AB Conservative Wealth Strategy
Portfolio of Investments
May 31, 2021 (unaudited)
Company | Shares | U.S. $ Value | ||||||
COMMON STOCKS – 47.5% |
| |||||||
Information Technology – 11.5% |
| |||||||
Electronic Equipment, Instruments & Components – 1.7% |
| |||||||
Amphenol Corp. - Class A | 14,600 | $ | 981,996 | |||||
Arrow Electronics, Inc.(a) | 656 | 78,936 | ||||||
CDW Corp./DE | 4,910 | 812,212 | ||||||
Coherent, Inc.(a) | 1,960 | 514,716 | ||||||
IPG Photonics Corp.(a) | 539 | 112,791 | ||||||
Kingboard Holdings Ltd. | 7,000 | 38,691 | ||||||
Zebra Technologies Corp. - Class A(a) | 158 | 78,534 | ||||||
|
| |||||||
2,617,876 | ||||||||
|
| |||||||
IT Services – 2.8% |
| |||||||
Akamai Technologies, Inc.(a) | 1,333 | 152,242 | ||||||
Amadeus IT Group SA - Class A(a) | 1,738 | 131,143 | ||||||
Automatic Data Processing, Inc. | 5,112 | 1,002,055 | ||||||
Capgemini SE | 725 | 135,553 | ||||||
Cardtronics PLC - Class A(a) | 4,917 | 191,419 | ||||||
Cognizant Technology Solutions Corp. - Class A | 6,118 | 437,804 | ||||||
EPAM Systems, Inc.(a) | 162 | 77,371 | ||||||
Fidelity National Information Services, Inc. | 677 | 100,859 | ||||||
Gartner, Inc.(a) | 140 | 32,458 | ||||||
Genpact Ltd. | 1,211 | 55,391 | ||||||
International Business Machines Corp. | 357 | 51,315 | ||||||
Mastercard, Inc. - Class A | 3,797 | 1,369,122 | ||||||
Nomura Research Institute Ltd. | 1,500 | 47,791 | ||||||
Paychex, Inc. | 2,067 | 209,056 | ||||||
Visa, Inc. - Class A | 1,673 | 380,273 | ||||||
Western Union Co. (The) - Class W | 2,817 | 68,932 | ||||||
|
| |||||||
4,442,784 | ||||||||
|
| |||||||
Semiconductors & Semiconductor Equipment – 2.0% |
| |||||||
Applied Materials, Inc. | 3,053 | 421,711 | ||||||
ASE Technology Holding Co., Ltd. | 5,000 | 19,874 | ||||||
ASML Holding NV | 190 | 128,362 | ||||||
Broadcom, Inc. | 156 | 73,683 | ||||||
Dialog Semiconductor PLC(a) | 5,729 | 454,223 | ||||||
Globalwafers Co., Ltd. | 2,000 | 57,505 | ||||||
Intel Corp. | 940 | 53,693 | ||||||
KLA Corp. | 426 | 134,995 | ||||||
Magnachip Semiconductor Corp.(a) | 5,986 | 141,868 | ||||||
Maxim Integrated Products, Inc. | 5,189 | 529,330 | ||||||
Novatek Microelectronics Corp.(a) | 4,000 | 72,643 | ||||||
NVIDIA Corp. | 10 | 6,498 | ||||||
Phison Electronics Corp.(a) | 4,000 | 67,203 | ||||||
QUALCOMM, Inc. | 66 | 8,880 | ||||||
Realtek Semiconductor Corp.(a) | 4,000 | 71,582 | ||||||
Taiwan Semiconductor Manufacturing Co., Ltd. | 8,000 | 169,857 | ||||||
Taiwan Semiconductor Manufacturing Co., Ltd. (Sponsored ADR) | 1,113 | 130,622 | ||||||
Texas Instruments, Inc. | 859 | 163,055 | ||||||
Xilinx, Inc. | 3,277 | 416,179 | ||||||
|
| |||||||
3,121,763 | ||||||||
|
|
1
Company | Shares | U.S. $ Value | ||||||
Software – 4.1% |
| |||||||
Adobe, Inc.(a) | 110 | $ | 55,504 | |||||
Citrix Systems, Inc. | 977 | 112,316 | ||||||
Constellation Software, Inc./Canada | 149 | 213,855 | ||||||
Dropbox, Inc. - Class A(a) | 2,522 | 68,977 | ||||||
Fair Isaac Corp.(a) | 141 | 71,354 | ||||||
Microsoft Corp. | 12,668 | 3,162,946 | ||||||
NortonLifeLock, Inc. | 5,572 | 154,121 | ||||||
Nuance Communications, Inc.(a) | 8,564 | 453,036 | ||||||
Oracle Corp. | 4,089 | 321,968 | ||||||
Oracle Corp./Japan(a) (b) | 500 | 45,218 | ||||||
Proofpoint, Inc.(a) | 1,394 | 240,897 | ||||||
SAP SE | 3,473 | 486,268 | ||||||
Slack Technologies, Inc. - Class A(a) | 10,406 | 458,280 | ||||||
Talend SA (ADR)(a) (b) | 3,080 | 200,108 | ||||||
Trend Micro, Inc./Japan | 3,310 | 168,102 | ||||||
VMware, Inc. - Class A(a) | 1,549 | 244,572 | ||||||
|
| |||||||
6,457,522 | ||||||||
|
| |||||||
Technology Hardware, Storage & Peripherals – 0.9% |
| |||||||
Apple, Inc. | 4,581 | 570,839 | ||||||
Lenovo Group Ltd. | 44,000 | 53,059 | ||||||
Logitech International SA | 521 | 64,072 | ||||||
Micro-Star International Co., Ltd.(a) | 11,000 | 65,782 | ||||||
Ricoh Co., Ltd. | 3,700 | 44,101 | ||||||
Samsung Electronics Co., Ltd. | 8,335 | 598,288 | ||||||
Samsung Electronics Co., Ltd. (Preference Shares) | 153 | 9,898 | ||||||
Seagate Technology Holdings PLC | 850 | 81,387 | ||||||
|
| |||||||
1,487,426 | ||||||||
|
| |||||||
18,127,371 | ||||||||
|
| |||||||
Financials – 7.5% |
| |||||||
Banks – 2.3% |
| |||||||
ABN AMRO Bank NV (GDR)(a) (c) | 9,296 | 124,473 | ||||||
Banco Bilbao Vizcaya Argentaria SA(a) | 13,370 | 83,506 | ||||||
Bank Leumi Le-Israel BM(a) | 13,080 | 104,965 | ||||||
Bank of America Corp. | 1,016 | 43,068 | ||||||
China Merchants Bank Co., Ltd. - Class H | 2,000 | 18,504 | ||||||
CIT Group, Inc. | 9,237 | 489,376 | ||||||
DBS Group Holdings Ltd. | 7,500 | 172,324 | ||||||
FinecoBank Banca Fineco SpA(a) | 4,311 | 71,785 | ||||||
Huaxia Bank Co., Ltd.(a) | 61,600 | 62,229 | ||||||
JPMorgan Chase & Co. | 1,088 | 178,693 | ||||||
Jyske Bank A/S(a) | 4,605 | 237,670 | ||||||
KBC Group NV | 712 | 58,287 | ||||||
Lloyds Banking Group PLC | 44,624 | 31,554 | ||||||
Mebuki Financial Group, Inc. | 28,700 | 62,014 | ||||||
Mitsubishi UFJ Financial Group, Inc. | 10,400 | 59,729 | ||||||
National Bank of Canada | 260 | 20,291 | ||||||
Oversea-Chinese Banking Corp. Ltd. | 13,200 | 124,692 | ||||||
People’s United Financial, Inc. | 20,812 | 393,555 | ||||||
Royal Bank of Canada | 1,710 | 177,816 | ||||||
Sberbank of Russia PJSC (Sponsored ADR) | 1,555 | 26,248 | ||||||
Societe Generale SA | 2,485 | 79,567 |
2
Company | Shares | U.S. $ Value | ||||||
SVB Financial Group(a) | 131 | $ | 76,359 | |||||
TCF Financial Corp. | 10,821 | 513,997 | ||||||
Toronto-Dominion Bank (The) | 1,324 | 95,427 | ||||||
US Bancorp | 1,384 | 84,120 | ||||||
Wells Fargo & Co. | 3,705 | 173,098 | ||||||
|
| |||||||
3,563,347 | ||||||||
|
| |||||||
Capital Markets – 2.8% |
| |||||||
BlackRock, Inc. - Class A | 315 | 276,268 | ||||||
Charles Schwab Corp. (The) | 18,494 | 1,365,782 | ||||||
CME Group, Inc. - Class A | 1,530 | 334,702 | ||||||
Credit Suisse Group AG | 19,037 | 208,011 | ||||||
EQT AB | 2,237 | 81,287 | ||||||
Euronext NV(c) | 1,129 | 119,965 | ||||||
Franklin Resources, Inc. | 2,150 | 73,552 | ||||||
Goldman Sachs Group, Inc. (The) | 972 | 361,603 | ||||||
Julius Baer Group Ltd. | 6,095 | 414,121 | ||||||
London Stock Exchange Group PLC | 1,288 | 138,204 | ||||||
Moody’s Corp. | 1,123 | 376,598 | ||||||
Partners Group Holding AG | 94 | 141,879 | ||||||
Raymond James Financial, Inc. | 560 | 74,250 | ||||||
S&P Global, Inc. | 381 | 144,578 | ||||||
Singapore Exchange Ltd. | 20,400 | 160,130 | ||||||
T. Rowe Price Group, Inc. | 616 | 117,872 | ||||||
|
| |||||||
4,388,802 | ||||||||
|
| |||||||
Consumer Finance – 0.3% |
| |||||||
Ally Financial, Inc. | 1,420 | 77,688 | ||||||
American Express Co. | 2,570 | 411,534 | ||||||
|
| |||||||
489,222 | ||||||||
|
| |||||||
Diversified Financial Services – 0.7% |
| |||||||
Berkshire Hathaway, Inc. - Class B(a) | 48 | 13,893 | ||||||
Far East Horizon Ltd.(b) | 64,000 | 70,095 | ||||||
Groupe Bruxelles Lambert SA | 1,305 | 148,075 | ||||||
IHS Markit Ltd. | 5,103 | 537,397 | ||||||
Industrivarden AB | 1,500 | 61,138 | ||||||
Industrivarden AB - Class C | 400 | 15,631 | ||||||
Kinnevik AB(a) (b) | 1,499 | 54,267 | ||||||
Kinnevik AB (Redemption)(a) (b) | 1,499 | 28,341 | ||||||
M&G PLC | 17,410 | 60,207 | ||||||
Voya Financial, Inc. | 1,060 | 69,451 | ||||||
|
| |||||||
1,058,495 | ||||||||
|
| |||||||
Insurance – 1.1% |
| |||||||
Alleghany Corp.(a) | 20 | 14,331 | ||||||
Allianz SE | 208 | 55,237 | ||||||
Athene Holding Ltd.(a) | 7,240 | 453,442 | ||||||
Aviva PLC | 13,450 | 78,379 | ||||||
CNP Assurances | 3,878 | 71,300 | ||||||
Fidelity National Financial, Inc. | 1,620 | 76,124 | ||||||
Great-West Lifeco, Inc. | 230 | 7,071 | ||||||
Manulife Financial Corp. | 3,567 | 74,526 | ||||||
MetLife, Inc. | 465 | 30,392 | ||||||
PICC Property & Casualty Co., Ltd. - Class H | 140,000 | 136,650 | ||||||
Progressive Corp. (The) | 415 | 41,118 | ||||||
Prudential Financial, Inc. | 750 | 80,228 |
3
Company | Shares | U.S. $ Value | ||||||
Sampo Oyj - Class A | 1,292 | $ | 61,536 | |||||
Willis Towers Watson PLC | 1,869 | 488,482 | ||||||
Zurich Insurance Group AG | 112 | 47,107 | ||||||
|
| |||||||
1,715,923 | ||||||||
|
| |||||||
Thrifts & Mortgage Finance – 0.3% |
| |||||||
Flagstar Bancorp, Inc. | 10,300 | 471,740 | ||||||
Meridian Bancorp, Inc. | 3,236 | 71,354 | ||||||
|
| |||||||
543,094 | ||||||||
|
| |||||||
11,758,883 | ||||||||
|
| |||||||
Health Care – 7.3% |
| |||||||
Biotechnology – 0.5% |
| |||||||
AbbVie, Inc. | 743 | 84,108 | ||||||
Alexion Pharmaceuticals, Inc.(a) | 3,030 | 534,946 | ||||||
BeiGene Ltd. (Sponsored ADR)(a) | 170 | 60,947 | ||||||
Chongqing Zhifei Biological Products Co., Ltd. - Class A | 800 | 23,655 | ||||||
Da An Gene Co., Ltd. of Sun Yat-Sen University | 11,840 | 40,428 | ||||||
Seegene, Inc. | 541 | 33,193 | ||||||
Zai Lab Ltd. (ADR)(a) | 340 | 60,404 | ||||||
|
| |||||||
837,681 | ||||||||
|
| |||||||
Health Care Equipment & Supplies – 1.6% |
| |||||||
Abbott Laboratories | 9,133 | 1,065,364 | ||||||
ABIOMED, Inc.(a) | 222 | 63,177 | ||||||
Avantor, Inc.(a) | 1,926 | 61,921 | ||||||
Cantel Medical Corp.(a) | 5,447 | 443,004 | ||||||
IDEXX Laboratories, Inc.(a) | 47 | 26,231 | ||||||
Koninklijke Philips NV | 5,359 | 302,818 | ||||||
Medtronic PLC | 3,448 | 436,482 | ||||||
Top Glove Corp. Bhd | 41,100 | 50,546 | ||||||
|
| |||||||
2,449,543 | ||||||||
|
| |||||||
Health Care Providers & Services – 1.1% |
| |||||||
Anthem, Inc. | 2,205 | 878,075 | ||||||
Henry Schein, Inc.(a) | 1,850 | 140,674 | ||||||
Magellan Health, Inc.(a) | 4,257 | 400,967 | ||||||
Molina Healthcare, Inc.(a) | 287 | 72,140 | ||||||
Sinopharm Group Co., Ltd. - Class H | 12,800 | 42,694 | ||||||
UnitedHealth Group, Inc. | 588 | 242,209 | ||||||
|
| |||||||
1,776,759 | ||||||||
|
| |||||||
Health Care Technology – 0.3% |
| |||||||
Change Healthcare, Inc.(a) | 20,612 | 483,145 | ||||||
|
| |||||||
Life Sciences Tools & Services – 2.0% |
| |||||||
Bio-Rad Laboratories, Inc. - Class A(a) | 120 | 72,284 | ||||||
IQVIA Holdings, Inc.(a) | 6,056 | 1,454,409 | ||||||
Luminex Corp. | 8,509 | 313,897 | ||||||
PPD, Inc.(a) | 9,187 | 423,704 | ||||||
PRA Health Sciences, Inc.(a) | 2,893 | 494,472 | ||||||
Thermo Fisher Scientific, Inc. | 616 | 289,213 | ||||||
Waters Corp.(a) | 240 | 77,340 | ||||||
|
| |||||||
3,125,319 | ||||||||
|
|
4
Company | Shares | U.S. $ Value | ||||||
Pharmaceuticals – 1.8% |
| |||||||
AstraZeneca PLC (Sponsored ADR)(b) | 4,438 | $ | 251,945 | |||||
Bristol-Myers Squibb Co. | 660 | 43,375 | ||||||
Eli Lilly & Co. | 340 | 67,911 | ||||||
Johnson & Johnson | 466 | 78,871 | ||||||
Merck & Co., Inc. | 1,312 | 99,568 | ||||||
Novo Nordisk A/S - Class B | 1,540 | 121,577 | ||||||
Roche Holding AG | 2,035 | 712,355 | ||||||
Sanofi | 3,652 | 390,739 | ||||||
Shandong Buchang Pharmaceuticals Co., Ltd. - Class A | 7,800 | 28,109 | ||||||
Sumitomo Dainippon Pharma Co., Ltd.(b) | 4,100 | 78,676 | ||||||
Takeda Pharmaceutical Co., Ltd. | 2,400 | 82,011 | ||||||
Zoetis, Inc. | 5,041 | 890,644 | ||||||
|
| |||||||
2,845,781 | ||||||||
|
| |||||||
11,518,228 | ||||||||
|
| |||||||
Consumer Discretionary – 6.9% |
| |||||||
Auto Components – 1.0% |
| |||||||
Aisin Corp. | 1,900 | 82,844 | ||||||
Aptiv PLC(a) | 6,144 | 924,180 | ||||||
BorgWarner, Inc. | 1,407 | 72,165 | ||||||
Cooper Tire & Rubber Co. | 7,695 | 456,929 | ||||||
Fuyao Glass Industry Group Co., Ltd. - Class H(c) | 2,400 | 15,085 | ||||||
JTEKT Corp. | 2,300 | 24,529 | ||||||
Magna International, Inc. - Class A (Canada) | 170 | 17,095 | ||||||
|
| |||||||
1,592,827 | ||||||||
|
| |||||||
Automobiles – 0.3% |
| |||||||
Bayerische Motoren Werke AG | 140 | 14,862 | ||||||
Daimler AG | 970 | 90,499 | ||||||
Nissan Motor Co., Ltd.(a) | 12,700 | 63,882 | ||||||
Tesla, Inc.(a) | 124 | 77,527 | ||||||
Toyota Motor Corp. | 2,080 | 172,617 | ||||||
Volkswagen AG | 230 | 83,987 | ||||||
|
| |||||||
503,374 | ||||||||
|
| |||||||
Distributors – 0.0% |
| |||||||
Core-Mark Holding Co., Inc. | 229 | 10,502 | ||||||
|
| |||||||
Diversified Consumer Services – 0.2% |
| |||||||
GSX Techedu, Inc. (ADR)(a) (b) | 50 | 927 | ||||||
Service Corp. International/US | 6,431 | 340,972 | ||||||
|
| |||||||
341,899 | ||||||||
|
| |||||||
Hotels, Restaurants & Leisure – 0.6% |
| |||||||
Aramark | 1,970 | 73,579 | ||||||
Aristocrat Leisure Ltd. | 3,495 | 113,067 | ||||||
Chipotle Mexican Grill, Inc. - Class A(a) | 57 | 78,203 | ||||||
Compass Group PLC(a) | 14,978 | 341,431 | ||||||
Domino’s Pizza, Inc. | 50 | 21,344 | ||||||
Evolution AB(c) | 140 | 26,125 |
5
Company | Shares | U.S. $ Value | ||||||
Galaxy Entertainment Group Ltd.(a) | 27,300 | $ | 228,743 | |||||
La Francaise des Jeux SAEM(c) | 130 | 7,333 | ||||||
McDonald’s Corp. | 212 | 49,585 | ||||||
Shenzhen Overseas Chinese Town Co., Ltd.(a) | 52,900 | 69,228 | ||||||
|
| |||||||
1,008,638 | ||||||||
|
| |||||||
Household Durables – 0.2% |
| |||||||
Electrolux AB - Class B(b) | 2,562 | 72,936 | ||||||
Garmin Ltd. | 601 | 85,486 | ||||||
LG Electronics, Inc. | 534 | 72,539 | ||||||
PulteGroup, Inc. | 1,010 | 58,368 | ||||||
Sony Group Corp. | 900 | 89,493 | ||||||
|
| |||||||
378,822 | ||||||||
|
| |||||||
Internet & Direct Marketing Retail – 2.2% |
| |||||||
Alibaba Group Holding Ltd. (ADR)(a) | 1,674 | 358,169 | ||||||
Amazon.com, Inc.(a) | 539 | 1,737,234 | ||||||
eBay, Inc. | 1,328 | 80,849 | ||||||
Grubhub, Inc.(a) | 7,270 | 437,000 | ||||||
HelloFresh SE(a) | 954 | 86,250 | ||||||
Naspers Ltd. - Class N | 2,271 | 500,590 | ||||||
Pinduoduo, Inc. (ADR)(a) | 505 | 63,064 | ||||||
Prosus NV(a) | 1,778 | 184,207 | ||||||
|
| |||||||
3,447,363 | ||||||||
|
| |||||||
Leisure Products – 0.1% |
| |||||||
Huazhu Group Ltd. (ADR)(a) (b) | 60 | 3,430 | ||||||
Polaris, Inc. | 495 | 64,954 | ||||||
|
| |||||||
68,384 | ||||||||
|
| |||||||
Multiline Retail – 0.0% |
| |||||||
Dollar General Corp. | 220 | 44,651 | ||||||
|
| |||||||
Specialty Retail – 1.4% |
| |||||||
AutoZone, Inc.(a) | 147 | 206,770 | ||||||
Best Buy Co., Inc. | 620 | 72,069 | ||||||
GrandVision NV(a) (c) | 10,979 | 365,502 | ||||||
Home Depot, Inc. (The) | 703 | 224,193 | ||||||
Lowe’s Cos., Inc. | 320 | 62,345 | ||||||
O’Reilly Automotive, Inc.(a) | 149 | 79,733 | ||||||
Ross Stores, Inc. | 802 | 101,365 | ||||||
Sportsman’s Warehouse Holdings, Inc.(a) | 17,235 | 306,783 | ||||||
TJX Cos., Inc. (The) | 10,929 | 738,145 | ||||||
|
| |||||||
2,156,905 | ||||||||
|
| |||||||
Textiles, Apparel & Luxury Goods – 0.9% |
| |||||||
Deckers Outdoor Corp.(a) | 326 | 109,353 | ||||||
EssilorLuxottica SA | 600 | 104,177 | ||||||
Kering SA | 139 | 127,296 | ||||||
NIKE, Inc. - Class B | 7,065 | 964,090 | ||||||
Pandora A/S | 593 | 80,097 | ||||||
|
| |||||||
1,385,013 | ||||||||
|
| |||||||
10,938,378 | ||||||||
|
|
6
Company | Shares | U.S. $ Value | ||||||
Industrials – 4.9% |
| |||||||
Aerospace & Defense – 0.4% |
| |||||||
Aerojet Rocketdyne Holdings, Inc. | 9,802 | $ | 474,907 | |||||
Huntington Ingalls Industries, Inc. | 340 | 73,511 | ||||||
L3Harris Technologies, Inc. | 340 | 74,141 | ||||||
|
| |||||||
622,559 | ||||||||
|
| |||||||
Air Freight & Logistics – 0.1% |
| |||||||
Expeditors International of Washington, Inc. | 640 | 80,441 | ||||||
Kuehne & Nagel International AG | 245 | 82,713 | ||||||
|
| |||||||
163,154 | ||||||||
|
| |||||||
Building Products – 0.5% |
| |||||||
Lennox International, Inc. | 210 | 73,485 | ||||||
Masco Corp. | 299 | 18,033 | ||||||
Otis Worldwide Corp. | 6,843 | 536,012 | ||||||
Owens Corning | 690 | 73,589 | ||||||
Xinyi Glass Holdings Ltd. | 20,000 | 78,220 | ||||||
|
| |||||||
779,339 | ||||||||
|
| |||||||
Commercial Services & Supplies – 0.9% |
| |||||||
Knoll, Inc. | 7,046 | 183,196 | ||||||
Secom Co., Ltd. | 3,530 | 279,014 | ||||||
