AB Cap Fund, Inc.
AB All Market Income Portfolio
Portfolio of Investments
February 28, 2022 (unaudited)
Company | Shares | U.S. $ Value | ||||||
COMMON STOCKS – 42.9% |
| |||||||
Information Technology – 10.9% |
| |||||||
Communications Equipment – 0.2% |
| |||||||
Juniper Networks, Inc. | 4,989 | $ | 168,578 | |||||
|
| |||||||
Electronic Equipment, Instruments & Components – 0.1% |
| |||||||
Arrow Electronics, Inc.(a) | 438 | 53,384 | ||||||
IPG Photonics Corp.(a) | 323 | 42,103 | ||||||
|
| |||||||
95,487 | ||||||||
|
| |||||||
IT Services – 2.5% |
| |||||||
Accenture PLC - Class A | 640 | 202,253 | ||||||
Akamai Technologies, Inc.(a) | 1,482 | 160,441 | ||||||
Automatic Data Processing, Inc. | 333 | 68,079 | ||||||
Capgemini SE | 580 | 121,411 | ||||||
Cognizant Technology Solutions Corp. - Class A | 2,992 | 257,701 | ||||||
EPAM Systems, Inc.(a) | 349 | 72,505 | ||||||
Fidelity National Information Services, Inc. | 958 | 91,230 | ||||||
Gartner, Inc.(a) | 260 | 72,909 | ||||||
Genpact Ltd. | 901 | 37,698 | ||||||
International Business Machines Corp. | 1,557 | 190,748 | ||||||
Mastercard, Inc. - Class A | 189 | 68,195 | ||||||
Nomura Research Institute Ltd. | 1,100 | 38,613 | ||||||
Paychex, Inc. | 1,389 | 165,374 | ||||||
PayPal Holdings, Inc.(a) | 1,948 | 218,040 | ||||||
Visa, Inc. - Class A | 1,950 | 421,434 | ||||||
|
| |||||||
2,186,631 | ||||||||
|
| |||||||
Semiconductors & Semiconductor Equipment – 1.7% |
| |||||||
Advanced Micro Devices, Inc.(a) | 447 | 55,133 | ||||||
Analog Devices, Inc. | 383 | 61,391 | ||||||
Applied Materials, Inc. | 2,782 | 373,344 | ||||||
ASM International NV(b) | 15 | 4,844 | ||||||
Broadcom, Inc. | 274 | 160,958 | ||||||
Enphase Energy, Inc.(a) | 30 | 5,001 | ||||||
Infineon Technologies AG | 1,428 | 48,318 | ||||||
KLA Corp. | 548 | 190,978 | ||||||
Micron Technology, Inc. | 2,207 | 196,114 | ||||||
NVIDIA Corp. | 201 | 49,014 | ||||||
QUALCOMM, Inc. | 1,339 | 230,295 | ||||||
Taiwan Semiconductor Manufacturing Co., Ltd. (Sponsored ADR) | 600 | 64,206 | ||||||
Texas Instruments, Inc. | 324 | 55,077 | ||||||
|
| |||||||
1,494,673 | ||||||||
|
| |||||||
Software – 4.2% |
| |||||||
Adobe, Inc.(a) | 161 | 75,296 | ||||||
Bentley Systems, Inc. | 145 | 5,567 | ||||||
Cadence Design Systems, Inc.(a) | 187 | 28,317 | ||||||
Citrix Systems, Inc. | 533 | 54,632 | ||||||
Constellation Software, Inc./Canada | 83 | 139,883 | ||||||
Crowdstrike Holdings, Inc. - Class A(a) | 108 | 21,083 | ||||||
DocuSign, Inc.(a) | 30 | 3,553 | ||||||
Fortinet, Inc.(a) | 584 | 201,200 | ||||||
Intuit, Inc. | 34 | 16,129 |
1
Company | Shares | U.S. $ Value | ||||||
Microsoft Corp.(c) | 5,957 | $ | 1,779,892 | |||||
NortonLifeLock, Inc. | 8,916 | 258,386 | ||||||
Oracle Corp. | 4,657 | 353,792 | ||||||
Oracle Corp./Japan | 900 | 64,283 | ||||||
SAP SE | 1,097 | 123,746 | ||||||
ServiceNow, Inc.(a) | 380 | 220,370 | ||||||
SS&C Technologies Holdings, Inc. | 253 | 18,967 | ||||||
Synopsys, Inc.(a) | 296 | 92,467 | ||||||
Trade Desk, Inc. (The) - Class A(a) | 1,079 | 92,060 | ||||||
VMware, Inc. - Class A | 809 | 94,912 | ||||||
|
| |||||||
3,644,535 | ||||||||
|
| |||||||
Technology Hardware, Storage & Peripherals – 2.2% |
| |||||||
Apple, Inc.(c) | 7,296 | 1,204,716 | ||||||
HP, Inc. | 4,887 | 167,917 | ||||||
NetApp, Inc. | 1,909 | 149,627 | ||||||
Samsung Electronics Co., Ltd. | 5,446 | 328,140 | ||||||
|
| |||||||
1,850,400 | ||||||||
|
| |||||||
9,440,304 | ||||||||
|
| |||||||
Financials – 7.6% |
| |||||||
Banks – 2.8% |
| |||||||
ABN AMRO Bank NV (GDR) | 4,573 | 60,854 | ||||||
Australia & New Zealand Banking Group Ltd. | 3,533 | 66,886 | ||||||
Bank Leumi Le-Israel BM | 13,890 | 150,469 | ||||||
Bank of Nova Scotia (The) | 227 | 16,450 | ||||||
Citigroup, Inc. | 1,512 | 89,556 | ||||||
Concordia Financial Group Ltd. | 24,300 | 98,859 | ||||||
Credit Agricole SA | 11,092 | 141,294 | ||||||
DBS Group Holdings Ltd. | 4,200 | 105,589 | ||||||
ING Groep NV | 12,195 | 142,419 | ||||||
JPMorgan Chase & Co. | 744 | 105,499 | ||||||
KBC Group NV | 523 | 37,681 | ||||||
