| | | |
| International Value Portfolio Class B | | | 10.86% | | | | 4.98% | | | | 5.44% | |
| | | |
| MSCI EAFE Index (net) | | | 11.26% | | | | 9.55% | | | | 8.03% | |
1 Average annual returns. | |
| | | | | | | | | | | | |
The Portfolio’s current prospectus fee table shows the Portfolio’s total annual operating expense ratios as 0.92% and 1.17% for Class A and Class B shares, respectively, gross of any fee waivers or expense reimbursements. The Financial Highlights section of this report sets forth expense ratio data for the current reporting period; the expense ratios shown above may differ from the expense ratios in the Financial Highlights section since they are based on different time periods.
GROWTH OF A $10,000 INVESTMENT
12/31/2011 TO 12/31/2021 (unaudited)
This chart illustrates the total value of an assumed $10,000 investment in International Value Portfolio Class A shares (from 12/31/2011 to 12/31/2021) as compared to the performance of the Portfolio’s benchmark. The chart assumes the reinvestment of dividends and capital gains distributions.
See Disclosures, Risks and Note About Historical Performance on pages 3-4.
5
| | |
| | |
| INTERNATIONAL VALUE PORTFOLIO | | |
| |
| EXPENSE EXAMPLE (unaudited) | | AB Variable Products Series Fund |
As a shareholder of the Portfolio, you incur two types of costs: (1) transaction costs, including sales charges (loads) on purchase payments, contingent deferred sales charges on redemptions and (2) ongoing costs, including management fees; distribution (12b-1) fees; and other Portfolio expenses. This example is intended to help you understand your ongoing costs (in dollars) of investing in the Portfolio and to compare these costs with the ongoing costs of investing in other mutual funds.
The Example is based on an investment of $1,000 invested at the beginning of the period and held for the entire period as indicated below.
Actual Expenses
The table below provides information about actual account values and actual expenses. You may use the information in this line, together with the amount you invested, to estimate the expenses that you paid over the period. Simply divide your account value by $1,000 (for example, an $8,600 account value divided by $1,000 = 8.6), then multiply the result by the number in the first line under the heading entitled “Expenses Paid During Period” to estimate the expenses you paid on your account during this period. The estimate of expenses does not include fees or other expenses of any variable insurance product. If such expenses were included, the estimate of expenses you paid during the period would be higher and your ending account value would be lower.
Hypothetical Example for Comparison Purposes
The table below provides information about hypothetical account values and hypothetical expenses based on the Portfolio’s actual expense ratio and an assumed annual rate of return of 5% before expenses, which is not the Portfolio’s actual return. The hypothetical account values and expenses may not be used to estimate the actual ending account balance or expenses you paid for the period. You may use this information to compare the ongoing costs of investing in the Portfolio and other funds by comparing this 5% hypothetical example with the 5% hypothetical examples that appear in the shareholder reports of other funds. The estimate of expenses does not include fees or other expenses of any variable insurance product. If such expenses were included, the estimate of expenses you paid during the period would be higher and your ending account value would be lower.
Please note that the expenses shown in the table are meant to highlight your ongoing costs only and do not reflect any transactional costs, such as sales charges (loads), or contingent deferred sales charges on redemptions. Therefore, the second line of each class’ table is useful in comparing ongoing costs only, and will not help you determine the relative total costs of owning different funds. In addition, if these transactional costs were included, your costs would have been higher.
| | | | | | | | | | | | | | | | |
| | | Beginning
Account Value
0 | | | Ending
Account Value
December 31, 2021 | | | Expenses Paid
During Period* | | | Annualized
Expense Ratio* | |
Class A | | | | | | | | | | | | |
Actual | | $ | 1,000 | | | $ | 1,012.10 | | | $ | 4.51 | | | | 0.89 | % |
Hypothetical (5% annual return before expenses) | | $ | 1,000 | | | $ | 1,020.72 | | | $ | 4.53 | | | | 0.89 | % |
| | | | | | | | | | | | | | | | |
Class B | | | | | | | | | | | | |
Actual | | $ | 1,000 | | | $ | 1,010.60 | | | $ | 5.78 | | | | 1.14 | % |
Hypothetical (5% annual return before expenses) | | $ | 1,000 | | | $ | 1,019.46 | | | $ | 5.80 | | | | 1.14 | % |
| * | | Expenses are equal to each classes’ annualized expense ratios, multiplied by the average account value over the period, multiplied by 184/365 (to reflect the one-half year period). |
6
| | |
| INTERNATIONAL VALUE PORTFOLIO | | |
| TEN LARGEST HOLDINGS1 | | |
| |
| December 31, 2021 (unaudited) | | AB Variable Products Series Fund |
| | | | | | | | |
| COMPANY | | U.S. $ VALUE | | | PERCENT OF NET ASSETS | |
Roche Holding AG | | $ | 15,972,153 | | | | 4.6 | % |
Nestle SA | | | 11,681,778 | | | | 3.3 | |
SCREEN Holdings Co., Ltd. | | | 8,531,774 | | | | 2.4 | |
Erste Group Bank AG | | | 7,677,597 | | | | 2.2 | |
Stellantis NV | | | 7,394,192 | | | | 2.1 | |
EDP—Energias de Portugal SA | | | 7,253,599 | | | | 2.1 | |
Airbus SE | | | 7,193,002 | | | | 2.1 | |
Fuji Electric Co., Ltd. | | | 7,123,502 | | | | 2.0 | |
Bank of Ireland Group PLC | | | 6,948,055 | | | | 2.0 | |
Suncorp Group Ltd. | | | 6,570,727 | | | | 1.9 | |
| | | | | | | | | |
| | | $ | 86,346,379 | | | | 24.7 | % |
SECTOR BREAKDOWN2
December 31, 2021 (unaudited)
| | | | | | | | |
| SECTOR | | U.S. $ VALUE | | | PERCENT OF TOTAL INVESTMENTS | |
Consumer Discretionary | | $ | 71,209,842 | | | | 20.4 | % |
Financials | | | 64,924,178 | | | | 18.6 | |
Industrials | | | 41,786,883 | | | | 12.0 | |
Consumer Staples | | | 40,313,966 | | | | 11.6 | |
Health Care | | | 31,677,254 | | | | 9.1 | |
Information Technology | | | 25,117,596 | | | | 7.2 | |
Materials | | | 22,192,824 | | | | 6.4 | |
Communication Services | | | 14,719,234 | | | | 4.2 | |
Energy | | | 12,979,028 | | | | 3.7 | |
Utilities | | | 12,113,615 | | | | 3.5 | |
Real Estate | | | 9,421,001 | | | | 2.7 | |
Short-Term Investments | | | 2,076,417 | | | | 0.6 | |
| | | | | | | | | |
Total Investments | | $ | 348,531,838 | | | | 100.0 | % |
| 2 | | The Portfolio’s sector breakdown is expressed as a percentage of total investments (excluding security lending collateral) and may vary over time. The Portfolio 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). |
Please note: The sector classifications presented herein are based on the Global Industry Classification Standard (GICS) which was developed by Morgan Stanley Capital International and Standard & Poor’s. The components are divided into sector, industry group, and industry sub-indices as classified by the GICS for each of the market capitalization indices in the broad market. These sector classifications are broadly defined. The “Portfolio of Investments” section of the report reflects more specific industry information and is consistent with the investment restrictions discussed in the Portfolio’s prospectus.
7
| | |
| INTERNATIONAL VALUE PORTFOLIO | | |
| COUNTRY BREAKDOWN1 | | |
| |
| December 31, 2021 (unaudited) | | AB Variable Products Series Fund |
| | | | | | | | |
| COUNTRY | | U.S. $ VALUE | | | PERCENT OF TOTAL INVESTMENTS | |
Japan | | $ | 81,668,054 | | | | 23.4 | % |
United Kingdom | | | 46,889,632 | | | | 13.5 | |
France | | | 28,601,258 | | | | 8.2 | |
Switzerland | | | 27,653,932 | | | | 7.9 | |
Italy | | | 19,697,707 | | | | 5.7 | |
Germany | | | 14,390,914 | | | | 4.1 | |
Netherlands | | | 13,207,419 | | | | 3.8 | |
Ireland | | | 12,741,811 | | | | 3.7 | |
South Korea | | | 9,878,312 | | | | 2.8 | |
Spain | | | 9,031,996 | | | | 2.6 | |
Canada | | | 8,320,465 | | | | 2.4 | |
Sweden | | | 8,080,595 | | | | 2.3 | |
Austria | | | 7,677,597 | | | | 2.2 | |
Other | | | 58,615,729 | | | | 16.8 | |
Short-Term Investments | | | 2,076,417 | | | | 0.6 | |
| | | | | | | | | |
Total Investments | | $ | 348,531,838 | | | | 100.0 | % |
| 1 | | All data are as of December 31, 2021. The Portfolio’s country breakdown is expressed as a percentage of total investments (excluding security lending collateral) and may vary over time. “Other” country weightings represent 2.1% or less in the following: Australia, Belgium, Denmark, Finland, Israel, Macau, Norway, Poland, Portugal, South Africa and United States. |
8
| | |
| INTERNATIONAL VALUE PORTFOLIO | | |
| PORTFOLIO OF INVESTMENTS | | |
| |
| December 31, 2021 | | AB Variable Products Series Fund |
| | | | | | | | |
Company | | Shares | | | U.S. $ Value | |
| | | | | | | | |
COMMON STOCKS–99.0% | | | | | | | | |
CONSUMER DISCRETIONARY–20.3% | | | | | | | | |
AUTO COMPONENTS–3.3% | | | | | | | | |
Faurecia SE | | | 112,936 | | | $ | 5,373,044 | |
Pirelli & C SpA(a) | | | 890,650 | | | | 6,177,109 | |
| | | | | | | | |
| | | | | | | 11,550,153 | |
| | | | | | | | |
AUTOMOBILES–3.4% | | | | | | | | |
Stellantis NV | | | 389,738 | | | | 7,394,192 | |
Suzuki Motor Corp. | | | 113,300 | | | | 4,369,169 | |
| | | | | | | | |
| | | | | | | 11,763,361 | |
| | | | | | | | |
DIVERSIFIED CONSUMER SERVICES–1.3% | | | | | | | | |
Benesse Holdings, Inc. | | | 237,400 | | | | 4,661,884 | |
| | | | | | | | |
HOTELS, RESTAURANTS & LEISURE–3.6% | | | | | | | | |
Entain PLC(b) | | | 223,640 | | | | 5,111,666 | |
Galaxy Entertainment Group Ltd.(b) | | | 547,000 | | | | 2,837,618 | |
Restaurant Brands International, Inc.(c) | | | 77,540 | | | | 4,701,623 | |
| | | | | | | | |
| | | | | | | 12,650,907 | |
| | | | | | | | |
HOUSEHOLD DURABLES–3.0% | | | | | | | | |
Persimmon PLC | | | 117,240 | | | | 4,544,107 | |
Sony Group Corp. | | | 48,100 | | | | 6,073,980 | |
| | | | | | | | |
| | | | | | | 10,618,087 | |
| | | | | | | | |
SPECIALTY RETAIL–1.6% | | | | | | | | |
Kingfisher PLC | | | 1,199,870 | | | | 5,519,094 | |
| | | | | | | | |
TEXTILES, APPAREL & LUXURY GOODS–4.1% | | | | | | | | |
Burberry Group PLC | | | 211,460 | | | | 5,219,308 | |
HUGO BOSS AG | | | 91,500 | | | | 5,538,859 | |
Pandora A/S | | | 29,650 | | | | 3,688,189 | |
| | | | | | | | |
| | | | | | | 14,446,356 | |
| | | | | | | | |
| | | | | | | 71,209,842 | |
| | | | | | | | |
FINANCIALS–18.6% | | | | | | | | |
BANKS–13.9% | | | | | | | | |
Banco Bilbao Vizcaya Argentaria SA | | | 869,360 | | | | 5,156,157 | |
Bank Leumi Le-Israel BM | | | 476,430 | | | | 5,110,195 | |
Bank of Ireland Group PLC(b) | | | 1,226,821 | | | | 6,948,055 | |
Bank Polska Kasa Opieki SA | | | 55,230 | | | | 1,667,043 | |
BNP Paribas SA | | | 78,800 | | | | 5,448,313 | |
Erste Group Bank AG | | | 163,770 | | | | 7,677,597 | |
KBC Group NV | | | 71,080 | | | | 6,107,281 | |
Mediobanca Banca di Credito Finanziario SpA | | | 435,470 | | | | 4,999,403 | |
Nordea Bank Abp | | | 457,320 | | | | 5,578,639 | |
| | | | | | | | |
| | | | | | | 48,692,683 | |
| | | | | | | | |
DIVERSIFIED FINANCIAL SERVICES–1.1% | | | | | | | | |
ORIX Corp. | | | 179,500 | | | | 3,663,266 | |
| | | | | | | | |
| | | | | | | | |
Company | | Shares | | | U.S. $ Value | |
| | | | | | | | |
INSURANCE–3.6% | | | | | | | | |
NN Group NV | | | 110,900 | | | $ | 5,997,502 | |
Suncorp Group Ltd.(c) | | | 816,130 | | | | 6,570,727 | |
| | | | | | | | |
| | | | | | | 12,568,229 | |
| | | | | | | | |
| | | | | | | 64,924,178 | |
| | | | | | | | |
INDUSTRIALS–11.9% | | | | | | | | |
AEROSPACE & DEFENSE–2.9% | | | | | | | | |
Airbus SE(b) | | | 56,220 | | | | 7,193,002 | |
Saab AB–Class B | | | 124,200 | | | | 3,154,642 | |
| | | | | | | | |
| | | | | | | 10,347,644 | |
| | | | | | | | |
ELECTRICAL EQUIPMENT–3.1% | | | | | | | | |
Fuji Electric Co., Ltd. | | | 130,400 | | | | 7,123,502 | |
Prysmian SpA | | | 97,330 | | | | 3,661,179 | |
| | | | | | | | |
| | | | | | | 10,784,681 | |
| | | | | | | | |
INDUSTRIAL CONGLOMERATES–1.8% | | | | | | | | |
Melrose Industries PLC | | | 2,930,120 | | | | 6,372,378 | |
| | | | | | | | |
MACHINERY–2.1% | | | | | | | | |
Alstom SA | | | 110,050 | | | | 3,907,924 | |
Amada Co., Ltd. | | | 350,800 | | | | 3,473,577 | |
| | | | | | | | |
| | | | | | | 7,381,501 | |
| | | | | | | | |
PROFESSIONAL SERVICES–1.0% | | | | | | | | |
UT Group Co., Ltd. | | | 93,800 | | | | 3,522,900 | |
| | | | | | | | |
ROAD & RAIL–1.0% | | | | | | | | |
Sankyu, Inc. | | | 81,400 | | | | 3,377,779 | |
| | | | | | | | |
| | | | | | | 41,786,883 | |
| | | | | | | | |
CONSUMER STAPLES–11.5% | | | | | | | | |
BEVERAGES–1.0% | | | | | | | | |
Carlsberg AS–Class B | | | 19,350 | | | | 3,340,734 | |
| | | | | | | | |
FOOD & STAPLES RETAILING–1.0% | | | | | | | | |
Koninklijke Ahold Delhaize NV | | | 99,120 | | | | 3,401,435 | |
| | | | | | | | |
FOOD PRODUCTS–6.4% | | | | | | | | |
Morinaga & Co., Ltd./Japan | | | 72,100 | | | | 2,358,234 | |
Nestle SA | | | 83,670 | | | | 11,681,778 | |
Nichirei Corp. | | | 142,400 | | | | 3,305,556 | |
Salmar ASA | | | 75,900 | | | | 5,234,812 | |
| | | | | | | | |
| | | | | | | 22,580,380 | |
| | | | | | | | |
TOBACCO–3.1% | | | | | | | | |
British American Tobacco PLC | | | 163,350 | | | | 6,065,464 | |
Swedish Match AB | | | 620,500 | | | | 4,925,953 | |
| | | | | | | | |
| | | | | | | 10,991,417 | |
| | | | | | | | |
| | | | | | | 40,313,966 | |
| | | | | | | | |
HEALTH CARE–9.1% | | | | | | | | |
HEALTH CARE EQUIPMENT & SUPPLIES–2.3% | | | | | | | | |
ConvaTec Group PLC(a) | | | 1,560,619 | | | | 4,076,778 | |
9
| | |
| |
| | | AB Variable Products Series Fund |
| | | | | | | | |
Company | | Shares | | | U.S. $ Value | |
| | | | | | | | |
Smith & Nephew PLC | | | 228,170 | | | $ | 3,982,107 | |
| | | | | | | | |
| | | | | | | 8,058,885 | |
| | | | | | | | |
PHARMACEUTICALS–6.8% | | | | | | | | |
Nippon Shinyaku Co., Ltd. | | | 38,100 | | | | 2,653,101 | |
Roche Holding AG | | | 38,500 | | | | 15,972,153 | |
Sanofi | | | 49,760 | | | | 4,993,115 | |
| | | | | | | | |
| | | | | | | 23,618,369 | |
| | | | | | | | |
| | | | | | | 31,677,254 | |
| | | | | | | | |
INFORMATION TECHNOLOGY–7.2% | | | | | | | | |
ELECTRONIC EQUIPMENT, INSTRUMENTS & COMPONENTS–0.8% | | | | | | | | |
Horiba Ltd. | | | 49,300 | | | | 2,899,029 | |
| | | | | | | | |
SEMICONDUCTORS & SEMICONDUCTOR EQUIPMENT–5.1% | | | | | | | | |
NXP Semiconductors NV | | | 16,720 | | | | 3,808,481 | |
SCREEN Holdings Co., Ltd. | | | 79,400 | | | | 8,531,774 | |
SK Hynix, Inc.(b) | | | 48,340 | | | | 5,309,308 | |
| | | | | | | | |
| | | | | | | 17,649,563 | |
| | | | | | | | |
TECHNOLOGY HARDWARE, STORAGE & PERIPHERALS–1.3% | | | | | | | | |
Samsung Electronics Co., Ltd. | | | 69,570 | | | | 4,569,004 | |
| | | | | | | | |
| | | | | | | 25,117,596 | |
| | | | | | | | |
MATERIALS–6.3% | | | | | | | | |
CHEMICALS–2.6% | | | | | | | | |
Tosoh Corp. | | | 402,000 | | | | 5,972,318 | |
Zeon Corp. | | | 257,400 | | | | 2,975,208 | |
| | | | | | | | |
| | | | | | | 8,947,526 | |
| | | | | | | | |
CONSTRUCTION MATERIALS–1.6% | | | | | | | | |
CRH PLC | | | 109,440 | | | | 5,793,755 | |
| | | | | | | | |
METALS & MINING–2.1% | | | | | | | | |
Agnico Eagle Mines Ltd. | | | 68,130 | | | | 3,618,843 | |
Anglo American PLC | | | 93,180 | | | | 3,832,700 | |
| | | | | | | | |
| | | | | | | 7,451,543 | |
| | | | | | | | |
| | | | | | | 22,192,824 | |
| | | | | | | | |
COMMUNICATION SERVICES–4.2% | | | | | | | | |
DIVERSIFIED TELECOMMUNICATION SERVICES–1.9% | | | | | | | | |
Deutsche Telekom AG | | | 262,880 | | | | 4,857,362 | |
Orange SA | | | 157,820 | | | | 1,685,861 | |
| | | | | | | | |
| | | | | | | 6,543,223 | |
| | | | | | | | |
ENTERTAINMENT–1.7% | | | | | | | | |
GungHo Online Entertainment, Inc. | | | 137,800 | | | | 3,097,732 | |
Konami Holdings Corp.(c) | | | 59,700 | | | | 2,865,572 | |
| | | | | | | | |
| | | | | | | 5,963,304 | |
| | | | | | | | |
| | | | | | | | |
Company | | Shares | | | U.S. $ Value | |
| | | | | | | | |
INTERACTIVE MEDIA & SERVICES–0.6% | | | | | | | | |
Dip Corp. | | | 65,000 | | | $ | 2,212,707 | |
| | | | | | | | |
| | | | | | | 14,719,234 | |
| | | | | | | | |
ENERGY–3.7% | | | | | | | | |
OIL, GAS & CONSUMABLE FUELS–3.7% | | | | | | | | |
ENEOS Holdings, Inc. | | | 831,000 | | | | 3,104,458 | |
Repsol SA | | | 327,265 | | | | 3,875,840 | |
Royal Dutch Shell PLC (Euronext Amsterdam)–Class A | | | 274,230 | | | | 5,998,730 | |
| | | | | | | | |
| | | | | | | 12,979,028 | |
| | | | | | | | |
UTILITIES–3.5% | | | | | | | | |
ELECTRIC UTILITIES–3.5% | | | | | | | | |
EDP–Energias de Portugal SA(c) | | | 1,320,444 | | | | 7,253,599 | |
Enel SpA | | | 607,800 | | | | 4,860,016 | |
| | | | | | | | |
| | | | | | | 12,113,615 | |
| | | | | | | | |
REAL ESTATE–2.7% | | | | | | | | |
REAL ESTATE MANAGEMENT & DEVELOPMENT–2.7% | | | | | | | | |
Aroundtown SA | | | 662,210 | | | | 3,994,694 | |
Daito Trust Construction Co., Ltd. | | | 47,300 | | | | 5,426,307 | |
| | | | | | | | |
| | | | | | | 9,421,001 | |
| | | | | | | | |
Total Common Stocks
(cost $300,394,648) | | | | | | | 346,455,421 | |
| | | | | | | | |
SHORT-TERM INVESTMENTS–0.6% | | | | | | | | |
INVESTMENT COMPANIES–0.6% | | | | | | | | |
AB Fixed Income Shares, Inc.–Government Money Market Portfolio–Class AB, 0.01%(d)(e)(f)
(cost $2,076,417) | | | 2,076,417 | | | | 2,076,417 | |
| | | | | | | | |
TOTAL INVESTMENTS BEFORE SECURITY LENDING COLLATERAL FOR SECURITIES LOANED–99.6%
(cost $302,471,065) | | | | | | | 348,531,838 | |
| | | | | | | | |
10
| | |
| INTERNATIONAL VALUE PORTFOLIO | | |
| PORTFOLIO OF INVESTMENTS | | |
| |
| (continued) | | AB Variable Products Series Fund |
| | | | | | | | |
Company | | Shares | | | U.S. $ Value | |
| | | | | | | | |
INVESTMENTS OF CASH COLLATERAL FOR SECURITIES LOANED–0.9% | | | | | | | | |
INVESTMENT COMPANIES–0.9% | | | | | | | | |
AB Fixed Income Shares, Inc.–Government Money Market Portfolio–Class AB, 0.01%(d)(e)(f)
(cost $3,294,586) | | | 3,294,586 | | | $ | 3,294,586 | |
| | | | | | | | |
TOTAL INVESTMENTS–100.5%
(cost $305,765,651) | | | | | | | 351,826,424 | |
Other assets less liabilities–(0.5)% | | | | | | | (1,914,607 | ) |
| | | | | | | | |
NET ASSETS–100.0% | | | | | | $ | 349,911,817 | |
| | | | | | | | |
FORWARD CURRENCY EXCHANGE CONTRACTS (see Note D)
| | | | | | | | | | | | | | | | | | | | | | | | |
| Counterparty | | Contracts to
Deliver
(000) | | | In Exchange
For
(000) | | | Settlement
Date | | | Unrealized
Appreciation/
(Depreciation) | |
Bank of America, NA | | | GBP | | | | 2,756 | | | | USD | | | | 3,675 | | | | 01/14/2022 | | | $ | (55,265 | ) |
Bank of America, NA | | | USD | | | | 824 | | | | GBP | | | | 617 | | | | 01/14/2022 | | | | 11,242 | |
Bank of America, NA | | | USD | | | | 1,058 | | | | AUD | | | | 1,453 | | | | 02/08/2022 | | | | (438 | ) |
Bank of America, NA | | | JPY | | | | 205,200 | | | | USD | | | | 1,822 | | | | 02/09/2022 | | | | 37,576 | |
Bank of America, NA | | | USD | | | | 2,300 | | | | JPY | | | | 260,496 | | | | 02/09/2022 | | | | (35,094 | ) |
Bank of America, NA | | | USD | | | | 930 | | | | EUR | | | | 825 | | | | 02/10/2022 | | | | 9,034 | |
Bank of America, NA | | | RUB | | | | 112,289 | | | | USD | | | | 1,496 | | | | 03/02/2022 | | | | 10,306 | |
Barclays Bank PLC | | | GBP | | | | 859 | | | | USD | | | | 1,156 | | | | 01/14/2022 | | | | (6,579 | ) |
Barclays Bank PLC | | | KRW | | | | 980,611 | | | | USD | | | | 833 | | | | 01/20/2022 | | | | 8,724 | |
Barclays Bank PLC | | | SEK | | | | 16,529 | | | | USD | | | | 1,820 | | | | 01/20/2022 | | | | (9,718 | ) |
Barclays Bank PLC | | | USD | | | | 909 | | | | SEK | | | | 8,263 | | | | 01/20/2022 | | | | 5,387 | |
Barclays Bank PLC | | | JPY | | | | 158,371 | | | | USD | | | | 1,383 | | | | 02/09/2022 | | | | 5,626 | |
Citibank, NA | | | KRW | | | | 9,052,117 | | | | USD | | | | 7,671 | | | | 01/20/2022 | | | | 62,616 | |
Citibank, NA | | | JPY | | | | 212,330 | | | | USD | | | | 1,865 | | | | 02/09/2022 | | | | 18,943 | |
Citibank, NA | | | EUR | | | | 945 | | | | USD | | | | 1,067 | | | | 02/10/2022 | | | | (9,745 | ) |
Citibank, NA | | | USD | | | | 5,737 | | | | EUR | | | | 5,069 | | | | 02/10/2022 | | | | 38,062 | |
Citibank, NA | | | USD | | | | 2,128 | | | | EUR | | | | 1,868 | | | | 02/10/2022 | | | | (265 | ) |
Citibank, NA | | | USD | | | | 1,504 | | | | RUB | | | | 112,289 | | | | 03/02/2022 | | | | (18,720 | ) |
Credit Suisse International | | | USD | | | | 4,076 | | | | CHF | | | | 3,784 | | | | 01/13/2022 | | | | 77,887 | |
Credit Suisse International | | | USD | | | | 1,874 | | | | SEK | | | | 16,025 | | | | 01/20/2022 | | | | (100,216 | ) |
Deutsche Bank AG | | | BRL | | | | 9,756 | | | | USD | | | | 1,729 | | | | 01/04/2022 | | | | (22,965 | ) |
Deutsche Bank AG | | | USD | | | | 1,748 | | | | BRL | | | | 9,756 | | | | 01/04/2022 | | | | 3,296 | |
Deutsche Bank AG | | | USD | | | | 1,716 | | | | BRL | | | | 9,756 | | | | 02/02/2022 | | | | 23,126 | |
Deutsche Bank AG | | | USD | | | | 1,030 | | | | AUD | | | | 1,396 | | | | 02/08/2022 | | | | (14,205 | ) |
Deutsche Bank AG | | | EUR | | | | 21,958 | | | | USD | | | | 25,386 | | | | 02/10/2022 | | | | 368,528 | |
Deutsche Bank AG | | | EUR | | | | 1,183 | | | | USD | | | | 1,337 | | | | 02/10/2022 | | | | (10,767 | ) |
Deutsche Bank AG | | | ILS | | | | 8,002 | | | | USD | | | | 2,553 | | | | 03/03/2022 | | | | (21,787 | ) |
11
| | |
| |
| | | AB Variable Products Series Fund |
| | | | | | | | | | | | | | | | | | | | | | | | |
| Counterparty | | Contracts to
Deliver
(000) | | | In Exchange
For
(000) | | | Settlement
Date | | | Unrealized
Appreciation/
(Depreciation) | |
Goldman Sachs Bank USA | | | USD | | | | 11,710 | | | | CHF | | | | 10,744 | | | | 01/13/2022 | | | $ | 83,469 | |
Goldman Sachs Bank USA | | | GBP | | | | 627 | | | | USD | | | | 832 | | | | 01/14/2022 | | | | (16,983 | ) |
Goldman Sachs Bank USA | | | USD | | | | 966 | | | | SEK | | | | 8,266 | | | | 01/20/2022 | | | | (50,773 | ) |
Goldman Sachs Bank USA | | | USD | | | | 2,168 | | | | CNH | | | | 13,900 | | | | 02/17/2022 | | | | 10,618 | |
JPMorgan Chase Bank, NA | | | CHF | | | | 3,851 | | | | USD | | | | 4,170 | | | | 01/13/2022 | | | | (57,966 | ) |
JPMorgan Chase Bank, NA | | | GBP | | | | 1,327 | | | | USD | | | | 1,765 | | | | 01/14/2022 | | | | (30,424 | ) |
JPMorgan Chase Bank, NA | | | KRW | | | | 623,847 | | | | USD | | | | 529 | | | | 01/20/2022 | | | | 4,320 | |
JPMorgan Chase Bank, NA | | | SEK | | | | 16,025 | | | | USD | | | | 1,837 | | | | 01/20/2022 | | | | 63,076 | |
JPMorgan Chase Bank, NA | | | USD | | | | 559 | | | | NOK | | | | 4,788 | | | | 01/20/2022 | | | | (15,847 | ) |
Morgan Stanley Capital Services, Inc. | | | BRL | | | | 9,756 | | | | USD | | | | 1,748 | | | | 01/04/2022 | | | | (3,296 | ) |
Morgan Stanley Capital Services, Inc. | | | USD | | | | 1,731 | | | | BRL | | | | 9,756 | | | | 01/04/2022 | | | | 20,327 | |
Morgan Stanley Capital Services, Inc. | | | USD | | | | 1,074 | | | | CHF | | | | 976 | | | | 01/13/2022 | | | | (2,391 | ) |
Morgan Stanley Capital Services, Inc. | | | GBP | | | | 474 | | | | USD | | | | 628 | | | | 01/14/2022 | | | | (13,465 | ) |
Morgan Stanley Capital Services, Inc. | | | USD | | | | 2,972 | | | | GBP | | | | 2,233 | | | | 01/14/2022 | | | | 50,732 | |
Morgan Stanley Capital Services, Inc. | | | KRW | | | | 398,945 | | | | USD | | | | 336 | | | | 01/20/2022 | | | | 572 | |
Morgan Stanley Capital Services, Inc. | | | NOK | | | | 18,975 | | | | USD | | | | 2,254 | | | | 01/20/2022 | | | | 99,652 | |
Morgan Stanley Capital Services, Inc. | | | NOK | | | | 11,362 | | | | USD | | | | 1,251 | | | | 01/20/2022 | | | | (38,657 | ) |
Morgan Stanley Capital Services, Inc. | | | USD | | | | 1,127 | | | | NZD | | | | 1,622 | | | | 01/20/2022 | | | | (16,179 | ) |
Morgan Stanley Capital Services, Inc. | | | USD | | | | 1,716 | | | | IDR | | | | 24,732,687 | | | | 01/27/2022 | | | | 21,467 | |
Morgan Stanley Capital Services, Inc. | | | AUD | | | | 1,343 | | | | USD | | | | 955 | | | | 02/08/2022 | | | | (22,540 | ) |
Morgan Stanley Capital Services, Inc. | | | USD | | | | 15,558 | | | | AUD | | | | 21,044 | | | | 02/08/2022 | | | | (246,214 | ) |
Morgan Stanley Capital Services, Inc. | | | JPY | | | | 247,942 | | | | USD | | | | 2,181 | | | | 02/09/2022 | | | | 25,465 | |
Morgan Stanley Capital Services, Inc. | | | USD | | | | 1,716 | | | | JPY | | | | 197,642 | | | | 02/09/2022 | | | | 2,819 | |
Morgan Stanley Capital Services, Inc. | | | USD | | | | 942 | | | | JPY | | | | 108,200 | | | | 02/09/2022 | | | | (880 | ) |
Morgan Stanley Capital Services, Inc. | | | CAD | | | | 9,606 | | | | USD | | | | 7,632 | | | | 02/10/2022 | | | | 38,101 | |
Morgan Stanley Capital Services, Inc. | | | EUR | | | | 4,105 | | | | USD | | | | 4,649 | | | | 02/10/2022 | | | | (28,277 | ) |
Morgan Stanley Capital Services, Inc. | | | USD | | | | 1,212 | | | | CAD | | | | 1,559 | | | | 02/10/2022 | | | | 20,593 | |
Morgan Stanley Capital Services, Inc. | | | USD | | | | 1,982 | | | | EUR | | | | 1,755 | | | | 02/10/2022 | | | | 17,241 | |
Natwest Markets PLC | | | USD | | | | 1,660 | | | | MXN | | | | 33,905 | | | | 01/13/2022 | | | | (6,980 | ) |
Natwest Markets PLC | | | USD | | | | 2,236 | | | | GBP | | | | 1,679 | | | | 01/14/2022 | | | | 36,795 | |
Natwest Markets PLC | | | USD | | | | 2,257 | | | | JPY | | | | 256,791 | | | | 02/09/2022 | | | | (23,682 | ) |
Natwest Markets PLC | | | HKD | | | | 9,610 | | | | USD | | | | 1,234 | | | | 02/10/2022 | | | | 1,683 | |
Standard Chartered Bank | | | USD | | | | 1,765 | | | | INR | | | | 133,278 | | | | 01/07/2022 | | | | 25,838 | |
Standard Chartered Bank | | | GBP | | | | 1,217 | | | | USD | | | | 1,638 | | | | 01/14/2022 | | | | (9,658 | ) |
Standard Chartered Bank | | | IDR | | | | 24,732,687 | | | | USD | | | | 1,715 | | | | 01/27/2022 | | | | (22,419 | ) |
Standard Chartered Bank | | | USD | | | | 3,602 | | | | EUR | | | | 3,173 | | | | 02/10/2022 | | | | 13,491 | |
State Street Bank & Trust Co. | | | CHF | | | | 2,873 | | | | USD | | | | 3,130 | | | | 01/13/2022 | | | | (23,882 | ) |
State Street Bank & Trust Co. | | | USD | | | | 3,541 | | | | CHF | | | | 3,253 | | | | 01/13/2022 | | | | 29,708 | |
State Street Bank & Trust Co. | | | GBP | | | | 452 | | | | USD | | | | 606 | | | | 01/14/2022 | | | | (3,691 | ) |
State Street Bank & Trust Co. | | | USD | | | | 2,173 | | | | GBP | | | | 1,628 | | | | 01/14/2022 | | | | 30,753 | |
State Street Bank & Trust Co. | | | USD | | | | 1,980 | | | | AUD | | | | 2,758 | | | | 02/08/2022 | | | | 26,558 | |
State Street Bank & Trust Co. | | | USD | | | | 200 | | | | JPY | | | | 22,712 | | | | 02/09/2022 | | | | (2,653 | ) |
State Street Bank & Trust Co. | | | CAD | | | | 445 | | | | USD | | | | 354 | | | | 02/10/2022 | | | | 1,921 | |
State Street Bank & Trust Co. | | | EUR | | | | 1,079 | | | | USD | | | | 1,255 | | | | 02/10/2022 | | | | 25,277 | |
State Street Bank & Trust Co. | | | EUR | | | | 2,633 | | | | USD | | | | 2,962 | | | | 02/10/2022 | | | | (37,867 | ) |
State Street Bank & Trust Co. | | | USD | | | | 431 | | | | CAD | | | | 549 | | | | 02/10/2022 | | | | 2,876 | |
State Street Bank & Trust Co. | | | USD | | | | 1,601 | | | | EUR | | | | 1,410 | | | | 02/10/2022 | | | | 5,963 | |
State Street Bank & Trust Co. | | | USD | | | | 1,109 | | | | EUR | | | | 958 | | | | 02/10/2022 | | | | (17,371 | ) |
State Street Bank & Trust Co. | | | USD | | | | 500 | | | | PLN | | | | 2,043 | | | | 02/17/2022 | | | | 5,344 | |
UBS AG | | | CHF | | | | 4,369 | | | | USD | | | | 4,756 | | | | 01/13/2022 | | | | (38,984 | ) |
12
| | |
| INTERNATIONAL VALUE PORTFOLIO | | |
| PORTFOLIO OF INVESTMENTS | | |
| |
| (continued) | | AB Variable Products Series Fund |
| | | | | | | | | | | | | | | | | | | | | | | | |
| Counterparty | | Contracts to
Deliver
(000) | | | In Exchange
For
(000) | | | Settlement
Date | | | Unrealized
Appreciation/
(Depreciation) | |
UBS AG | | | USD | | | | 3,466 | | | | GBP | | | | 2,555 | | | | 01/14/2022 | | | $ | (8,171 | ) |
UBS AG | | | USD | | | | 3,599 | | | | SGD | | | | 4,849 | | | | 01/14/2022 | | | | (569 | ) |
UBS AG | | | AUD | | | | 1,614 | | | | USD | | | | 1,158 | | | | 02/08/2022 | | | | (16,714 | ) |
UBS AG | | | JPY | | | | 109,712 | | | | USD | | | | 969 | | | | 02/09/2022 | | | | 14,715 | |
UBS AG | | | PLN | | | | 7,041 | | | | USD | | | | 1,722 | | | | 02/17/2022 | | | | (20,366 | ) |
| | | | | | | | | | | | | | | | | | | | | | | | |
| | | $ | 277,064 | |
| | | | | | | | | | | | | | | | | | | | | | | | |
| (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 December 31, 2021, the aggregate market value of these securities amounted to $10,253,887 or 2.9% of net assets. |
| (b) | | Non-income producing security. |
| (c) | | Represents entire or partial securities out on loan. See Note E for securities lending information. |
| (d) | | Affiliated investments. |
| (e) | | The rate shown represents the 7-day yield as of period end. |
| (f) | | To obtain a copy of the fund’s shareholder report, please go to the Securities and Exchange Commission’s website at www.sec.gov, or call AB at (800) 227-4618. |
Currency Abbreviations:
AUD—Australian Dollar
BRL—Brazilian Real
CAD—Canadian Dollar
CHF—Swiss Franc
CNH—Chinese Yuan Renminbi (Offshore)
EUR—Euro
GBP—Great British Pound
HKD—Hong Kong Dollar
IDR—Indonesian Rupiah
ILS—Israeli Shekel
INR—Indian Rupee
JPY—Japanese Yen
KRW—South Korean Won
MXN—Mexican Peso
NOK—Norwegian Krone
NZD—New Zealand Dollar
PLN—Polish Zloty
RUB—Russian Ruble
SEK—Swedish Krona
SGD—Singapore Dollar
USD—United States Dollar
See notes to financial statements.
13
| | |
| INTERNATIONAL VALUE PORTFOLIO | | |
| STATEMENT OF ASSETS & LIABILITIES | | |
| |
| December 31, 2021 | | AB Variable Products Series Fund |
| | | | |
ASSETS | | | | |
Investments in securities, at value | | | | |
Unaffiliated issuers (cost $300,394,648) | | $ | 346,455,421 | (a) |
Affiliated issuers (cost $5,371,003—including investment of cash collateral for securities loaned of $3,294,586) | | | 5,371,003 | |
Foreign currencies, at value (cost $424,654) | | | 422,654 | |
Unaffiliated dividends receivable | | | 1,458,212 | |
Unrealized appreciation on forward currency exchange contracts | | | 1,359,727 | |
Receivable for capital stock sold | | | 29,722 | |
Receivable for investment securities sold and foreign currency transactions | | | 191 | |
Affiliated dividends receivable | | | 20 | |
| | | | |
Total assets | | | 355,096,950 | |
| | | | |
LIABILITIES | | | | |
Payable for collateral received on securities loaned | | | 3,294,586 | |
Unrealized depreciation on forward currency exchange contracts | | | 1,082,663 | |
Advisory fee payable | | | 216,624 | |
Payable for capital stock redeemed | | | 99,313 | |
Foreign capital gains tax payable | | | 77,257 | |
Distribution fee payable | | | 63,160 | |
Payable for investment securities purchased | | | 36,504 | |
Administrative fee payable | | | 22,681 | |
Transfer Agent fee payable | | | 146 | |
Accrued expenses | | | 292,199 | |
| | | | |
Total liabilities | | | 5,185,133 | |
| | | | |
NET ASSETS | | $ | 349,911,817 | |
| | | | |
COMPOSITION OF NET ASSETS | | | | |
Capital stock, at par | | $ | 22,386 | |
Additional paid-in capital | | | 309,583,865 | |
Distributable earnings | | | 40,305,566 | |
| | | | |
NET ASSETS | | $ | 349,911,817 | |
| | | | |
Net Asset Value Per Share—1 billion shares of capital stock authorized, $.001 par value
| | | | | | | | | | | | |
| Class | | Net Assets | | | Shares
Outstanding | | | Net Asset
Value | |
| | | |
| A | | $ | 45,175,112 | | | | 2,874,022 | | | $ | 15.72 | |
| | | |
| B | | $ | 304,736,705 | | | | 19,512,350 | | | $ | 15.62 | |
| (a) | | Includes securities on loan with a value of $7,685,985 (see Note E). |
See notes to financial statements.
14
| | |
| INTERNATIONAL VALUE PORTFOLIO | | |
| STATEMENT OF OPERATIONS | | |
| |
| Year Ended December 31, 2021 | | AB Variable Products Series Fund |
| | | | |
INVESTMENT INCOME | | | | |
Dividends | | | | |
Unaffiliated issuers (net of foreign taxes withheld of $1,202,554) | | $ | 11,142,972 | |
Affiliated issuers | | | 387 | |
Securities lending income | | | 142,887 | |
| | | | |
| | | 11,286,246 | |
| | | | |
EXPENSES | | | | |
Advisory fee (see Note B) | | | 2,624,382 | |
Distribution fee—Class B | | | 764,154 | |
Transfer agency—Class A | | | 856 | |
Transfer agency—Class B | | | 5,909 | |
Custody and accounting | | | 136,631 | |
Printing | | | 118,658 | |
Administrative | | | 87,945 | |
Audit and tax | | | 64,275 | |
Legal | | | 38,206 | |
Directors’ fees | | | 22,899 | |
Miscellaneous | | | 37,202 | |
| | | | |
Total expenses | | | 3,901,117 | |
Less: expenses waived and reimbursed by the Adviser (see Notes B & E) | | | (1,998 | ) |
| | | | |
Net expenses | | | 3,899,119 | |
| | | | |
Net investment income | | | 7,387,127 | |
| | | | |
REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENT AND FOREIGN CURRENCY TRANSACTIONS | | | | |
Net realized gain on: | | | | |
Investment transactions | | | 30,296,682 | |
Forward currency exchange contracts | | | 145,094 | |
Foreign currency transactions | | | 231,704 | |
Net change in unrealized appreciation/depreciation of: | | | | |
Investments | | | (1,909,762 | ) |
Forward currency exchange contracts | | | (95,882 | ) |
Foreign currency denominated assets and liabilities | | | (67,452 | ) |
| | | | |
Net gain on investment and foreign currency transactions | | | 28,600,384 | |
| | | | |
NET INCREASE IN NET ASSETS FROM OPERATIONS | | $ | 35,987,511 | |
| | | | |
| See | | notes to financial statements. |
15
| | |
| | |
| INTERNATIONAL VALUE PORTFOLIO | | |
| |
| STATEMENT OF CHANGES IN NET ASSETS | | AB Variable Products Series Fund |
| | | | | | | | |
| | | Year Ended
December 31,
2021 | | | Year Ended
December 31,
2020 | |
INCREASE (DECREASE) IN NET ASSETS FROM OPERATIONS | |
Net investment income | | $ | 7,387,127 | | | $ | 3,805,022 | |
Net realized gain (loss) on investment and foreign currency transactions | | | 30,673,480 | | | | (11,954,683 | ) |
Net change in unrealized appreciation/depreciation of investments and foreign currency denominated assets and liabilities | | | (2,073,096 | ) | | | 13,751,888 | |
| | | | | | | | |
Net increase in net assets from operations | | | 35,987,511 | | | | 5,602,227 | |
Distributions to Shareholders | |
Class A | | | (884,118 | ) | | | (699,773 | ) |
Class B | | | (5,171,597 | ) | | | (4,157,435 | ) |
CAPITAL STOCK TRANSACTIONS | |
Net decrease | | | (21,428,971 | ) | | | (36,959,684 | ) |
| | | | | | | | |
Total increase (decrease) | | | 8,502,825 | | | | (36,214,665 | ) |
NET ASSETS | |
Beginning of period | | | 341,408,992 | | | | 377,623,657 | |
| | | | | | | | |
End of period | | $ | 349,911,817 | | | $ | 341,408,992 | |
| | | | | | | | |
See notes to financial statements.
16
| | |
| INTERNATIONAL VALUE PORTFOLIO | | |
| NOTES TO FINANCIAL STATEMENTS | | |
| |
| December 31, 2021 | | AB Variable Products Series Fund |
NOTE A: Significant Accounting Policies
The AB International Value Portfolio (the “Portfolio”) is a series of AB Variable Products Series Fund, Inc. (the “Fund”). The Portfolio’s investment objective is long-term growth of capital. The Portfolio is diversified as defined under the Investment Company Act of 1940. The Fund was incorporated in the State of Maryland as an open-end series investment company. The Fund offers 11 separately managed pools of assets which have differing investment objectives and policies. The Portfolio offers Class A and Class B shares. Both classes of shares have identical voting, dividend, liquidating and other rights, except that Class B shares bear a distribution expense and have exclusive voting rights with respect to the Class B distribution plan.
The Portfolio offers and sells its shares only to separate accounts of certain life insurance companies for the purpose of funding variable annuity contracts and variable life insurance policies. Sales are made without a sales charge at the Portfolio’s net asset value per share.
The financial statements have been prepared in conformity with U.S. generally accepted accounting principles (“U.S. GAAP”), which require management to make certain estimates and assumptions that affect the reported amounts of assets and liabilities in the financial statements and amounts of income and expenses during the reporting period. Actual results could differ from those estimates. The Portfolio is an investment company under U.S. GAAP and follows the accounting and reporting guidance applicable to investment companies. The following is a summary of significant accounting policies followed by the Portfolio.
1. Security Valuation
Portfolio securities are valued at their current market value determined on the basis of market quotations or, if market quotations are not readily available or are deemed unreliable, at “fair value” as determined in accordance with procedures established by and under the general supervision of the Fund’s Board of Directors (the “Board”).
In general, the market values of securities which are readily available and deemed reliable are determined as follows: securities listed on a national securities exchange (other than securities listed on the NASDAQ Stock Market, Inc. (“NASDAQ”)) or on a foreign securities exchange are valued at the last sale price at the close of the exchange or foreign securities exchange. If there has been no sale on such day, the securities are valued at the last traded price from the previous day. Securities listed on more than one exchange are valued by reference to the principal exchange on which the securities are traded; securities listed only on NASDAQ are valued in accordance with the NASDAQ Official Closing Price; listed or over the counter (“OTC”) market put or call options are valued at the mid level between the current bid and ask prices. If either a current bid or current ask price is unavailable, AllianceBernstein L.P. (the “Adviser”) will have discretion to determine the best valuation (e.g., last trade price in the case of listed options); open futures are valued using the closing settlement price or, in the absence of such a price, the most recent quoted bid price. If there are no quotations available for the day of valuation, the last available closing settlement price is used; U.S. Government securities and any other debt instruments having 60 days or less remaining until maturity are generally valued at market by an independent pricing vendor, if a market price is available. If a market price is not available, the securities are valued at amortized cost. This methodology is commonly used for short term securities that have an original maturity of 60 days or less, as well as short term securities that had an original term to maturity that exceeded 60 days. In instances when amortized cost is utilized, the Valuation Committee (the “Committee”) must reasonably conclude that the utilization of amortized cost is approximately the same as the fair value of the security. Factors the Committee will consider include, but are not limited to, an impairment of the creditworthiness of the issuer or material changes in interest rates. Fixed-income securities, including mortgage-backed and asset-backed securities, may be valued on the basis of prices provided by a pricing service or at a price obtained from one or more of the major broker-dealers. In cases where broker-dealer quotes are obtained, the Adviser may establish procedures whereby changes in market yields or spreads are used to adjust, on a daily basis, a recently obtained quoted price on a security. Swaps and other derivatives are valued daily, primarily using independent pricing services, independent pricing models using market inputs, as well as third party broker-dealers or counterparties. Open-end mutual funds are valued at the closing net asset value per share, while exchange traded funds are valued at the closing market price per share.
Securities for which market quotations are not readily available (including restricted securities) or are deemed unreliable are valued at fair value as deemed appropriate by the Adviser. Factors considered in making this determination may include, but are not limited to, information obtained by contacting the issuer, analysts, analysis of the issuer’s financial statements or other available documents. In addition, the Portfolio may use fair value pricing for securities primarily traded in non-U.S. markets because most foreign markets close well before the Portfolio values its securities at 4:00 p.m., Eastern Time. The
17
| | |
| |
| | | AB Variable Products Series Fund |
earlier close of these foreign markets gives rise to the possibility that significant events, including broad market moves, may have occurred in the interim and may materially affect the value of those securities. To account for this, the Portfolio generally values many of its foreign equity securities using fair value prices based on third party vendor modeling tools to the extent available.
2. Fair Value Measurements
In accordance with U.S. GAAP regarding fair value measurements, fair value is defined as the price that the Portfolio 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 as described in Note A.1 above). 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 Portfolio. Unobservable inputs reflect the Portfolio’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 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.
The following table summarizes the valuation of the Portfolio’s investments by the above fair value hierarchy levels as of December 31, 2021:
| | | | | | | | | | | | | | | | |
| | | Level 1 | | | Level 2 | | | Level 3 | | | Total | |
Investments in Securities: | | | | | | | | | | | | | | | | |
Assets: | | | | | | | | | | | | | | | | |
Common Stocks: | | | | | | | | | | | | | | | | |
Consumer Discretionary | | $ | 4,701,623 | | | $ | 66,508,219 | | | $ | –0 | – | | $ | 71,209,842 | |
Financials | | | –0 | – | | | 64,924,178 | | | | –0 | – | | | 64,924,178 | |
Industrials | | | –0 | – | | | 41,786,883 | | | | –0 | – | | | 41,786,883 | |
Consumer Staples | | | –0 | – | | | 40,313,966 | | | | –0 | – | | | 40,313,966 | |
Health Care | | | –0 | – | | | 31,677,254 | | | | –0 | – | | | 31,677,254 | |
Information Technology | | | 3,808,481 | | | | 21,309,115 | | | | –0 | – | | | 25,117,596 | |
Materials | | | 3,618,843 | | | | 18,573,981 | | | | –0 | – | | | 22,192,824 | |
Communication Services | | | –0 | – | | | 14,719,234 | | | | –0 | – | | | 14,719,234 | |
18
| | |
| INTERNATIONAL VALUE PORTFOLIO | | |
| NOTES TO FINANCIAL STATEMENTS | | |
| |
| (continued) | | AB Variable Products Series Fund |
| | | | | | | | | | | | | | | | |
| | | Level 1 | | | Level 2 | | | Level 3 | | | Total | |
Energy | | $ | –0 | – | | $ | 12,979,028 | | | $ | –0 | – | | $ | 12,979,028 | |
Utilities | | | –0 | – | | | 12,113,615 | | | | –0 | – | | | 12,113,615 | |
Real Estate | | | –0 | – | | | 9,421,001 | | | | –0 | – | | | 9,421,001 | |
Short-Term Investments | | | 2,076,417 | | | | –0 | – | | | –0 | – | | | 2,076,417 | |
Investments of Cash Collateral for Securities Loaned in Affiliated Money Market Fund | | | 3,294,586 | | | | –0 | – | | | –0 | – | | | 3,294,586 | |
| | | | | | | | | | | | | | | | |
Total Investments in Securities | | | 17,499,950 | | | | 334,326,474 | (a) | | | –0 | – | | | 351,826,424 | |
Other Financial Instruments(b): | | | | | | | | | | | | | | | | |
Assets: | |
Forward Currency Exchange Contracts | | | –0 | – | | | 1,359,727 | | | | –0 | – | | | 1,359,727 | |
Liabilities: | |
Forward Currency Exchange Contracts | | | –0 | – | | | (1,082,663 | ) | | | –0 | – | | | (1,082,663 | ) |
| | | | | | | | | | | | | | | | |
Total | | $ | 17,499,950 | | | $ | 334,603,538 | | | $ | –0 | – | | $ | 352,103,488 | |
| | | | | | | | | | | | | | | | |
| (a) | | A significant portion of the Portfolio’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. |
| (b) | | 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. |
3. Currency Translation
Assets and liabilities denominated in foreign currencies and commitments under forward currency exchange contracts are translated into U.S. dollars at the mean of the quoted bid and ask prices of such currencies against the U.S. dollar. Purchases and sales of portfolio securities are translated into U.S. dollars at the rates of exchange prevailing when such securities were acquired or sold. Income and expenses are translated into U.S. dollars at rates of exchange prevailing when accrued.
Net realized gain or loss on foreign currency transactions represents foreign exchange gains and losses from sales and maturities of foreign fixed income investments, holding of foreign currencies, currency gains or losses realized between the trade and settlement dates on foreign investment transactions, and the difference between the amounts of dividends, interest and foreign withholding taxes recorded on the Portfolio’s books and the U.S. dollar equivalent amounts actually received or paid. Net unrealized currency gains and losses from valuing foreign currency denominated assets and liabilities at period end exchange rates are reflected as a component of net unrealized appreciation or depreciation of foreign currency denominated assets and liabilities.
4. Taxes
It is the Portfolio’s policy to meet the requirements of the Internal Revenue Code applicable to regulated investment companies and to distribute all of its investment company taxable income and net realized gains, if any, to shareholders. Therefore, no provisions for federal income or excise taxes are required. The Portfolio may be subject to taxes imposed by countries in which it invests. Such taxes are generally based on income and/or capital gains earned or repatriated. Taxes are accrued and applied to net investment income, net realized gains and net unrealized appreciation/depreciation as such income and/or gains are earned.
In accordance with U.S. GAAP requirements regarding accounting for uncertainties in income taxes, management has analyzed the Portfolio’s tax positions taken or expected to be taken on federal and state income tax returns for all open tax years (the current and the prior three tax years) and has concluded that no provision for income tax is required in the Portfolio’s financial statements.
5. Investment Income and Investment Transactions
Dividend income is recorded on the ex-dividend date or as soon as the Portfolio is informed of the dividend. Interest income is accrued daily. Investment transactions are accounted for on the date the securities are purchased or sold. Investment gains or losses are determined on the identified cost basis. The Portfolio amortizes premiums and accretes discounts as adjustments to interest income. The Portfolio accounts for distributions received from REIT investments or from regulated investment companies as dividend income, realized gain, or return of capital based on information provided by the REIT or the investment company.
19
| | |
| |
| | | AB Variable Products Series Fund |
6. Class Allocations
All income earned and expenses incurred by the Portfolio are borne on a pro-rata basis by each outstanding class of shares, based on the proportionate interest in the Portfolio represented by the net assets of such class, except for class specific expenses which are allocated to the respective class. Expenses of the Fund are charged proportionately to each portfolio or based on other appropriate methods. Realized and unrealized gains and losses are allocated among the various share classes based on respective net assets.
7. Dividends and Distributions
Dividends and distributions to shareholders, if any, are recorded on the ex-dividend date. Income dividends and capital gains distributions are determined in accordance with federal tax regulations and may differ from those determined in accordance with U.S. GAAP. To the extent these differences are permanent, such amounts are reclassified within the capital accounts based on their federal tax basis treatment; temporary differences do not require such reclassification.