Stericycle, Inc.(a) | 12,816 | 1,006,825 | ||||||
|
| |||||||
1,469,035 | ||||||||
|
| |||||||
Construction & Engineering – 0.1% |
| |||||||
Kajima Corp. | 5,100 | 70,754 | ||||||
|
| |||||||
Electrical Equipment – 0.3% |
| |||||||
Acuity Brands, Inc. | 381 | 70,771 | ||||||
Generac Holdings, Inc.(a) | 207 | 68,045 | ||||||
Regal Beloit Corp. | 522 | 74,244 | ||||||
Rockwell Automation, Inc. | 145 | 38,239 | ||||||
Schneider Electric SE | 544 | 86,583 | ||||||
Vertiv Holdings Co. | 4,640 | 115,165 | ||||||
|
| |||||||
453,047 | ||||||||
|
| |||||||
Industrial Conglomerates – 0.2% |
| |||||||
3M Co. | 1,631 | 331,158 | ||||||
|
| |||||||
Machinery – 1.0% |
| |||||||
CNH Industrial NV | 4,445 | 76,425 | ||||||
Cummins, Inc. | 300 | 77,184 | ||||||
Dover Corp. | 1,863 | 280,381 | ||||||
Kawasaki Heavy Industries Ltd.(a) | 2,700 | 65,585 | ||||||
Mitsubishi Heavy Industries Ltd. | 2,200 | 67,749 | ||||||
Navistar International Corp.(a) | 1,629 | 72,051 | ||||||
SKF AB - Class B | 2,670 | 72,207 | ||||||
Snap-on, Inc. | 298 | 75,877 | ||||||
Volvo AB | 9,239 | 243,495 | ||||||
Welbilt, Inc.(a) | 18,300 | 452,193 | ||||||
|
| |||||||
1,483,147 | ||||||||
|
|
7
Company | Shares | U.S. $ Value | ||||||
Marine – 0.1% |
| |||||||
COSCO SHIPPING Holdings Co., Ltd.(a) | 15,300 | $ | 52,247 | |||||
Evergreen Marine Corp. Taiwan Ltd.(a) | 13,000 | 45,114 | ||||||
Nippon Yusen KK | 1,800 | 73,334 | ||||||
|
| |||||||
170,695 | ||||||||
|
| |||||||
Professional Services – 0.9% |
| |||||||
Booz Allen Hamilton Holding Corp. | 1,195 | 101,491 | ||||||
CoreLogic Inc/United States | 2,373 | 188,654 | ||||||
Leidos Holdings, Inc. | 720 | 73,980 | ||||||
RELX PLC | 12,437 | 325,883 | ||||||
Robert Half International, Inc. | 820 | 72,808 | ||||||
Verisk Analytics, Inc. - Class A | 3,399 | 587,449 | ||||||
Wolters Kluwer NV | 1,112 | 106,793 | ||||||
|
| |||||||
1,457,058 | ||||||||
|
| |||||||
Road & Rail – 0.4% |
| |||||||
AMERCO | 116 | 66,705 | ||||||
Kansas City Southern | 1,628 | 484,623 | ||||||
Knight-Swift Transportation Holdings, Inc. | 670 | 31,979 | ||||||
|
| |||||||
583,307 | ||||||||
|
| |||||||
Trading Companies & Distributors – 0.0% |
| |||||||
WW Grainger, Inc. | 104 | 48,065 | ||||||
|
| |||||||
Transportation Infrastructure – 0.0% |
| |||||||
International Container Terminal Services, Inc. | 13,040 | 39,890 | ||||||
|
| |||||||
7,671,208 | ||||||||
|
| |||||||
Communication Services – 3.4% |
| |||||||
Diversified Telecommunication Services – 0.7% |
| |||||||
Altice USA, Inc. - Class A(a) | 270 | 9,736 | ||||||
Comcast Corp. - Class A | 6,556 | 375,921 | ||||||
Nippon Telegraph & Telephone Corp. | 5,000 | 135,401 | ||||||
ORBCOMM, Inc.(a) | 5,334 | 59,688 | ||||||
Shaw Communications, Inc. - Class B | 15,917 | 475,909 | ||||||
|
| |||||||
1,056,655 | ||||||||
|
| |||||||
Entertainment – 0.4% |
| |||||||
Activision Blizzard, Inc. | 1,498 | 145,681 | ||||||
Bilibili, Inc. (Sponsored ADR)(a) | 800 | 85,744 | ||||||
Electronic Arts, Inc. | 1,977 | 282,572 | ||||||
Nintendo Co., Ltd. | 155 | 95,979 | ||||||
Take-Two Interactive Software, Inc.(a) | 431 | 79,976 | ||||||
Ubisoft Entertainment SA(a) | 527 | 38,332 | ||||||
|
| |||||||
728,284 | ||||||||
|
| |||||||
Interactive Media & Services – 2.1% |
| |||||||
Alphabet, Inc. - Class A(a) | 56 | 131,984 | ||||||
Alphabet, Inc. - Class C(a) | 446 | 1,075,556 | ||||||
Auto Trader Group PLC(a) | 13,288 | 105,738 | ||||||
Facebook, Inc. - Class A(a) | 5,762 | 1,894,142 | ||||||
Kakaku.com, Inc. | 2,400 | 71,431 | ||||||
Tencent Holdings Ltd. | 300 | 23,454 | ||||||
|
| |||||||
3,302,305 | ||||||||
|
|
8
Company | Shares | U.S. $ Value | ||||||
Media – 0.1% |
| |||||||
Fox Corp. - Class B | 1,980 | $ | 71,834 | |||||
Omnicom Group, Inc. | 940 | 77,306 | ||||||
|
| |||||||
149,140 | ||||||||
|
| |||||||
Wireless Telecommunication Services – 0.1% |
| |||||||
Softbank Corp. | 5,500 | 70,521 | ||||||
Tencent Music Entertainment Group (ADR)(a) | 1,360 | 21,407 | ||||||
|
| |||||||
91,928 | ||||||||
|
| |||||||
5,328,312 | ||||||||
|
| |||||||
Materials – 1.8% |
| |||||||
Chemicals – 1.1% |
| |||||||
Akzo Nobel NV | 676 | 86,308 | ||||||
Celanese Corp. - Class A | 160 | 26,472 | ||||||
Ferro Corp.(a) | 2,776 | 59,962 | ||||||
International Flavors & Fragrances, Inc. | 5,399 | 764,876 | ||||||
Johnson Matthey PLC | 1,959 | 84,506 | ||||||
Kumho Petrochemical Co., Ltd. | 170 | 35,527 | ||||||
LANXESS AG | 755 | 56,430 | ||||||
Linde PLC | 796 | 239,278 | ||||||
LyondellBasell Industries NV - Class A | 120 | 13,514 | ||||||
Mitsui Chemicals, Inc. | 2,100 | 71,034 | ||||||
Mosaic Co. (The) | 1,470 | 53,126 | ||||||
PhosAgro PJSC (GDR)(c) | 1,776 | 36,337 | ||||||
Sumitomo Chemical Co., Ltd.(b) | 3,500 | 19,411 | ||||||
W R Grace & Co. | 1,750 | 119,910 | ||||||
|
| |||||||
1,666,691 | ||||||||
|
| |||||||
Construction Materials – 0.2% |
| |||||||
Forterra, Inc.(a) | 11,868 | 277,474 | ||||||
|
| |||||||
Containers & Packaging – 0.0% |
| |||||||
Sealed Air Corp. | 230 | 13,078 | ||||||
|
| |||||||
Metals & Mining – 0.3% |
| |||||||
China Hongqiao Group Ltd. | 17,000 | 27,421 | ||||||
Evraz PLC | 7,456 | 67,329 | ||||||
First Quantum Minerals Ltd. | 1,371 | 34,103 | ||||||
Fortescue Metals Group Ltd. | 4,040 | 68,996 | ||||||
Hunan Valin Steel Co., Ltd. - Class A | 55,600 | 60,061 | ||||||
Kumba Iron Ore Ltd.(b) | 1,442 | 64,251 | ||||||
Rio Tinto Ltd. | 560 | 53,119 | ||||||
Southern Copper Corp. | 926 | 64,579 | ||||||
|
| |||||||
439,859 | ||||||||
|
| |||||||
Paper & Forest Products – 0.2% |
| |||||||
Domtar Corp.(a) | 6,668 | 361,605 | ||||||
West Fraser Timber Co., Ltd. | 510 | 39,245 | ||||||
|
| |||||||
400,850 | ||||||||
|
| |||||||
2,797,952 | ||||||||
|
|
9
Company | Shares | U.S. $ Value | ||||||
Consumer Staples – 1.5% |
| |||||||
Beverages – 0.5% |
| |||||||
Asahi Group Holdings Ltd. | 6,521 | $ | 315,222 | |||||
Chongqing Brewery Co., Ltd.(a) | 2,990 | 81,381 | ||||||
Coca-Cola Co. (The) | 7,382 | 408,151 | ||||||
|
| |||||||
804,754 | ||||||||
|
| |||||||
Food & Staples Retailing – 0.2% |
| |||||||
Koninklijke Ahold Delhaize NV | 4,896 | 142,534 | ||||||
Kroger Co. (The) | 2,010 | 74,330 | ||||||
Progenic Pharmaceuticals Cvr(d) (e) | 24,977 | 0 | ||||||
Walmart, Inc. | 1,122 | 159,357 | ||||||
|
| |||||||
376,221 | ||||||||
|
| |||||||
Food Products – 0.5% |
| |||||||
Bunge Ltd. | 833 | 72,321 | ||||||
Danone SA | 1,993 | 142,070 | ||||||
Ingredion, Inc. | 767 | 72,811 | ||||||
Kellogg Co. | 1,110 | 72,694 | ||||||
Morinaga & Co., Ltd./Japan | 1,100 | 34,174 | ||||||
Nestle SA | 679 | 83,869 | ||||||
Salmar ASA | 2,405 | 177,556 | ||||||
Tyson Foods, Inc. - Class A | 980 | 77,910 | ||||||
|
| |||||||
733,405 | ||||||||
|
| |||||||
Household Products – 0.1% |
| |||||||
Procter & Gamble Co. (The) | 997 | 134,445 | ||||||
|
| |||||||
Personal Products – 0.0% |
| |||||||
By-health Co., Ltd. | 4,000 | 23,230 | ||||||
|
| |||||||
Tobacco – 0.2% |
| |||||||
Philip Morris International, Inc. | 1,113 | 107,327 | ||||||
Swedish Match AB | 18,200 | 168,735 | ||||||
|
| |||||||
276,062 | ||||||||
|
| |||||||
2,348,117 | ||||||||
|
| |||||||
Real Estate – 1.5% |
| |||||||
Equity Real Estate Investment Trusts (REITs) – 1.1% |
| |||||||
American Campus Communities, Inc. | 748 | 35,276 | ||||||
American Tower Corp. | 3,188 | 814,406 | ||||||
Iron Mountain, Inc. | 1,790 | 77,937 | ||||||
Nippon Building Fund, Inc. | 8 | 51,150 | ||||||
Orix JREIT, Inc. | 42 | 77,045 | ||||||
Stockland | 11,230 | 40,449 | ||||||
VEREIT, Inc. | 10,613 | 504,860 | ||||||
VICI Properties, Inc.(b) | 2,420 | 75,335 | ||||||
Weingarten Realty Investors | 429 | 14,058 | ||||||
Weyerhaeuser Co. | 1,920 | 72,883 | ||||||
|
| |||||||
1,763,399 | ||||||||
|
|
10
Company | Shares | U.S. $ Value | ||||||
Real Estate Management & Development – 0.4% | ||||||||
CBRE Group, Inc. - Class A(a) | 3,061 | $ | 268,695 | |||||
Deutsche Wohnen SE | 3,763 | 239,584 | ||||||
Hopson Development Holdings Ltd.(b) | 2,000 | 9,702 | ||||||
Tokyu Fudosan Holdings Corp. | 2,100 | 12,605 | ||||||
Vonovia SE | 764 | 47,956 | ||||||
|
| |||||||
578,542 | ||||||||
|
| |||||||
2,341,941 | ||||||||
|
| |||||||
Utilities – 0.7% | ||||||||
Electric Utilities – 0.5% | ||||||||
Enel SpA | 11,288 | 111,946 | ||||||
Iberdrola SA | 7,048 | 97,150 | ||||||
NextEra Energy, Inc. | 1,412 | 103,387 | ||||||
NRG Energy, Inc. | 1,619 | 52,051 | ||||||
PNM Resources, Inc. | 9,737 | 478,281 | ||||||
|
| |||||||
842,815 | ||||||||
|
| |||||||
Gas Utilities – 0.1% | ||||||||
UGI Corp. | 1,613 | 74,278 | ||||||
|
| |||||||
Independent Power and Renewable Electricity Producers – 0.0% | ||||||||
Uniper SE | 220 | 8,079 | ||||||
|
| |||||||
Multi-Utilities – 0.1% | ||||||||
Ameren Corp. | 981 | 82,600 | ||||||
Dominion Energy, Inc. | 715 | 54,440 | ||||||
Sempra Energy | 207 | 28,047 | ||||||
|
| |||||||
165,087 | ||||||||
|
| |||||||
1,090,259 | ||||||||
|
| |||||||
Energy – 0.5% | ||||||||
Energy Equipment & Services – 0.1% | ||||||||
Baker Hughes Co. - Class A | 2,970 | 72,468 | ||||||
|
| |||||||
Oil, Gas & Consumable Fuels – 0.4% | ||||||||
Cheniere Energy, Inc.(a) | 638 | 54,166 | ||||||
ENEOS Holdings, Inc. | 10,900 | 45,016 | ||||||
Idemitsu Kosan Co., Ltd. | 1,900 | 45,099 | ||||||
Imperial Oil Ltd. | 760 | 25,077 | ||||||
LUKOIL PJSC (Sponsored ADR) | 1,935 | 157,141 | ||||||
Neste Oyj | 1,659 | 109,422 | ||||||
OMV AG | 914 | 53,030 | ||||||
Parkland Corp./Canada(b) | 1,475 | 48,338 | ||||||
Royal Dutch Shell PLC - Class B | 7,037 | 127,941 | ||||||
|
| |||||||
665,230 | ||||||||
|
| |||||||
737,698 | ||||||||
|
| |||||||
Total Common Stocks | 74,658,347 | |||||||
|
| |||||||
INVESTMENT COMPANIES – 22.3% | ||||||||
Funds and Investment Trusts – 22.3%(f) | ||||||||
AB All Market Real Return Portfolio - Class Z | 1,307,166 | 13,097,799 | ||||||
AB High Income Fund, Inc. - Class Z | 2,006,317 | 16,130,791 | ||||||
Consumer Staples Select Sector SPDR Fund(b) | 2,009 | 142,257 |
11
Company | Shares | U.S. $ Value | ||||||||||
Financial Select Sector SPDR Fund | 5,362 | $ | 203,702 | |||||||||
Health Care Select Sector SPDR Fund | 1,908 | 235,829 | ||||||||||
iShares JPMorgan USD Emerging Markets Bond ETF | 1,837 | 205,487 | ||||||||||
iShares MSCI ACWI ETF | 1,960 | 197,274 | ||||||||||
iShares MSCI Europe Financials ETF | 8,019 | 169,361 | ||||||||||
iShares MSCI Global Min Vol Factor ETF(b) | 4,614 | 477,318 | ||||||||||
iShares MSCI USA Value Factor ETF(b) | 22,320 | 2,393,820 | ||||||||||
iShares US Technology ETF(b) | 3,511 | 324,627 | ||||||||||
Utilities Select Sector SPDR Fund(b) | 1,728 | 112,597 | ||||||||||
VanEck Vectors JP Morgan EM Local Currency Bond ETF - Class E | 6,000 | 191,220 | ||||||||||
Vanguard Global ex-U.S. Real Estate ETF | 19,770 | 1,164,058 | ||||||||||
|
| |||||||||||
Total Investment Companies | 35,046,140 | |||||||||||
|
| |||||||||||
Principal Amount (000) | ||||||||||||
GOVERNMENTS - TREASURIES – 12.1% |
| |||||||||||
Australia – 1.1% | ||||||||||||
Australia Government Bond | ||||||||||||
Series 142 | AUD | 605 | 546,227 | |||||||||
Series 144 | 275 | 258,467 | ||||||||||
Series 145 | 416 | 350,554 | ||||||||||
Series 150 | 400 | 335,021 | ||||||||||
Series 161 | 135 | 102,443 | ||||||||||
Series 164 | 205 | 155,424 | ||||||||||
|
| |||||||||||
1,748,136 | ||||||||||||
|
| |||||||||||
Austria – 0.2% | ||||||||||||
Republic of Austria Government Bond | EUR | 189 | 242,177 | |||||||||
|
| |||||||||||
Belgium – 0.1% | ||||||||||||
Kingdom of Belgium Government Bond | 95 | 141,187 | ||||||||||
|
| |||||||||||
China – 1.1% | ||||||||||||
China Government Bond | ||||||||||||
Series 1916 | CNY | 7,590 | 1,199,851 | |||||||||
Series INBK | 3,560 | 532,120 | ||||||||||
|
| |||||||||||
1,731,971 | ||||||||||||
|
|
12
Principal Amount (000) | U.S. $ Value | |||||||||||
Colombia – 0.1% | ||||||||||||
Colombian TES | COP | 845,200 | $ | 218,957 | ||||||||
|
| |||||||||||
Finland – 0.1% | ||||||||||||
Finland Government Bond | EUR | 92 | 118,174 | |||||||||
|
| |||||||||||
France – 0.1% | ||||||||||||
French Republic Government Bond OAT | 147 | 169,585 | ||||||||||
|
| |||||||||||
Germany – 0.6% | ||||||||||||
Bundesrepublik Deutschland Bundesanleihe | 350 | 381,604 | ||||||||||
Series 2007 | 153 | 325,265 | ||||||||||
Series 3 | 110 | 219,502 | ||||||||||
|
| |||||||||||
926,371 | ||||||||||||
|
| |||||||||||
Italy – 1.6% | ||||||||||||
Italy Buoni Poliennali Del Tesoro | 260 | 312,139 | ||||||||||
0.50%, 07/15/2028(c) | 420 | 510,642 | ||||||||||
0.95%, 09/15/2027(c) | 920 | 1,160,431 | ||||||||||
1.50%, 04/30/2045(c) | 290 | 339,654 | ||||||||||
1.80%, 03/01/2041(c) | 129 | 162,565 | ||||||||||
|
| |||||||||||
2,485,431 | ||||||||||||
|
| |||||||||||
Japan – 2.6% | ||||||||||||
Japan Government Ten Year Bond | ||||||||||||
Series 358 | JPY | 101,550 | 930,652 | |||||||||
Series 359 | 90,800 | 831,167 | ||||||||||
Japan Government Thirty Year Bond | ||||||||||||
Series 62 | 13,700 | 120,624 | ||||||||||
Series 65 | 41,150 | 350,443 | ||||||||||
Series 68 | 33,250 | 297,571 | ||||||||||
Japan Government Twenty Year Bond | ||||||||||||
Series 143 | 27,400 | 291,415 | ||||||||||
Series 171 | 26,000 | 231,646 | ||||||||||
Japan Government Two Year Bond | 110,800 | 1,012,428 | ||||||||||
|
| |||||||||||
4,065,946 | ||||||||||||
|
|
13
Principal Amount (000) | U.S. $ Value | |||||||||||
Malaysia – 0.1% | ||||||||||||
Malaysia Government Bond | MYR | 670 | $ | 176,457 | ||||||||
|
| |||||||||||
Mexico – 0.4% | ||||||||||||
Mexican Bonos | MXN | 10,460 | 565,688 | |||||||||
|
| |||||||||||
South Korea – 0.2% | ||||||||||||
Korea Treasury Bond | KRW | 368,290 | 311,672 | |||||||||
|
| |||||||||||
Spain – 0.2% | ||||||||||||
Spain Government Bond | EUR | 180 | 220,572 | |||||||||
2.35%, 07/30/2033(c) | 62 | 90,450 | ||||||||||
4.20%, 01/31/2037(c) | 40 | 72,295 | ||||||||||
|
| |||||||||||
383,317 | ||||||||||||
|
| |||||||||||
Thailand – 0.1% | ||||||||||||
Thailand Government Bond | THB | 3,350 | 108,514 | |||||||||
|
| |||||||||||
United Kingdom – 0.3% | ||||||||||||
United Kingdom Gilt | GBP | 352 | 541,098 | |||||||||
|
| |||||||||||
United States – 3.2% | ||||||||||||
U.S. Treasury Bonds | USD | 1,075 | 894,976 | |||||||||
1.875%, 02/15/2051 | 330 | 300,919 | ||||||||||
4.625%, 02/15/2040 | 85 | 118,894 | ||||||||||
U.S. Treasury Notes | 538 | 531,275 | ||||||||||
0.50%, 02/28/2026 | 535 | 528,814 | ||||||||||
1.625%, 10/31/2026 | 675 | 700,734 | ||||||||||
2.125%, 05/31/2026(h) | 1,555 | 1,656,075 | ||||||||||
2.875%, 11/30/2025 | 275 | 301,727 | ||||||||||
|
| |||||||||||
5,033,414 | ||||||||||||
|
| |||||||||||
Total Governments - Treasuries | 18,968,095 | |||||||||||
|
| |||||||||||
CORPORATES - INVESTMENT GRADE – 4.6% | ||||||||||||
Financial Institutions – 2.5% | ||||||||||||
Banking – 1.6% | ||||||||||||
Banco Bilbao Vizcaya Argentaria SA | EUR | 100 | 122,314 | |||||||||
Banco Santander SA | 100 | 126,928 | ||||||||||
Bank of America Corp. | 100 | 130,891 | ||||||||||
4.271%, 07/23/2029 | USD | 56 | 63,975 |
14
Principal Amount (000) | U.S. $ Value | |||||||||||
BNP Paribas SA | EUR | 100 | $ | 121,019 | ||||||||
CaixaBank SA | 100 | 121,606 | ||||||||||
Citigroup, Inc. | 110 | 141,115 | ||||||||||
3.98%, 03/20/2030 | USD | 14 | 15,778 | |||||||||
4.075%, 04/23/2029 | 17 | 19,183 | ||||||||||
Credit Suisse Group AG | 250 | 277,970 | ||||||||||
Danske Bank A/S | GBP | 100 | 145,285 | |||||||||
Deutsche Bank AG/New York NY | USD | 150 | 163,000 | |||||||||
Goldman Sachs Group, Inc. (The) | EUR | 125 | 157,556 | |||||||||
2.60%, 02/07/2030 | USD | 69 | 70,931 | |||||||||
ING Groep NV | 200 | 202,648 | ||||||||||
JPMorgan Chase & Co. | EUR | 100 | 126,708 | |||||||||
Series I | USD | 13 | 13,009 | |||||||||