Mitsubishi UFJ Financial Group, Inc. | 28,600 | 175,575 | ||||||
National Bank of Canada | 2,174 | 174,315 | ||||||
Nordea Bank Abp | 20,011 | 221,392 | ||||||
Oversea-Chinese Banking Corp. Ltd. | 8,700 | 75,389 | ||||||
Regions Financial Corp. | 2,380 | 57,572 | ||||||
Royal Bank of Canada | 1,473 | 162,942 | ||||||
Skandinaviska Enskilda Banken AB - Class A | 10,637 | 122,542 | ||||||
Societe Generale SA | 2,821 | 79,771 | ||||||
Toronto-Dominion Bank (The) | 3,929 | 317,048 | ||||||
US Bancorp | 854 | 48,285 | ||||||
|
| |||||||
2,450,387 | ||||||||
|
| |||||||
Capital Markets – 2.3% |
| |||||||
Ameriprise Financial, Inc. | 146 | 43,769 | ||||||
BlackRock, Inc. - Class A | 190 | 141,339 | ||||||
Carlyle Group, Inc. (The) | 3,293 | 154,343 | ||||||
CME Group, Inc. - Class A | 453 | 107,148 | ||||||
Credit Suisse Group AG | 24,021 | 201,226 | ||||||
Daiwa Securities Group, Inc. | 10,000 | 59,125 | ||||||
EQT AB(b) | 211 | 7,062 | ||||||
Goldman Sachs Group, Inc. (The) | 960 | 327,639 | ||||||
Houlihan Lokey, Inc. | 963 | 99,054 | ||||||
IGM Financial, Inc.(b) | 3,789 | 134,610 |
2
Company | Shares | U.S. $ Value | ||||||
London Stock Exchange Group PLC | 1,242 | $ | 108,497 | |||||
Moody’s Corp. | 417 | 134,287 | ||||||
Morgan Stanley | 1,573 | 142,734 | ||||||
Partners Group Holding AG | 71 | 95,977 | ||||||
S&P Global, Inc. | 349 | 131,119 | ||||||
Singapore Exchange Ltd. | 7,600 | 52,727 | ||||||
T Rowe Price Group, Inc. | 258 | 37,297 | ||||||
|
| |||||||
1,977,953 | ||||||||
|
| |||||||
Consumer Finance – 0.3% |
| |||||||
Ally Financial, Inc. | 3,464 | 172,853 | ||||||
American Express Co. | 555 | 107,970 | ||||||
|
| |||||||
280,823 | ||||||||
|
| |||||||
Diversified Financial Services – 0.4% |
| |||||||
Apollo Global Management, Inc. | 146 | 9,528 | ||||||
Groupe Bruxelles Lambert SA | 553 | 57,421 | ||||||
Kinnevik AB(a) | 2,159 | 54,969 | ||||||
M&G PLC | 65,841 | 181,252 | ||||||
|
| |||||||
303,170 | ||||||||
|
| |||||||
Insurance – 1.5% |
| |||||||
Admiral Group PLC | 1,044 | 41,588 | ||||||
Aviva PLC | 7,072 | 39,627 | ||||||
CNP Assurances | 2,966 | 72,291 | ||||||
Japan Post Holdings Co., Ltd. | 20,300 | 167,794 | ||||||
Japan Post Insurance Co., Ltd. | 9,200 | 157,125 | ||||||
Legal & General Group PLC | 18,803 | 69,523 | ||||||
Marsh & McLennan Cos., Inc. | 556 | 86,408 | ||||||
Medibank Pvt Ltd. | 4,874 | 11,242 | ||||||
MetLife, Inc. | 217 | 14,658 | ||||||
NN Group NV | 2,927 | 140,481 | ||||||
Phoenix Group Holdings PLC | 16,656 | 138,050 | ||||||
Progressive Corp. (The) | 955 | 101,163 | ||||||
Prudential Financial, Inc. | 1,550 | 173,073 | ||||||
Sampo Oyj - Class A | 849 | 40,060 | ||||||
|
| |||||||
1,253,083 | ||||||||
|
| |||||||
Mortgage Real Estate Investment Trusts (REITs) – 0.3% |
| |||||||
AGNC Investment Corp. | 11,061 | 142,798 | ||||||
Annaly Capital Management, Inc. | 21,526 | 149,821 | ||||||
|
| |||||||
292,619 | ||||||||
|
| |||||||
6,558,035 | ||||||||
|
| |||||||
Health Care – 5.3% |
| |||||||
Biotechnology – 0.4% |
| |||||||
AbbVie, Inc. | 2,387 | 352,727 | ||||||
Moderna, Inc.(a) | 125 | 19,200 | ||||||
|
| |||||||
371,927 | ||||||||
|
| |||||||
Health Care Equipment & Supplies – 0.7% |
| |||||||
Align Technology, Inc.(a) | 149 | 76,207 | ||||||
Getinge AB - Class B | 1,198 | 46,500 | ||||||
IDEXX Laboratories, Inc.(a) | 297 | 158,108 | ||||||
Koninklijke Philips NV | 4,235 | 144,662 | ||||||
Medtronic PLC | 1,914 | 200,951 | ||||||
|
| |||||||
626,428 | ||||||||
|
|
3
Company | Shares | U.S. $ Value | ||||||
Health Care Providers & Services – 1.2% |
| |||||||
AmerisourceBergen Corp. - Class A | 80 | $ | 11,403 | |||||
Anthem, Inc. | 1,110 | 501,553 | ||||||
Humana, Inc. | 479 | 208,039 | ||||||
Molina Healthcare, Inc.(a) | 484 | 148,525 | ||||||
UnitedHealth Group, Inc. | 357 | 169,886 | ||||||
|
| |||||||
1,039,406 | ||||||||
|
| |||||||
Life Sciences Tools & Services – 0.6% |
| |||||||
Bio-Rad Laboratories, Inc. - Class A(a) | 168 | 105,161 | ||||||
Mettler-Toledo International, Inc.(a) | 119 | 167,640 | ||||||
Sartorius Stedim Biotech | 91 | 34,896 | ||||||