NOTE B: Advisory Fee and Other Transactions with Affiliates
Under the terms of the investment advisory agreement, the Portfolio pays the Adviser an advisory fee at an annual rate of .75% of the first $2.5 billion, .65% of the next $2.5 billion and .60% in excess of $5 billion, of the Portfolio’s average daily net assets. The fee is accrued daily and paid monthly. The Adviser has agreed to waive its fees and bear certain expenses to the extent necessary to limit total operating expenses on an annual basis (the “Expense Caps”) to 1.20% and 1.45% of daily average net assets for Class A and Class B shares, respectively. For the year ended December 31, 2021, there were no expenses waived by the Adviser.
Pursuant to the investment advisory agreement, the Portfolio may reimburse the Adviser for certain legal and accounting services provided to the Portfolio by the Adviser. For the year ended December 31, 2021, the reimbursement for such services amounted to $87,945.
The Portfolio compensates AllianceBernstein Investor Services, Inc. (“ABIS”), a wholly-owned subsidiary of the Adviser, under a Transfer Agency Agreement for providing personnel and facilities to perform transfer agency services for the Portfolio. Such compensation retained by ABIS amounted to $1,636 for the year ended December 31, 2021.
The Portfolio may invest in AB Government Money Market Portfolio (the “Government Money Market Portfolio”) which has a contractual annual advisory fee rate of .20% of the portfolio’s average daily net assets and bears its own expenses. The Adviser has contractually agreed to waive .10% of the advisory fee of Government Money Market Portfolio (resulting in a net advisory fee of .10%) until August 31, 2022. In connection with the investment by the Portfolio in Government Money Market Portfolio, the Adviser has contractually agreed to waive its advisory fee from the Portfolio in an amount equal to the Portfolio’s pro rata share of the effective advisory fee of Government Money Market Portfolio, as borne indirectly by the Portfolio as an acquired fund fee and expense. For the year ended December 31, 2021, such waiver amounted to $1,933.
A summary of the Portfolio’s transactions in AB mutual funds for the year ended December 31, 2021 is as follows:
| | | | | | | | | | | | | | | | | | | | |
Portfolio | | Market Value
12/31/20
(000) | | | Purchases
at Cost
(000) | | | Sales
Proceeds
(000) | | | Market Value
12/31/21
(000) | | | Dividend
Income
(000) | |
Government Money Market Portfolio | | $ | 318 | | | $ | 88,260 | | | $ | 86,502 | | | $ | 2,076 | | | $ | 0 | * |
Government Money Market Portfolio** | | | 5,169 | | | | 49,461 | | | | 51,335 | | | | 3,295 | | | | 0 | * |
| | | | | | | | | | | | | | | | | | | | |
Total | | | | | | | | | | | | | | $ | 5,371 | | | $ | 0 | *** |
| | | | | | | | | | | | | | | | | | | | |
| * | | Amount is less than $500. |
| ** | | Investments of cash collateral for securities lending transactions (see Note E). |
| *** | | Amount is greater than $500. |
NOTE C: Distribution Plan
The Portfolio has adopted a Distribution Plan (the “Plan”) for Class B shares pursuant to Rule 12b-1 under the Investment Company Act of 1940. Under the Plan, the Portfolio pays distribution and servicing fees to AllianceBernstein Investments, Inc. (the “Distributor”), a wholly-owned subsidiary of the Adviser, at an annual rate of up to ..50% of the Portfolio’s average daily net assets attributable to Class B shares. The fees are accrued daily and paid monthly. The Board currently limits payments under the Plan to .25% of the Portfolio’s average daily net assets attributable to Class B shares. The Plan provides that the Distributor will use such payments in their entirety for distribution assistance and promotional activities.
20
| | |
| INTERNATIONAL VALUE PORTFOLIO | | |
| NOTES TO FINANCIAL STATEMENTS | | |
| |
| (continued) | | AB Variable Products Series Fund |
The Portfolio is not obligated under the Plan to pay any distribution and servicing fees in excess of the amounts set forth above. The purpose of the payments to the Distributor under the Plan is to compensate the Distributor for its distribution services with respect to the sale of the Portfolio’s Class B shares. Since the Distributor’s compensation is not directly tied to its expenses, the amount of compensation received by it under the Plan during any year may be more or less than its actual expenses. For this reason, the Plan is characterized by the staff of the Securities and Exchange Commission as being of the “compensation” variety.
In the event that the Plan is terminated or not continued, no distribution or servicing fees (other than current amounts accrued but not yet paid) would be owed by the Portfolio to the Distributor.
The Plan also provides that the Adviser may use its own resources to finance the distribution of the Portfolio’s shares.
NOTE D: Investment Transactions
Purchases and sales of investment securities (excluding short-term investments) for the year ended December 31, 2021 were as follows:
| | | | | | | | |
| | | Purchases | | | Sales | |
Investment securities (excluding U.S. government securities) | | $ | 144,760,291 | | | $ | 162,508,260 | |
U.S. government securities | | | –0 | – | | | –0 | – |
The cost of investments for federal income tax purposes, gross unrealized appreciation and unrealized depreciation are as follows:
| | | | |
Cost | | $ | 307,995,121 | |
| | | | |
Gross unrealized appreciation | | $ | 63,442,189 | |
Gross unrealized depreciation | | | (19,610,724 | ) |
| | | | |
Net unrealized appreciation | | $ | 43,831,465 | |
| | | | |
1. Derivative Financial Instruments
The Portfolio may use derivatives in an effort to earn income and enhance returns, to replace more traditional direct investments, to obtain exposure to otherwise inaccessible markets (collectively, “investment purposes”), or to hedge or adjust the risk profile of its portfolio.
The principal type of derivative utilized by the Portfolio, as well as the methods in which they may be used are:
| | • | | Forward Currency Exchange Contracts |
The Portfolio may enter into forward currency exchange contracts in order to hedge its exposure to changes in foreign currency exchange rates on its foreign portfolio holdings, to hedge certain firm purchase and sale commitments denominated in foreign currencies and for non-hedging purposes as a means of making direct investments in foreign currencies, as described below under “Currency Transactions”.
A forward currency exchange contract is a commitment to purchase or sell a foreign currency at a future date at a negotiated forward rate. The gain or loss arising from the difference between the original contract and the closing of such contract would be included in net realized gain or loss on forward currency exchange contracts. Fluctuations in the value of open forward currency exchange contracts are recorded for financial reporting purposes as unrealized appreciation and/or depreciation by the Portfolio. Risks may arise from the potential inability of a counterparty to meet the terms of a contract and from unanticipated movements in the value of a foreign currency relative to the U.S. dollar.
During the year ended December 31, 2021, the Portfolio held forward currency exchange contracts for hedging purposes.
The Portfolio typically enters into International Swaps and Derivatives Association, Inc. Master Agreements (“ISDA Master Agreement”) with its OTC derivative contract counterparties in order to, among other things, reduce its credit risk to OTC counterparties. ISDA Master Agreements include provisions for general obligations, representations, collateral and events of default or termination. Under an ISDA Master Agreement, the Portfolio typically may offset with the OTC counterparty certain derivative financial instruments’ payables and/or receivables with collateral held and/or posted and create one single net payment (close-out netting) in the event of default or termination. In the event of a default by an OTC counterparty, the
21
| | |
| |
| | | AB Variable Products Series Fund |
return of collateral with market value in excess of the Portfolio’s net liability, held by the defaulting party, may be delayed or denied.
The Portfolio’s ISDA Master Agreements may contain provisions for early termination of OTC derivative transactions in the event the net assets of the Portfolio decline below specific levels (“net asset contingent features”). If these levels are triggered, the Portfolio’s OTC counterparty has the right to terminate such transaction and require the Portfolio to pay or receive a settlement amount in connection with the terminated transaction. If OTC derivatives were held at period end, please refer to netting arrangements by the OTC counterparty table below for additional details.
During the year ended December 31, 2021, the Portfolio had entered into the following derivatives:
| | | | | | | | | | | | |
| | | Asset Derivatives | | | Liability Derivatives | |
Derivative Type | | Statement of
Assets and Liabilities
Location | | Fair Value | | | Statement of
Assets and Liabilities
Location | | Fair Value | |
Foreign currency contracts | | Unrealized appreciation on forward currency exchange contracts | | $ | 1,359,727 | | | Unrealized depreciation on forward currency exchange contracts | | $ | 1,082,663 | |
| | | | | | | | | | | | |
Total | | | | $ | 1,359,727 | | | | | $ | 1,082,663 | |
| | | | | | | | | | | | |
| | | | | | | | | | |
Derivative Type | | Location of Gain or
(Loss) on Derivatives Within
Statement of Operations | | Realized Gain
or (Loss) on
Derivatives | | | Change in Unrealized
Appreciation or
(Depreciation) | |
Foreign currency contracts | | Net realized gain (loss) on forward currency exchange contracts; Net change in unrealized appreciation/depreciation of forward currency exchange contracts | | $ | 145,094 | | | $ | (95,882 | ) |
| | | | | | | | | | |
Total | | | | $ | 145,094 | | | $ | (95,882 | ) |
| | | | | | | | | | |
The following table represents the average monthly volume of the Portfolio’s derivative transactions during the year ended December 31, 2021:
| | | | |
Forward Currency Exchange Contracts: | | | | |
Average principal amount of buy contracts | | $ | 84,423,735 | |
Average principal amount of sale contracts | | $ | 85,209,761 | |
For financial reporting purposes, the Portfolio does not offset derivative assets and derivative liabilities that are subject to netting arrangements in the statement of assets and liabilities.
All OTC derivatives held at period end were subject to netting arrangements. The following table presents the Portfolio’s derivative assets and liabilities by OTC counterparty net of amounts available for offset under ISDA Master Agreements (“MA”) and net of the related collateral received/pledged by the Portfolio as of December 31, 2021. Exchange-traded derivatives and centrally cleared swaps are not subject to netting arrangements and as such are excluded from the table.
| | | | | | | | | | | | | | | | | | | | |
Counterparty | | Derivative Assets
Subject to a MA | | | Derivatives
Available for
Offset | | | Cash Collateral
Received* | | | Security Collateral
Received* | | | Net Amount of
Derivative
Assets | |
Bank of America, NA | | $ | 68,158 | | | $ | (68,158 | ) | | $ | –0 | – | | $ | –0 | – | | $ | –0 | – |
Barclays Bank PLC | | | 19,737 | | | | (16,297 | ) | | | –0 | – | | | –0 | – | | | 3,440 | |
Citibank, NA | | | 119,621 | | | | (28,730 | ) | | | –0 | – | | | –0 | – | | | 90,891 | |
Credit Suisse International | | | 77,887 | | | | (77,887 | ) | | | –0 | – | | | –0 | – | | | –0 | – |
Deutsche Bank AG | | | 394,950 | | | | (69,724 | ) | | | –0 | – | | | –0 | – | | | 325,226 | |
Goldman Sachs Bank USA | | | 94,087 | | | | (67,756 | ) | | | –0 | – | | | –0 | – | | | 26,331 | |
JPMorgan Chase Bank, NA | | | 67,396 | | | | (67,396 | ) | | | –0 | – | | | –0 | – | | | –0 | – |
Morgan Stanley Capital Services, Inc. | | | 296,969 | | | | (296,969 | ) | | | –0 | – | | | –0 | – | | | –0 | – |
22
| | |
| INTERNATIONAL VALUE PORTFOLIO | | |
| NOTES TO FINANCIAL STATEMENTS | | |
| |
| (continued) | | AB Variable Products Series Fund |
| | | | | | | | | | | | | | | | | | | | |
Counterparty | | Derivative Assets
Subject to a MA | | | Derivatives
Available for
Offset | | | Cash Collateral
Received* | | | Security Collateral
Received* | | | Net Amount of
Derivative
Assets | |
Natwest Markets PLC | | $ | 38,478 | | | $ | (30,662 | ) | | $ | –0 | – | | $ | –0 | – | | $ | 7,816 | |
Standard Chartered Bank | | | 39,329 | | | | (32,077 | ) | | | –0 | – | | | –0 | – | | | 7,252 | |
State Street Bank & Trust Co. | | | 128,400 | | | | (85,464 | ) | | | –0 | – | | | –0 | – | | | 42,936 | |
UBS AG | | | 14,715 | | | | (14,715 | ) | | | –0 | – | | | –0 | – | | | –0 | – |
| | | | | | | | | | | | | | | | | | | | |
Total | | $ | 1,359,727 | | | $ | (855,835 | ) | | $ | –0 | – | | $ | –0 | – | | $ | 503,892 | ^ |
| | | | | | | | | | | | | | | | | | | | |
| | | | | |
Counterparty | | Derivative Liabilities
Subject to a MA | | | Derivatives
Available for
Offset | | | Cash Collateral
Pledged* | | | Security Collateral
Pledged* | | | Net Amount of
Derivative
Liabilities | |
Bank of America, NA | | $ | 90,797 | | | $ | (68,158 | ) | | $ | –0 | – | | $ | –0 | – | | $ | 22,639 | |
Barclays Bank PLC | | | 16,297 | | | | (16,297 | ) | | | –0 | – | | | –0 | – | | | –0 | – |
Citibank, NA | | | 28,730 | | | | (28,730 | ) | | | –0 | – | | | –0 | – | | | –0 | – |
Credit Suisse International | | | 100,216 | | | | (77,887 | ) | | | –0 | – | | | –0 | – | | | 22,329 | |
Deutsche Bank AG | | | 69,724 | | | | (69,724 | ) | | | –0 | – | | | –0 | – | | | –0 | – |
Goldman Sachs Bank USA | | | 67,756 | | | | (67,756 | ) | | | –0 | – | | | –0 | – | | | –0 | – |
JPMorgan Chase Bank, NA | | | 104,237 | | | | (67,396 | ) | | | –0 | – | | | –0 | – | | | 36,841 | |
Morgan Stanley Capital Services, Inc. | | | 371,899 | | | | (296,969 | ) | | | –0 | – | | | –0 | – | | | 74,930 | |
Natwest Markets PLC | | | 30,662 | | | | (30,662 | ) | | | –0 | – | | | –0 | – | | | –0 | – |
Standard Chartered Bank | | | 32,077 | | | | (32,077 | ) | | | –0 | – | | | –0 | – | | | –0 | – |
State Street Bank & Trust Co. | | | 85,464 | | | | (85,464 | ) | | | –0 | – | | | –0 | – | | | –0 | – |
UBS AG | | | 84,804 | | | | (14,715 | ) | | | –0 | – | | | –0 | – | | | 70,089 | |
| | | | | | | | | | | | | | | | | | | | |
Total | | $ | 1,082,663 | | | $ | (855,835 | ) | | $ | –0 | – | | $ | –0 | – | | $ | 226,828 | ^ |
| | | | | | | | | | | | | | | | | | | | |
| * | | The actual collateral received/pledged may be more than the amount reported due to over-collateralization. |
| ^ | | Net amount represents the net receivable/payable that would be due from/to the counterparty in the event of default or termination. The net amount from OTC financial derivative instruments can only be netted across transactions governed under the same master agreement with the same counterparty. |
2. Currency Transactions
The Portfolio may invest in non-U.S. Dollar-denominated securities on a currency hedged or unhedged basis. The Portfolio may seek investment opportunities by taking long or short positions in currencies through the use of currency-related derivatives, including forward currency exchange contracts, futures and options on futures, swaps, and other options. The Portfolio may enter into transactions for investment opportunities when it anticipates that a foreign currency will appreciate or depreciate in value but securities denominated in that currency are not held by the Portfolio and do not present attractive investment opportunities. Such transactions may also be used when the Adviser believes that it may be more efficient than a direct investment in a foreign currency-denominated security. The Portfolio may also conduct currency exchange contracts on a spot basis (i.e., for cash at the spot rate prevailing in the currency exchange market for buying or selling currencies).
NOTE E: Securities Lending
The Portfolio may enter into securities lending transactions. Under the Portfolio’s securities lending program, all loans of securities will be collateralized continually by cash collateral and/or non-cash collateral. Non-cash collateral will include only securities issued or guaranteed by the U.S. government or its agencies or instrumentalities. The Portfolio cannot sell or repledge any non-cash collateral, such collateral will not be reflected in the portfolio of investments. If a loan is collateralized by cash, the Portfolio will be compensated for the loan from a portion of the net return from the income earned on cash collateral after a rebate is paid to the borrower (in some cases, this rebate may be a “negative rebate” or fee paid by the borrower to the Portfolio in connection with the loan), and payments are made for fees of the securities lending agent and for certain other administrative expenses. If the Portfolio receives non-cash collateral, the Portfolio will receive a fee from the borrower generally equal to a negotiated percentage of the market value of the loaned securities. The Portfolio will have the right to call a loan and obtain the securities loaned at any time on notice to the borrower within the normal and customary settlement time for the securities. While the securities are on loan, the borrower is obligated to pay the Portfolio amounts equal to any dividend income or other distributions from the securities; however, these distributions will not be afforded the
23
| | |
| |
| | | AB Variable Products Series Fund |
same preferential tax treatment as qualified dividends. The Portfolio will not be able to exercise voting rights with respect to any securities during the existence of a loan, but will have the right to regain ownership of loaned securities in order to exercise voting or other ownership rights. Collateral received and securities loaned are marked to market daily to ensure that the securities loaned are secured by collateral. The lending agent currently invests the cash collateral received in Government Money Market Portfolio, an eligible money market vehicle, in accordance with the investment restrictions of the Portfolio, and as approved by the Board. The collateral received on securities loaned is recorded as an asset as well as a corresponding liability in the statement of assets and liabilities. The collateral will be adjusted the next business day to maintain the required collateral amount. The amounts of securities lending income from the borrowers and Government Money Market Portfolio are reflected in the statement of operations. When the Portfolio earns net securities lending income from Government Money Market Portfolio, the income is inclusive of a rebate expense paid to the borrower. In connection with the cash collateral investment by the Portfolio in Government Money Market Portfolio, the Adviser has agreed to waive a portion of the Portfolio’s share of the advisory fees of Government Money Market Portfolio, as borne indirectly by the Portfolio as an acquired fund fee and expense. When the Portfolio lends securities, its investment performance will continue to reflect changes in the value of the securities loaned. A principal risk of lending portfolio securities is that the borrower may fail to return the loaned securities upon termination of the loan and that the collateral will not be sufficient to replace the loaned securities. The lending agent has agreed to indemnify the Portfolio in the case of default of any securities borrower.
A summary of the Portfolio’s transactions surrounding securities lending for the year ended December 31, 2021 is as follows:
| | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | Government Money Market
Portfolio | |
Market Value of
Securities on Loan* | | | Cash Collateral* | | | Market Value of
Non-Cash
Collateral* | | | Income from
Borrowers | | | Income Earned | | | Advisory Fee
Waived | |
| $ | 7,685,985 | | | $ | 3,294,586 | | | $ | 4,686,497 | | | $ | 142,654 | | | $ | 233 | | | $ | 65 | |
| * | | As of December 31, 2021. |
NOTE F: Capital Stock
Each class consists of 500,000,000 authorized shares. Transactions in capital shares for each class were as follows:
| | | | | | | | | | | | | | | | | | | | |
| | | SHARES | | | | | | AMOUNT | |
| | | Year Ended
December 31,
2021 | | | Year Ended
December 31,
2020 | | | | | | Year Ended
December 31,
2021 | | | Year Ended
December 31,
2020 | |
Class A | |
Shares sold | | | 303,835 | | | | 486,449 | | | | | | | $ | 4,730,676 | | | $ | 5,692,849 | |
Shares issued in reinvestment of dividends | | | 57,915 | | | | 54,029 | | | | | | | | 884,118 | | | | 699,773 | |
Shares redeemed | | | (394,359 | ) | | | (1,395,831 | ) | | | | | | | (6,206,137 | ) | | | (17,164,618 | ) |
| | | | | | | | | | | | | | | | | | | | |
Net decrease | | | (32,609 | ) | | | (855,353 | ) | | | | | | $ | (591,343 | ) | | $ | (10,771,996 | ) |
| | | | | | | | | | | | | | | | | | | | |
Class B | |
Shares sold | | | 1,373,223 | | | | 2,131,892 | | | | | | | $ | 21,413,712 | | | $ | 23,010,244 | |
Shares issued in reinvestment of dividends | | | 342,454 | | | | 323,268 | | | | | | | | 5,171,597 | | | | 4,157,435 | |
Shares redeemed | | | (3,078,043 | ) | | | (4,300,841 | ) | | | | | | | (47,422,937 | ) | | | (53,355,367 | ) |
| | | | | | | | | | | | | | | | | | | | |
Net decrease | | | (1,362,366 | ) | | | (1,845,681 | ) | | | | | | $ | (20,837,628 | ) | | $ | (26,187,688 | ) |
| | | | | | | | | | | | | | | | | | | | |
At December 31, 2021, certain shareholders of the Portfolio owned 51% in aggregate of the Portfolio’s outstanding shares. Significant transactions by such shareholders, if any, may impact the Portfolio’s performance.
NOTE G: Risks Involved in Investing in the Portfolio
Market Risk—The value of the Portfolio’s assets will fluctuate as the stock or bond market fluctuates. The value of its investments may decline, sometimes rapidly and unpredictably, simply because of economic changes or other events, including public health crises (including the occurrence of a contagious disease or illness), that affect large portions of the market. It includes the risk that a particular style of investing, such as the Portfolio’s value approach, may underperform the market generally.
24
| | |
| INTERNATIONAL VALUE PORTFOLIO | | |
| NOTES TO FINANCIAL STATEMENTS | | |
| |
| (continued) | | AB Variable Products Series Fund |
Foreign (Non-U.S.) Risk—Investments in securities of non-U.S. issuers may involve more risk than those of U.S. issuers. These securities may fluctuate more widely in price and may be more difficult to trade due to adverse market, economic, political, regulatory or other factors.
Emerging Market Risk—Investments in emerging market countries may have more risk because the markets are less developed and less liquid, and because these investments may be subject to increased economic, political, regulatory or other uncertainties.
Currency Risk—Fluctuations in currency exchange rates may negatively affect the value of the Portfolio’s investments or reduce its returns.
Derivatives Risk—Derivatives may be difficult to price or unwind and leveraged so that small changes may produce disproportionate losses for the Portfolio. Derivatives, especially over-the-counter derivatives, are also subject to counterparty risk, which is the risk that the counterparty (the party on the other side of the transaction) on a derivative transaction will be unable or unwilling to honor its contractual obligation to the Portfolio.
Leverage Risk—When the Portfolio borrows money or otherwise leverages its investments, its performance may be volatile because leverage tends to exaggerate the effect of any increase or decrease in the value of the Portfolio’s investments. The Portfolio may create leverage through the use of reverse repurchase arrangements, forward currency exchange contracts, forward commitments, dollar rolls or futures or by borrowing money. The use of other types of derivative instruments by the Portfolio, such as options and swaps, may also result in a form of leverage. Leverage may result in higher returns to the Portfolio than if the Portfolio were not leveraged, but may also adversely affect returns, particularly if the market is declining.
LIBOR Transition and Associated Risk—A Portfolio may be exposed to debt securities, derivatives or other financial instruments that are tied to the London Interbank Offered Rate, or “LIBOR,” as a “benchmark” or “reference rate” for various interest rate calculations. In 2017, the United Kingdom Financial Conduct Authority (“FCA”), which regulates LIBOR, announced a desire to phase out the use of LIBOR by the end of 2021. The FCA and LIBOR’s administrator, ICE Benchmark Administration, have since announced that most LIBOR settings (which reflect LIBOR rates quoted in different currencies over various time periods) will no longer be published after the end of 2021 but that the most widely used U.S. dollar LIBOR settings will continue to be published until June 30, 2023. However, banks were strongly encouraged to cease entering into agreements with counterparties referencing LIBOR by the end of 2021. It is possible that a subset of LIBOR settings will be published after these dates on a “synthetic” basis, but any such publications would be considered non-representative of the underlying market. The U.S. Federal Reserve, based on the recommendations of the New York Federal Reserve’s Alternative Reference Rate Committee (comprised of major derivative market participants and their regulators), has begun publishing a Secured Overnight Funding Rate (referred to as SOFR), which is intended to replace U.S. dollar LIBOR. Proposals for alternative reference rates for other currencies have also been announced or have already begun publication. Markets are slowly developing in response to these new rates.
The elimination of LIBOR or changes to other reference rates or any other changes or reforms to the determination or supervision of reference rates could have an adverse impact on the market for, or value of, any securities or payments linked to those reference rates, which may adversely affect a Portfolio’s performance and/or net asset value. Uncertainty and risk also remain regarding the willingness and ability of issuers and lenders to include revised provisions in new and existing contracts or instruments. Consequently, the transition away from LIBOR to other reference rates may lead to increased volatility and illiquidity in markets that are tied to LIBOR, fluctuations in values of LIBOR-related investments or investments in issuers that utilize LIBOR, increased difficulty in borrowing or refinancing and diminished effectiveness of hedging strategies, potentially adversely affecting a Portfolio’s performance. Furthermore, the risks associated with the expected discontinuation of LIBOR and transition may be exacerbated if the work necessary to effect an orderly transition to an alternative reference rate is not completed in a timely manner. The potential effects of a phase out of LIBOR on LIBOR-based investments are currently unknown.
Indemnification Risk—In the ordinary course of business, the Portfolio enters into contracts that contain a variety of indemnifications. The Portfolio’s maximum exposure under these arrangements is unknown. However, the Portfolio has not had prior claims or losses pursuant to these indemnification provisions and expects the risk of loss thereunder to be remote. Therefore, the Portfolio has not accrued any liability in connection with these indemnification provisions.
25
| | |
| |
| | | AB Variable Products Series Fund |
Management Risk—The Portfolio is subject to management risk because it is an actively-managed investment fund. The Adviser will apply its investment techniques and risk analyses in making investment decisions for the Portfolio, but there is no guarantee that its techniques will produce the intended results. Some of these techniques may incorporate, or rely upon, quantitative models, but there is no guarantee that these models will generate accurate forecasts, reduce risk or otherwise perform as expected.
NOTE H: Joint Credit Facility
A number of open-end mutual funds managed by the Adviser, including the Portfolio, participate in a $325 million revolving credit facility (the “Facility”) intended to provide short-term financing related to redemptions and other short term liquidity requirements, subject to certain restrictions. Commitment fees related to the Facility are paid by the participating funds and are included in miscellaneous expenses in the statement of operations. The Portfolio did not utilize the Facility during the year ended December 31, 2021.
NOTE I: Distributions to Shareholders
The tax character of distributions paid during the fiscal years ended December 31, 2021 and December 31, 2020 were as follows:
| | | | | | | | |
| | | 2021 | | | 2020 | |
Distributions paid from: | | | | | | | | |
Ordinary income | | $ | 6,055,715 | | | $ | 4,857,208 | |
| | | | | | | | |
Total taxable distributions paid | | $ | 6,055,715 | | | $ | 4,857,208 | |
| | | | | | | | |
As of December 31, 2021, the components of accumulated earnings/(deficit) on a tax basis were as follows:
| | | | |
Undistributed ordinary income | | $ | 4,241,740 | |
Accumulated capital and other losses | | | (7,752,674 | )(a) |
Unrealized appreciation/(depreciation) | | | 43,816,500 | (b) |
| | | | |
Total accumulated earnings/(deficit) | | $ | 40,305,566 | |
| | | | |
| (a) | | As of December 31, 2021, the Portfolio had a net capital loss carryforward of $7,752,674. During the fiscal year, the Portfolio utilized $29,545,586 of capital loss carry forwards to offset current year net realized gains. |
| (b) | | The differences between book-basis and tax-basis unrealized appreciation/(depreciation) are attributable primarily to the recognition for tax purposes of unrealized gains/losses on certain derivative instruments, the tax treatment of passive foreign investment companies (PFICs), and the tax deferral of losses on wash sales. |
For tax purposes, net realized capital losses may be carried over to offset future capital gains, if any. Funds are permitted to carry forward capital losses for an indefinite period, and such losses will retain their character as either short-term or long-term capital losses. As of December 31, 2021, the Portfolio had a net long-term capital loss carryforward of $7,752,674, which may be carried forward for an indefinite period.
During the current fiscal year, there were no permanent differences that resulted in adjustments to distributable earnings or additional paid-in capital.
NOTE J: Recent Accounting Pronouncements
In March 2020, the Financial Accounting Standards Board issued an Accounting Standards Update, ASU 2020-04, “Reference Rate Reform (Topic 848) – Facilitation of the Effects of Reference Rate Reform on Financial Reporting.” ASU 2020-04 provides optional guidance to ease the potential accounting burden due to the discontinuation of the LIBOR and other interbank-offered based reference rates. ASU 2020-04 is effective as of March 12, 2020 through December 31, 2022. Management is currently evaluating the impact, if any, of applying ASU 2020-04.
NOTE K: Subsequent Events
Management has evaluated subsequent events for possible recognition or disclosure in the financial statements through the date the financial statements are issued. Management has determined that there are no material events that would require disclosure in the Portfolio’s financial statements through this date.
26
| | |
| | |
| INTERNATIONAL VALUE PORTFOLIO | | |
| |
| FINANCIAL HIGHLIGHTS | | AB Variable Products Series Fund |
Selected Data For A Share Of Capital Stock Outstanding Throughout Each Period
| | | | | | | | | | | | | | | | | | | | |
| | | CLASS A | |
| | | Year Ended December 31, | |
| | | 2021 | | | 2020 | | | 2019 | | | 2018 | | | 2017 | |
Net asset value, beginning of period | | | $14.45 | | | | $14.37 | | | | $12.38 | | | | $16.30 | | | | $13.28 | |
| | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | |
Income From Investment Operations | | | | | | | | | | | | | | | | | | | | |
Net investment income (a)(b) | | | .37 | | | | .18 | | | | .28 | | | | .25 | | | | .31 | |
Net realized and unrealized gain (loss) on investment and foreign currency transactions | | | 1.22 | | | | .14 | | | | 1.84 | | | | (3.94 | ) | | | 3.06 | |
| | | | | | | | | | | | | | | | | | | | |
Net increase (decrease) in net asset value from operations | | | 1.59 | | | | .32 | | | | 2.12 | | | | (3.69 | ) | | | 3.37 | |
| | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | |
Less: Dividends | | | | | | | | | | | | | | | | | | | | |
Dividends from net investment income | | | (.32 | ) | | | (.24 | ) | | | (.13 | ) | | | (.23 | ) | | | (.35 | ) |
| | | | | | | | | | | | | | | | | | | | |
Net asset value, end of period | | | $15.72 | | | | $14.45 | | | | $14.37 | | | | $12.38 | | | | $16.30 | |
| | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | |
Total Return | | | | | | | | | | | | | | | | | | | | |
Total investment return based on net asset value (c)* | | | 11.08 | % | | | 2.46 | % | | | 17.14 | % | | | (22.79 | )% | | | 25.42 | % |
| | | | | | | | | | | | | | | | | | | | |
Ratios/Supplemental Data | | | | | | | | | | | | | | | | | | | | |
Net assets, end of period (000’s omitted) | | | $45,175 | | | | $41,994 | | | | $54,042 | | | | $57,234 | | | | $53,014 | |
Ratio to average net assets of: | | | | | | | | | | | | | | | | | | | | |
Expenses, net of waivers/reimbursements | | | .90 | % | | | .91 | % | | | .90 | % | | | .86 | % | | | .85 | % |
Expenses, before waivers/reimbursements | | | .90 | % | | | .92 | % | | | .90 | % | | | .87 | % | | | .86 | % |
Net investment income (b) | | | 2.34 | % | | | 1.47 | % | | | 2.10 | % | | | 1.65 | % | | | 2.05 | % |
Portfolio turnover rate | | | 43 | % | | | 54 | % | | | 44 | % | | | 42 | % | | | 45 | % |
See footnote summary on page 28.
27
| | |
| |
| | | AB Variable Products Series Fund |
Selected Data For A Share Of Capital Stock Outstanding Throughout Each Period
| | | | | | | | | | | | | | | | | | | | |
| | | CLASS B | |
| | | Year Ended December 31, | |
| | | 2021 | | | 2020 | | | 2019 | | | 2018 | | | 2017 | |
Net asset value, beginning of period | | | $14.34 | | | | $14.24 | | | | $12.29 | | | | $16.15 | | | | $13.16 | |
| | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | |
Income From Investment Operations | | | | | | | | | | | | | | | | | | | | |
Net investment income (a)(b) | | | .32 | | | | .14 | | | | .24 | | | | .23 | | | | .27 | |
Net realized and unrealized gain (loss) on investment and foreign currency transactions | | | 1.23 | | | | .15 | | | | 1.82 | | | | (3.92 | ) | | | 3.02 | |
| | | | | | | | | | | | | | | | | | | | |
Net increase (decrease) in net asset value from operations | | | 1.55 | | | | .29 | | | | 2.06 | | | | (3.69 | ) | | | 3.29 | |
| | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | |
Less: Dividends | | | | | | | | | | | | | | | | | | | | |
Dividends from net investment income | | | (.27 | ) | | | (.19 | ) | | | (.11 | ) | | | (.17 | ) | | | (.30 | ) |
| | | | | | | | | | | | | | | | | | | | |
Net asset value, end of period | | | $15.62 | | | | $14.34 | | | | $14.24 | | | | $12.29 | | | | $16.15 | |
| | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | |
Total Return | | | | | | | | | | | | | | | | | | | | |
Total investment return based on net asset value (c)* | | | 10.86 | % | | | 2.21 | % | | | 16.79 | % | | | (22.98 | )% | | | 25.09 | % |
| | | | | | | | | | | | | | | | | | | | |
Ratios/Supplemental Data | | | | | | | | | | | | | | | | | | | | |
Net assets, end of period (000’s omitted) | | | $304,737 | | | | $299,415 | | | | $323,582 | | | | $309,576 | | | | $432,885 | |
Ratio to average net assets of: | | | | | | | | | | | | | | | | | | | | |
Expenses, net of waivers/reimbursements | | | 1.15 | % | | | 1.16 | % | | | 1.15 | % | | | 1.11 | % | | | 1.10 | % |
Expenses, before waivers/reimbursements | | | 1.15 | % | | | 1.17 | % | | | 1.15 | % | | | 1.11 | % | | | 1.11 | % |
Net investment income (b) | | | 2.08 | % | | | 1.18 | % | | | 1.84 | % | | | 1.50 | % | | | 1.83 | % |
Portfolio turnover rate | | | 43 | % | | | 54 | % | | | 44 | % | | | 42 | % | | | 45 | % |
| (a) | | Based on average shares outstanding. |
| (b) | | Net of expenses waived/reimbursed by the Adviser. |
| (c) | | Total investment return is calculated assuming an initial investment made at the net asset value at the beginning of the period, reinvestment of all dividends and distributions at net asset value during the period, and redemption on the last day of the period. Total return does not reflect (i) insurance company’s separate account related expense charges and (ii) the deductions of taxes that a shareholder would pay on Portfolio distributions or the redemption of Portfolio shares. Total investment return calculated for a period of less than one year is not annualized. |
| * | | Includes the impact of proceeds received and credited to the Portfolio resulting from class action settlements, which enhanced the Portfolio’s performance for the years ended December 31, 2020, December 31, 2019 and December 31, 2017 by .04%, .18% and .01%, respectively. |
See notes to financial statements.
28
| | |
| | |
| REPORT OF INDEPENDENT REGISTERED | | |
| |
| PUBLIC ACCOUNTING FIRM | | AB Variable Products Series Fund |
To the Shareholders and the Board of Directors of AB International Value Portfolio
Opinion on the Financial Statements
We have audited the accompanying statement of assets and liabilities of AB International Value Portfolio (the “Portfolio”) (one of the portfolios constituting AB Variable Products Series Fund, Inc. (the “Fund”)), including the portfolio of investments, as of December 31, 2021, and the related statement of operations for the year then ended, the statements of changes in net assets for each of the two years in the period then ended, the financial highlights for each of the five years in the period then ended and the related notes (collectively referred to as the “financial statements”). In our opinion, the financial statements present fairly, in all material respects, the financial position of the Portfolio (one of the portfolios constituting AB Variable Products Series Fund, Inc.) at December 31, 2021, the results of its operations for the year then ended, the changes in its net assets for each of the two years in the period then ended and its financial highlights for each of the five years in the period then ended, in conformity with U.S. generally accepted accounting principles.
Basis for Opinion
These financial statements are the responsibility of the Fund’s management. Our responsibility is to express an opinion on the Portfolio’s financial statements based on our audits. We are a public accounting firm registered with the Public Company Accounting Oversight Board (United States) (“PCAOB”) and are required to be independent with respect to the Fund in accordance with the U.S. federal securities laws and the applicable rules and regulations of the Securities and Exchange Commission and the PCAOB.
We conducted our audits in accordance with the standards of the PCAOB. Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements are free of material misstatement, whether due to error or fraud. The Fund is not required to have, nor were we engaged to perform, an audit of the Fund’s internal control over financial reporting. As part of our audits we are required to obtain an understanding of internal control over financial reporting but not for the purpose of expressing an opinion on the effectiveness of the Fund’s internal control over financial reporting. Accordingly, we express no such opinion.
Our audits included performing procedures to assess the risks of material misstatement of the financial statements, whether due to error or fraud, and performing procedures that respond to those risks. Such procedures included examining, on a test basis, evidence regarding the amounts and disclosures in the financial statements. Our procedures included confirmation of securities owned as of December 31, 2021, by correspondence with the custodian and others or by other appropriate auditing procedures where replies from others were not received. Our audits also included evaluating the accounting principles used and significant estimates made by management, as well as evaluating the overall presentation of the financial statements. We believe that our audits provide a reasonable basis for our opinion.
We have served as the auditor of one or more of the AB investment companies since 1968.
New York, New York
February 14, 2022
29
| | |
| | |
| | |
| |
| 2021 TAX INFORMATION (unaudited) | | AB Variable Products Series Fund |
For Federal income tax purposes, the following information is furnished with respect to the earnings of the Portfolio for the taxable year ended December 31, 2021.
The Portfolio intends to make an election to pass through foreign taxes to its shareholders. For the taxable year ended December 31, 2021, $642,751 of foreign taxes may be passed through and the associated foreign source income for information reporting purposes is $12,345,524.
30
| | |
| | |
| | |
| |
| INTERNATIONAL VALUE PORTFOLIO | | AB Variable Products Series Fund |
| | |
| BOARD OF DIRECTORS | | |
Marshall C. Turner, Jr.(1), Chairman Jorge A. Bermudez(1) Michael J. Downey(1) Onur Erzan*, President and
Chief Executive Officer | | Nancy P. Jacklin(1) Jeanette W. Loeb(1) Carol C. McMullen(1) Garry L. Moody(1) |
| | |
| | |
| OFFICERS | | |
Tawhid Ali(2), Vice President Avi Lavi(2), Vice President Emilie D. Wrapp, Secretary Michael B. Reyes, Senior Vice President and Senior Analyst | | Joseph J. Mantineo, Treasurer and
Chief Financial Officer Phyllis J. Clarke, Controller Vincent S. Noto, Chief Compliance Officer |
| | |
| | |
CUSTODIANAND ACCOUNTING AGENT State Street Bank and Trust Company State Street Corporation CCB/5 1 Iron Street Boston, MA 02210 | | LEGAL COUNSEL Seward & Kissel LLP One Battery Park Plaza New York, NY 10004 |
| | |
DISTRIBUTOR AllianceBernstein Investments, Inc. 501 Commerce Street Nashville, TN 37203 | | TRANSFER AGENT AllianceBernstein Investor Services, Inc. P.O. Box 786003 San Antonio, TX 78278 Toll-Free (800) 221-5672 |
| | |
INDEPENDENT REGISTERED PUBLIC ACCOUNTING FIRM Ernst & Young LLP One Manhattan West New York, NY 10001 | | |
| (1) | | Member of the Audit Committee, the Governance and Nominating Committee, and the Independent Directors Committee. |
| (2) | | The day-to-day management of, and investment decisions for, the Portfolio’s portfolio are made by the Adviser’s International Value Senior Investment Management Team. Messrs. Ali and Lavi are the investment professionals with the most significant responsibility for the day-to-day management of the Portfolio’s portfolio. |
31
| | |
| | |
| INTERNATIONAL VALUE PORTFOLIO | | |
| |
| MANAGEMENT OF THE FUND | | AB Variable Products Series Fund |
Board of Directors Information
The business and affairs of the Fund are managed under the direction of the Board of Directors. Certain information concerning the Fund’s Directors is set forth below.
| | | | | | | | |
NAME, ADDRESS*, AGE AND (YEAR FIRST ELECTED)** | | PRINCIPAL
OCCUPATION(S),
DURING PAST FIVE YEARS
AND OTHER INFORMATION*** | | PORTFOLIOS IN AB FUND COMPLEX OVERSEEN BY DIRECTOR | | | OTHER PUBLIC COMPANY DIRECTORSHIPS CURRENTLY HELD BY DIRECTOR |
| INTERESTED DIRECTOR | | | | | | | | |
| | | | | | | | |
Onur Erzan,#
1345 Avenue of the Americas New York, NY 10105 46 (2021) | | Senior Vice President of AllianceBernstein L.P. (the “Adviser”) and Head of the Global Client Group overseeing AB’s institutional and retail businesses, where he is responsible for all client services, sales and marketing, as well as product strategy, management and development worldwide. Director, President and Chief Executive Officer of the AB Mutual Funds as of April 1, 2021. Prior to joining the firm in January 2021, he spent 20 years with McKinsey (management consulting firm), most recently as a senior partner and co-leader of its Wealth & Asset Management practice. In addition, he co-led McKinsey’s Banking & Securities Solutions (a portfolio of data, analytics, and digital assets and capabilities) globally. | | | 74 | | | None |
| | | | | | | | |
| INDEPENDENT DIRECTORS | | | | | | |
| | | | | | | | |
Marshall C. Turner, Jr.,##
Chairman of the Board
80
(2005) | | Private Investor since prior to 2017. Former Chairman and CEO of Dupont Photomasks, Inc. (components of semi-conductor manufacturing). He was a Director of Xilinx, Inc. (programmable logic semiconductors and adaptable, intelligent computing) from 2007 through August 2020, and is a former director of 33 other companies and organizations. He has extensive operating leadership, and venture capital investing experience, including five interim or full-time CEO roles, and prior service as general partner of institutional venture capital partnerships. He also has extensive non-profit board leadership experience, and currently serves on the boards of two education and science-related non-profit organizations. He has served as a director of one AB Fund since 1992, and director or trustee of all AB Funds since 2005. He has been Chairman of the AB Funds since January 2014, and the Chairman of the Independent Directors Committees of such AB Funds since February 2014. | | | 74 | | | None |
| | | | | | | | |
Jorge A. Bermudez,##
70 (2020) | | Private Investor since prior to 2017. Formerly, Chief Risk Officer of Citigroup, Inc., a global financial services company, from November 2007 to March 2008, Chief Executive Officer of Citigroup’s Commercial Business Group in North America and Citibank Texas from 2005 to 2007, and a variety of other executive and leadership roles at various businesses within Citigroup prior to then; Chairman (2018) of the Texas A&M Foundation Board of Trustees (Trustee since 2013) and Chairman of the Smart Grid Center Board at Texas A&M University since 2012; director of, among others, Citibank N.A. from 2005 to 2008, the Federal Reserve Bank of Dallas, Houston Branch from 2009 to 2011, the Federal Reserve Bank of Dallas from 2011 to 2017, and the Electric Reliability Council of Texas from 2010 to 2016. He has served as director or trustee of the AB Funds since January 2020. | | | 74 | | | Moody’s Corporation since April 2011 |
32
| | |
| INTERNATIONAL VALUE PORTFOLIO | | |
| MANAGEMENT OF THE FUND | | |
| |
| (continued) | | AB Variable Products Series Fund |
| | | | | | | | |
NAME, ADDRESS*, AGE AND (YEAR FIRST ELECTED)** | | PRINCIPAL
OCCUPATION(S),
DURING PAST FIVE YEARS
AND OTHER INFORMATION*** | | PORTFOLIOS IN AB FUND COMPLEX OVERSEEN BY DIRECTOR | | | OTHER PUBLIC COMPANY DIRECTORSHIPS CURRENTLY HELD BY DIRECTOR |
INDEPENDENT DIRECTORS (continued) |
| | | | | | | | |
Michael J. Downey,##
78 (2005) | | Private Investor since prior to 2017. Formerly, Chairman of The Asia Pacific Fund, Inc. (registered investment company) since prior to 2017 until January 2019. From 1987 until 1993, Chairman and CEO of Prudential Mutual Fund Management, director of the Prudential mutual funds, and member of the Executive Committee of Prudential Securities, Inc. He has served as a director or trustee of the AB Funds since 2005. | | | 74 | | | None |
| | | | | | | | |
Nancy P. Jacklin,##
73 (2006) | | Private Investor since prior to 2017. Professorial Lecturer at the Johns Hopkins School of Advanced International Studies (2008–2015). U.S. Executive Director of the International Monetary Fund (which is responsible for ensuring the stability of the international monetary system), (December 2002–May 2006); Partner, Clifford Chance (1992–2002); Sector Counsel, International Banking and Finance, and Associate General Counsel, Citicorp (1985–1992); Assistant General Counsel (International), Federal Reserve Board of Governors (1982–1985); and Attorney Advisor, U.S. Department of the Treasury (1973–1982). Member of the Bar of the District of Columbia and of New York; and member of the Council on Foreign Relations. She has served as a director or trustee of the AB Funds since 2006 and has been Chair of the Governance and Nominating Committees of the AB Funds since August 2014. | | | 74 | | | None |
| | | | | | | | |
Jeanette W. Loeb,##
69
(2020) | | Chief Executive Officer of PetCareRx (e-commerce pet pharmacy) from 2002 to 2011 and 2015 to present. Director of New York City Center since 2005. She was a director of AB Multi-Manager Alternative Fund, Inc. (fund of hedge funds) from 2012 to 2018. Formerly, affiliated with Goldman Sachs Group, Inc. (financial services) from 1977 to 1994, including as a partner thereof from 1986 to 1994. She has served as director or trustee of the AB Funds since April 2020. | | | 74 | | | Apollo Investment Corp. (business development company) since August 2011 |
| | | | | | | | |
Carol C. McMullen,##
66 (2016) | | Managing Director of Slalom Consulting (consulting) since 2014, private investor and a member of the Advisory Board of Butcher Box (since 2018). Formerly, member, Partners Healthcare Investment Committee (2010–2019); Director of Norfolk & Dedham Group (mutual property and casualty insurance) from 2011 until November 2016; Director of Partners Community Physicians Organization (healthcare) from 2014 until December 2016; and Managing Director of The Crossland Group (consulting) from 2012 until 2013. She has held a number of senior positions in the asset and wealth management industries, including at Eastern Bank (where her roles included President of Eastern Wealth Management), Thomson Financial (Global Head of Sales for Investment Management), and Putnam Investments (where her roles included Chief Investment Officer, Core and Growth and Head of Global Investment Research). She has served on a number of private company and non-profit boards, and as a director or trustee of the AB Funds since June 2016. | | | 74 | | | None |
33
| | |
| |
| | | AB Variable Products Series Fund |
| | | | | | | | |
NAME, ADDRESS*, AGE AND (YEAR FIRST ELECTED)** | | PRINCIPAL
OCCUPATION(S),
DURING PAST FIVE YEARS
AND OTHER INFORMATION*** | | PORTFOLIOS IN AB FUND COMPLEX OVERSEEN BY DIRECTOR | | | OTHER PUBLIC COMPANY DIRECTORSHIPS CURRENTLY HELD BY DIRECTOR |
INDEPENDENT DIRECTORS (continued) |
| | | | | | | | |
Garry L. Moody,##
69 (2008) | | Private Investor since prior to 2017. Formerly, Partner, Deloitte & Touche LLP (1995–2008) where he held a number of senior positions, including Vice Chairman, and U.S. and Global Investment Management Practice Managing Partner; President, Fidelity Accounting and Custody Services Company (1993–1995), where he was responsible for accounting, pricing, custody and reporting for the Fidelity mutual funds; and Partner, Ernst & Young LLP (1975–1993), where he served as the National Director of Mutual Fund Tax Services and Managing Partner of its Chicago Office Tax department. He is a member of the Trustee Advisory Board of BoardIQ, a biweekly publication focused on issues and news affecting directors of mutual funds. He is also a member of the Investment Company Institute’s Board of Governors and the Independent Directors Council’s Governing Council. He has served as a director or trustee, and as Chairman of the Audit Committees, of the AB Funds since 2008. | | | 74 | | | None |
| | | | | | | | |
| * | The address for each of the Fund’s disinterested Directors is c/o AllianceBernstein L.P., Attention: Legal and Compliance Department—Mutual Fund Legal, 1345 Avenue of the Americas, New York, NY 10105. |
| ** | There is no stated term of office for the Fund’s Directors. |
| *** | The information above includes each Director’s principal occupation during the last five years and other information relating to the experience, attributes and skills relevant to each Director’s qualifications to serve as a Director, which led to the conclusion that each Director should serve as a Director for the Fund. |
| # | Mr. Erzan is an “interested person” of the Fund, as defined in the “1940 Act”, due to his position as a Senior Vice President of the Adviser. |
| ## | Member of the Audit Committee, the Governance and Nominating Committee, and the Independent Directors Committee. |
34
| | |
| INTERNATIONAL VALUE PORTFOLIO | | |
| MANAGEMENT OF THE FUND | | |
| |
| (continued) | | AB Variable Products Series Fund |
Officer Information
Certain information concerning the Portfolio’s Officers is listed below.
| | | | |
NAME, ADDRESS*
AND AGE | | PRINCIPAL POSITION(S)
HELD WITH FUND | | PRINCIPAL OCCUPATION
DURING PAST FIVE YEARS |
Onur Erzan
46 | | President and Chief Executive Officer | | See biography above. |
| | | | |
Tawhid Ali
50 | | Vice President | | Senior Vice President of the Adviser**, with which he has been associated since prior to 2017. He is also Chief Investment Officer of European Value Equities. |
| | | | |
Avi Lavi
55 | | Vice President | | Senior Vice President of the Adviser**, with which he has been associated since prior to 2017. He is also Chief Investment Officer of Global and International Value Equities. |
| | | | |
Emilie D. Wrapp
66 | | Secretary | | Senior Vice President, Assistant General Counsel and Assistant Secretary of ABI**, with which she has been associated since prior to 2017. |
| | | | |
Michael B. Reyes
45 | | Senior Vice President and Senior Analyst | | Vice President of the Adviser**, with which he has been associated since prior to 2017. |
| | | | |
Joseph J. Mantineo
62 | | Treasurer and Chief
Financial Officer | | Senior Vice President of AllianceBernstein Investor Services, Inc. (“ABIS”)**, with which he has been associated since prior to 2017. |
| | | | |
Phyllis J. Clarke
61 | | Controller | | Vice President of ABIS**, with which she has been associated since prior to 2017. |
| | | | |
Vincent S. Noto
57 | | Chief Compliance Officer | | Senior Vice President and Mutual Fund Chief Compliance Officer of the Adviser** since prior to 2017. |
| * | | The address for each of the Portfolio Officers is 1345 Avenue of the Americas, New York, NY 10105. |
| ** | | The Adviser, ABI and ABIS are affiliates of the Fund. |
| | | The Fund’s Statement of Additional Information (“SAI”) has additional information about the Fund’s Directors and Officers and is available without charge upon request. Contact your financial representative or the Adviser at (800) 227-4618, or visit www.abfunds.com, for a free prospectus or SAI. |
35
| | |
| | |
| | |
| |
| INTERNATIONAL VALUE PORTFOLIO | | AB Variable Products Series Fund |
OPERATION AND EFFECTIVENESS OF THE PORTFOLIO’S LIQUIDITY RISK MANAGEMENT PROGRAM:
In October 2016, the Securities and Exchange Commission (“SEC”) adopted the open-end fund liquidity rule (the “Liquidity Rule”). In June 2018 the SEC adopted a requirement that funds disclose information about the operation and effectiveness of their Liquidity Risk Management Program (“LRMP”) in their reports to shareholders.
One of the requirements of the Liquidity Rule is for the Portfolio to designate an Administrator of the Portfolio’s Liquidity Risk Management Program. The Administrator of the Portfolio’s LRMP is AllianceBernstein L.P., the Portfolio’s investment adviser (the “Adviser”). The Adviser has delegated the responsibility to its Liquidity Risk Management Committee (the “Committee”).
Another requirement of the Liquidity Rule is for the Portfolio’s Board of Directors (the “Fund Board”) to receive an annual written report from the Administrator of the LRMP, which addresses the operation of the Portfolio’s LRMP and assesses its adequacy and effectiveness. The Adviser provided the Fund Board with such annual report during the first quarter of 2021, which covered the period January 1, 2020 through December 31, 2020 (the “Program Reporting Period”).
The LRMP’s principal objectives include supporting the Portfolio’s compliance with limits on investments in illiquid assets and mitigating the risk that the Portfolio will be unable to meet its redemption obligations in a timely manner.
Pursuant to the LRMP, the Portfolio classifies the liquidity of its portfolio investments into one of the four categories defined by the SEC: Highly Liquid, Moderately Liquid, Less Liquid, and Illiquid. These classifications are reported to the SEC on Form N-PORT.
During the Program Reporting Period, the Committee reviewed whether the Portfolio’s strategy is appropriate for an open-end structure, incorporating any holdings of less liquid and illiquid assets. If the Portfolio participated in derivative transactions, the exposure from such transactions were considered in the LRMP.
The Committee also performed an analysis to determine whether the Portfolio is required to maintain a Highly Liquid Investment Minimum (“HLIM”). The Committee also incorporated the following information when determining the Portfolio’s reasonably anticipated trading size for purposes of liquidity monitoring: historical net redemption activity, a Portfolio’s concentration in an issuer, shareholder concentration, investment performance, total net assets, and distribution channels.
The Adviser informed the Fund Board that the Committee believes the Portfolio’s LRMP is adequately designed, has been implemented as intended, and has operated effectively since its inception. No material exceptions have been noted since the implementation of the LRMP. During the Program Reporting Period, beginning in March 2020, all financial markets experienced extreme levels of price volatility and relative illiquidity resulting from the COVID-19 impacts on the global economy. This extreme relative illiquidity resulted in significantly wider bid-ask spreads to transact in securities, including many of those securities held by the Portfolio, and in a diminished depth of liquidity in most markets, to varying degrees. Nonetheless, there were no liquidity events that impacted the Portfolio or its ability to timely meet redemptions during the Program Reporting Period.
36
| | |
| | |
| INTERNATIONAL VALUE PORTFOLIO |
| |
| CONTINUANCE DISCLOSURE | | AB Variable Products Series Fund |
INFORMATION REGARDING THE REVIEW AND APPROVAL OF THE FUND’S ADVISORY AGREEMENT
The disinterested directors (the “directors”) of AB Variable Products Series Fund, Inc. (the “Company”) unanimously approved the continuance of the Company’s Advisory Agreement with the Adviser in respect of AB International Value Portfolio (the “Fund”) at a meeting held by video conference on May 3-5, 2021 (the “Meeting”).
Prior to approval of the continuance of the Advisory Agreement, the directors had requested from the Adviser, and received and evaluated, extensive materials. They reviewed the proposed continuance of the Advisory Agreement with the Adviser and withexperienced counsel who are independent of the Adviser, who advised on the relevantlegal standards. The directors also reviewed additional materials, including comparative analytical data prepared by the Senior Analyst for the Fund. The directors also discussed the proposed continuance in private sessions with counsel.