Series V | 7 | 6,973 | ||||||||||
Series Z | 16 | 16,050 | ||||||||||
Morgan Stanley | EUR | 100 | 129,063 | |||||||||
Natwest Group PLC | 100 | 121,221 | ||||||||||
PNC Financial Services Group, Inc. (The) | USD | 9 | 9,074 | |||||||||
US Bancorp | 46 | 51,954 | ||||||||||
Wells Fargo & Co. | EUR | 115 | 147,847 | |||||||||
|
| |||||||||||
2,502,098 | ||||||||||||
|
| |||||||||||
Brokerage – 0.1% | ||||||||||||
Charles Schwab Corp. (The) | USD | 88 | 91,614 | |||||||||
SURA Asset Management SA | 107 | 115,547 | ||||||||||
|
| |||||||||||
207,161 | ||||||||||||
|
|
15
Principal Amount (000) | U.S. $ Value | |||||||||||
Finance – 0.2% |
| |||||||||||
Air Lease Corp. | USD | 14 | $ | 15,002 | ||||||||
Aviation Capital Group LLC | 12 | 11,943 | ||||||||||
4.125%, 08/01/2025(c) | 27 | 29,037 | ||||||||||
GE Capital European Funding Unlimited Co. | EUR | 50 | 75,415 | |||||||||
Synchrony Financial | USD | 15 | 16,586 | |||||||||
4.50%, 07/23/2025 | 62 | 69,546 | ||||||||||
|
| |||||||||||
217,529 | ||||||||||||
|
| |||||||||||
Insurance – 0.5% |
| |||||||||||
Alleghany Corp. | 38 | 41,507 | ||||||||||
Berkshire Hathaway, Inc. | EUR | 100 | 128,327 | |||||||||
Chubb INA Holdings, Inc. | 125 | 157,521 | ||||||||||
CNP Assurances | 100 | 129,246 | ||||||||||
Credit Agricole Assurances SA | 100 | 135,411 | ||||||||||
Nationwide Mutual Insurance Co. | USD | 21 | 35,422 | |||||||||
Swiss Re America Holding Corp. | 77 | 96,755 | ||||||||||
Voya Financial, Inc. | 48 | 51,024 | ||||||||||
|
| |||||||||||
775,213 | ||||||||||||
|
| |||||||||||
REITS – 0.1% |
| |||||||||||
Vornado Realty LP | 40 | 40,438 | ||||||||||
WPC Eurobond BV | EUR | 100 | 119,237 | |||||||||
|
| |||||||||||
159,675 | ||||||||||||
|
| |||||||||||
3,861,676 | ||||||||||||
|
| |||||||||||
Industrial – 1.9% |
| |||||||||||
Basic – 0.1% |
| |||||||||||
SABIC Capital II BV | USD | 200 | 214,937 | |||||||||
|
| |||||||||||
Capital Goods – 0.0% |
| |||||||||||
Westinghouse Air Brake Technologies Corp. | 16 | 17,437 | ||||||||||
|
| |||||||||||
Communications - Media – 0.2% |
| |||||||||||
Charter Communications Operating LLC/Charter Communications Operating Capital | 65 | 75,787 |
16
Principal Amount (000) | U.S. $ Value | |||||||||||
Discovery Communications LLC | USD | 8 | $ | 8,920 | ||||||||
5.30%, 05/15/2049 | 17 | 20,327 | ||||||||||
Fox Corp. | 120 | 139,460 | ||||||||||
ViacomCBS, Inc. | 7 | 7,682 | ||||||||||
5.50%, 05/15/2033 | 40 | 50,064 | ||||||||||
|
| |||||||||||
302,240 | ||||||||||||
|
| |||||||||||
Communications - Telecommunications – 0.2% |
| |||||||||||
AT&T, Inc. | EUR | 105 | 137,013 | |||||||||
3.50%, 09/15/2053(c) | USD | 20 | 19,101 | |||||||||
3.65%, 09/15/2059(c) | 69 | 66,502 | ||||||||||
British Telecommunications PLC | 75 | 116,629 | ||||||||||
|
| |||||||||||
339,245 | ||||||||||||
|
| |||||||||||
Consumer Cyclical - Automotive – 0.1% |
| |||||||||||
Volkswagen Leasing GmbH | EUR | 60 | 78,300 | |||||||||
|
| |||||||||||
Consumer Cyclical - Other – 0.1% |
| |||||||||||
Las Vegas Sands Corp. | USD | 70 | 73,501 | |||||||||
|
| |||||||||||
Consumer Cyclical - Retailers – 0.0% |
| |||||||||||
Ross Stores, Inc. | 15 | 17,442 | ||||||||||
|
| |||||||||||
Consumer Non-Cyclical – 0.4% |
| |||||||||||
Altria Group, Inc. | EUR | 140 | 193,663 | |||||||||
Anheuser-Busch InBev Worldwide, Inc. | USD | 65 | 85,209 | |||||||||
Banner Health | 70 | 70,884 | ||||||||||
BAT Capital Corp. | 25 | 28,317 | ||||||||||
CVS Health Corp. | 36 | 44,715 | ||||||||||
Gilead Sciences, Inc. | 45 | 54,873 | ||||||||||
Imperial Brands Finance Netherlands BV | EUR | 100 | 120,694 | |||||||||
|
| |||||||||||
598,355 | ||||||||||||
|
| |||||||||||
Energy – 0.4% |
| |||||||||||
Cenovus Energy, Inc. | USD | 94 | 104,747 | |||||||||
5.375%, 07/15/2025 | 18 | 20,545 | ||||||||||
Chevron USA, Inc. | 105 | 139,154 | ||||||||||
Enbridge Energy Partners LP | 48 | 73,138 |
17
Principal Amount (000) | U.S. $ Value | |||||||||||
Energy Transfer LP | USD | 100 | $ | 125,328 | ||||||||
Marathon Petroleum Corp. | 15 | 20,363 | ||||||||||
Plains All American Pipeline LP/PAA Finance Corp. | 9 | 9,340 | ||||||||||
3.80%, 09/15/2030 | 18 | 18,932 | ||||||||||
4.50%, 12/15/2026 | 6 | 6,724 | ||||||||||
Suncor Energy, Inc. | 19 | 26,096 | ||||||||||
6.85%, 06/01/2039 | 19 | 27,160 | ||||||||||
TransCanada PipeLines Ltd. | 59 | 89,407 | ||||||||||
Valero Energy Corp. | 20 | 26,599 | ||||||||||
|
| |||||||||||
687,533 | ||||||||||||
|
| |||||||||||
Technology – 0.3% |
| |||||||||||
Broadcom Corp./Broadcom Cayman Finance Ltd. | 9 | 9,699 | ||||||||||
3.875%, 01/15/2027 | 31 | 34,098 | ||||||||||
Broadcom, Inc. | 27 | 29,893 | ||||||||||
5.00%, 04/15/2030 | 15 | 17,372 | ||||||||||
Fidelity National Information Services, Inc. | EUR | 100 | 124,952 | |||||||||
Fiserv, Inc. | 105 | 133,387 | ||||||||||
Oracle Corp. | USD | 61 | 63,616 | |||||||||
VeriSign, Inc. | 31 | 31,052 | ||||||||||
|
| |||||||||||
444,069 | ||||||||||||
|
| |||||||||||
Transportation - Services – 0.1% |
| |||||||||||
FedEx Corp. | EUR | 100 | 120,955 | |||||||||
Heathrow Funding Ltd. | GBP | 60 | 107,562 | |||||||||
|
| |||||||||||
228,517 | ||||||||||||
|
| |||||||||||
3,001,576 | ||||||||||||
|
| |||||||||||
Utility – 0.2% |
| |||||||||||
Electric – 0.2% |
| |||||||||||
E.ON International Finance BV | EUR | 46 | 59,624 | |||||||||
Enel Finance International NV | USD | 200 | 210,546 | |||||||||
SSE PLC | EUR | 100 | 129,924 | |||||||||
|
| |||||||||||
400,094 | ||||||||||||
|
| |||||||||||
Total Corporates - Investment Grade |
| 7,263,346 | ||||||||||
|
|
18
Principal Amount (000) | U.S. $ Value | |||||||||||
INFLATION-LINKED SECURITIES – 1.3% |
| |||||||||||
Canada – 0.4% |
| |||||||||||
Canadian Government Real Return Bond | CAD | 499 | $ | 610,862 | ||||||||
|
| |||||||||||
France – 0.4% |
| |||||||||||
French Republic Government Bond OAT | EUR | 545 | 726,571 | |||||||||
|
| |||||||||||
Germany – 0.5% |
| |||||||||||
Deutsche Bundesrepublik Inflation Linked Bond | 544 | 729,325 | ||||||||||
|
| |||||||||||
Total Inflation-Linked Securities |
| 2,066,758 | ||||||||||
|
| |||||||||||
MORTGAGE PASS-THROUGHS – 1.1% |
| |||||||||||
Agency Fixed Rate 30-Year – 1.1% |
| |||||||||||
Federal Home Loan Mortgage Corp. | USD | 144 | 153,579 | |||||||||
Federal National Mortgage Association |
| |||||||||||
Series 2018 | 302 | 323,509 | ||||||||||
4.50%, 09/01/2048 | 138 | 149,700 | ||||||||||
Government National Mortgage Association | 224 | 233,715 | ||||||||||
Uniform Mortgage-Backed Security |
| |||||||||||
Series 2020 | 689 | 713,384 | ||||||||||
Series 2021 | 149 | 150,101 | ||||||||||
|
| |||||||||||
1,723,988 | ||||||||||||
|
| |||||||||||
Agency ARMs – 0.0% |
| |||||||||||
Federal Home Loan Mortgage Corp. | 23 | 23,841 | ||||||||||
Federal National Mortgage Association | 17 | 17,733 | ||||||||||
|
| |||||||||||
41,574 | ||||||||||||
|
| |||||||||||
Total Mortgage Pass-Throughs |
| 1,765,562 | ||||||||||
|
| |||||||||||
GOVERNMENTS - SOVEREIGN BONDS – 0.6% |
| |||||||||||
France – 0.2% |
| |||||||||||
Dexia Credit Local SA | EUR | 100 | 123,730 | |||||||||
0.50%, 01/17/2025(c) | 200 | 250,765 | ||||||||||
|
| |||||||||||
374,495 | ||||||||||||
|
|
19
Principal Amount (000) | U.S. $ Value | |||||||||||
Indonesia – 0.1% |
| |||||||||||
Indonesia Government International Bond | EUR | 115 | $ | 137,125 | ||||||||
|
| |||||||||||
Mexico – 0.1% |
| |||||||||||
Mexico Government International Bond | USD | 200 | 227,288 | |||||||||
|
| |||||||||||
Panama – 0.1% |
| |||||||||||
Panama Government International Bond | 60 | 83,186 | ||||||||||
|
| |||||||||||
Peru – 0.1% |
| |||||||||||
Peruvian Government International Bond | 86 | 88,623 | ||||||||||
2.783%, 01/23/2031 | 55 | 55,062 | ||||||||||
|
| |||||||||||
143,685 | ||||||||||||
|
| |||||||||||
Total Governments - Sovereign Bonds |
| 965,779 | ||||||||||
|
| |||||||||||
QUASI-SOVEREIGNS – 0.6% |
| |||||||||||
Quasi-Sovereign Bonds – 0.6% |
| |||||||||||
China – 0.5% |
| |||||||||||
China Development Bank |
| |||||||||||
Series 1805 | CNY | 2,100 | 358,583 | |||||||||
Series 2015 | 3,080 | 489,953 | ||||||||||
|
| |||||||||||
848,536 | ||||||||||||
|
| |||||||||||
Mexico – 0.1% |
| |||||||||||
Petroleos Mexicanos | USD | 10 | 9,725 | |||||||||
6.75%, 09/21/2047 | 75 | 66,277 | ||||||||||
|
| |||||||||||
76,002 | ||||||||||||
|
| |||||||||||
Total Quasi-Sovereigns |
| 924,538 | ||||||||||
|
| |||||||||||
COMMERCIAL MORTGAGE-BACKED SECURITIES – 0.5% |
| |||||||||||
Non-Agency Floating Rate CMBS – 0.4% |
| |||||||||||
Ashford Hospitality Trust | 100 | 100,005 | ||||||||||
BX Commercial Mortgage Trust | 105 | 104,394 |
20
Principal Amount (000) | U.S. $ Value | |||||||||||
Great Wolf Trust | USD | 210 | $ | 209,198 | ||||||||
GS Mortgage Securities Corp. Trust | 160 | 159,693 | ||||||||||
Natixis Commercial Mortgage Securities Trust | 105 | 104,967 | ||||||||||
|
| |||||||||||
678,257 | ||||||||||||
|
| |||||||||||
Non-Agency Fixed Rate CMBS – 0.1% |
| |||||||||||
GS Mortgage Securities Trust | ||||||||||||
Series 2013-G1, Class A1 | 27 | 27,267 | ||||||||||
Series 2013-G1, Class A2 | 134 | 130,578 | ||||||||||
|
| |||||||||||
157,845 | ||||||||||||
|
| |||||||||||
Total Commercial Mortgage-Backed Securities |
| 836,102 | ||||||||||
|
| |||||||||||
COLLATERALIZED MORTGAGE OBLIGATIONS – 0.4% |
| |||||||||||
Risk Share Floating Rate – 0.4% |
| |||||||||||
Eagle RE Ltd. | 60 | 60,408 | ||||||||||
Federal Home Loan Mortgage Corp. Structured Agency Credit Risk Debt Notes | 34 | 34,153 | ||||||||||
Series 2021-DNA3, Class M2 | 39 | 39,770 | ||||||||||
Federal National Mortgage Association Connecticut Avenue Securities | 61 | 62,672 | ||||||||||
Series 2014-C04, Class 2M2 | 36 | 37,045 | ||||||||||
Series 2015-C01, Class 2M2 | 3 | 3,096 | ||||||||||
Series 2016-C01, Class 2M2 | 22 | 23,728 |
21
Principal Amount (000) | U.S. $ Value | |||||||||||
Series 2016-C02, Class 1M2 | USD | 25 | $ | 26,835 | ||||||||
Series 2016-C06, Class 1M2 | 167 | 173,843 | ||||||||||
Series 2017-C01, Class 1M2 | 61 | 63,279 | ||||||||||
PMT Credit Risk Transfer Trust | 70 | 69,501 | ||||||||||
|
| |||||||||||
594,330 | ||||||||||||
|
| |||||||||||
Agency Fixed Rate – 0.0% |
| |||||||||||
Federal National Mortgage Association Grantor Trust | 33 | 31,235 | ||||||||||
|
| |||||||||||
Total Collateralized Mortgage Obligations |
| 625,565 | ||||||||||
|
| |||||||||||
COLLATERALIZED LOAN OBLIGATIONS – 0.4% |
| |||||||||||
CLO - Floating Rate – 0.4% |
| |||||||||||
Halcyon Loan Advisors Funding Ltd. | 250 | 250,000 | ||||||||||
Neuberger Berman Loan Advisers Clo 42 Ltd. | 100 | 100,010 | ||||||||||
Neuberger Berman Loan Advisers CLO Ltd. | 250 | 250,071 | ||||||||||
|
| |||||||||||
Total Collateralized Loan Obligations | 600,081 | |||||||||||
|
| |||||||||||
GOVERNMENTS - SOVEREIGN AGENCIES – 0.4% |
| |||||||||||
Canada – 0.2% |
| |||||||||||
Canada Housing Trust No. 1 | CAD | 85 | 72,790 | |||||||||
1.95%, 12/15/2025(c) | 275 | 236,773 | ||||||||||
|
| |||||||||||
309,563 | ||||||||||||
|
|
22
Principal Amount (000) | U.S. $ Value | |||||||||||
France – 0.2% |
| |||||||||||
SNCF Reseau | EUR | 100 | $ | 149,262 | ||||||||
Societe Nationale SNCF SA | 100 | 125,520 | ||||||||||
|
| |||||||||||
274,782 | ||||||||||||
|
| |||||||||||
Total Governments - Sovereign Agencies |
| 584,345 | ||||||||||
|
| |||||||||||
ASSET-BACKED SECURITIES – 0.4% |
| |||||||||||
Autos - Fixed Rate – 0.3% |
| |||||||||||
Avis Budget Rental Car Funding AESOP LLC | USD | 120 | 130,202 | |||||||||
Flagship Credit Auto Trust | 78 | 81,694 | ||||||||||
Hertz Vehicle Financing II LP | 165 | 166,784 | ||||||||||
Series 2017-1A, Class A | 16 | 15,999 | ||||||||||
|
| |||||||||||
394,679 | ||||||||||||
|
| |||||||||||
Other ABS - Fixed Rate – 0.1% |
| |||||||||||
SBA Tower Trust | 85 | 90,028 | ||||||||||
SoFi Consumer Loan Program Trust | 88 | 89,232 | ||||||||||
|
| |||||||||||
179,260 | ||||||||||||
|
| |||||||||||
Home Equity Loans - Floating Rate – 0.0% |
| |||||||||||
ABFC Trust | 7 | 6,654 | ||||||||||
|
| |||||||||||
Total Asset-Backed Securities |
| 580,593 | ||||||||||
|
| |||||||||||
LOCAL GOVERNMENTS - PROVINCIAL BONDS – 0.3% |
| |||||||||||
Canada – 0.3% |
| |||||||||||
Province of Ontario Canada | CAD | 240 | 265,620 | |||||||||
Province of Quebec Canada | 305 | 272,131 | ||||||||||
|
| |||||||||||
Total Local Governments - Provincial Bonds |
| 537,751 | ||||||||||
|
|
23
Principal Amount (000) | U.S. $ Value | |||||||||||
COVERED BONDS – 0.1% | ||||||||||||
BPCE SFH SA | EUR | 100 | $ | 124,645 | ||||||||
|
| |||||||||||
Shares | ||||||||||||
SHORT-TERM INVESTMENTS – 5.6% | ||||||||||||
Investment Companies – 5.6% | ||||||||||||
AB Fixed Income Shares, Inc. - Government Money Market Portfolio - | 8,739,213 | 8,739,213 | ||||||||||
|
| |||||||||||
Total Investments Before Security Lending Collateral for Securities Loaned – 98.2% | 154,286,860 | |||||||||||
|
| |||||||||||
INVESTMENTS OF CASH COLLATERAL FOR SECURITIES LOANED – 0.9% | ||||||||||||
Investment Companies – 0.9% | ||||||||||||
AB Fixed Income Shares, Inc. - Government Money Market Portfolio - | 1,386,931 | 1,386,931 | ||||||||||
|
| |||||||||||
Total Investments – 99.1% | 155,673,791 | |||||||||||
Other assets less liabilities – 0.9% | 1,365,346 | |||||||||||
|
| |||||||||||
Net Assets – 100.0% | $ | 157,039,137 | ||||||||||
|
|
FUTURES
Description | Number of | Expiration Month | Current Notional | Value and Unrealized (Depreciation) | ||||||||||||||||
Purchased Contracts |
| |||||||||||||||||||
10 Yr Australian Bond Futures | 15 | June 2021 | $ | 1,618,305 | $ | 13,743 | ||||||||||||||
10 Yr Canadian Bond Futures | 7 | September 2021 | 835,330 | 1,180 | ||||||||||||||||
BIST 30 Futures | 193 | June 2021 | 343,550 | (2,222 | ) | |||||||||||||||
E-Mini Russell 2000 Futures | 13 | June 2021 | 1,474,590 | (3,592 | ) | |||||||||||||||
Euro STOXX 50 Index Futures | 24 | June 2021 | 1,180,915 | 61,797 | ||||||||||||||||
Euro-Schatz Futures | 3 | June 2021 | 409,900 | 33 | ||||||||||||||||
FTSE 100 Index Futures | 6 | June 2021 | 598,044 | 7,067 | ||||||||||||||||
FTSE KLCI Futures | 37 | June 2021 | 707,596 | 1,817 | ||||||||||||||||
Hang Seng Index Futures | 2 | June 2021 | 373,127 | 2,838 | ||||||||||||||||
Long Gilt Futures | 31 | September 2021 | 5,598,193 | 7,442 | ||||||||||||||||
MSCI EAFE Futures | 19 | June 2021 | 2,220,150 | 126,861 | ||||||||||||||||
MSCI Emerging Markets Futures | 46 | June 2021 | 3,130,070 | 64,075 | ||||||||||||||||
MSCI Singapore IX ETS Futures | 10 | June 2021 | 271,871 | 1,308 | ||||||||||||||||
S&P 400 E-Mini Futures | 6 | June 2021 | 1,636,020 | 38,924 | ||||||||||||||||
S&P TSX 60 Index Futures | 3 | June 2021 | 585,373 | 20,308 | ||||||||||||||||
SPI 200 Futures | 4 | June 2021 | 552,427 | 8,718 |
24
Description | Number of | Expiration Month | Current Notional | Value and Unrealized (Depreciation) | ||||||||||||||||
TOPIX Index Futures | 7 | June 2021 | $ | 1,229,071 | $ | 7,510 | ||||||||||||||
U.S. T-Note 5 Yr (CBT) Futures | 57 | September 2021 | 7,059,539 | 11,661 | ||||||||||||||||
U.S. Ultra Bond (CBT) Futures | 37 | September 2021 | 6,854,250 | (20,289 | ) | |||||||||||||||
WIG 20 Index Futures | 24 | June 2021 | 291,277 | 29,193 | ||||||||||||||||
Sold Contracts |
| |||||||||||||||||||
10 Yr Japan Bond (OSE) Futures | 1 | June 2021 | 1,378,978 | (5,059 | ) | |||||||||||||||
10 Yr Mini Japan Government Bond Futures | 22 | June 2021 | 3,033,951 | (9,749 | ) | |||||||||||||||
E-Mini Russell 1000 Futures | 13 | June 2021 | 1,535,950 | (80,274 | ) | |||||||||||||||
Euro Buxl 30 Yr Bond Futures | 1 | June 2021 | 245,719 | 7,193 | ||||||||||||||||
Euro-BOBL Futures | 14 | June 2021 | 2,299,980 | 1,813 | ||||||||||||||||