Thermo Fisher Scientific, Inc. | 393 | 213,792 | ||||||
|
| |||||||
521,489 | ||||||||
|
| |||||||
Pharmaceuticals – 2.4% |
| |||||||
AstraZeneca PLC (Sponsored ADR) | 1,580 | 96,190 | ||||||
Eli Lilly & Co. | 755 | 188,712 | ||||||
Johnson & Johnson | 243 | 39,991 | ||||||
Merck & Co., Inc. | 3,584 | 274,463 | ||||||
Novo Nordisk A/S - Class B | 3,864 | 399,860 | ||||||
Pfizer, Inc. | 4,978 | 233,667 | ||||||
Roche Holding AG | 1,083 | 410,168 | ||||||
Sanofi | 2,153 | 225,058 | ||||||
Sumitomo Dainippon Pharma Co., Ltd.(b) | 800 | 8,780 | ||||||
Takeda Pharmaceutical Co., Ltd. | 5,200 | 158,550 | ||||||
|
| |||||||
2,035,439 | ||||||||
|
| |||||||
4,594,689 | ||||||||
|
| |||||||
Consumer Discretionary – 3.8% |
| |||||||
Auto Components – 0.0% |
| |||||||
Aisin Corp. | 300 | 10,927 | ||||||
|
| |||||||
Automobiles – 0.5% |
| |||||||
Tesla, Inc.(a) | 453 | 394,305 | ||||||
| �� | |||||||
Distributors – 0.0% |
| |||||||
LKQ Corp. | 521 | 24,461 | ||||||
|
| |||||||
Diversified Consumer Services – 0.1% |
| |||||||
Service Corp. International/US | 1,641 | 99,855 | ||||||
|
| |||||||
Hotels, Restaurants & Leisure – 0.5% |
| |||||||
Compass Group PLC | 4,430 | 100,132 | ||||||
Darden Restaurants, Inc. | 452 | 65,639 | ||||||
Domino’s Pizza Enterprises Ltd.(b) | 237 | 13,685 | ||||||
Domino’s Pizza, Inc. | 46 | 19,882 | ||||||
Galaxy Entertainment Group Ltd.(a) | 27,700 | 154,489 | ||||||
Starbucks Corp. | 733 | 67,282 | ||||||
Vail Resorts, Inc. | 102 | 26,576 | ||||||
|
| |||||||
447,685 | ||||||||
|
|
4
Company | Shares | U.S. $ Value | ||||||
Household Durables – 0.5% |
| |||||||
Electrolux AB(b) | 1,958 | $ | 35,058 | |||||
Persimmon PLC | 4,841 | 155,800 | ||||||
PulteGroup, Inc. | 110 | 5,463 | ||||||
Sony Group Corp. | 400 | 40,869 | ||||||
Whirlpool Corp. | 810 | 163,029 | ||||||
|
| |||||||
400,219 | ||||||||
|
| |||||||
Internet & Direct Marketing Retail – 1.2% |
| |||||||
Alibaba Group Holding Ltd.(a) | 1,200 | 15,797 | ||||||
Alibaba Group Holding Ltd. (ADR)(a) | 1,028 | 108,135 | ||||||
Amazon.com, Inc.(a) (c) | 214 | 657,250 | ||||||
Etsy, Inc.(a) | 239 | 37,019 | ||||||
Prosus NV(a) (b) | 3,016 | 187,238 | ||||||
ZOZO, Inc. | 1,200 | 34,170 | ||||||
|
| |||||||
1,039,609 | ||||||||
|
| |||||||
Media – 0.2% |
| |||||||
Vivendi SE | 12,742 | 160,852 | ||||||
|
| |||||||
Multiline Retail – 0.2% |
| |||||||
Target Corp. | 804 | 160,615 | ||||||
|
| |||||||
Specialty Retail – 0.4% |
| |||||||
AutoZone, Inc.(a) | 111 | 206,836 | ||||||
Home Depot, Inc. (The) | 377 | 119,068 | ||||||
O’Reilly Automotive, Inc.(a) | 94 | 61,029 | ||||||
|
| |||||||
386,933 | ||||||||
|
| |||||||
Textiles, Apparel & Luxury Goods – 0.2% |
| |||||||
adidas AG | 210 | 49,652 | ||||||
Deckers Outdoor Corp.(a) | 147 | 42,430 | ||||||
Kering SA | 77 | 53,410 | ||||||
Pandora A/S | 289 | 29,593 | ||||||
|
| |||||||
175,085 | ||||||||
|
| |||||||
3,300,546 | ||||||||
|
| |||||||
Communication Services – 3.6% |
| |||||||
Diversified Telecommunication Services – 0.9% |
| |||||||
BCE, Inc. | 924 | 48,529 | ||||||
Comcast Corp. - Class A | 5,690 | 266,065 | ||||||
Nippon Telegraph & Telephone Corp. | 3,800 | 109,215 | ||||||
Orange SA | 3,362 | 40,652 | ||||||
Spark New Zealand Ltd. | 46,121 | 141,605 | ||||||
Telefonica SA | 38,345 | 183,133 | ||||||
|
| |||||||
789,199 | ||||||||
|
| |||||||
Entertainment – 0.4% |
| |||||||
Electronic Arts, Inc. | 1,658 | 215,689 | ||||||
Netflix, Inc.(a) | 185 | 72,986 | ||||||
Ubisoft Entertainment SA(a) | 695 | 37,264 | ||||||
|
| |||||||
325,939 | ||||||||
|
|
5
Company | Shares | U.S. $ Value | ||||||
Interactive Media & Services – 1.7% |
| |||||||
Alphabet, Inc. - Class A(a) (c) | 45 | $ | 121,551 | |||||
Alphabet, Inc. - Class C(a) (c) | 288 | 776,972 | ||||||
Auto Trader Group PLC | 8,897 | 78,686 | ||||||
Kakaku.com, Inc. | 1,800 | 39,602 | ||||||
Meta Platforms, Inc. - Class A(a) (c) | 2,039 | 430,290 | ||||||
|
| |||||||
1,447,101 | ||||||||
|
| |||||||
Media – 0.4% |
| |||||||
Interpublic Group of Cos., Inc. (The) | 4,627 | 170,274 | ||||||
Omnicom Group, Inc. | 2,206 | 185,061 | ||||||