The directors considered their knowledge of the nature and quality of the services provided by the Adviser to the Fund gained from their experience as directors or trustees of most of the registered investment companies advised by the Adviser, their overall confidence in the Adviser’s integrity and competence they have gained from that experience, the Adviser’s initiative in identifying and raising potential issues with the directors and its responsiveness, frankness and attention to concerns raised by the directors in the past, including the Adviser’s willingness to consider and implement organizational and operational changes designed to improve investment results and the services provided to the AB Funds. The directors noted that they have four regular meetings each year, at each of which they review extensive materials and information from the Adviser, including information on the investment performance of the Fund.
The directors also considered all factors they believed relevant, including the specific matters discussed below. During the course of their deliberations, the directors evaluated, among other things, the reasonableness of the advisory fee. The directors did not identify any particular information that was all-important or controlling, and different directors may have attributed different weights to the various factors. The directors determined that the selection of the Adviser to manage the Fund and the overall arrangements between the Fund and the Adviser, as provided in the Advisory Agreement, including the advisory fee, were fair and reasonable in light of the services performed, expenses incurred and such other matters as the directors considered relevant in the exercise of their business judgment. The material factors and conclusions that formed the basis for the directors’ determinations included the following:
Nature, Extent and Quality of Services Provided
The directors considered the scope and quality of services provided by the Adviser under the Advisory Agreement, including the quality of the investment research capabilities of the Adviser and the other resources it has dedicated to performing services for the Fund. The directors noted that the Adviser from time to time reviews the Fund’s investment strategies and from time to time proposes changes intended to improve the Fund’s relative or absolute performance for the directors’ consideration. They also noted the professional experience and qualifications of the Fund’s portfolio management team and other senior personnel of the Adviser. The directors also considered that the Advisory Agreement provides that the Fund will reimburse the Adviser for the cost to it of providing certain clerical, accounting, administrative and other services to the Fund by employees of the Adviser or its affiliates. Requests for these reimbursements are made on a quarterly basis and subject to approval by the directors. Reimbursements, to the extent requested and paid, result in a higher rate of total compensation from the Fund to the Adviser than the fee rate stated in the Advisory Agreement. The directors noted that the methodology used to determine the reimbursement amounts had been reviewed by an independent consultant at the request of the directors. The quality of administrative and other services, including the Adviser’s role in coordinating the activities of the Fund’s other service providers, also was considered. The directors concluded that, overall, they were satisfied with the nature, extent and quality of services provided to the Fund under the Advisory Agreement.
Costs of Services Provided and Profitability
The directors reviewed a schedule of the revenues and expenses and related notes indicating the profitability of the Fund to the Adviser for calendar years 2019 and 2020 that had been prepared with an expense allocation methodology arrived at in consultation with an independent consultant at the request of the directors. The directors noted the assumptions and methods of allocation used by the Adviser in preparing fund-specific profitability data and understood that there are a number of potentially acceptable allocation methodologies for information of this type. The directors noted that the profitability information reflected all revenues and expenses of the Adviser’s relationship with the Fund, including those relating to its subsidiaries that provide transfer agency, distribution and brokerage services to the Fund. The directors recognized that it is difficult to make comparisons of the profitability of the Advisory Agreement with the profitability of fund advisory contracts for unaffiliated funds because comparative information is not generally publicly available and is affected by numerous
37
| | |
| |
| | | AB Variable Products Series Fund |
factors. The directors focused on the profitability of the Adviser’s relationship with the Fund before taxes and distribution expenses. The directors concluded that the Adviser’s level of profitability from its relationship with the Fund was not unreasonable.
Fall-Out Benefits
The directors considered the other benefits to the Adviser and its affiliates from their relationships with the Fund, including, but not limited to, benefits relating to soft dollar arrangements (whereby investment advisers receive brokerage and research services from brokers that execute agency transactions for their clients); 12b-1 fees and sales charges received by the Fund’s principal underwriter (which is a wholly owned subsidiary of the Adviser) in respect of the Fund’s Class B shares; brokerage commissions paid by the Fund to brokers affiliated with the Adviser; and transfer agency fees paid by the Fund to a wholly owned subsidiary of the Adviser. The directors recognized that the Adviser’s profitability would be somewhat lower without these benefits. The directors understood that the Adviser also might derive reputational and other benefits from its association with the Fund.
Investment Results
In addition to the information reviewed by the directors in connection with the Meeting, the directors receive detailed performance information for the Fund at each regular Board meeting during the year.
At the Meeting, the directors reviewed performance information prepared by an independent service provider (the “15(c) service provider”), showing the performance of the Class A Shares of the Fund against a group of similar funds (“peer group”) and a larger group of similar funds (“peer universe”), each selected by the 15(c) service provider, and information prepared by the Adviser showing performance of the Class A Shares against a broad-based securities market index, in each case for the 1-, 3-, 5- and 10-year periods ended February 28, 2021 and (in the case of comparisons with the broadbased securities market index) for the period from inception. Based on their review and their discussion with the Adviser of the reasons for the Fund’s underperformance in the periods reviewed, the directors concluded that the Fund’s investment performance was acceptable. The directors determined to continue to monitor the Fund’s performance closely.
Advisory Fees and Other Expenses
The directors considered the advisory fee rate payable by the Fund to the Adviser and information prepared by the 15(c) service provider concerning advisory fee rates payable by other funds in the same category as the Fund. The directors recognized that it is difficult to make comparisons of advisory fees because there are variations in the services that are included in the fees paid by other funds. The directors compared the Fund’s contractual effective advisory fee rate with a peer group median and took into account the impact on the advisory fee rate of the administrative expense reimbursement paid to the Adviser in the latest fiscal year.
The directors also considered the Adviser’s fee schedule for other clients utilizing investment strategies similar to those of the Fund. For this purpose, they reviewed the relevant advisory fee information from the Adviser’s Form ADV and in a report from the Fund’s Senior Analyst and noted the differences between the Fund’s fee schedule, on the one hand, and the Adviser’s institutional fee schedule and the schedule of fees charged by the Adviser to any offshore funds and for services to any sub-advised funds utilizing investment strategies similar to those of the Fund, on the other. The directors noted that the Adviser may, in some cases, agree to fee rates with large institutional clients that are lower than those reviewed by the directors and that they had previously discussed with the Adviser its policies in respect of such arrangements. The directors also compared the advisory fee rate for the Fund with those for two other funds advised by the Adviser utilizing similar investment strategies.
The Adviser reviewed with the directors the significantly greater scope of the services it provides to the Fund relative to institutional, offshore fund and sub-advised fund clients. In this regard, the Adviser noted, among other things, that, compared to institutional and offshore or sub-advisory accounts, the Fund (i) demands considerably more portfolio management, research and trading resources due to significantly higher daily cash flows; (ii) has more tax and regulatory restrictions and compliance obligations; (iii) must prepare and file or distribute regulatory and other communications about fund operations; and (iv) must provide shareholder servicing to retail investors. The Adviser also reviewed the greater legal risks presented by the large and changing population of Fund shareholders who may assert claims against the Adviser in individual or class actions, and the greater entrepreneurial risk in offering new fund products, which require substantial investment to launch, may not succeed, and generally must be priced to compete with larger, more established funds resulting in lack of profitability to the Adviser until a new fund achieves scale. In light of the substantial differences in services rendered by the
38
| | |
| INTERNATIONAL VALUE PORTFOLIO | | |
| CONTINUANCE DISCLOSURE | | |
| |
| (continued) | | AB Variable Products Series Fund |
Adviser to institutional, offshore fund and sub-advised fund clients as compared to the Fund, and the different risk profile, the directors considered these fee comparisons inapt and did not place significant weight on them in their deliberations.
In connection with their review of the Fund’s advisory fee, the directors also considered the total expense ratio of the Class A shares of the Fund in comparison to a peer group and a peer universe selected by the 15(c) service provider. The Class A expense ratio of the Fund was based on the Fund’s latest fiscal year. The Adviser had agreed to cap the Fund’s expenses, but the directors noted that the Fund’s expense ratio was currently below the level of the Adviser’s cap. The directors noted that it was likely that the expense ratios of some of the other funds in the Fund’s category were lowered by waivers or reimbursements by those funds’ investment advisers, which in some cases might be voluntary or temporary. The directors view expense ratio information as relevant to their evaluation of the Adviser’s services because the Adviser is responsible for coordinating services provided to the Fund by others. The directors noted that the Fund’s expense ratio was above the peer group median. After reviewing and discussing the Adviser’s explanations of the reasons for this, the directors concluded that the Fund’s expense ratio was acceptable.
Economies of Scale
The directors noted that the advisory fee schedule for the Fund contains breakpoints that reduce the fee rates on assets above specified levels. The directors took into consideration prior presentations by an independent consultant on economies of scale in the mutual fund industry and for the AB Funds, and presentations from time to time by the Adviser concerning certain of its views on economies of scale. The directors also had requested and received from the Adviser certain updates on economies of scale in advance of the Meeting. The directors believe that economies of scale may be realized (if at all) by the Adviser across a variety of products and services, and not only in respect of a single fund. The directors noted that there is no established methodology for setting breakpoints that give effect to the fund-specific services provided by a fund’s adviser and to the economies of scale that an adviser may realize in its overall mutual fund business or those components of it which directly or indirectly affect a fund’s operations. The directors observed that in the mutual fund industry as a whole, as well as among funds similar to the Fund, there is no uniformity or pattern in the fees and asset levels at which breakpoints (if any) apply. The directors also noted that the advisory agreements for many funds do not have breakpoints at all. Having taken these factors into account, the directors concluded that the Fund’s shareholders would benefit from a sharing of economies of scale in the event the Fund’s net assets exceed a breakpoint in the future.
39
VPS-IV-0151-1221
DEC 12.31.21
ANNUAL REPORT
AB VARIABLE PRODUCTS
SERIES FUND, INC.
| + | | LARGE CAP GROWTH PORTFOLIO |
As of May 1, 2021, as permitted by regulations adopted by the Securities and Exchange Commission, you may not be receiving paper copies of the Portfolio’s shareholder reports from the insurance company that offers your contract unless you specifically requested paper copies from the insurance company or from your financial intermediary. Instead of delivering paper copies of the reports, the insurance company may choose to make the reports available on a website, and will notify you by mail each time a report is posted and provide you with a website link to access the report. Instructions for requesting paper copies will be provided by your insurance company.
You may elect to receive all future reports in paper free of charge from the insurance company. You can inform the insurance company or your financial intermediary that you wish to continue receiving paper copies of your shareholder reports by following the instructions provided by the insurance company or by contacting your financial intermediary. Your election to receive reports in paper will apply to all portfolio companies available under your contract with the insurance company.
Investment Products Offered
| | • | | Are Not Bank Guaranteed |
AllianceBernstein Investments, Inc. (ABI) is the distributor of the AB family of mutual funds. ABI is a member of FINRA and is an affiliate of AllianceBernstein L.P., the Adviser of the funds.
You may obtain a description of the Fund’s proxy voting policies and procedures, and information regarding how the Fund voted proxies relating to portfolio securities during the most recent 12-month period ended June 30, without charge. Simply visit AB’s website at www.abfunds.com or go to the Securities and Exchange Commission’s (the “Commission”) website at www.sec.gov, or call AB at (800) 227 4618.
The Fund files its complete schedule of portfolio holdings with the Commission for the first and third quarters of each fiscal year as an exhibit to its reports on Form N-PORT. The Fund’s Form N-PORT reports are available on the Commission’s website at www.sec.gov. The Fund’s Forms N-PORT may also be reviewed and copied at the Commission’s Public Reference Room in Washington, DC; information on the operation of the Public Reference Room may be obtained by calling (800) SEC 0330.
The [A/B] logo is a registered service mark of AllianceBernstein and AllianceBernstein® is a registered service mark used by permission of the owner, AllianceBernstein L.P.
| | |
| | |
| | |
| |
LARGE CAP GROWTH PORTFOLIO | | AB Variable Products Series Fund |
LETTER TO INVESTORS
February 14, 2022
The following is an update of AB Variable Products Series Fund—Large Cap Growth Portfolio (the “Portfolio”) for the annual reporting period ended December 31, 2021.
INVESTMENT OBJECTIVE AND POLICIES
The Portfolio’s investment objective is long-term growth of capital. The Portfolio invests primarily in equity securities of a limited number of large, carefully selected, high-quality US companies. The Portfolio invests primarily in the domestic equity securities of companies selected by the Adviser for their growth potential within various market sectors. The Portfolio emphasizes investments in large, seasoned companies. Under normal circumstances, the Portfolio invests at least 80% of its net assets in common stocks of large-capitalization companies.
The Adviser expects that normally the Portfolio’s portfolio will tend to emphasize investments in securities issued by US companies, although it may invest in foreign securities. The Adviser’s research focus is on companies with high sustainable growth prospects, high or improving return on invested capital, transparent business models, and strong and lasting competitive advantages.
The Portfolio may, at times, invest in shares of exchange-traded funds (“ETFs”) in lieu of making direct investments in securities. ETFs may provide more efficient and economical exposure to the types of companies and geographic locations in which the Portfolio seeks to invest than direct investments.
The Portfolio may enter into derivatives transactions, such as options, futures contracts, forwards and swaps. The Portfolio may use options strategies involving the purchase and/or writing of various combinations of call and/or put options, including on individual securities and stock indices, futures contracts (including futures contracts on individual securities and stock indices) or shares of ETFs. These transactions may be used, for example, in an effort to earn extra income, to adjust exposure to individual securities or markets, or to protect all or a portion of the Portfolio’s portfolio from a decline in value, sometimes within certain ranges.
INVESTMENT RESULTS
The table on page 3 shows the Portfolio’s performance compared to its benchmark, the Russell 1000 Growth Index, as well as the broad market as measured by the Standard & Poor’s (“S&P”) 500 Index, for the one-, five- and 10-year periods ended December 31, 2021.
All share classes of the Portfolio outperformed the primary benchmark for the annual period. Class A shares also outperformed the S&P 500 Index, while Class B shares underperformed. Security selection contributed, relative to the primary benchmark, especially selection within the health-care and technology sectors. Selection within consumer discretionary and financials detracted. Overall sector selection was negative. An underweight to technology and an overweight to health care detracted, but an underweight to consumer discretionary and an overweight to communication services offset losses somewhat.
The Portfolio did not utilize derivatives during the annual period.
MARKET REVIEW AND INVESTMENT STRATEGY
Global equities recorded double-digit returns and emerging markets lost ground during the annual period ended December 31, 2021. Global markets were supported by accommodative monetary policy and strong company earnings growth, while economic turbulence in China, geopolitical risks and inflation pressured emerging markets. Increased market volatility periodically sent risk assets lower, but investors continued to buy the dip. Toward the end of the period, global markets fell as the rapid spread of the coronavirus omicron variant triggered concern that new restrictions could derail the economic recovery. Encouraging developments in COVID-19 treatments and vaccines and a reluctance to reinstate shutdowns helped investors look past the potential impact of the omicron variant. Stock markets gave back gains, however, after the US Federal Reserve (the “Fed”) took a hawkish pivot and confirmed that it would accelerate the wind-down of its bond purchases and raise rates multiple times in 2022. After digesting the Fed’s comments, equity markets rose as investors appeared to adjust to the shift and remained focused on still generally supportive monetary policy. Growth outperformed value, in terms of style, and large-cap stocks outperformed their small-cap peers.
The Portfolio’s Senior Investment Management Team (the “Team”) follows a bottom-up stock-picking methodology that seeks to identify companies that meet its investment criteria of healthy balance sheets, competitive advantages, strong cash-flow generation, transparent business models and sustainable growth. The Portfolio is conservatively positioned amid the current uncertainty in the global macro environment. The Team remains laser-focused in identifying companies that generate high return on assets with high reinvestment-rate opportunities.
1
| | |
| | |
| LARGE CAP GROWTH PORTFOLIO | | |
| |
| DISCLOSURES AND RISKS | | AB Variable Products Series Fund |
Benchmark Disclosure
The Russell 1000® Growth Index and the S&P 500® Index are unmanaged and do not reflect fees and expenses associated with the active management of a mutual fund portfolio. The Russell 1000 Growth Index represents the performance of large-cap growth companies within the US. The S&P 500 Index includes 500 US stocks and is a common representation of the performance of the overall US stock market. An investor cannot invest directly in an index, and its results are not indicative of the performance for any specific investment, including the Portfolio.
A Word About Risk
Market Risk: The value of the Portfolio’s assets will fluctuate as the stock or bond market fluctuates. The value of its investments may decline, sometimes rapidly and unpredictably, simply because of economic changes or other events, including public health crises (including the occurrence of a contagious disease or illness), that affect large portions of the market. It includes the risk that a particular style of investing, such as the Portfolio’s growth approach, may underperform the market generally.
Focused Portfolio Risk: Investments in a limited number of companies may have more risk because changes in the value of a single security may have a more significant effect, either negative or positive, on the Portfolio’s net asset value (“NAV”).
Foreign (Non-US) Risk: Investments in securities of non-US issuers may involve more risk than those of US issuers. These securities may fluctuate more widely in price and may be more difficult to trade due to adverse market, economic, political, regulatory or other factors.
Derivatives Risk: Derivatives may be difficult to price or unwind and leveraged so that small changes may produce disproportionate losses for the Portfolio. Derivatives, especially over-the-counter derivatives, are also subject to counterparty risk, which is the risk that the counterparty (the party on the other side of the transaction) on a derivative transaction will be unable or unwilling to honor its contractual obligations to the Portfolio.
Industry/Sector Risk: Investments in a particular sector, industry or group of related industries, such as the information-technology or health-care sector, may have more risk because market or economic factors affecting that sector or industry could have a significant effect on the value of the Portfolio’s investments.
Management Risk: The Portfolio is subject to management risk because it is an actively managed investment fund. The Adviser will apply its investment techniques and risk analyses in making investment decisions for the Portfolio, but there is no guarantee that its techniques will produce the intended results. Some of these techniques may incorporate, or rely upon, quantitative models, but there is no guarantee that these models will generate accurate forecasts, reduce risk or otherwise perform as expected.
These risks are fully discussed in the Variable Products prospectus. As with all investments, you may lose money by investing in the Portfolio.
An Important Note About Historical Performance
The investment return and principal value of an investment in the Portfolio will fluctuate, so that shares, when redeemed, may be worth more or less than their original cost. Performance shown in this report represents past performance and does not guarantee future results. Current performance may be lower or higher than the performance information shown. Please contact your financial advisor or insurance agent representative at your financial institution to obtain portfolio performance information current to the most recent month-end.
Investors should consider the investment objectives, risks, charges and expenses of the Portfolio carefully before investing. For additional copies of the Portfolio’s prospectus or summary prospectus, which contains this and other information, call your financial advisor or (800) 227 4618. Please read the prospectus and/or summary prospectus carefully before investing.
All fees and expenses related to the operation of the Portfolio have been deducted, but no adjustment has been made for insurance company separate account or annuity contract charges, which would reduce total return to a contract owner. Performance assumes reinvestment of distributions and does not account for taxes.
There are additional fees and expenses associated with all Variable Products. These fees can include mortality and expense risk charges, administrative charges, and other charges that can significantly reduce investment returns. Those fees and expenses are not reflected in this annual report. You should consult your Variable Products prospectus for a description of those fees and expenses and speak to your insurance agent or financial representative if you have any questions. You should read the prospectus before investing or sending money.
2
| | |
| | |
| LARGE CAP GROWTH PORTFOLIO | | |
| |
| HISTORICAL PERFORMANCE | | AB Variable Products Series Fund |
| | | | | | | | | | | | |
| | | | | | | | | | | | |
| THE PORTFOLIO VS. ITS BENCHMARKS | | Net Asset Value Returns | |
| PERIODS ENDED DECEMBER 31, 2021 (unaudited) | | 1 Year | | | 5 Years1 | | | 10 Years1 | |
| | | |
| Large Cap Growth Portfolio Class A | | | 28.98% | | | | 26.09% | | | | 20.82% | |
| | | |
| Large Cap Growth Portfolio Class B | | | 28.65% | | | | 25.78% | | | | 20.52% | |
| | | |
| Primary Benchmark: Russell 1000 Growth Index | | | 27.60% | | | | 25.32% | | | | 19.79% | |
| | | |
| S&P 500 Index | | | 28.71% | | | | 18.47% | | | | 16.55% | |
1 Average annual returns. Please keep in mind that high, double-digit returns are highly unusual and cannot be sustained. Investors should also be aware that these returns were primarily achieved during favorable market conditions. | |
| | | | | | | | | | | | |
The Portfolio’s current prospectus fee table shows the Portfolio’s total annual operating expense ratios as 0.68% and 0.93% for Class A and Class B shares, respectively, gross of any fee waivers or expense reimbursements. The Financial Highlights section of this report sets forth expense ratio data for the current reporting period; the expense ratios shown above may differ from the expense ratios in the Financial Highlights section since they are based on different time periods.
GROWTH OF A $10,000 INVESTMENT
12/31/2011 TO 12/31/2021 (unaudited)
This chart illustrates the total value of an assumed $10,000 investment in Large Cap Growth Portfolio Class A shares (from 12/31/2011 to 12/31/2021) as compared to the performance of the Portfolio’s benchmarks. The chart assumes the reinvestment of dividends and capital gains distributions.
See Disclosures, Risks and Note About Historical Performance on page 2.
3
| | |
| | |
| LARGE CAP GROWTH PORTFOLIO | | |
| |
| EXPENSE EXAMPLE (unaudited) | | AB Variable Products Series Fund |
As a shareholder of the Portfolio, you incur two types of costs: (1) transaction costs, including sales charges (loads) on purchase payments, contingent deferred sales charges on redemptions and (2) ongoing costs, including management fees; distribution (12b-1) fees; and other Portfolio expenses. This example is intended to help you understand your ongoing costs (in dollars) of investing in the Portfolio and to compare these costs with the ongoing costs of investing in other mutual funds.
The Example is based on an investment of $1,000 invested at the beginning of the period and held for the entire period as indicated below.
Actual Expenses
The table below provides information about actual account values and actual expenses. You may use the information in this line, together with the amount you invested, to estimate the expenses that you paid over the period. Simply divide your account value by $1,000 (for example, an $8,600 account value divided by $1,000 = 8.6), then multiply the result by the number in the first line under the heading entitled “Expenses Paid During Period” to estimate the expenses you paid on your account during this period. The estimate of expenses does not include fees or other expenses of any variable insurance product. If such expenses were included, the estimate of expenses you paid during the period would be higher and your ending account value would be lower.
Hypothetical Example for Comparison Purposes
The table below provides information about hypothetical account values and hypothetical expenses based on the Portfolio’s actual expense ratio and an assumed annual rate of return of 5% before expenses, which is not the Portfolio’s actual return. The hypothetical account values and expenses may not be used to estimate the actual ending account balance or expenses you paid for the period. You may use this information to compare the ongoing costs of investing in the Portfolio and other funds by comparing this 5% hypothetical example with the 5% hypothetical examples that appear in the shareholder reports of other funds. The estimate of expenses does not include fees or other expenses of any variable insurance product. If such expenses were included, the estimate of expenses you paid during the period would be higher and your ending account value would be lower.
Please note that the expenses shown in the table are meant to highlight your ongoing costs only and do not reflect any transactional costs, such as sales charges (loads), or contingent deferred sales charges on redemptions. Therefore, the second line of each class’ table is useful in comparing ongoing costs only, and will not help you determine the relative total costs of owning different funds. In addition, if these transactional costs were included, your costs would have been higher.
| | | | | | | | | | | | | | | | |
| | | Beginning
Account Value
July 1, 2021 | | | Ending
Account Value
December 31, 2021 | | | Expenses Paid
During Period* | | | Annualized
Expense Ratio* | |
Class A | | | | | | | | | | | | | | | | |
Actual | | $ | 1,000 | | | $ | 1,119.10 | | | $ | 3.42 | | | | 0.64 | % |
Hypothetical (5% annual return before expenses) | | $ | 1,000 | | | $ | 1,021.98 | | | $ | 3.26 | | | | 0.64 | % |
| | | | | | | | | | | | | | | | |
Class B | | | | | | | | | | | | | | | | |
Actual | | $ | 1,000 | | | $ | 1,117.70 | | | $ | 4.75 | | | | 0.89 | % |
Hypothetical (5% annual return before expenses) | | $ | 1,000 | | | $ | 1,020.72 | | | $ | 4.53 | | | | 0.89 | % |
| * | | Expenses are equal to each classes’ annualized expense ratios, multiplied by the average account value over the period, multiplied by 184/365 (to.reflect the one-half year period). |
4
| | |
| LARGE CAP GROWTH PORTFOLIO | | |
| TEN LARGEST HOLDINGS1 | | |
| |
| December 31, 2021 (unaudited) | | AB Variable Products Series Fund |
| | | | | | | | |
| COMPANY | | U.S. $ VALUE | | | PERCENT OF NET ASSETS | |
Microsoft Corp. | | $ | 75,578,503 | | | | 8.6 | % |
Alphabet, Inc.—Class C | | | 72,600,173 | | | | 8.3 | |
Amazon.com, Inc. | | | 44,746,843 | | | | 5.1 | |
Meta Platforms, Inc.—Class A | | | 43,310,444 | | | | 4.9 | |
Visa, Inc.—Class A | | | 42,638,993 | | | | 4.8 | |
UnitedHealth Group, Inc. | | | 36,088,300 | | | | 4.1 | |
Zoetis, Inc. | | | 34,255,223 | | | | 3.9 | |
QUALCOMM, Inc. | | | 34,254,477 | | | | 3.9 | |
Home Depot, Inc. (The) | | | 30,108,975 | | | | 3.4 | |
Costco Wholesale Corp. | | | 28,017,130 | | | | 3.2 | |
| | | | | | | | | |
| | | $ | 441,599,061 | | | | 50.2 | % |
SECTOR BREAKDOWN2
December 31, 2021 (unaudited)
| | | | | | | | |
| SECTOR | | U.S. $ VALUE | | | PERCENT OF TOTAL INVESTMENTS | |
Information Technology | | $ | 309,879,024 | | | | 35.2 | % |
Health Care | | | 180,897,523 | | | | 20.6 | |
Communication Services | | | 128,340,127 | | | | 14.6 | |
Consumer Discretionary | | | 117,350,127 | | | | 13.3 | |
Industrials | | | 47,844,411 | | | | 5.4 | |
Consumer Staples | | | 45,992,745 | | | | 5.2 | |
Materials | | | 7,637,294 | | | | 0.9 | |
Financials | | | 1,674,280 | | | | 0.2 | |
Short-Term Investments | | | 40,409,139 | | | | 4.6 | |
| | | | | | | | | |
Total Investments | | $ | 880,024,670 | | | | 100.0 | % |
| 2 | | The Portfolio’s sector breakdown is expressed as a percentage of total investments and may vary over time. |
Please note: The sector classifications presented herein are based on the Global Industry Classification Standard (GICS) which was developed by Morgan Stanley Capital International and Standard & Poor’s. The components are divided into sector, industry group, and industry sub-indices as classified by the GICS for each of the market capitalization indices in the broad market. These sector classifications are broadly defined. The “Portfolio of Investments” section of the report reflects more specific industry information and is consistent with the investment restrictions discussed in the Portfolio’s prospectus.
5
| | |
| LARGE CAP GROWTH PORTFOLIO | | |
| PORTFOLIO OF INVESTMENTS | | |
| |
| December 31, 2021 | | AB Variable Products Series Fund |
| | | | | | | | |
| Company | | Shares | | |
U.S. $ Value | |
| | | | | | | | |
COMMON STOCKS–95.5% | | | | | | | | |
INFORMATION TECHNOLOGY–35.2% | | | | | | | | |
COMMUNICATIONS EQUIPMENT–2.0% | | | | | | | | |
Arista Networks, Inc.(a) | | | 99,480 | | | $ | 14,300,250 | |
Motorola Solutions, Inc. | | | 13,239 | | | | 3,597,036 | |
| | | | | | | | |
| | | | | | | 17,897,286 | |
| | | | | | | | |
ELECTRONIC EQUIPMENT, INSTRUMENTS & COMPONENTS–2.0% | | | | | | | | |
Amphenol Corp.–Class A | | | 88,692 | | | | 7,757,002 | |
Cognex Corp. | | | 49,457 | | | | 3,845,776 | |
IPG Photonics Corp.(a) | | | 36,046 | | | | 6,204,959 | |
| | | | | | | | |
| | | | | | | 17,807,737 | |
| | | | | | | | |
IT SERVICES–7.9% | | | | | | | | |
EPAM Systems, Inc.(a) | | | 15,845 | | | | 10,591,590 | |
PayPal Holdings, Inc.(a) | | | 85,792 | | | | 16,178,656 | |
Visa, Inc.–Class A(b) | | | 196,756 | | | | 42,638,993 | |
| | | | | | | | |
| | | | | | | 69,409,239 | |
| | | | | | | | |
SEMICONDUCTORS & SEMICONDUCTOR EQUIPMENT–9.8% | | | | | | | | |
ASML Holding NV ADR | | | 12,120 | | | | 9,649,217 | |
Entegris, Inc. | | | 2,886 | | | | 399,942 | |
NVIDIA Corp. | | | 77,606 | | | | 22,824,701 | |
QUALCOMM, Inc. | | | 187,315 | | | | 34,254,477 | |
Texas Instruments, Inc. | | | 15,900 | | | | 2,996,673 | |
Xilinx, Inc. | | | 76,688 | | | | 16,260,156 | |
| | | | | | | | |
| | | | | | | 86,385,166 | |
| | | | | | | | |
SOFTWARE–13.5% | | | | | | | | |
Adobe, Inc.(a) | | | 41,021 | | | | 23,261,368 | |
Fortinet, Inc.(a) | | | 29,622 | | | | 10,646,147 | |
Microsoft Corp. | | | 224,722 | | | | 75,578,503 | |
PTC, Inc.(a) | | | 39,654 | | | | 4,804,082 | |
Tyler Technologies, Inc.(a) | | | 7,602 | | | | 4,089,496 | |
| | | | | | | | |
| | | | | | | 118,379,596 | |
| | | | | | | | |
| | | | | | | 309,879,024 | |
| | | | | | | | |
HEALTH CARE–20.6% | | | | | | | | |
BIOTECHNOLOGY–2.6% | | | | | | | | |
Vertex Pharmaceuticals, Inc.(a) | | | 105,136 | | | | 23,087,866 | |
| | | | | | | | |
HEALTH CARE EQUIPMENT &
SUPPLIES –8.4% | | | | | | | | |
ABIOMED, Inc.(a) | | | 11,093 | | | | 3,984,273 | |
Align Technology, Inc.(a) | | | 24,966 | | | | 16,407,156 | |
Edwards Lifesciences Corp.(a) | | | 131,518 | | | | 17,038,157 | |
IDEXX Laboratories, Inc.(a) | | | 17,028 | | | | 11,212,257 | |
Intuitive Surgical, Inc.(a) | | | 69,926 | | | | 25,124,411 | |
| | | | | | | | |
| | | | | | | 73,766,254 | |
| | | | | | | | |
HEALTH CARE PROVIDERS &
SERVICES –4.1% | | | | | | | | |
UnitedHealth Group, Inc. | | | 71,869 | | | | 36,088,300 | |
| | | | | | | | |
| | | | | | | | |
| Company | | Shares | | |
U.S. $ Value | |
| | | | | | | | |
HEALTH CARE TECHNOLOGY–0.7% | | | | | | | | |
Veeva Systems, Inc.–Class A(a) | | | 23,427 | | | $ | 5,985,130 | |
| | | | | | | | |
LIFE SCIENCES TOOLS & SERVICES–0.9% | | | | | | | | |
Illumina, Inc.(a) | | | 11,200 | | | | 4,260,928 | |
Mettler-Toledo International, Inc.(a) | | | 2,035 | | | | 3,453,822 | |
| | | | | | | | |
| | | | | | | 7,714,750 | |
| | | | | | | | |
PHARMACEUTICALS–3.9% | | | | | | | | |
Zoetis, Inc. | | | 140,373 | | | | 34,255,223 | |
| | | | | | | | |
| | | | | | | 180,897,523 | |
| | | | | | | | |
COMMUNICATION SERVICES–14.6% | | | | | | | | |
ENTERTAINMENT–1.2% | | | | | | | | |
Electronic Arts, Inc. | | | 18,221 | | | | 2,403,350 | |
Take-Two Interactive Software, Inc.(a) | | | 46,544 | | | | 8,271,800 | |
| | | | | | | | |
| | | | | | | 10,675,150 | |
| | | | | | | | |
INTERACTIVE MEDIA & SERVICES–13.4% | | | | | | | | |
Alphabet, Inc.–Class C(a) | | | 25,090 | | | | 72,600,173 | |
Meta Platforms, Inc.–Class A(a) | | | 128,766 | | | | 43,310,444 | |
Pinterest, Inc.–Class A(a) | | | 48,263 | | | | 1,754,360 | |
| | | | | | | | |
| | | | | | | 117,664,977 | |
| | | | | | | | |
| | | | | | | 128,340,127 | |
| | | | | | | | |
CONSUMER DISCRETIONARY –13.4% | | | | | | | | |
HOTELS, RESTAURANTS & LEISURE–0.8% | | | | | | | | |
Domino’s Pizza, Inc. | | | 12,850 | | | | 7,251,640 | |
| | | | | | | | |
INTERNET & DIRECT MARKETING RETAIL–5.8% | | | | | | | | |
Amazon.com, Inc.(a) | | | 13,420 | | | | 44,746,843 | |
Etsy, Inc.(a) | | | 28,847 | | | | 6,315,762 | |
| | | | | | | | |
| | | | | | | 51,062,605 | |
| | | | | | | | |
SPECIALTY RETAIL–4.3% | | | | | | | | |
Burlington Stores, Inc.(a) | | | 25,931 | | | | 7,559,146 | |
Home Depot, Inc. (The) | | | 72,550 | | | | 30,108,975 | |
| | | | | | | | |
| | | | | | | 37,668,121 | |
| | | | | | | | |
TEXTILES, APPAREL & LUXURY GOODS–2.5% | | | | | | | | |
NIKE, Inc.–Class B | | | 128,204 | | | | 21,367,761 | |
| | | | | | | | |
| | | | | | | 117,350,127 | |
| | | | | | | | |
INDUSTRIALS–5.4% | | | | | | | | |
BUILDING PRODUCTS –1.1% | | | | | | | | |
Allegion PLC | | | 36,574 | | | | 4,843,861 | |
Trex Co., Inc.(a) | | | 36,604 | | | | 4,942,638 | |
| | | | | | | | |
| | | | | | | 9,786,499 | |
| | | | | | | | |
6
| | |
| | |
| | |
| |
| | | AB Variable Products Series Fund |
| | | | | | | | |
| Company | | Shares | | |
U.S. $ Value | |
| | | | | | | | |
COMMERCIAL SERVICES & SUPPLIES–1.6% | | | | | | | | |
Copart, Inc.(a) | | | 93,305 | | | $ | 14,146,904 | |
| | | | | | | | |
ELECTRICAL
EQUIPMENT–0.6% | | | | | | | | |
AMETEK, Inc. | | | 36,270 | | | | 5,333,141 | |
| | | | | | | | |
INDUSTRIAL CONGLOMERATES–1.6% | | | | | | | | |
Roper Technologies, Inc. | | | 28,159 | | | | 13,850,286 | |
| | | | | | | | |
MACHINERY–0.5% | | | | | | | | |
IDEX Corp. | | | 20,005 | | | | 4,727,581 | |
| | | | | | | | |
| | | | | | | 47,844,411 | |
| | | | | | | | |
CONSUMER
STAPLES–5.2% | | | | | | | | |
BEVERAGES–2.0% | | | | | | | | |
Monster Beverage Corp.(a) | | | 187,168 | | | | 17,975,615 | |
| | | | | | | | |
FOOD & STAPLES RETAILING–3.2% | | | | | | | | |
Costco Wholesale Corp. | | | 49,352 | | | | 28,017,130 | |
| | | | | | | | |
| | | | | | | 45,992,745 | |
| | | | | | | | |
MATERIALS–0.9% | | | | | | | | |
CHEMICALS–0.9% | | | | | | | | |
Sherwin-Williams Co. (The) | | | 21,687 | | | | 7,637,294 | |
| | | | | | | | |
FINANCIALS–0.2% | | | | | | | | |
CAPITAL MARKETS–0.2% | | | | | | | | |
MarketAxess Holdings, Inc. | | | 4,071 | | | | 1,674,280 | |
| | | | | | | | |
Total Common Stocks
(cost $362,070,358) | | | | | | | 839,615,531 | |
| | | | | | | | |
| | | | | | | | |
SHORT-TERM INVESTMENTS–4.6% | | | | | | | | |
INVESTMENT
COMPANIES–4.6% | | | | | | | | |
AB Fixed Income Shares, Inc.–Government Money Market Portfolio–Class AB,
0.01%(c) (d) (e)
(cost $40,409,139) | | | 40,409,139 | | | | 40,409,139 | |
| | | | | | | | |
TOTAL
INVESTMENTS–100.1%
(cost $402,479,497) | | | | | | | 880,024,670 | |
Other assets less
liabilities–(0.1)% | | | | | | | (862,941 | ) |
| | | | | | | | |
NET ASSETS–100.0% | | | | | | $ | 879,161,729 | |
| | | | | | | | |
| (a) | | Non-income producing security. |
| (b) | | Represents entire or partial securities out on loan. See Note E for securities lending information. |
| (c) | | Affiliated investments. |
| (d) | | The rate shown represents the 7-day yield as of period end. |
| (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, or call AB at (800) 227-4618. |
Glossary:
ADR—American Depositary Receipt
See notes to financial statements.
7
| | |
| LARGE CAP GROWTH PORTFOLIO | | |
| STATEMENT OF ASSETS & LIABILITIES | | |
| |
| December 31, 2021 | | AB Variable Products Series Fund |
| | | | |
ASSETS | |
Investments in securities, at value | | | | |
Unaffiliated issuers (cost $362,070,358) | | $ | 839,615,531 | (a) |
Affiliated issuers (cost $40,409,139) | | | 40,409,139 | |
Receivable for capital stock sold | | | 228,864 | |
Unaffiliated dividends receivable | | | 32,054 | |
Affiliated dividends receivable | | | 318 | |
| | | | |
Total assets | | | 880,285,906 | |
| | | | |
LIABILITIES | |
Advisory fee payable | | | 439,454 | |
Payable for capital stock redeemed | | | 345,136 | |
Distribution fee payable | | | 102,354 | |
Custody and accounting fees payable | | | 94,429 | |
Administrative fee payable | | | 22,471 | |
Payable for investment securities purchased | | | 11,038 | |
Transfer Agent fee payable | | | 146 | |
Accrued expenses and other liabilities | | | 109,149 | |
| | | | |
Total liabilities | | | 1,124,177 | |
| | | | |
NET ASSETS | | $ | 879,161,729 | |
| | | | |
COMPOSITION OF NET ASSETS | |
Capital stock, at par | | $ | 9,900 | |
Additional paid-in capital | | | 320,579,766 | |
Distributable earnings | | | 558,572,063 | |
| | | | |
NET ASSETS | | $ | 879,161,729 | |
| | | | |
|
| Net Asset Value Per Share—1 billion shares of capital stock authorized, $.001 par value |
| | | | | | | | | | | | |
| Class | | Net Assets | | | Shares
Outstanding | | | Net Asset
Value | |
| | | |
| A | | $ | 389,050,525 | | | | 4,179,298 | | | $ | 93.09 | |
| | | |
| B | | $ | 490,111,204 | | | | 5,720,942 | | | $ | 85.67 | |
| (a) | | Includes securities on loan with a value of $34,371,723 (see Note E). |
See notes to financial statements.
8
| | |
| LARGE CAP GROWTH PORTFOLIO | | |
| STATEMENT OF OPERATIONS | | |
| |
| Year Ended December 31, 2021 | | AB Variable Products Series Fund |
| | | | |
INVESTMENT INCOME | | | | |
Dividends | | | | |
Unaffiliated issuers (net of foreign taxes withheld of $9,093) | | $ | 3,388,564 | |
Affiliated issuers | | | 3,771 | |
Securities lending income | | | 47,523 | |
| | | | |
| | | 3,439,858 | |
| | | | |
EXPENSES | | | | |
Advisory fee (see Note B) | | | 4,826,816 | |
Distribution fee—Class B | | | 1,118,282 | |
Transfer agency—Class A | | | 4,018 | |
Transfer agency—Class B | | | 5,033 | |
Custody and accounting | | | 105,653 | |
Administrative | | | 87,358 | |
Legal | | | 58,972 | |
Printing | | | 56,456 | |
Audit and tax | | | 42,544 | |
Directors’ fees | | | 28,672 | |
Miscellaneous | | | 16,971 | |
| | | | |
Total expenses | | | 6,350,775 | |
Less: expenses waived and reimbursed by the Adviser (see Note B) | | | (19,142 | ) |
| | | | |
Net expenses | | | 6,331,633 | |
| | | | |
Net investment loss | | | (2,891,775 | ) |
| | | | |
REALIZED AND UNREALIZED GAIN ON INVESTMENT TRANSACTIONS | | | | |
Net realized gain on investment transactions | | | 83,376,380 | |
Net change in unrealized appreciation/depreciation of investments | | | 123,567,078 | |
| | | | |
Net gain on investment transactions | | | 206,943,458 | |
| | | | |
NET INCREASE IN NET ASSETS FROM OPERATIONS | | $ | 204,051,683 | |
| | | | |
See notes to financial statements.
9
| | |
| | | |
| LARGE CAP GROWTH PORTFOLIO | | |
| |
| STATEMENT OF CHANGES IN NET ASSETS | | AB Variable Products Series Fund |
| | | | | | | | |
| | | Year Ended
December 31, 2021 | | | Year Ended
December 31, 2020 | |
INCREASE (DECREASE) IN NET ASSETS FROM OPERATIONS | |
Net investment loss | | $ | (2,891,775 | ) | | $ | (1,402,550 | ) |
Net realized gain on investment transactions | | | 83,376,380 | | | | 59,629,586 | |
Net change in unrealized appreciation/depreciation of investments | | | 123,567,078 | | | | 138,582,497 | |
| | | | | | | | |
Net increase in net assets from operations | | | 204,051,683 | | | | 196,809,533 | |
Distributions to Shareholders | |
Class A | | | (24,139,212 | ) | | | (21,647,747 | ) |
Class B | | | (32,992,991 | ) | | | (28,746,560 | ) |
CAPITAL STOCK TRANSACTIONS | |
Net increase (decrease) | | | (12,320,424 | ) | | | 11,225,885 | |
| | | | | | | | |
Total increase | | | 134,599,056 | | | | 157,641,111 | |
NET ASSETS | |
Beginning of period | | | 744,562,673 | | | | 586,921,562 | |
| | | | | | | | |
End of period | | $ | 879,161,729 | | | $ | 744,562,673 | |
| | | | | | | | |
See notes to financial statements.
10
| | |
| LARGE CAP GROWTH PORTFOLIO | | |
| NOTES TO FINANCIAL STATEMENTS | | |
| |
December 31, 2021 | | AB Variable Products Series Fund |
NOTE A: Significant Accounting Policies
The AB Large Cap Growth Portfolio (the “Portfolio”) is a series of AB Variable Products Series Fund, Inc. (the “Fund”). The Portfolio’s investment objective is long-term growth of capital. The Portfolio is diversified as defined under the Investment Company Act of 1940. The Fund was incorporated in the State of Maryland as an open-end series investment company. The Fund offers 11 separately managed pools of assets which have differing investment objectives and policies. The Portfolio offers Class A and Class B shares. Both classes of shares have identical voting, dividend, liquidating and other rights, except that Class B shares bear a distribution expense and have exclusive voting rights with respect to the Class B distribution plan.
The Portfolio offers and sells its shares only to separate accounts of certain life insurance companies for the purpose of funding variable annuity contracts and variable life insurance policies. Sales are made without a sales charge at the Portfolio’s net asset value per share.
The financial statements have been prepared in conformity with U.S. generally accepted accounting principles (“U.S. GAAP”), which require management to make certain estimates and assumptions that affect the reported amounts of assets and liabilities in the financial statements and amounts of income and expenses during the reporting period. Actual results could differ from those estimates. The Portfolio is an investment company under U.S. GAAP and follows the accounting and reporting guidance applicable to investment companies. The following is a summary of significant accounting policies followed by the Portfolio.
1. Security Valuation
Portfolio securities are valued at their current market value determined on the basis of market quotations or, if market quotations are not readily available or are deemed unreliable, at “fair value” as determined in accordance with procedures established by and under the general supervision of the Fund’s Board of Directors (the “Board”).
In general, the market values of securities which are readily available and deemed reliable are determined as follows: securities listed on a national securities exchange (other than securities listed on the NASDAQ Stock Market, Inc. (“NASDAQ”)) or on a foreign securities exchange are valued at the last sale price at the close of the exchange or foreign securities exchange. If there has been no sale on such day, the securities are valued at the last traded price from the previous day. Securities listed on more than one exchange are valued by reference to the principal exchange on which the securities are traded; securities listed only on NASDAQ are valued in accordance with the NASDAQ Official Closing Price; listed or over the counter (“OTC”) market put or call options are valued at the mid level between the current bid and ask prices. If either a current bid or current ask price is unavailable, AllianceBernstein L.P. (the “Adviser”) will have discretion to determine the best valuation (e.g., last trade price in the case of listed options); open futures are valued using the closing settlement price or, in the absence of such a price, the most recent quoted bid price. If there are no quotations available for the day of valuation, the last available closing settlement price is used; U.S. Government securities and any other debt instruments having 60 days or less remaining until maturity are generally valued at market by an independent pricing vendor, if a market price is available. If a market price is not available, the securities are valued at amortized cost. This methodology is commonly used for short term securities that have an original maturity of 60 days or less, as well as short term securities that had an original term to maturity that exceeded 60 days. In instances when amortized cost is utilized, the Valuation Committee (the “Committee”) must reasonably conclude that the utilization of amortized cost is approximately the same as the fair value of the security. Factors the Committee will consider include, but are not limited to, an impairment of the creditworthiness of the issuer or material changes in interest rates. Fixed-income securities, including mortgage-backed and asset-backed securities, may be valued on the basis of prices provided by a pricing service or at a price obtained from one or more of the major broker-dealers. In cases where broker-dealer quotes are obtained, the Adviser may establish procedures whereby changes in market yields or spreads are used to adjust, on a daily basis, a recently obtained quoted price on a security. Swaps and other derivatives are valued daily, primarily using independent pricing services, independent pricing models using market inputs, as well as third party broker-dealers or counterparties. Open-end mutual funds are valued at the closing net asset value per share, while exchange traded funds are valued at the closing market price per share.
Securities for which market quotations are not readily available (including restricted securities) or are deemed unreliable are valued at fair value as deemed appropriate by the Adviser. Factors considered in making this determination may include, but are not limited to, information obtained by contacting the issuer, analysts, analysis of the issuer’s financial statements or other available documents. In addition, the Portfolio may use fair value pricing for securities primarily traded in non-U.S. markets because most foreign markets close well before the Portfolio values its securities at 4:00 p.m., Eastern Time. The
11
| | |
| LARGE CAP GROWTH PORTFOLIO | | |
| NOTES TO FINANCIAL STATEMENTS | | |
| |
| (continued) | | AB Variable Products Series Fund |
earlier close of these foreign markets gives rise to the possibility that significant events, including broad market moves, may have occurred in the interim and may materially affect the value of those securities. To account for this, the Portfolio generally values many of its foreign equity securities using fair value prices based on third party vendor modeling tools to the extent available.
2. Fair Value Measurements
In accordance with U.S. GAAP regarding fair value measurements, fair value is defined as the price that the Portfolio 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 as described in Note A.1 above). 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 Portfolio. Unobservable inputs reflect the Portfolio’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) |
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.
The following table summarizes the valuation of the Portfolio’s investments by the above fair value hierarchy levels as of December 31, 2021:
| | | | | | | | | | | | | | | | |
| | | Level 1 | | | Level 2 | | | Level 3 | | | Total | |
Investments in Securities: | | | | | | | | | | | | | | | | |
Assets: | |
Common Stocks(a) | | $ | 839,615,531 | | | $ | –0 | – | | $ | –0 | – | | $ | 839,615,531 | |
Short-Term Investments | | | 40,409,139 | | | | –0 | – | | | –0 | – | | | 40,409,139 | |
| | | | | | | | | | | | | | | | |
Total Investments in Securities | | | 880,024,670 | | | | –0 | – | | | –0 | – | | | 880,024,670 | |
Other Financial Instruments(b) | | | –0 | – | | | –0 | – | | | –0 | – | | | –0 | – |
| | | | | | | | | | | | | | | | |
Total | | $ | 880,024,670 | | | $ | –0 | – | | $ | –0 | – | | $ | 880,024,670 | |
| | | | | | | | | | | | | | | | |
| (a) | | See Portfolio of Investments for sector classifications. |
| (b) | | 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. |
3. Currency Translation
Assets and liabilities denominated in foreign currencies and commitments under forward currency exchange contracts are translated into U.S. dollars at the mean of the quoted bid and ask prices of such currencies against the U.S. dollar. Purchases and sales of portfolio securities are translated into U.S. dollars at the rates of exchange prevailing when such securities were acquired or sold. Income and expenses are translated into U.S. dollars at rates of exchange prevailing when accrued.
12
| | |
| |
| | | AB Variable Products Series Fund |
Net realized gain or loss on foreign currency transactions represents foreign exchange gains and losses from sales and maturities of foreign fixed income investments, holding of foreign currencies, currency gains or losses realized between the trade and settlement dates on foreign investment transactions, and the difference between the amounts of dividends, interest and foreign withholding taxes recorded on the Portfolio’s books and the U.S. dollar equivalent amounts actually received or paid. Net unrealized currency gains and losses from valuing foreign currency denominated assets and liabilities at period end exchange rates are reflected as a component of net unrealized appreciation or depreciation of foreign currency denominated assets and liabilities.
4. Taxes
It is the Portfolio’s policy to meet the requirements of the Internal Revenue Code applicable to regulated investment companies and to distribute all of its investment company taxable income and net realized gains, if any, to shareholders. Therefore, no provisions for federal income or excise taxes are required. The Portfolio may be subject to taxes imposed by countries in which it invests. Such taxes are generally based on income and/or capital gains earned or repatriated. Taxes are accrued and applied to net investment income, net realized gains and net unrealized appreciation/depreciation as such income and/or gains are earned.
In accordance with U.S. GAAP requirements regarding accounting for uncertainties in income taxes, management has analyzed the Portfolio’s tax positions taken or expected to be taken on federal and state income tax returns for all open tax years (the current and the prior three tax years) and has concluded that no provision for income tax is required in the Portfolio’s financial statements.
5. Investment Income and Investment Transactions
Dividend income is recorded on the ex-dividend date or as soon as the Portfolio is informed of the dividend. Interest income is accrued daily. Investment transactions are accounted for on the date the securities are purchased or sold. Investment gains or losses are determined on the identified cost basis. The Portfolio amortizes premiums and accretes discounts as adjustments to interest income. The Portfolio accounts for distributions received from REIT investments or from regulated investment companies as dividend income, realized gain, or return of capital based on information provided by the REIT or the investment company.
6. Class Allocations
All income earned and expenses incurred by the Portfolio are borne on a pro-rata basis by each outstanding class of shares, based on the proportionate interest in the Portfolio represented by the net assets of such class, except for class specific expenses which are allocated to the respective class. Expenses of the Fund are charged proportionately to each portfolio or based on other appropriate methods. Realized and unrealized gains and losses are allocated among the various share classes based on respective net assets.
7. Dividends and Distributions
Dividends and distributions to shareholders, if any, are recorded on the ex-dividend date. Income dividends and capital gains distributions are determined in accordance with federal tax regulations and may differ from those determined in accordance with U.S. GAAP. To the extent these differences are permanent, such amounts are reclassified within the capital accounts based on their federal tax basis treatment; temporary differences do not require such reclassification.
NOTE B: Advisory Fee and Other Transactions with Affiliates
Under the terms of the investment advisory agreement, the Portfolio pays the Adviser an advisory fee at an annual rate of .60% of the first $2.5 billion, .50% of the next $2.5 billion and .45% in excess of $5 billion, of the Portfolio’s average daily net assets. The fee is accrued daily and paid monthly.
Pursuant to the investment advisory agreement, the Portfolio may reimburse the Adviser for certain legal and accounting services provided to the Portfolio by the Adviser. For the year ended December 31, 2021, the reimbursement for such services amounted to $87,358.
The Portfolio compensates AllianceBernstein Investor Services, Inc. (“ABIS”), a wholly-owned subsidiary of the Adviser, under a Transfer Agency Agreement for providing personnel and facilities to perform transfer agency services for the Portfolio. Such compensation retained by ABIS amounted to $1,636 for the year ended December 31, 2021.
13
| | |
| LARGE CAP GROWTH PORTFOLIO | | |
| NOTES TO FINANCIAL STATEMENTS | | |
| |
| (continued) | | AB Variable Products Series Fund |
The Portfolio may invest in AB Government Money Market Portfolio (the “Government Money Market Portfolio”) which has a contractual annual advisory fee rate of .20% of the portfolio’s average daily net assets and bears its own expenses. The Adviser has contractually agreed to waive .10% of the advisory fee of Government Money Market Portfolio (resulting in a net advisory fee of .10%) until August 31, 2022. In connection with the investment by the Portfolio in Government Money Market Portfolio, the Adviser has contractually agreed to waive its advisory fee from the Portfolio in an amount equal to the Portfolio’s pro rata share of the effective advisory fee of Government Money Market Portfolio, as borne indirectly by the Portfolio as an acquired fund fee and expense. For the year ended December 31, 2021, such waiver amounted to $19,142.
A summary of the Portfolio’s transactions in AB mutual funds for the year ended December 31, 2021 is as follows:
| | | | | | | | | | | | | | | | | | | | |
Portfolio | | Market Value
12/31/20
(000) | | | Purchases
at Cost
(000) | | | Sales
Proceeds
(000) | | | Market Value
12/31/21
(000) | | | Dividend
Income
(000) | |
Government Money Market Portfolio | | $ | 37,157 | | | $ | 129,732 | | | $ | 126,480 | | | $ | 40,409 | | | $ | 4 | |
NOTE C: Distribution Plan
The Portfolio has adopted a Distribution Plan (the “Plan”) for Class B shares pursuant to Rule 12b-1 under the Investment Company Act of 1940. Under the Plan, the Portfolio pays distribution and servicing fees to AllianceBernstein Investments, Inc. (the “Distributor”), a wholly-owned subsidiary of the Adviser, at an annual rate of up to ..50% of the Portfolio’s average daily net assets attributable to Class B shares. The fees are accrued daily and paid monthly. The Board currently limits payments under the Plan to .25% of the Portfolio’s average daily net assets attributable to Class B shares. The Plan provides that the Distributor will use such payments in their entirety for distribution assistance and promotional activities.
The Portfolio is not obligated under the Plan to pay any distribution and servicing fees in excess of the amounts set forth above. The purpose of the payments to the Distributor under the Plan is to compensate the Distributor for its distribution services with respect to the sale of the Portfolio’s Class B shares. Since the Distributor’s compensation is not directly tied to its expenses, the amount of compensation received by it under the Plan during any year may be more or less than its actual expenses. For this reason, the Plan is characterized by the staff of the Securities and Exchange Commission as being of the “compensation” variety.