Euro-Bund Futures | 3 | June 2021 | 621,700 | (2,528 | ) | |||||||||||||||
FTSE China A50 Futures | 8 | June 2021 | 145,264 | (52 | ) | |||||||||||||||
FTSE/JSE Top 40 Futures | 1 | June 2021 | 44,892 | (306 | ) | |||||||||||||||
Mexican Bolsa Index Futures | 7 | June 2021 | 178,669 | (9,761 | ) | |||||||||||||||
OMXS30 Index Futures | 20 | June 2021 | 540,513 | (3,136 | ) | |||||||||||||||
S&P 500 E-Mini Futures | 49 | June 2021 | 10,295,880 | (514,230 | ) | |||||||||||||||
SET 50 Futures | 1 | June 2021 | 6,152 | (106 | ) | |||||||||||||||
SGX Nifty 50 Futures | 29 | June 2021 | 903,640 | (13,669 | ) | |||||||||||||||
U.S. T-Note 2 Yr (CBT) Futures | 17 | September 2021 | 3,752,484 | (1,747 | ) | |||||||||||||||
U.S. T-Note 10 Yr (CBT) Futures | 7 | September 2021 | 1,014,672 | (2,307 | ) | |||||||||||||||
U.S. T-Note 10 Yr (CBT) Futures | 20 | September 2021 | 2,638,750 | 1,918 | ||||||||||||||||
|
| |||||||||||||||||||
$ | (253,628 | ) | ||||||||||||||||||
|
|
FORWARD CURRENCY EXCHANGE CONTRACTS
Counterparty | Contracts to Deliver (000) | In Exchange For (000) | Settlement Date | Unrealized Appreciation/ (Depreciation) | ||||||||||||||||||||
Australia and New Zealand Banking Group Ltd. | HKD | 20,963 | USD | 2,704 | 08/13/2021 | $ | 2,564 | |||||||||||||||||
Bank of America, NA | RUB | 32,467 | USD | 437 | 07/28/2021 | (1,737 | ) | |||||||||||||||||
Bank of America, NA | USD | 1,567 | RUB | 116,409 | 07/28/2021 | 6,229 | ||||||||||||||||||
Barclays Bank PLC | KRW | 358,060 | USD | 321 | 07/22/2021 | (2,212 | ) | |||||||||||||||||
Barclays Bank PLC | CNY | 11,017 | USD | 1,689 | 06/24/2021 | (36,341 | ) | |||||||||||||||||
Barclays Bank PLC | MYR | 845 | USD | 204 | 09/23/2021 | (523 | ) | |||||||||||||||||
Barclays Bank PLC | USD | 655 | MYR | 2,714 | 09/23/2021 | 2,417 | ||||||||||||||||||
Barclays Bank PLC | USD | 568 | MXN | 11,471 | 06/18/2021 | 6,773 | ||||||||||||||||||
Barclays Bank PLC | USD | 736 | PHP | 36,162 | 07/22/2021 | 19,696 | ||||||||||||||||||
BNP Paribas SA | USD | 1,011 | EUR | 832 | 06/16/2021 | 6,838 | ||||||||||||||||||
BNP Paribas SA | USD | 1,121 | SEK | 9,362 | 06/16/2021 | 8,262 | ||||||||||||||||||
Citibank, NA | COP | 4,976,380 | USD | 1,325 | 07/15/2021 | (14,005 | ) | |||||||||||||||||
Citibank, NA | INR | 13,066 | USD | 177 | 07/15/2021 | (2,234 | ) | |||||||||||||||||
Citibank, NA | PEN | 2,734 | USD | 748 | 07/15/2021 | 32,024 | ||||||||||||||||||
Citibank, NA | CAD | 1,999 | USD | 1,597 | 07/16/2021 | (59,148 | ) | |||||||||||||||||
Citibank, NA | THB | 3,406 | USD | 108 | 07/15/2021 | (938 | ) | |||||||||||||||||
Citibank, NA | AUD | 1,238 | USD | 959 | 06/16/2021 | 1,134 | ||||||||||||||||||
Citibank, NA | USD | 2,703 | HKD | 20,963 | 08/13/2021 | (1,209 | ) | |||||||||||||||||
Credit Suisse International | USD | 546 | PLN | 2,063 | 06/24/2021 | 17,394 | ||||||||||||||||||
Deutsche Bank AG | HUF | 197,480 | USD | 642 | 06/24/2021 | (53,998 | ) | |||||||||||||||||
Deutsche Bank AG | AUD | 2,202 | USD | 1,681 | 06/04/2021 | (23,585 | ) | |||||||||||||||||
Deutsche Bank AG | USD | 391 | PEN | 1,430 | 07/15/2021 | (16,217 | ) | |||||||||||||||||
Deutsche Bank AG | USD | 837 | INR | 62,274 | 07/15/2021 | 16,294 | ||||||||||||||||||
Deutsche Bank AG | USD | 391 | COP | 1,445,710 | 07/15/2021 | (2,252 | ) | |||||||||||||||||
Goldman Sachs Bank USA | KRW | 161,188 | USD | 143 | 07/22/2021 | (2,490 | ) | |||||||||||||||||
Goldman Sachs Bank USA | TWD | 16,659 | USD | 594 | 07/22/2021 | (14,738 | ) | |||||||||||||||||
Goldman Sachs Bank USA | TWD | 7,927 | USD | 290 | 07/07/2021 | 574 | ||||||||||||||||||
Goldman Sachs Bank USA | BRL | 2,931 | USD | 552 | 06/02/2021 | (7,614 | ) | |||||||||||||||||
Goldman Sachs Bank USA | BRL | 2,199 | USD | 420 | 06/02/2021 | 602 | ||||||||||||||||||
Goldman Sachs Bank USA | USD | 409 | BRL | 2,199 | 06/02/2021 | 10,435 |
25
Counterparty | Contracts to Deliver (000) | In Exchange For (000) | Settlement Date | Unrealized Appreciation/ (Depreciation) | ||||||||||||||||||||||||||
Goldman Sachs Bank USA | USD | 550 | BRL | 2,931 | 07/02/2021 | $ | 7,619 | |||||||||||||||||||||||
Goldman Sachs Bank USA | USD | 560 | BRL | 2,931 | 06/02/2021 | (802 | ) | |||||||||||||||||||||||
Goldman Sachs Bank USA | USD | 174 | INR | 13,202 | 07/15/2021 | 6,425 | ||||||||||||||||||||||||
HSBC Bank USA | EUR | 8,431 | USD | 10,342 | 08/03/2021 | 20,395 | ||||||||||||||||||||||||
HSBC Bank USA | CNY | 855 | USD | 132 | 06/24/2021 | (1,648 | ) | |||||||||||||||||||||||
HSBC Bank USA | USD | 876 | EUR | 714 | 08/03/2021 | (1,727 | ) | |||||||||||||||||||||||
HSBC Bank USA | USD | 256 | IDR | 3,790,490 | 07/15/2021 | 8,535 | ||||||||||||||||||||||||
JPMorgan Chase Bank, NA | PLN | 675 | USD | 173 | 06/24/2021 | (11,680 | ) | |||||||||||||||||||||||
JPMorgan Chase Bank, NA | AUD | 454 | USD | 353 | 06/04/2021 | 1,224 | ||||||||||||||||||||||||
JPMorgan Chase Bank, NA | USD | 349 | NOK | 2,908 | 07/15/2021 | 298 | ||||||||||||||||||||||||
Morgan Stanley Capital Services, Inc. | JPY | 498,420 | USD | 4,580 | 08/19/2021 | 25,119 | ||||||||||||||||||||||||
Morgan Stanley Capital Services, Inc. | CLP | 470,618 | USD | 662 | 07/15/2021 | 10,985 | ||||||||||||||||||||||||
Morgan Stanley Capital Services, Inc. | MYR | 3,199 | USD | 773 | 09/23/2021 | (2,559 | ) | |||||||||||||||||||||||
Natwest Markets PLC | TWD | 17,538 | USD | 633 | 07/22/2021 | (7,323 | ) | |||||||||||||||||||||||
Natwest Markets PLC | CHF | 1,228 | USD | 1,362 | 06/16/2021 | (4,441 | ) | |||||||||||||||||||||||
Standard Chartered Bank | IDR | 1,399,812 | USD | 97 | 07/15/2021 | (554 | ) | |||||||||||||||||||||||
Standard Chartered Bank | KRW | 364,066 | USD | 327 | 07/22/2021 | (1,921 | ) | |||||||||||||||||||||||
Standard Chartered Bank | USD | 286 | TWD | 7,927 | 07/07/2021 | 2,720 | ||||||||||||||||||||||||
State Street Bank & Trust Co. | HUF | 42,073 | USD | 136 | 06/24/2021 | (12,606 | ) | |||||||||||||||||||||||
State Street Bank & Trust Co. | ZAR | 9,487 | USD | 647 | 06/17/2021 | (41,310 | ) | |||||||||||||||||||||||
State Street Bank & Trust Co. | CZK | 11,192 | USD | 517 | 06/24/2021 | (21,073 | ) | |||||||||||||||||||||||
State Street Bank & Trust Co. | TWD | 6,333 | USD | 229 | 07/22/2021 | (2,527 | ) | |||||||||||||||||||||||
State Street Bank & Trust Co. | MXN | 11,461 | USD | 568 | 06/18/2021 | (6,396 | ) | |||||||||||||||||||||||
State Street Bank & Trust Co. | PLN | 3,851 | USD | 1,006 | 06/24/2021 | (45,122 | ) | |||||||||||||||||||||||
State Street Bank & Trust Co. | NZD | 934 | USD | 671 | 06/16/2021 | (8,862 | ) | |||||||||||||||||||||||
State Street Bank & Trust Co. | CAD | 765 | USD | 616 | 07/16/2021 | (17,969 | ) | |||||||||||||||||||||||
State Street Bank & Trust Co. | GBP | 570 | USD | 789 | 06/17/2021 | (20,573 | ) | |||||||||||||||||||||||
State Street Bank & Trust Co. | CHF | 755 | USD | 831 | 06/16/2021 | (9,088 | ) | |||||||||||||||||||||||
State Street Bank & Trust Co. | CAD | 514 | USD | 420 | 06/16/2021 | (6,265 | ) | |||||||||||||||||||||||
State Street Bank & Trust Co. | EUR | 387 | USD | 475 | 08/03/2021 | 715 | ||||||||||||||||||||||||
State Street Bank & Trust Co. | CNY | 355 | USD | 54 | 06/24/2021 | (1,131 | ) | |||||||||||||||||||||||
State Street Bank & Trust Co. | GBP | 723 | USD | 1,019 | 06/16/2021 | (8,802 | ) | |||||||||||||||||||||||
State Street Bank & Trust Co. | CHF | 576 | USD | 636 | 08/05/2021 | (5,509 | ) | |||||||||||||||||||||||
State Street Bank & Trust Co. | EUR | 485 | USD | 591 | 06/16/2021 | (2,242 | ) | |||||||||||||||||||||||
State Street Bank & Trust Co. | AUD | 191 | USD | 148 | 06/16/2021 | 148 | ||||||||||||||||||||||||
State Street Bank & Trust Co. | AUD | 254 | USD | 195 | 06/04/2021 | (1,418 | ) | |||||||||||||||||||||||
State Street Bank & Trust Co. | EUR | 344 | USD | 420 | 08/03/2021 | (1,055 | ) | |||||||||||||||||||||||
State Street Bank & Trust Co. | USD | 212 | CAD | 256 | 07/16/2021 | 677 | ||||||||||||||||||||||||
State Street Bank & Trust Co. | USD | 897 | CAD | 1,090 | 06/16/2021 | 6,342 | ||||||||||||||||||||||||
State Street Bank & Trust Co. | USD | 534 | GBP | 385 | 06/17/2021 | 12,380 | ||||||||||||||||||||||||
State Street Bank & Trust Co. | USD | 192 | EUR | 157 | 08/03/2021 | 386 | ||||||||||||||||||||||||
State Street Bank & Trust Co. | USD | 540 | PLN | 2,076 | 06/24/2021 | 26,270 |
26
Counterparty | Contracts to Deliver (000) | In Exchange For (000) | Settlement Date | Unrealized Appreciation/ (Depreciation) | ||||||||||||||||||||||||||
State Street Bank & Trust Co. | USD | 354 | AUD | 451 | 06/04/2021 | $ | (4,712 | ) | ||||||||||||||||||||||
State Street Bank & Trust Co. | USD | 176 | NOK | 1,498 | 07/15/2021 | 4,171 | ||||||||||||||||||||||||
State Street Bank & Trust Co. | USD | 318 | NOK | 2,619 | 06/16/2021 | (2,844 | ) | |||||||||||||||||||||||
State Street Bank & Trust Co. | USD | 347 | SEK | 2,919 | 06/16/2021 | 5,109 | ||||||||||||||||||||||||
State Street Bank & Trust Co. | USD | 235 | ZAR | 3,331 | 06/17/2021 | 7,201 | ||||||||||||||||||||||||
State Street Bank & Trust Co. | USD | 675 | CNY | 4,417 | 06/24/2021 | 16,350 | ||||||||||||||||||||||||
State Street Bank & Trust Co. | USD | 275 | JPY | 29,920 | 06/16/2021 | (1,533 | ) | |||||||||||||||||||||||
State Street Bank & Trust Co. | USD | 447 | THB | 13,946 | 07/15/2021 | (1,067 | ) | |||||||||||||||||||||||
State Street Bank & Trust Co. | USD | 295 | JPY | 32,084 | 08/19/2021 | (1,513 | ) | |||||||||||||||||||||||
State Street Bank & Trust Co. | USD | 612 | INR | 46,107 | 07/15/2021 | 19,498 | ||||||||||||||||||||||||
UBS AG | BRL | 732 | USD | 140 | 06/02/2021 | 200 | ||||||||||||||||||||||||
UBS AG | USD | 139 | BRL | 732 | 06/02/2021 | 676 | ||||||||||||||||||||||||
|
| |||||||||||||||||||||||||||||
$ | (180,834 | ) | ||||||||||||||||||||||||||||
|
|
CENTRALLY CLEARED CREDIT DEFAULT SWAPS
Description | Fixed Rate (Pay) Receive | Payment Frequency | Implied Credit Spread at May 31, 2021 | Notional Amount (000) | Market Value | Upfront Premiums Paid/ (Received) | Unrealized Appreciation/ (Depreciation) | |||||||||||||||||||||||||
Buy Contracts |
| |||||||||||||||||||||||||||||||
CDX-NAHY Series 36, 5 Year Index, 06/20/2026* | (5.00 | )% | Quarterly | 2.87 | % | USD | 2,260 | $ | (240,836 | ) | $ | (211,280 | ) | $ | (29,556 | ) |
* | Termination date |
CENTRALLY CLEARED INTEREST RATE SWAPS
Rate Type | ||||||||||||||||||||||||
Notional Amount (000) | Termination Date | Payments made by the Fund | Payments received by the Fund | Payment Received | Market Value | Upfront Premiums Paid/ (Received) | Unrealized Appreciation/ (Depreciation) | |||||||||||||||||
GBP | 1,430 | 02/05/2023 | 6 Month LIBOR | 0.177% | Semi-Annual | $ | (2,241 | ) | $ | (14 | ) | $ | (2,227 | ) | ||||||||||
USD | 3,120 | 02/09/2023 | 3 Month LIBOR | 0.200% | Quarterly/ Semi-Annual | 1,986 | — | 1,986 | ||||||||||||||||
EUR | 1,960 | 04/27/2023 | 6 Month EURIBOR | (0.487)% | Semi-Annual/ Annual | 589 | 7 | 582 | ||||||||||||||||
CAD | 1,960 | 05/22/2024 | 3 Month CDOR | 1.980% | Semi-Annual | 50,384 | 1 | 50,383 |
27
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) | |||||||||||||||||||||||
CNY | 6,550 | 02/17/2025 | | China 7-Day Reverse Repo Rate | | 2.547% | Quarterly | $ | (4,688 | ) | $ | — | $ | (4,688 | ) | |||||||||||||||
CNY | 19,495 | 02/20/2025 | | China 7-Day Reverse Repo Rate | | 2.598% | Quarterly | (8,628 | ) | — | (8,628 | ) | ||||||||||||||||||
CNY | 19,785 | 02/21/2025 | | China 7-Day Reverse Repo Rate | | 2.620% | Quarterly | (6,112 | ) | — | (6,112 | ) | ||||||||||||||||||
NZD | 230 | 01/11/2031 | | 3 Month BKBM | | 1.058% | | Quarterly/ Semi-Annual |
| (13,094 | ) | — | (13,094 | ) | ||||||||||||||||
NOK | 1,870 | 01/18/2031 | | 6 Month NIBOR | | 1.331% | | Semi-Annual/ Annual |
| (7,992 | ) | — | (7,992 | ) | ||||||||||||||||
NOK | 2,030 | 01/21/2031 | | 6 Month NIBOR | | 1.348% | | Semi-Annual/ Annual |
| (8,278 | ) | — | (8,278 | ) | ||||||||||||||||
NZD | 450 | 01/21/2031 | | 3 Month BKBM | | 1.075% | | Quarterly /Semi-Annual |
| (25,304 | ) | — | (25,304 | ) | ||||||||||||||||
GBP | 290 | 02/05/2031 | 0.701% | | 6 Month LIBOR | | Semi-Annual | 11,242 | 20 | 11,222 | ||||||||||||||||||||
USD | 620 | 02/09/2031 | 1.226% | | 3 Month LIBOR | | | Semi-Annual/ Quarterly |
| 15,632 | — | 15,632 | ||||||||||||||||||
NOK | 2,770 | 02/19/2031 | | 6 Month NIBOR | | 1.634% | | Semi-Annual/ Annual |
| (2,876 | ) | — | (2,876 | ) | ||||||||||||||||
CHF | 820 | 02/19/2031 | (0.054)% | | 6 Month LIBOR | | | Annual/ Semi-Annual |
| 5,139 | — | 5,139 | ||||||||||||||||||
NZD | 510 | 02/19/2031 | | 3 Month BKBM | | 1.616% | | Quarterly/ Semi-Annual |
| (10,833 | ) | — | (10,833 | ) | ||||||||||||||||
NOK | 1,320 | 04/21/2031 | | 6 Month NIBOR | | 1.755% | | Semi- Annual/ Annual |
| 26 | — | 26 | ||||||||||||||||||
NZD | 220 | 04/21/2031 | | 3 Month BKBM | | 1.790% | | Quarterly/ Semi-Annual |
| (2,893 | ) | — | (2,893 | ) | ||||||||||||||||
SEK | 10 | 04/21/2031 | | 3 Month STIBOR | | 0.786% | | Quarterly /Annual |
| 1 | — | 1 | ||||||||||||||||||
EUR | 390 | 04/27/2031 | 0.076% | | 6 Month EURIBOR | | | Annual/ Semi-Annual |
| 1,634 | — | 1,634 | ||||||||||||||||||
NOK | 1,420 | 05/03/2031 | | 6 Month NIBOR | | 1.786% | | Semi-Annual /Annual |
| 422 | — | 422 | ||||||||||||||||||
NZD | 340 | 05/18/2031 | | 3 Month BKBM | | 1.985% | | Quarterly/ Semi-Annual |
| (490 | ) | — | (490 | ) | ||||||||||||||||
EUR | 240 | 09/30/2050 | 0.122% | | 6 Month EURIBOR | | | Annual/ Semi-Annual |
| 32,373 | — | 32,373 | ||||||||||||||||||
EUR | 240 | 09/30/2050 | | 6 Month EURIBOR | | (0.017)% | | Semi- Annual/ Annual |
| (44,003 | ) | — | (44,003 | ) | ||||||||||||||||
EUR | 240 | 11/10/2050 | 0.022% | | 6 Month EURIBOR | | | Annual/ Semi-Annual |
| 40,678 | 1,830 | 38,848 | ||||||||||||||||||
EUR | 240 | 11/10/2050 | | 6 Month EURIBOR | | (0.043)% | | Semi- Annual/ Annual |
| (46,584 | ) | — | (46,584) | |||||||||||||||||
|
|
|
|
|
| |||||||||||||||||||||||||
$ | (23,910 | ) | $ | 1,844 | $ | (25,754) | ||||||||||||||||||||||||
|
|
|
|
|
|
28
INFLATION (CPI) SWAPS
Rate Type | ||||||||||||||||||||||||||||||||||||
Swap Counterparty | Notional Amount (000) | Termination Date | Payments made by the Fund | Payments received by the Fund | Payment Received | Market Value | Upfront Premiums Paid/ (Received) | Unrealized Appreciation/ (Depreciation) | ||||||||||||||||||||||||||||
Barclays Bank PLC | USD | 15,560 | 07/18/2022 | 1.937% | CPI# | Maturity | $ | 431,266 | $ | — | $ | 431,266 | ||||||||||||||||||||||||
Citibank, NA | USD | 2,880 | 06/08/2025 | 1.242% | CPI# | Maturity | 235,418 | — | 235,418 | |||||||||||||||||||||||||||
Goldman Sachs International | USD | 1,230 | 01/18/2023 | 2.206% | CPI# | Maturity | 15,980 | — | 15,980 | |||||||||||||||||||||||||||
JPMorgan Chase Bank, NA | USD | 980 | 01/14/2026 | 2.236% | CPI# | Maturity | 30,824 | — | 30,824 | |||||||||||||||||||||||||||
|
|
|
|
|
| |||||||||||||||||||||||||||||||
$ | 713,488 | $ | — | $ | 713,488 | |||||||||||||||||||||||||||||||
|
|
|
|
|
|
# | Variable interest rate based on the rate of inflation as determined by the Consumer Price Index (CPI). |
TOTAL RETURN SWAPS
Counterparty & Referenced Obligation | Rate Paid/ Received | Payment Frequency | Current Notional (000) | Maturity Date | Unrealized Appreciation/ (Depreciation) | |||||||||||||||||||
Receive Total Return on Reference Obligation | ||||||||||||||||||||||||
BNP Paribas SA | ||||||||||||||||||||||||
Just Eat Takeaway N.V. | LIBOR Plus 0.20 | % | Quarterly | USD | 235 | 03/15/2022 | $ | 963 | ||||||||||||||||
Citibank, NA | ||||||||||||||||||||||||