|
| |||||||
355,335 | ||||||||
|
| |||||||
Wireless Telecommunication Services – 0.2% |
| |||||||
SoftBank Corp. | 10,600 | 133,925 | ||||||
SoftBank Group Corp.(b) | 1,700 | 76,289 | ||||||
|
| |||||||
210,214 | ||||||||
|
| |||||||
3,127,788 | ||||||||
|
| |||||||
Industrials – 3.0% |
| |||||||
Aerospace & Defense – 0.2% |
| |||||||
Huntington Ingalls Industries, Inc. | 865 | 176,806 | ||||||
|
| |||||||
Air Freight & Logistics – 0.1% |
| |||||||
CH Robinson Worldwide, Inc. | 193 | 18,659 | ||||||
Kuehne & Nagel International AG | 280 | 76,360 | ||||||
|
| |||||||
95,019 | ||||||||
|
| |||||||
Building Products – 0.5% |
| |||||||
Assa Abloy AB - Class B | 2,970 | 77,956 | ||||||
Lixil Corp. | 1,000 | 22,287 | ||||||
Otis Worldwide Corp. | 3,969 | 310,892 | ||||||
Owens Corning | 338 | 31,498 | ||||||
|
| |||||||
442,633 | ||||||||
|
| |||||||
Construction & Engineering – 0.0% |
| |||||||
Kajima Corp. | 3,100 | 41,721 | ||||||
|
| |||||||
Electrical Equipment – 0.3% |
| |||||||
Generac Holdings, Inc.(a) | 88 | 27,762 | ||||||
Regal Rexnord Corp. | 295 | 47,303 | ||||||
Rockwell Automation, Inc. | 364 | 97,035 | ||||||
Schneider Electric SE | 325 | 50,354 | ||||||
Vertiv Holdings Co. | 3,156 | 41,091 | ||||||
|
| |||||||
263,545 | ||||||||
|
| |||||||
Machinery – 1.0% |
| |||||||
Cummins, Inc. | 445 | 90,833 | ||||||
Dover Corp. | 964 | 151,213 | ||||||
Mitsubishi Heavy Industries Ltd. | 6,200 | 182,854 | ||||||
Parker-Hannifin Corp. | 529 | 156,790 | ||||||
Snap-on, Inc. | 790 | 166,042 | ||||||
Volvo AB - Class B | 4,693 | 90,265 | ||||||
|
| |||||||
837,997 | ||||||||
|
| |||||||
Marine – 0.1% |
| |||||||
SITC International Holdings Co., Ltd. | 11,000 | 45,355 | ||||||
|
|
6
Company | Shares | U.S. $ Value | ||||||
Professional Services – 0.6% |
| |||||||
Booz Allen Hamilton Holding Corp. | 1,431 | $ | 115,468 | |||||
RELX PLC | 4,755 | 145,215 | ||||||
Robert Half International, Inc. | 1,522 | 183,081 | ||||||
Wolters Kluwer NV | 1,041 | 106,067 | ||||||
|
| |||||||
549,831 | ||||||||
|
| |||||||
Road & Rail – 0.2% |
| |||||||
Aurizon Holdings Ltd. | 18,438 | 47,034 | ||||||
Knight-Swift Transportation Holdings, Inc. | 1,371 | 74,692 | ||||||
NIPPON EXPRESS HOLDINGS, Inc. | 300 | 18,186 | ||||||
|
| |||||||
139,912 | ||||||||
|
| |||||||
2,592,819 | ||||||||
|
| |||||||
Energy – 2.2% |
| |||||||
Oil, Gas & Consumable Fuels – 2.2% |
| |||||||
Canadian Natural Resources Ltd.(b) | 1,626 | 90,838 | ||||||
Devon Energy Corp. | 1,878 | 111,835 | ||||||
Enbridge, Inc.(b) | 2,363 | 102,089 | ||||||
Eni SpA | 11,623 | 180,792 | ||||||
EOG Resources, Inc. | 1,329 | 152,729 | ||||||
Equinor ASA | 4,755 | 149,476 | ||||||
Inpex Corp. | 12,300 | 126,782 | ||||||
Keyera Corp.(b) | 2,985 | 69,921 | ||||||
Marathon Petroleum Corp. | 2,455 | 191,171 | ||||||
Neste Oyj | 1,097 | 42,777 | ||||||
ONEOK, Inc. | 2,783 | 181,730 | ||||||
Shell PLC | 15,035 | 396,485 | ||||||
Suncor Energy, Inc. | 2,669 | 81,618 | ||||||
Valero Energy Corp. | 652 | 54,448 | ||||||
|
| |||||||
1,932,691 | ||||||||
|
| |||||||
Consumer Staples – 2.0% |
| |||||||
Beverages – 0.6% |
| |||||||
Asahi Group Holdings Ltd. | 5,000 | 201,697 | ||||||
Coca-Cola Co. (The) | 5,068 | 315,432 | ||||||
|
| |||||||
517,129 | ||||||||
|
| |||||||
Food & Staples Retailing – 0.5% |
| |||||||
Koninklijke Ahold Delhaize NV | 4,570 | 140,583 | ||||||
Kroger Co. (The) | 2,856 | 133,661 | ||||||
Walmart, Inc. | 1,029 | 139,080 | ||||||
|
| |||||||
413,324 | ||||||||
|
| |||||||
Food Products – 0.3% |
| |||||||
Bunge Ltd. | 1,552 | 162,261 | ||||||
Nestle SA | 473 | 61,630 | ||||||
|
| |||||||
223,891 | ||||||||
|
| |||||||
Household Products – 0.1% |
| |||||||
Procter & Gamble Co. (The) | 829 | 129,233 | ||||||
|
| |||||||
Tobacco – 0.5% |
| |||||||
Altria Group, Inc. | 800 | 41,032 | ||||||
Imperial Brands PLC | 8,350 | 182,584 | ||||||
Philip Morris International, Inc. | 617 | 62,360 | ||||||
Swedish Match AB | 15,953 | 115,974 | ||||||
|
| |||||||
401,950 | ||||||||
|
| |||||||
1,685,527 | ||||||||
|
|
7
Company | Shares | U.S. $ Value | ||||||