In the event that the Plan is terminated or not continued, no distribution or servicing fees (other than current amounts accrued but not yet paid) would be owed by the Portfolio to the Distributor.
The Plan also provides that the Adviser may use its own resources to finance the distribution of the Portfolio’s shares.
NOTE D: Investment Transactions
Purchases and sales of investment securities (excluding short-term investments) for the year ended December 31, 2021 were as follows:
| | | | | | | | |
| | | Purchases | | | Sales | |
Investment securities (excluding U.S. government securities) | | $ | 129,232,088 | | | $ | 208,523,174 | |
U.S. government securities | | | –0 | – | | | –0 | – |
The cost of investments for federal income tax purposes, gross unrealized appreciation and unrealized depreciation are as follows:
| | | | |
Cost | | $ | 402,664,985 | |
| | | | |
Gross unrealized appreciation | | $ | 478,374,161 | |
Gross unrealized depreciation | | | (1,014,476 | ) |
| | | | |
Net unrealized appreciation | | $ | 477,359,685 | |
| | | | |
1. Derivative Financial Instruments
The Portfolio may use derivatives in an effort to earn income and enhance returns, to replace more traditional direct investments, to obtain exposure to otherwise inaccessible markets (collectively, “investment purposes”), or to hedge or adjust the risk profile of its portfolio.
The Portfolio did not engage in derivatives transactions for the year ended December 31, 2021.
14
| | |
| | |
| | |
| |
| | | AB Variable Products Series Fund |
2. Currency Transactions
The Portfolio may invest in non-U.S. Dollar-denominated securities on a currency hedged or unhedged basis. The Portfolio may seek investment opportunities by taking long or short positions in currencies through the use of currency-related derivatives, including forward currency exchange contracts, futures and options on futures, swaps, and other options. The Portfolio may enter into transactions for investment opportunities when it anticipates that a foreign currency will appreciate or depreciate in value but securities denominated in that currency are not held by the Portfolio and do not present attractive investment opportunities. Such transactions may also be used when the Adviser believes that it may be more efficient than a direct investment in a foreign currency-denominated security. The Portfolio may also conduct currency exchange contracts on a spot basis (i.e., for cash at the spot rate prevailing in the currency exchange market for buying or selling currencies).
NOTE E: Securities Lending
The Portfolio may enter into securities lending transactions. Under the Portfolio’s securities lending program, all loans of securities will be collateralized continually by cash collateral and/or non-cash collateral. Non-cash collateral will include only securities issued or guaranteed by the U.S. government or its agencies or instrumentalities. The Portfolio cannot sell or repledge any non-cash collateral, such collateral will not be reflected in the portfolio of investments. If a loan is collateralized by cash, the Portfolio will be compensated for the loan from a portion of the net return from the income earned on cash collateral after a rebate is paid to the borrower (in some cases, this rebate may be a “negative rebate” or fee paid by the borrower to the Portfolio in connection with the loan), and payments are made for fees of the securities lending agent and for certain other administrative expenses. If the Portfolio receives non-cash collateral, the Portfolio will receive a fee from the borrower generally equal to a negotiated percentage of the market value of the loaned securities. The Portfolio will have the right to call a loan and obtain the securities loaned at any time on notice to the borrower within the normal and customary settlement time for the securities. While the securities are on loan, the borrower is obligated to pay the Portfolio amounts equal to any dividend income or other distributions from the securities; however, these distributions will not be afforded the same preferential tax treatment as qualified dividends. The Portfolio will not be able to exercise voting rights with respect to any securities during the existence of a loan, but will have the right to regain ownership of loaned securities in order to exercise voting or other ownership rights. Collateral received and securities loaned are marked to market daily to ensure that the securities loaned are secured by collateral. The lending agent currently invests the cash collateral received in Government Money Market Portfolio, an eligible money market vehicle, in accordance with the investment restrictions of the Portfolio, and as approved by the Board. The collateral received on securities loaned is recorded as an asset as well as a corresponding liability in the statement of assets and liabilities. The collateral will be adjusted the next business day to maintain the required collateral amount. The amounts of securities lending income from the borrowers and Government Money Market Portfolio are reflected in the statement of operations. When the Portfolio earns net securities lending income from Government Money Market Portfolio, the income is inclusive of a rebate expense paid to the borrower. In connection with the cash collateral investment by the Portfolio in Government Money Market Portfolio, the Adviser has agreed to waive a portion of the Portfolio’s share of the advisory fees of Government Money Market Portfolio, as borne indirectly by the Portfolio as an acquired fund fee and expense. When the Portfolio lends securities, its investment performance will continue to reflect changes in the value of the securities loaned. A principal risk of lending portfolio securities is that the borrower may fail to return the loaned securities upon termination of the loan and that the collateral will not be sufficient to replace the loaned securities. The lending agent has agreed to indemnify the Portfolio in the case of default of any securities borrower.
A summary of the Portfolio’s transactions surrounding securities lending for the year ended December 31, 2021 is as follows:
| | | | | | | | | | | | | | | | | | | | | | |
Market Value of
Securities on Loan* | | | Cash Collateral* | | | Market Value of
Non-Cash Collateral* | | | Income from
Borrowers | | | Government Money Market Portfolio | |
| | Income Earned | | �� | Advisory Fee
Waived | |
| $ | 34,371,723 | | | $ | –0– | | | $ | 35,251,738 | | | $ | 47,523 | | | $ | –0– | | | $ | –0– | |
| * | | As of December 31, 2021. |
15
| | |
| LARGE CAP GROWTH PORTFOLIO | | |
| NOTES TO FINANCIAL STATEMENTS | | |
| |
| (continued) | | AB Variable Products Series Fund |
NOTE F: Capital Stock
Each class consists of 500,000,000 authorized shares. Transactions in capital shares for each class were as follows:
| | | | | | | | | | | | | | | | | | | | |
| | | SHARES | | | | | | AMOUNT | |
| | | Year Ended
December 31, 2021 | | | Year Ended
December 31, 2020 | | | | | | Year Ended
December 31, 2021 | | | Year Ended
December 31, 2020 | |
Class A | |
Shares sold | | | 286,696 | | | | 641,498 | | | | | | | $ | 24,946,001 | | | $ | 43,850,540 | |
Shares issued in reinvestment of distributions | | | 275,153 | | | | 313,269 | | | | | | | | 24,139,212 | | | | 21,647,747 | |
Shares redeemed | | | (681,760 | ) | | | (968,570 | ) | | | | | | | (58,481,060 | ) | | | (64,695,850 | ) |
| | | | | | | | | | | | | | | | | | | | |
Net increase (decrease) | | | (119,911 | ) | | | (13,803 | ) | | | | | | $ | (9,395,847 | ) | | $ | 802,437 | |
| | | | | | | | | | | | | | | | | | | | |
Class B | |
Shares sold | | | 433,548 | | | | 588,384 | | | | | | | $ | 33,926,340 | | | $ | 36,577,399 | |
Shares issued in reinvestment of distributions | | | 408,228 | | | | 447,960 | | | | | | | | 32,992,991 | | | | 28,746,560 | |
Shares redeemed | | | (897,846 | ) | | | (892,446 | ) | | | | | | | (69,843,908 | ) | | | (54,900,511 | ) |
| | | | | | | | | | | | | | | | | | | | |
Net increase (decrease) | | | (56,070 | ) | | | 143,898 | | | | | | | $ | (2,924,577 | ) | | $ | 10,423,448 | |
| | | | | | | | | | | | | | | | | | | | |
At December 31, 2021, certain shareholders of the Portfolio owned 66% in aggregate of the Portfolio’s outstanding shares. Significant transactions by such shareholders, if any, may impact the Portfolio’s performance.
NOTE G: Risks Involved in Investing in the Portfolio
Market Risk—The value of the Portfolio’s assets will fluctuate as the stock or bond market fluctuates. The value of its investments may decline, sometimes rapidly and unpredictably, simply because of economic changes or other events, including public health crises (including the occurrence of a contagious disease or illness), that affect large portions of the market. It includes the risk that a particular style of investing, such as the Portfolio’s growth approach, may underperform the market generally.
Focused Portfolio Risk—Investments in a limited number of companies may have more risk because changes in the value of a single security may have a more significant effect, either negative or positive, on the Portfolio’s net asset value, or NAV.
Foreign (Non-U.S.) Risk—Investments in securities of non-U.S. issuers may involve more risk than those of U.S. issuers. These securities may fluctuate more widely in price and may be more difficult to trade due to adverse market, economic, political, regulatory or other factors.
Derivatives Risk—Derivatives may be difficult to price or unwind and leveraged so that small changes may produce disproportionate losses for the Portfolio. Derivatives, especially over-the-counter derivatives, are also subject to counterparty risk, which is the risk that the counterparty (the party on the other side of the transaction) on a derivative transaction will be unable or unwilling to honor its contractual obligation to the Portfolio.
Industry/Sector Risk—Investments in a particular sector, industry or group of related industries, such as the information technology or health care sector, may have more risk because market or economic factors affecting that sector or industry could have a significant effect on the value of the Portfolio’s investments.
LIBOR Transition and Associated Risk—A Portfolio may be exposed to debt securities, derivatives or other financial instruments that are tied to the London Interbank Offered Rate, or “LIBOR,” as a “benchmark” or “reference rate” for various interest rate calculations. In 2017, the United Kingdom Financial Conduct Authority (“FCA”), which regulates LIBOR, announced a desire to phase out the use of LIBOR by the end of 2021. The FCA and LIBOR’s administrator, ICE Benchmark Administration, have since announced that most LIBOR settings (which reflect LIBOR rates quoted in different currencies over various time periods) will no longer be published after the end of 2021 but that the most widely used U.S. dollar LIBOR settings will continue to be published until June 30, 2023. However, banks were strongly encouraged to cease entering into agreements with counterparties referencing LIBOR by the end of 2021. It is possible that a subset of LIBOR settings will be published after these dates on a “synthetic” basis, but any such publications would be considered non-representative of the underlying market. The U.S. Federal Reserve, based on the recommendations of the New York
16
| | |
| |
| | | AB Variable Products Series Fund |
Federal Reserve’s Alternative Reference Rate Committee (comprised of major derivative market participants and their regulators), has begun publishing a Secured Overnight Funding Rate (referred to as SOFR), which is intended to replace U.S. dollar LIBOR. Proposals for alternative reference rates for other currencies have also been announced or have already begun publication. Markets are slowly developing in response to these new rates.
The elimination of LIBOR or changes to other reference rates or any other changes or reforms to the determination or supervision of reference rates could have an adverse impact on the market for, or value of, any securities or payments linked to those reference rates, which may adversely affect a Portfolio’s performance and/or net asset value. Uncertainty and risk also remain regarding the willingness and ability of issuers and lenders to include revised provisions in new and existing contracts or instruments. Consequently, the transition away from LIBOR to other reference rates may lead to increased volatility and illiquidity in markets that are tied to LIBOR, fluctuations in values of LIBOR-related investments or investments in issuers that utilize LIBOR, increased difficulty in borrowing or refinancing and diminished effectiveness of hedging strategies, potentially adversely affecting a Portfolio’s performance. Furthermore, the risks associated with the expected discontinuation of LIBOR and transition may be exacerbated if the work necessary to effect an orderly transition to an alternative reference rate is not completed in a timely manner. The potential effects of a phase out of LIBOR on LIBOR-based investments are currently unknown.
Indemnification Risk—In the ordinary course of business, the Portfolio enters into contracts that contain a variety of indemnifications. The Portfolio’s maximum exposure under these arrangements is unknown. However, the Portfolio has not had prior claims or losses pursuant to these indemnification provisions and expects the risk of loss thereunder to be remote. Therefore, the Portfolio has not accrued any liability in connection with these indemnification provisions.
Management Risk—The Portfolio is subject to management risk because it is an actively-managed investment fund. The Adviser will apply its investment techniques and risk analyses in making investment decisions for the Portfolio, but there is no guarantee that its techniques will produce the intended results. Some of these techniques may incorporate, or rely upon, quantitative models, but there is no guarantee that these models will generate accurate forecasts, reduce risk or otherwise perform as expected.
NOTE H: Joint Credit Facility
A number of open-end mutual funds managed by the Adviser, including the Portfolio, participate in a $325 million revolving credit facility (the “Facility”) intended to provide short-term financing related to redemptions and other short term liquidity requirements, subject to certain restrictions. Commitment fees related to the Facility are paid by the participating funds and are included in miscellaneous expenses in the statement of operations. The Portfolio did not utilize the Facility during the year ended December 31, 2021.
NOTE I: Distributions to Shareholders
The tax character of distributions paid during the fiscal years ended December 31, 2021 and December 31, 2020 were as follows:
| | | | | | | | |
| | | 2021 | | | 2020 | |
Distributions paid from: | | | | | | | | |
Ordinary income | | $ | 830,314 | | | $ | 2,813,054 | |
Net long-term capital gains | | | 56,301,889 | | | | 47,581,253 | |
| | | | | | | | |
Total taxable distributions paid | | $ | 57,132,203 | | | $ | 50,394,307 | |
| | | | | | | | |
As of December 31, 2021, the components of accumulated earnings/(deficit) on a tax basis were as follows:
| | | | |
Undistributed capital gains | | $ | 81,212,377 | |
Unrealized appreciation/(depreciation) | | | 477,359,685 | (a) |
| | | | |
Total accumulated earnings/(deficit) | | $ | 558,572,062 | |
| | | | |
| (a) | | The differences between book-basis and tax-basis unrealized appreciation/(depreciation) are attributable primarily to the tax deferral of losses on wash sales. |
17
| | |
| LARGE CAP GROWTH PORTFOLIO | | |
| NOTES TO FINANCIAL STATEMENTS | | |
| |
| (continued) | | AB Variable Products Series Fund |
For tax purposes, net realized capital losses may be carried over to offset future capital gains, if any. Funds are permitted to carry forward capital losses for an indefinite period, and such losses will retain their character as either short-term or long-term capital losses. As of December 31, 2021, the Portfolio did not have any capital loss carryforwards.
During the current fiscal year, permanent differences primarily due to the disallowance of a net operating loss resulted in a net increase in distributable earnings and a net decrease in additional paid-in capital. These reclassifications had no effect on net assets.
NOTE J: Recent Accounting Pronouncements
In March 2020, the Financial Accounting Standards Board issued an Accounting Standards Update, ASU 2020-04, “Reference Rate Reform (Topic 848) – Facilitation of the Effects of Reference Rate Reform on Financial Reporting.” ASU 2020-04 provides optional guidance to ease the potential accounting burden due to the discontinuation of the LIBOR and other interbank-offered based reference rates. ASU 2020-04 is effective as of March 12, 2020 through December 31, 2022. Management is currently evaluating the impact, if any, of applying ASU 2020-04.
NOTE K: Subsequent Events
Management has evaluated subsequent events for possible recognition or disclosure in the financial statements through the date the financial statements are issued. Management has determined that there are no material events that would require disclosure in the Portfolio’s financial statements through this date.
18
| | |
| | |
| LARGE CAP GROWTH PORTFOLIO | | |
| |
FINANCIAL HIGHLIGHTS | | AB Variable Products Series Fund |
Selected Data For A Share Of Capital Stock Outstanding Throughout Each Period
| | | | | | | | | | | | | | | | | | | | |
| | | CLASS A | |
| | | Year Ended December 31, | |
| | | 2021 | | | 2020 | | | 2019 | | | 2018 | | | 2017 | |
Net asset value, beginning of period | | | $77.09 | | | | $61.26 | | | | $51.75 | | | | $56.34 | | | | $45.22 | |
| | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | |
Income From Investment Operations | | | | | | | | | | | | | | | | | | | | |
Net investment income (loss)(a)(b) | | | (.19 | ) | | | (.06 | ) | | | .05 | | | | .02 | | | | .02 | |
Net realized and unrealized gain on investment transactions | | | 22.16 | | | | 21.18 | | | | 17.18 | | | | 2.09 | | | | 14.10 | |
| | | | | | | | | | | | | | | | | | | | |
Net increase in net asset value from operations | | | 21.97 | | | | 21.12 | | | | 17.23 | | | | 2.11 | | | | 14.12 | |
| | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | |
Less: Distributions | | | | | | | | | | | | | | | | | | | | |
Distributions from net realized gain on investment transactions | | | (5.97 | ) | | | (5.29 | ) | | | (7.72 | ) | | | (6.70 | ) | | | (3.00 | ) |
| | | | | | | | | | | | | | | | | | | | |
Net asset value, end of period | | | $93.09 | | | | $77.09 | | | | $61.26 | | | | $51.75 | | | | $56.34 | |
| | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | |
Total Return | | | | | | | | | | | | | | | | | | | | |
Total investment return based on net asset value(c)* | | | 28.98 | % | | | 35.49 | % | | | 34.70 | % | | | 2.58 | % | | | 31.98 | % |
| | | | | | | | | | | | | | | | | | | | |
Ratios/Supplemental Data | | | | | | | | | | | | | | | | | | | | |
Net assets, end of period (000’s omitted) | | | $389,051 | | | | $331,436 | | | | $264,234 | | | | $190,899 | | | | $208,392 | |
Ratio to average net assets of: | | | | | | | | | | | | | | | | | | | | |
Expenses, net of waivers/reimbursements(d)‡ | | | .65 | % | | | .66 | % | | | .67 | % | | | .68 | % | | | .70 | % |
Expenses, before waivers/reimbursements(d)‡ | | | .65 | % | | | .67 | % | | | .68 | % | | | .68 | % | | | .70 | % |
Net investment income (loss)(b) | | | (.22 | )% | | | (.08 | )% | | | .09 | % | | | .04 | % | | | .03 | % |
Portfolio turnover rate | | | 17 | % | | | 33 | % | | | 38 | % | | | 46 | % | | | 48 | % |
| | | | | | | | | | | | | | | | | | | | |
‡ Expense ratios exclude the estimated acquired fund fees of the affiliated/unaffiliated underlying | |
portfolios | | | .00 | % | | | .01 | % | | | .01 | % | | | .00 | % | | | .00 | % |
See footnote summary on page 20.
19
| | |
| LARGE CAP GROWTH PORTFOLIO | | |
FINANCIAL HIGHLIGHTS | | |
| |
| (continued) | | AB Variable Products Series Fund |
Selected Data For A Share Of Capital Stock Outstanding Throughout Each Period
| | | | | | | | | | | | | | | | | | | | |
| | | CLASS B | |
| | | Year Ended December 31, | |
| | | 2021 | | | 2020 | | | 2019 | | | 2018 | | | 2017 | |
Net asset value, beginning of period | | | $71.51 | | | | $57.28 | | | | $48.91 | | | | $53.70 | | | | $43.32 | |
| | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | |
Income From Investment Operations | | | | | | | | | | | | | | | | | | | | |
Net investment loss(a)(b) | | | (.37 | ) | | | (.21 | ) | | | (.09 | ) | | | (.12 | ) | | | (.11 | ) |
Net realized and unrealized gain on investment transactions | | | 20.50 | | �� | | 19.73 | | | | 16.18 | | | | 2.03 | | | | 13.49 | |
| | | | | | | | | | | | | | | | | | | | |
Net increase in net asset value from operations | | | 20.13 | | | | 19.52 | | | | 16.09 | | | | 1.91 | | | | 13.38 | |
| | | | | | | | | | | | | | | | | | | | |
Less: Distributions | | | | | | | | | | | | | | | | | | | | |
Distributions from net realized gain on investment transactions | | | (5.97 | ) | | | (5.29 | ) | | | (7.72 | ) | | | (6.70 | ) | | | (3.00 | ) |
| | | | | | | | | | | | | | | | | | | | |
Net asset value, end of period | | | $85.67 | | | | $71.51 | | | | $57.28 | | | | $48.91 | | | | $53.70 | |
| | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | |
Total Return | | | | | | | | | | | | | | | | | | | | |
Total investment return based on net asset value(c)* | | | 28.65 | % | | | 35.15 | % | | | 34.37 | % | | | 2.32 | % | | | 31.67 | % |
| | | | | | | | | | | | | | | | | | | | |
| Ratios/Supplemental Data | | | | | | | | | | | | | | | | | | | | |
Net assets, end of period (000’s omitted) | | | $490,111 | | | | $413,127 | | | | $322,688 | | | | $218,027 | | | | $220,934 | |
Ratio to average net assets of: | | | | | | | | | | | | | | | | | | | | |
Expenses, net of waivers/reimbursements(d) | | | .90 | % | | | .91 | % | | | .92 | % | | | .93 | % | | | .95 | % |
Expenses, before waivers/reimbursements(d)‡ | | | .90 | % | | | .92 | % | | | .93 | % | | | .93 | % | | | .95 | % |
Net investment loss(b) | | | (.47 | )% | | | (.33 | )% | | | (.16 | )% | | | (.21 | )% | | | (.21 | )% |
Portfolio turnover rate | | | 17 | % | | | 33 | % | | | 38 | % | | | 46 | % | | | 48 | % |
| | | | | | | | | | | | | | | | | | | | |
‡ Expense ratios exclude the estimated acquired fund fees of the affiliated/unaffiliated underlying | |
portfolios | | | .00 | % | | | .01 | % | | | .01 | % | | | .00 | % | | | .00 | % |
| (a) | | Based on average shares outstanding. |
| (b) | | Net of expenses waived/reimbursed by the Adviser. |
| (c) | | Total investment return is calculated assuming an initial investment made at the net asset value at the beginning of the period, reinvestment of all dividends and distributions at net asset value during the period, and redemption on the last day of the period. Total return does not reflect (i) insurance company’s separate account related expense charges and (ii) the deductions of taxes that a shareholder would pay on Portfolio distributions or the redemption of Portfolio shares. Total investment return calculated for a period of less than one year is not annualized. |
| (d) | | In connection with the Portfolio’s investments in affiliated underlying portfolios, the Portfolio incurs no direct expenses, but bears proportionate shares of the fees and expenses (i.e., operating, administrative and investment advisory fees) of the affiliated underlying portfolios. The Adviser has contractually agreed to waive its fees from the Portfolio in an amount equal to the Portfolio’s pro rata share of certain acquired fund fees and expenses, and for the years ended December 31, 2020 and December 31, 2019, such waiver amounted to .01% and .01%, respectively. |
| * | | Includes the impact of proceeds received and credited to the Portfolio resulting from class action settlements, which enhanced the Portfolio’s performance for the years ended December 31, 2019 and December 31, 2017 by .04% and .03%, respectively. |
See notes to financial statements.
20
| | |
| | |
| REPORT OF INDEPENDENT REGISTERED | | |
| |
| PUBLIC ACCOUNTING FIRM | | AB Variable Products Series Fund |
To the Shareholders and the Board of Directors of AB Large Cap Growth Portfolio:
Opinion on the Financial Statements
We have audited the accompanying statement of assets and liabilities of AB Large Cap Growth Portfolio (the “Portfolio”) (one of the portfolios constituting AB Variable Products Series Fund, Inc. (the “Fund”)), including the portfolio of investments, as of December 31, 2021, and the related statement of operations for the year then ended, the statements of changes in net assets for each of the two years in the period then ended, the financial highlights for each of the five years in the period then ended and the related notes (collectively referred to as the “financial statements”). In our opinion, the financial statements present fairly, in all material respects, the financial position of the Portfolio (one of the portfolios constituting AB Variable Products Series Fund, Inc.) at December 31, 2021, the results of its operations for the year then ended, the changes in its net assets for each of the two years in the period then ended and its financial highlights for each of the five years in the period then ended, in conformity with U.S. generally accepted accounting principles.
Basis for Opinion
These financial statements are the responsibility of the Fund’s management. Our responsibility is to express an opinion on the Portfolio’s financial statements based on our audits. We are a public accounting firm registered with the Public Company Accounting Oversight Board (United States) (“PCAOB”) and are required to be independent with respect to the Fund in accordance with the U.S. federal securities laws and the applicable rules and regulations of the Securities and Exchange Commission and the PCAOB.
We conducted our audits in accordance with the standards of the PCAOB. Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements are free of material misstatement, whether due to error or fraud. The Fund is not required to have, nor were we engaged to perform, an audit of the Fund’s internal control over financial reporting. As part of our audits we are required to obtain an understanding of internal control over financial reporting but not for the purpose of expressing an opinion on the effectiveness of the Fund’s internal control over financial reporting. Accordingly, we express no such opinion.
Our audits included performing procedures to assess the risks of material misstatement of the financial statements, whether due to error or fraud, and performing procedures that respond to those risks. Such procedures included examining, on a test basis, evidence regarding the amounts and disclosures in the financial statements. Our procedures included confirmation of securities owned as of December 31, 2021, by correspondence with the custodian and others or by other appropriate auditing procedures where replies from others were not received. Our audits also included evaluating the accounting principles used and significant estimates made by management, as well as evaluating the overall presentation of the financial statements. We believe that our audits provide a reasonable basis for our opinion.
We have served as the auditor of one or more of the AB investment companies since 1968.
New York, New York
February 14, 2022
21
| | |
| | |
| | |
| |
| 2021 TAX INFORMATION (unaudited) | | AB Variable Products Series Fund |
For Federal income tax purposes, the following information is furnished with respect to the distributions paid by the Portfolio during the taxable year ended December 31, 2021. The Portfolio designates $56,301,889 of dividends paid as long-term capital gain dividends.
22
| | |
| | |
| | |
| |
| LARGE CAP GROWTH PORTFOLIO | | AB Variable Products Series Fund |
| | |
| BOARD OF DIRECTORS | | |
Marshall C. Turner, Jr.(1), Chairman Jorge A. Bermudez(1) Michael J. Downey(1) Onur Erzan*, President and
Chief Executive Officer | | Nancy P. Jacklin(1) Jeanette W. Loeb(1) Carol C. McMullen(1) Garry L. Moody(1) |
|
|
|
| | |
| | |
| OFFICERS | | |
Frank V. Caruso(2), Vice President John H. Fogarty(2), Vice President Vinay Thapar(2), Vice President Emilie D. Wrapp, Secretary Michael B. Reyes, Senior Vice President
and Senior Analyst | | Joseph J. Mantineo, Treasurer and
Chief Financial Officer Phyllis J. Clarke, Controller Vincent S. Noto, Chief Compliance Officer |
| | |
| | |
CUSTODIANAND ACCOUNTING AGENT State Street Bank and Trust Company State Street Corporation CCB/5 1 Iron Street Boston, MA 02210 | | LEGAL COUNSEL Seward & Kissel LLP One Battery Park Plaza New York, NY 10004 |
| | |
DISTRIBUTOR AllianceBernstein Investments, Inc. 501 Commerce Street Nashville, TN 37203 | | TRANSFER AGENT AllianceBernstein Investor Services, Inc. P.O. Box 786003 San Antonio, TX 78278 Toll-Free (800) 221-5672 |
| | |
INDEPENDENT REGISTERED PUBLIC ACCOUNTING FIRM Ernst & Young LLP One Manhattan West New York, NY 10001 | | |
| (1) | | Member of the Audit Committee, the Governance and Nominating Committee, and the Independent Directors Committee. |
| (2) | | The day-to-day management of, and investment decisions for, the Portfolio’s portfolio are made by the Adviser’s U.S. Large Cap Growth Investment Team. Messrs. Caruso, Fogarty and Thapar are the investment professionals with the most significant responsibility for the day-to-day management of the Portfolio’s portfolio. |
23
| | |
| | |
| LARGE CAP GROWTH PORTFOLIO | | |
| |
| MANAGEMENT OF THE FUND | | AB Variable Products Series Fund |
Board of Directors Information
The business and affairs of the Fund are managed under the direction of the Board of Directors. Certain information concerning the Fund’s Directors is set forth below.
| | | | | | | | |
NAME, ADDRESS*,
AGE AND
(YEAR FIRST ELECTED)** | | PRINCIPAL OCCUPATION(S), DURING PAST FIVE YEARS AND OTHER INFORMATION*** | | PORTFOLIOS
IN AB FUND
COMPLEX
OVERSEEN BY
DIRECTOR | | | OTHER PUBLIC
COMPANY
DIRECTORSHIPS
CURRENTLY
HELD BY
DIRECTOR |
| INTERESTED DIRECTOR | | | | | | |
| | | | | | | | |
Onur Erzan,# 1345 Avenue of the Americas New York, NY 10105 46 (2021) | | Senior Vice President of AllianceBernstein L.P. (the “Adviser”) and Head of the Global Client Group overseeing AB’s institutional and retail businesses, where he is responsible for all client services, sales and marketing, as well as product strategy, management and development worldwide. Director, President and Chief Executive Officer of the AB Mutual Funds as of April 1, 2021. Prior to joining the firm in January 2021, he spent 20 years with McKinsey (management consulting firm), most recently as a senior partner and co-leader of its Wealth & Asset Management practice. In addition, he co-led McKinsey’s Banking & Securities Solutions (a portfolio of data, analytics, and digital assets and capabilities) globally. | | | 74 | | | None |
| | | | | | | | |
| INDEPENDENT DIRECTORS | | | | | | |
| | | | | | | | |
Marshall C. Turner, Jr.,##
Chairman of the Board
80
(2005) | | Private Investor since prior to 2017. Former Chairman and CEO of Dupont Photomasks, Inc. (components of semi-conductor manufacturing). He was a Director of Xilinx, Inc. (programmable logic semiconductors and adaptable, intelligent computing) from 2007 through August 2020, and is a former director of 33 other companies and organizations. He has extensive operating leadership, and venture capital investing experience, including five interim or full-time CEO roles, and prior service as general partner of institutional venture capital partnerships. He also has extensive non-profit board leadership experience, and currently serves on the boards of two education and science-related non-profit organizations. He has served as a director of one AB Fund since 1992, and director or trustee of all AB Funds since 2005. He has been Chairman of the AB Funds since January 2014, and the Chairman of the Independent Directors Committees of such AB Funds since February 2014. | | | 74 | | | None |
| | | | | | | | |
24
| | |
| |
| | | AB Variable Products Series Fund |
| | | | | | | | | |
NAME, ADDRESS*,
AGE AND
(YEAR FIRST ELECTED)** | | PRINCIPAL OCCUPATION(S), DURING PAST FIVE YEARS AND OTHER INFORMATION*** | | PORTFOLIOS
IN AB FUND
COMPLEX
OVERSEEN BY
DIRECTOR | | OTHER PUBLIC
COMPANY
DIRECTORSHIPS
CURRENTLY
HELD BY
DIRECTOR |
INDEPENDENT DIRECTORS (continued) | | | | | | | |
| | | | | | | | | |
Jorge A. Bermudez,##
70 (2020) | | Private Investor since prior to 2017. Formerly, Chief Risk Officer of Citigroup, Inc., a global financial services company, from November 2007 to March 2008, Chief Executive Officer of Citigroup’s Commercial Business Group in North America and Citibank Texas from 2005 to 2007, and a variety of other executive and leadership roles at various businesses within Citigroup prior to then; Chairman (2018) of the Texas A&M Foundation Board of Trustees (Trustee since 2013) and Chairman of the Smart Grid Center Board at Texas A&M University since 2012; director of, among others, Citibank N.A. from 2005 to 2008, the Federal Reserve Bank of Dallas, Houston Branch from 2009 to 2011, the Federal Reserve Bank of Dallas from 2011 to 2017, and the Electric Reliability Council of Texas from 2010 to 2016. He has served as director or trustee of the AB Funds since January 2020. | | | | 74 | | | Moody’s Corporation since April 2011 |
| | | | | | | | | |
Michael J. Downey,##
78 (2005) | | Private Investor since prior to 2017. Formerly, Chairman of The Asia Pacific Fund, Inc. (registered investment company) since prior to 2017 until January 2019. From 1987 until 1993, Chairman and CEO of Prudential Mutual Fund Management, director of the Prudential mutual funds, and member of the Executive Committee of Prudential Securities, Inc. He has served as a director or trustee of the AB Funds since 2005. | | | | 74 | | | None |
| | | | | | | | | |
Nancy P. Jacklin,##
73 (2006) | | Private Investor since prior to 2017. Professorial Lecturer at the Johns Hopkins School of Advanced International Studies (2008-2015). U.S. Executive Director of the International Monetary Fund (which is responsible for ensuring the stability of the international monetary system), (December 2002-May 2006); Partner, Clifford Chance (1992-2002); Sector Counsel, International Banking and Finance, and Associate General Counsel, Citicorp (1985-1992); Assistant General Counsel (International), Federal Reserve Board of Governors (1982-1985); and Attorney Advisor, U.S. Department of the Treasury (1973-1982). Member of the Bar of the District of Columbia and of New York; and member of the Council on Foreign Relations. She has served as a director or trustee of the AB Funds since 2006 and has been Chair of the Governance and Nominating Committees of the AB Funds since August 2014. | | | | 74 | | | None |
| | | | | | | | | |
25
| | |
| LARGE CAP GROWTH PORTFOLIO | | |
| MANAGEMENT OF THE FUND | | |
| |
| (continued) | | AB Variable Products Series Fund |
| | | | | | | | | |
NAME, ADDRESS*,
AGE AND
(YEAR FIRST ELECTED)** | | PRINCIPAL OCCUPATION(S), DURING PAST FIVE YEARS AND OTHER INFORMATION*** | | PORTFOLIOS
IN AB FUND
COMPLEX
OVERSEEN BY
DIRECTOR | | OTHER PUBLIC
COMPANY
DIRECTORSHIPS
CURRENTLY
HELD BY
DIRECTOR |
INDEPENDENT DIRECTORS (continued) | | | | | | | |
| | | | | | | | | |
Jeanette W. Loeb,##
69
(2020) | | Chief Executive Officer of PetCareRx (e-commerce pet pharmacy) from 2002 to 2011 and 2015 to present. Director of New York City Center since 2005. She was a director of AB Multi-Manager Alternative Fund, Inc. (fund of hedge funds) from 2012 to 2018. Formerly, affiliated with Goldman Sachs Group, Inc. (financial services) from 1977 to 1994, including as a partner thereof from 1986 to 1994. She has served as director or trustee of the AB Funds since April 2020. | | | | 74 | | | Apollo Investment Corp. (business development company) since August 2011 |
| | | | | | | | | |
Carol C. McMullen,##
66 (2016) | | Managing Director of Slalom Consulting (consulting) since 2014, private investor and a member of the Advisory Board of Butcher Box (since 2018). Formerly, member, Partners Healthcare Investment Committee (2010-2019); Director of Norfolk & Dedham Group (mutual property and casualty insurance) from 2011 until November 2016; Director of Partners Community Physicians Organization (healthcare) from 2014 until December 2016; and Managing Director of The Crossland Group (consulting) from 2012 until 2013. She has held a number of senior positions in the asset and wealth management industries, including at Eastern Bank (where her roles included President of Eastern Wealth Management), Thomson Financial (Global Head of Sales for Investment Management), and Putnam Investments (where her roles included Chief Investment Officer, Core and Growth and Head of Global Investment Research). She has served on a number of private company and non-profit boards, and as a director or trustee of the AB Funds since June 2016. | | | | 74 | | | None |
| | | | | | | | | |
Garry L. Moody,##
69 (2008) | | Private Investor since prior to 2017. Formerly, Partner, Deloitte & Touche LLP (1995-2008) where he held a number of senior positions, including Vice Chairman, and U.S. and Global Investment Management Practice Managing Partner; President, Fidelity Accounting and Custody Services Company (1993-1995), where he was responsible for accounting, pricing, custody and reporting for the Fidelity mutual funds; and Partner, Ernst & Young LLP (1975-1993), where he served as the National Director of Mutual Fund Tax Services and Managing Partner of its Chicago Office Tax department. He is a member of the Trustee Advisory Board of BoardIQ, a biweekly publication focused on issues and news affecting directors of mutual funds. He is also a member of the Investment Company Institute’s Board of Governors and the Independent Directors Council’s Governing Council. He has served as a director or trustee, and as Chairman of the Audit Committees, of the AB Funds since 2008. | | | | 74 | | | None |
| | | | | | | | | |
26
| | |
| |
| | | AB Variable Products Series Fund |
| * | The address for each of the Fund’s disinterested Directors is c/o AllianceBernstein L.P., Attention: Legal and Compliance Department—Mutual Fund Legal, 1345 Avenue of the Americas, New York, NY 10105. |
| ** | There is no stated term of office for the Fund’s Directors. |
| *** | The information above includes each Director’s principal occupation during the last five years and other information relating to the experience, attributes, and skills relevant to each Director’s qualifications to serve as a Director, which led to the conclusion that each Director should serve as a Director for the Fund. |
| # | Mr. Erzan is an “interested person” of the Fund, as defined in the “1940 Act”, due to his position as a Senior Vice President of the Adviser. |
| ## | Member of the Audit Committee, the Governance and Nominating Committee, and the Independent Directors Committee. |
27
| | |
| LARGE CAP GROWTH PORTFOLIO | | |
| MANAGEMENT OF THE FUND | | |
| |
| (continued) | | AB Variable Products Series Fund |
Officer Information
Certain information concerning the Portfolio Officers is listed below.
| | | | |
NAME, ADDRESS*
AND AGE | | PRINCIPAL POSITION(S)
HELD WITH FUND | | PRINCIPAL OCCUPATION
DURING PAST FIVE YEARS |
Onur Erzan 46 | | President and Chief Executive Officer | | See biography above. |
| | | | |
Frank V. Caruso 65 | | Vice President | | Senior Vice President of the Adviser**, with which he has been associated since prior to 2017. He is also Chief Investment Officer of US Growth Equities. |
| | | | |
John H. Fogarty 52 | | Vice President | | Senior Vice President of the Adviser**, with which he has been associated since prior to 2017. |
| | | | |
Vinay Thapar 43 | | Vice President | | Senior Vice President of the Adviser**, with which he was associated since prior to 2017. |
| | | | |
Emilie D. Wrapp 66 | | Secretary | | Senior Vice President, Assistant General Counsel and Assistant Secretary of ABI**, with which she has been associated since prior to 2017. |
| | | | |
Michael B. Reyes 45 | | Senior Vice President and Senior Analyst | | Vice President of the Adviser**, with which he has been associated since prior to 2017. |
| | | | |
Joseph J. Mantineo 62 | | Treasurer and Chief Financial Officer | | Senior Vice President of AllianceBernstein Investor Services, Inc. (“ABIS”)**, with which he has been associated since prior to 2017. |
| | | | |
Phyllis J. Clarke 61 | | Controller | | Vice President of ABIS**, with which she has been associated since prior to 2017. |
| | | | |
Vincent S. Noto 57 | | Chief Compliance Officer | | Senior Vice President and Mutual Fund Chief Compliance Officer of the Adviser** since prior to 2017. |
| | | | |
| * | | The address for each of the Portfolio’s Officers is 1345 Avenue of the Americas, New York, NY 10105. |
| ** | | The Adviser, ABI and ABIS are affiliates of the Fund. |
| | | The Fund’s Statement of Additional Information (“SAI”) has additional information about the Fund’s Directors and Officers and is available without charge upon request. Contact your financial representative or the Adviser at (800) 227-4618, or visit www.abfunds.com, for a free prospectus or SAI. |
28
| | |
| | |
| | |
| |
| LARGE CAP GROWTH PORTFOLIO | | AB Variable Products Series Fund |
OPERATION AND EFFECTIVENESS OF THE PORTFOLIO’S LIQUIDITY RISK MANAGEMENT PROGRAM:
In October 2016, the Securities and Exchange Commission (“SEC”) adopted the open-end fund liquidity rule (the “Liquidity Rule”). In June 2018 the SEC adopted a requirement that funds disclose information about the operation and effectiveness of their Liquidity Risk Management Program (“LRMP”) in their reports to shareholders.
One of the requirements of the Liquidity Rule is for the Portfolio to designate an Administrator of the Portfolio’s Liquidity Risk Management Program. The Administrator of the Portfolio’s LRMP is AllianceBernstein L.P., the Portfolio’s investment adviser (the “Adviser”). The Adviser has delegated the responsibility to its Liquidity Risk Management Committee (the “Committee”).
Another requirement of the Liquidity Rule is for the Portfolio’s Board of Directors (the “Fund Board”) to receive an annual written report from the Administrator of the LRMP, which addresses the operation of the Portfolio’s LRMP and assesses its adequacy and effectiveness. The Adviser provided the Fund Board with such annual report during the first quarter of 2021, which covered the period January 1, 2020 through December 31, 2020 (the “Program Reporting Period”).
The LRMP’s principal objectives include supporting the Portfolio’s compliance with limits on investments in illiquid assets and mitigating the risk that the Portfolio will be unable to meet its redemption obligations in a timely manner.
Pursuant to the LRMP, the Portfolio classifies the liquidity of its portfolio investments into one of the four categories defined by the SEC: Highly Liquid, Moderately Liquid, Less Liquid, and Illiquid. These classifications are reported to the SEC on Form N-PORT.
During the Program Reporting Period, the Committee reviewed whether the Portfolio’s strategy is appropriate for an open-end structure, incorporating any holdings of less liquid and illiquid assets. If the Portfolio participated in derivative transactions, the exposure from such transactions were considered in the LRMP.
The Committee also performed an analysis to determine whether the Portfolio is required to maintain a Highly Liquid Investment Minimum (“HLIM”). The Committee also incorporated the following information when determining the Portfolio’s reasonably anticipated trading size for purposes of liquidity monitoring: historical net redemption activity, a Portfolio’s concentration in an issuer, shareholder concentration, investment performance, total net assets, and distribution channels.
The Adviser informed the Fund Board that the Committee believes the Portfolio’s LRMP is adequately designed, has been implemented as intended, and has operated effectively since its inception. No material exceptions have been noted since the implementation of the LRMP. During the Program Reporting Period, beginning in March 2020, all financial markets experienced extreme levels of price volatility and relative illiquidity resulting from the COVID-19 impacts on the global economy. This extreme relative illiquidity resulted in significantly wider bid-ask spreads to transact in securities, including many of those securities held by the Portfolio, and in a diminished depth of liquidity in most markets, to varying degrees. Nonetheless, there were no liquidity events that impacted the Portfolio or its ability to timely meet redemptions during the Program Reporting Period.
29
| | |
| | |
| LARGE CAP GROWTH PORTFOLIO | | |
| |
| CONTINUANCE DISCLOSURE | | AB Variable Products Series Fund |
INFORMATION REGARDING THE REVIEW AND APPROVAL OF THE FUND’S ADVISORY AGREEMENT
The disinterested directors (the “directors”) of AB Variable Products Series Fund, Inc. (the “Company”) unanimously approved the continuance of the Company’s Advisory Agreement with the Adviser in respect of AB Large Cap Growth Portfolio (the “Fund”) at a meeting held by video conference on May 3-5, 2021 (the “Meeting”).
Prior to approval of the continuance of the Advisory Agreement, the directors had requested from the Adviser, and received and evaluated, extensive materials. They reviewed the proposed continuance of the Advisory Agreement with the Adviser and with experienced counsel who are independent of the Adviser, who advised on the relevant legal standards. The directors also reviewed additional materials, including comparative analytical data prepared by the Senior Analyst for the Fund. The directors also discussed the proposed continuance in private sessions with counsel.
The directors considered their knowledge of the nature and quality of the services provided by the Adviser to the Fund gained from their experience as directors or trustees of most of the registered investment companies advised by the Adviser, their overall confidence in the Adviser’s integrity and competence they have gained from that experience, the Adviser’s initiative in identifying and raising potential issues with the directors and its responsiveness, frankness and attention to concerns raised by the directors in the past, including the Adviser’s willingness to consider and implement organizational and operational changes designed to improve investment results and the services provided to the AB Funds. The directors noted that they have four regular meetings each year, at each of which they review extensive materials and information from the Adviser, including information on the investment performance of the Fund.
The directors also considered all factors they believed relevant, including the specific matters discussed below. During the course of their deliberations, the directors evaluated, among other things, the reasonableness of the advisory fee. The directors did not identify any particular information that was all-important or controlling, and different directors may have attributed different weights to the various factors. The directors determined that the selection of the Adviser to manage the Fund and the overall arrangements between the Fund and the Adviser, as provided in the Advisory Agreement, including the advisory fee, were fair and reasonable in light of the services performed, expenses incurred and such other matters as the directors considered relevant in the exercise of their business judgment. The material factors and conclusions that formed the basis for the directors’ determinations included the following:
Nature, Extent and Quality of Services Provided
The directors considered the scope and quality of services provided by the Adviser under the Advisory Agreement, including the quality of the investment research capabilities of the Adviser and the other resources it has dedicated to performing services for the Fund. The directors noted that the Adviser from time to time reviews the Fund’s investment strategies and from time to time proposes changes intended to improve the Fund’s relative or absolute performance for the directors’ consideration. They also noted the professional experience and qualifications of the Fund’s portfolio management team and other senior personnel of the Adviser. The directors also considered that the Advisory Agreement provides that the Fund will reimburse the Adviser for the cost to it of providing certain clerical, accounting, administrative and other services to the Fund by employees of the Adviser or its affiliates. Requests for these reimbursements are made on a quarterly basis and subject to approval by the directors. Reimbursements, to the extent requested and paid, result in a higher rate of total compensation from the Fund to the Adviser than the fee rate stated in the Advisory Agreement. The directors noted that the methodology used to determine the reimbursement amounts had been reviewed by an independent consultant at the request of the directors. The quality of administrative and other services, including the Adviser’s role in coordinating the activities of the Fund’s other service providers, also was considered. The directors concluded that, overall, they were satisfied with the nature, extent and quality of services provided to the Fund under the Advisory Agreement.
Costs of Services Provided and Profitability
The directors reviewed a schedule of the revenues and expenses and related notes indicating the profitability of the Fund to the Adviser for calendar years 2019 and 2020 that had been prepared with an expense allocation methodology arrived at in consultation with an independent consultant at the request of the directors. The directors noted the assumptions and methods of allocation used by the Adviser in preparing fund-specific profitability data and understood that there are a number of potentially acceptable allocation methodologies for information of this type. The directors noted that the profitability information reflected all revenues and expenses of the Adviser’s relationship with the Fund, including those relating to its subsidiaries that provide transfer agency, distribution and brokerage services to the Fund. The directors recognized that it is difficult to make comparisons of the profitability of the Advisory Agreement with the profitability of fund advisory contracts
30
| | |
| |
| | | AB Variable Products Series Fund |
for unaffiliated funds because comparative information is not generally publicly available and is affected by numerous factors. The directors focused on the profitability of the Adviser’s relationship with the Fund before taxes and distribution expenses. The directors concluded that the Adviser’s level of profitability from its relationship with the Fund was not unreasonable.
Fall-Out Benefits
The directors considered the other benefits to the Adviser and its affiliates from their relationships with the Fund, including, but not limited to, benefits relating to soft dollar arrangements (whereby investment advisers receive brokerage and research services from brokers that execute agency transactions for their clients); 12b-1 fees and sales charges received by the Fund’s principal underwriter (which is a wholly owned subsidiary of the Adviser) in respect of the Fund’s Class B shares; brokerage commissions paid by the Fund to brokers affiliated with the Adviser; and transfer agency fees paid by the Fund to a wholly owned subsidiary of the Adviser. The directors recognized that the Adviser’s profitability would be somewhat lower without these benefits. The directors understood that the Adviser also might derive reputational and other benefits from its association with the Fund.
Investment Results
In addition to the information reviewed by the directors in connection with the Meeting, the directors receive detailed performance information for the Fund at each regular Board meeting during the year.
At the Meeting, the directors reviewed performance information prepared by an independent service provider (the “15(c) service provider”), showing the performance of the Class A Shares of the Fund against a group of similar funds (“peer group”) and a larger group of similar funds (“peer universe”), each selected by the 15(c) service provider, and information prepared by the Adviser showing performance of the Class A Shares against a broad-based securities market index, in each case for the 1-, 3-, 5- and 10-year periods ended February 28, 2021 and (in the case of comparisons with the broad-based securities market index) for the period from inception. Based on their review, the directors concluded that the Fund’s investment performance was acceptable.
Advisory Fees and Other Expenses
The directors considered the advisory fee rate payable by the Fund to the Adviser and information prepared by the 15(c) service provider concerning advisory fee rates payable by other funds in the same category as the Fund. The directors recognized that it is difficult to make comparisons of advisory fees because there are variations in the services that are included in the fees paid by other funds. The directors compared the Fund’s contractual effective advisory fee rate with a peer group median and took into account the impact on the advisory fee rate of the administrative expense reimbursement paid to the Adviser in the latest fiscal year.
The directors also considered the Adviser’s fee schedule for other clients utilizing investment strategies similar to those of the Fund. For this purpose, they reviewed the relevant advisory fee information from the Adviser’s Form ADV and in a report from the Fund’s Senior Analyst and noted the differences between the Fund’s fee schedule, on the one hand, and the Adviser’s institutional fee schedule and the schedule of fees charged by the Adviser to any offshore funds and for services to any sub-advised funds utilizing investment strategies similar to those of the Fund, on the other. The directors noted that the Adviser may, in some cases, agree to fee rates with large institutional clients that are lower than those reviewed by the directors and that they had previously discussed with the Adviser its policies in respect of such arrangements. The directors also compared the advisory fee rate for the Fund with those for two other funds advised by the Adviser utilizing similar investment strategies.
The Adviser reviewed with the directors the significantly greater scope of the services it provides to the Fund relative to institutional, offshore fund and sub-advised fund clients. In this regard, the Adviser noted, among other things, that, compared to institutional and offshore or sub-advisory accounts, the Fund (i) demands considerably more portfolio management, research and trading resources due to significantly higher daily cash flows; (ii) has more tax and regulatory restrictions and compliance obligations; (iii) must prepare and file or distribute regulatory and other communications about fund operations; and (iv) must provide shareholder servicing to retail investors. The Adviser also reviewed the greater legal risks presented by the large and changing population of Fund shareholders who may assert claims against the Adviser in individual or class actions, and the greater entrepreneurial risk in offering new fund products, which require substantial investment to launch, may not succeed, and generally must be priced to compete with larger, more established funds resulting in lack of profitability to the Adviser until a new fund achieves scale. In light of the substantial differences in services rendered by the
31
| | |
| LARGE CAP GROWTH PORTFOLIO | | |
| CONTINUANCE DISCLOSURE | | |
| |
| (continued) | | AB Variable Products Series Fund |
Adviser to institutional, offshore fund and sub-advised fund clients as compared to the Fund, and the different risk profile, the directors considered these fee comparisons inapt and did not place significant weight on them in their deliberations.
In connection with their review of the Fund’s advisory fee, the directors also considered the total expense ratio of the Class A shares of the Fund in comparison to a peer group and a peer universe selected by the 15(c) service provider. The Class A expense ratio of the Fund was based on the Fund’s latest fiscal year. The directors noted that it was likely that the expense ratios of some of the other funds in the Fund’s category were lowered by waivers or reimbursements by those funds’ investment advisers, which in some cases might be voluntary or temporary. The directors view expense ratio information as relevant to their evaluation of the Adviser’s services because the Adviser is responsible for coordinating services provided to the Fund by others. Based on their review, the directors concluded that the Fund’s expense ratio was acceptable.
Economies of Scale
The directors noted that the advisory fee schedule for the Fund contains breakpoints that reduce the fee rates on assets above specified levels. The directors took into consideration prior presentations by an independent consultant on economies of scale in the mutual fund industry and for the AB Funds, and presentations from time to time by the Adviser concerning certain of its views on economies of scale. The directors also had requested and received from the Adviser certain updates on economies of scale in advance of the Meeting. The directors believe that economies of scale may be realized (if at all) by the Adviser across a variety of products and services, and not only in respect of a single fund. The directors noted that there is no established methodology for setting breakpoints that give effect to the fund-specific services provided by a fund’s adviser and to the economies of scale that an adviser may realize in its overall mutual fund business or those components of it which directly or indirectly affect a fund’s operations. The directors observed that in the mutual fund industry as a whole, as well as among funds similar to the Fund, there is no uniformity or pattern in the fees and asset levels at which breakpoints (if any) apply. The directors also noted that the advisory agreements for many funds do not have breakpoints at all. Having taken these factors into account, the directors concluded that the Fund’s shareholders would benefit from a sharing of economies of scale in the event the Fund’s net assets exceed a breakpoint in the future.
32
VPS-LCG-0151-1221
DEC 12.31.21
ANNUAL REPORT
AB VARIABLE PRODUCTS SERIES FUND, INC.
| + | | SMALL CAP GROWTH PORTFOLIO |
As of May 1, 2021, as permitted by regulations adopted by the Securities and Exchange Commission, you may not be receiving paper copies of the Portfolio’s shareholder reports from the insurance company that offers your contract unless you specifically requested paper copies from the insurance company or from your financial intermediary. Instead of delivering paper copies of the reports, the insurance company may choose to make the reports available on a website, and will notify you by mail each time a report is posted and provide you with a website link to access the report. Instructions for requesting paper copies will be provided by your insurance company.
You may elect to receive all future reports in paper free of charge from the insurance company. You can inform the insurance company or your financial intermediary that you wish to continue receiving paper copies of your shareholder reports by following the instructions provided by the insurance company or by contacting your financial intermediary. Your election to receive reports in paper will apply to all portfolio companies available under your contract with the insurance company.
Investment Products Offered
| | • | | Are Not Bank Guaranteed |
AllianceBernstein Investments, Inc. (ABI) is the distributor of the AB family of mutual funds. ABI is a member of FINRA and is an affiliate of AllianceBernstein L.P., the Adviser of the funds.
You may obtain a description of the Fund’s proxy voting policies and procedures, and information regarding how the Fund voted proxies relating to portfolio securities during the most recent 12-month period ended June 30, without charge. Simply visit AB’s website at www.abfunds.com or go to the Securities and Exchange Commission’s (the “Commission”) website at www.sec.gov, or call AB at (800) 227 4618.
The Fund files its complete schedule of portfolio holdings with the Commission for the first and third quarters of each fiscal year as an exhibit to its reports on Form N-PORT. The Fund’s Form N-PORT reports are available on the Commission’s website at www.sec.gov. The Fund’s Forms N-PORT may also be reviewed and copied at the Commission’s Public Reference Room in Washington, DC; information on the operation of the Public Reference Room may be obtained by calling (800) SEC 0330.
The [A/B] logo is a registered service mark of AllianceBernstein and AllianceBernstein® is a registered service mark used by permission of the owner, AllianceBernstein L.P.
| | |
| | |
| | |
| |
| SMALL CAP GROWTH PORTFOLIO | | AB Variable Products Series Fund |
LETTER TO INVESTORS
February 14, 2022
The following is an update of AB Variable Products Series Fund—Small Cap Growth Portfolio (the “Portfolio”) for the annual reporting period ended December 31, 2021.
INVESTMENT OBJECTIVES AND POLICIES
The Portfolio’s investment objective is long-term growth of capital. The Portfolio invests primarily in a diversified portfolio of equity securities with relatively smaller capitalizations as compared to the overall US market. Under normal circumstances, the Portfolio invests at least 80% of its net assets in equity securities of smaller companies. For these purposes, “smaller companies” are those that, at the time of investment, fall within the lowest 20% of the total US equity market capitalization (excluding, for purposes of this calculation, companies with market capitalizations of less than $10 million). Because the Portfolio’s definition of smaller companies is dynamic, the limits on market capitalization will change with the markets.
The Portfolio may invest in any company and industry and in any type of equity security with potential for capital appreciation. It invests in well-known and established companies and in new and less-seasoned companies. The Portfolio’s investment policies emphasize investments in companies that are demonstrating improving financial results and a favorable earnings outlook. The Portfolio may invest in foreign securities.