Just Eat Takeaway N.V. | LIBOR Plus 0.20 | % | Quarterly | USD | 473 | 03/15/2022 | 29,228 | |||||||||||||||||
Just Eat Takeaway N.V. | LIBOR Plus 0.20 | % | Quarterly | USD | 314 | 03/15/2022 | (1,967 | ) | ||||||||||||||||
Goldman Sachs International | ||||||||||||||||||||||||
Just Eat Takeaway N.V. | LIBOR Plus 0.35 | % | Monthly | GBP | 6 | 01/05/2023 | (96 | ) | ||||||||||||||||
Just Eat Takeaway N.V. | LIBOR Plus 0.35 | % | Monthly | GBP | 79 | 01/05/2023 | 1,434 | |||||||||||||||||
Just Eat Takeaway N.V. | LIBOR Plus 0.35 | % | Monthly | GBP | 61 | 01/05/2023 | 908 | |||||||||||||||||
Just Eat Takeaway N.V. | LIBOR Plus 0.35 | % | Monthly | GBP | 50 | 01/05/2023 | 895 | |||||||||||||||||
Just Eat Takeaway N.V. | LIBOR Plus 0.35 | % | Monthly | GBP | 37 | 01/05/2023 | 693 | |||||||||||||||||
Just Eat Takeaway N.V. | LIBOR Plus 0.35 | % | Monthly | GBP | 39 | 01/05/2023 | 659 | |||||||||||||||||
Just Eat Takeaway N.V. | LIBOR Plus 0.35 | % | Monthly | USD | 59 | 01/05/2023 | 568 | |||||||||||||||||
Just Eat Takeaway N.V. | EURIBOR Plus 0.35 | % | Monthly | EUR | 50 | 01/05/2023 | 487 | |||||||||||||||||
Just Eat Takeaway N.V. | LIBOR Plus 0.35 | % | Monthly | GBP | 25 | 01/05/2023 | 449 |
29
Counterparty & | Rate Paid/ Received | Payment Frequency | Current | Maturity Date | Unrealized Appreciation/ (Depreciation) | |||||||||||||||||
Just Eat Takeaway N.V. | LIBOR Plus 0.35% | Monthly | USD | 49 | 01/05/2023 | $ | 436 | |||||||||||||||
Just Eat Takeaway N.V. | LIBOR Plus 0.35% | Monthly | GBP | 24 | 01/05/2023 | 385 | ||||||||||||||||
Just Eat Takeaway N.V. | LIBOR Plus 0.35% | Monthly | USD | 39 | 01/05/2023 | 383 | ||||||||||||||||
Just Eat Takeaway N.V. | LIBOR Plus 0.35% | Monthly | GBP | 17 | 01/05/2023 | 290 | ||||||||||||||||
Just Eat Takeaway N.V. | EURIBOR Plus 0.35% | Monthly | EUR | 60 | 01/05/2023 | 291 | ||||||||||||||||
Just Eat Takeaway N.V. | EURIBOR Plus 0.35% | Monthly | EUR | 31 | 01/05/2023 | 219 | ||||||||||||||||
Just Eat Takeaway N.V. | LIBOR Plus 0.35% | Monthly | USD | 22 | 01/05/2023 | 202 | ||||||||||||||||
Just Eat Takeaway N.V. | LIBOR Plus 0.35% | Monthly | GBP | 53 | 01/05/2023 | 198 | ||||||||||||||||
Just Eat Takeaway N.V. | LIBOR Plus 0.35% | Monthly | USD | 27 | 01/05/2023 | 186 | ||||||||||||||||
Just Eat Takeaway N.V. | EURIBOR Plus 0.35% | Monthly | EUR | 30 | 01/05/2023 | 162 | ||||||||||||||||
Just Eat Takeaway N.V. | LIBOR Plus 0.35% | Monthly | USD | 15 | 01/05/2023 | 152 | ||||||||||||||||
Just Eat Takeaway N.V. | LIBOR Plus 0.35% | Monthly | GBP | 41 | 01/05/2023 | 124 | ||||||||||||||||
Just Eat Takeaway N.V. | EURIBOR Plus 0.35% | Monthly | EUR | 12 | 01/05/2023 | 115 | ||||||||||||||||
Just Eat Takeaway N.V. | LIBOR Plus 0.35% | Monthly | USD | 13 | 01/05/2023 | 114 | ||||||||||||||||
Just Eat Takeaway N.V. | EURIBOR Plus 0.35% | Monthly | EUR | 7 | 01/05/2023 | 112 | ||||||||||||||||
Just Eat Takeaway N.V. | LIBOR Plus 0.35% | Monthly | USD | 19 | 01/05/2023 | 104 | ||||||||||||||||
Just Eat Takeaway N.V. | LIBOR Plus 0.35% | Monthly | USD | 11 | 01/05/2023 | 100 | ||||||||||||||||
Just Eat Takeaway N.V. | EURIBOR Plus 0.35% | Monthly | EUR | 9 | 01/05/2023 | 82 | ||||||||||||||||
Just Eat Takeaway N.V. | LIBOR Plus 0.35% | Monthly | USD | 14 | �� | 01/05/2023 | 79 | |||||||||||||||
Just Eat Takeaway N.V. | LIBOR Plus 0.35% | Monthly | USD | 8 | 01/05/2023 | 76 | ||||||||||||||||
Just Eat Takeaway N.V. | EURIBOR Plus 0.35% | Monthly | EUR | 14 | 01/05/2023 | 73 | ||||||||||||||||
Just Eat Takeaway N.V. | LIBOR Plus 0.35% | Monthly | GBP | 18 | 01/05/2023 | 68 | ||||||||||||||||
Just Eat Takeaway N.V. | EURIBOR Plus 0.35% | Monthly | EUR | 8 | 01/05/2023 | 68 | ||||||||||||||||
Just Eat Takeaway N.V. | LIBOR Plus 0.35% | Monthly | GBP | 3 | 01/05/2023 | 55 | ||||||||||||||||
Just Eat Takeaway N.V. | LIBOR Plus 0.35% | Monthly | USD | 6 | 01/05/2023 | 54 | ||||||||||||||||
Just Eat Takeaway N.V. | LIBOR Plus 0.35% | Monthly | USD | 9 | 01/05/2023 | 52 | ||||||||||||||||
Just Eat Takeaway N.V. | LIBOR Plus 0.35% | Monthly | GBP | 31 | 01/05/2023 | 50 | ||||||||||||||||
Just Eat Takeaway N.V. | LIBOR Plus 0.35% | Monthly | USD | 8 | 01/05/2023 | 50 | ||||||||||||||||
Just Eat Takeaway N.V. | LIBOR Plus 0.35% | Monthly | USD | 6 | 01/05/2023 | 50 | ||||||||||||||||
Just Eat Takeaway N.V. | LIBOR Plus 0.35% | Monthly | GBP | 3 | 01/05/2023 | 49 | ||||||||||||||||
Just Eat Takeaway N.V. | LIBOR Plus 0.35% | Monthly | USD | 4 | 01/05/2023 | 46 | ||||||||||||||||
Just Eat Takeaway N.V. | EURIBOR Plus 0.35% | Monthly | EUR | 5 | 01/05/2023 | 45 | ||||||||||||||||
Just Eat Takeaway N.V. | LIBOR Plus 0.35% | Monthly | USD | 5 | 01/05/2023 | 41 | ||||||||||||||||
Just Eat Takeaway N.V. | LIBOR Plus 0.35% | Monthly | USD | 5 | 01/05/2023 | 41 |
30
Counterparty & | Rate Paid/ Received | Payment Frequency | Current | Maturity Date | Unrealized Appreciation/ (Depreciation) | |||||||||||||||||
Just Eat Takeaway N.V. | LIBOR Plus 0.35% | Monthly | USD | 4 | 01/05/2023 | $ | 34 | |||||||||||||||
Just Eat Takeaway N.V. | LIBOR Plus 0.35% | Monthly | USD | 4 | 01/05/2023 | 34 | ||||||||||||||||
Just Eat Takeaway N.V. | LIBOR Plus 0.35% | Monthly | GBP | 2 | 01/05/2023 | 33 | ||||||||||||||||
Just Eat Takeaway N.V. | LIBOR Plus 0.35% | Monthly | USD | 3 | 01/05/2023 | 32 | ||||||||||||||||
Just Eat Takeaway N.V. | LIBOR Plus 0.35% | Monthly | USD | 4 | 01/05/2023 | 31 | ||||||||||||||||
Just Eat Takeaway N.V. | LIBOR Plus 0.35% | Monthly | USD | 4 | 01/05/2023 | 29 | ||||||||||||||||
Just Eat Takeaway N.V. | LIBOR Plus 0.35% | Monthly | USD | 3 | 01/05/2023 | 28 | ||||||||||||||||
Just Eat Takeaway N.V. | LIBOR Plus 0.35% | Monthly | USD | 3 | 01/05/2023 | 23 | ||||||||||||||||
Just Eat Takeaway N.V. | LIBOR Plus 0.35% | Monthly | USD | 2 | 01/05/2023 | �� | 18 | |||||||||||||||
Just Eat Takeaway N.V. | LIBOR Plus 0.35% | Monthly | USD | 2 | 01/05/2023 | 14 | ||||||||||||||||
Just Eat Takeaway N.V. | LIBOR Plus 0.35% | Monthly | USD | 2 | 01/05/2023 | 14 | ||||||||||||||||
Just Eat Takeaway N.V. | EURIBOR Plus 0.35% | Monthly | EUR | 3 | 01/05/2023 | 13 | ||||||||||||||||
Just Eat Takeaway N.V. | LIBOR Plus 0.35% | Monthly | GBP | 14 | 01/05/2023 | 11 | ||||||||||||||||
Just Eat Takeaway N.V. | LIBOR Plus 0.35% | Monthly | USD | 1 | 01/05/2023 | 8 | ||||||||||||||||
Just Eat Takeaway N.V. | LIBOR Plus 0.35% | Monthly | GBP | 11 | 01/05/2023 | 8 | ||||||||||||||||
Just Eat Takeaway N.V. | LIBOR Plus 0.35% | Monthly | GBP | 0 | ** | 01/05/2023 | 6 | |||||||||||||||
Just Eat Takeaway N.V. | LIBOR Plus 0.35% | Monthly | USD | 1 | 01/05/2023 | 3 | ||||||||||||||||
Just Eat Takeaway N.V. | LIBOR Plus 0.35% | Monthly | USD | 0 | ** | 01/05/2023 | 2 | |||||||||||||||
Just Eat Takeaway N.V. | LIBOR Plus 0.35% | Monthly | USD | 0 | ** | 01/05/2023 | 0 | |||||||||||||||
Just Eat Takeaway N.V. | LIBOR Plus 0.35% | Monthly | USD | 0 | ** | 01/05/2023 | 0 | |||||||||||||||
Just Eat Takeaway N.V. | LIBOR Plus 0.35% | Monthly | GBP | 0 | ** | 01/05/2023 | 0 | |||||||||||||||
Just Eat Takeaway N.V. | LIBOR Plus 0.35% | Monthly | USD | 0 | ** | 01/05/2023 | 0 | |||||||||||||||
Just Eat Takeaway N.V. | LIBOR Plus 0.35% | Monthly | GBP | 16 | 01/05/2023 | (1 | ) | |||||||||||||||
Just Eat Takeaway N.V. | LIBOR Plus 0.35% | Monthly | GBP | 15 | 01/05/2023 | (1 | ) | |||||||||||||||
Just Eat Takeaway N.V. | EURIBOR Plus 0.35% | Monthly | EUR | 3 | 01/05/2023 | (3 | ) | |||||||||||||||
Just Eat Takeaway N.V. | EURIBOR Plus 0.35% | Monthly | EUR | 1 | 01/05/2023 | (7 | ) | |||||||||||||||
Just Eat Takeaway N.V. | EURIBOR Plus 0.35% | Monthly | EUR | 4 | 01/05/2023 | (18 | ) | |||||||||||||||
Just Eat Takeaway N.V. | LIBOR Plus 0.35% | Monthly | GBP | 3 | 01/05/2023 | (40 | ) | |||||||||||||||
Just Eat Takeaway N.V. | LIBOR Plus 0.35% | Monthly | GBP | 4 | 01/05/2023 | (73 | ) | |||||||||||||||
Just Eat Takeaway N.V. | LIBOR Plus 0.35% | Monthly | GBP | 6 | 01/05/2023 | (91 | ) | |||||||||||||||
Just Eat Takeaway N.V. | LIBOR Plus 0.35% | Monthly | GBP | 8 | 01/05/2023 | (133 | ) | |||||||||||||||
Just Eat Takeaway N.V. | LIBOR Plus 0.35% | Monthly | GBP | 9 | 01/05/2023 | (148 | ) | |||||||||||||||
Just Eat Takeaway N.V. | LIBOR Plus 0.35% | Monthly | GBP | 9 | 01/05/2023 | (160 | ) | |||||||||||||||
Just Eat Takeaway N.V. | EURIBOR Plus 0.35% | Monthly | EUR | 37 | 01/05/2023 | (180 | ) |
31
Counterparty & | Rate Paid/ Received | Payment Frequency | Current | Maturity Date | Unrealized Appreciation/ (Depreciation) | |||||||||||||||||
Just Eat Takeaway N.V. | LIBOR Plus 0.35% | Monthly | GBP | 11 | 01/05/2023 | $ | (188 | ) | ||||||||||||||
Just Eat Takeaway N.V. | LIBOR Plus 0.35% | Monthly | GBP | 13 | 01/05/2023 | (195 | ) | |||||||||||||||
Just Eat Takeaway N.V. | EURIBOR Plus 0.35% | Monthly | EUR | 58 | 01/05/2023 | (201 | ) | |||||||||||||||
Just Eat Takeaway N.V. | LIBOR Plus 0.35% | Monthly | GBP | 18 | 01/05/2023 | (316 | ) | |||||||||||||||
Just Eat Takeaway N.V. | LIBOR Plus 0.35% | Monthly | GBP | 19 | 01/05/2023 | (350 | ) | |||||||||||||||
Just Eat Takeaway N.V. | EURIBOR Plus 0.35% | Monthly | EUR | 63 | 01/05/2023 | (541 | ) | |||||||||||||||
Just Eat Takeaway N.V. | LIBOR Plus 0.35% | Monthly | GBP | 37 | 01/05/2023 | (581 | ) | |||||||||||||||
Just Eat Takeaway N.V. | LIBOR Plus 0.35% | Monthly | GBP | 55 | 01/05/2023 | (1,088 | ) | |||||||||||||||
Just Eat Takeaway N.V. | LIBOR Plus 0.35% | Monthly | GBP | 57 | 01/05/2023 | (1,129 | ) | |||||||||||||||
Morgan Stanley Capital Services LLC | ||||||||||||||||||||||
Just Eat Takeaway N.V. | 0.00% | Monthly | USD | 448 | 06/17/2021 | 1,716 | ||||||||||||||||
Just Eat Takeaway N.V. | EURIBOR Plus 0.50% | Annual | EUR | 114 | 01/27/2022 | 37,975 | ||||||||||||||||
Just Eat Takeaway N.V. | EURIBOR Plus 0.50% | Monthly | EUR | 5 | 01/27/2022 | 230 | ||||||||||||||||
Just Eat Takeaway N.V. | EURIBOR Plus 0.50% | Monthly | EUR | 48 | 01/27/2022 | 255 | ||||||||||||||||
Just Eat Takeaway N.V. | EURIBOR Plus 0.50% | Monthly | EUR | 44 | 01/27/2022 | 204 | ||||||||||||||||
Just Eat Takeaway N.V. | EURIBOR Plus 0.50% | Monthly | EUR | 7 | 01/27/2022 | 153 | ||||||||||||||||
Just Eat Takeaway N.V. | EURIBOR Plus 0.50% | Monthly | EUR | 14 | 01/27/2022 | 114 | ||||||||||||||||
Just Eat Takeaway N.V. | EURIBOR Plus 0.50% | Monthly | EUR | 24 | 01/27/2022 | 113 | ||||||||||||||||
Just Eat Takeaway N.V. | EURIBOR Plus 0.50% | Monthly | EUR | 6 | 01/27/2022 | 97 | ||||||||||||||||
Just Eat Takeaway N.V. | EURIBOR Plus 0.50% | Monthly | EUR | 8 | 01/27/2022 | 78 | ||||||||||||||||
Just Eat Takeaway N.V. | EURIBOR Plus 0.50% | Monthly | EUR | 10 | 01/27/2022 | 71 | ||||||||||||||||
Just Eat Takeaway N.V. | EURIBOR Plus 0.50% | Monthly | EUR | 8 | 01/27/2022 | 70 | ||||||||||||||||
Just Eat Takeaway N.V. | EURIBOR Plus 0.50% | Monthly | EUR | 31 | 01/27/2022 | 34 | ||||||||||||||||
Just Eat Takeaway N.V. | EURIBOR Plus 0.50% | Monthly | EUR | 3 | 01/27/2022 | 33 | ||||||||||||||||
Just Eat Takeaway N.V. | EURIBOR Plus 0.50% | Monthly | EUR | 1 | 01/27/2022 | 13 | ||||||||||||||||
Just Eat Takeaway N.V. | EURIBOR Plus 0.50% | Monthly | EUR | 0 | ** | 01/27/2022 | 3 | |||||||||||||||
Just Eat Takeaway N.V. | EURIBOR Plus 0.50% | Monthly | EUR | 1 | 01/27/2022 | 1 | ||||||||||||||||
Pay Total Return on Reference Obligation |
| |||||||||||||||||||||
Goldman Sachs International | ||||||||||||||||||||||
Canadian National Railway Co. | LIBOR Minus 0.24% | Monthly | USD | 16 | 07/15/2025 | 12 | ||||||||||||||||
Canadian National Railway Co. | LIBOR Minus 0.24% | Monthly | USD | 30 | 07/15/2025 | (574 | ) | |||||||||||||||
Canadian National Railway Co. | LIBOR Minus 0.24% | Monthly | USD | 34 | 07/15/2025 | (1,551 | ) | |||||||||||||||
Canadian National Railway Co. | LIBOR Minus 0.24% | Monthly | USD | 34 | 07/15/2025 | (2,092 | ) | |||||||||||||||
Canadian National Railway Co. | LIBOR Minus 0.24% | Monthly | USD | 51 | 07/15/2025 | (3,220 | ) | |||||||||||||||
Canadian National Railway Co. | LIBOR Plus 0.34% | Quarterly | USD | 174 | 12/15/2021 | (1,184 | ) | |||||||||||||||
Just Eat Takeaway N.V. | LIBOR Minus 0.29% | Monthly | USD | 0 | ** | 01/27/2022 | (34 | ) |
32
Counterparty & | Rate Paid/ Received | Payment Frequency | Current | Maturity Date | Unrealized Appreciation/ (Depreciation) | |||||||||||||||||
Just Eat Takeaway N.V. | LIBOR Minus 0.29% | Monthly | USD | 8 | 01/27/2022 | $ | (420 | ) | ||||||||||||||
Just Eat Takeaway N.V. | LIBOR Minus 0.30% | Monthly | USD | 80 | 01/05/2023 | 4,895 | ||||||||||||||||
Just Eat Takeaway N.V. | LIBOR Minus 0.29% | Monthly | USD | 41 | 01/05/2023 | 4,730 | ||||||||||||||||
Just Eat Takeaway N.V. | LIBOR Minus 0.30% | Monthly | USD | 76 | 01/05/2023 | 4,180 | ||||||||||||||||
Just Eat Takeaway N.V. | LIBOR Minus 0.29% | Monthly | USD | 39 | 01/05/2023 | 3,324 | ||||||||||||||||
Just Eat Takeaway N.V. | LIBOR Minus 0.29% | Monthly | USD | 31 | 01/05/2023 | 3,282 | ||||||||||||||||
Just Eat Takeaway N.V. | LIBOR Minus 0.30% | Monthly | USD | 35 | 01/05/2023 | 2,313 | ||||||||||||||||
Just Eat Takeaway N.V. | LIBOR Minus 0.30% | Monthly | USD | 59 | 01/05/2023 | 1,762 | ||||||||||||||||
Just Eat Takeaway N.V. | LIBOR Minus 0.30% | Monthly | USD | 52 | 01/05/2023 | 1,337 | ||||||||||||||||
Just Eat Takeaway N.V. | LIBOR Minus 0.29% | Monthly | USD | 32 | 01/05/2023 | 798 | ||||||||||||||||
Just Eat Takeaway N.V. | LIBOR Minus 0.29% | Monthly | USD | 14 | 01/05/2023 | 634 | ||||||||||||||||
Just Eat Takeaway N.V. | LIBOR Minus 0.31% | Monthly | USD | 40 | 01/05/2023 | 631 | ||||||||||||||||
Just Eat Takeaway N.V. | LIBOR Minus 0.27% | Monthly | USD | 34 | 01/05/2023 | 474 | ||||||||||||||||
Just Eat Takeaway N.V. | LIBOR Minus 0.29% | Monthly | USD | 5 | 01/05/2023 | 460 | ||||||||||||||||
Just Eat Takeaway N.V. | LIBOR Minus 0.30% | Monthly | USD | 11 | 01/05/2023 | 446 | ||||||||||||||||
Just Eat Takeaway N.V. | LIBOR Minus 0.29% | Monthly | USD | 7 | 01/05/2023 | 320 | ||||||||||||||||
Just Eat Takeaway N.V. | LIBOR Minus 0.30% | Monthly | USD | 25 | 01/05/2023 | 217 | ||||||||||||||||
Just Eat Takeaway N.V. | LIBOR Minus 0.30% | Monthly | USD | 40 | 01/05/2023 | 203 | ||||||||||||||||
Just Eat Takeaway N.V. | LIBOR Minus 0.06% | Monthly | USD | 1 | 01/05/2023 | 108 | ||||||||||||||||
Just Eat Takeaway N.V. | LIBOR Minus 0.30% | Monthly | USD | 5 | 01/05/2023 | 104 | ||||||||||||||||
Just Eat Takeaway N.V. | LIBOR Minus 0.30% | Monthly | USD | 3 | 01/05/2023 | 65 | ||||||||||||||||
Just Eat Takeaway N.V. | LIBOR Minus 0.29% | Monthly | USD | 5 | 01/05/2023 | 56 | ||||||||||||||||
Just Eat Takeaway N.V. | LIBOR Minus 0.27% | Monthly | USD | 2 | 01/05/2023 | 40 | ||||||||||||||||
Just Eat Takeaway N.V. | LIBOR Minus 0.05% | Monthly | USD | 0 | ** | 01/05/2023 | 34 | |||||||||||||||
Just Eat Takeaway N.V. | LIBOR Minus 0.07% | Monthly | USD | 4 | 01/05/2023 | 31 | ||||||||||||||||
Just Eat Takeaway N.V. | LIBOR Minus 0.30% | Monthly | USD | 1 | 01/05/2023 | 23 | ||||||||||||||||
Just Eat Takeaway N.V. | LIBOR Minus 0.27% | Monthly | USD | 19 | 01/05/2023 | 16 | ||||||||||||||||
Just Eat Takeaway N.V. | LIBOR Minus 0.27% | Monthly | USD | 0 | ** | 01/05/2023 | 16 | |||||||||||||||
Just Eat Takeaway N.V. | LIBOR Minus 0.30% | Monthly | USD | 2 | 01/05/2023 | 10 | ||||||||||||||||
Just Eat Takeaway N.V. | LIBOR Minus 0.06% | Monthly | USD | 1 | 01/05/2023 | (1 | ) | |||||||||||||||
Just Eat Takeaway N.V. | LIBOR Minus 0.05% | Monthly | USD | 0 | ** | 01/05/2023 | (3 | ) | ||||||||||||||
Just Eat Takeaway N.V. | LIBOR Minus 0.30% | Monthly | USD | 1 | 01/05/2023 | (3 | ) | |||||||||||||||
Just Eat Takeaway N.V. | LIBOR Minus 0.05% | Monthly | USD | 2 | 01/05/2023 | (4 | ) | |||||||||||||||