Real Estate – 1.7% |
| |||||||
Equity Real Estate Investment Trusts (REITs) – 1.3% |
| |||||||
Duke Realty Corp. | 826 | $ | 43,778 | |||||
Extra Space Storage, Inc. | 876 | 164,819 | ||||||
Iron Mountain, Inc. | 3,893 | 191,458 | ||||||
Nippon Building Fund, Inc. | 5 | 28,652 | ||||||
Public Storage | 374 | 132,777 | ||||||
Simon Property Group, Inc. | 1,210 | 166,448 | ||||||
Stockland | 54,976 | 166,351 | ||||||
VICI Properties, Inc. | 385 | 10,765 | ||||||
Vornado Realty Trust | 982 | 42,501 | ||||||
Weyerhaeuser Co. | 3,701 | 143,895 | ||||||
|
| |||||||
1,091,444 | ||||||||
|
| |||||||
Real Estate Management & Development – 0.4% |
| |||||||
CBRE Group, Inc. - Class A(a) | 1,585 | 153,507 | ||||||
Nomura Real Estate Holdings, Inc. | 6,800 | 169,310 | ||||||
Vonovia SE | 744 | 39,494 | ||||||
|
| |||||||
362,311 | ||||||||
|
| |||||||
1,453,755 | ||||||||
|
| |||||||
Materials – 1.7% |
| |||||||
Chemicals – 0.6% |
| |||||||
Celanese Corp. - Class A | 76 | 10,585 | ||||||
Clariant AG(a) (b) | 657 | 11,861 | ||||||
Linde PLC(a) | 415 | 121,695 | ||||||
Mitsubishi Chemical Holdings Corp. | 7,700 | 54,699 | ||||||
Mosaic Co. (The) | 3,527 | 184,921 | ||||||
Sumitomo Chemical Co., Ltd. | 32,500 | 155,162 | ||||||
|
| |||||||
538,923 | ||||||||
|
| |||||||
Containers & Packaging – 0.3% |
| |||||||
Packaging Corp. of America | 1,193 | 175,598 | ||||||
Sealed Air Corp. | 652 | 43,769 | ||||||
|
| |||||||
219,367 | ||||||||
|
| |||||||
Metals & Mining – 0.8% |
| |||||||
Anglo American PLC | 918 | 46,599 | ||||||
BHP Group Ltd.(b) | 5,609 | 191,526 | ||||||
Fortescue Metals Group Ltd. | 11,678 | 155,578 | ||||||
Rio Tinto Ltd. | 1,507 | 129,959 | ||||||
Steel Dynamics, Inc. | 1,820 | 128,456 | ||||||
Teck Resources Ltd. - Class B | 759 | 27,330 | ||||||
|
| |||||||
679,448 | ||||||||
|
| |||||||
1,437,738 | ||||||||
|
|
8
Company | Shares | U.S. $ Value | ||||||
Utilities – 1.1% |
| |||||||
Electric Utilities – 0.4% |
| |||||||
American Electric Power Co., Inc. | 719 | $ | 65,177 | |||||
Endesa SA | 4,040 | 88,805 | ||||||
Enel SpA | 8,098 | 59,674 | ||||||
Iberdrola SA | 7,903 | 89,664 | ||||||
NRG Energy, Inc. | 385 | 14,569 | ||||||
|
| |||||||
317,889 | ||||||||
|
| |||||||
Gas Utilities – 0.3% |
| |||||||
AltaGas Ltd. | 6,329 | 139,413 | ||||||
Snam SpA(b) | 3,512 | 19,514 | ||||||
UGI Corp. | 3,633 | 139,652 | ||||||
|
| |||||||
298,579 | ||||||||
|
| |||||||
Independent Power and Renewable Electricity Producers – 0.1% |
| |||||||
Uniper SE | 2,277 | 72,844 | ||||||
|
| |||||||
Multi-Utilities – 0.3% |
| |||||||
Ameren Corp. | 1,338 | 115,001 | ||||||
E.ON SE | 7,277 | 98,978 | ||||||
Sempra Energy | 354 | 51,054 | ||||||
|
| |||||||
265,033 | ||||||||
|
| |||||||
954,345 | ||||||||
|
| |||||||
Total Common Stocks |
| 37,078,237 | ||||||
|
| |||||||
INVESTMENT COMPANIES – 41.8% |
| |||||||
Funds and Investment Trusts – 41.8%(d) |
| |||||||
AB High Income Fund, Inc. - Class Z(e) | 4,587,980 | 34,822,765 | ||||||
Vanguard Global ex-U.S. Real Estate ETF | 12,707 | 657,333 | ||||||
Vanguard Real Estate ETF(b) | 6,448 | 661,178 | ||||||
|
| |||||||
Total Investment Companies |
| 36,141,276 | ||||||
|
| |||||||
PREFERRED STOCKS – 5.6% |
| |||||||
Real Estate – 5.6% |
| |||||||
Diversified REITs – 1.4% |
| |||||||
Armada Hoffler Properties, Inc. | 7,725 | 198,919 | ||||||
DigitalBridge Group, Inc. | 1,751 | 43,250 | ||||||
DigitalBridge Group, Inc. | 12,358 | 304,872 | ||||||
DigitalBridge Group, Inc. | 6,098 | 151,169 | ||||||
Gladstone Commercial Corp. | 2,270 | 56,977 | ||||||
Gladstone Commercial Corp. | 3,125 | 78,000 | ||||||
Global Net Lease, Inc. | 3,467 | 85,912 |
9
Company | Shares | U.S. $ Value | ||||||
Global Net Lease, Inc. | 4,450 | $ | 110,220 | |||||
Vornado Realty Trust | 6,516 | 155,993 | ||||||
|
| |||||||
1,185,312 | ||||||||
|
| |||||||
Equity Real Estate Investment Trusts (REITs) – 0.1% |
| |||||||
Hudson Pacific Properties, Inc. | 3,713 | 77,973 | ||||||
|
| |||||||
Health Care REITs – 0.1% |
| |||||||
Global Medical REIT, Inc. | 2,320 | 59,130 | ||||||