The Portfolio invests primarily in equity securities but may also invest in other types of securities, such as preferred stocks. The Portfolio invests, at times, in shares of exchange-traded funds (“ETFs”) in lieu of making direct investments in securities. ETFs may provide more efficient and economical exposure to the types of companies and geographic locations in which the Portfolio seeks to invest than direct investments. The Portfolio may also invest up to 20% of its total assets in rights or warrants.
The Portfolio may enter into derivatives transactions, such as options, futures contracts, forwards and swaps. The Portfolio may use options strategies involving the purchase and/or writing of various combinations of call and/or put options, including on individual securities and stock indices, futures contracts (including futures contracts on individual securities and stock indices) or shares of ETFs. These transactions may be used, for example, in an effort to earn extra income, to adjust exposure to individual securities or markets, or to protect all or a portion of the Portfolio’s portfolio from a decline in value, sometimes within certain ranges.
INVESTMENT RESULTS
The table on page 3 shows the Portfolio’s performance compared to its benchmark, the Russell 2000 Growth Index, for the one-, five- and 10-year periods ended December 31, 2021.
All share classes of the Portfolio outperformed the benchmark for the annual period. Security selection drove outperformance, relative to the benchmark, led by selection within the consumer-discretionary and industrials sectors. Security selection within health care and consumer staples detracted. Sector selection was also positive, as underweights to health care and communication services contributed to returns and offset losses from underweights to real estate and consumer staples.
The Portfolio did not utilize derivatives during the annual period.
MARKET REVIEW AND INVESTMENT STRATEGY
Global equities recorded double-digit returns and emerging markets lost ground during the annual period ended December 31, 2021. Global markets were supported by accommodative monetary policy and strong company earnings growth, while economic turbulence in China, geopolitical risks and inflation pressured emerging markets. Increased market volatility periodically sent risk assets lower, but investors continued to buy the dip. Toward the end of the period, global markets fell as the rapid spread of the coronavirus omicron variant triggered concern that new restrictions could derail the economic recovery. Encouraging developments in COVID-19 treatments and vaccines and a reluctance to reinstate shutdowns helped investors look past the potential impact of the omicron variant. Stock markets gave back gains, however, after the US Federal Reserve (the “Fed”) took a hawkish pivot and confirmed that it would accelerate the wind-down of its bond purchases and raise rates multiple times in 2022. After digesting the Fed’s comments, equity markets rose as investors appeared to adjust to the shift and remained focused on still generally supportive monetary policy. Growth outperformed value, in terms of style, and large-cap stocks outperformed their small-cap peers.
The Portfolio continues to be built from the bottom up, with an emphasis on companies that can deliver fundamental outperformance. The Portfolio remains overweight in secular growth companies that have unique drivers or company-specific initiatives to support their future earnings growth, regardless of the macro backdrop. At the end of the reporting period, technology reflected the Portfolio’s largest overweight, with health care the largest underweight.
1
| | |
| | |
| SMALL CAP GROWTH PORTFOLIO | | |
| |
| DISCLOSURES AND RISKS | | AB Variable Products Series Fund |
Benchmark Disclosure
The Russell 2000® Growth Index is unmanaged and does not reflect fees and expenses associated with the active management of a mutual fund portfolio. The Russell 2000 Growth Index represents the performance of small-cap growth companies within the US. An investor cannot invest directly in an index, and its results are not indicative of the performance for any specific investment, including the Portfolio.
A Word About Risk
Market Risk: The value of the Portfolio’s assets will fluctuate as the stock or bond market fluctuates. The value of its investments may decline, sometimes rapidly and unpredictably, simply because of economic changes or other events, including public health crises (including the occurrence of a contagious disease or illness), that affect large portions of the market. It includes the risk that a particular style of investing, such as the Portfolio’s growth approach, may underperform the market generally.
Capitalization Risk: Investments in small- and mid-capitalization companies may be more volatile than investments in large-capitalization companies. Investments in small- and mid-capitalization companies may have additional risks because these companies have limited product lines, markets or financial resources.
Foreign (Non-US) Risk: Investments in securities of non-US issuers may involve more risk than those of US issuers. These securities may fluctuate more widely in price and may be more difficult to trade due to adverse market, economic, political, regulatory or other factors.
Derivatives Risk: Derivatives may be difficult to price or unwind and leveraged so that small changes may produce disproportionate losses for the Portfolio. Derivatives, especially over-the-counter derivatives, are also subject to counterparty risk, which is the risk that the counterparty (the party on the other side of the transaction) on a derivative transaction will be unable or unwilling to honor its contractual obligations to the Portfolio.
Industry/Sector Risk: Investments in a particular sector, industry or group of related industries, such as the information-technology or health-care sector, may have more risk because market or economic factors affecting that sector or industry could have a significant effect on the value of the Portfolio’s investments.
Management Risk: The Portfolio is subject to management risk because it is an actively managed investment fund. The Adviser will apply its investment techniques and risk analyses in making investment decisions for the Portfolio, but there is no guarantee that its techniques will produce the intended results. Some of these techniques may incorporate, or rely upon, quantitative models, but there is no guarantee that these models will generate accurate forecasts, reduce risk or otherwise perform as expected.
These risks are fully discussed in the Variable Products prospectus. As with all investments, you may lose money by investing in the Portfolio.
An Important Note About Historical Performance
The investment return and principal value of an investment in the Portfolio will fluctuate, so that shares, when redeemed, may be worth more or less than their original cost. Performance shown in this report represents past performance and does not guarantee future results. Current performance may be lower or higher than the performance information shown. Please contact your financial advisor or insurance agent representative at your financial institution to obtain portfolio performance information current to the most recent month-end.
Investors should consider the investment objectives, risks, charges and expenses of the Portfolio carefully before investing. For additional copies of the Portfolio’s prospectus or summary prospectus, which contains this and other information, call your financial advisor or (800) 227 4618. Please read the prospectus and/or summary prospectus carefully before investing.
All fees and expenses related to the operation of the Portfolio have been deducted, but no adjustment has been made for insurance company separate account or annuity contract charges, which would reduce total return to a contract owner. Performance assumes reinvestment of distributions and does not account for taxes.
There are additional fees and expenses associated with all Variable Products. These fees can include mortality and expense risk charges, administrative charges, and other charges that can significantly reduce investment returns. Those fees and expenses are not reflected in this annual report. You should consult your Variable Products prospectus for a description of those fees and expenses and speak to your insurance agent or financial representative if you have any questions. You should read the prospectus before investing or sending money.
2
| | |
| | |
| SMALL CAP GROWTH PORTFOLIO | | |
| |
| HISTORICAL PERFORMANCE | | AB Variable Products Series Fund |
| | | | | | | | | | | | |
| | | | | | | | | | | | |
| THE PORTFOLIO VS. ITS BENCHMARK | | Net Asset Value Returns | |
| PERIODS ENDED DECEMBER 31, 2021 (unaudited) | | 1 Year | | | 5 Years1 | | | 10 Years1 | |
| | | |
| Small Cap Growth Portfolio Class A2 | | | 9.46% | | | | 25.03% | | | | 18.12% | |
| | | |
| Small Cap Growth Portfolio Class B2 | | | 9.20% | | | | 24.73% | | | | 17.82% | |
| | | |
| Russell 2000 Growth Index | | | 2.83% | | | | 14.53% | | | | 14.14% | |
1 Average annual returns. 2 Includes the impact of proceeds received and credited to the Portfolio resulting from class-action settlements, which enhanced the performance of all share classes of the Portfolio for the annual period ended December 31, 2021, by 0.03%. | |
| Please keep in mind that high, double-digit returns are highly unusual and cannot be sustained. Investors should also be aware that these returns were primarily achieved during favorable market conditions. | |
| | | | | | | | | | | | |
The Portfolio’s current prospectus fee table shows the Portfolio’s total annual operating expense ratios as 1.09% and 1.33% for Class A and Class B shares, respectively, gross of any fee waivers or expense reimbursements. Contractual fee waivers and/or expense reimbursements limit the Portfolio’s annual operating expense ratios (excluding expenses associated with acquired fund fees and expenses other than the advisory fees of any AB mutual funds in which the Portfolio may invest, interest expense, taxes, extraordinary expenses, and brokerage commissions and other transaction costs) to 0.90% and 1.15% for Class A and Class B shares, respectively. These waivers/reimbursements may not be terminated before May 1, 2022, and may be extended by the Adviser for additional one-year terms. Absent reimbursements or waivers, performance would have been lower. The Financial Highlights section of this report sets forth expense ratio data for the current reporting period; the expense ratios shown above may differ from the expense ratios in the Financial Highlights section since they are based on different time periods.
GROWTH OF A $10,000 INVESTMENT
12/31/2011 to 12/31/2021 (unaudited)
This chart illustrates the total value of an assumed $10,000 investment in Small Cap Growth Portfolio Class A shares (from 12/31/2011 to 12/31/2021) as compared to the performance of the Portfolio’s benchmark. The chart assumes the reinvestment of dividends and capital gains distributions.
See Disclosures, Risks and Note About Historical Performance on page 2.
3
| | |
| | |
| SMALL CAP GROWTH PORTFOLIO | | |
| |
| EXPENSE EXAMPLE (unaudited) | | AB Variable Products Series Fund |
As a shareholder of the Portfolio, you incur two types of costs: (1) transaction costs, including sales charges (loads) on purchase payments, contingent deferred sales charges on redemptions and (2) ongoing costs, including management fees; distribution (12b-1) fees; and other Portfolio expenses. This example is intended to help you understand your ongoing costs (in dollars) of investing in the Portfolio and to compare these costs with the ongoing costs of investing in other mutual funds.
The Example is based on an investment of $1,000 invested at the beginning of the period and held for the entire period as indicated below.
Actual Expenses
The table below provides information about actual account values and actual expenses. You may use the information in this line, together with the amount you invested, to estimate the expenses that you paid over the period. Simply divide your account value by $1,000 (for example, an $8,600 account value divided by $1,000 = 8.6), then multiply the result by the number in the first line under the heading entitled “Expenses Paid During Period” to estimate the expenses you paid on your account during this period. The estimate of expenses does not include fees or other expenses of any variable insurance product. If such expenses were included, the estimate of expenses you paid during the period would be higher and your ending account value would be lower.
Hypothetical Example for Comparison Purposes
The table below provides information about hypothetical account values and hypothetical expenses based on the Portfolio’s actual expense ratio and an assumed annual rate of return of 5% before expenses, which is not the Portfolio’s actual return. The hypothetical account values and expenses may not be used to estimate the actual ending account balance or expenses you paid for the period. You may use this information to compare the ongoing costs of investing in the Portfolio and other funds by comparing this 5% hypothetical example with the 5% hypothetical examples that appear in the shareholder reports of other funds. The estimate of expenses does not include fees or other expenses of any variable insurance product. If such expenses were included, the estimate of expenses you paid during the period would be higher and your ending account value would be lower.
Please note that the expenses shown in the table are meant to highlight your ongoing costs only and do not reflect any transactional costs, such as sales charges (loads), or contingent deferred sales charges on redemptions. Therefore, the second line of each classes’ table is useful in comparing ongoing costs only, and will not help you determine the relative total costs of owning different funds. In addition, if these transactional costs were included, your costs would have been higher.
| | | | | | | | | | | | | | | | |
| | | Beginning
Account Value
July 1, 2021 | | | Ending
Account Value
December 31, 2021 | | | Expenses Paid
During Period* | | | Annualized
Expense Ratio* | |
Class A | | | | | | | | | | | | | | | | |
Actual | | $ | 1,000 | | | $ | 1,012.20 | | | $ | 4.62 | | | | 0.91 | % |
Hypothetical (5% annual return before expenses) | | $ | 1,000 | | | $ | 1,020.62 | | | $ | 4.63 | | | | 0.91 | % |
| | | | | | | | | | | | | | | | |
Class B | | | | | | | | | | | | | | | | |
Actual | | $ | 1,000 | | | $ | 1,011.10 | | | $ | 5.88 | | | | 1.16 | % |
Hypothetical (5% annual return before expenses) | | $ | 1,000 | | | $ | 1,019.36 | | | $ | 5.90 | | | | 1.16 | % |
| * | | Expenses are equal to each classes’ annualized expense ratios, multiplied by the average account value over the period, multiplied by 184/365 (to reflect the one-half year period). |
4
| | |
| SMALL CAP GROWTH PORTFOLIO | | |
| TEN LARGEST HOLDINGS1 | | |
| |
| December 31, 2021 (unaudited) | | AB Variable Products Series Fund |
| | | | | | | | |
| COMPANY | | U.S. $ VALUE | | | PERCENT OF NET ASSETS | |
Lattice Semiconductor Corp. | | $ | 1,780,780 | | | | 2.1 | % |
Saia, Inc. | | | 1,560,449 | | | | 1.8 | |
Synaptics, Inc. | | | 1,509,795 | | | | 1.7 | |
Tetra Tech, Inc. | | | 1,504,428 | | | | 1.7 | |
Novanta, Inc. | | | 1,484,698 | | | | 1.7 | |
Silicon Laboratories, Inc. | | | 1,464,343 | | | | 1.7 | |
MACOM Technology Solutions Holdings, Inc. | | | 1,449,959 | | | | 1.7 | |
Simpson Manufacturing Co., Inc. | | | 1,447,719 | | | | 1.7 | |
First Financial Bankshares, Inc. | | | 1,440,297 | | | | 1.7 | |
Trupanion, Inc. | | | 1,420,511 | | | | 1.6 | |
| | | | | | | | | |
| | | $ | 15,062,979 | | | | 17.4 | % |
SECTOR BREAKDOWN2
December 31, 2021 (unaudited)
| | | | | | | | |
| SECTOR | | U.S. $ VALUE | | | PERCENT OF TOTAL INVESTMENTS | |
Information Technology | | $ | 23,877,335 | | | | 27.6 | % |
Health Care | | | 18,750,261 | | | | 21.7 | |
Industrials | | | 15,535,111 | | | | 18.0 | |
Consumer Discretionary | | | 13,973,110 | | | | 16.1 | |
Financials | | | 9,161,650 | | | | 10.6 | |
Materials | | | 1,798,377 | | | | 2.1 | |
Consumer Staples | | | 1,596,402 | | | | 1.8 | |
Energy | | | 1,287,737 | | | | 1.5 | |
Short-Term Investments | | | 540,482 | | | | 0.6 | |
| | | | | | | | | |
Total Investments | | $ | 86,520,465 | | | | 100.0 | % |
| 2 | | The Portfolio’s sector breakdown is expressed as a percentage of total investments and may vary over time. |
Please note: The sector classifications presented herein are based on the Global Industry Classification Standard (GICS) which was developed by Morgan Stanley Capital International and Standard & Poor’s. The components are divided into sector, industry group, and industry sub-indices as classified by the GICS for each of the market capitalization indices in the broad market. These sector classifications are broadly defined. The “Portfolio of Investments” section of the report reflects more specific industry information and is consistent with the investment restrictions discussed in the Portfolio’s prospectus.
5
| | |
| SMALL CAP GROWTH PORTFOLIO | | |
| PORTFOLIO OF INVESTMENTS | | |
| |
| December 31, 2021 | | AB Variable Products Series Fund |
| | | | | | | | |
Company | | Shares | | | U.S. $ Value | |
| | | | | | | |
COMMON STOCKS–99.6% | | | | | | | | |
| | | | | | | | |
INFORMATION TECHNOLOGY–27.6% | | | | | | | | |
ELECTRONIC EQUIPMENT, INSTRUMENTS & COMPONENTS–4.1% | | | | | | | | |
Allegro MicroSystems, Inc.(a) | | | 26,671 | | | $ | 964,957 | |
Littelfuse, Inc. | | | 3,500 | | | | 1,101,380 | |
Novanta, Inc.(a) | | | 8,420 | | | | 1,484,698 | |
| | | | | | | | |
| | | | | | | 3,551,035 | |
| | | | | | | | |
IT SERVICES–4.0% | | | | | | | | |
Amplitude, Inc.(a) | | | 10,214 | | | | 540,729 | |
BigCommerce Holdings, Inc.(a)(b) | | | 12,739 | | | | 450,579 | |
DigitaloOean Holdings, Inc.(a) | | | 8,790 | | | | 706,101 | |
Shift4 Payments, Inc.–Class A(a) | | | 12,053 | | | | 698,230 | |
Switch, Inc.–Class A | | | 38,680 | | | | 1,107,795 | |
| | | | | | | | |
| | | | | | | 3,503,434 | |
| | | | | | | | |
SEMICONDUCTORS & SEMICONDUCTOR EQUIPMENT–10.9% | | | | | | | | |
Ambarella, Inc.(a) | | | 6,660 | | | | 1,351,247 | |
Lattice Semiconductor Corp.(a) | | | 23,109 | | | | 1,780,780 | |
MACOM Technology Solutions Holdings, Inc.(a) | | | 18,518 | | | | 1,449,959 | |
Onto Innovation, Inc.(a) | | | 5,160 | | | | 522,347 | |
Semtech Corp.(a) | | | 14,760 | | | | 1,312,607 | |
Silicon Laboratories, Inc.(a) | | | 7,094 | | | | 1,464,343 | |
Synaptics, Inc.(a) | | | 5,215 | | | | 1,509,795 | |
| | | | | | | | |
| | | | | | | 9,391,078 | |
| | | | | | | | |
SOFTWARE–8.6% | | | | | | | | |
Anaplan, Inc.(a) | | | 12,669 | | | | 580,874 | |
Blackline, Inc.(a) | | | 12,030 | | | | 1,245,586 | |
Braze, Inc.(a) | | | 7,838 | | | | 604,780 | |
Enfusion, Inc.(a) | | | 20,781 | | | | 435,154 | |
Manhattan Associates, Inc.(a) | | | 7,998 | | | | 1,243,609 | |
Rapid7, Inc.(a) | | | 12,032 | | | | 1,416,046 | |
Riskified Ltd.(a) | | | 21,075 | | | | 165,650 | |
Smartsheet, Inc.–Class A(a) | | | 8,778 | | | | 679,856 | |
Varonis Systems, Inc.(a) | | | 21,735 | | | | 1,060,233 | |
| | | | | | | | |
| | | | | | | 7,431,788 | |
| | | | | | | | |
| | | | | | | 23,877,335 | |
| | | | | | | | |
HEALTH CARE–21.7% | | | | | | | | |
BIOTECHNOLOGY–12.1% | | | | | | | | |
ADC Therapeutics SA(a) | | | 13,690 | | | | 276,538 | |
Annexon, Inc.(a) | | | 17,935 | | | | 206,073 | |
Arrowhead Pharmaceuticals, Inc.(a) | | | 11,590 | | | | 768,417 | |
Ascendis Pharma A/S (Sponsored ADR)(a) | | | 3,247 | | | | 436,819 | |
Biohaven Pharmaceutical Holding Co., Ltd.(a) | | | 5,206 | | | | 717,439 | |
Bioxcel Therapeutics, Inc.(a) | | | 13,062 | | | | 265,550 | |
Blueprint Medicines Corp.(a) | | | 7,127 | | | | 763,373 | |
Coherus Biosciences, Inc.(a) | | | 26,661 | | | | 425,510 | |
Erasca, Inc.(a) | | | 15,536 | | | | 242,051 | |
Insmed, Inc.(a) | | | 19,676 | | | | 535,974 | |
Instil Bio, Inc.(a)(b) | | | 20,669 | | | | 353,647 | |
Intellia Therapeutics, Inc.(a) | | | 7,210 | | | | 852,510 | |
iTeos Therapeutics, Inc.(a) | | | 11,439 | | | | 532,600 | |
Legend Biotech Corp. (ADR)(a) | | | 9,412 | | | | 438,693 | |
Praxis Precision Medicines, Inc.(a) | | | 16,540 | | | | 325,838 | |
Recursion Pharmaceuticals, Inc.(a)(b) | | | 23,470 | | | | 402,041 | |
Relay Therapeutics, Inc.(a) | | | 14,575 | | | | 447,598 | |
Turning Point Therapeutics, Inc.–Class I(a) | | | 8,277 | | | | 394,813 | |
Twist Bioscience Corp.(a) | | | 3,530 | | | | 273,187 | |
Ultragenyx Pharmaceutical, Inc.(a) | | | 5,083 | | | | 427,429 | |
Vir Biotechnology, Inc.(a) | | | 12,510 | | | | 523,794 | |
Y-mAbs Therapeutics, Inc.(a) | | | 16,595 | | | | 269,005 | |
Zentalis Pharmaceuticals, Inc.(a) | | | 7,236 | | | | 608,258 | |
| | | | | | | | |
| | | | | | | 10,487,157 | |
| | | | | | | | |
HEALTH CARE EQUIPMENT & SUPPLIES–4.8% | | | | | | | | |
AtriCure, Inc.(a) | | | 16,450 | | | | 1,143,769 | |
Figs, Inc.(a) | | | 25,136 | | | | 692,748 | |
Outset Medical, Inc.(a) | | | 22,761 | | | | 1,049,055 | |
Sight Sciences, Inc.(a) | | | 12,766 | | | | 224,299 | |
Silk Road Medical, Inc.(a) | | | 14,102 | | | | 600,886 | |
Treace Medical Concepts, Inc.(a) | | | 21,746 | | | | 405,345 | |
| | | | | | | | |
| | | | | | | 4,116,102 | |
| | | | | | | | |
HEALTH CARE PROVIDERS & SERVICES–2.4% | | | | | | | | |
Certara, Inc.(a) | | | 28,308 | | | | 804,513 | |
Inari Medical, Inc.(a) | | | 13,213 | | | | 1,205,951 | |
LianBio (ADR)(a) | | | 14,580 | | | | 89,813 | |
| | | | | | | | |
| | | | | | | 2,100,277 | |
| | | | | | | | |
HEALTH CARE TECHNOLOGY–1.2% | | | | | | | | |
Health Catalyst, Inc.(a) | | | 26,592 | | | | 1,053,575 | |
| | | | | | | | |
LIFE SCIENCES TOOLS & SERVICES–1.2% | | | | | | | | |
Repligen Corp.(a) | | | 3,750 | | | | 993,150 | |
| | | | | | | | |
| | | | | | | 18,750,261 | |
| | | | | | | | |
INDUSTRIALS–18.0% | | | | | | | | |
AEROSPACE & DEFENSE–1.1% | | | | | | | | |
Axon Enterprise, Inc.(a) | | | 5,910 | | | | 927,870 | |
| | | | | | | | |
BUILDING PRODUCTS–2.9% | | | | | | | | |
AZEK Co., Inc. (The)(a) | | | 23,219 | | | | 1,073,646 | |
Simpson Manufacturing Co., Inc. | | | 10,410 | | | | 1,447,719 | |
| | | | | | | | |
| | | | | | | 2,521,365 | |
| | | | | | | | |
COMMERCIAL SERVICES & SUPPLIES–1.7% | | | | | | | | |
Tetra Tech, Inc. | | | 8,860 | | | | 1,504,428 | |
| | | | | | | | |
CONSTRUCTION & ENGINEERING–1.2% | | | | | | | | |
Hayward Holdings, Inc.(a) | | | 40,948 | | | | 1,074,066 | |
| | | | | | | | |
MACHINERY–6.9% | | | | | | | | |
Chart Industries, Inc.(a) | | | 6,878 | | | | 1,096,972 | |
Hydrofarm Holdings Group, Inc.(a) | | | 16,023 | | | | 453,291 | |
6
| | |
| |
| | | AB Variable Products Series Fund |
| | | | | | | | |
Company | | Shares | | | U.S. $ Value | |
| | | | | | | |
ITT, Inc. | | | 10,884 | | | $ | 1,112,236 | |
John Bean Technologies Corp. | | | 8,478 | | | | 1,301,882 | |
Kornit Digital Ltd.(a) | | | 5,529 | | | | 841,790 | |
Middleby Corp. (The)(a) | | | 5,820 | | | | 1,145,143 | |
| | | | | | | | |
| | | | | | | 5,951,314 | |
| | | | | | | | |
PROFESSIONAL SERVICES–1.1% | | | | | | | | |
Insperity, Inc. | | | 7,690 | | | | 908,266 | |
| | | | | | | | |
ROAD & RAIL–1.8% | | | | | | | | |
Saia, Inc.(a) | | | 4,630 | | | | 1,560,449 | |
| | | | | | | | |
TRADING COMPANIES & DISTRIBUTORS–1.3% | | | | | | | | |
SiteOne Landscape Supply, Inc.(a) | | | 4,488 | | | | 1,087,353 | |
| | | | | | | | |
| | | | | | | 15,535,111 | |
| | | | | | | | |
CONSUMER DISCRETIONARY–16.2% | | | | | | | | |
AUTO COMPONENTS–1.6% | | | | | | | | |
Fox Factory Holding Corp.(a) | | | 8,251 | | | | 1,403,495 | |
| | | | | | | | |
HOTELS, RESTAURANTS & LEISURE–5.2% | | | | | | | | |
Hilton Grand Vacations, Inc.(a) | | | 25,390 | | | | 1,323,073 | |
Life Time Group Holdings, Inc.(a) | | | 41,537 | | | | 714,852 | |
Planet Fitness, Inc.(a) | | | 11,554 | | | | 1,046,561 | |
Wingstop, Inc. | | | 7,846 | | | | 1,355,789 | |
| | | | | | | | |
| | | | | | | 4,440,275 | |
| | | | | | | | |
HOUSEHOLD DURABLES–2.5% | | | | | | | | |
Lovesac Co. (The)(a) | | | 13,012 | | | | 862,175 | |
Skyline Champion Corp.(a) | | | 16,730 | | | | 1,321,336 | |
| | | | | | | | |
| | | | | | | 2,183,511 | |
| | | | | | | | |
MULTILINE RETAIL–1.4% | | | | | | | | |
Driven Brands Holdings, Inc.(a) | | | 35,992 | | | | 1,210,051 | |
| | | | | | | | |
SPECIALTY RETAIL–5.5% | | | | | | | | |
Five Below, Inc.(a) | | | 4,792 | | | | 991,417 | |
Floor & Decor Holdings, Inc.–Class A(a) | | | 8,030 | | | | 1,043,980 | |
Lithia Motors, Inc.–Class A | | | 2,938 | | | | 872,439 | |
National Vision Holdings, Inc.(a) | | | 22,130 | | | | 1,062,019 | |
Sleep Number Corp.(a) | | | 9,999 | | | | 765,923 | |
| | | | | | | | |
| | | | | | | 4,735,778 | |
| | | | | | | | |
| | | | | | | 13,973,110 | |
| | | | | | | | |
FINANCIALS–10.6% | | | | | | | | |
BANKS–3.1% | | | | | | | | |
First Financial Bankshares, Inc. | | | 28,330 | | | | 1,440,297 | |
Live Oak Bancshares, Inc. | | | 14,010 | | | | 1,222,933 | |
| | | | | | | | |
| | | | | | | 2,663,230 | |
| | | | | | | | |
CAPITAL MARKETS–4.1% | | | | | | | | |
Houlihan Lokey, Inc. | | | 11,170 | | | | 1,156,318 | |
P10, Inc.(a) | | | 24,143 | | | | 337,519 | |
StepStone Group, Inc. | | | 22,770 | | | | 946,549 | |
Stifel Financial Corp. | | | 15,925 | | | | 1,121,439 | |
| | | | | | | | |
| | | | | | | 3,561,825 | |
| | | | | | | | |
CONSUMER FINANCE–0.5% | | | | | | | | |
Fisker, Inc.(a) | | | 29,590 | | | | 465,451 | |
| | | | | | | | |
INSURANCE–2.9% | | | | | | | | |
Ryan Specialty Group Holdings, Inc.(a) | | | 26,038 | | | | 1,050,633 | |
Trupanion, Inc.(a) | | | 10,759 | | | | 1,420,511 | |
| | | | | | | | |
| | | | | | | 2,471,144 | |
| | | | | | | | |
| | | | | | | 9,161,650 | |
| | | | | | | | |
MATERIALS–2.1% | | | | | | | | |
CHEMICALS–1.0% | | | | | | | | |
Element Solutions, Inc. | | | 33,840 | | | | 821,635 | |
| | | | | | | | |
CONTAINERS & PACKAGING–1.1% | | | | | | | | |
Ranpak Holdings Corp.(a) | | | 25,991 | | | | 976,742 | |
| | | | | | | | |
| | | | | | | 1,798,377 | |
| | | | | | | | |
CONSUMER STAPLES–1.9% | | | | | | | | |
FOOD & STAPLES RETAILING–1.0% | | | | | | | | |
Chefs’ Warehouse, Inc. (The)(a) | | | 24,762 | | | | 824,574 | |
| | | | | | | | |
FOOD PRODUCTS–0.9% | | | | | | | | |
Freshpet, Inc.(a) | | | 4,371 | | | | 416,425 | |
Vital Farms, Inc.(a) | | | 19,679 | | | | 355,403 | |
| | | | | | | | |
| | | | | | | 771,828 | |
| | | | | | | | |
| | | | | | | 1,596,402 | |
| | | | | | | | |
ENERGY–1.5% | | | | | | | | |
ENERGY EQUIPMENT & SERVICES–0.5% | | | | | | | | |
ChampionX Corp.(a) | | | 19,180 | | | | 387,628 | |
| | | | | | | | |
OIL, GAS & CONSUMABLE FUELS–1.0% | | | | | | | | |
Matador Resources Co. | | | 24,380 | | | | 900,109 | |
| | | | | | | | |
| | | | | | | 1,287,737 | |
| | | | | | | | |
Total Common Stocks
(cost $61,247,409) | | | | | | | 85,979,983 | |
| | | | | | | | |
SHORT-TERM INVESTMENTS–0.6% | | | | | | | | |
INVESTMENT COMPANIES–0.6% | | | | | | | | |
AB Fixed Income Shares, Inc.–Government Money Market Portfolio–Class AB, 0.01%(c)(d)(e)
(cost $540,482) | | | 540,482 | | | | 540,482 | |
| | | | | | | | |
TOTAL INVESTMENTS–100.2%
(cost $61,787,891) | | | | | | | 86,520,465 | |
Other assets less liabilities–(0.2)% | | | | | | | (146,533 | ) |
| | | | | | | | |
NET ASSETS–100.0% | | | | | | $ | 86,373,932 | |
| | | | | | | | |
| (a) | | Non-income producing security. |
| (b) | | Represents entire or partial securities out on loan. See Note E for securities lending information. |
| (c) | | Affiliated investments. |
| (d) | | The rate shown represents the 7-day yield as of period end. |
| (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, or call AB at (800) 227-4618. |
Glossary:
ADR—American Depositary Receipt
See notes to financial statements.
7
| | |
| SMALL CAP GROWTH PORTFOLIO | | |
| STATEMENT OF ASSETS & LIABILITIES | | |
| |
| December 31, 2021 | | AB Variable Products Series Fund |
| | | | |
ASSETS | | | | |
Investments in securities, at value | | | | |
Unaffiliated issuers (cost $61,247,409) | | $ | 85,979,983 | (a) |
Affiliated issuers (cost $540,482) | | | 540,482 | |
Receivable for investment securities sold | | | 228,581 | |
Receivable for capital stock sold | | | 48,504 | |
Unaffiliated dividends receivable | | | 4,559 | |
Affiliated dividends receivable | | | 5 | |
| | | | |
Total assets | | | 86,802,114 | |
| | | | |
LIABILITIES | | | | |
Payable for investment securities purchased | | | 182,396 | |
Custody and accounting fees payable | | | 87,708 | |
Advisory fee payable | | | 48,799 | |
Audit and tax fee payable | | | 31,929 | |
Payable for capital stock redeemed | | | 24,742 | |
Administrative fee payable | | | 22,472 | |
Distribution fee payable | | | 11,323 | |
Transfer Agent fee payable | | | 146 | |
Accrued expenses | | | 18,667 | |
| | | | |
Total liabilities | | | 428,182 | |
| | | | |
NET ASSETS | | $ | 86,373,932 | |
| | | | |
COMPOSITION OF NET ASSETS | | | | |
Capital stock, at par | | $ | 3,819 | |
Additional paid-in capital | | | 36,981,185 | |
Distributable earnings | | | 49,388,928 | |
| | | | |
NET ASSETS | | $ | 86,373,932 | |
| | | | |
Net Asset Value Per Share—1 billion shares of capital stock authorized, $.001 par value
| | | | | | | | | | | | |
| Class | | Net Assets | | | Shares Outstanding | | | Net Asset Value | |
| | | |
| A | | $ | 32,294,590 | | | | 1,285,170 | | | $ | 25.13 | |
| | | |
| B | | $ | 54,079,342 | | | | 2,533,368 | | | $ | 21.35 | |
| (a) | | Includes securities on loan with a value of $1,050,043 (see Note E). |
See notes to financial statements.
8
| | |
| SMALL CAP GROWTH PORTFOLIO | | |
| STATEMENT OF OPERATIONS | | |
| |
| Year Ended December 31, 2021 | | AB Variable Products Series Fund |
| | | | |
INVESTMENT INCOME | | | | |
Dividends | | | | |
Unaffiliated issuers | | $ | 193,838 | |
Affiliated issuers | | | 183 | |
Securities lending income | | | 11,439 | |
| | | | |
| | | 205,460 | |
| | | | |
EXPENSES | | | | |
Advisory fee (see Note B) | | | 788,098 | |
Distribution fee—Class B | | | 177,120 | |
Transfer agency—Class A | | | 1,662 | |
Transfer agency—Class B | | | 3,351 | |
Custody and accounting | | | 100,142 | |
Administrative | | | 87,443 | |
Audit and tax | | | 42,667 | |
Printing | | | 37,113 | |
Legal | | | 27,222 | |
Directors’ fees | | | 19,850 | |
Miscellaneous | | | 7,349 | |
| | | | |
Total expenses before bank overdraft expense | | | 1,292,017 | |
Bank overdraft expense | | | 6,540 | |
| | | | |
Total expenses | | | 1,298,557 | |
Less: expenses waived and reimbursed by the Adviser (see Notes B & E) | | | (170,087 | ) |
| | | | |
Net expenses | | | 1,128,470 | |
| | | | |
Net investment loss | | | (923,010 | ) |
| | | | |
REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENT TRANSACTIONS | | | | |
Net realized gain on investment transactions | | | 27,157,393 | |
Net change in unrealized appreciation/depreciation of investments | | | (16,424,739 | ) |
| | | | |
Net gain on investment transactions | | | 10,732,654 | |
| | | | |
NET INCREASE IN NET ASSETS FROM OPERATIONS | | $ | 9,809,644 | |
| | | | |
See notes to financial statements.
9
| | |
| | |
| SMALL CAP GROWTH PORTFOLIO | | |
| |
| STATEMENT OF CHANGES IN NET ASSETS | | AB Variable Products Series Fund |
| | | | | | | | |
| | | Year Ended
December 31,
2021 | | | Year Ended
December 31,
2020 | |
INCREASE (DECREASE) IN NET ASSETS FROM OPERATIONS | | | | | | | | |
Net investment loss | | $ | (923,010 | ) | | $ | (673,231 | ) |
Net realized gain on investment transactions | | | 27,157,393 | | | | 20,283,029 | |
Net change in unrealized appreciation/depreciation of investments | | | (16,424,739 | ) | | | 23,109,959 | |
| | | | | | | | |
Net increase in net assets from operations | | | 9,809,644 | | | | 42,719,757 | |
Distributions to Shareholders | | | | | | | | |
Class A | | | (6,896,383 | ) | | | (1,828,600 | ) |
Class B | | | (12,934,512 | ) | | | (5,259,631 | ) |
CAPITAL STOCK TRANSACTIONS | | | | | | | | |
Net increase (decrease) | | | (22,734,728 | ) | | | 5,353,821 | |
| | | | | | | | |
Total increase (decrease) | | | (32,755,979 | ) | | | 40,985,347 | |
NET ASSETS | | | | | | | | |
Beginning of period | | | 119,129,911 | | | | 78,144,564 | |
| | | | | | | | |
End of period | | $ | 86,373,932 | | | $ | 119,129,911 | |
| | | | | | | | |
See notes to financial statements.
10
| | |
| SMALL CAP GROWTH PORTFOLIO | | |
| NOTES TO FINANCIAL STATEMENTS | | |
| |
| December 31, 2021 | | AB Variable Products Series Fund |
NOTE A: Significant Accounting Policies
The AB Small Cap Growth Portfolio (the “Portfolio”) is a series of AB Variable Products Series Fund, Inc. (the “Fund”). The Portfolio’s investment objective is long-term growth of capital. The Portfolio is diversified as defined under the Investment Company Act of 1940. The Fund was incorporated in the State of Maryland as an open-end series investment company. The Fund offers 11 separately managed pools of assets which have differing investment objectives and policies. The Portfolio offers Class A and Class B shares. Both classes of shares have identical voting, dividend, liquidating and other rights, except that Class B shares bear a distribution expense and have exclusive voting rights with respect to the Class B distribution plan.
The Portfolio offers and sells its shares only to separate accounts of certain life insurance companies for the purpose of funding variable annuity contracts and variable life insurance policies. Sales are made without a sales charge at the Portfolio’s net asset value per share.
The Portfolio may (i) make additional exceptions that, in the Adviser’s judgment, do not adversely affect the Adviser’s ability to manage the Portfolio; (ii) reject any investment or refuse any exception, including those detailed above, that the Adviser believes will adversely affect its ability to manage the Portfolio; and (iii) close and/or reopen the Portfolio to new or existing Contractholders at any time.
The financial statements have been prepared in conformity with U.S. generally accepted accounting principles (“U.S. GAAP”), which require management to make certain estimates and assumptions that affect the reported amounts of assets and liabilities in the financial statements and amounts of income and expenses during the reporting period. Actual results could differ from those estimates. The Portfolio is an investment company under U.S. GAAP and follows the accounting and reporting guidance applicable to investment companies. The following is a summary of significant accounting policies followed by the Portfolio.
1. Security Valuation
Portfolio securities are valued at their current market value determined on the basis of market quotations or, if market quotations are not readily available or are deemed unreliable, at “fair value” as determined in accordance with procedures established by and under the general supervision of the Fund’s Board of Directors (the “Board”).
In general, the market values of securities which are readily available and deemed reliable are determined as follows: securities listed on a national securities exchange (other than securities listed on the NASDAQ Stock Market, Inc. (“NASDAQ”)) or on a foreign securities exchange are valued at the last sale price at the close of the exchange or foreign securities exchange. If there has been no sale on such day, the securities are valued at the last traded price from the previous day. Securities listed on more than one exchange are valued by reference to the principal exchange on which the securities are traded; securities listed only on NASDAQ are valued in accordance with the NASDAQ Official Closing Price; listed or over the counter (“OTC”) market put or call options are valued at the mid level between the current bid and ask prices. If either a current bid or current ask price is unavailable, AllianceBernstein L.P. (the “Adviser”) will have discretion to determine the best valuation (e.g., last trade price in the case of listed options); open futures are valued using the closing settlement price or, in the absence of such a price, the most recent quoted bid price. If there are no quotations available for the day of valuation, the last available closing settlement price is used; U.S. Government securities and any other debt instruments having 60 days or less remaining until maturity are generally valued at market by an independent pricing vendor, if a market price is available. If a market price is not available, the securities are valued at amortized cost. This methodology is commonly used for short term securities that have an original maturity of 60 days or less, as well as short term securities that had an original term to maturity that exceeded 60 days. In instances when amortized cost is utilized, the Valuation Committee (the “Committee”) must reasonably conclude that the utilization of amortized cost is approximately the same as the fair value of the security. Factors the Committee will consider include, but are not limited to, an impairment of the creditworthiness of the issuer or material changes in interest rates. Fixed-income securities, including mortgage-backed and asset-backed securities, may be valued on the basis of prices provided by a pricing service or at a price obtained from one or more of the major broker-dealers. In cases where broker-dealer quotes are obtained, the Adviser may establish procedures whereby changes in market yields or spreads are used to adjust, on a daily basis, a recently obtained quoted price on a security. Swaps and other derivatives are valued daily, primarily using independent pricing services, independent pricing models using market inputs, as well as third party broker-dealers or counterparties. Open-end mutual funds are valued at the closing net asset value per share, while exchange traded funds are valued at the closing market price per share.
11
| | |
| SMALL CAP GROWTH PORTFOLIO | | |
| NOTES TO FINANCIAL STATEMENTS | | |
| |
| (continued) | | AB Variable Products Series Fund |
Securities for which market quotations are not readily available (including restricted securities) or are deemed unreliable are valued at fair value as deemed appropriate by the Adviser. Factors considered in making this determination may include, but are not limited to, information obtained by contacting the issuer, analysts, analysis of the issuer’s financial statements or other available documents. In addition, the Portfolio may use fair value pricing for securities primarily traded in non-U.S. markets because most foreign markets close well before the Portfolio values its securities at 4:00 p.m., Eastern Time. The earlier close of these foreign markets gives rise to the possibility that significant events, including broad market moves, may have occurred in the interim and may materially affect the value of those securities. To account for this, the Portfolio generally values many of its foreign equity securities using fair value prices based on third party vendor modeling tools to the extent available.
2. Fair Value Measurements
In accordance with U.S. GAAP regarding fair value measurements, fair value is defined as the price that the Portfolio 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 as described in Note A.1 above). 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 Portfolio. Unobservable inputs reflect the Portfolio’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) |
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.
The following table summarizes the valuation of the Portfolio’s investments by the above fair value hierarchy levels as of December 31, 2021:
| | | | | | | | | | | | | | | | |
| | | Level 1 | | | Level 2 | | | Level 3 | | | Total | |
Investments in Securities: | | | | | | | | | | | | | | | | |
Assets: | |
Common Stocks(a) | | $ | 85,979,983 | | | $ | –0 | – | | $ | –0 | – | | $ | 85,979,983 | |
Short-Term Investments | | | 540,482 | | | | –0 | – | | | –0 | – | | | 540,482 | |
| | | | | | | | | | | | | | | | |
Total Investments in Securities | | | 86,520,465 | | | | –0 | – | | | –0 | – | | | 86,520,465 | |
Other Financial Instruments(b) | | | –0 | – | | | –0 | – | | | –0 | – | | | –0 | – |
| | | | | | | | | | | | | | | | |
Total | | $ | 86,520,465 | | | $ | –0 | – | | $ | –0 | – | | $ | 86,520,465 | |
| | | | | | | | | | | | | | | | |
| (a) | | See Portfolio of Investments for sector classifications. |
| (b) | | 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. |
12
| | |
| |
| | | AB Variable Products Series Fund |
3. Currency Translation
Assets and liabilities denominated in foreign currencies and commitments under forward currency exchange contracts are translated into U.S. dollars at the mean of the quoted bid and ask prices of such currencies against the U.S. dollar. Purchases and sales of portfolio securities are translated into U.S. dollars at the rates of exchange prevailing when such securities were acquired or sold. Income and expenses are translated into U.S. dollars at rates of exchange prevailing when accrued.
Net realized gain or loss on foreign currency transactions represents foreign exchange gains and losses from sales and maturities of foreign fixed income investments, holding of foreign currencies, currency gains or losses realized between the trade and settlement dates on foreign investment transactions, and the difference between the amounts of dividends, interest and foreign withholding taxes recorded on the Portfolio’s books and the U.S. dollar equivalent amounts actually received or paid. Net unrealized currency gains and losses from valuing foreign currency denominated assets and liabilities at period end exchange rates are reflected as a component of net unrealized appreciation or depreciation of foreign currency denominated assets and liabilities.
4. Taxes
It is the Portfolio’s policy to meet the requirements of the Internal Revenue Code applicable to regulated investment companies and to distribute all of its investment company taxable income and net realized gains, if any, to shareholders. Therefore, no provisions for federal income or excise taxes are required. The Portfolio may be subject to taxes imposed by countries in which it invests. Such taxes are generally based on income and/or capital gains earned or repatriated. Taxes are accrued and applied to net investment income, net realized gains and net unrealized appreciation/depreciation as such income and/or gains are earned.
In accordance with U.S. GAAP requirements regarding accounting for uncertainties in income taxes, management has analyzed the Portfolio’s tax positions taken or expected to be taken on federal and state income tax returns for all open tax years (the current and the prior three tax years) and has concluded that no provision for income tax is required in the Portfolio’s financial statements.
5. Investment Income and Investment Transactions
Dividend income is recorded on the ex-dividend date or as soon as the Portfolio is informed of the dividend. Interest income is accrued daily. Investment transactions are accounted for on the date the securities are purchased or sold. Investment gains or losses are determined on the identified cost basis. The Portfolio amortizes premiums and accretes discounts as adjustments to interest income. The Portfolio accounts for distributions received from REIT investments or from regulated investment companies as dividend income, realized gain, or return of capital based on information provided by the REIT or the investment company.
6. Class Allocations
All income earned and expenses incurred by the Portfolio are borne on a pro-rata basis by each outstanding class of shares, based on the proportionate interest in the Portfolio represented by the net assets of such class, except for class specific expenses which are allocated to the respective class. Expenses of the Fund are charged proportionately to each portfolio or based on other appropriate methods. Realized and unrealized gains and losses are allocated among the various share classes based on respective net assets.
7. Dividends and Distributions
Dividends and distributions to shareholders, if any, are recorded on the ex-dividend date. Income dividends and capital gains distributions are determined in accordance with federal tax regulations and may differ from those determined in accordance with U.S. GAAP. To the extent these differences are permanent, such amounts are reclassified within the capital accounts based on their federal tax basis treatment; temporary differences do not require such reclassification.
NOTE B: Advisory Fee and Other Transactions with Affiliates
Under the terms of the investment advisory agreement, the Portfolio pays the Adviser an advisory fee at an annual rate of .75% of the first $2.5 billion, .65% of the next $2.5 billion and .60% in excess of $5 billion, of the Portfolio’s average daily net assets. The fee is accrued daily and paid monthly. The Adviser has agreed to waive its fees and bear certain expenses to the extent necessary to limit total operating expenses (excluding expenses associated with acquired fund fees and expenses other than the advisory fees of any AB mutual funds in which the Portfolio may invest, interest expense, taxes, extraordinary expenses, and brokerage commissions and other transaction costs) on an annual basis (the “Expense Caps”) to .90% and 1.15% of daily average net assets for Class A and Class B shares, respectively. For the year ended December 31, 2021, such
13
| | |
| SMALL CAP GROWTH PORTFOLIO | | |
| NOTES TO FINANCIAL STATEMENTS | | |
| |
| (continued) | | AB Variable Products Series Fund |
reimbursements/waivers amounted to $169,178. This fee waiver and/or expense reimbursement agreement extends through May 1, 2022 and then may be extended by the Adviser for additional one-year terms.
Pursuant to the investment advisory agreement, the Portfolio may reimburse the Adviser for certain legal and accounting services provided to the Portfolio by the Adviser. For the year ended December 31, 2021, the reimbursement for such services amounted to $87,443.
The Portfolio compensates AllianceBernstein Investor Services, Inc. (“ABIS”), a wholly-owned subsidiary of the Adviser, under a Transfer Agency Agreement for providing personnel and facilities to perform transfer agency services for the Portfolio. Such compensation retained by ABIS amounted to $1,636 for the year ended December 31, 2021.
The Portfolio may invest in AB Government Money Market Portfolio (the “Government Money Market Portfolio”) which has a contractual annual advisory fee rate of .20% of the portfolio’s average daily net assets and bears its own expenses. The Adviser has contractually agreed to waive .10% of the advisory fee of Government Money Market Portfolio (resulting in a net advisory fee of .10%) until August 31, 2022. In connection with the investment by the Portfolio in Government Money Market Portfolio, the Adviser has contractually agreed to waive its advisory fee from the Portfolio in an amount equal to the Portfolio’s pro rata share of the effective advisory fee of Government Money Market Portfolio, as borne indirectly by the Portfolio as an acquired fund fee and expense. For the year ended December 31, 2021, such waiver amounted to $893.
A summary of the Portfolio’s transactions in AB mutual funds for the year ended December 31, 2021 is as follows:
| | | | | | | | | | | | | | | | | | | | |
Portfolio | | Market Value
12/31/20
(000) | | | Purchases
at Cost
(000) | | | Sales
Proceeds
(000) | | | Market Value
12/31/21
(000) | | | Dividend
Income
(000) | |
Government Money Market Portfolio | | $ | 2,072 | | | $ | 33,541 | | | $ | 35,073 | | | $ | 540 | | | $ | 0 | * |
Government Money Market Portfolio** | | | 1,351 | | | | 13,700 | | | | 15,051 | | | | –0 | – | | | 0 | * |
| | | | | | | | | | | | | | | | | | | | |
Total | | | | | | | | | | | | | | $ | 540 | | | $ | 0 | * |
| | | | | | | | | | | | | | | | | | | | |
| * | | Amount is less than $500. |
| ** | | Investments of cash collateral for securities lending transactions (see Note E). |
NOTE C: Distribution Plan
The Portfolio has adopted a Distribution Plan (the “Plan”) for Class B shares pursuant to Rule 12b-1 under the Investment Company Act of 1940. Under the Plan, the Portfolio pays distribution and servicing fees to AllianceBernstein Investments, Inc. (the “Distributor”), a wholly-owned subsidiary of the Adviser, at an annual rate of up to .50% of the Portfolio’s average daily net assets attributable to Class B shares. The fees are accrued daily and paid monthly. The Board currently limits payments under the Plan to .25% of the Portfolio’s average daily net assets attributable to Class B shares. The Plan provides that the Distributor will use such payments in their entirety for distribution assistance and promotional activities.
The Portfolio is not obligated under the Plan to pay any distribution and servicing fees in excess of the amounts set forth above. The purpose of the payments to the Distributor under the Plan is to compensate the Distributor for its distribution services with respect to the sale of the Portfolio’s Class B shares. Since the Distributor’s compensation is not directly tied to its expenses, the amount of compensation received by it under the Plan during any year may be more or less than its actual expenses. For this reason, the Plan is characterized by the staff of the Securities and Exchange Commission as being of the “compensation” variety.
In the event that the Plan is terminated or not continued, no distribution or servicing fees (other than current amounts accrued but not yet paid) would be owed by the Portfolio to the Distributor.
The Plan also provides that the Adviser may use its own resources to finance the distribution of the Portfolio’s shares.
NOTE D: Investment Transactions
Purchases and sales of investment securities (excluding short-term investments) for the year ended December 31, 2021 were as follows:
| | | | | | | | |
| | | Purchases | | | Sales | |
Investment securities (excluding U.S. government securities) | | $ | 69,368,475 | | | $ | 111,814,389 | |
U.S. government securities | | | –0 | – | | | –0 | – |
14
| | |
| |
| | | AB Variable Products Series Fund |
The cost of investments for federal income tax purposes, gross unrealized appreciation and unrealized depreciation are as follows:
| | | | |
Cost | | $ | 63,021,473 | |
| | | | |
Gross unrealized appreciation | | $ | 27,443,022 | |
Gross unrealized depreciation | | | (3,944,030 | ) |
| | | | |
Net unrealized appreciation | | $ | 23,498,992 | |
| | | | |
1. Derivative Financial Instruments
The Portfolio may use derivatives in an effort to earn income and enhance returns, to replace more traditional direct investments, to obtain exposure to otherwise inaccessible markets (collectively, “investment purposes”), or to hedge or adjust the risk profile of its portfolio.
The Portfolio did not engage in derivatives transactions for the year ended December 31, 2021.
2. Currency Transactions
The Portfolio may invest in non-U.S. Dollar-denominated securities on a currency hedged or unhedged basis. The Portfolio may seek investment opportunities by taking long or short positions in currencies through the use of currency-related derivatives, including forward currency exchange contracts, futures and options on futures, swaps, and other options. The Portfolio may enter into transactions for investment opportunities when it anticipates that a foreign currency will appreciate or depreciate in value but securities denominated in that currency are not held by the Portfolio and do not present attractive investment opportunities. Such transactions may also be used when the Adviser believes that it may be more efficient than a direct investment in a foreign currency-denominated security. The Portfolio may also conduct currency exchange contracts on a spot basis (i.e., for cash at the spot rate prevailing in the currency exchange market for buying or selling currencies).
NOTE E: Securities Lending
The Portfolio may enter into securities lending transactions. Under the Portfolio’s securities lending program, all loans of securities will be collateralized continually by cash collateral and/or non-cash collateral. Non-cash collateral will include only securities issued or guaranteed by the U.S. government or its agencies or instrumentalities. The Portfolio cannot sell or repledge any non-cash collateral, such collateral will not be reflected in the portfolio of investments. If a loan is collateralized by cash, the Portfolio will be compensated for the loan from a portion of the net return from the income earned on cash collateral after a rebate is paid to the borrower (in some cases, this rebate may be a “negative rebate” or fee paid by the borrower to the Portfolio in connection with the loan), and payments are made for fees of the securities lending agent and for certain other administrative expenses. If the Portfolio receives non-cash collateral, the Portfolio will receive a fee from the borrower generally equal to a negotiated percentage of the market value of the loaned securities. The Portfolio will have the right to call a loan and obtain the securities loaned at any time on notice to the borrower within the normal and customary settlement time for the securities. While the securities are on loan, the borrower is obligated to pay the Portfolio amounts equal to any dividend income or other distributions from the securities; however, these distributions will not be afforded the same preferential tax treatment as qualified dividends. The Portfolio will not be able to exercise voting rights with respect to any securities during the existence of a loan, but will have the right to regain ownership of loaned securities in order to exercise voting or other ownership rights. Collateral received and securities loaned are marked to market daily to ensure that the securities loaned are secured by collateral. The lending agent currently invests the cash collateral received in Government Money Market Portfolio, an eligible money market vehicle, in accordance with the investment restrictions of the Portfolio, and as approved by the Board. The collateral received on securities loaned is recorded as an asset as well as a corresponding liability in the statement of assets and liabilities. The collateral will be adjusted the next business day to maintain the required collateral amount. The amounts of securities lending income from the borrowers and Government Money Market Portfolio are reflected in the statement of operations. When the Portfolio earns net securities lending income from Government Money Market Portfolio, the income is inclusive of a rebate expense paid to the borrower. In connection with the cash collateral investment by the Portfolio in Government Money Market Portfolio, the Adviser has agreed to waive a portion of the Portfolio’s share of the advisory fees of Government Money Market Portfolio, as borne indirectly by the Portfolio as an acquired fund fee and expense. When the Portfolio lends securities, its investment performance will continue to reflect changes in the value of the securities loaned. A principal risk of lending portfolio securities is that the borrower may fail to return the loaned securities upon termination of the loan and that the collateral will not be sufficient to replace the loaned securities. The lending agent has agreed to indemnify the Portfolio in the case of default of any securities borrower.