Just Eat Takeaway N.V. | LIBOR Minus 0.30% | Monthly | USD | 4 | 01/05/2023 | (6 | ) |
33
Counterparty & | Rate Paid/ Received | Payment Frequency | Current | Maturity Date | Unrealized Appreciation/ (Depreciation) | |||||||||||||||||
Just Eat Takeaway N.V. | LIBOR Minus 0.29% | Monthly | USD | 0 | ** | 01/05/2023 | $ | (10 | ) | |||||||||||||
Just Eat Takeaway N.V. | LIBOR Minus 0.30% | Monthly | USD | 1 | 01/05/2023 | (12 | ) | |||||||||||||||
Just Eat Takeaway N.V. | LIBOR Minus 0.29% | Monthly | USD | 0 | ** | 01/05/2023 | (13 | ) | ||||||||||||||
Just Eat Takeaway N.V. | LIBOR Minus 0.30% | Monthly | USD | 0 | ** | 01/05/2023 | (14 | ) | ||||||||||||||
Just Eat Takeaway N.V. | LIBOR Minus 0.29% | Monthly | USD | 0 | ** | 01/05/2023 | (18 | ) | ||||||||||||||
Just Eat Takeaway N.V. | LIBOR Minus 0.29% | Monthly | USD | 9 | 01/05/2023 | (33 | ) | |||||||||||||||
Just Eat Takeaway N.V. | LIBOR Minus 0.30% | Monthly | USD | 14 | 01/05/2023 | (34 | ) | |||||||||||||||
Just Eat Takeaway N.V. | LIBOR Minus 0.06% | Monthly | USD | 2 | 01/05/2023 | (38 | ) | |||||||||||||||
Just Eat Takeaway N.V. | LIBOR Minus 0.30% | Monthly | USD | 1 | 01/05/2023 | (41 | ) | |||||||||||||||
Just Eat Takeaway N.V. | LIBOR Minus 0.07% | Monthly | USD | 0 | ** | 01/05/2023 | (41 | ) | ||||||||||||||
Just Eat Takeaway N.V. | LIBOR Minus 0.30% | Monthly | USD | 2 | 01/05/2023 | (42 | ) | |||||||||||||||
Just Eat Takeaway N.V. | LIBOR Minus 0.08% | Monthly | USD | 8 | 01/05/2023 | (45 | ) | |||||||||||||||
Just Eat Takeaway N.V. | LIBOR Minus 0.31% | Monthly | USD | 1 | 01/05/2023 | (78 | ) | |||||||||||||||
Just Eat Takeaway N.V. | LIBOR Minus 0.30% | Monthly | USD | 1 | 01/05/2023 | (89 | ) | |||||||||||||||
Just Eat Takeaway N.V. | LIBOR Minus 0.30% | Monthly | USD | 3 | 01/05/2023 | (93 | ) | |||||||||||||||
Just Eat Takeaway N.V. | LIBOR Minus 0.27% | Monthly | USD | 4 | 01/05/2023 | (115 | ) | |||||||||||||||
Just Eat Takeaway N.V. | LIBOR Minus 0.07% | Monthly | USD | 3 | 01/05/2023 | (121 | ) | |||||||||||||||
Just Eat Takeaway N.V. | LIBOR Minus 0.30% | Monthly | USD | 5 | 01/05/2023 | (181 | ) | |||||||||||||||
Just Eat Takeaway N.V. | LIBOR Minus 0.28% | Monthly | USD | 11 | 01/05/2023 | (262 | ) | |||||||||||||||
Just Eat Takeaway N.V. | LIBOR Minus 0.30% | Monthly | USD | 8 | 01/05/2023 | (339 | ) | |||||||||||||||
Just Eat Takeaway N.V. | LIBOR Minus 0.29% | Monthly | USD | 8 | 01/05/2023 | (344 | ) | |||||||||||||||
Just Eat Takeaway N.V. | LIBOR Minus 0.23% | Monthly | USD | 2 | 01/05/2023 | (396 | ) | |||||||||||||||
Just Eat Takeaway N.V. | LIBOR Minus 0.29% | Monthly | USD | 9 | 01/05/2023 | (408 | ) | |||||||||||||||
Just Eat Takeaway N.V. | LIBOR Minus 0.30% | Monthly | USD | 4 | 01/05/2023 | (443 | ) | |||||||||||||||
Just Eat Takeaway N.V. | LIBOR Minus 0.30% | Monthly | USD | 5 | 01/05/2023 | (453 | ) | |||||||||||||||
Just Eat Takeaway N.V. | LIBOR Minus 0.30% | Monthly | USD | 16 | 01/05/2023 | (550 | ) | |||||||||||||||
Just Eat Takeaway N.V. | LIBOR Minus 0.28% | Monthly | USD | 28 | 01/05/2023 | (571 | ) | |||||||||||||||
Just Eat Takeaway N.V. | LIBOR Minus 0.29% | Monthly | USD | 15 | 01/05/2023 | (596 | ) | |||||||||||||||
Just Eat Takeaway N.V. | LIBOR Minus 0.07% | Monthly | USD | 4 | 01/05/2023 | (614 | ) | |||||||||||||||
Just Eat Takeaway N.V. | LIBOR Minus 0.30% | Monthly | USD | 16 | 01/05/2023 | (615 | ) | |||||||||||||||
Just Eat Takeaway N.V. | LIBOR Minus 0.31% | Monthly | USD | 40 | 01/05/2023 | (751 | ) | |||||||||||||||
Just Eat Takeaway N.V. | LIBOR Minus 0.07% | Monthly | USD | 40 | 01/05/2023 | (807 | ) | |||||||||||||||
Just Eat Takeaway N.V. | LIBOR Minus 0.30% | Monthly | USD | 12 | 01/05/2023 | (809 | ) | |||||||||||||||
Just Eat Takeaway N.V. | LIBOR Minus 0.31% | Monthly | USD | 5 | 01/05/2023 | (811 | ) |
34
Counterparty & | Rate Paid/ Received | Payment Frequency | Current | Maturity Date | Unrealized Appreciation/ (Depreciation) | |||||||||||||||||
Just Eat Takeaway N.V. | LIBOR Minus 0.31% | Monthly | USD | 5 | 01/05/2023 | $ | (824 | ) | ||||||||||||||
Just Eat Takeaway N.V. | LIBOR | Monthly | USD | 5 | 01/05/2023 | (838 | ) | |||||||||||||||
Just Eat Takeaway N.V. | LIBOR Minus 0.29% | Monthly | USD | 22 | 01/05/2023 | (851 | ) | |||||||||||||||
Just Eat Takeaway N.V. | LIBOR Minus 0.29% | Monthly | USD | 14 | 01/05/2023 | (957 | ) | |||||||||||||||
Just Eat Takeaway N.V. | LIBOR Minus 0.23% | Monthly | USD | 9 | 01/05/2023 | (1,103 | ) | |||||||||||||||
Just Eat Takeaway N.V. | LIBOR Minus 0.30% | Monthly | USD | 41 | 01/05/2023 | (1,260 | ) | |||||||||||||||
Just Eat Takeaway N.V. | LIBOR Minus 0.29% | Monthly | USD | 14 | 01/05/2023 | (1,266 | ) | |||||||||||||||
Just Eat Takeaway N.V. | LIBOR Minus 0.29% | Monthly | USD | 28 | 01/05/2023 | (1,322 | ) | |||||||||||||||
Just Eat Takeaway N.V. | LIBOR Minus 0.29% | Monthly | USD | 34 | 01/05/2023 | (1,458 | ) | |||||||||||||||
Just Eat Takeaway N.V. | LIBOR Minus 0.27% | Monthly | USD | 19 | 01/05/2023 | (1,561 | ) | |||||||||||||||
Just Eat Takeaway N.V. | LIBOR Minus 0.30% | Monthly | USD | 14 | 01/05/2023 | (1,603 | ) | |||||||||||||||
Just Eat Takeaway N.V. | LIBOR Minus 0.29% | Monthly | USD | 39 | 01/05/2023 | (1,622 | ) | |||||||||||||||
Just Eat Takeaway N.V. | LIBOR Minus 0.31% | Monthly | USD | 9 | 01/05/2023 | (1,642 | ) | |||||||||||||||
Just Eat Takeaway N.V. | LIBOR Minus 0.29% | Monthly | USD | 28 | 01/05/2023 | (1,805 | ) | |||||||||||||||
Just Eat Takeaway N.V. | LIBOR Minus 0.29% | Monthly | USD | 30 | 01/05/2023 | (1,798 | ) | |||||||||||||||
Just Eat Takeaway N.V. | LIBOR Minus 0.07% | Monthly | USD | 11 | 01/05/2023 | (1,871 | ) | |||||||||||||||
Just Eat Takeaway N.V. | LIBOR Minus 0.30% | Monthly | USD | 13 | 01/05/2023 | (1,877 | ) | |||||||||||||||
Just Eat Takeaway N.V. | LIBOR Minus 0.29% | Monthly | USD | 28 | 01/05/2023 | (1,919 | ) | |||||||||||||||
Just Eat Takeaway N.V. | LIBOR Minus 0.29% | Monthly | USD | 43 | 01/05/2023 | (2,010 | ) | |||||||||||||||
Just Eat Takeaway N.V. | LIBOR Minus 0.31% | Monthly | USD | 14 | 01/05/2023 | (2,388 | ) | |||||||||||||||
Just Eat Takeaway N.V. | LIBOR Minus 0.30% | Monthly | USD | 79 | 01/05/2023 | (3,056 | ) | |||||||||||||||
Just Eat Takeaway N.V. | LIBOR Minus 0.30% | Monthly | USD | 77 | 01/05/2023 | (3,346 | ) | |||||||||||||||
Just Eat Takeaway N.V. | LIBOR Minus 0.23% | Monthly | USD | 16 | 01/05/2023 | (3,682 | ) | |||||||||||||||
Just Eat Takeaway N.V. | LIBOR Minus 0.23% | Monthly | USD | 16 | 01/05/2023 | (3,710 | ) | |||||||||||||||
Just Eat Takeaway N.V. | LIBOR Minus 0.23% | Monthly | USD | 20 | 01/05/2023 | (3,887 | ) | |||||||||||||||
Just Eat Takeaway N.V. | LIBOR Minus 0.23% | Monthly | USD | 20 | 01/05/2023 | (4,030 | ) | |||||||||||||||
Just Eat Takeaway N.V. | LIBOR Minus 0.31% | Monthly | USD | 26 | 01/05/2023 | (4,864 | ) | |||||||||||||||
Just Eat Takeaway N.V. | LIBOR | Monthly | USD | 26 | 01/05/2023 | (5,786 | ) | |||||||||||||||
Just Eat Takeaway N.V. | LIBOR Minus 0.30% | Monthly | USD | 39 | 01/05/2023 | (6,621 | ) | |||||||||||||||
Just Eat Takeaway N.V. | LIBOR Minus 0.30% | Monthly | USD | 53 | 01/05/2023 | (9,385 | ) | |||||||||||||||
Just Eat Takeaway N.V. | LIBOR Minus 0.23% | Monthly | USD | 70 | 01/05/2023 | (10,338 | ) | |||||||||||||||
Just Eat Takeaway N.V. | LIBOR Minus 0.23% | Monthly | USD | 84 | 01/05/2023 | (12,294 | ) | |||||||||||||||
Just Eat Takeaway N.V. | LIBOR Minus 0.29% | Monthly | USD | 486 | 01/05/2023 | (141,658 | ) | |||||||||||||||
Just Eat Takeaway N.V. | LIBOR Minus 0.30% | Monthly | USD | 58 | 07/15/2025 | 1,078 | ||||||||||||||||
Just Eat Takeaway N.V. | LIBOR Minus 0.30% | Monthly | USD | 47 | 07/15/2025 | 565 |
35
Counterparty & | Rate Paid/ Received | Payment Frequency | Current | Maturity Date | Unrealized Appreciation/ (Depreciation) | |||||||||||||||||
Just Eat Takeaway N.V. | LIBOR Minus 0.30% | Monthly | USD | 46 | 07/15/2025 | $ | 329 | |||||||||||||||
Just Eat Takeaway N.V. | LIBOR Minus 0.30% | Monthly | USD | 42 | 07/15/2025 | 210 | ||||||||||||||||
Just Eat Takeaway N.V. | LIBOR Minus 0.30% | Monthly | USD | 37 | 07/15/2025 | 201 | ||||||||||||||||
Just Eat Takeaway N.V. | LIBOR Minus 0.30% | Monthly | USD | 3 | 07/15/2025 | 25 | ||||||||||||||||
Just Eat Takeaway N.V. | LIBOR Minus 0.30% | Monthly | USD | 0 | ** | 07/15/2025 | (1 | ) | ||||||||||||||
Just Eat Takeaway N.V. | LIBOR Minus 0.30% | Monthly | USD | 0 | ** | 07/15/2025 | (2 | ) | ||||||||||||||
Just Eat Takeaway N.V. | LIBOR Minus 0.30% | Monthly | USD | 8 | 07/15/2025 | (16 | ) | |||||||||||||||
Just Eat Takeaway N.V. | LIBOR Minus 0.06% | Monthly | USD | 1 | 07/15/2025 | (72 | ) | |||||||||||||||
Just Eat Takeaway N.V. | LIBOR Minus 0.30% | Monthly | USD | 2 | 07/15/2025 | (86 | ) | |||||||||||||||
Just Eat Takeaway N.V. | LIBOR Minus 0.24% | Monthly | USD | 42 | 07/15/2025 | (3,746 | ) | |||||||||||||||
Middleby Corp. | LIBOR Minus 0.30% | Monthly | USD | 39 | 07/15/2025 | 804 | ||||||||||||||||
M&T Bank Corp. | LIBOR Minus 0.30% | Monthly | USD | 15 | 07/15/2025 | (141 | ) | |||||||||||||||
JPMorgan Chase Bank, NA | ||||||||||||||||||||||
Just Eat Takeaway N.V | LIBOR Minus 0.31% | Monthly | USD | 68 | 08/12/2022 | (5,103 | ) | |||||||||||||||
Just Eat Takeaway N.V. | LIBOR Minus 0.31% | Monthly | USD | 78 | 08/12/2022 | 1,644 | ||||||||||||||||
Just Eat Takeaway N.V. | LIBOR Minus 0.31% | Monthly | USD | 120 | 08/12/2022 | 1,607 | ||||||||||||||||
Just Eat Takeaway N.V. | LIBOR Minus 0.31% | Monthly | USD | 82 | 08/12/2022 | 1,058 | ||||||||||||||||
Just Eat Takeaway N.V. | LIBOR Minus 0.30% | Monthly | USD | 15 | 08/12/2022 | 434 | ||||||||||||||||
Just Eat Takeaway N.V. | LIBOR Minus 0.30% | Monthly | USD | 59 | 08/12/2022 | 313 | ||||||||||||||||
Just Eat Takeaway N.V. | LIBOR Minus 0.30% | Monthly | USD | 54 | 08/12/2022 | 263 | ||||||||||||||||
Just Eat Takeaway N.V. | LIBOR Minus 0.31% | Monthly | USD | 13 | 08/12/2022 | 154 | ||||||||||||||||
Just Eat Takeaway N.V. | LIBOR Minus 0.31% | Monthly | USD | 30 | 08/12/2022 | 152 | ||||||||||||||||
Just Eat Takeaway N.V. | LIBOR Minus 0.30% | Monthly | USD | 3 | 08/12/2022 | 110 | ||||||||||||||||
Just Eat Takeaway N.V. | LIBOR Minus 0.32% | Monthly | USD | 10 | 08/12/2022 | 110 | ||||||||||||||||
Just Eat Takeaway N.V. | LIBOR Minus 0.30% | Monthly | USD | 6 | 08/12/2022 | 87 | ||||||||||||||||
Just Eat Takeaway N.V. | LIBOR Minus 0.31% | Monthly | USD | 15 | 08/12/2022 | 39 | ||||||||||||||||
Just Eat Takeaway N.V. | LIBOR Minus 0.32% | Monthly | USD | 1 | 08/12/2022 | 18 | ||||||||||||||||
Just Eat Takeaway N.V. | LIBOR Minus 0.31% | Monthly | USD | 2 | 08/12/2022 | 14 | ||||||||||||||||
Just Eat Takeaway N.V. | LIBOR Minus 0.30% | Monthly | USD | 2 | 08/12/2022 | (16 | ) | |||||||||||||||
Just Eat Takeaway N.V. | LIBOR Minus 0.31% | Monthly | USD | 0 | ** | 08/12/2022 | (18 | ) | ||||||||||||||
Just Eat Takeaway N.V. | LIBOR Minus 0.30% | Monthly | USD | 2 | 08/12/2022 | (29 | ) | |||||||||||||||
Just Eat Takeaway N.V. | LIBOR Minus 0.31% | Monthly | USD | 20 | 08/12/2022 | (60 | ) | |||||||||||||||
Just Eat Takeaway N.V. | LIBOR Minus 0.31% | Monthly | USD | 5 | 08/12/2022 | (72 | ) | |||||||||||||||
Just Eat Takeaway N.V. | LIBOR Minus 0.32% | Monthly | USD | 31 | 08/12/2022 | (86 | ) |
36
Counterparty & | Rate Paid/ Received | Payment Frequency | Current | Maturity Date | Unrealized Appreciation/ (Depreciation) | |||||||||||||||||
Just Eat Takeaway N.V. | LIBOR Minus 0.30% | Monthly | USD | 3 | 08/12/2022 | $ | (91 | ) | ||||||||||||||
Just Eat Takeaway N.V. | LIBOR Minus 0.31% | Monthly | USD | 15 | 08/12/2022 | (123 | ) | |||||||||||||||
Just Eat Takeaway N.V. | LIBOR Minus 0.31% | Monthly | USD | 14 | 08/12/2022 | (154 | ) | |||||||||||||||
Just Eat Takeaway N.V. | LIBOR Minus 0.31% | Monthly | USD | 9 | 08/12/2022 | (168 | ) | |||||||||||||||
Just Eat Takeaway N.V. | LIBOR Minus 0.31% | Monthly | USD | 18 | 08/12/2022 | (170 | ) | |||||||||||||||
Just Eat Takeaway N.V. | LIBOR Minus 0.31% | Monthly | USD | 26 | 08/12/2022 | (225 | ) | |||||||||||||||
Just Eat Takeaway N.V. | LIBOR Minus 0.31% | Monthly | USD | 28 | 08/12/2022 | (239 | ) | |||||||||||||||
Just Eat Takeaway N.V. | LIBOR Minus 0.28% | Monthly | USD | 13 | 08/12/2022 | (249 | ) | |||||||||||||||
Just Eat Takeaway N.V. | LIBOR Minus 0.31% | Monthly | USD | 7 | 08/12/2022 | (287 | ) | |||||||||||||||
Just Eat Takeaway N.V. | LIBOR Minus 0.31% | Monthly | USD | 17 | 08/12/2022 | (298 | ) | |||||||||||||||
Just Eat Takeaway N.V. | LIBOR Minus 0.30% | Monthly | USD | 36 | 08/12/2022 | (305 | ) | |||||||||||||||
Just Eat Takeaway N.V. | LIBOR Minus 0.30% | Monthly | USD | 32 | 08/12/2022 | (306 | ) | |||||||||||||||
Just Eat Takeaway N.V. | LIBOR Minus 0.30% | Monthly | USD | 9 | 08/12/2022 | (309 | ) | |||||||||||||||
Just Eat Takeaway N.V. | LIBOR Minus 0.31% | Monthly | USD | 2 | 08/12/2022 | (342 | ) | |||||||||||||||
Just Eat Takeaway N.V. | LIBOR Minus 0.28% | Monthly | USD | 22 | 08/12/2022 | (368 | ) | |||||||||||||||
Just Eat Takeaway N.V. | LIBOR Minus 0.31% | Monthly | USD | 20 | 08/12/2022 | (381 | ) | |||||||||||||||
Just Eat Takeaway N.V. | LIBOR Minus 0.31% | Monthly | USD | 9 | 08/12/2022 | (390 | ) | |||||||||||||||
Just Eat Takeaway N.V. | LIBOR Minus 0.31% | Monthly | USD | 3 | 08/12/2022 | (406 | ) | |||||||||||||||
Just Eat Takeaway N.V. | LIBOR Minus 0.30% | Monthly | USD | 3 | 08/12/2022 | (410 | ) | |||||||||||||||
Just Eat Takeaway N.V. | LIBOR Minus 0.30% | Monthly | USD | 2 | 08/12/2022 | (442 | ) | |||||||||||||||
Just Eat Takeaway N.V. | LIBOR Minus 0.30% | Monthly | USD | 27 | 08/12/2022 | (448 | ) | |||||||||||||||
Just Eat Takeaway N.V. | LIBOR Minus 0.31% | Monthly | USD | 18 | 08/12/2022 | (550 | ) | |||||||||||||||
Just Eat Takeaway N.V. | LIBOR Minus 0.28% | Monthly | USD | 56 | 08/12/2022 | (584 | ) | |||||||||||||||
Just Eat Takeaway N.V. | LIBOR Minus 0.31% | Monthly | USD | 6 | 08/12/2022 | (595 | ) | |||||||||||||||
Just Eat Takeaway N.V. | LIBOR Minus 0.31% | Monthly | USD | 28 | 08/12/2022 | (620 | ) | |||||||||||||||
Just Eat Takeaway N.V. | LIBOR Minus 0.30% | Monthly | USD | 6 | 08/12/2022 | (644 | ) | |||||||||||||||
Just Eat Takeaway N.V. | LIBOR Minus 0.31% | Monthly | USD | 24 | 08/12/2022 | (672 | ) | |||||||||||||||
Just Eat Takeaway N.V. | LIBOR Minus 0.30% | Monthly | USD | 20 | 08/12/2022 | (674 | ) | |||||||||||||||
Just Eat Takeaway N.V. | LIBOR Minus 0.31% | Monthly | USD | 21 | 08/12/2022 | (879 | ) | |||||||||||||||
Just Eat Takeaway N.V. | LIBOR Minus 0.31% | Monthly | USD | 12 | 08/12/2022 | (987 | ) | |||||||||||||||
Just Eat Takeaway N.V. | LIBOR Minus 0.31% | Monthly | USD | 30 | 08/12/2022 | (988 | ) | |||||||||||||||
Just Eat Takeaway N.V. | LIBOR Minus 0.31% | Monthly | USD | 29 | 08/12/2022 | (1,010 | ) | |||||||||||||||
Just Eat Takeaway N.V. | LIBOR Minus 0.31% | Monthly | USD | 12 | 08/12/2022 | (1,090 | ) | |||||||||||||||
Just Eat Takeaway N.V. | LIBOR Minus 0.31% | Monthly | USD | 12 | 08/12/2022 | (1,108 | ) |
37
Counterparty & | Rate Paid/ Received | Payment Frequency | Current | Maturity Date | Unrealized Appreciation/ (Depreciation) | |||||||||||||||||
Just Eat Takeaway N.V. | LIBOR Minus 0.31% | Monthly | USD | 12 | 08/12/2022 | $ | (1,158 | ) | ||||||||||||||
Just Eat Takeaway N.V. | LIBOR Minus 0.30% | Monthly | USD | 8 | 08/12/2022 | (1,162 | ) | |||||||||||||||
Just Eat Takeaway N.V. | LIBOR Minus 0.30% | Monthly | USD | 12 | 08/12/2022 | (1,258 | ) | |||||||||||||||
Just Eat Takeaway N.V. | LIBOR Minus 0.31% | Monthly | USD | 9 | 08/12/2022 | (1,282 | ) | |||||||||||||||
Just Eat Takeaway N.V. | LIBOR Minus 0.31% | Monthly | USD | 34 | 08/12/2022 | (1,314 | ) | |||||||||||||||