Healthcare Trust, Inc. | 233 | 5,820 | ||||||
|
| |||||||
64,950 | ||||||||
|
| |||||||
Hotel & Resort REITs – 0.9% |
| |||||||
Chatham Lodging Trust | 3,680 | 87,842 | ||||||
DiamondRock Hospitality Co. | 6,875 | 179,019 | ||||||
Hersha Hospitality Trust | 3,635 | 85,059 | ||||||
Hersha Hospitality Trust | 2,481 | 54,036 | ||||||
Hersha Hospitality Trust | 1,757 | 38,210 | ||||||
Pebblebrook Hotel Trust | 4,919 | 116,826 | ||||||
Pebblebrook Hotel Trust | 3,181 | 74,785 | ||||||
Summit Hotel Properties, Inc. | 1,075 | 26,445 | ||||||
Summit Hotel Properties, Inc. | 6,950 | 164,993 | ||||||
|
| |||||||
827,215 | ||||||||
|
| |||||||
Industrial REITs – 0.2% |
| |||||||
Plymouth Industrial REIT, Inc. | 1,100 | 28,309 | ||||||
Rexford Industrial Realty, Inc. | 4,168 | 105,742 | ||||||
Rexford Industrial Realty, Inc. | 3,072 | 77,752 | ||||||
|
| |||||||
211,803 | ||||||||
|
|
10
Company | Shares | U.S. $ Value | ||||||
Office REITs – 0.3% |
| |||||||
City Office REIT, Inc. | 4,841 | $ | 117,491 | |||||
SL Green Realty Corp. | 1,718 | 42,967 | ||||||
Vornado Realty Trust | 4,821 | 111,028 | ||||||
|
| |||||||
271,486 | ||||||||
|
| |||||||
Real Estate Development – 0.5% |
| |||||||
Agree Realty Corp. | 461 | 9,322 | ||||||
Necessity Retail REIT, Inc. (The) | 8,325 | 209,790 | ||||||
Pebblebrook Hotel Trust | 5,497 | 137,150 | ||||||
Sunstone Hotel Investors, Inc. | 2,925 | 71,838 | ||||||
|
| |||||||
428,100 | ||||||||
|
| |||||||
Real Estate Operating Companies – 0.1% |
| |||||||
Brookfield Property Partners LP | 335 | 7,236 | ||||||
Brookfield Property Partners LP | 2,779 | 63,472 | ||||||
|
| |||||||
70,708 | ||||||||
|
| |||||||
Real Estate Services – 0.2% |
| |||||||
CTO Realty Growth, Inc. | 2,243 | 57,421 | ||||||
Sunstone Hotel Investors, Inc. | 3,700 | 87,579 | ||||||
|
| |||||||
145,000 | ||||||||
|
| |||||||
Residential REITs – 0.6% |
| |||||||
American Homes 4 Rent | 393 | 9,872 | ||||||
American Homes 4 Rent | 801 | 21,010 |
11
Company | Shares | U.S. $ Value | ||||||
Bluerock Residential Growth REIT, Inc. | 2,741 | $ | 69,348 | |||||
Centerspace | 3,614 | 91,254 | ||||||
UMH Properties, Inc. | 6,216 | 156,146 | ||||||
UMH Properties, Inc. | 5,800 | 145,290 | ||||||
|
| |||||||
492,920 | ||||||||
|
| |||||||
Retail REITs – 0.9% |
| |||||||
Cedar Realty Trust, Inc. | 2,808 | 62,675 | ||||||
Necessity Retail REIT, Inc. (The) | 1,075 | 27,412 | ||||||
Saul Centers, Inc. | 7,607 | 190,175 | ||||||
Saul Centers, Inc. | 695 | 17,542 | ||||||
SITE Centers Corp. | 5,081 | 125,755 | ||||||
Spirit Realty Capital, Inc. | 5,738 | 142,761 | ||||||
Urstadt Biddle Properties, Inc. | 2,000 | 50,200 | ||||||
Urstadt Biddle Properties, Inc. | 6,638 | 165,817 | ||||||
|
| |||||||
782,337 | ||||||||
|
| |||||||
Specialized REITs – 0.3% |
| |||||||
Digital Realty Trust, Inc. | 2,840 | 73,669 | ||||||
National Storage Affiliates Trust | 8,819 | 221,445 | ||||||
Public Storage | 91 | 2,177 | ||||||
|
| |||||||
297,291 | ||||||||
|
| |||||||
Total Preferred Stocks |
| 4,855,095 | ||||||
|
|
12
Principal Amount (000) | U.S. $ Value | |||||||||||
EMERGING MARKETS - SOVEREIGNS – 2.3% |
| |||||||||||
Argentina – 0.1% |
| |||||||||||
Argentine Republic Government International Bond | U.S.$ | 109 | $ | 34,634 | ||||||||
1.00%, 07/09/2029 | 16 | 5,387 | ||||||||||
1.125%, 07/09/2035 | 113 | 33,578 | ||||||||||
|
| |||||||||||
73,599 | ||||||||||||
|
| |||||||||||
Bahrain – 0.2% |
| |||||||||||
Bahrain Government International Bond | 200 | 211,500 | ||||||||||
|
| |||||||||||
Dominican Republic – 0.2% |
| |||||||||||
Dominican Republic International Bond | 200 | 184,475 | ||||||||||
|
| |||||||||||
Ecuador – 0.2% |
| |||||||||||
Ecuador Government International Bond | 12 | 6,944 | ||||||||||
0.50%, 07/31/2040(f) | 45 | 28,242 | ||||||||||
1.00%, 07/31/2035(f) | 99 | 69,856 | ||||||||||
5.00%, 07/31/2030(f) | 38 | 33,247 | ||||||||||
|
| |||||||||||
138,289 | ||||||||||||
|
| |||||||||||
Egypt – 0.2% |
| |||||||||||
Egypt Government International Bond | 200 | 156,500 | ||||||||||
|
| |||||||||||
El Salvador – 0.1% |