15
| | |
| SMALL CAP GROWTH PORTFOLIO | | |
| NOTES TO FINANCIAL STATEMENTS | | |
| |
| (continued) | | AB Variable Products Series Fund |
A summary of the Portfolio’s transactions surrounding securities lending for the year ended December 31, 2021 is as follows:
| | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | Government Money Market
Portfolio | |
Market Value of
Securities on Loan* | | | Cash Collateral* | | | Market Value of
Non-Cash
Collateral* | | | Income from
Borrowers | | | Income
Earned | | | Advisory Fee
Waived | |
| $ | 1,050,043 | | | $ | –0 | – | | $ | 1,121,711 | | | $ | 11,371 | | | $ | 68 | | | $ | 16 | |
| * | | As of December 31, 2021. |
NOTE F: Capital Stock
Each class consists of 500,000,000 authorized shares. Transactions in capital shares for each class were as follows:
| | | | | | | | | | | | | | | | | | | | |
| | | SHARES | | | | | | AMOUNT | |
| | | Year Ended
December 31,
2021 | | | Year Ended
December 31,
2020 | | | | | | Year Ended
December 31,
2021 | | | Year Ended
December 31,
2020 | |
Class A | |
Shares sold | | | 66,661 | | | | 90,208 | | | | | | | $ | 1,842,053 | | | $ | 1,939,754 | |
Shares issued in reinvestment of distributions | | | 276,519 | | | | 79,956 | | | | | | | | 6,896,383 | | | | 1,828,600 | |
Shares redeemed | | | (251,156 | ) | | | (341,056 | ) | | | | | | | (7,040,357 | ) | | | (7,601,528 | ) |
| | | | | | | | | | | | | | | | | | | | |
Net increase (decrease) | | | 92,024 | | | | (170,892 | ) | | | | | | $ | 1,698,079 | | | $ | (3,833,174) | |
| | | | | | | | | | | | | | | | | | | | |
Class B | |
Shares sold | | | 739,631 | | | | 1,421,448 | | | | | | | $ | 18,335,639 | | | $ | 28,063,230 | |
Shares issued in reinvestment of distributions | | | 609,831 | | | | 260,507 | | | | | | | | 12,934,512 | | | | 5,259,631 | |
Shares redeemed | | | (2,160,255 | ) | | | (1,209,065 | ) | | | | | | | (55,702,958 | ) | | | (24,135,866 | ) |
| | | | | | | | | | | | | | | | | | | | |
Net increase (decrease) | | | (810,793 | ) | | | 472,890 | | | | | | | $ | (24,432,807 | ) | | $ | 9,186,995 | |
| | | | | | | | | | | | | | | | | | | | |
At December 31, 2021, certain shareholders of the Portfolio owned 70% in aggregate of the Portfolio’s outstanding shares. Significant transactions by such shareholders, if any, may impact the Portfolio’s performance.
NOTE G: Risks Involved in Investing in the Portfolio
Market Risk—The value of the Portfolio’s assets will fluctuate as the stock or bond market fluctuates. The value of its investments may decline, sometimes rapidly and unpredictably, simply because of economic changes or other events, including public health crises (including the occurrence of a contagious disease or illness), that affect large portions of the market. It includes the risk that a particular style of investing, such as the Portfolio’s growth approach, may underperform the market generally.
Capitalization Risk—Investments in small- and mid-capitalization companies may be more volatile than investments in large-capitalization companies. Investments in small- and mid-capitalization companies may have additional risks because these companies may have limited product lines, markets or financial resources.
Foreign (Non-U.S.) Risk—Investments in securities of non-U.S. issuers may involve more risk than those of U.S. issuers. These securities may fluctuate more widely in price and may be more difficult to trade due to adverse market, economic, political, regulatory or other factors.
Derivatives Risk—Derivatives may be difficult to price or unwind and leveraged so that small changes may produce disproportionate losses for the Portfolio. Derivatives, especially over-the-counter derivatives, are also subject to counterparty risk, which is the risk that the counterparty (the party on the other side of the transaction) on a derivative transaction will be unable or unwilling to honor its contractual obligation to the Portfolio.
Industry/Sector Risk—Investments in a particular sector, industry or group of related industries, such as the information technology or health care sector, may have more risk because market or economic factors affecting that sector or industry could have a significant effect on the value of the Portfolio’s investments.
16
| | |
| |
| | | AB Variable Products Series Fund |
LIBOR Transition and Associated Risk—A Portfolio may be exposed to debt securities, derivatives or other financial instruments that are tied to the London Interbank Offered Rate, or “LIBOR,” as a “benchmark” or “reference rate” for various interest rate calculations. In 2017, the United Kingdom Financial Conduct Authority (“FCA”), which regulates LIBOR, announced a desire to phase out the use of LIBOR by the end of 2021. The FCA and LIBOR’s administrator, ICE Benchmark Administration, have since announced that most LIBOR settings (which reflect LIBOR rates quoted in different currencies over various time periods) will no longer be published after the end of 2021 but that the most widely used U.S. dollar LIBOR settings will continue to be published until June 30, 2023. However, banks were strongly encouraged to cease entering into agreements with counterparties referencing LIBOR by the end of 2021. It is possible that a subset of LIBOR settings will be published after these dates on a “synthetic” basis, but any such publications would be considered non-representative of the underlying market. The U.S. Federal Reserve, based on the recommendations of the New York Federal Reserve’s Alternative Reference Rate Committee (comprised of major derivative market participants and their regulators), has begun publishing a Secured Overnight Funding Rate (referred to as SOFR), which is intended to replace U.S. dollar LIBOR. Proposals for alternative reference rates for other currencies have also been announced or have already begun publication. Markets are slowly developing in response to these new rates.
The elimination of LIBOR or changes to other reference rates or any other changes or reforms to the determination or supervision of reference rates could have an adverse impact on the market for, or value of, any securities or payments linked to those reference rates, which may adversely affect a Portfolio’s performance and/or net asset value. Uncertainty and risk also remain regarding the willingness and ability of issuers and lenders to include revised provisions in new and existing contracts or instruments. Consequently, the transition away from LIBOR to other reference rates may lead to increased volatility and illiquidity in markets that are tied to LIBOR, fluctuations in values of LIBOR-related investments or investments in issuers that utilize LIBOR, increased difficulty in borrowing or refinancing and diminished effectiveness of hedging strategies, potentially adversely affecting a Portfolio’s performance. Furthermore, the risks associated with the expected discontinuation of LIBOR and transition may be exacerbated if the work necessary to effect an orderly transition to an alternative reference rate is not completed in a timely manner. The potential effects of a phase out of LIBOR on LIBOR-based investments are currently unknown.
Indemnification Risk—In the ordinary course of business, the Portfolio enters into contracts that contain a variety of indemnifications. The Portfolio’s maximum exposure under these arrangements is unknown. However, the Portfolio has not had prior claims or losses pursuant to these indemnification provisions and expects the risk of loss thereunder to be remote. Therefore, the Portfolio has not accrued any liability in connection with these indemnification provisions.
Management Risk—The Portfolio is subject to management risk because it is an actively-managed investment fund. The Adviser will apply its investment techniques and risk analyses in making investment decisions for the Portfolio, but there is no guarantee that its techniques will produce the intended results. Some of these techniques may incorporate, or rely upon, quantitative models, but there is no guarantee that these models will generate accurate forecasts, reduce risk or otherwise perform as expected.
NOTE H: Joint Credit Facility
A number of open-end mutual funds managed by the Adviser, including the Portfolio, participate in a $325 million revolving credit facility (the “Facility”) intended to provide short-term financing related to redemptions and other short term liquidity requirements, subject to certain restrictions. Commitment fees related to the Facility are paid by the participating funds and are included in miscellaneous expenses in the statement of operations. The Portfolio did not utilize the Facility during the year ended December 31, 2021.
NOTE I: Distributions to Shareholders
The tax character of distributions paid during the fiscal years ended December 31, 2021 and December 31, 2020 were as follows:
| | | | | | | | |
| | | 2021 | | | 2020 | |
Distributions paid from: | | | | | | | | |
Ordinary income | | $ | 2,673,240 | | | $ | –0 | – |
Net long-term capital gains | | | 17,157,655 | | | | 7,088,231 | |
| | | | | | | | |
Total taxable distributions paid | | $ | 19,830,895 | | | $ | 7,088,231 | |
| | | | | | | | |
17
| | |
| SMALL CAP GROWTH PORTFOLIO | | |
| NOTES TO FINANCIAL STATEMENTS | | |
| |
| (continued) | | AB Variable Products Series Fund |
As of December 31, 2021, the components of accumulated earnings/(deficit) on a tax basis were as follows:
| | | | |
Undistributed ordinary income | | $ | 3,793,099 | |
Undistributed capital gains | | | 22,091,262 | |
Unrealized appreciation/(depreciation) | | | 23,504,567 | (a) |
| | | | |
Total accumulated earnings/(deficit) | | $ | 49,388,928 | |
| | | | |
| (a) | | The differences between book-basis and tax-basis unrealized appreciation/(depreciation) are attributable primarily to the tax treatment of passive foreign investment companies (PFICs) and the tax deferral of losses on wash sales. |
For tax purposes, net realized capital losses may be carried over to offset future capital gains, if any. Funds are permitted to carry forward capital losses for an indefinite period, and such losses will retain their character as either short-term or long-term capital losses. As of December 31, 2021, the Portfolio did not have any capital loss carryforwards.
During the current fiscal year, there were no permanent differences that resulted in adjustments to distributable earnings or additional paid-in capital.
NOTE J: Recent Accounting Pronouncements
In March 2020, the Financial Accounting Standards Board issued an Accounting Standards Update, ASU 2020-04, “Reference Rate Reform (Topic 848) – Facilitation of the Effects of Reference Rate Reform on Financial Reporting.” ASU 2020-04 provides optional guidance to ease the potential accounting burden due to the discontinuation of the LIBOR and other interbank-offered based reference rates. ASU 2020-04 is effective as of March 12, 2020 through December 31, 2022. Management is currently evaluating the impact, if any, of applying ASU 2020-04.
NOTE K: Subsequent Events
Management has evaluated subsequent events for possible recognition or disclosure in the financial statements through the date the financial statements are issued. Management has determined that there are no material events that would require disclosure in the Portfolio’s financial statements through this date.
18
| | |
| | |
| SMALL CAP GROWTH PORTFOLIO | | |
| |
| FINANCIAL HIGHLIGHTS | | AB Variable Products Series Fund |
Selected Data For A Share Of Capital Stock Outstanding Throughout Each Period
| | | | | | | | | | | | | | | | | | | | |
| | | CLASS A | |
| | | Year Ended December 31, | |
| | | 2021 | | | 2020 | | | 2019 | | | 2018 | | | 2017 | |
Net asset value, beginning of period | | | $28.76 | | | | $19.92 | | | | $16.58 | | | | $17.53 | | | | $13.07 | |
| | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | |
Income From Investment Operations | | | | | | | | | | | | | | | | | | | | |
Net investment loss (a)(b) | | | (.20 | ) | | | (.13 | ) | | | (.08 | ) | | | (.13 | ) | | | (.18 | ) |
Net realized and unrealized gain on investment transactions | | | 2.87 | | | | 10.49 | | | | 6.02 | | | | .14 | (c) | | | 4.64 | |
Contributions from Affiliates | | | –0 | – | | | –0 | – | | | .00 | (d) | | | –0 | – | | | –0 | – |
| | | | | | | | | | | | | | | | | | | | |
Net increase in net asset value from operations | | | 2.67 | | | | 10.36 | | | | 5.94 | | | | .01 | | | | 4.46 | |
| | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | |
Less: Distributions | | | | | | | | | | | | | | | | | | | | |
Distributions from net realized gain on investment transactions | | | (6.30 | ) | | | (1.52 | ) | | | (2.60 | ) | | | (.96 | ) | | | –0 | – |
| | | | | | | | | | | | | | | | | | | | |
Net asset value, end of period | | | $25.13 | | | | $28.76 | | | | $19.92 | | | | $16.58 | | | | $17.53 | |
| | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | |
Total Return | | | | | | | | | | | | | | | | | | | | |
Total investment return based on net asset value (e)* | | | 9.46 | % | | | 53.98 | % | | | 36.40 | % | | | (.89 | )% | | | 34.12 | % |
| | | | | | | | | | | | | | | | | | | | |
Ratios/Supplemental Data | | | | | | | | | | | | | | | | | | | | |
Net assets, end of period (000’s omitted) | | | $32,295 | | | | $34,314 | | | | $27,167 | | | | $22,724 | | | | $26,039 | |
Ratio to average net assets of: | | | | | | | | | | | | | | | | | | | | |
Expenses, net of waivers/reimbursements (f)(g) | | | .91 | % | | | .90 | % | | | .90 | % | | | 1.06 | % | | | 1.38 | % |
Expenses, before waivers/reimbursements (f)(g) | | | 1.08 | % | | | 1.09 | % | | | 1.16 | % | | | 1.15 | % | | | 1.38 | % |
Net investment loss (b) | | | (.71 | )% | | | (.60 | )% | | | (.39 | )% | | | (.65 | )% | | | (1.19 | )% |
Portfolio turnover rate | | | 67 | % | | | 103 | % | | | 69 | % | | | 73 | % | | | 69 | % |
See footnote summary on page 21.
19
| | |
| SMALL CAP GROWTH PORTFOLIO | | |
| FINANCIAL HIGHLIGHTS | | |
| |
| (continued) | | AB Variable Products Series Fund |
Selected Data For A Share Of Capital Stock Outstanding Throughout Each Period
| | | | | | | | | | | | | | | | | | | | |
| | | CLASS B | |
| | | Year Ended December 31, | |
| | | 2021 | | | 2020 | | | 2019 | | | 2018 | | | 2017 | |
Net asset value, beginning of period | | | $25.36 | | | | $17.75 | | | | $15.03 | | | | $16.00 | | | | $11.96 | |
| | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | |
Income From Investment Operations | | | | | | | | | | | | | | | | | | | | |
Net investment loss (a)(b) | | | (.24 | ) | | | (.16 | ) | | | (.11 | ) | | | (.16 | ) | | | (.20 | ) |
Net realized and unrealized gain on investment transactions | | | 2.53 | | | | 9.29 | | | | 5.43 | | | | .15 | (c) | | | 4.24 | |
Contributions from Affiliates | | | –0 | – | | | –0 | – | | | .00 | (d) | | | –0 | – | | | –0 | – |
| | | | | | | | | | | | | | | | | | | | |
Net increase (decrease) in net asset value from operations | | | 2.29 | | | | 9.13 | | | | 5.32 | | | | (.01 | ) | | | 4.04 | |
| | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | |
Less: Distributions | | | | | | | | | | | | | | | | | | | | |
Distributions from net realized gain on investment transactions | | | (6.30 | ) | | | (1.52 | ) | | | (2.60 | ) | | | (.96 | ) | | | –0 | – |
| | | | | | | | | | | | | | | | | | | | |
Net asset value, end of period | | | $21.35 | | | | $25.36 | | | | $17.75 | | | | $15.03 | | | | $16.00 | |
| | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | |
Total Return | | | | | | | | | | | | | | | | | | | | |
Total investment return based on net asset value (e)* | | | 9.20 | % | | | 53.64 | % | | | 36.01 | % | | | (1.11 | )% | | | 33.78 | % |
| | | | | | | | | | | | | | | | | | | | |
Ratios/Supplemental Data | | | | | | | | | | | | | | | | | | | | |
Net assets, end of period (000’s omitted) | | | $54,079 | | | | $84,816 | | | | $50,978 | | | | $40,096 | | | | $23,396 | |
Ratio to average net assets of: | | | | | | | | | | | | | | | | | | | | |
Expenses, net of waivers/reimbursements (f)(g) | | | 1.15 | % | | | 1.15 | % | | | 1.15 | % | | | 1.30 | % | | | 1.61 | % |
Expenses, before waivers/reimbursements (f)(g) | | | 1.31 | % | | | 1.33 | % | | | 1.42 | % | | | 1.40 | % | | | 1.62 | % |
Net investment loss (b) | | | (.96 | )% | | | (.84 | )% | | | (.64 | )% | | | (.88 | )% | | | (1.42 | )% |
Portfolio turnover rate | | | 67 | % | | | 103 | % | | | 69 | % | | | 73 | % | | | 69 | % |
See footnote summary on page 21.
20
| | |
| |
| | | AB Variable Products Series Fund |
| (a) | | Based on average shares outstanding. |
| (b) | | Net of expenses waived/reimbursed by the Adviser. |
| (c) | | Due to timing of sales and repurchase of capital shares, the net realized and unrealized gain (loss) per share is not in accordance with the Portfolio’s change in net realized and unrealized gain (loss) on investment transactions for the period. |
| (d) | | Amount is less than $.005. |
| (e) | | Total investment return is calculated assuming an initial investment made at the net asset value at the beginning of the period, reinvestment of all dividends and distributions at net asset value during the period, and redemption on the last day of the period. Total return does not reflect (i) insurance company’s separate account related expense charges and (ii) the deductions of taxes that a shareholder would pay on Portfolio distributions or the redemption of Portfolio shares. Total investment return calculated for a period of less than one year is not annualized. |
| (f) | | In connection with the Portfolio’s investments in affiliated underlying portfolios, the Portfolio incurs no direct expenses, but bears proportionate shares of the fees and expenses (i.e., operating, administrative and investment advisory fees) of the affiliated underlying portfolios. The Adviser has contractually agreed to waive its fees from the Portfolio in an amount equal to the Portfolio’s pro rata share of certain acquired fund fees and expenses, and for the years ended December 31, 2018 and December 31, 2017, such waiver amounted to .01% and .01%, respectively. |
| (g) | | The expense ratios presented below exclude interest/bank overdraft expense: |
| | | | | | | | | | | | | | | | | | | | |
| | | Year Ended December 31, | |
| | | 2021 | | | 2020 | | | 2019 | | | 2018 | | | 2017 | |
Class A | | | | | | | | | | | | | | | | | | | | |
Net of waivers/reimbursements | | | .90 | % | | | .90 | % | | | .90 | % | | | 1.06 | % | | | 1.38 | % |
Before waivers/reimbursements | | | 1.07 | % | | | 1.09 | % | | | 1.16 | % | | | 1.15 | % | | | 1.38 | % |
Class B | | | | | | | | | | | | | | | | | | | | |
Net of waivers/reimbursements | | | 1.15 | % | | | 1.15 | % | | | 1.15 | % | | | 1.30 | % | | | 1.61 | % |
Before waivers/reimbursements | | | 1.31 | % | | | 1.33 | % | | | 1.42 | % | | | 1.40 | % | | | 1.62 | % |
| * | | Includes the impact of proceeds received and credited to the Portfolio resulting from class action settlements, which enhanced the Portfolio’s performance for the years ended December 31, 2021, December 31, 2018 and December 31, 2017 by .03%, .05% and .03%, respectively. |
See notes to financial statements.
21
| | |
| | |
| REPORT OF INDEPENDENT REGISTERED | | |
| |
| PUBLIC ACCOUNTING FIRM | | AB Variable Products Series Fund |
To the Shareholders and the Board of Directors of AB Small Cap Growth Portfolio
Opinion on the Financial Statements
We have audited the accompanying statement of assets and liabilities of AB Small Cap Growth Portfolio (the “Portfolio”) (one of the portfolios constituting AB Variable Products Series Fund, Inc. (the “Fund”)), including the portfolio of investments, as of December 31, 2021, and the related statement of operations for the year then ended, the statements of changes in net assets for each of the two years in the period then ended, the financial highlights for each of the five years in the period then ended and the related notes (collectively referred to as the “financial statements”). In our opinion, the financial statements present fairly, in all material respects, the financial position of the Portfolio (one of the portfolios constituting AB Variable Products Series Fund, Inc.) at December 31, 2021, the results of its operations for the year then ended, the changes in its net assets for each of the two years in the period then ended and its financial highlights for each of the five years in the period then ended, in conformity with U.S. generally accepted accounting principles.
Basis for Opinion
These financial statements are the responsibility of the Fund’s management. Our responsibility is to express an opinion on the Portfolio’s financial statements based on our audits. We are a public accounting firm registered with the Public Company Accounting Oversight Board (United States) (“PCAOB”) and are required to be independent with respect to the Fund in accordance with the U.S. federal securities laws and the applicable rules and regulations of the Securities and Exchange Commission and the PCAOB.
We conducted our audits in accordance with the standards of the PCAOB. Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements are free of material misstatement, whether due to error or fraud. The Fund is not required to have, nor were we engaged to perform, an audit of the Fund’s internal control over financial reporting. As part of our audits we are required to obtain an understanding of internal control over financial reporting but not for the purpose of expressing an opinion on the effectiveness of the Fund’s internal control over financial reporting. Accordingly, we express no such opinion.
Our audits included performing procedures to assess the risks of material misstatement of the financial statements, whether due to error or fraud, and performing procedures that respond to those risks. Such procedures included examining, on a test basis, evidence regarding the amounts and disclosures in the financial statements. Our procedures included confirmation of securities owned as of December 31, 2021, by correspondence with the custodian and others or by other appropriate auditing procedures where replies from others were not received. Our audits also included evaluating the accounting principles used and significant estimates made by management, as well as evaluating the overall presentation of the financial statements. We believe that our audits provide a reasonable basis for our opinion.
We have served as the auditor of one or more of the AB investment companies since 1968.
New York, New York
February 14, 2022
22
| | |
| | |
| | |
| |
| 2021 FEDERAL TAX INFORMATION (unaudited) | | AB Variable Products Series Fund |
For Federal income tax purposes, the following information is furnished with respect to the distributions paid by the Portfolio during the taxable year ended December 31, 2021. For corporate shareholders, 5.93% of dividends paid qualify for the dividends received deduction. The Portfolio designates $17,157,655 of dividends paid as long-term capital gain dividends.
23
| | |
| | |
| | |
| |
| SMALL CAP GROWTH PORTFOLIO | | AB Variable Products Series Fund |
| | |
| BOARD OF DIRECTORS | | |
Marshall C. Turner, Jr.(1), Chairman Jorge A. Bermudez(1) Michael J. Downey(1) Onur Erzan*, President and
Chief Executive Officer | | Nancy P. Jacklin(1) Jeanette W. Loeb(1) Carol C. McMullen(1) Garry L. Moody(1) |
| | |
| | |
| OFFICERS | | |
Bruce K. Aronow(2), Vice President Esteban Gomez(2), Vice President Samantha S. Lau(2), Vice President Heather Pavlak(2), Vice President Wen-Tse Tseng(2), Vice President | | Emilie D. Wrapp, Secretary Michael B. Reyes, Senior Vice President and
Senior Analyst Joseph J. Mantineo, Treasurer and
Chief Financial Officer Phyllis J. Clarke, Controller Vincent S. Noto, Chief Compliance Officer |
| | |
| CUSTODIANAND ACCOUNTING AGENT | | LEGAL COUNSEL |
State Street Bank and Trust Company State Street Corporation CCB/5 1 Iron Street Boston, MA 02210 | | Seward & Kissel LLP One Battery Park Plaza New York, NY 10004 |
| | |
| DISTRIBUTOR | | TRANSFER AGENT |
AllianceBernstein Investments, Inc. 501 Commerce Street Nashville, TN 37203 | | AllianceBernstein Investor Services, Inc. P.O. Box 786003 San Antonio, TX 78278 Toll-Free (800) 221-5672 |
| | |
| INDEPENDENT REGISTERED PUBLIC | | |
| ACCOUNTING FIRM | | |
Ernst & Young LLP One Manhattan West New York, NY 10001 | | |
| (1) | | Member of the Audit Committee, the Governance and Nominating Committee, and the Independent Directors Committee. |
| (2) | | The management of, and investment decisions for, the Portfolio’s portfolio are made by the Adviser’s Small Cap Growth Investment Team. Messrs. Aronow, Gomez and Tseng, and Mses. Lau and Pavlak are the investment professionals with the most significant responsibility for the day-to-day management of the Portfolio’s portfolio. |
24
| | |
| | |
| SMALL CAP GROWTH PORTFOLIO | | |
| |
| MANAGEMENT OF THE FUND | | AB Variable Products Series Fund |
Board of Directors Information
The business and affairs of the Fund are managed under the direction of the Board of Directors. Certain information concerning the Fund’s Directors is set forth below.
| | | | | | | | |
NAME, ADDRESS*,
AGE,
(YEAR FIRST ELECTED**) | | PRINCIPAL
OCCUPATION(S)
DURING PAST FIVE YEARS
AND OTHER INFORMATION*** | | PORTFOLIOS
IN AB FUND
COMPLEX
OVERSEEN BY
DIRECTOR | | | OTHER PUBLIC
COMPANY
DIRECTORSHIPS
CURRENTLY
HELD BY
DIRECTOR |
| INTERESTED DIRECTOR | | | | | | |
| | | | | | | | |
Onur Erzan,# 1345 Avenue of the Americas New York, NY 10105 46 (2021) | | Senior Vice President of AllianceBernstein L.P. (the “Adviser”) and Head of the Global Client Group overseeing AB’s institutional and retail businesses, where he is responsible for all client services, sales and marketing, as well as product strategy, management and development worldwide. Director, President and Chief Executive Officer of the AB Mutual Funds as of April 1, 2021. Prior to joining the firm in January 2021, he spent 20 years with McKinsey (management consulting firm), most recently as a senior partner and co-leader of its Wealth & Asset Management practice. In addition, he co-led McKinsey’s Banking & Securities Solutions (a portfolio of data, analytics, and digital assets and capabilities) globally. | | | 74 | | | None |
| | | | | | | | |
| DISINTERESTED DIRECTORS | | | | | | |
| | | | | | | | |
Marshall C. Turner, Jr.,## Chairman of the Board 80 (2005) | | Private Investor since prior to 2017. Former Chairman and CEO of Dupont Photomasks, Inc. (components of semi-conductor manufacturing). He was a Director of Xilinx, Inc. (programmable logic semiconductors and adaptable, intelligent computing) from 2007 through August 2020, and is a former director of 33 other companies and organizations. He has extensive operating leadership and venture capital investing experience, including five interim or full-time CEO roles, and prior service as general partner of institutional venture capital partnerships. He also has extensive non-profit board leadership experience, and currently serves on the boards of two education and science-related non-profit organizations. He has served as a director of one AB Fund since 1992, and director or trustee of all AB Funds since 2005. He has been Chairman of the AB Funds since January 2014, and the Chairman of the Independent Directors Committees of such AB Funds since February 2014. | | | 74 | | | None |
| | | | | | | | |
Jorge A. Bermudez,## 70 (2020) | | Private Investor since prior to 2017. Formerly, Chief Risk Officer of Citigroup, Inc., a global financial services company, from November 2007 to March 2008, Chief Executive Officer of Citigroup’s Commercial Business Group in North America and Citibank Texas from 2005 to 2007, and a variety of other executive and leadership roles at various businesses within Citigroup prior to then; Chairman (2018) of the Texas A&M Foundation Board of Trustees (Trustee since 2013) and Chairman of the Smart Grid Center Board at Texas A&M University since 2012; director of, among others, Citibank N.A. from 2005 to 2008, the Federal Reserve Bank of Dallas, Houston Branch from 2009 to 2011, the Federal Reserve Bank of Dallas from 2011 to 2017, and the Electric Reliability Council of Texas from 2010 to 2016. He has served as director or trustee of the AB Funds since January 2020. | | | 74 | | | Moody’s Corporation
since April 2011 |
25
| | |
| SMALL CAP GROWTH PORTFOLIO | | |
| MANAGEMENT OF THE FUND | | |
| |
| (continued) | | AB Variable Products Series Fund |
| | | | | | | | |
NAME, ADDRESS*,
AGE,
(YEAR FIRST ELECTED**) | | PRINCIPAL
OCCUPATION(S)
DURING PAST FIVE YEARS
AND OTHER INFORMATION*** | | PORTFOLIOS
IN AB FUND
COMPLEX
OVERSEEN BY
DIRECTOR | | | OTHER PUBLIC
COMPANY
DIRECTORSHIPS
CURRENTLY
HELD BY
DIRECTOR |
DISINTERESTED DIRECTORS (continued) | | | | | | |
| | | | | | | | |
Michael J. Downey,## 78 (2005) | | Private Investor since prior to 2017. Formerly, Chairman of The Asia Pacific Fund, Inc. (registered investment company) since prior to 2017 until January 2019. From 1987 until 1993, Chairman and CEO of Prudential Mutual Fund Management, director of the Prudential mutual funds, and member of the Executive Committee of Prudential Securities, Inc. He has served as a director or trustee of the AB Funds since 2005. | | | 74 | | | None |
| | | | | | | | |
Nancy P. Jacklin,## 73 (2006) | | Private Investor since prior to 2017. Professorial Lecturer at the Johns Hopkins School of Advanced International Studies (2008-2015). U.S. Executive Director of the International Monetary Fund (which is responsible for ensuring the stability of the international monetary system), (December 2002-May 2006); Partner, Clifford Chance (1992-2002); Sector Counsel, International Banking and Finance, and Associate General Counsel, Citicorp (1985-1992); Assistant General Counsel (International), Federal Reserve Board of Governors (1982-1985); and Attorney Advisor, U.S. Department of the Treasury (1973-1982). Member of the Bar of the District of Columbia and of New York; and member of the Council on Foreign Relations. She has served as a director or trustee of the AB Funds since 2006 and has been Chair of the Governance and Nominating Committees of the AB Funds since August 2014. | | | 74 | | | None |
| | | | | | | | |
Jeanette W. Loeb,## 69 (2020) | | Chief Executive Officer of PetCareRx (e-commerce pet pharmacy) from 2002 to 2011 and 2015 to present. Director of New York City Center since 2005. She was a director of AB Multi-Manager Alternative Fund, Inc. (fund of hedge funds) from 2012 to 2018. Formerly, affiliated with Goldman Sachs Group, Inc. (financial services) from 1977 to 1994, including as a partner thereof from 1986 to 1994. She has served as director or trustee of the AB Funds since April 2020. | | | 74 | | | Apollo Investment Corp. (business development company) since August 2011 |
26
| | |
| |
| | | AB Variable Products Series Fund |
| | | | | | | | |
NAME, ADDRESS*,
AGE,
(YEAR FIRST ELECTED**) | | PRINCIPAL
OCCUPATION(S)
DURING PAST FIVE YEARS
AND OTHER INFORMATION*** | | PORTFOLIOS
IN AB FUND
COMPLEX
OVERSEEN BY
DIRECTOR | | | OTHER PUBLIC
COMPANY
DIRECTORSHIPS
CURRENTLY
HELD BY
DIRECTOR |
DISINTERESTED DIRECTORS (continued) | | | | | | |
| | | | | | | | |
Carol C. McMullen,## 66 (2016) | | Managing Director of Slalom Consulting (consulting) since 2014, private investor and a member of the Advisory Board of Butcher Box (since 2018). Formerly, member, Partners Healthcare Investment Committee (2010-2019); Director of Norfolk & Dedham Group (mutual property and casualty insurance) from 2011 until November 2016; Director of Partners Community Physicians Organization (healthcare) from 2014 until December 2016; and Managing Director of The Crossland Group (consulting) from 2012 until 2013. She has held a number of senior positions in the asset and wealth management industries, including at Eastern Bank (where her roles included President of Eastern Wealth Management), Thomson Financial (Global Head of Sales for Investment Management), and Putnam Investments (where her roles included Chief Investment Officer, Core and Growth and Head of Global Investment Research). She has served on a number of private company and non-profit boards, and as a director or trustee of the AB Funds since June 2016. | | | 74 | | | None |
| | | | | | | | |
Garry L. Moody,## 69 (2008) | | Private Investor since prior to 2017. Formerly, Partner, Deloitte & Touche LLP (1995-2008) where he held a number of senior positions, including Vice Chairman, and U.S. and Global Investment Management Practice Managing Partner; President, Fidelity Accounting and Custody Services Company (1993-1995), where he was responsible for accounting, pricing, custody and reporting for the Fidelity mutual funds; and Partner, Ernst & Young LLP (1975-1993), where he served as the National Director of Mutual Fund Tax Services and Managing Partner of its Chicago Office Tax department. He is a member of the Trustee Advisory Board of BoardIQ, a biweekly publication focused on issues and news affecting directors of mutual funds. He is also a member of the Investment Company Institute’s Board of Governors and the Independent Directors Council’s Governing Council. He has served as a director or trustee, and as Chairman of the Audit Committees of the AB Funds since 2008. | | | 74 | | | None |
| * | The address for each of the Fund’s disinterested Directors is c/o AllianceBernstein L.P., Attention: Legal & Compliance Department—Mutual Fund Legal, 1345 Avenue of the Americas, New York, NY 10105. |
| ** | There is no stated term of office for the Fund’s Directors. |
| *** | The information above includes each Director’s principal occupation during the last five years and other information relating to the experience, attributes, and skills relevant to each Director’s qualifications to serve as a Director, which led to the conclusion that each Director should serve as a Director for the Fund. |
| # | Mr. Erzan is an “interested person” of the Fund, as defined in the “1940 Act”, due to his position as a Senior Vice President of the Adviser. |
| ## | Member of the Audit Committee, the Governance and Nominating Committee, and the Independent Directors Committee. |
27
| | |
| SMALL CAP GROWTH PORTFOLIO | | |
| MANAGEMENT OF THE FUND | | |
| |
| (continued) | | AB Variable Products Series Fund |
Officer Information
Certain information concerning the Portfolio’s Officers is listed below.
| | | | |
NAME, ADDRESS*
AND AGE | | PRINCIPAL POSITION(S)
HELD WITH FUND | | PRINCIPAL OCCUPATION
DURING PAST FIVE YEARS |
Onur Erzan 46 | | President and Chief Executive Officer | | See biography above. |
| | | | |
Bruce K. Aronow 55 | | Vice President | | Senior Vice President of the Adviser**, with which he has been associated since prior to 2017. He is also Chief Investment Officer of Small and SMID Cap Growth Equities. |
| | | | |
Esteban Gomez 38 | | Vice President | | Vice President of the Adviser**, with which he has been associated since prior to 2017. Before joining the Adviser in 2016, he spent three years at J.P. Morgan as an equity research analyst on the Broadlines Retailing, Apparel/Footwear & Specialty Equity Research Team. |
| | | | |
Samantha S. Lau 49 | | Vice President | | Senior Vice President of the Adviser**, with which she has been associated since prior to 2017. She is also Co-Chief Investment Officer of US Small and SMID Cap Growth Equities. |
| | | | |
Heather Pavlak 38 | | Vice President | | Vice President of the Adviser**, with which she has been associated since 2018. Before joining the Adviser in 2018, she spent four years at Schroders Investment Management, where she covered materials, utilities and transports as an equity research analyst. |
| | | | |
Wen-Tse Tseng 56 | | Vice President | | Senior Vice President of the Adviser**, with which he has been associated since prior to 2017. |
| | | | |
Emilie D. Wrapp 66 | | Secretary | | Senior Vice President, Assistant General Counsel and Assistant Secretary of ABI**, with which she has been associated since prior to 2017. |
| | | | |
Michael B. Reyes 45 | | Senior Vice President and Senior Analyst | | Vice President of the Adviser**, with which he has been associated since prior to 2017. |
| | | | |
Joseph J. Mantineo 62 | | Treasurer and Chief
Financial Officer | | Senior Vice President of AllianceBernstein Investor Services, Inc. (“ABIS”)**, with which he has been associated since prior to 2017. |
| | | | |
Phyllis J. Clarke 61 | | Controller | | Vice President of ABIS**, with which she has been associated since prior to 2017. |
| | | | |
Vincent S. Noto 57 | | Chief Compliance Officer | | Senior Vice President and Mutual Fund Chief Compliance Officer of the Adviser** since prior to 2017. |
| * | | The address for each of the Portfolio’s Officers is 1345 Avenue of the Americas, New York, NY 10105. |
| ** | | The Adviser, ABI and ABIS are affiliates of the Fund. |
| | | The Fund’s Statement of Additional Information (SAI) has additional information about the Fund’s Directors and Officers and is available without charge upon request. Contact your financial representative or the Adviser at (800) 227-4618, or visit www. abfunds.com, for a free prospectus or SAI. |
28
| | |
| | |
| | |
| |
| SMALL CAP GROWTH PORTFOLIO | | AB Variable Products Series Fund |
OPERATION AND EFFECTIVENESS OF THE PORTFOLIO’S LIQUIDITY RISK MANAGEMENT PROGRAM:
In October 2016, the Securities and Exchange Commission (“SEC”) adopted the open-end fund liquidity rule (the “Liquidity Rule”). In June 2018 the SEC adopted a requirement that funds disclose information about the operation and effectiveness of their Liquidity Risk Management Program (“LRMP”) in their reports to shareholders.
One of the requirements of the Liquidity Rule is for the Portfolio to designate an Administrator of the Portfolio’s Liquidity Risk Management Program. The Administrator of the Portfolio’s LRMP is AllianceBernstein L.P., the Portfolio’s investment adviser (the “Adviser”). The Adviser has delegated the responsibility to its Liquidity Risk Management Committee (the “Committee”).
Another requirement of the Liquidity Rule is for the Portfolio’s Board of Directors (the “Fund Board”) to receive an annual written report from the Administrator of the LRMP, which addresses the operation of the Portfolio’s LRMP and assesses its adequacy and effectiveness. The Adviser provided the Fund Board with such annual report during the first quarter of 2021, which covered the period January 1, 2020 through December 31, 2020 (the “Program Reporting Period”).
The LRMP’s principal objectives include supporting the Portfolio’s compliance with limits on investments in illiquid assets and mitigating the risk that the Portfolio will be unable to meet its redemption obligations in a timely manner.
Pursuant to the LRMP, the Portfolio classifies the liquidity of its portfolio investments into one of the four categories defined by the SEC: Highly Liquid, Moderately Liquid, Less Liquid, and Illiquid. These classifications are reported to the SEC on Form N-PORT.
During the Program Reporting Period, the Committee reviewed whether the Portfolio’s strategy is appropriate for an open-end structure, incorporating any holdings of less liquid and illiquid assets. If the Portfolio participated in derivative transactions, the exposure from such transactions were considered in the LRMP.
The Committee also performed an analysis to determine whether the Portfolio is required to maintain a Highly Liquid Investment Minimum (“HLIM”). The Committee also incorporated the following information when determining the Portfolio’s reasonably anticipated trading size for purposes of liquidity monitoring: historical net redemption activity, a Portfolio’s concentration in an issuer, shareholder concentration, investment performance, total net assets, and distribution channels.
The Adviser informed the Fund Board that the Committee believes the Portfolio’s LRMP is adequately designed, has been implemented as intended, and has operated effectively since its inception. No material exceptions have been noted since the implementation of the LRMP. During the Program Reporting Period, beginning in March 2020, all financial markets experienced extreme levels of price volatility and relative illiquidity resulting from the COVID-19 impacts on the global economy. This extreme relative illiquidity resulted in significantly wider bid-ask spreads to transact in securities, including many of those securities held by the Portfolio, and in a diminished depth of liquidity in most markets, to varying degrees. Nonetheless, there were no liquidity events that impacted the Portfolio or its ability to timely meet redemptions during the Program Reporting Period.
29
| | |
| | |
| SMALL CAP GROWTH PORTFOLIO | | |
| |
| CONTINUANCE DISCLOSURE | | AB Variable Products Series Fund |
INFORMATION REGARDING THE REVIEW AND APPROVAL OF THE FUND’S ADVISORY AGREEMENT
The disinterested directors (the “directors”) of AB Variable Products Series Fund, Inc. (the “Company”) unanimously approved the continuance of the Company’s Advisory Agreement with the Adviser in respect of AB Small Cap Growth Portfolio (the “Fund”) at a meeting held by video conference on May 3-5, 2021 (the “Meeting”).
Prior to approval of the continuance of the Advisory Agreement, the directors had requested from the Adviser, and received and evaluated, extensive materials. They reviewed the proposed continuance of the Advisory Agreement with the Adviser and with experienced counsel who are independent of the Adviser, who advised on the relevant legal standards. The directors also reviewed additional materials, including comparative analytical data prepared by the Senior Analyst for the Fund. The directors also discussed the proposed continuance in private sessions with counsel.
The directors considered their knowledge of the nature and quality of the services provided by the Adviser to the Fund gained from their experience as directors or trustees of most of the registered investment companies advised by the Adviser, their overall confidence in the Adviser’s integrity and competence they have gained from that experience, the Adviser’s initiative in identifying and raising potential issues with the directors and its responsiveness, frankness and attention to concerns raised by the directors in the past, including the Adviser’s willingness to consider and implement organizational and operational changes designed to improve investment results and the services provided to the AB Funds. The directors noted that they have four regular meetings each year, at each of which they review extensive materials and information from the Adviser, including information on the investment performance of the Fund.
The directors also considered all factors they believed relevant, including the specific matters discussed below. During the course of their deliberations, the directors evaluated, among other things, the reasonableness of the advisory fee. The directors did not identify any particular information that was all-important or controlling, and different directors may have attributed different weights to the various factors. The directors determined that the selection of the Adviser to manage the Fund and the overall arrangements between the Fund and the Adviser, as provided in the Advisory Agreement, including the advisory fee, were fair and reasonable in light of the services performed, expenses incurred and such other matters as the directors considered relevant in the exercise of their business judgment. The material factors and conclusions that formed the basis for the directors’ determinations included the following:
Nature, Extent and Quality of Services Provided
The directors considered the scope and quality of services provided by the Adviser under the Advisory Agreement, including the quality of the investment research capabilities of the Adviser and the other resources it has dedicated to performing services for the Fund. The directors noted that the Adviser from time to time reviews the Fund’s investment strategies and from time to time proposes changes intended to improve the Fund’s relative or absolute performance for the directors’ consideration. They also noted the professional experience and qualifications of the Fund’s portfolio management team and other senior personnel of the Adviser. The directors also considered that the Advisory Agreement provides that the Fund will reimburse the Adviser for the cost to it of providing certain clerical, accounting, administrative and other services to the Fund by employees of the Adviser or its affiliates. Requests for these reimbursements are made on a quarterly basis and subject to approval by the directors. Reimbursements, to the extent requested and paid, result in a higher rate of total compensation from the Fund to the Adviser than the fee rate stated in the Advisory Agreement. The directors noted that the methodology used to determine the reimbursement amounts had been reviewed by an independent consultant at the request of the directors. The quality of administrative and other services, including the Adviser’s role in coordinating the activities of the Fund’s other service providers, also was considered. The directors concluded that, overall, they were satisfied with the nature, extent and quality of services provided to the Fund under the Advisory Agreement.
Costs of Services Provided and Profitability
The directors reviewed a schedule of the revenues and expenses and related notes indicating the profitability of the Fund to the Adviser for calendar years 2019 and 2020 that had been prepared with an expense allocation methodology arrived at in consultation with an independent consultant at the request of the directors. The directors noted the assumptions and methods of allocation used by the Adviser in preparing fund-specific profitability data and understood that there are a number of potentially acceptable allocation methodologies for information of this type. The directors noted that the profitability information reflected all revenues and expenses of the Adviser’s relationship with the Fund, including those relating to its subsidiaries that provide transfer agency, distribution and brokerage services to the Fund. The directors recognized that it is difficult to make comparisons of the profitability of the Advisory Agreement with the profitability of fund advisory contracts
30
| | |
| |
| | | AB Variable Products Series Fund |
for unaffiliated funds because comparative information is not generally publicly available and is affected by numerous fac-tors. The directors focused on the profitability of the Adviser’s relationship with the Fund before taxes and distribution expenses. The directors concluded that the Adviser’s level of profitability from its relationship with the Fund was not unreasonable.
Fall-Out Benefits
The directors considered the other benefits to the Adviser and its affiliates from their relationships with the Fund, including, but not limited to, benefits relating to soft dollar arrangements (whereby investment advisers receive brokerage and research services from brokers that execute agency transactions for their clients); 12b-1 fees and sales charges received by the Fund’s principal underwriter (which is a wholly owned subsidiary of the Adviser) in respect of the Fund’s Class B shares; brokerage commissions paid by the Fund to brokers affiliated with the Adviser; and transfer agency fees paid by the Fund to a wholly owned subsidiary of the Adviser. The directors recognized that the Adviser’s profitability would be somewhat lower without these benefits. The directors understood that the Adviser also might derive reputational and other benefits from its association with the Fund.
Investment Results
In addition to the information reviewed by the directors in connection with the Meeting, the directors receive detailed performance information for the Fund at each regular Board meeting during the year.
At the Meeting, the directors reviewed performance information prepared by an independent service provider (the “15(c) service provider”), showing the performance of the Class A Shares of the Fund against a group of similar funds (“peer group”) and a larger group of similar funds (“peer universe”), each selected by the 15(c) service provider, and information prepared by the Adviser showing performance of the Class A Shares against a broad-based securities market index, in each case for the 1-, 3-, 5- and 10-year periods ended February 28, 2021 and (in the case of comparisons with the broad-based securities market index) for the period from inception. Based on their review, the directors concluded that the Fund’s investment performance was acceptable.
Advisory Fees and Other Expenses
The directors considered the advisory fee rate payable by the Fund to the Adviser and information prepared by the 15(c) service provider concerning advisory fee rates payable by other funds in the same category as the Fund. The directors recognized that it is difficult to make comparisons of advisory fees because there are variations in the services that are included in the fees paid by other funds. The directors compared the Fund’s contractual effective advisory fee rate with a peer group median. Taking into account the administrative expense reimbursement paid to the Adviser in the latest fiscal year, the directors noted that the Adviser’s total rate of compensation was above the peer group median.
The directors also considered the Adviser’s fee schedule for other clients utilizing investment strategies similar to those of the Fund. For this purpose, they reviewed the relevant advisory fee information from the Adviser’s Form ADV and in a report from the Fund’s Senior Analyst and noted the differences between the Fund’s fee schedule, on the one hand, and the Adviser’s institutional fee schedule and the schedule of fees charged by the Adviser to any offshore funds and for services to any sub-advised funds utilizing investment strategies similar to those of the Fund, on the other. The directors noted that the Adviser may, in some cases, agree to fee rates with large institutional clients that are lower than those reviewed by the directors and that they had previously discussed with the Adviser its policies in respect of such arrangements. The directors also compared the advisory fee rate for the Fund with those for two other funds advised by the Adviser utilizing similar investment strategies.
The Adviser reviewed with the directors the significantly greater scope of the services it provides to the Fund relative to institutional, offshore fund and sub-advised fund clients. In this regard, the Adviser noted, among other things, that, compared to institutional and offshore or sub-advisory accounts, the Fund (i) demands considerably more portfolio management, research and trading resources due to significantly higher daily cash flows; (ii) has more tax and regulatory restrictions and compliance obligations; (iii) must prepare and file or distribute regulatory and other communications about fund operations; and (iv) must provide shareholder servicing to retail investors. The Adviser also reviewed the greater legal risks presented by the large and changing population of Fund shareholders who may assert claims against the Adviser in individual or class actions, and the greater entrepreneurial risk in offering new fund products, which require substantial investment to launch, may not succeed, and generally must be priced to compete with larger, more established funds resulting in lack of profitability to the Adviser until a new fund achieves scale. In light of the substantial differences in services rendered by the
31
| | |
| SMALL CAP GROWTH PORTFOLIO | | |
| CONTINUANCE DISCLOSURE | | |
| |
| (continued) | | AB Variable Products Series Fund |
Adviser to institutional, offshore fund and sub-advised fund clients as compared to the Fund, and the different risk profile, the directors considered these fee comparisons inapt and did not place significant weight on them in their deliberations.
The directors noted that the Fund may invest in shares of exchange-traded funds (“ETFs”), subject to the restrictions and limitations of the Investment Company Act of 1940 as these may be varied as a result of exemptive orders issued, and rules adopted, by the SEC. The directors also noted that ETFs pay advisory fees pursuant to their advisory contracts, and that the Adviser had provided, and they had received, information about the expense ratios of the relevant ETFs. The directors concluded, based on the Adviser’s explanation of how it uses ETFs when they are the most cost-effective way to obtain desired exposures, in some cases pending purchases of underlying securities, that the advisory fee for the Fund would be for services in addition to, rather than duplicative of, the services provided under the advisory contracts of the ETFs.
In connection with their review of the Fund’s advisory fee, the directors also considered the total expense ratio of the Class A shares of the Fund in comparison to a peer group and a peer universe selected by the 15(c) service provider. The Class A expense ratio of the Fund was based on the Fund’s latest fiscal year and the directors considered the Adviser’s expense cap for the Fund. The directors noted that it was likely that the expense ratios of some of the other funds in the Fund’s category were lowered by waivers or reimbursements by those funds’ investment advisers, which in some cases might be voluntary or temporary. The directors view expense ratio information as relevant to their evaluation of the Adviser’s services because the Adviser is responsible for coordinating services provided to the Fund by others. Based on their review, the directors concluded that the Fund’s expense ratio was acceptable.
Economies of Scale
The directors noted that the advisory fee schedule for the Fund contains breakpoints that reduce the fee rates on assets above specified levels. The directors took into consideration prior presentations by an independent consultant on economies of scale in the mutual fund industry and for the AB Funds, and presentations from time to time by the Adviser concerning certain of its views on economies of scale. The directors also had requested and received from the Adviser certain updates on economies of scale in advance of the Meeting. The directors believe that economies of scale may be realized (if at all) by the Adviser across a variety of products and services, and not only in respect of a single fund. The directors noted that there is no established methodology for setting breakpoints that give effect to the fund-specific services provided by a fund’s adviser and to the economies of scale that an adviser may realize in its overall mutual fund business or those components of it which directly or indirectly affect a fund’s operations. The directors observed that in the mutual fund industry as a whole, as well as among funds similar to the Fund, there is no uniformity or pattern in the fees and asset levels at which breakpoints (if any) apply. The directors also noted that the advisory agreements for many funds do not have breakpoints at all. Having taken these factors into account, the directors concluded that the Fund’s shareholders would benefit from a sharing of economies of scale in the event the Fund’s net assets exceed a breakpoint in the future.
32
VPS-SCG-0151-1221
DEC 12.31.21
ANNUAL REPORT
AB VARIABLE PRODUCTS
SERIES FUND, INC.
| + | | SMALL/MID CAP VALUE PORTFOLIO |
As of May 1, 2021, as permitted by regulations adopted by the Securities and Exchange Commission, you may not be receiving paper copies of the Portfolio’s shareholder reports from the insurance company that offers your contract unless you specifically requested paper copies from the insurance company or from your financial intermediary. Instead of delivering paper copies of the reports, the insurance company may choose to make the reports available on a website, and will notify you by mail each time a report is posted and provide you with a website link to access the report. Instructions for requesting paper copies will be provided by your insurance company.
You may elect to receive all future reports in paper free of charge from the insurance company. You can inform the insurance company or your financial intermediary that you wish to continue receiving paper copies of your shareholder reports by following the instructions provided by the insurance company or by contacting your financial intermediary. Your election to receive reports in paper will apply to all portfolio companies available under your contract with the insurance company.
Investment Products Offered
| | • | | Are Not Bank Guaranteed |
AllianceBernstein Investments, Inc. (ABI) is the distributor of the AB family of mutual funds. ABI is a member of FINRA and is an affiliate of AllianceBernstein L.P., the Adviser of the funds.
You may obtain a description of the Fund’s proxy voting policies and procedures, and information regarding how the Fund voted proxies relating to portfolio securities during the most recent 12-month period ended June 30, without charge. Simply visit AB’s website at www.abfunds.com or go to the Securities and Exchange Commission’s (the “Commission”) website at www.sec.gov, or call AB at (800) 227 4618.
The Fund files its complete schedule of portfolio holdings with the Commission for the first and third quarters of each fiscal year as an exhibit to its reports on Form N-PORT. The Fund’s Form N-PORT reports are available on the Commission’s website at www.sec.gov. The Fund’s Forms N-PORT may also be reviewed and copied at the Commission’s Public Reference Room in Washington, DC; information on the operation of the Public Reference Room may be obtained by calling (800) SEC 0330.
The [A/B] logo is a registered service mark of AllianceBernstein and AllianceBernstein® is a registered service mark used by permission of the owner, AllianceBernstein L.P.
| | |
| | |
| | | |
| |
| SMALL/MID CAP VALUE PORTFOLIO | | AB Variable Products Series Fund |
LETTER TO INVESTORS
February 14, 2022
The following is an update of AB Variable Products Series Fund—Small/Mid Cap Value Portfolio (the “Portfolio”) for the annual reporting period ended December 31, 2021.
INVESTMENT OBJECTIVE AND POLICIES
The Portfolio’s investment objective is long-term growth of capital. The Portfolio invests primarily in a diversified portfolio of equity securities of small- to mid-capitalization US companies. Under normal circumstances, the Portfolio invests at least 80% of its net assets in securities of small- to mid-capitalization companies. Because the Portfolio’s definition of small- to mid-capitalization companies is dynamic, the lower and upper limits on market capitalization will change with the markets.
The Portfolio invests in companies that are determined by the Adviser to be undervalued, using the Adviser’s fundamental value approach. In selecting securities for the Portfolio’s portfolio, the Adviser uses its fundamental and quantitative research to identify companies whose long-term earnings power is not reflected in the current market price of their securities.
The Portfolio may enter into derivatives transactions, such as options, futures contracts, forwards and swaps. The Portfolio may use options strategies involving the purchase and/or writing of various combinations of call and/or put options, including on individual securities and stock indices, futures contracts (including futures contracts on individual securities and stock indices) or shares of exchange-traded funds (“ETFs”). These transactions may be used, for example, to earn extra income, to adjust exposure to individual securities or markets, or to protect all or a portion of the Portfolio from a decline in value, sometimes within certain ranges.
The Portfolio may invest in securities issued by non-US companies.
The Portfolio may, at times, invest in shares of ETFs in lieu of making direct investments in equity securities. ETFs may provide more efficient and economical exposure to the type of companies and geographic locations in which the Portfolio seeks to invest than direct investments.
INVESTMENT RESULTS
The table on page 3 shows the Portfolio’s performance compared to its primary benchmark, the Russell 2500 Value Index, as well as the Russell 2500 Index, which represents small-/mid-cap stocks, for the one-, five- and 10-year periods ended December 31, 2021.
All share classes of the Portfolio outperformed the primary benchmark and the Russell 2500 Index for the annual period. Security selection within consumer discretionary and technology contributed most, relative to the primary benchmark, while selection within the energy and materials sectors detracted. Overall sector selection also contributed to performance. Underweights to health care and utilities contributed, while an underweight to energy and an overweight to consumer discretionary detracted.
The Portfolio did not utilize derivatives during the annual period.
MARKET REVIEW AND INVESTMENT STRATEGY
Global equities recorded double-digit returns and emerging markets lost ground during the annual period ended December 31, 2021. Global markets were supported by accommodative monetary policy and strong company earnings growth, while economic turbulence in China, geopolitical risks and inflation pressured emerging markets. Increased market volatility periodically sent risk assets lower, but investors continued to buy the dip. Toward the end of the period, global markets fell as the rapid spread of the coronavirus omicron variant triggered concern that new restrictions could derail the economic recovery. Encouraging developments in COVID-19 treatments and vaccines and a reluctance to reinstate shutdowns helped investors look past the potential impact of the omicron variant. Stock markets gave back gains, however, after the US Federal Reserve (the “Fed”) took a hawkish pivot and confirmed that it would accelerate the wind-down of its bond purchases and raise rates multiple times in 2022. After digesting the Fed’s comments, equity markets rose as investors appeared to adjust to the shift and remained focused on still generally supportive monetary policy. In smaller-cap markets, value outperformed growth, in terms of style, while large-cap stocks outperformed their small-cap peers.
The Portfolio’s Senior Investment Management Team (the “Team”) seeks to invest opportunistically in what it believes are undervalued companies with solid fundamentals, without sacrificing the Portfolio’s deep-value discipline. The Team remains focused on attractively valued opportunities, which the Team believes are widespread across most industry sectors and regions. The Portfolio’s emphasis continues to be at the stock-specific level, as the Team looks for companies that offer compelling valuation, strong free cash flow and significant company-level catalysts.