Just Eat Takeaway N.V. | LIBOR Minus 0.31% | Monthly | USD | 12 | 08/12/2022 | (1,418 | ) | |||||||||||||||
Just Eat Takeaway N.V. | LIBOR Minus 0.31% | Monthly | USD | 38 | 08/12/2022 | (1,498 | ) | |||||||||||||||
Just Eat Takeaway N.V. | LIBOR Minus 0.31% | Monthly | USD | 37 | 08/12/2022 | (1,551 | ) | |||||||||||||||
Just Eat Takeaway N.V. | LIBOR Minus 0.30% | Monthly | USD | 16 | 08/12/2022 | (1,786 | ) | |||||||||||||||
Just Eat Takeaway N.V. | LIBOR Minus 0.31% | Monthly | USD | 46 | 08/12/2022 | (2,045 | ) | |||||||||||||||
Just Eat Takeaway N.V. | LIBOR Minus 0.31% | Monthly | USD | 18 | 08/12/2022 | (2,331 | ) | |||||||||||||||
Just Eat Takeaway N.V. | LIBOR Minus 0.31% | Monthly | USD | 17 | 08/12/2022 | (2,364 | ) | |||||||||||||||
Just Eat Takeaway N.V. | LIBOR Minus 0.30% | Monthly | USD | 11 | 08/12/2022 | (2,431 | ) | |||||||||||||||
Just Eat Takeaway N.V. | LIBOR Minus 0.31% | Monthly | USD | 19 | 08/12/2022 | (3,115 | ) | |||||||||||||||
Just Eat Takeaway N.V. | LIBOR Minus 0.30% | Monthly | USD | 30 | 08/12/2022 | (3,404 | ) | |||||||||||||||
Just Eat Takeaway N.V. | LIBOR Minus 0.31% | Monthly | USD | 38 | 08/12/2022 | (3,490 | ) | |||||||||||||||
Just Eat Takeaway N.V. | LIBOR Minus 0.30% | Monthly | USD | 32 | 08/12/2022 | (4,509 | ) | |||||||||||||||
Just Eat Takeaway N.V. | LIBOR Minus 0.30% | Monthly | USD | 44 | 08/12/2022 | (4,628 | ) | |||||||||||||||
Just Eat Takeaway N.V. | LIBOR Minus 0.30% | Monthly | USD | 39 | 08/12/2022 | (4,729 | ) | |||||||||||||||
Just Eat Takeaway N.V. | LIBOR Minus 0.30% | Monthly | USD | 41 | 08/12/2022 | (4,888 | ) | |||||||||||||||
Just Eat Takeaway N.V. | LIBOR Minus 0.30% | Monthly | USD | 39 | 08/12/2022 | (4,851 | ) | |||||||||||||||
Just Eat Takeaway N.V. | LIBOR Minus 0.30% | Monthly | USD | 37 | 08/12/2022 | (5,014 | ) | |||||||||||||||
Just Eat Takeaway N.V. | LIBOR Minus 0.30% | Monthly | USD | 38 | 08/12/2022 | (5,274 | ) | |||||||||||||||
Just Eat Takeaway N.V. | LIBOR Minus 0.30% | Monthly | USD | 43 | 08/12/2022 | (6,683 | ) | |||||||||||||||
Just Eat Takeaway N.V. | LIBOR Minus 0.30% | Monthly | USD | 46 | 08/12/2022 | (10,072 | ) | |||||||||||||||
Just Eat Takeaway N.V. | LIBOR Minus 0.30% | Monthly | USD | 81 | 08/12/2022 | (11,855 | ) | |||||||||||||||
Just Eat Takeaway N.V. | LIBOR Minus 0.30% | Monthly | USD | 87 | 08/12/2022 | (12,567 | ) | |||||||||||||||
Just Eat Takeaway N.V. | LIBOR Minus 0.30% | Monthly | USD | 73 | 08/12/2022 | (15,996 | ) | |||||||||||||||
Just Eat Takeaway N.V. | LIBOR Minus 0.30% | Monthly | USD | 89 | 08/12/2022 | (19,347 | ) | |||||||||||||||
Just Eat Takeaway N.V. | LIBOR Minus 0.30% | Monthly | USD | 184 | 08/12/2022 | (40,473 | ) | |||||||||||||||
Morgan Stanley Capital Services LLC | ||||||||||||||||||||||
Apollo Global Management, Inc. | LIBOR Minus 0.30% | Monthly | USD | 17 | 01/27/2022 | 147 | ||||||||||||||||
Apollo Global Management, Inc. | LIBOR Minus 0.30% | Monthly | USD | 20 | 01/27/2022 | 28 | ||||||||||||||||
Apollo Global Management, Inc. | LIBOR Minus 0.30% | Monthly | USD | 30 | 01/27/2022 | 464 |
38
Counterparty & | Rate Paid/ Received | Payment Frequency | Current | Maturity Date | Unrealized Appreciation/ (Depreciation) | |||||||||||||||||
Just Eat Takeaway N.V. | 0.00% | Monthly | KRW | 106,588 | 06/10/2021 | $ | 577 | |||||||||||||||
Just Eat Takeaway N.V. | 0.00% | Monthly | KRW | 426,350 | 06/10/2021 | (8,370 | ) | |||||||||||||||
Just Eat Takeaway N.V. | 0.00% | Monthly | BRL | 628 | 06/16/2021 | (6,377 | ) | |||||||||||||||
Just Eat Takeaway N.V. | 0.00% | Monthly | CHF | 114 | 06/18/2021 | (3,586 | ) | |||||||||||||||
Just Eat Takeaway N.V. | EURIBOR Minus 0.35% | Monthly | EUR | 41 | 01/27/2022 | 12,454 | ||||||||||||||||
Just Eat Takeaway N.V. | EURIBOR Minus 0.35% | Monthly | EUR | 25 | 01/27/2022 | 9,808 | ||||||||||||||||
Just Eat Takeaway N.V. | EURIBOR Minus 0.35% | Monthly | EUR | 23 | 01/27/2022 | 9,482 | ||||||||||||||||
Just Eat Takeaway N.V. | EURIBOR Minus 0.35% | Monthly | EUR | 22 | 01/27/2022 | 8,784 | ||||||||||||||||
Just Eat Takeaway N.V. | EURIBOR Minus 0.35% | Monthly | EUR | 22 | 01/27/2022 | 8,227 | ||||||||||||||||
Just Eat Takeaway N.V. | EURIBOR Minus 0.35% | Monthly | EUR | 21 | 01/27/2022 | 7,218 | ||||||||||||||||
Just Eat Takeaway N.V. | EURIBOR Minus 0.35% | Monthly | EUR | 17 | 01/27/2022 | 6,189 | ||||||||||||||||
Just Eat Takeaway N.V. | EURIBOR Minus 0.35% | Monthly | EUR | 18 | 01/27/2022 | 5,720 | ||||||||||||||||
Just Eat Takeaway N.V. | LIBOR Minus 0.29% | Annual | USD | 38 | 01/27/2022 | 5,514 | ||||||||||||||||
Just Eat Takeaway N.V. | EURIBOR Minus 0.35% | Monthly | EUR | 13 | 01/27/2022 | 5,375 | ||||||||||||||||
Just Eat Takeaway N.V. | EURIBOR Minus 0.35% | Monthly | EUR | 19 | 01/27/2022 | 4,991 | ||||||||||||||||
Just Eat Takeaway N.V. | EURIBOR Minus 0.35% | Monthly | EUR | 10 | 01/27/2022 | 4,366 | ||||||||||||||||
Just Eat Takeaway N.V. | EURIBOR Minus 0.35% | Annual | EUR | 15 | 01/27/2022 | 4,186 | ||||||||||||||||
Just Eat Takeaway N.V. | LIBOR Minus 0.08% | Monthly | USD | 127 | 01/27/2022 | 4,080 | ||||||||||||||||
Just Eat Takeaway N.V. | EURIBOR Minus 0.35% | Monthly | EUR | 8 | 01/27/2022 | 3,467 | ||||||||||||||||
Just Eat Takeaway N.V. | EURIBOR Minus 0.35% | Monthly | EUR | 12 | 01/27/2022 | 3,199 | ||||||||||||||||
Just Eat Takeaway N.V. | EURIBOR Minus 0.35% | Monthly | EUR | 7 | 01/27/2022 | 3,149 | ||||||||||||||||
Just Eat Takeaway N.V. | EURIBOR Minus 0.35% | Monthly | EUR | 12 | 01/27/2022 | 2,949 | ||||||||||||||||
Just Eat Takeaway N.V. | EURIBOR Minus 0.35% | Monthly | EUR | 6 | 01/27/2022 | 2,437 | ||||||||||||||||
Just Eat Takeaway N.V. | EURIBOR Minus 0.35% | Monthly | EUR | 6 | 01/27/2022 | 2,434 | ||||||||||||||||
Just Eat Takeaway N.V. | EURIBOR Minus 0.35% | Monthly | USD | 9 | 01/27/2022 | 1,861 | ||||||||||||||||
Just Eat Takeaway N.V. | EURIBOR Minus 0.35% | Monthly | EUR | 3 | 01/27/2022 | 912 | ||||||||||||||||
Just Eat Takeaway N.V. | EURIBOR Minus 0.35% | Monthly | EUR | 2 | 01/27/2022 | 785 | ||||||||||||||||
Just Eat Takeaway N.V. | EURIBOR Minus 0.35% | Monthly | EUR | 2 | 01/27/2022 | 738 | ||||||||||||||||
Just Eat Takeaway N.V. | EURIBOR Minus 0.35% | Monthly | EUR | 2 | 01/27/2022 | 683 | ||||||||||||||||
Just Eat Takeaway N.V. | EURIBOR Minus 0.35% | Monthly | USD | 6 | 01/27/2022 | 545 | ||||||||||||||||
Just Eat Takeaway N.V. | EURIBOR Minus 0.35% | Monthly | EUR | 1 | 01/27/2022 | 512 | ||||||||||||||||
Just Eat Takeaway N.V. | EURIBOR Minus 0.35% | Monthly | EUR | 14 | 01/27/2022 | 403 | ||||||||||||||||
Just Eat Takeaway N.V. | EURIBOR Minus 0.35% | Monthly | EUR | 3 | 01/27/2022 | 396 | ||||||||||||||||
Just Eat Takeaway N.V. | EURIBOR Minus 0.35% | Monthly | EUR | 1 | 01/27/2022 | 395 | ||||||||||||||||
Just Eat Takeaway N.V. | EURIBOR Minus 0.35% | Monthly | EUR | 3 | 01/27/2022 | 220 | ||||||||||||||||
Just Eat Takeaway N.V. | EURIBOR Minus 0.35% | Monthly | EUR | 1 | 01/27/2022 | 187 |
39
Counterparty & | Rate Paid/ Received | Payment Frequency | Current | Maturity Date | Unrealized Appreciation/ (Depreciation) | |||||||||||||||||
Just Eat Takeaway N.V. | EURIBOR Minus 0.35% | Monthly | EUR | 4 | 01/27/2022 | $ | 163 | |||||||||||||||
Just Eat Takeaway N.V. | EURIBOR Minus 0.35% | Monthly | EUR | 0 | ** | 01/27/2022 | 32 | |||||||||||||||
Just Eat Takeaway N.V. | EURIBOR Minus 0.35% | Monthly | EUR | 1 | 01/27/2022 | (1 | ) | |||||||||||||||
Just Eat Takeaway N.V. | EURIBOR Minus 0.35% | Monthly | EUR | 10 | 01/27/2022 | (39 | ) | |||||||||||||||
Just Eat Takeaway N.V. | LIBOR Minus 0.30% | Monthly | USD | 0 | ** | 01/27/2022 | (18 | ) | ||||||||||||||
Just Eat Takeaway N.V. | EURIBOR Minus 0.35% | Monthly | EUR | 2 | 01/27/2022 | (41 | ) | |||||||||||||||
Just Eat Takeaway N.V. | LIBOR Minus 0.29% | Monthly | USD | 2 | 01/27/2022 | (50 | ) | |||||||||||||||
Just Eat Takeaway N.V. | LIBOR Minus 0.30% | Monthly | USD | 1 | 01/27/2022 | (64 | ) | |||||||||||||||
Just Eat Takeaway N.V. | LIBOR Minus 0.30% | Monthly | USD | 1 | 01/27/2022 | (152 | ) | |||||||||||||||
Just Eat Takeaway N.V. | LIBOR Minus 0.31% | Monthly | USD | 1 | 01/27/2022 | (169 | ) | |||||||||||||||
Just Eat Takeaway N.V. | LIBOR Minus 0.30% | Monthly | USD | 5 | 01/27/2022 | (170 | ) | |||||||||||||||
Just Eat Takeaway N.V. | LIBOR Minus 0.21% | Annual | USD | 1 | 01/27/2022 | (170 | ) | |||||||||||||||
Just Eat Takeaway N.V. | LIBOR Minus 0.30% | Monthly | USD | 5 | 01/27/2022 | (178 | ) | |||||||||||||||
Just Eat Takeaway N.V. | LIBOR Minus 0.31% | Monthly | USD | 1 | 01/27/2022 | (178 | ) | |||||||||||||||
Just Eat Takeaway N.V. | LIBOR Minus 0.30% | Monthly | USD | 1 | 01/27/2022 | (185 | ) | |||||||||||||||
Just Eat Takeaway N.V. | LIBOR Minus 0.21% | Annual | USD | 1 | 01/27/2022 | (191 | ) | |||||||||||||||
Just Eat Takeaway N.V. | LIBOR Minus 0.30% | Monthly | USD | 2 | 01/27/2022 | (278 | ) | |||||||||||||||
Just Eat Takeaway N.V. | LIBOR Minus 0.30% | Monthly | USD | 10 | 01/27/2022 | (317 | ) | |||||||||||||||
Just Eat Takeaway N.V. | LIBOR Minus 0.27% | Monthly | USD | 36 | 01/27/2022 | (422 | ) | |||||||||||||||
Just Eat Takeaway N.V. | LIBOR Minus 0.28% | Monthly | USD | 11 | 01/27/2022 | (458 | ) | |||||||||||||||
Just Eat Takeaway N.V. | LIBOR Minus 0.31% | Monthly | USD | 31 | 01/27/2022 | (538 | ) | |||||||||||||||
Just Eat Takeaway N.V. | LIBOR Minus 0.27% | Monthly | USD | 17 | 01/27/2022 | (586 | ) | |||||||||||||||
Just Eat Takeaway N.V. | LIBOR Minus 0.31% | Monthly | USD | 59 | 01/27/2022 | (622 | ) | |||||||||||||||
Just Eat Takeaway N.V. | LIBOR Minus 0.21% | Annual | USD | 7 | 01/27/2022 | (665 | ) | |||||||||||||||
Just Eat Takeaway N.V. | LIBOR Minus 0.21% | Annual | USD | 7 | 01/27/2022 | (786 | ) | |||||||||||||||
Just Eat Takeaway N.V. | LIBOR Minus 0.30% | Monthly | USD | 19 | 01/27/2022 | (943 | ) | |||||||||||||||
Just Eat Takeaway N.V. | LIBOR Minus 0.21% | Annual | USD | 9 | 01/27/2022 | (1,130 | ) | |||||||||||||||
Just Eat Takeaway N.V. | LIBOR Minus 0.30% | Monthly | USD | 33 | 01/27/2022 | (1,149 | ) | |||||||||||||||
Just Eat Takeaway N.V. | LIBOR Minus 0.08% | Monthly | USD | 145 | 01/27/2022 | (1,203 | ) | |||||||||||||||
Just Eat Takeaway N.V. | LIBOR Minus 0.30% | Monthly | USD | 7 | 01/27/2022 | (1,256 | ) | |||||||||||||||
Just Eat Takeaway N.V. | LIBOR Minus 0.23% | Monthly | USD | 10 | 01/27/2022 | (1,317 | ) | |||||||||||||||
Just Eat Takeaway N.V. | LIBOR Minus 0.30% | Monthly | USD | 40 | 01/27/2022 | (1,657 | ) | |||||||||||||||
Just Eat Takeaway N.V. | LIBOR Minus 0.21% | Annual | USD | 21 | 01/27/2022 | (1,980 | ) | |||||||||||||||
Just Eat Takeaway N.V. | LIBOR Minus 0.29% | Monthly | USD | 50 | 01/27/2022 | (2,030 | ) |
40
Counterparty & | Rate Paid/ Received | Payment Frequency | Current | Maturity Date | Unrealized Appreciation/ (Depreciation) | |||||||||||||||||
Just Eat Takeaway N.V. | LIBOR Minus 0.29% | Annual | USD | 9 | 01/27/2022 | $ | (1,998 | ) | ||||||||||||||
Just Eat Takeaway N.V. | LIBOR Minus 0.21% | Annual | USD | 18 | 01/27/2022 | (2,025 | ) | |||||||||||||||
Just Eat Takeaway N.V. | LIBOR Minus 0.23% | Monthly | USD | 22 | 01/27/2022 | (2,242 | ) | |||||||||||||||
Just Eat Takeaway N.V. | LIBOR Minus 0.23% | Monthly | USD | 15 | 01/27/2022 | (2,330 | ) | |||||||||||||||
Just Eat Takeaway N.V. | LIBOR Minus 0.21% | Annual | USD | 34 | 01/27/2022 | (2,587 | ) | |||||||||||||||
Just Eat Takeaway N.V. | LIBOR Minus 0.21% | Annual | USD | 25 | 01/27/2022 | (2,700 | ) | |||||||||||||||
Just Eat Takeaway N.V. | LIBOR Minus 0.21% | Annual | USD | 26 | 01/27/2022 | (2,756 | ) | |||||||||||||||
Just Eat Takeaway N.V. | LIBOR Minus 0.21% | Annual | USD | 22 | 01/27/2022 | (2,783 | ) | |||||||||||||||
Just Eat Takeaway N.V. | LIBOR Minus 0.21% | Annual | USD | 27 | 01/27/2022 | (3,138 | ) | |||||||||||||||
Just Eat Takeaway N.V. | LIBOR Minus 0.30% | Monthly | USD | 78 | 01/27/2022 | (3,455 | ) | |||||||||||||||
Just Eat Takeaway N.V. | LIBOR Minus 0.25% | Monthly | USD | 14 | 01/27/2022 | (4,718 | ) | |||||||||||||||
Just Eat Takeaway N.V. | LIBOR Minus 0.30% | Monthly | USD | 26 | 01/27/2022 | (4,944 | ) | |||||||||||||||
Just Eat Takeaway N.V. | LIBOR Minus 0.21% | Annual | USD | 53 | 01/27/2022 | (5,056 | ) | |||||||||||||||
Just Eat Takeaway N.V. | LIBOR Minus 0.30% | Monthly | USD | 40 | 01/27/2022 | (6,412 | ) | |||||||||||||||
Just Eat Takeaway N.V. | LIBOR Minus 0.40% | Monthly | USD | 19 | 01/27/2022 | (6,706 | ) | |||||||||||||||
Just Eat Takeaway N.V. | LIBOR Minus 0.21% | Annual | USD | 66 | 01/27/2022 | (7,693 | ) | |||||||||||||||
Just Eat Takeaway N.V. | LIBOR Minus 0.28% | Monthly | USD | 24 | 01/27/2022 | (8,173 | ) | |||||||||||||||
Just Eat Takeaway N.V. | LIBOR Minus 0.25% | Annual | USD | 40 | 01/27/2022 | (11,022 | ) | |||||||||||||||
Just Eat Takeaway N.V. | LIBOR Minus 0.29% | Annual | USD | 62 | 01/27/2022 | (11,508 | ) | |||||||||||||||
Just Eat Takeaway N.V. | LIBOR Minus 1.10% | Monthly | USD | 35 | 01/27/2022 | (13,256 | ) | |||||||||||||||
Just Eat Takeaway N.V. | LIBOR Minus 0.25% | Monthly | USD | 60 | 01/27/2022 | (17,910 | ) | |||||||||||||||
Just Eat Takeaway N.V. | LIBOR Minus 0.28% | Monthly | USD | 62 | 01/27/2022 | (21,466 | ) | |||||||||||||||
Just Eat Takeaway N.V. | LIBOR Minus 0.40% | Annual | USD | 197 | 01/27/2022 | (69,326 | ) | |||||||||||||||
Just Eat Takeaway N.V. | LIBOR Minus 0.30% | Quarterly | USD | 192 | 06/15/2022 | (6,567 | ) | |||||||||||||||
|
| |||||||||||||||||||||
$ | (490,368 | ) | ||||||||||||||||||||
|
|
VARIANCE SWAPS
Swap Counterparty & Referenced Obligation | Volatility Strike Rate | Payment Frequency | Notional Amount (000) | Market Value | Upfront Premiums (Paid) Received | Unrealized Appreciation/ (Depreciation) | ||||||||||||||||||||||
Buy Contracts |
| |||||||||||||||||||||||||||
Bank of America, NA |
| |||||||||||||||||||||||||||
Euro STOXX 50 Price EUR Index 08/20/2021* | 23.55 | % | Maturity | EUR | 38 | $ | (11,953 | ) | $ | — | $ | (11,953 | ) | |||||||||||||||
Nikkei 225 Index 06/18/2021* | 33.80 | Maturity | USD | 66 | (38,687 | ) | — | (38,687 | ) |
41
Swap Counterparty & Referenced Obligation | Volatility Strike Rate | Payment Frequency | Notional Amount (000) | Market Value | Upfront Premiums (Paid) Received | Unrealized Appreciation/ (Depreciation) | ||||||||||||||||||||||
Nikkei 225 Index 06/18/2021* | 23.60 | % | Maturity | GBP | 123 | $ | (111,229 | ) | $ | — | $ | (111,229 | ) | |||||||||||||||
UBS AG |
| |||||||||||||||||||||||||||
FTSE 100 Index 08/20/2021* | 21.90 | Maturity | GBP | 30 | (6,931 | ) | — | (6,931 | ) | |||||||||||||||||||
Nikkei 225 Index 08/13/2021* | 24.35 | Maturity | JPY | 16,025 | (31,366 | ) | — | (31,366 | ) | |||||||||||||||||||
Nikkei 225 Index 09/30/2021* | 7.85 | Maturity | USD | 110 | (29,989 | ) | — | (29,989 | ) | |||||||||||||||||||
S&P/ASX 200 Index 08/19/2021* | 18.95 | Maturity | AUD | 174 | (26,375 | ) | — | (26,375 | ) | |||||||||||||||||||
Sale Contracts |
| |||||||||||||||||||||||||||
Bank of America, NA |
| |||||||||||||||||||||||||||
Euro STOXX 50 Price EUR Index 06/18/2021* | 20.45 | Maturity | EUR | 56 | 34,670 | — | 34,670 | |||||||||||||||||||||
Citibank, NA |
| |||||||||||||||||||||||||||
Nikkei 225 Index 06/18/2021* | 30.00 | Maturity | USD | 52 | 31,180 | — | 31,180 | |||||||||||||||||||||
Goldman Sachs Bank USA |
| |||||||||||||||||||||||||||
Nikkei 225 Index 09/30/2021* | 7.20 | Maturity | USD | 88 | 18,062 | — | 18,062 | |||||||||||||||||||||
Goldman Sachs International |
| |||||||||||||||||||||||||||
Nikkei 225 Index 06/11/2021* | 23.61 | Maturity | JPY | 3,287 | 14,747 | — | 14,747 | |||||||||||||||||||||
Nikkei 225 Index 06/18/2021* | 26.70 | Maturity | USD | 39 | 12,054 | — | 12,054 | |||||||||||||||||||||