| |||||||||||
El Salvador Government International Bond | 182 | 99,395 | ||||||||||
|
| |||||||||||
Gabon – 0.2% |
| |||||||||||
Gabon Government International Bond | 200 | 181,850 | ||||||||||
|
| |||||||||||
Ghana – 0.2% |
| |||||||||||
Ghana Government International Bond | 200 | 130,000 | ||||||||||
|
| |||||||||||
Guatemala – 0.2% |
| |||||||||||
Guatemala Government Bond | 200 | 200,850 | ||||||||||
|
| |||||||||||
Ivory Coast – 0.2% |
| |||||||||||
Ivory Coast Government International Bond | 200 | 202,662 | ||||||||||
|
| |||||||||||
Kenya – 0.2% |
| |||||||||||
Republic of Kenya Government International Bond | 200 | 207,000 | ||||||||||
|
|
13
Principal Amount (000) | U.S. $ Value | |||||||||||
Lebanon – 0.0% |
| |||||||||||
Lebanon Government International Bond | U.S.$ | 107 | $ | 12,573 | ||||||||
|
| |||||||||||
Senegal – 0.2% |
| |||||||||||
Senegal Government International Bond | 200 | 168,600 | ||||||||||
|
| |||||||||||
Ukraine – 0.1% |
| |||||||||||
Ukraine Government International Bond | 150 | 48,000 | ||||||||||
|
| |||||||||||
Total Emerging Markets - Sovereigns | 2,015,293 | |||||||||||
|
| |||||||||||
Notional Amount | ||||||||||||
OPTIONS PURCHASED - PUTS – 1.3% |
| |||||||||||
Options on Equity Indices – 1.3% |
| |||||||||||
Euro STOXX 50 Index | EUR | 4,160,250 | 151,094 | |||||||||
FTSE 100 Index | GBP | 1,674,000 | 50,072 | |||||||||
Nikkei 225 Index | JPY | 382,500,000 | 84,885 | |||||||||
S&P 500 Index | USD | 33,712,500 | 860,470 | |||||||||
|
| |||||||||||
Total Options Purchased - Puts | 1,146,521 | |||||||||||
|
| |||||||||||
Principal Amount (000) | ||||||||||||
GOVERNMENTS - TREASURIES – 0.5% |
| |||||||||||
Colombia – 0.1% |
| |||||||||||
Colombian TES | COP | 492,700 | 114,467 | |||||||||
|
| |||||||||||
Indonesia – 0.2% |
| |||||||||||
Indonesia Treasury Bond | IDR | 1,105,000 | 82,950 | |||||||||
Series FR71 | IDR | 1,438,000 | 114,854 | |||||||||
|
| |||||||||||
197,804 | ||||||||||||
|
|
14
Principal Amount (000) | U.S. $ Value | |||||||||||
Mexico – 0.2% |
| |||||||||||
Mexican Bonos | MXN | 2,777 | $ | 142,877 | ||||||||
|
| |||||||||||
Total Governments - Treasuries |
| 455,148 | ||||||||||
|
| |||||||||||
EMERGING MARKETS - TREASURIES – 0.3% |
| |||||||||||
Brazil – 0.1% |
| |||||||||||
Brazil Notas do Tesouro Nacional | BRL | 658 | 124,486 | |||||||||
|
| |||||||||||
South Africa – 0.2% |
| |||||||||||
Republic of South Africa Government Bond | ZAR | 2,848 | 166,448 | |||||||||
|
| |||||||||||
Total Emerging Markets - Treasuries |
| 290,934 | ||||||||||
|
| |||||||||||
QUASI-SOVEREIGNS – 0.2% |
| |||||||||||
Quasi-Sovereign Bonds – 0.2% |
| |||||||||||
Mexico – 0.2% |
| |||||||||||
Petroleos Mexicanos | U.S.$ | 43 | 39,988 | |||||||||
7.69%, 01/23/2050 | 97 | 86,815 | ||||||||||
|
| |||||||||||
Total Quasi-Sovereigns |
| 126,803 | ||||||||||
|
| |||||||||||
SHORT-TERM INVESTMENTS – 8.9% |
| |||||||||||
U.S. Treasury Bills – 7.7% |
| |||||||||||
United States – 7.7% |
| |||||||||||
U.S. Treasury Bill | 6,660 | 6,659,925 | ||||||||||
|
| |||||||||||
Shares | ||||||||||||
Investment Companies – 1.2% |
| |||||||||||
AB Fixed Income Shares, Inc. - Government Money Market Portfolio - Class AB, 0.01%(d) (e) (h) |
| 990,529 | 990,529 | |||||||||
|
| |||||||||||
Total Investments Before Security Lending Collateral for Securities Loaned – 103.8% | 89,759,761 | |||||||||||
|
|
15
Company | Shares | U.S. $ Value | ||||||||||
INVESTMENTS OF CASH COLLATERAL FOR SECURITIES LOANED – 0.3% | ||||||||||||
Investment Companies – 0.3% | ||||||||||||
AB Fixed Income Shares, Inc. - Government Money Market Portfolio - Class AB, 0.01%(d) (e) (h) | 281,213 | $ | 281,213 | |||||||||
|
| |||||||||||
Total Investments – 104.1% | 90,040,974 | |||||||||||
Other assets less liabilities – (4.1)% | (3,518,903 | ) | ||||||||||
|
| |||||||||||
Net Assets – 100.0% | $ | 86,522,071 | ||||||||||
|
|
FUTURES
Description | Number of Contracts | Expiration Month | Current Notional | Value and Unrealized Appreciation/ (Depreciation) | ||||||||||||||||
Purchased Contracts |
| |||||||||||||||||||