1
| | |
| | |
| SMALL/MID CAP VALUE PORTFOLIO | | |
| |
| DISCLOSURES AND RISKS | | AB Variable Products Series Fund |
Benchmark Disclosure
The Russell 2500® Value Index and the Russell 2500™ Index are unmanaged and do not reflect fees and expenses associated with the active management of a mutual fund portfolio. The Russell 2500 Value Index represents the performance of small- to mid-cap value companies within the US. The Russell 2500 Index represents the performance of 2,500 small- to mid-cap cap companies within the US. An investor cannot invest directly in an index, and its results are not indicative of the performance for any specific investment, including the Portfolio.
A Word About Risk
Market Risk: The value of the Portfolio’s assets will fluctuate as the stock or bond market fluctuates. The value of its investments may decline, sometimes rapidly and unpredictably, simply because of economic changes or other events, including public health crises (including the occurrence of a contagious disease or illness), that affect large portions of the market. It includes the risk that a particular style of investing, such as the Portfolio’s value approach, may underperform the market generally.
Capitalization Risk: Investments in small- and mid-capitalization companies may be more volatile than investments in large-capitalization companies. Investments in small- and mid-capitalization companies may have additional risks because these companies have limited product lines, markets or financial resources.
Foreign (Non-US) Risk: Investments in securities of non-US issuers may involve more risk than those of US issuers. These securities may fluctuate more widely in price and may be more difficult to trade due to adverse market, economic, political, regulatory or other factors.
Currency Risk: Fluctuations in currency exchange rates may negatively affect the value of the Portfolio’s investments or reduce its returns.
Derivatives Risk: Derivatives may be difficult to price or unwind and leveraged so that small changes may produce disproportionate losses for the Portfolio. Derivatives, especially over-the-counter derivatives, are also subject to counterparty risk, which is the risk that the counterparty (the party on the other side of the transaction) on a derivative transaction will be unable or unwilling to honor its contractual obligations to the Portfolio.
Management Risk: The Portfolio is subject to management risk because it is an actively managed investment fund. The Adviser will apply its investment techniques and risk analyses in making investment decisions for the Portfolio, but there is no guarantee that its techniques will produce the intended results. Some of these techniques may incorporate, or rely upon, quantitative models, but there is no guarantee that these models will generate accurate forecasts, reduce risk or otherwise perform as expected.
These risks are fully discussed in the Variable Products prospectus. As with all investments, you may lose money by investing in the Portfolio.
An Important Note About Historical Performance
The investment return and principal value of an investment in the Portfolio will fluctuate, so that shares, when redeemed, may be worth more or less than their original cost. Performance shown in this report represents past performance and does not guarantee future results. Current performance may be lower or higher than the performance information shown. Please contact your financial advisor or insurance agent representative at your financial institution to obtain portfolio performance information current to the most recent month-end.
Investors should consider the investment objectives, risks, charges and expenses of the Portfolio carefully before investing. For additional copies of the Portfolio’s prospectus or summary prospectus, which contains this and other information, call your financial advisor or (800) 227 4618. Please read the prospectus and/or summary prospectus carefully before investing.
All fees and expenses related to the operation of the Portfolio have been deducted, but no adjustment has been made for insurance company separate account or annuity contract charges, which would reduce total return to a contract owner. Performance assumes reinvestment of distributions and does not account for taxes.
There are additional fees and expenses associated with all Variable Products. These fees can include mortality and expense risk charges, administrative charges, and other charges that can significantly reduce investment returns. Those fees and expenses are not reflected in this annual report. You should consult your Variable Products prospectus for a description of those fees and expenses and speak to your insurance agent or financial representative if you have any questions. You should read the prospectus before investing or sending money.
2
| | |
| | |
| SMALL/MID CAP VALUE PORTFOLIO | | |
| |
| HISTORICAL PERFORMANCE | | AB Variable Products Series Fund |
| | | | | | | | | | | | |
| | | | | | | | | | | | |
| THE PORTFOLIO VS. ITS BENCHMARKS | | Net Asset Value Returns | |
| PERIODS ENDED DECEMBER 31, 2021 (unaudited) | | 1 Year | | | 5 Years1 | | | 10 Years1 | |
| | | |
| Small/Mid Cap Value Portfolio Class A | | | 35.95% | | | | 10.16% | | | | 13.13% | |
| | | |
| Small/Mid Cap Value Portfolio Class B | | | 35.60% | | | | 9.88% | | | | 12.85% | |
| | | |
| Primary Benchmark: Russell 2500 Value Index | | | 27.78% | | | | 9.88% | | | | 12.43% | |
| | | |
| Russell 2500 Index | | | 18.18% | | | | 13.75% | | | | 14.15% | |
1 Average annual returns. Please keep in mind that high, double-digit returns are highly unusual and cannot be sustained. Investors should also be aware that these returns were primarily achieved during favorable market conditions. | |
| | | | | | | | | | | | |
The Portfolio’s current prospectus fee table shows the Portfolio’s total annual operating expense ratios as 0.83% and 1.08% for Class A and Class B shares, respectively. The Financial Highlights section of this report sets forth expense ratio data for the current reporting period; the expense ratios shown above may differ from the expense ratios in the Financial Highlights section since they are based on different time periods.
GROWTH OF A $10,000 INVESTMENT
12/31/2011 TO 12/31/2021 (unaudited)
This chart illustrates the total value of an assumed $10,000 investment in Small/Mid Cap Value Portfolio Class A shares (from 12/31/2011 to 12/31/2021) as compared to the performance of the Portfolio’s benchmarks. The chart assumes the reinvestment of dividends and capital gains distributions.
See Disclosures, Risks and Note About Historical Performance on page 2.
3
| | |
| | |
| SMALL/MID CAP VALUE PORTFOLIO |
| |
| EXPENSE EXAMPLE (unaudited) | | AB Variable Products Series Fund |
As a shareholder of the Portfolio, you incur two types of costs: (1) transaction costs, including sales charges (loads) on purchase payments, contingent deferred sales charges on redemptions and (2) ongoing costs, including management fees; distribution (12b-1) fees; and other Portfolio expenses. This example is intended to help you understand your ongoing costs (in dollars) of investing in the Portfolio and to compare these costs with the ongoing costs of investing in other mutual funds.
The Example is based on an investment of $1,000 invested at the beginning of the period and held for the entire period as indicated below.
Actual Expenses
The table below provides information about actual account values and actual expenses. You may use the information in this line, together with the amount you invested, to estimate the expenses that you paid over the period. Simply divide your account value by $1,000 (for example, an $8,600 account value divided by $1,000 = 8.6), then multiply the result by the number in the first line under the heading entitled “Expenses Paid During Period” to estimate the expenses you paid on your account during this period. The estimate of expenses does not include fees or other expenses of any variable insurance product. If such expenses were included, the estimate of expenses you paid during the period would be higher and your ending account value would be lower.
Hypothetical Example for Comparison Purposes
The table below provides information about hypothetical account values and hypothetical expenses based on the Portfolio’s actual expense ratio and an assumed annual rate of return of 5% before expenses, which is not the Portfolio’s actual return. The hypothetical account values and expenses may not be used to estimate the actual ending account balance or expenses you paid for the period. You may use this information to compare the ongoing costs of investing in the Portfolio and other funds by comparing this 5% hypothetical example with the 5% hypothetical examples that appear in the shareholder reports of other funds. The estimate of expenses does not include fees or other expenses of any variable insurance product. If such expenses were included, the estimate of expenses you paid during the period would be higher and your ending account value would be lower.
Please note that the expenses shown in the table are meant to highlight your ongoing costs only and do not reflect any transactional costs, such as sales charges (loads), or contingent deferred sales charges on redemptions. Therefore, the second line of each class’ table is useful in comparing ongoing costs only, and will not help you determine the relative total costs of owning different funds. In addition, if these transactional costs were included, your costs would have been higher.
| | | | | | | | | | | | | | | | |
| | | Beginning
Account Value
July 1, 2021 | | | Ending
Account Value
December 31, 2021 | | | Expenses Paid
During Period* | | | Annualized
Expense Ratio* | |
Class A* | | | | | | | | | | | | | | | | |
Actual | | $ | 1,000 | | | $ | 1,071.20 | | | $ | 4.18 | | | | 0.80 | % |
Hypothetical (5% annual return before expenses) | | $ | 1,000 | | | $ | 1,021.17 | | | $ | 4.08 | | | | 0.80 | % |
| | | | | | | | | | | | | | | | |
Class B | | | | | | | | | | | | | | | | |
Actual | | $ | 1,000 | | | $ | 1,069.80 | | | $ | 5.48 | | | | 1.05 | % |
Hypothetical (5% annual return before expenses) | | $ | 1,000 | | | $ | 1,019.91 | | | $ | 5.35 | | | | 1.05 | % |
| * | | Expenses are equal to each classes’ annualized expense ratios, multiplied by the average account value over the period, multiplied by 184/365 (to reflect the one-half year period). |
4
| | |
| SMALL/MID CAP VALUE PORTFOLIO | | |
| TEN LARGEST HOLDINGS1 | | |
| |
| December 31, 2021 (unaudited) | | AB Variable Products Series Fund |
| | | | | | | | |
| COMPANY | | U.S. $ VALUE | | | PERCENT OF NET ASSETS | |
Regal Rexnord Corp. | | $ | 15,214,943 | | | | 1.8 | % |
AECOM | | | 14,261,019 | | | | 1.7 | |
Camden Property Trust | | | 14,017,982 | | | | 1.6 | |
PulteGroup, Inc. | | | 13,708,111 | | | | 1.6 | |
Robert Half International, Inc. | | | 13,570,311 | | | | 1.6 | |
ON Semiconductor Corp. | | | 13,533,739 | | | | 1.6 | |
Goodyear Tire & Rubber Co. (The) | | | 13,396,635 | | | | 1.6 | |
MEDNAX, Inc. | | | 12,914,138 | | | | 1.5 | |
IDACORP, Inc. | | | 12,772,756 | | | | 1.5 | |
Herc Holdings, Inc. | | | 12,722,818 | | | | 1.5 | |
| | | | | | | | | |
| | | $ | 136,112,452 | | | | 16.0 | % |
SECTOR BREAKDOWN2
December 31, 2021 (unaudited)
| | | | | | | | |
| SECTOR | | U.S. $ VALUE | | | PERCENT OF TOTAL INVESTMENTS | |
Industrials | | $ | 193,578,534 | | | | 22.9 | % |
Consumer Discretionary | | | 154,392,358 | | | | 18.3 | |
Financials | | | 153,821,731 | | | | 18.2 | |
Information Technology | | | 77,473,882 | | | | 9.2 | |
Real Estate | | | 75,867,650 | | | | 9.0 | |
Materials | | | 54,624,686 | | | | 6.5 | |
Health Care | | | 54,197,484 | | | | 6.4 | |
Energy | | | 26,993,828 | | | | 3.2 | |
Consumer Staples | | | 22,471,432 | | | | 2.7 | |
Utilities | | | 19,276,198 | | | | 2.3 | |
Communication Services | | | 9,392,897 | | | | 1.1 | |
Short-Term Investments | | | 1,852,515 | | | | 0.2 | |
| | | | | | | | | |
Total Investments | | $ | 843,943,195 | | | | 100.0 | % |
| 2 | | The Portfolio’s sector breakdown is expressed as a percentage of total investments (excluding security lending collateral) and may vary over time. |
Please note: The sector classifications presented herein are based on the Global Industry Classification Standard (GICS) which was developed by Morgan Stanley Capital International and Standard & Poor’s. The components are divided into sector, industry group, and industry sub-indices as classified by the GICS for each of the market capitalization indices in the broad market. These sector classifications are broadly defined. The “Portfolio of Investments” section of the report reflects more specific industry information and is consistent with the investment restrictions discussed in the Portfolio’s prospectus.
5
| | |
| SMALL/MID CAP VALUE PORTFOLIO | | |
| PORTFOLIO OF INVESTMENTS | | |
| |
| December 31, 2021 | | AB Variable Products Series Fund |
| | | | | | | | |
Company | | Shares | | | U.S. $ Value | |
| | | | | | | | |
COMMON STOCKS–99.1% | |
| | | | | | | | |
INDUSTRIALS–22.8% | |
AEROSPACE & DEFENSE–1.5% | |
Spirit AeroSystems Holdings, Inc.–Class A | | | 287,960 | | | $ | 12,408,196 | |
| | | | | | | | |
AIRLINES–1.0% | | | | | | | | |
SkyWest, Inc.(a) | | | 217,664 | | | | 8,554,195 | |
| | | | | | | | |
BUILDING PRODUCTS–1.0% | | | | | | | | |
Masonite International Corp.(a) | | | 76,319 | | | | 9,001,826 | |
| | | | | | | | |
COMMERCIAL SERVICES & SUPPLIES–2.0% | | | | | | | | |
ADT, Inc.(b) | | | 954,800 | | | | 8,029,868 | |
MillerKnoll, Inc. | | | 228,980 | | | | 8,973,726 | |
| | | | | | | | |
| | | | | | | 17,003,594 | |
| | | | | | | | |
CONSTRUCTION & ENGINEERING–4.0% | | | | | | | | |
AECOM(a) | | | 184,370 | | | | 14,261,019 | |
Dycom Industries, Inc.(a) | | | 109,660 | | | | 10,281,722 | |
WillScot Mobile Mini Holdings Corp.(a)(b) | | | 235,450 | | | | 9,615,778 | |
| | | | | | | | |
| | | | | | | 34,158,519 | |
| | | | | | | | |
ELECTRICAL EQUIPMENT–2.7% | | | | | | | | |
Regal Rexnord Corp. | | | 89,405 | | | | 15,214,943 | |
Sensata Technologies Holding PLC(a) | | | 33,995 | | | | 2,097,152 | |
Vertiv Holdings Co. | | | 238,260 | | | | 5,949,352 | |
| | | | | | | | |
| | | | | | | 23,261,447 | |
| | | | | | | | |
MACHINERY–3.2% | | | | | | | | |
Crane Co. | | | 62,664 | | | | 6,374,809 | |
Oshkosh Corp. | | | 112,300 | | | | 12,657,333 | |
Timken Co. (The) | | | 115,870 | | | | 8,028,632 | |
| | | | | | | | |
| | | | | | | 27,060,774 | |
| | | | | | | | |
MARINE–0.4% | | | | | | | | |
Kirby Corp.(a) | | | 56,280 | | | | 3,344,158 | |
| | | | | | | | |
PROFESSIONAL SERVICES–2.6% | | | | | | | | |
Korn Ferry | | | 108,660 | | | | 8,228,822 | |
Robert Half International, Inc. | | | 121,685 | | | | 13,570,311 | |
| | | | | | | | |
| | | | | | | 21,799,133 | |
| | | | | | | | |
ROAD & RAIL–1.4% | | | | | | | | |
Knight-Swift Transportation Holdings, Inc. | | | 191,091 | | | | 11,645,086 | |
| | | | | | | | |
TRADING COMPANIES & DISTRIBUTORS–3.0% | | | | | | | | |
Applied Industrial Technologies, Inc. | | | 69,700 | | | | 7,158,190 | |
GATX Corp. | | | 52,410 | | | | 5,460,598 | |
Herc Holdings, Inc. | | | 81,270 | | | | 12,722,818 | |
| | | | | | | | |
| | | | | | | 25,341,606 | |
| | | | | | | | |
| | | | | | | 193,578,534 | |
| | | | | | | | |
| | | | | | | | |
Company | | Shares | | | U.S. $ Value | |
| | | | | | | | |
CONSUMER DISCRETIONARY–18.2% | | | | | | | | |
AUTO COMPONENTS–3.1% | | | | | | | | |
Dana, Inc. | | | 255,978 | | | $ | 5,841,418 | |
Goodyear Tire & Rubber Co. (The)(a) | | | 628,360 | | | | 13,396,635 | |
Lear Corp. | | | 38,081 | | | | 6,966,919 | |
| | | | | | | | |
| | | | | | | 26,204,972 | |
| | | | | | | | |
DIVERSIFIED CONSUMER SERVICES–0.7% | | | | | | | | |
Houghton Mifflin Harcourt Co.(a) | | | 351,035 | | | | 5,651,664 | |
| | | | | | | | |
HOTELS, RESTAURANTS & LEISURE–4.1% | | | | | | | | |
Dine Brands Global, Inc. | | | 129,250 | | | | 9,798,443 | |
Hilton Grand Vacations, Inc.(a) | | | 145,210 | | | | 7,566,893 | |
Papa John’s International, Inc. | | | 79,612 | | | | 10,625,814 | |
Scientific Games Corp./DE–Class A(a) | | | 104,440 | | | | 6,979,725 | |
| | | | | | | | |
| | | | | | | 34,970,875 | |
| | | | | | | | |
HOUSEHOLD DURABLES–3.6% | | | | | | | | |
KB Home | | | 219,620 | | | | 9,823,603 | |
PulteGroup, Inc. | | | 239,820 | | | | 13,708,111 | |
Taylor Morrison Home Corp.–Class A(a) | | | 192,499 | | | | 6,729,765 | |
| | | | | | | | |
| | | | | | | 30,261,479 | |
| | | | | | | | |
LEISURE PRODUCTS–0.5% | | | | | | | | |
Brunswick Corp./DE | | | 43,606 | | | | 4,392,432 | |
| | | | | | | | |
SPECIALTY RETAIL–1.9% | | | | | | | | |
Sally Beauty Holdings, Inc.(a) | | | 406,920 | | | | 7,511,743 | |
Williams-Sonoma, Inc.(b) | | | 53,344 | | | | 9,022,071 | |
| | | | | | | | |
| | | | | | | 16,533,814 | |
| | | | | | | | |
TEXTILES, APPAREL & LUXURY GOODS–4.3% | | | | | | | | |
Carter’s, Inc. | | | 121,530 | | | | 12,301,266 | |
Kontoor Brands, Inc.(b) | | | 132,980 | | | | 6,815,225 | |
Ralph Lauren Corp. | | | 83,980 | | | | 9,981,863 | |
Tapestry, Inc. | | | 179,280 | | | | 7,278,768 | |
| | | | | | | | |
| | | | | | | 36,377,122 | |
| | | | | | | | |
| | | | | | | 154,392,358 | |
| | | | | | | | |
FINANCIALS–18.1% | | | | | | | | |
BANKS–10.7% | | | | | | | | |
Comerica, Inc. | | | 138,950 | | | | 12,088,650 | |
First Citizens BancShares, Inc./NC–Class A(b) | | | 15,170 | | | | 12,588,673 | |
First Hawaiian, Inc. | | | 336,750 | | | | 9,203,378 | |
Synovus Financial Corp. | | | 220,972 | | | | 10,577,930 | |
Texas Capital Bancshares, Inc.(a) | | | 159,902 | | | | 9,634,095 | |
Umpqua Holdings Corp. | | | 347,880 | | | | 6,693,211 | |
Webster Financial Corp. | | | 175,832 | | | | 9,818,459 | |
Wintrust Financial Corp. | | | 116,290 | | | | 10,561,458 | |
Zions Bancorp NA | | | 150,028 | | | | 9,475,768 | |
| | | | | | | | |
| | | | | | | 90,641,622 | |
| | | | | | | | |
6
| | |
| |
| | | AB Variable Products Series Fund |
| | | | | | | | |
Company | | Shares | | | U.S. $ Value | |
| | | | | | | | |
CAPITAL MARKETS–2.2% | | | | | | | | |
Moelis & Co. | | | 154,815 | | | $ | 9,677,485 | |
Stifel Financial Corp. | | | 132,447 | | | | 9,326,918 | |
| | | | | | | | |
| | | | | | | 19,004,403 | |
| | | | | | | | |
INSURANCE–4.2% | | | | | | | | |
American Financial Group, Inc./OH | | | 72,470 | | | | 9,951,580 | |
Everest Re Group Ltd. | | | 26,973 | | | | 7,388,444 | |
Hanover Insurance Group, Inc. (The) | | | 66,500 | | | | 8,715,490 | |
Kemper Corp. | | | 39,876 | | | | 2,344,310 | |
Selective Insurance Group, Inc. | | | 90,175 | | | | 7,388,940 | |
| | | | | | | | |
| | | | | | | 35,788,764 | |
| | | | | | | | |
THRIFTS & MORTGAGE FINANCE–1.0% | | | | | | | | |
BankUnited, Inc. | | | 198,226 | | | | 8,386,942 | |
| | | | | | | | |
| | | | | | | 153,821,731 | |
| | | | | | | | |
INFORMATION TECHNOLOGY–9.1% | | | | | | | | |
COMMUNICATIONS EQUIPMENT–1.3% | | | | | | | | |
Lumentum Holdings, Inc.(a) | | | 104,830 | | | | 11,087,869 | |
| | | | | | | | |
ELECTRONIC EQUIPMENT, INSTRUMENTS & COMPONENTS–2.3% | | | | | | | | |
Avnet, Inc. | | | 239,130 | | | | 9,859,330 | |
Belden, Inc. | | | 148,704 | | | | 9,774,314 | |
| | | | | | | | |
| | | | | | | 19,633,644 | |
| | | | | | | | |
IT SERVICES–0.7% | | | | | | | | |
Genpact Ltd. | | | 107,311 | | | | 5,696,068 | |
| | | | | | | | |
SEMICONDUCTORS & SEMICONDUCTOR EQUIPMENT–3.0% | | | | | | | | |
Kulicke & Soffa Industries, Inc. | | | 121,678 | | | | 7,366,386 | |
MaxLinear, Inc.–Class A(a) | | | 57,395 | | | | 4,327,009 | |
ON Semiconductor Corp.(a) | | | 199,260 | | | | 13,533,739 | |
| | | | | | | | |
| | | | | | | 25,227,134 | |
| | | | | | | | |
SOFTWARE–1.8% | | | | | | | | |
ACI Worldwide, Inc.(a) | | | 213,510 | | | | 7,408,797 | |
CommVault Systems, Inc.(a) | | | 122,176 | | | | 8,420,370 | |
| | | | | | | | |
| | | | | | | 15,829,167 | |
| | | | | | | | |
| | | | | | | 77,473,882 | |
| | | | | | | | |
REAL ESTATE–8.9% | | | | | | | | |
EQUITY REAL ESTATE INVESTMENT TRUSTS (REITs)–8.9% | | | | | | | | |
American Campus Communities, Inc. | | | 159,565 | | | | 9,141,479 | |
Broadstone Net Lease, Inc. | | | 277,500 | | | | 6,887,550 | |
Camden Property Trust | | | 78,453 | | | | 14,017,982 | |
Cousins Properties, Inc. | | | 222,530 | | | | 8,963,508 | |
CubeSmart | | | 203,892 | | | | 11,603,494 | |
| | | | | | | | |
Company | | Shares | | | U.S. $ Value | |
| | | | | | | | |
MGM Growth Properties LLC–Class A | | | 99,842 | | | $ | 4,078,546 | |
Physicians Realty Trust | | | 595,941 | | | | 11,221,569 | |
STAG Industrial, Inc. | | | 207,538 | | | | 9,953,522 | |
| | | | | | | | |
| | | | | | | 75,867,650 | |
| | | | | | | | |
MATERIALS–6.4% | |
CHEMICALS–2.1% | |
GCP Applied Technologies, Inc.(a) | | | 24,308 | | | | 769,591 | |
Innospec, Inc. | | | 59,680 | | | | 5,391,491 | |
Orion Engineered Carbons SA(a) | | | 299,135 | | | | 5,492,119 | |
Trinseo PLC | | | 116,706 | | | | 6,122,397 | |
| | | | | | | | |
| | | | | | | 17,775,598 | |
| | | | | | | | |
CONTAINERS & PACKAGING–2.3% | | | | | | | | |
Berry Global Group, Inc.(a) | | | 138,340 | | | | 10,206,725 | |
Sealed Air Corp. | | | 140,137 | | | | 9,455,044 | |
| | | | | | | | |
| | | | | | | 19,661,769 | |
| | | | | | | | |
METALS & MINING–2.0% | | | | | | | | |
Carpenter Technology Corp. | | | 244,662 | | | | 7,141,684 | |
Reliance Steel & Aluminum Co. | | | 61,926 | | | | 10,045,635 | |
| | | | | | | | |
| | | | | | | 17,187,319 | |
| | | | | | | | |
| | | | | | | 54,624,686 | |
| | | | | | | | |
HEALTH CARE–6.4% | | | | | | | | |
HEALTH CARE EQUIPMENT & SUPPLIES–1.2% | | | | | | | | |
Integra LifeSciences Holdings Corp.(a) | | | 146,040 | | | | 9,783,220 | |
| | | | | | | | |
HEALTH CARE PROVIDERS & SERVICES–2.8% | | | | | | | | |
Acadia Healthcare Co., Inc.(a) | | | 180,850 | | | | 10,977,595 | |
MEDNAX, Inc.(a) | | | 474,610 | | | | 12,914,138 | |
| | | | | | | | |
| | | | | | | 23,891,733 | |
| | | | | | | | |
HEALTH CARE TECHNOLOGY–1.1% | | | | | | | | |
Change Healthcare, Inc.(a) | | | 431,990 | | | | 9,235,946 | |
| | | | | | | | |
LIFE SCIENCES TOOLS & SERVICES–1.3% | | | | | | | | |
Syneos Health, Inc.(a) | | | 109,920 | | | | 11,286,585 | |
| | | | | | | | |
| | | | | | | 54,197,484 | |
| | | | | | | | |
ENERGY–3.2% | | | | | | | | |
ENERGY EQUIPMENT & SERVICES–0.9% | | | | | | | | |
Cactus, Inc.–Class A | | | 206,100 | | | | 7,858,593 | |
| | | | | | | | |
OIL, GAS & CONSUMABLE FUELS–2.3% | | | | | | | | |
Coterra Energy, Inc. | | | 530,091 | | | | 10,071,729 | |
HollyFrontier Corp. | | | 276,495 | | | | 9,063,506 | |
| | | | | | | | |
| | | | | | | 19,135,235 | |
| | | | | | | | |
| | | | | | | 26,993,828 | |
| | | | | | | | |
7
| | |
| SMALL/MID CAP VALUE PORTFOLIO | | |
| PORTFOLIO OF INVESTMENTS | | |
| |
| (continued) | | AB Variable Products Series Fund |
| | | | | | | | |
Company | | Shares | | | U.S. $ Value | |
| | | | | | | | |
CONSUMER STAPLES–2.6% | | | | | | | | |
FOOD PRODUCTS–2.6% | | | | | | | | |
Hain Celestial Group, Inc. (The)(a) | | | 276,504 | | | $ | 11,781,836 | |
Nomad Foods Ltd.(a) | | | 421,016 | | | | 10,689,596 | |
| | | | | | | | |
| | | | | | | 22,471,432 | |
| | | | | | | | |
UTILITIES–2.3% | |
ELECTRIC UTILITIES–1.5% | |
IDACORP, Inc. | | | 112,724 | | | | 12,772,756 | |
| | | | | | | | |
GAS UTILITIES–0.8% | | | | | | | | |
Southwest Gas Holdings, Inc. | | | 92,840 | | | | 6,503,442 | |
| | | | | | | | |
| | | | | | | 19,276,198 | |
| | | | | | | | |
COMMUNICATION SERVICES–1.1% | | | | | | | | |
MEDIA–1.1% | | | | | | | | |
Criteo SA (Sponsored ADR)(a) | | | 241,649 | | | | 9,392,897 | |
| | | | | | | | |
Total Common Stocks
(cost $619,121,296) | | | | | | | 842,090,680 | |
| | | | | | | | |
SHORT-TERM INVESTMENTS–0.2% | | | | | | | | |
INVESTMENT COMPANIES–0.2% | | | | | | | | |
AB Fixed Income Shares, Inc.–Government Money Market Portfolio–Class AB, 0.01%(c)(d)(e)
(cost $1,852,515) | | | 1,852,515 | | | | 1,852,515 | |
| | | | | | | | |
TOTAL INVESTMENTS BEFORE SECURITY LENDING COLLATERAL FOR SECURITIES LOANED–99.3%
(cost $620,973,811) | | | | | | | 843,943,195 | |
| | | | | | | | |
| | | | | | | | |
Company | | Shares | | | U.S. $ Value | |
| | | | | | | | |
INVESTMENTS OF CASH COLLATERAL FOR SECURITIES LOANED–0.0% | | | | | | | | |
INVESTMENT COMPANIES–0.0% | | | | | | | | |
AB Fixed Income Shares, Inc.–Government Money Market Portfolio–Class AB, 0.01%(c)(d)(e)
(cost $19,854) | | | 19,854 | | | $ | 19,854 | |
| | | | | | | | |
TOTAL INVESTMENTS–99.3%
(cost $620,993,665) | | | | | | | 843,963,049 | |
Other assets less
liabilities–0.7% | | | | | | | 6,168,279 | |
| | | | | | | | |
NET ASSETS–100.0% | | | | | | $ | 850,131,328 | |
| | | | | | | | |
| (a) | | Non-income producing security. |
| (b) | | Represents entire or partial securities out on loan. See Note E for securities lending information. |
| (c) | | Affiliated investments. |
| (d) | | The rate shown represents the 7-day yield as of period end. |
| (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, or call AB at (800) 227-4618. |
Glossary:
ADR—American Depositary Receipt
REIT—Real Estate Investment Trust
See notes to financial statements.
8
| | |
| SMALL/MID CAP VALUE PORTFOLIO | | |
| STATEMENT OF ASSETS & LIABILITIES | | |
| |
| December 31, 2021 | | AB Variable Products Series Fund |
| | | | |
ASSETS | | | | |
Investments in securities, at value | | | | |
Unaffiliated issuers (cost $619,121,296) | | $ | 842,090,680 | (a) |
Affiliated issuers (cost $1,872,369—including investment of cash collateral for securities loaned of $19,854) | | | 1,872,369 | |
Receivable for investment securities sold | | | 6,494,672 | |
Receivable for capital stock sold | | | 2,802,824 | |
Unaffiliated dividends receivable | | | 767,127 | |
Affiliated dividends receivable | | | 43 | |
| | | | |
Total assets | | | 854,027,715 | |
| | | | |
LIABILITIES | | | | |
Payable for investment securities purchased | | | 2,239,066 | |
Payable for capital stock redeemed | | | 774,281 | |
Advisory fee payable | | | 528,670 | |
Distribution fee payable | | | 116,441 | |
Administrative fee payable | | | 22,683 | |
Payable for collateral received on securities loaned | | | 19,854 | |
Transfer Agent fee payable | | | 146 | |
Accrued expenses | | | 195,246 | |
| | | | |
Total liabilities | | | 3,896,387 | |
| | | | |
NET ASSETS | | $ | 850,131,328 | |
| | | | |
COMPOSITION OF NET ASSETS | | | | |
Capital stock, at par | | $ | 36,539 | |
Additional paid-in capital | | | 515,932,981 | |
Distributable earnings | | | 334,161,808 | |
| | | | |
NET ASSETS | | $ | 850,131,328 | |
| | | | |
Net Asset Value Per Share—1 billion shares of capital stock authorized, $.001 par value
| | | | | | | | | | | | |
| Class | | Net Assets | | | Shares
Outstanding | | | Net Asset
Value | |
| | | |
| A | | $ | 286,389,905 | | | | 12,208,544 | | | $ | 23.46 | |
| | | |
| B | | $ | 563,741,423 | | | | 24,330,676 | | | $ | 23.17 | |
| (a) | | Includes securities on loan with a value of $26,372,779 (see Note E). |
See notes to financial statements.
9
| | |
| SMALL/MID CAP VALUE PORTFOLIO | | |
| STATEMENT OF OPERATIONS | | |
| |
| Year Ended December 31, 2021 | | AB Variable Products Series Fund |
| | | | |
INVESTMENT INCOME | | | | |
Dividends | | | | |
Unaffiliated issuers (net of foreign taxes withheld of $10,792) | | $ | 14,111,468 | |
Affiliated issuers | | | 856 | |
Securities lending income | | | 38,515 | |
| | | | |
| | | 14,150,839 | |
| | | | |
EXPENSES | | | | |
Advisory fee (see Note B) | | | 5,953,717 | |
Distribution fee—Class B | | | 1,311,537 | |
Transfer agency—Class A | | | 2,415 | |
Transfer agency—Class B | | | 4,705 | |
Custody and accounting | | | 124,945 | |
Administrative | | | 87,949 | |
Legal | | | 55,102 | |
Printing | | | 52,099 | |
Audit and tax | | | 51,774 | |
Directors’ fees | | | 28,362 | |
Miscellaneous | | | 24,686 | |
| | | | |
Total expenses | | | 7,697,291 | |
Less: expenses waived and reimbursed by the Adviser (see Note B) | | | (4,184 | ) |
| | | | |
Net expenses | | | 7,693,107 | |
| | | | |
Net investment income | | | 6,457,732 | |
| | | | |
REALIZED AND UNREALIZED GAIN ON INVESTMENT TRANSACTIONS | | | | |
Net realized gain on investment transactions | | | 128,124,776 | |
Net change in unrealized appreciation/depreciation of investments | | | 91,844,970 | |
| | | | |
Net gain on investment transactions | | | 219,969,746 | |
| | | | |
NET INCREASE IN NET ASSETS FROM OPERATIONS | | $ | 226,427,478 | |
| | | | |
See notes to financial statements.
10
| | |
| | |
| SMALL/MID CAP VALUE PORTFOLIO | | |
| |
| STATEMENT OF CHANGES IN NET ASSETS | | AB Variable Products Series Fund |
| | | | | | | | |
| | | Year Ended
December 31,
2021 | | | Year Ended
December 31,
2020 | |
INCREASE (DECREASE) IN NET ASSETS FROM OPERATIONS | |
Net investment income | | $ | 6,457,732 | | | $ | 5,454,467 | |
Net realized gain (loss) on investment transactions | | | 128,124,776 | | | | (22,104,001 | ) |
Net change in unrealized appreciation/depreciation of investments | | | 91,844,970 | | | | 52,509,733 | |
| | | | | | | | |
Net increase in net assets from operations | | | 226,427,478 | | | | 35,860,199 | |
Distributions to Shareholders | |
Class A | | | (2,074,675 | ) | | | (10,812,568 | ) |
Class B | | | (3,152,352 | ) | | | (21,414,765 | ) |
CAPITAL STOCK TRANSACTIONS | |
Net increase (decrease) | | | (26,229,493 | ) | | | 17,235,925 | |
| | | | | | | | |
Total increase | | | 194,970,958 | | | | 20,868,791 | |
NET ASSETS | |
Beginning of period | | | 655,160,370 | | | | 634,291,579 | |
| | | | | | | | |
End of period | | $ | 850,131,328 | | | $ | 655,160,370 | |
| | | | | | | | |
See notes to financial statements.
11
| | |
| SMALL/MID CAP VALUE PORTFOLIO | | |
| NOTES TO FINANCIAL STATEMENTS | | |
| |
| December 31, 2021 | | AB Variable Products Series Fund |
NOTE A: Significant Accounting Policies
The AB Small/Mid Cap Value Portfolio (the “Portfolio”) is a series of AB Variable Products Series Fund, Inc. (the “Fund”). The Portfolio’s investment objective is long-term growth of capital. The Portfolio is diversified as defined under the Investment Company Act of 1940. The Fund was incorporated in the State of Maryland as an open-end series investment company. The Fund offers 11 separately managed pools of assets which have differing investment objectives and policies. The Portfolio offers Class A and Class B shares. Both classes of shares have identical voting, dividend, liquidating and other rights, except that Class B shares bear a distribution expense and have exclusive voting rights with respect to the Class B distribution plan.
The Portfolio offers and sells its shares only to separate accounts of certain life insurance companies for the purpose of funding variable annuity contracts and variable life insurance policies. Sales are made without a sales charge at the Portfolio’s net asset value per share.
The financial statements have been prepared in conformity with U.S. generally accepted accounting principles (“U.S. GAAP”), which require management to make certain estimates and assumptions that affect the reported amounts of assets and liabilities in the financial statements and amounts of income and expenses during the reporting period. Actual results could differ from those estimates. The Portfolio is an investment company under U.S. GAAP and follows the accounting and reporting guidance applicable to investment companies. The following is a summary of significant accounting policies followed by the Portfolio.
1. Security Valuation
Portfolio securities are valued at their current market value determined on the basis of market quotations or, if market quotations are not readily available or are deemed unreliable, at “fair value” as determined in accordance with procedures established by and under the general supervision of the Fund’s Board of Directors (the “Board”).
In general, the market values of securities which are readily available and deemed reliable are determined as follows: securities listed on a national securities exchange (other than securities listed on the NASDAQ Stock Market, Inc. (“NASDAQ”)) or on a foreign securities exchange are valued at the last sale price at the close of the exchange or foreign securities exchange. If there has been no sale on such day, the securities are valued at the last traded price from the previous day. Securities listed on more than one exchange are valued by reference to the principal exchange on which the securities are traded; securities listed only on NASDAQ are valued in accordance with the NASDAQ Official Closing Price; listed or over the counter (“OTC”) market put or call options are valued at the mid level between the current bid and ask prices. If either a current bid or current ask price is unavailable, AllianceBernstein L.P. (the “Adviser”) will have discretion to determine the best valuation (e.g., last trade price in the case of listed options); open futures are valued using the closing settlement price or, in the absence of such a price, the most recent quoted bid price. If there are no quotations available for the day of valuation, the last available closing settlement price is used; U.S. Government securities and any other debt instruments having 60 days or less remaining until maturity are generally valued at market by an independent pricing vendor, if a market price is available. If a market price is not available, the securities are valued at amortized cost. This methodology is commonly used for short term securities that have an original maturity of 60 days or less, as well as short term securities that had an original term to maturity that exceeded 60 days. In instances when amortized cost is utilized, the Valuation Committee (the “Committee”) must reasonably conclude that the utilization of amortized cost is approximately the same as the fair value of the security. Factors the Committee will consider include, but are not limited to, an impairment of the creditworthiness of the issuer or material changes in interest rates. Fixed-income securities, including mortgage-backed and asset-backed securities, may be valued on the basis of prices provided by a pricing service or at a price obtained from one or more of the major broker-dealers. In cases where broker-dealer quotes are obtained, the Adviser may establish procedures whereby changes in market yields or spreads are used to adjust, on a daily basis, a recently obtained quoted price on a security. Swaps and other derivatives are valued daily, primarily using independent pricing services, independent pricing models using market inputs, as well as third party broker-dealers or counterparties. Open-end mutual funds are valued at the closing net asset value per share, while exchange traded funds are valued at the closing market price per share.
Securities for which market quotations are not readily available (including restricted securities) or are deemed unreliable are valued at fair value as deemed appropriate by the Adviser. Factors considered in making this determination may include, but are not limited to, information obtained by contacting the issuer, analysts, analysis of the issuer’s financial statements or other available documents. In addition, the Portfolio may use fair value pricing for securities primarily traded in non-U.S. markets because most foreign markets close well before the Portfolio values its securities at 4:00 p.m., Eastern Time. The
12
| | |
| |
| | | AB Variable Products Series Fund |
earlier close of these foreign markets gives rise to the possibility that significant events, including broad market moves, may have occurred in the interim and may materially affect the value of those securities. To account for this, the Portfolio generally values many of its foreign equity securities using fair value prices based on third party vendor modeling tools to the extent available.
2. Fair Value Measurements
In accordance with U.S. GAAP regarding fair value measurements, fair value is defined as the price that the Portfolio 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 as described in Note A.1 above). 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 Portfolio. Unobservable inputs reflect the Portfolio’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) |
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.
The following table summarizes the valuation of the Portfolio’s investments by the above fair value hierarchy levels as of December 31, 2021:
| | | | | | | | | | | | | | | | |
| | | Level 1 | | | Level 2 | | | Level 3 | | | Total | |
Investments in Securities: | | | | | | | | | | | | | | | | |
Assets: | |
Common Stocks(a) | | $ | 842,090,680 | | | $ | –0 | – | | $ | –0 | – | | $ | 842,090,680 | |
Short-Term Investments | | | 1,852,515 | | | | –0 | – | | | –0 | – | | | 1,852,515 | |
Investments of Cash Collateral for Securities Loaned in Affiliated Money Market Fund | | | 19,854 | | | | –0 | – | | | –0 | – | | | 19,854 | |
| | | | | | | | | | | | | | | | |
Total Investments in Securities | | | 843,963,049 | | | | –0 | – | | | –0 | – | | | 843,963,049 | |
Other Financial Instruments(b) | | | –0 | – | | | –0 | – | | | –0 | – | | | –0 | – |
| | | | | | | | | | | | | | | | |
Total | | $ | 843,963,049 | | | $ | –0 | – | | $ | –0 | – | | $ | 843,963,049 | |
| | | | | | | | | | | | | | | | |
| (a) | | See Portfolio of Investments for sector classifications. |
| (b) | | 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. |
13
| | |
| SMALL/MID CAP VALUE PORTFOLIO | | |
| NOTES TO FINANCIAL STATEMENTS | | |
| |
| (continued) | | AB Variable Products Series Fund |
3. Currency Translation
Assets and liabilities denominated in foreign currencies and commitments under forward currency exchange contracts are translated into U.S. dollars at the mean of the quoted bid and ask prices of such currencies against the U.S. dollar. Purchases and sales of portfolio securities are translated into U.S. dollars at the rates of exchange prevailing when such securities were acquired or sold. Income and expenses are translated into U.S. dollars at rates of exchange prevailing when accrued.
Net realized gain or loss on foreign currency transactions represents foreign exchange gains and losses from sales and maturities of foreign fixed income investments, holding of foreign currencies, currency gains or losses realized between the trade and settlement dates on foreign investment transactions, and the difference between the amounts of dividends, interest and foreign withholding taxes recorded on the Portfolio’s books and the U.S. dollar equivalent amounts actually received or paid. Net unrealized currency gains and losses from valuing foreign currency denominated assets and liabilities at period end exchange rates are reflected as a component of net unrealized appreciation or depreciation of foreign currency denominated assets and liabilities.
4. Taxes
It is the Portfolio’s policy to meet the requirements of the Internal Revenue Code applicable to regulated investment companies and to distribute all of its investment company taxable income and net realized gains, if any, to shareholders. Therefore, no provisions for federal income or excise taxes are required. The Portfolio may be subject to taxes imposed by countries in which it invests. Such taxes are generally based on income and/or capital gains earned or repatriated. Taxes are accrued and applied to net investment income, net realized gains and net unrealized appreciation/depreciation as such income and/or gains are earned.
In accordance with U.S. GAAP requirements regarding accounting for uncertainties in income taxes, management has analyzed the Portfolio’s tax positions taken or expected to be taken on federal and state income tax returns for all open tax years (the current and the prior three tax years) and has concluded that no provision for income tax is required in the Portfolio’s financial statements.
5. Investment Income and Investment Transactions
Dividend income is recorded on the ex-dividend date or as soon as the Portfolio is informed of the dividend. Interest income is accrued daily. Investment transactions are accounted for on the date the securities are purchased or sold. Investment gains or losses are determined on the identified cost basis. The Portfolio amortizes premiums and accretes discounts as adjustments to interest income. The Portfolio accounts for distributions received from REIT investments or from regulated investment companies as dividend income, realized gain, or return of capital based on information provided by the REIT or the investment company.
6. Class Allocations
All income earned and expenses incurred by the Portfolio are borne on a pro-rata basis by each outstanding class of shares, based on the proportionate interest in the Portfolio represented by the net assets of such class, except for class specific expenses which are allocated to the respective class. Expenses of the Fund are charged proportionately to each portfolio or based on other appropriate methods. Realized and unrealized gains and losses are allocated among the various share classes based on respective net assets.
7. Dividends and Distributions
Dividends and distributions to shareholders, if any, are recorded on the ex-dividend date. Income dividends and capital gains distributions are determined in accordance with federal tax regulations and may differ from those determined in accordance with U.S. GAAP. To the extent these differences are permanent, such amounts are reclassified within the capital accounts based on their federal tax basis treatment; temporary differences do not require such reclassification.
NOTE B: Advisory Fee and Other Transactions with Affiliates
Under the terms of the investment advisory agreement, the Portfolio pays the Adviser an advisory fee at an annual rate of .75% of the first $2.5 billion, .65% of the next $2.5 billion and .60% in excess of $5 billion, of the Portfolio’s average daily net assets. The fee is accrued daily and paid monthly. The Adviser has agreed to waive its fees and bear certain expenses to the extent necessary to limit total operating expenses on an annual basis (the “Expense Caps”) to 1.20% and 1.45% of daily average net assets for Class A and Class B shares, respectively. For the year ended December 31, 2021, there were no expenses waived by the Adviser.
14
| | |
| |
| | | AB Variable Products Series Fund |
Pursuant to the investment advisory agreement, the Portfolio may reimburse the Adviser for certain legal and accounting services provided to the Portfolio by the Adviser. For the year ended December 31, 2021, the reimbursement for such services amounted to $87,949.
The Portfolio compensates AllianceBernstein Investor Services, Inc. (“ABIS”), a wholly-owned subsidiary of the Adviser, under a Transfer Agency Agreement for providing personnel and facilities to perform transfer agency services for the Portfolio. Such compensation retained by ABIS amounted to $1,636 for the year ended December 31, 2021.
The Portfolio may invest in AB Government Money Market Portfolio (the “Government Money Market Portfolio”) which has a contractual annual advisory fee rate of .20% of the portfolio’s average daily net assets and bears its own expenses. The Adviser has contractually agreed to waive .10% of the advisory fee of Government Money Market Portfolio (resulting in a net advisory fee of .10%) until August 31, 2022. In connection with the investment by the Portfolio in Government Money Market Portfolio, the Adviser has contractually agreed to waive its advisory fee from the Portfolio in an amount equal to the Portfolio’s pro rata share of the effective advisory fee of Government Money Market Portfolio, as borne indirectly by the Portfolio as an acquired fund fee and expense. For the year ended December 31, 2021, such waiver amounted to $4,184.
A summary of the Portfolio’s transactions in AB mutual funds for the year ended December 31, 2021 is as follows:
| | | | | | | | | | | | | | | | | | | | |
Portfolio | | Market Value
12/31/20
(000) | | | Purchases
at Cost
(000) | | | Sales
Proceeds
(000) | | | Market Value
12/31/21
(000) | | | Dividend
Income
(000) | |
Government Money Market Portfolio | | $ | 10,258 | | | $ | 202,773 | | | $ | 211,179 | | | $ | 1,852 | | | $ | 1 | |
Government Money Market Portfolio* | | | –0 | – | | | 23,487 | | | | 23,467 | | | | 20 | | | | 0 | ** |
| | | | | | | | | | | | | | | | | | | | |
Total | | | | | | | | | | | | | | $ | 1,872 | | | $ | 1 | |
| | | | | | | | | | | | | | | | | | | | |
| * | | Investments of cash collateral for securities lending transactions (see Note E). |
| ** | | Amount is less than $500. |
NOTE C: Distribution Plan
The Portfolio has adopted a Distribution Plan (the “Plan”) for Class B shares pursuant to Rule 12b-1 under the Investment Company Act of 1940. Under the Plan, the Portfolio pays distribution and servicing fees to AllianceBernstein Investments, Inc. (the “Distributor”), a wholly-owned subsidiary of the Adviser, at an annual rate of up to ..50% of the Portfolio’s average daily net assets attributable to Class B shares. The fees are accrued daily and paid monthly. The Board currently limits payments under the Plan to .25% of the Portfolio’s average daily net assets attributable to Class B shares. The Plan provides that the Distributor will use such payments in their entirety for distribution assistance and promotional activities.
The Portfolio is not obligated under the Plan to pay any distribution and servicing fees in excess of the amounts set forth above. The purpose of the payments to the Distributor under the Plan is to compensate the Distributor for its distribution services with respect to the sale of the Portfolio’s Class B shares. Since the Distributor’s compensation is not directly tied to its expenses, the amount of compensation received by it under the Plan during any year may be more or less than its actual expenses. For this reason, the Plan is characterized by the staff of the Securities and Exchange Commission as being of the “compensation” variety.
In the event that the Plan is terminated or not continued, no distribution or servicing fees (other than current amounts accrued but not yet paid) would be owed by the Portfolio to the Distributor.
The Plan also provides that the Adviser may use its own resources to finance the distribution of the Portfolio’s shares.
NOTE D: Investment Transactions
Purchases and sales of investment securities (excluding short-term investments) for the year ended December 31, 2021 were as follows:
| | | | | | | | |
| | | Purchases | | | Sales | |
Investment securities (excluding U.S. government securities) | | $ | 419,835,679 | | | $ | 440,605,737 | |
U.S. government securities | | | –0 | – | | | –0 | – |
15
| | |
| SMALL/MID CAP VALUE PORTFOLIO | | |
| NOTES TO FINANCIAL STATEMENTS | | |
| |
| (continued) | | AB Variable Products Series Fund |
The cost of investments for federal income tax purposes, gross unrealized appreciation and unrealized depreciation are as follows:
| | | | |
Cost | | $ | 623,307,815 | |
| | | | |
Gross unrealized appreciation | | | 231,417,303 | |
Gross unrealized depreciation | | | (10,762,069 | ) |
| | | | |
Net unrealized appreciation | | $ | 220,655,234 | |
| | | | |
1. Derivative Financial Instruments
The Portfolio may use derivatives in an effort to earn income and enhance returns, to replace more traditional direct investments, to obtain exposure to otherwise inaccessible markets (collectively, “investment purposes”), or to hedge or adjust the risk profile of its portfolio.
The Portfolio did not engage in derivatives transactions for the year ended December 31, 2021.
2. Currency Transactions
The Portfolio may invest in non-U.S. Dollar-denominated securities on a currency hedged or unhedged basis. The Portfolio may seek investment opportunities by taking long or short positions in currencies through the use of currency-related derivatives, including forward currency exchange contracts, futures and options on futures, swaps, and other options. The Portfolio may enter into transactions for investment opportunities when it anticipates that a foreign currency will appreciate or depreciate in value but securities denominated in that currency are not held by the Portfolio and do not present attractive investment opportunities. Such transactions may also be used when the Adviser believes that it may be more efficient than a direct investment in a foreign currency-denominated security. The Portfolio may also conduct currency exchange contracts on a spot basis (i.e., for cash at the spot rate prevailing in the currency exchange market for buying or selling currencies).
NOTE E: Securities Lending
The Portfolio may enter into securities lending transactions. Under the Portfolio’s securities lending program, all loans of securities will be collateralized continually by cash collateral and/or non-cash collateral. Non-cash collateral will include only securities issued or guaranteed by the U.S. government or its agencies or instrumentalities. The Portfolio cannot sell or repledge any non-cash collateral, such collateral will not be reflected in the portfolio of investments. If a loan is collateralized by cash, the Portfolio will be compensated for the loan from a portion of the net return from the income earned on cash collateral after a rebate is paid to the borrower (in some cases, this rebate may be a “negative rebate” or fee paid by the borrower to the Portfolio in connection with the loan), and payments are made for fees of the securities lending agent and for certain other administrative expenses. If the Portfolio receives non-cash collateral, the Portfolio will receive a fee from the borrower generally equal to a negotiated percentage of the market value of the loaned securities. The Portfolio will have the right to call a loan and obtain the securities loaned at any time on notice to the borrower within the normal and customary settlement time for the securities. While the securities are on loan, the borrower is obligated to pay the Portfolio amounts equal to any dividend income or other distributions from the securities; however, these distributions will not be afforded the same preferential tax treatment as qualified dividends. The Portfolio will not be able to exercise voting rights with respect to any securities during the existence of a loan, but will have the right to regain ownership of loaned securities in order to exercise voting or other ownership rights. Collateral received and securities loaned are marked to market daily to ensure that the securities loaned are secured by collateral. The lending agent currently invests the cash collateral received in Government Money Market Portfolio, an eligible money market vehicle, in accordance with the investment restrictions of the Portfolio, and as approved by the Board. The collateral received on securities loaned is recorded as an asset as well as a corresponding liability in the statement of assets and liabilities. The collateral will be adjusted the next business day to maintain the required collateral amount. The amounts of securities lending income from the borrowers and Government Money Market Portfolio are reflected in the statement of operations. When the Portfolio earns net securities lending income from Government Money Market Portfolio, the income is inclusive of a rebate expense paid to the borrower. In connection with the cash collateral investment by the Portfolio in Government Money Market Portfolio, the Adviser has agreed to waive a portion of the Portfolio’s share of the advisory fees of Government Money Market Portfolio, as borne indirectly by the Portfolio as an acquired fund fee and expense. When the Portfolio lends securities, its investment performance will continue to reflect changes in the value of the securities loaned. A principal risk of lending portfolio securities is that the borrower may fail to return the loaned securities upon termination of the loan and that the collateral will not be sufficient to replace the loaned securities. The lending agent has agreed to indemnify the Portfolio in the case of default of any securities borrower.
16
| | |
| |
| | | AB Variable Products Series Fund |
A summary of the Portfolio’s transactions surrounding securities lending for the year ended December 31, 2021 is as follows:
| | | | | | | | | | |
| | | | | | | | | Government Money Market
Portfolio |
Market Value of
Securities on Loan* | | Cash Collateral* | | Market Value of
Non-Cash
Collateral* | | Income from
Borrowers | | Income
Earned | | Advisory Fee
Waived |
| $26,372,779 | | $19,854 | | $27,010,535 | | $38,460 | | $55 | | $–0– |
| * | | As of December 31, 2021. |
NOTE F: Capital Stock
Each class consists of 500,000,000 authorized shares. Transactions in capital shares for each class were as follows:
| | | | | | | | | | | | | | | | | | | | |
| | | SHARES | | | | | | AMOUNT | |
| | | Year Ended
December 31,
2021 | | | Year Ended
December 31,
2020 | | | | | | Year Ended
December 31,
2021 | | | Year Ended
December 31,
2020 | |
Class A | |
Shares sold | | | 1,695,215 | | | | 2,448,083 | | | | | | | $ | 36,964,186 | | | $ | 33,752,481 | |
Shares issued in reinvestment of dividends and distributions | | | 95,343 | | | | 788,663 | | | | | | | | 2,074,675 | | | | 10,812,568 | |
Shares redeemed | | | (2,370,503 | ) | | | (2,229,236 | ) | | | | | | | (50,998,841 | ) | | | (32,550,890 | ) |
| | | | | | | | | | | | | | | | | | | | |
Net increase (decrease) | | | (579,945 | ) | | | 1,007,510 | | | | | | | $ | (11,959,980 | ) | | $ | 12,014,159 | |
| | | | | | | | | | | | | | | | | | | | |
Class B | |
Shares sold | | | 5,030,121 | | | | 4,230,893 | | | | | | | $ | 108,632,675 | | | $ | 51,341,662 | |
Shares issued in reinvestment of dividends and distributions | | | 146,485 | | | | 1,579,260 | | | | | | | | 3,152,352 | | | | 21,414,765 | |
Shares redeemed | | | (6,011,642 | ) | | | (4,535,252 | ) | | | | | | | (126,054,540 | ) | | | (67,534,661 | ) |
| | | | | | | | | | | | | | | | | | | | |
Net increase (decrease) | | | (835,036 | ) | | | 1,274,901 | | | | | | | $ | (14,269,513 | ) | | $ | 5,221,766 | |
| | | | | | | | | | | | | | | | | | | | |
At December 31, 2021, certain shareholders of the Portfolio owned 71% in aggregate of the Portfolio’s outstanding shares. Significant transactions by such shareholders, if any, may impact the Portfolio’s performance.
NOTE G: Risks Involved in Investing in the Portfolio
Market Risk—The value of the Portfolio’s assets will fluctuate as the stock or bond market fluctuates. The value of its investments may decline, sometimes rapidly and unpredictably, simply because of economic changes or other events, including public health crises (including the occurrence of a contagious disease or illness), that affect large portions of the market. It includes the risk that a particular style of investing, such as the Portfolio’s value approach, may underperform the market generally.