JPMorgan Chase Bank, NA |
| |||||||||||||||||||||||||||
Nikkei 225 Index 06/18/2021* | 19.45 | Maturity | EUR | 15 | 4,890 | — | 4,890 | |||||||||||||||||||||
UBS AG |
| |||||||||||||||||||||||||||
Nasdaq 100 Stock Index 06/18/2021* | 25.40 | Maturity | USD | 71 | 32,925 | — | 32,925 | |||||||||||||||||||||
Nikkei 225 Index 06/18/2021* | 16.10 | Maturity | GBP | 57 | 18,051 | — | 18,051 | |||||||||||||||||||||
Nikkei 225 Index 06/18/2021* | 27.20 | Maturity | USD | 42 | 15,444 | — | 15,444 | |||||||||||||||||||||
Russell 2000 Index 06/18/2021* | 27.60 | Maturity | USD | 59 | 25,677 | — | 25,677 | |||||||||||||||||||||
|
|
|
|
|
| |||||||||||||||||||||||
$ | (48,830 | ) | $ | — | $ | (48,830 | ) | |||||||||||||||||||||
|
|
|
|
|
|
* | Termination date |
** | Notional amount less than $500. |
(a) | Non-income producing security. |
(b) | Represents entire or partial securities out on loan. |
(c) | Security is exempt from registration under Rule 144A of the Securities Act of 1933. These securities are considered restricted, but liquid and may be resold in transactions exempt from registration, normally to qualified institutional buyers. At May 31, 2021, the aggregate market value of these securities amounted to $15,224,472 or 9.7% 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) | To obtain a copy of the fund’s shareholder report, please go to the Securities and Exchange Commission’s website at www.sec.gov. Additionally, shareholder reports for AB funds can be obtained by calling AB at (800) 227-4618. |
(g) | Position, or a portion thereof, has been segregated to collateralize OTC derivatives outstanding. |
(h) | Position, or a portion thereof, has been segregated to collateralize margin requirements for open exchange-traded derivatives. |
(i) | Floating Rate Security. Stated interest/floor/ceiling rate was in effect at May 31, 2021. |
42
(j) | Securities are perpetual and, thus, do not have a predetermined maturity date. The date shown, if applicable, reflects the next call date. |
(k) | Affiliated investments. |
(l) | The rate shown represents the 7-day yield as of period end. |
(m) | As of May 31, 2021, the cost basis of investment securities owned was substantially identical for both book and tax purposes. Gross unrealized appreciation of investments was $23,598,204 and gross unrealized depreciation of investments was $(4,123,030), resulting in net unrealized appreciation of $19,475,174. |
Currency Abbreviation:
AUD – Australian Dollar
BRL – Brazilian Real
CAD – Canadian Dollar
CHF – Swiss Franc
CLP – Chilean Peso
CNY – Chinese Yuan Renminbi
COP – Colombian Peso
CZK – Czech Koruna
EUR – Euro
GBP – Great British Pound
HKD – Hong Kong Dollar
HUF – Hungarian Forint
IDR – Indonesian Rupiah
INR – Indian Rupee
JPY – Japanese Yen
KRW – South Korean Won
MXN – Mexican Peso
MYR – Malaysian Ringgit
NOK – Norwegian Krone
NZD – New Zealand Dollar
PEN – Peruvian Sol
PHP – Philippine Peso
PLN – Polish Zloty
RUB – Russian Ruble
SEK – Swedish Krona
SGD – Singapore Dollar
THB – Thailand Baht
TRY – Turkish Lira
TWD – New Taiwan Dollar
USD – United States Dollar
ZAR – South African Rand
Glossary:
ABS – Asset-Backed Securities
ADR – American Depositary Receipt
ARMs – Adjustable Rate Mortgages
BIST – Borsa Istanbul Stock Exchange
BKBM – Bank Bill Benchmark (New Zealand)
BOBL – Bundesobligationen
CBT – Chicago Board of Trade
CDOR – Canadian Dealer Offered Rate
CDX-NAHY – North American High Yield Credit Default Swap Index
CLO – Collateralized Loan Obligations
CMBS – Commercial Mortgage-Backed Securities
EAFE – Europe, Australia, and Far East
ETF – Exchange Traded Fund
ETS – Emission Trading Scheme
EURIBOR – Euro Interbank Offered Rate
FTSE – Financial Times Stock Exchange
GDR – Global Depositary Receipt
INTRCONX – Inter-Continental Exchange
JSE – Johannesburg Stock Exchange
KLCI – Kuala Lumpur Composite Index
43
LIBOR – London Interbank Offered Rate
MSCI – Morgan Stanley Capital International
NIBOR – Norwegian Interbank Offered Rate
OAT – Obligations Assimilables du Trésor
OSE – Osaka Securities Exchange
PJSC – Public Joint Stock Company
REIT – Real Estate Investment Trust
SGX – Singapore Exchange
SPDR – Standard & Poor’s Depository Receipt
SPI – Share Price Index
TBA – To Be Announced
TOPIX – Tokyo Price Index
TSX – Toronto Stock Exchange
WIG – Warszawski Indeks Gieldowy
COUNTRY BREAKDOWN1 May 31, 2021 (unaudited) | ||||
66.3% | United States | |||
4.3% | Japan | |||
2.8% | China | |||
2.3% | United Kingdom | |||
2.1% | France | |||
2.0% | Germany | |||
1.9% | Canada | |||
1.9% | Italy | |||
1.3% | Switzerland | |||
1.3% | Australia | |||
1.0% | Netherlands | |||
0.8% | South Korea | |||
0.7% | Spain | |||
5.6% | Other | |||
5.7% | Short-Term | |||
|
| |||
100.0% | Total Investments | |||
|
|
1 | All data are as of May 31, 2021. The Fund’s country breakdown is expressed as a percentage of total investments (excluding security lending collateral) and may vary over time. “Other” country weightings represent 0.6% or less in the following countries: Austria, Belgium, Colombia, Denmark, Finland, Hong Kong, Indonesia, Ireland, Israel, Luxembourg, Macau, Malaysia, Mexico, Norway, Panama, Peru, Phillipines, Russia, Saudi Arabia, Singapore, South Africa, Sweden, Taiwan and Thailand. |
44
AB Conservative Wealth Strategy
May 31, 2021 (unaudited)
In accordance with U.S. GAAP regarding fair value measurements, fair value is defined as the price that the Fund would receive to sell an asset or pay to transfer a liability in an orderly transaction between market participants at the measurement date. U.S. GAAP establishes a framework for measuring fair value, and a three-level hierarchy for fair value measurements based upon the transparency of inputs to the valuation of an asset or liability (including those valued based on their market values). Inputs may be observable or unobservable and refer broadly to the assumptions that market participants would use in pricing the asset or liability. Observable inputs reflect the assumptions market participants would use in pricing the asset or liability based on market data obtained from sources independent of the Fund. Unobservable inputs reflect the Fund’s own assumptions about the assumptions that market participants would use in pricing the asset or liability based on the best information available in the circumstances. Each investment is assigned a level based upon the observability of the inputs which are significant to the overall valuation. The three-tier hierarchy of inputs is summarized below.
• | Level 1 - quoted prices in active markets for identical investments |
• | Level 2 - other significant observable inputs (including quoted prices for similar investments, interest rates, prepayment speeds, credit risk, etc.) |
• | Level 3 - significant unobservable inputs (including the Fund’s own assumptions in determining the fair value of investments) |
The fair value of debt instruments, such as bonds, and over-the-counter derivatives is generally based on market price quotations, recently executed market transactions (where observable) or industry recognized modeling techniques and are generally classified as Level 2. Pricing vendor inputs to Level 2 valuations may include quoted prices for similar investments in active markets, interest rate curves, coupon rates, currency rates, yield curves, option adjusted spreads, default rates, credit spreads and other unique security features in order to estimate the relevant cash flows which is then discounted to calculate fair values. If these inputs are unobservable and significant to the fair value, these investments will be classified as Level 3. In addition, non-agency rated investments are classified as Level 3.
Other fixed income investments, including non-U.S. government and corporate debt, are generally valued using quoted market prices, if available, which are typically impacted by current interest rates, maturity dates and any perceived credit risk of the issuer. Additionally, in the absence of quoted market prices, these inputs are used by pricing vendors to derive a valuation based upon industry or proprietary models which incorporate issuer specific data with relevant yield/spread comparisons with more widely quoted bonds with similar key characteristics. Those investments for which there are observable inputs are classified as Level 2. Where the inputs are not observable, the investments are classified as Level 3.
Where readily available market prices or relevant bid prices are not available for certain equity investments, such investments may be valued based on similar publicly traded investments, movements in relevant indices since last available prices or based upon underlying company fundamentals and comparable company data (such as multiples to earnings or other multiples to equity). Where an investment is valued using an observable input, by pricing vendors, such as another publicly traded security, the investment will be classified as Level 2. If management determines that an adjustment is appropriate based on restrictions on resale, illiquidity or uncertainty, and such adjustment is a significant component of the valuation, the investment will be classified as Level 3. An investment will also be classified as Level 3 where management uses company fundamentals and other significant inputs to determine the valuation.
Options are valued using market-based inputs to models, broker or dealer quotations, or alternative pricing sources with reasonable levels of price transparency, where such inputs and models are available. Alternatively the values may be obtained through unobservable management determined inputs and/or management’s proprietary models. Where models are used, the selection of a particular model to value an option depends upon the contractual terms of, and specific risks inherent in, the option as well as the availability of pricing information in the market. Valuation models require a variety of inputs, including contractual terms, market prices, measures of volatility and correlations of such inputs. Exchange traded options generally will be classified as Level 2. For options that do not trade on exchange but trade in liquid markets, inputs can generally be verified and model selection does not involve significant management judgment. Options are classified within Level 2 on the fair value hierarchy when all of the significant inputs can be corroborated to market evidence. Otherwise such instruments are classified as Level 3.
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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.
The following table summarizes the valuation of the Fund’s investments by the above fair value hierarchy levels as of May 31, 2021:
Investments in Securities: | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Assets: |
| |||||||||||||||
Common Stocks: | ||||||||||||||||
Information Technology | $ | 15,198,156 | $ | 2,929,215 | $ | — | $ | 18,127,371 | ||||||||
Financials | 8,414,460 | 3,344,423 | — | 11,758,883 | ||||||||||||
Health Care | 9,611,427 | 1,906,801 | — | 11,518,228 | ||||||||||||
Consumer Discretionary | 8,286,561 | 2,651,817 | — | 10,938,378 | ||||||||||||
Industrials | 5,905,202 | 1,766,006 | — | 7,671,208 | ||||||||||||
Communication Services | 4,787,456 | 540,856 | — | 5,328,312 | ||||||||||||
Materials | 2,103,559 | 694,393 | — | 2,797,952 | ||||||||||||
Consumer Staples | 1,179,346 | 1,168,771 | 0 | (a) | 2,348,117 | |||||||||||
Real Estate | 1,873,152 | 468,789 | — | 2,341,941 | ||||||||||||
Utilities | 873,084 | 217,175 | — | 1,090,259 | ||||||||||||
Energy | 357,190 | 380,508 | — | 737,698 | ||||||||||||
Investment Companies | 35,046,140 | — | — | 35,046,140 | ||||||||||||
Governments - Treasuries | — | 18,968,095 | — | 18,968,095 | ||||||||||||
Corporates - Investment Grade | — | 7,263,346 | — | 7,263,346 | ||||||||||||
Inflation-Linked Securities | — | 2,066,758 | — | 2,066,758 | ||||||||||||
Mortgage Pass-Throughs | — | 1,765,562 | — | 1,765,562 | ||||||||||||
Governments - Sovereign Bonds | — | 965,779 | — | 965,779 | ||||||||||||
Quasi-Sovereigns | — | 924,538 | — | 924,538 | ||||||||||||
Commercial Mortgage-Backed Securities | — | 836,102 | — | 836,102 | ||||||||||||
Collateralized Mortgage Obligations | — | 625,565 | — | 625,565 | ||||||||||||
Collateralized Loan Obligations | — | 600,081 | — | 600,081 | ||||||||||||
Governments - Sovereign Agencies | — | 584,345 | — | 584,345 | ||||||||||||
Asset-Backed Securities | — | 580,593 | — | 580,593 | ||||||||||||
Local Governments - Provincial Bonds | — | 537,751 | — | 537,751 | ||||||||||||
Covered Bonds | — | 124,645 | — | 124,645 | ||||||||||||
Short-Term Investments | 8,739,213 | — | — | 8,739,213 | ||||||||||||
Investments of Cash Collateral for Securities Loaned in Affiliated Money Market Fund | 1,386,931 | — | — | 1,386,931 | ||||||||||||
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|
|
|
|
|
| |||||||||
Total Investments in Securities | 103,761,877 | 51,911,914 | 0 | 155,673,791 | ||||||||||||
Other Financial Instruments(b): | ||||||||||||||||
Assets: |
| |||||||||||||||
Futures | 326,161 | 89,238 | — | 415,399 | ||||||||||||
Forward Currency Exchange Contracts | — | 314,679 | — | 314,679 |
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Investments in Securities: | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Centrally Cleared Interest Rate Swaps | $ | — | $ | 160,106 | $ | — | $ | 160,106 | ||||||||
Inflation (CPI) Swaps | — | 713,488 | — | 713,488 | ||||||||||||
Total Return Swaps | — | 245,150 | — | 245,150 | ||||||||||||
Variance Swaps | — | 207,700 | — | 207,700 | ||||||||||||
Liabilities: |
| |||||||||||||||
Futures | (652,064 | ) | (16,963 | ) | — | (669,027 | ) | |||||||||
Forward Currency Exchange Contracts | — | (495,513 | ) | — | (495,513 | ) | ||||||||||
Centrally Cleared Credit Default Swaps | — | (240,836 | ) | — | (240,836 | ) | ||||||||||
Centrally Cleared Interest Rate Swaps | — | (184,016 | ) | — | (184,016 | ) | ||||||||||
Total Return Swaps | — | (735,518 | ) | — | (735,518 | ) | ||||||||||
Variance Swaps | — | (256,530 | ) | — | (256,530 | ) | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Total | $ | 103,435,974 | $ | 51,712,899 | $ | 0 | $ | 155,148,873 | ||||||||
|
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|
|
|
|
|
(a) | The Fund held securities with zero market value at period end. |
(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. |
A summary of the Fund’s transactions in AB mutual funds for the nine months ended May 31, 2021 is as follows:
Distributions | ||||||||||||||||||||||||||||||||
Affiliated Issuer | Market Value 08/31/2020 (000) | Purchases at Cost (000) | Sales Proceeds (000) | Realized Gain (Loss) (000) | Change in Unrealized Appr./(Depr.) (000) | Market Value 05/31/2021 (000) | Dividend Income (000) | Realized Gains (000) | ||||||||||||||||||||||||
AB All Market Real Return Portfolio | $ | 19,081 | $ | 370 | $ | 8,480 | $ | (631 | ) | $ | 2,758 | $ | 13,098 | $ | 370 | $ | 0 | |||||||||||||||
AB High Income Fund, Inc. | 17,239 | 771 | 2,640 | (373 | ) | 1,134 | 16,131 | 594 | 0 | |||||||||||||||||||||||
Government Money Market Portfolio | 6,038 | 54,231 | 51,530 | 0 | 0 | 8,739 | 2 | 0 | ||||||||||||||||||||||||
Government Money Market Portfolio* | 1,821 | 29,685 | 30,119 | 0 | 0 | 1,387 | 0 | ** | 0 | |||||||||||||||||||||||
Total | $ | 44,179 | $ | 85,057 | $ | 92,769 | $ | (1,004 | ) | $ | 3,892 | $ | 39,355 | $ | 966 | $ | 0 |
* | Investments of cash collateral for securities lending transactions |
** | Amount less than $500. |
47