Capitalization Risk—Investments in small- and mid-capitalization companies may be more volatile than investments in large-capitalization companies. Investments in small- and mid-capitalization companies may have additional risks because these companies have limited product lines, markets or financial resources.
Foreign (Non-U.S.) Risk—Investments in securities of non-U.S. issuers may involve more risk than those of U.S. issuers. These securities may fluctuate more widely in price and may be more difficult to trade due to adverse market, economic, political, regulatory or other factors.
Currency Risk—Fluctuations in currency exchange rates may negatively affect the value of the Portfolio’s investments or reduce its returns.
Derivatives Risk—Derivatives may be difficult to price or unwind and leveraged so that small changes may produce disproportionate losses for the Portfolio. Derivatives, especially over-the-counter derivatives, are also subject to counterparty risk, which is the risk that the counterparty (the party on the other side of the transaction) on a derivative transaction will be unable or unwilling to honor its contractual obligation to the Portfolio.
17
| | |
| SMALL/MID CAP VALUE PORTFOLIO | | |
| NOTES TO FINANCIAL STATEMENTS | | |
| |
| (continued) | | AB Variable Products Series Fund |
LIBOR Transition and Associated Risk—A Portfolio may be exposed to debt securities, derivatives or other financial instruments that are tied to the London Interbank Offered Rate, or “LIBOR,” as a “benchmark” or “reference rate” for various interest rate calculations. In 2017, the United Kingdom Financial Conduct Authority (“FCA”), which regulates LIBOR, announced a desire to phase out the use of LIBOR by the end of 2021. The FCA and LIBOR’s administrator, ICE Benchmark Administration, have since announced that most LIBOR settings (which reflect LIBOR rates quoted in different currencies over various time periods) will no longer be published after the end of 2021 but that the most widely used U.S. dollar LIBOR settings will continue to be published until June 30, 2023. However, banks were strongly encouraged to cease entering into agreements with counterparties referencing LIBOR by the end of 2021. It is possible that a subset of LIBOR settings will be published after these dates on a “synthetic” basis, but any such publications would be considered non-representative of the underlying market. The U.S. Federal Reserve, based on the recommendations of the New York Federal Reserve’s Alternative Reference Rate Committee (comprised of major derivative market participants and their regulators), has begun publishing a Secured Overnight Funding Rate (referred to as SOFR), which is intended to replace U.S. dollar LIBOR. Proposals for alternative reference rates for other currencies have also been announced or have already begun publication. Markets are slowly developing in response to these new rates.
The elimination of LIBOR or changes to other reference rates or any other changes or reforms to the determination or supervision of reference rates could have an adverse impact on the market for, or value of, any securities or payments linked to those reference rates, which may adversely affect a Portfolio’s performance and/or net asset value. Uncertainty and risk also remain regarding the willingness and ability of issuers and lenders to include revised provisions in new and existing contracts or instruments. Consequently, the transition away from LIBOR to other reference rates may lead to increased volatility and illiquidity in markets that are tied to LIBOR, fluctuations in values of LIBOR-related investments or investments in issuers that utilize LIBOR, increased difficulty in borrowing or refinancing and diminished effectiveness of hedging strategies, potentially adversely affecting a Portfolio’s performance. Furthermore, the risks associated with the expected discontinuation of LIBOR and transition may be exacerbated if the work necessary to effect an orderly transition to an alternative reference rate is not completed in a timely manner. The potential effects of a phase out of LIBOR on LIBOR-based investments are currently unknown.
Indemnification Risk—In the ordinary course of business, the Portfolio enters into contracts that contain a variety of indemnifications. The Portfolio’s maximum exposure under these arrangements is unknown. However, the Portfolio has not had prior claims or losses pursuant to these indemnification provisions and expects the risk of loss thereunder to be remote. Therefore, the Portfolio has not accrued any liability in connection with these indemnification provisions.
Management Risk—The Portfolio is subject to management risk because it is an actively-managed investment fund. The Adviser will apply its investment techniques and risk analyses in making investment decisions for the Portfolios, but there is no guarantee that its techniques will produce the intended results. Some of these techniques may incorporate, or rely upon, quantitative models, but there is no guarantee that these models will generate accurate forecasts, reduce risk or otherwise perform as expected.
NOTE H: Joint Credit Facility
A number of open-end mutual funds managed by the Adviser, including the Portfolio, participate in a $325 million revolving credit facility (the “Facility”) intended to provide short-term financing related to redemptions and other short term liquidity requirements, subject to certain restrictions. Commitment fees related to the Facility are paid by the participating funds and are included in miscellaneous expenses in the statement of operations. The Portfolio did not utilize the Facility during the year ended December 31, 2021.
NOTE I: Distributions to Shareholders
The tax character of distributions paid during the fiscal years ended December 31, 2021 and December 31, 2020 were as follows:
| | | | | | | | |
| | | 2021 | | | 2020 | |
Distributions paid from: | | | | | | | | |
Ordinary income | | $ | 5,227,027 | | | $ | 4,931,851 | |
Net long-term capital gains | | | –0 | – | | | 27,295,482 | |
| | | | | | | | |
Total taxable distributions | | $ | 5,227,027 | | | $ | 32,227,333 | |
| | | | | | | | |
18
| | |
| |
| | | AB Variable Products Series Fund |
As of December 31, 2021, the components of accumulated earnings/(deficit) on a tax basis were as follows:
| | | | |
Undistributed ordinary income | | $ | 53,849,918 | |
Undistributed capital gains | | | 59,656,656 | (a) |
Unrealized appreciation/(depreciation) | | | 220,655,234 | (b) |
| | | | |
Total accumulated earnings/(deficit) | | $ | 334,161,808 | |
| | | | |
| (a) | | During the fiscal year, the Portfolio utilized $21,198,650 of capital loss carry forwards to offset current year net realized gains. |
| (b) | | The differences between book-basis and tax-basis unrealized appreciation/(depreciation) are attributable primarily to the tax deferral of losses on wash sales. |
For tax purposes, net realized capital losses may be carried over to offset future capital gains, if any. Funds are permitted to carry forward capital losses for an indefinite period, and such losses will retain their character as either short-term or long-term capital losses. As of December 31, 2021, the Portfolio did not have any capital loss carryforwards.
During the current fiscal year, there were no permanent differences that resulted in adjustments to distributable earnings or additional paid-in capital.
NOTE J: Recent Accounting Pronouncements
In March 2020, the Financial Accounting Standards Board issued an Accounting Standards Update, ASU 2020-04, “Reference Rate Reform (Topic 848)—Facilitation of the Effects of Reference Rate Reform on Financial Reporting.” ASU 2020-04 provides optional guidance to ease the potential accounting burden due to the discontinuation of the LIBOR and other interbank-offered based reference rates. ASU 2020-04 is effective as of March 12, 2020 through December 31, 2022. Management is currently evaluating the impact, if any, of applying ASU 2020-04.
NOTE K: Subsequent Events
Management has evaluated subsequent events for possible recognition or disclosure in the financial statements through the date the financial statements are issued. Management has determined that there are no material events that would require disclosure in the Portfolio’s financial statements through this date.
19
| | |
| | |
| SMALL/MID CAP VALUE PORTFOLIO | | |
| |
| FINANCIAL HIGHLIGHTS | | AB Variable Products Series Fund |
Selected Data For A Share Of Capital Stock Outstanding Throughout Each Period
| | | | | | | | | | | | | | | | | | | | |
| | | CLASS A | |
| | | Year Ended December 31, | |
| | | 2021 | | | 2020 | | | 2019 | | | 2018 | | | 2017 | |
Net asset value, beginning of period | | | $17.39 | | | | $17.91 | | | | $16.93 | | | | $21.68 | | | | $20.29 | |
| | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | |
Income From Investment Operations | | | | | | | | | | | | | | | | | | | | |
Net investment income (a)(b) | | | .21 | | | | .17 | | | | .16 | | | | .13 | | | | .10 | |
Net realized and unrealized gain (loss) on investment transactions | | | 6.03 | | | | .20 | | | | 3.04 | | | | (3.04 | ) | | | 2.41 | |
| | | | | | | | | | | | | | | | | | | | |
Net increase (decrease) in net asset value from operations | | | 6.24 | | | | .37 | | | | 3.20 | | | | (2.91 | ) | | | 2.51 | |
| | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | |
Less: Dividends and Distributions | | | | | | | | | | | | | | | | | | | | |
Dividends from net investment income | | | (.17 | ) | | | (.16 | ) | | | (.11 | ) | | | (.11 | ) | | | (.09 | ) |
Distributions from net realized gain on investment transactions | | | –0 | – | | | (.73 | ) | | | (2.11 | ) | | | (1.73 | ) | | | (1.03 | ) |
| | | | | | | | | | | | | | | | | | | | |
Total dividends and distributions | | | (.17 | ) | | | (.89 | ) | | | (2.22 | ) | | | (1.84 | ) | | | (1.12 | ) |
| | | | | | | | | | | | | | | | | | | | |
Net asset value, end of period | | | $23.46 | | | | $17.39 | | | | $17.91 | | | | $16.93 | | | | $21.68 | |
| | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | |
Total Return | | | | | | | | | | | | | | | | | | | | |
Total investment return based on net asset value (c)* | | | 35.95 | % | | | 3.37 | % | | | 20.10 | % | | | (15.03 | )% | | | 13.15 | % |
| | | | | | | | | | | | | | | | | | | | |
Ratios/Supplemental Data | | | | | | | | | | | | | | | | | | | | |
Net assets, end of period (000’s omitted) | | | $286,390 | | | | $222,441 | | | | $211,046 | | | | $188,052 | | | | $233,652 | |
Ratio to average net assets of: | | | | | | | | | | | | | | | | | | | | |
Expenses, net of waivers/reimbursements | | | .80 | % | | | .83 | % | | | .82 | % | | | .81 | % | | | .81 | % |
Expenses, before waivers/reimbursements | | | .80 | % | | | .83 | % | | | .83 | % | | | .81 | % | | | .82 | % |
Net investment income (b) | | | .98 | % | | | 1.17 | % | | | .90 | % | | | .61 | % | | | .47 | % |
Portfolio turnover rate | | | 54 | % | | | 58 | % | | | 33 | % | | | 39 | % | | | 33 | % |
See footnote summary on page 21.
20
| | |
| |
| | | AB Variable Products Series Fund |
Selected Data For A Share Of Capital Stock Outstanding Throughout Each Period
| | | | | | | | | | | | | | | | | | | | |
| | | CLASS B | |
| | | Year Ended December 31, | |
| | | 2021 | | | 2020 | | | 2019 | | | 2018 | | | 2017 | |
Net asset value, beginning of period | | | $17.19 | | | | $17.72 | | | | $16.75 | | | | $21.48 | | | | $20.12 | |
| | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | |
Income From Investment Operations | | | | | | | | | | | | | | | | | | | | |
Net investment income (a)(b) | | | .16 | | | | .13 | | | | .12 | | | | .07 | | | | .05 | |
Net realized and unrealized gain (loss) on investment transactions | | | 5.95 | | | | .18 | | | | 3.02 | | | | (3.02 | ) | | | 2.39 | |
| | | | | | | | | | | | | | | | | | | | |
Net increase (decrease) in net asset value from operations | | | 6.11 | | | | .31 | | | | 3.14 | | | | (2.95 | ) | | | 2.44 | |
| | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | |
Less: Dividends and Distributions | | | | | | | | | | | | | | | | | | | | |
Dividends from net investment income | | | (.13 | ) | | | (.11 | ) | | | (.06 | ) | | | (.05 | ) | | | (.05 | ) |
Distributions from net realized gain on investment transactions | | | –0 | – | | | (.73 | ) | | | (2.11 | ) | | | (1.73 | ) | | | (1.03 | ) |
| | | | | | | | | | | | | | | | | | | | |
Total dividends and distributions | | | (.13 | ) | | | (.84 | ) | | | (2.17 | ) | | | (1.78 | ) | | | (1.08 | ) |
| | | | | | | | | | | | | | | | | | | | |
Net asset value, end of period | | | $23.17 | | | | $17.19 | | | | $17.72 | | | | $16.75 | | | | $21.48 | |
| | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | |
Total Return | | | | | | | | | | | | | | | | | | | | |
Total investment return based on net asset value (c)* | | | 35.60 | % | | | 3.05 | % | | | 19.90 | % | | | (15.29 | )% | | | 12.85 | % |
| | | | | | | | | | | | | | | | | | | | |
Ratios/Supplemental Data | | | | | | | | | | | | | | | | | | | | |
Net assets, end of period (000’s omitted) | | | $563,741 | | | | $432,719 | | | | $423,246 | | | | $374,941 | | | | $469,501 | |
Ratio to average net assets of: | | | | | | | | | | | | | | | | | | | | |
Expenses, net of waivers/reimbursements | | | 1.05 | % | | | 1.08 | % | | | 1.07 | % | | | 1.06 | % | | | 1.06 | % |
Expenses, before waivers/reimbursements | | | 1.05 | % | | | 1.08 | % | | | 1.08 | % | | | 1.06 | % | | | 1.07 | % |
Net investment income (b) | | | .73 | % | | | .91 | % | | | .65 | % | | | .36 | % | | | .22 | % |
Portfolio turnover rate. | | | 54 | % | | | 58 | % | | | 33 | % | | | 39 | % | | | 33 | % |
| (a) | | Based on average shares outstanding. |
| (b) | | Net of expenses waived/reimbursed by the Adviser. |
| (c) | | Total investment return is calculated assuming an initial investment made at the net asset value at the beginning of the period, reinvestment of all dividends and distributions at net asset value during the period, and redemption on the last day of the period. Total return does not reflect (i) insurance company’s separate account related expense charges and (ii) the deductions of taxes that a shareholder would pay on Portfolio distributions or the redemption of Portfolio shares. Total investment return calculated for a period of less than one year is not annualized. |
| * | | Includes the impact of proceeds received and credited to the Portfolio resulting from class action settlements, which enhanced the Portfolio’s performance for the years ended December 31, 2018 and December 31, 2017 by .07% and .11%, respectively. |
See notes to financial statements.
21
| | |
| | |
| REPORT OF INDEPENDENT REGISTERED | | |
| |
| PUBLIC ACCOUNTING FIRM | | AB Variable Products Series Fund |
To the Shareholders and the Board of Directors of AB Small/Mid Cap Value Portfolio
Opinion on the Financial Statements
We have audited the accompanying statement of assets and liabilities of AB Small/Mid Cap Value Portfolio (the “Portfolio”) (one of the portfolios constituting AB Variable Products Series Fund, Inc. (the “Fund”)), including the portfolio of investments, as of December 31, 2021, and the related statement of operations for the year then ended, the statements of changes in net assets for each of the two years in the period then ended, the financial highlights for each of the five years in the period then ended and the related notes (collectively referred to as the “financial statements”). In our opinion, the financial statements present fairly, in all material respects, the financial position of the Portfolio (one of the portfolios constituting AB Variable Products Series Fund, Inc.) at December 31, 2021, the results of its operations for the year then ended, the changes in its net assets for each of the two years in the period then ended and its financial highlights for each of the five years in the period then ended, in conformity with U.S. generally accepted accounting principles.
Basis for Opinion
These financial statements are the responsibility of the Fund’s management. Our responsibility is to express an opinion on the Portfolio’s financial statements based on our audits. We are a public accounting firm registered with the Public Company Accounting Oversight Board (United States) (“PCAOB”) and are required to be independent with respect to the Fund in accordance with the U.S. federal securities laws and the applicable rules and regulations of the Securities and Exchange Commission and the PCAOB.
We conducted our audits in accordance with the standards of the PCAOB. Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements are free of material misstatement, whether due to error or fraud. The Fund is not required to have, nor were we engaged to perform, an audit of the Fund’s internal control over financial reporting. As part of our audits we are required to obtain an understanding of internal control over financial reporting but not for the purpose of expressing an opinion on the effectiveness of the Fund’s internal control over financial reporting. Accordingly, we express no such opinion.
Our audits included performing procedures to assess the risks of material misstatement of the financial statements, whether due to error or fraud, and performing procedures that respond to those risks. Such procedures included examining, on a test basis, evidence regarding the amounts and disclosures in the financial statements. Our procedures included confirmation of securities owned as of December 31, 2021, by correspondence with the custodian and others or by other appropriate auditing procedures where replies from others were not received. Our audits also included evaluating the accounting principles used and significant estimates made by management, as well as evaluating the overall presentation of the financial statements. We believe that our audits provide a reasonable basis for our opinion.
We have served as the auditor of one or more of the AB investment companies since 1968.
New York, New York
February 14, 2022
22
| | |
| | |
| | |
| |
| 2021 TAX INFORMATION (unaudited) | | AB Variable Products Series Fund |
For Federal income tax purposes, the following information is furnished with respect to the distributions paid by the Portfolio during the taxable year ended December 31, 2021. For corporate shareholders, 99.99% of dividends paid qualify for the dividends received deduction.
23
| | |
| | |
| | |
| |
| SMALL/MID CAP VALUE PORTFOLIO | | AB Variable Products Series Fund |
| | |
| BOARD OF DIRECTORS | | |
Marshall C. Turner, Jr.(1), Chairman Jorge A. Bermudez(1) Michael J. Downey(1) Onur Erzan, President and
Chief Executive Officer | | Nancy P. Jacklin(1) Jeanette W. Loeb(1) Carol C. McMullen(1) Garry L. Moody(1) |
| | |
| | |
| OFFICERS | | |
James W. MacGregor(2), Vice President Erik A. Turenchalk(2), Vice President Emilie D. Wrapp, Secretary Michael B. Reyes, Senior Vice President and Senior Analyst | | Joseph J. Mantineo, Treasurer and
Chief Financial Officer Phyllis J. Clarke, Controller Vincent S. Noto, Chief Compliance Officer |
| | |
| | |
| CUSTODIANAND ACCOUNTING AGENT | | LEGAL COUNSEL |
State Street Bank and Trust Company State Street Corporation CCB/5 1 Iron Street Boston, MA 02210 | | Seward & Kissel LLP One Battery Park Plaza New York, NY 10004 |
| | |
DISTRIBUTOR AllianceBernstein Investments, Inc. 501 Commerce Street Nashville, TN 37203 | | TRANSFER AGENT AllianceBernstein Investor Services, Inc. P.O. Box 786003 San Antonio, TX 78278 Toll-Free (800) 221-5672 |
| | |
INDEPENDENT REGISTERED PUBLIC ACCOUNTING FIRM Ernst & Young LLP One Manhattan West New York, NY 10001 | | |
| (1) | | Member of the Audit Committee, the Governance and Nominating Committee, and the Independent Directors Committee. |
| (2) | | The day-to-day management of, and investment decisions for, the Portfolio’s portfolio are made by the Small/Mid-Cap Value Senior Investment Management Team. Messrs. MacGregor and Turenchalk are the investment professionals with the most significant responsibility for the day-to-day management of the Portfolio’s portfolio. |
24
| | |
| | |
| SMALL/MID CAP VALUE PORTFOLIO | | |
| |
| MANAGEMENT OF THE FUND | | AB Variable Products Series Fund |
Board of Directors Information
The business and affairs of the Fund are managed under the direction of the Board of Directors. Certain information concerning the Fund’s Directors is set forth below.
| | | | | | | | |
NAME, ADDRESS*,
AGE AND
(YEAR FIRST ELECTED)** | | PRINCIPAL
OCCUPATION(S),
DURING PAST FIVE YEARS
AND OTHER INFORMATION*** | | PORTFOLIOS
IN AB FUND
COMPLEX
OVERSEEN BY
DIRECTOR | | | OTHER PUBLIC
COMPANY
DIRECTORSHIPS
CURRENTLY
HELD BY
DIRECTOR
|
| INTERESTED DIRECTOR | | | | | | |
| | | | | | | | |
Onur Erzan,# 1345 Avenue of the Americas
New York, NY 10105
46
(2021) | | Senior Vice President of AllianceBernstein L.P. (the “Adviser”) and Head of the Global Client Group overseeing AB’s institutional and retail businesses, where he is responsible for all client services, sales and marketing, as well as product strategy, management and development worldwide. Director, President and Chief Executive Officer of the AB Mutual Funds as of April 1, 2021. Prior to joining the firm in January 2021, he spent 20 years with McKinsey (management consulting firm), most recently as a senior partner and co-leader of its Wealth & Asset Management practice. In addition, he co-led McKinsey’s Banking & Securities Solutions (a portfolio of data, analytics, and digital assets and capabilities) globally. | | | 74 | | | None |
| | | | | | | | |
| INDEPENDENT DIRECTORS | | | | | | |
| | | | | | | | |
Marshall C. Turner, Jr.,##
Chairman of the Board
80
(2005) | | Private Investor since prior to 2017. Former Chairman and CEO of Dupont Photomasks, Inc. (components of semi-conductor manufacturing). He was a Director of Xilinx, Inc. (programmable logic semiconductors and adaptable, intelligent computing) from 2007 through August 2020, and is a former director of 33 other companies and organizations. He has extensive operating leadership, and venture capital investing experience, including five interim or full-time CEO roles, and prior service as general partner of institutional venture capital partnerships. He also has extensive non-profit board leadership experience, and currently serves on the boards of two education and science-related non-profit organizations. He has served as a director of one AB Fund since 1992, and director or trustee of all AB Funds since 2005. He has been Chairman of the AB Funds since January 2014, and the Chairman of the Independent Directors Committees of such AB Funds since February 2014. | | | 74 | | | None |
| | | | | | | | |
25
| | |
| SMALL/MID CAP VALUE PORTFOLIO | | |
| MANAGEMENT OF THE FUND | | |
| |
| (continued) | | AB Variable Products Series Fund |
| | | | | | | | |
NAME, ADDRESS*,
AGE AND
(YEAR FIRST ELECTED)** | | PRINCIPAL
OCCUPATION(S),
DURING PAST FIVE YEARS
AND OTHER INFORMATION*** | | PORTFOLIOS
IN AB FUND
COMPLEX
OVERSEEN BY
DIRECTOR | | | OTHER PUBLIC
COMPANY
DIRECTORSHIPS
CURRENTLY
HELD BY
DIRECTOR
|
INDEPENDENT DIRECTORS (continued) | | | | | | |
| | | | | | | | |
Jorge A. Bermudez,##
70
(2020) | | Private Investor since prior to 2017. Formerly, Chief Risk Officer of Citigroup, Inc., a global financial services company, from November 2007 to March 2008, Chief Executive Officer of Citigroup’s Commercial Business Group in North America and Citibank Texas from 2005 to 2007, and a variety of other executive and leadership roles at various businesses within Citigroup prior to then; Chairman (2018) of the Texas A&M Foundation Board of Trustees (Trustee since 2013) and Chairman of the Smart Grid Center Board at Texas A&M University since 2012; director of, among others, Citibank N.A. from 2005 to 2008, the Federal Reserve Bank of Dallas, Houston Branch from 2009 to 2011, the Federal Reserve Bank of Dallas from 2011 to 2017, and the Electric Reliability Council of Texas from 2010 to 2016. He has served as director or trustee of the AB Funds since January 2020. | | | 74 | | | Moody’s Corporation since April 2011 |
| | | | | | | | |
Michael J. Downey,##
78
(2005) | | Private Investor since prior to 2017. Formerly, Chairman of The Asia Pacific Fund, Inc. (registered investment company) since prior to 2017 until January 2019. From 1987 until 1993, Chairman and CEO of Prudential Mutual Fund Management, director of the Prudential mutual funds, and member of the Executive Committee of Prudential Securities, Inc. He has served as a director or trustee of the AB Funds since 2005. | | | 74 | | | None |
| | | | | | | | |
Nancy P. Jacklin,##
73
(2006) | | Private Investor since prior to 2017. Professorial Lecturer at the Johns Hopkins School of Advanced International Studies (2008–2015). U.S. Executive Director of the International Monetary Fund (which is responsible for ensuring the stability of the international monetary system), (December 2002–May 2006); Partner, Clifford Chance (1992–2002); Sector Counsel, International Banking and Finance, and Associate General Counsel, Citicorp (1985–1992); Assistant General Counsel (International), Federal Reserve Board of Governors (1982–1985); and Attorney Advisor, U.S. Department of the Treasury (1973–1982). Member of the Bar of the District of Columbia and of New York; and member of the Council on Foreign Relations. She has served as a director or trustee of the AB Funds since 2006 and has been Chair of the Governance and Nominating Committees of the AB Funds since August 2014. | | | 74 | | | None |
| | | | | | | | |
26
| | |
| |
| | | AB Variable Products Series Fund |
| | | | | | | | |
NAME, ADDRESS*,
AGE AND
(YEAR FIRST ELECTED)** | | PRINCIPAL
OCCUPATION(S),
DURING PAST FIVE YEARS
AND OTHER INFORMATION*** | | PORTFOLIOS
IN AB FUND
COMPLEX
OVERSEEN BY
DIRECTOR | | | OTHER PUBLIC
COMPANY
DIRECTORSHIPS
CURRENTLY
HELD BY
DIRECTOR
|
INDEPENDENT DIRECTORS (continued) | | | | | | |
| | | | | | | | |
Jeanette W. Loeb,##
69 (2020) | | Chief Executive Officer of PetCareRx (e-commerce pet pharmacy) from 2002 to 2011 and 2015 to present. Director of New York City Center since 2005. She was a director of AB Multi-Manager Alternative Fund, Inc. (fund of hedge funds) from 2012 to 2018. Formerly, affiliated with Goldman Sachs Group, Inc. (financial services) from 1977 to 1994, including as a partner thereof from 1986 to 1994. She has served as director or trustee of the AB Funds since April 2020. | | | 74 | | | Apollo Investment Corp. (business development company) since August 2011 |
| | | | | | | | |
Carol C. McMullen,##
66
(2016) | | Managing Director of Slalom Consulting (consulting) since 2014, private investor and a member of the Advisory Board of Butcher Box (since 2018). Formerly, member, Partners Healthcare Investment Committee (2010–2019); Director of Norfolk & Dedham Group (mutual property and casualty insurance) from 2011 until November 2016; Director of Partners Community Physicians Organization (healthcare) from 2014 until December 2016; and Managing Director of The Crossland Group (consulting) from 2012 until 2013. She has held a number of senior positions in the asset and wealth management industries, including at Eastern Bank (where her roles included President of Eastern Wealth Management), Thomson Financial (Global Head of Sales for Investment Management), and Putnam Investments (where her roles included Chief Investment Officer, Core and Growth and Head of Global Investment Research). She has served on a number of private company and non-profit boards, and as a director or trustee of the AB Funds since June 2016. | | | 74 | | | None |
| | | | | | | | |
Garry L. Moody,##
69
(2008) | | Private Investor since prior to 2017. Formerly, Partner, Deloitte & Touche LLP (1995–2008) where he held a number of senior positions, including Vice Chairman, and U.S. and Global Investment Management Practice Managing Partner; President, Fidelity Accounting and Custody Services Company (1993–1995), where he was responsible for accounting, pricing, custody and reporting for the Fidelity mutual funds; and Partner, Ernst & Young LLP (1975–1993), where he served as the National Director of Mutual Fund Tax Services and Managing Partner of its Chicago Office Tax department. He is a member of the Trustee Advisory Board of BoardIQ, a biweekly publication focused on issues and news affecting directors of mutual funds. He is also a member of the Investment Company Institute’s Board of Governors and the Independent Directors Council’s Governing Council. He has served as a director or trustee, and as Chairman of the Audit Committees, of the AB Funds since 2008. | | | 74 | | | None |
27
| | |
| SMALL/MID CAP VALUE PORTFOLIO | | |
| MANAGEMENT OF THE FUND | | |
| |
| (continued) | | AB Variable Products Series Fund |
| * | The address for each of the Fund’s disinterested Directors is c/o AllianceBernstein L.P., Attention: Legal and Compliance Department—Mutual Fund Legal, 1345 Avenue of the Americas, New York, NY 10105. |
| ** | There is no stated term of office for the Fund’s Directors. |
| *** | The information above includes each Director’s principal occupation during the last five years and other information relating to the experience, attributes and skills relevant to each Director’s qualifications to serve as a Director, which led to the conclusion that each Director should serve as a Director for the Fund. |
| # | Mr. Erzan is an “interested person” of the Fund, as defined in the “1940 Act”, due to his position as a Senior Vice President of the Adviser. |
| ## | Member of the Audit Committee, the Governance and Nominating Committee, and the Independent Directors Committee. |
28
| | |
| |
| | | AB Variable Products Series Fund |
Officer Information
Certain information concerning the Portfolio’s Officers is listed below.
| | | | |
NAME, ADDRESS*
AND AGE | | PRINCIPAL POSITION(S)
HELD WITH FUND | | PRINCIPAL OCCUPATION
DURING PAST FIVE YEARS |
Onur Erzan
46 | | President and Chief Executive Officer | | See biography above. |
| | | | |
James W. MacGregor
54 | | Vice President | | Senior Vice President of the Adviser**, with which he has been associated since prior to 2017. He is also Head - US Value Equities since 2019; Chief Investment Officer of US Small and Mid Cap Value Equities. |
| | | | |
Erik A. Turenchalk
49 | | Vice President | | Senior Vice President of the Adviser**, with which he has been associated since prior to 2017. |
| | | | |
Emilie D. Wrapp
66 | | Secretary | | Senior Vice President, Assistant General Counsel and Assistant Secretary of ABI **, with which she has been associated since prior to 2017. |
| | | | |
Michael B. Reyes
45 | | Senior Vice President and Senior Analyst | | Vice President of the Adviser**, with which he has been associated since prior to 2017. |
| | | | |
Joseph J. Mantineo
62 | | Treasurer and Chief Financial Officer | | Senior Vice President of AllianceBernstein Investor Services, Inc. (“ABIS”)**, with which he has been associated since prior to 2017. |
| | | | |
Phyllis J. Clarke
61 | | Controller | | Vice President of ABIS**, with which she has been associated since prior to 2017. |
| | | | |
Vincent S. Noto 57 | | Chief Compliance Officer | | Senior Vice President and Mutual Fund Chief Compliance Officer of the Adviser** since prior to 2017. |
| * | | The address for each of the Portfolio’s Officers is 1345 Avenue of the Americas, New York, NY 10105. |
| ** | | The Adviser, ABIS and ABI are affiliates of the Fund. |
| | | The Fund’s Statement of Additional Information (“SAI”) has additional information about the Fund’s Directors and Officers and is available without charge upon request. Contact your financial representative or the Adviser at (800) 227-4618 or visit www.abfunds.com, for a free prospectus or SAI. |
29
| | |
| | | |
| | | |
| |
| SMALL/MID CAP VALUE PORTFOLIO | | AB Variable Products Series Fund |
OPERATION AND EFFECTIVENESS OF THE PORTFOLIO’S LIQUIDITY RISK MANAGEMENT PROGRAM:
In October 2016, the Securities and Exchange Commission (“SEC”) adopted the open-end fund liquidity rule (the “Liquidity Rule”). In June 2018 the SEC adopted a requirement that funds disclose information about the operation and effectiveness of their Liquidity Risk Management Program (“LRMP”) in their reports to shareholders.
One of the requirements of the Liquidity Rule is for the Portfolio to designate an Administrator of the Portfolio’s Liquidity Risk Management Program. The Administrator of the Portfolio’s LRMP is AllianceBernstein L.P., the Portfolio’s investment adviser (the “Adviser”). The Adviser has delegated the responsibility to its Liquidity Risk Management Committee (the “Committee”).
Another requirement of the Liquidity Rule is for the Portfolio’s Board of Directors (the “Fund Board”) to receive an annual written report from the Administrator of the LRMP, which addresses the operation of the Portfolio’s LRMP and assesses its adequacy and effectiveness. The Adviser provided the Fund Board with such annual report during the first quarter of 2021, which covered the period January 1, 2020 through December 31, 2020 (the “Program Reporting Period”).
The LRMP’s principal objectives include supporting the Portfolio’s compliance with limits on investments in illiquid assets and mitigating the risk that the Portfolio will be unable to meet its redemption obligations in a timely manner.
Pursuant to the LRMP, the Portfolio classifies the liquidity of its portfolio investments into one of the four categories defined by the SEC: Highly Liquid, Moderately Liquid, Less Liquid, and Illiquid. These classifications are reported to the SEC on Form N-PORT.
During the Program Reporting Period, the Committee reviewed whether the Portfolio’s strategy is appropriate for an open-end structure, incorporating any holdings of less liquid and illiquid assets. If the Portfolio participated in derivative transactions, the exposure from such transactions were considered in the LRMP.
The Committee also performed an analysis to determine whether the Portfolio is required to maintain a Highly Liquid Investment Minimum (“HLIM”). The Committee also incorporated the following information when determining the Portfolio’s reasonably anticipated trading size for purposes of liquidity monitoring: historical net redemption activity, a Portfolio’s concentration in an issuer, shareholder concentration, investment performance, total net assets, and distribution channels.
The Adviser informed the Fund Board that the Committee believes the Portfolio’s LRMP is adequately designed, has been implemented as intended, and has operated effectively since its inception. No material exceptions have been noted since the implementation of the LRMP. During the Program Reporting Period, beginning in March 2020, all financial markets experienced extreme levels of price volatility and relative illiquidity resulting from the COVID-19 impacts on the global economy. This extreme relative illiquidity resulted in significantly wider bid-ask spreads to transact in securities, including many of those securities held by the Portfolio, and in a diminished depth of liquidity in most markets, to varying degrees. Nonetheless, there were no liquidity events that impacted the Portfolio or its ability to timely meet redemptions during the Program Reporting Period.
30
| | |
| | |
| SMALL/MID CAP VALUE PORTFOLIO | | |
| |
| CONTINUANCE DISCLOSURE | | AB Variable Products Series Fund |
INFORMATION REGARDING THE REVIEW AND APPROVAL OF THE FUND’S ADVISORY AGREEMENT
The disinterested directors (the “directors”) of AB Variable Products Series Fund, Inc. (the “Company”) unanimously approved the continuance of the Company’s Advisory Agreement with the Adviser in respect of AB Small/Mid Cap Value Portfolio (the “Fund”) at a meeting held by video conference on May 3-5, 2021 (the “Meeting”).
Prior to approval of the continuance of the Advisory Agreement, the directors had requested from the Adviser, and received and evaluated, extensive materials. They reviewed the proposed continuance of the Advisory Agreement with the Adviser and with experienced counsel who are independent of the Adviser, who advised on the relevant legal standards. The directors also reviewed additional materials, including comparative analytical data prepared by the Senior Analyst for the Fund. The directors also discussed the proposed continuance in private sessions with counsel.
The directors considered their knowledge of the nature and quality of the services provided by the Adviser to the Fund gained from their experience as directors or trustees of most of the registered investment companies advised by the Adviser, their overall confidence in the Adviser’s integrity and competence they have gained from that experience, the Adviser’s initiative in identifying and raising potential issues with the directors and its responsiveness, frankness and attention to concerns raised by the directors in the past, including the Adviser’s willingness to consider and implement organizational and operational changes designed to improve investment results and the services provided to the AB Funds. The directors noted that they have four regular meetings each year, at each of which they review extensive materials and information from the Adviser, including information on the investment performance of the Fund.
The directors also considered all factors they believed relevant, including the specific matters discussed below. During the course of their deliberations, the directors evaluated, among other things, the reasonableness of the advisory fee. The directors did not identify any particular information that was all-important or controlling, and different directors may have attributed different weights to the various factors. The directors determined that the selection of the Adviser to manage the Fund and the overall arrangements between the Fund and the Adviser, as provided in the Advisory Agreement, including the advisory fee, were fair and reasonable in light of the services performed, expenses incurred and such other matters as the directors considered relevant in the exercise of their business judgment. The material factors and conclusions that formed the basis for the directors’ determinations included the following:
Nature, Extent and Quality of Services Provided
The directors considered the scope and quality of services provided by the Adviser under the Advisory Agreement, including the quality of the investment research capabilities of the Adviser and the other resources it has dedicated to performing services for the Fund. The directors noted that the Adviser from time to time reviews the Fund’s investment strategies and from time to time proposes changes intended to improve the Fund’s relative or absolute performance for the directors’ consideration. They also noted the professional experience and qualifications of the Fund’s portfolio management team and other senior personnel of the Adviser. The directors also considered that the Advisory Agreement provides that the Fund will reimburse the Adviser for the cost to it of providing certain clerical, accounting, administrative and other services to the Fund by employees of the Adviser or its affiliates. Requests for these reimbursements are made on a quarterly basis and subject to approval by the directors. Reimbursements, to the extent requested and paid, result in a higher rate of total compensation from the Fund to the Adviser than the fee rate stated in the Advisory Agreement. The directors noted that the methodology used to determine the reimbursement amounts had been reviewed by an independent consultant at the request of the directors. The quality of administrative and other services, including the Adviser’s role in coordinating the activities of the Fund’s other service providers, also was considered. The directors concluded that, overall, they were satisfied with the nature, extent and quality of services provided to the Fund under the Advisory Agreement.
Costs of Services Provided and Profitability
The directors reviewed a schedule of the revenues and expenses and related notes indicating the profitability of the Fund to the Adviser for calendar years 2019 and 2020 that had been prepared with an expense allocation methodology arrived at in consultation with an independent consultant at the request of the directors. The directors noted the assumptions and methods of allocation used by the Adviser in preparing fund-specific profitability data and understood that there are a number of potentially acceptable allocation methodologies for information of this type. The directors noted that the profitability information reflected all revenues and expenses of the Adviser’s relationship with the Fund, including those relating to its subsidiaries that provide transfer agency, distribution and brokerage services to the Fund. The directors recognized that it is difficult to make comparisons of the profitability of the Advisory Agreement with the profitability of fund advisory contracts
31
| | |
| SMALL/MID CAP VALUE PORTFOLIO | | |
| CONTINUANCE DISCLOSURE | | |
| |
| (continued) | | AB Variable Products Series Fund |
for unaffiliated funds because comparative information is not generally publicly available and is affected by numerous factors. The directors focused on the profitability of the Adviser’s relationship with the Fund before taxes and distribution expenses. The directors concluded that the Adviser’s level of profitability from its relationship with the Fund was not unreasonable.
Fall-Out Benefits
The directors considered the other benefits to the Adviser and its affiliates from their relationships with the Fund, including, but not limited to, benefits relating to soft dollar arrangements (whereby investment advisers receive brokerage and research services from brokers that execute agency transactions for their clients); 12b-1 fees and sales charges received by the Fund’s principal underwriter (which is a wholly owned subsidiary of the Adviser) in respect of the Fund’s Class B shares; brokerage commissions paid by the Fund to brokers affiliated with the Adviser; and transfer agency fees paid by the Fund to a wholly owned subsidiary of the Adviser. The directors recognized that the Adviser’s profitability would be somewhat lower without these benefits. The directors understood that the Adviser also might derive reputational and other benefits from its association with the Fund.
Investment Results
In addition to the information reviewed by the directors in connection with the Meeting, the directors receive detailed performance information for the Fund at each regular Board meeting during the year.
At the Meeting, the directors reviewed performance information prepared by an independent service provider (the “15(c) service provider”), showing the performance of the Class A Shares of the Fund against a group of similar funds (“peer group”) and a larger group of similar funds (“peer universe”), each selected by the 15(c) service provider, and information prepared by the Adviser showing performance of the Class A Shares against a broad-based securities market index, in each case for the 1-, 3-, 5- and 10-year periods ended February 28, 2021 and (in the case of comparisons with the broad-based securities market index) for the period from inception. Based on their review, the directors concluded that the Fund’s investment performance was acceptable.
Advisory Fees and Other Expenses
The directors considered the advisory fee rate payable by the Fund to the Adviser and information prepared by the 15(c) service provider concerning advisory fee rates payable by other funds in the same category as the Fund. The directors recognized that it is difficult to make comparisons of advisory fees because there are variations in the services that are included in the fees paid by other funds. The directors compared the Fund’s contractual effective advisory fee rate with a peer group median and took into account the impact on the advisory fee rate of the administrative expense reimbursement paid to the Adviser in the latest fiscal year.
The directors also considered the Adviser’s fee schedule for other clients utilizing investment strategies similar to those of the Fund. For this purpose, they reviewed the relevant advisory fee information from the Adviser’s Form ADV and in a report from the Fund’s Senior Analyst and noted the differences between the Fund’s fee schedule, on the one hand, and the Adviser’s institutional fee schedule and the schedule of fees charged by the Adviser to any offshore funds and for services to any sub-advised funds utilizing investment strategies similar to those of the Fund, on the other. The directors noted that the Adviser may, in some cases, agree to fee rates with large institutional clients that are lower than those reviewed by the directors and that they had previously discussed with the Adviser its policies in respect of such arrangements. The directors also compared the advisory fee rate for the Fund with that for another fund advised by the Adviser utilizing similar investment strategies.
The Adviser reviewed with the directors the significantly greater scope of the services it provides to the Fund relative to institutional, offshore fund and sub-advised fund clients. In this regard, the Adviser noted, among other things, that, compared to institutional and offshore or sub-advisory accounts, the Fund (i) demands considerably more portfolio management, research and trading resources due to significantly higher daily cash flows; (ii) has more tax and regulatory restrictions and compliance obligations; (iii) must prepare and file or distribute regulatory and other communications about fund operations; and (iv) must provide shareholder servicing to retail investors. The Adviser also reviewed the greater legal risks presented by the large and changing population of Fund shareholders who may assert claims against the Adviser in individual or class actions, and the greater entrepreneurial risk in offering new fund products, which require substantial investment to launch, may not succeed, and generally must be priced to compete with larger, more established funds resulting in lack of profitability to the Adviser until a new fund achieves scale. In light of the substantial differences in services rendered by the
32
| | |
| |
| | | AB Variable Products Series Fund |
Adviser to institutional, offshore fund and sub-advised fund clients as compared to the Fund, and the different risk profile, the directors considered these fee comparisons inapt and did not place significant weight on them in their deliberations.
In connection with their review of the Fund’s advisory fee, the directors also considered the total expense ratio of the Class A shares of the Fund in comparison to a peer group and a peer universe selected by the 15(c) service provider. The Class A expense ratio of the Fund was based on the Fund’s latest fiscal year. The Adviser had agreed to cap the Fund’s expenses, but the directors noted that the Fund’s expense ratio was currently below the level of the Adviser’s cap. The directors noted that it was likely that the expense ratios of some of the other funds in the Fund’s category were lowered by waivers or reimbursements by those funds’ investment advisers, which in some cases might be voluntary or temporary. The directors view expense ratio information as relevant to their evaluation of the Adviser’s services because the Adviser is responsible for coordinating services provided to the Fund by others. Based on their review, the directors concluded that the Fund’s expense ratio was acceptable.
Economies of Scale
The directors noted that the advisory fee schedule for the Fund contains breakpoints that reduce the fee rates on assets above specified levels. The directors took into consideration prior presentations by an independent consultant on economies of scale in the mutual fund industry and for the AB Funds, and presentations from time to time by the Adviser concerning certain of its views on economies of scale. The directors also had requested and received from the Adviser certain updates on economies of scale in advance of the Meeting. The directors believe that economies of scale may be realized (if at all) by the Adviser across a variety of products and services, and not only in respect of a single fund. The directors noted that there is no established methodology for setting breakpoints that give effect to the fund-specific services provided by a fund’s adviser and to the economies of scale that an adviser may realize in its overall mutual fund business or those components of it which directly or indirectly affect a fund’s operations. The directors observed that in the mutual fund industry as a whole, as well as among funds similar to the Fund, there is no uniformity or pattern in the fees and asset levels at which breakpoints (if any) apply. The directors also noted that the advisory agreements for many funds do not have breakpoints at all. Having taken these factors into account, the directors concluded that the Fund’s shareholders would benefit from a sharing of economies of scale in the event the Fund’s net assets exceed a breakpoint in the future.
33
VPS-SMCV-0151-1221
ITEM 2. CODE OF ETHICS.
(a) The registrant has adopted a code of ethics that applies to its principal executive officer, principal financial officer and principal accounting officer. A copy of the registrant’s code of ethics is filed herewith as Exhibit 12(a)(1).
(b) During the period covered by this report, no material amendments were made to the provisions of the code of ethics adopted in 2(a) above.
(c) During the period covered by this report, no implicit or explicit waivers to the provisions of the code of ethics adopted in 2(a) above were granted.
ITEM 3. AUDIT COMMITTEE FINANCIAL EXPERT.
The registrant’s Board of Directors has determined that independent directors Garry L. Moody, Marshall C. Turner, Jr. and Jorge A. Bermudez qualify as audit committee financial experts.
ITEM 4. PRINCIPAL ACCOUNTANT FEES AND SERVICES.
(a) - (c) The following table sets forth the aggregate fees billed by the independent auditor Ernst & Young LLP, for the Fund’s last two fiscal years for professional services rendered for: (i) the audit of the Fund’s annual financial statements included in the Fund’s annual report to stockholders; (ii) assurance and related services that are reasonably related to the performance of the audit of the Fund’s financial statements and are not reported under (i), which include multi-class distribution testing, advice and education on accounting and auditing issues, and consent letters; and (iii) tax compliance, tax advice and tax return preparation.
| | | | | | | | | | | | | | | | |
| | | | | | Audit Fees | | | Audit-Related
Fees | | | Tax Fees | |
| | | | |
AB Balanced Wealth Strategy Portfolio | | | 2020 | | | | 72,197 | | | | — | | | | 12,297 | |
| | | 2021 | | | | 72,197 | | | | — | | | | 34,220 | |
AB Global Thematic Growth Portfolio | | | 2020 | | | | 41,926 | | | | — | | | | 3,729 | |
| | | 2021 | | | | 41,926 | | | | — | | | | 24,819 | |
AB Growth & Income Portfolio | | | 2020 | | | | 31,404 | | | | — | | | | 6,443 | |
| | | 2021 | | | | 31,404 | | | | — | | | | 19,713 | |
AB Intermediate Bond Portfolio | | | 2020 | | | | 67,988 | | | | — | | | | 1,089 | |
| | | 2021 | | | | 67,988 | | | | — | | | | 18,422 | |
AB International Growth Portfolio | | | 2020 | | | | 41,926 | | | | — | | | | 3,806 | |
| | | 2021 | | | | 41,926 | | | | — | | | | 28,698 | |
AB International Value Portfolio | | | 2020 | | | | 41,926 | | | | — | | | | 9,096 | |
| | | 2021 | | | | 41,926 | | | | — | | | | 26,898 | |
AB Large Cap Growth Portfolio | | | 2020 | | | | 31,404 | | | | — | | | | 5,623 | |
| | | 2021 | | | | 31,404 | | | | — | | | | 17,925 | |
AB Small Cap Growth Portfolio | | | 2020 | | | | 31,404 | | | | — | | | | 1,630 | |
| | | 2021 | | | | 31,404 | | | | — | | | | 17,664 | |
AB Small/Mid Cap Value Portfolio | | | 2020 | | | | 35,613 | | | | — | | | | 7,674 | |
| | | 2021 | | | | 35,613 | | | | — | | | | 22,877 | |
AB Dynamic Asset Allocation Portfolio | | | 2020 | | | | 85,147 | | | | — | | | | 16,732 | |
| | | 2021 | | | | 85,147 | | | | — | | | | 37,771 | |
AB Global Risk Allocation-Moderate Portfolio | | | 2020 | | | | 36,029 | | | | — | | | | 10,547 | |
| | | 2021 | | | | 36,029 | | | | — | | | | 22,497 | |
(d) Not applicable.
(e) (1) Beginning with audit and non-audit service contracts entered into on or after May 6, 2003, the Fund’s Audit Committee policies and procedures require the pre-approval of all audit and non-audit services provided to the Fund by the Fund’s independent registered public accounting firm. The Fund’s Audit Committee policies and procedures also require pre-approval of all audit and non-audit services provided to the Adviser and Service Affiliates to the extent that these services are directly related to the operations or financial reporting of the Fund.
(e) (2) All of the amounts for Audit Fees, Audit-Related Fees and Tax Fees in the table under Item 4 (a) – (c) are for services pre-approved by the Fund’s Audit Committee.
(f) Not applicable.
(g) The following table sets forth the aggregate non-audit services provided to the Fund, the Fund’s Adviser and entities that control, are controlled by or under common control with the Adviser that provide ongoing services to the Fund:
| | | | | | | | | | | | |
| | | | | | All Fees for
Non-Audit Services
Provided to the
Portfolio, the Adviser
and Service Affiliates | | | Total Amount of
Foregoing Column
Pre-approved by the Audit
Committee
(Portion Comprised of
Audit Related Fees)
(Portion Comprised of
Tax Fees) | |
AB Balanced Wealth Strategy Portfolio | | | 2020 | | | $ | 910,348 | | | $ | 12,297 | |
| | | | | | | | | | | (12,297 | ) |
| | | 2021 | | | $
|
1,153,105 |
| | $ | 34,220 | |
| | | | | | | | | | | — | |
| | | | | | | | | | | (34,220 | ) |
AB Global Thematic Growth Portfolio | | | 2020 | | | $ | 901,780 | | | $ | 3,729 | |
| | | | | | | | | | | — | |
| | | | | | | | | | | (3,729 | ) |
| | | 2021 | | | $ | 1,143,703 | | | $ | 24,819 | |
| | | | | | | | | | | — | |
| | | | | | | | | | | (24,819 | ) |
AB Growth & Income Portfolio | | | 2020 | | | $ | 904,494 | | | $ | 6,443 | |
| | | | | | | | | | | — | |
| | | | | | | | | | | (6,443 | ) |
| | | 2021 | | | $ | 1,138,598 | | | $ | 19,713 | |
| | | | | | | | | | | — | |
| | | | | | | | | | | (19,713 | ) |
AB Intermediate Bond Portfolio | | | 2020 | | | $ | 899,140 | | | $ | 1,089 | |
| | | | | | | | | | | — | |
| | | | | | | | | | | (1,089 | ) |
| | | 2021 | | | $ | 1,137,307 | | | $ | 18,422 | |
| | | | | | | | | | | — | |
| | | | | | | | | | | (18,422 | ) |
AB International Growth Portfolio | | | 2020 | | | $ | 901,857 | | | $ | 3,806 | |
| | | | | | | | | | | — | |
| | | | | | | | | | | (3,806 | ) |
| | | 2021 | | | $ | 1,147,583 | | | $ | 28,698 | |
| | | | | | | | | | | — | |
| | | | | | | | | | | (28,698 | ) |
AB International Value Portfolio | | | 2020 | | | $ | 907,147 | | | $ | 9,096 | |
| | | | | | | | | | | — | |
| | | | | | | | | | | (9,096 | ) |
| | | 2021 | | | $ | 1,145,783 | | | $ | 26,898 | |
| | | | | | | | | | | — | |
| | | | | | | | | | | (26,898 | ) |
AB Large Cap Growth Portfolio | | | 2020 | | | $ | 903,674 | | | $ | 5,623 | |
| | | | | | | | | | | — | |
| | | | | | | | | | | (5,623 | ) |
| | | 2021 | | | $ | 1,136,810 | | | $ | 17,925 | |
| | | | | | | | | | | — | |
| | | | | | | | | | | (17,925 | ) |
AB Small Cap Growth Portfolio | | | 2020 | | | $ | 899,681 | | | $ | 1,630 | |
| | | | | | | | | | | — | |
| | | | | | | | | | | (1,630 | ) |
| | | 2021 | | | $ | 1,136,549 | | | $ | 17,664 | |
| | | | | | | | | | | — | |
| | | | | | | | | | | (17,664 | ) |
AB Small/Mid Cap Value Portfolio | | | 2020 | | | $ | 905,725 | | | $ | 7,674 | |
| | | | | | | | | | | — | |
| | | | | | | | | | | (7,674 | ) |
| | | 2021 | | | $ | 1,141,762 | | | $ | 22,877 | |
| | | | | | | | | | | — | |
| | | | | | | | | | | (22,877 | ) |
AB Dynamic Asset Allocation Portfolio | | | 2020 | | | $ | 914,783 | | | $ | 16,732 | |
| | | | | | | | | | | — | |
| | | | | | | | | | | (16,732 | ) |
| | | 2021 | | | $ | 1,156,656 | | | $ | 37,771 | |
| | | | | | | | | | | — | |
| | | | | | | | | | | (37,771 | ) |
AB Global Risk Allocation-Moderate Portfolio | | | 2020 | | | $ | 908,598 | | | $ | 10,547 | |
| | | | | | | | | | | — | |
| | | | | | | | | | | (10,547 | ) |
| | | 2021 | | | $ | 1,141,382 | | | $ | 22,497 | |
| | | | | | | | | | | — | |
| | | | | | | | | | | (22,497 | ) |
(h) The Audit Committee of the Fund has considered whether the provision of any non-audit services not pre-approved by the Audit Committee provided by the Fund’s independent registered public accounting firm to the Adviser and Service Affiliates is compatible with maintaining the auditor’s independence.
ITEM 5. AUDIT COMMITTEE OF LISTED REGISTRANTS.
Not applicable to the registrant.
ITEM 6. INVESTMENTS.
Please see Schedule of Investments contained in the Report to Shareholders included under Item 1 of this Form N-CSR.
ITEM 7. DISCLOSURE OF PROXY VOTING POLICIES AND PROCEDURES FOR CLOSED-END MANAGEMENT INVESTMENT COMPANIES.
Not applicable to the registrant.
ITEM 8. PORTFOLIO MANAGERS OF CLOSED-END MANAGEMENT INVESTMENT COMPANIES.
Not applicable to the registrant.
ITEM 9. PURCHASES OF EQUITY SECURITIES BY CLOSED-END MANAGEMENT INVESTMENT COMPANY AND AFFILIATED PURCHASERS.
Not applicable to the registrant.
ITEM 10. SUBMISSION OF MATTERS TO A VOTE OF SECURITY HOLDERS.
There have been no material changes to the procedures by which shareholders may recommend nominees to the Fund’s Board of Directors since the Fund last provided disclosure in response to this item.
ITEM 11. CONTROLS AND PROCEDURES.
(a) The registrant’s principal executive officer and principal financial officer have concluded that the registrant’s disclosure controls and procedures (as defined in Rule 30a-3(c) under the Investment Company Act of 1940, as amended) are effective at the reasonable assurance level based on their evaluation of these controls and procedures as of a date within 90 days of the filing date of this document.
(b) There were no significant changes in the registrant’s internal controls over financial reporting that could significantly affect these controls subsequent to the date of their evaluation, including any corrective actions with regard to significant deficiencies and material weaknesses.
ITEM 12. DISCLOSURE OF SECURITIES LENDING ACTIVITIES FOR CLOSED-END MANAGEMENT INVESTMENT COMPANIES.
Not applicable to the registrant.
ITEM 13. EXHIBITS.
The following exhibits are attached to this Form N-CSR:
SIGNATURES
Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, the registrant has duly caused this report to be signed on its behalf by the undersigned, thereunto duly authorized.
(Registrant): AB Variable Products Series Fund, Inc.
| | |
| By: | | /s/ Onur Erzan |
| | Onur Erzan President |
| |
| Date: | | February 14, 2022 |
Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, this report has been signed below by the following persons on behalf of the registrant and in the capacities and on the dates indicated.
| | |
| By: | | /s/ Onur Erzan |
| | Onur Erzan President |
| |
| Date: | | February 14, 2022 |
| | |
| By: | | /s/ Joseph J. Mantineo |
| | Joseph J. Mantineo Treasurer and Chief Financial Officer |
| |
| Date: | | February 14, 2022 |