10 Yr Mini Japan Government Bond Futures | 8 | March 2022 | $ | 1,047,623 | $ | 2,020 | ||||||||||||||
Euro STOXX 50 Index Futures | 11 | March 2022 | 484,346 | (3,850 | ) | |||||||||||||||
Euro-Bund Futures | 12 | March 2022 | 2,247,523 | 9,573 | ||||||||||||||||
FTSE KLCI Futures | 19 | March 2022 | 360,676 | 5,993 | ||||||||||||||||
FTSE/JSE Top 40 Futures | 4 | March 2022 | 180,223 | 2,686 | ||||||||||||||||
Long Gilt Futures | 4 | June 2022 | 660,447 | 1,726 | ||||||||||||||||
OMXS 30 Index Futures | 25 | March 2022 | 563,032 | (33,811 | ) | |||||||||||||||
S&P 500 E-Mini Futures | 4 | March 2022 | 873,600 | 13,267 | ||||||||||||||||
SET 50 Futures | 103 | March 2022 | 635,621 | 15,594 | ||||||||||||||||
SGX Nifty 50 Futures | 6 | March 2022 | 201,360 | (5,971 | ) | |||||||||||||||
SPI 200 Futures | 4 | March 2022 | 510,080 | 11,731 | ||||||||||||||||
TOPIX Index Futures | 2 | March 2022 | 328,970 | 1,815 | ||||||||||||||||
U.S. T-Note 10 Yr (CBT) Futures | 32 | June 2022 | 4,078,000 | 18,253 | ||||||||||||||||
WIG 20 Index Futures | 12 | March 2022 | 114,397 | (12,241 | ) | |||||||||||||||
Sold Contracts |
| |||||||||||||||||||
Euro STOXX 50 Index Futures | 25 | March 2022 | 1,100,787 | 7,687 | ||||||||||||||||
FTSE 100 Index Futures | 6 | March 2022 | 598,403 | 97 | ||||||||||||||||
FTSE China A50 Futures | 26 | March 2022 | 383,162 | 9,655 | ||||||||||||||||
FTSE KLCI Futures | 6 | March 2022 | 370,800 | 8,553 | ||||||||||||||||
Hang Seng Index Futures | 3 | March 2022 | 434,898 | 18,233 | ||||||||||||||||
Mexican BOLSA Index Futures | 4 | March 2022 | 104,519 | (3,828 | ) | |||||||||||||||
MSCI Emerging Markets Futures | 16 | March 2022 | 940,400 | 346 | ||||||||||||||||
MSCI Singapore IX ETS Futures | 26 | March 2022 | 635,568 | 25,618 | ||||||||||||||||
S&P 500 E-Mini Futures | 29 | March 2022 | 6,333,600 | (1,160 | ) | |||||||||||||||
S&P TSX 60 Index Futures | 2 | March 2022 | 402,493 | 3,292 | ||||||||||||||||
SPI 200 Futures | 2 | March 2022 | 255,040 | (222 | ) | |||||||||||||||
TOPIX Index Futures | 3 | March 2022 | 493,454 | (1,455 | ) | |||||||||||||||
|
| |||||||||||||||||||
$ | 93,601 | |||||||||||||||||||
|
|
16
FORWARD CURRENCY EXCHANGE CONTRACTS
Counterparty | Contracts to Deliver (000) | In Exchange For (000) | Settlement Date | Unrealized Appreciation/ (Depreciation) | ||||||||||||||||||||||||||
Bank of America, NA | CLP | 566,580 | USD | 680 | 03/25/2022 | $ | (27,372 | ) | ||||||||||||||||||||||
Bank of America, NA | USD | 236 | CLP | 193,982 | 03/25/2022 | 6,403 | ||||||||||||||||||||||||
Bank of America, NA | INR | 8,543 | USD | 113 | 04/07/2022 | 692 | ||||||||||||||||||||||||
Bank of America, NA | INR | 4,782 | USD | 63 | 04/07/2022 | (325 | ) | |||||||||||||||||||||||
Bank of America, NA | PHP | 8,468 | USD | 164 | 04/28/2022 | (758 | ) | |||||||||||||||||||||||
Bank of America, NA | USD | 244 | TWD | 6,769 | 04/28/2022 | (1,945 | ) | |||||||||||||||||||||||
Barclays Bank PLC | USD | 1,063 | RUB | 79,467 | 03/02/2022 | (327,494 | ) | |||||||||||||||||||||||
Barclays Bank PLC | BRL | 3,860 | USD | 762 | 03/03/2022 | 13,126 | ||||||||||||||||||||||||
Barclays Bank PLC | BRL | 3,208 | USD | 604 | 03/03/2022 | (18,564 | ) | |||||||||||||||||||||||
Barclays Bank PLC | USD | 1,375 | BRL | 7,068 | 03/03/2022 | (3,283 | ) | |||||||||||||||||||||||
Barclays Bank PLC | SEK | 11,453 | USD | 1,225 | 03/24/2022 | 15,616 | ||||||||||||||||||||||||
Barclays Bank PLC | PEN | 1,709 | USD | 444 | 03/25/2022 | (6,826 | ) | |||||||||||||||||||||||
Barclays Bank PLC | USD | 675 | CLP | 552,274 | 03/25/2022 | 14,458 | ||||||||||||||||||||||||
Barclays Bank PLC | USD | 895 | PEN | 3,452 | 03/25/2022 | 14,949 | ||||||||||||||||||||||||
Barclays Bank PLC | USD | 110 | PEN | 413 | 03/25/2022 | (974 | ) | |||||||||||||||||||||||
Barclays Bank PLC | USD | 756 | BRL | 3,860 | 04/04/2022 | (12,884 | ) | |||||||||||||||||||||||
Barclays Bank PLC | INR | 1,594 | USD | 21 | 04/07/2022 | (122 | ) | |||||||||||||||||||||||
Barclays Bank PLC | USD | 114 | INR | 8,543 | 04/07/2022 | (830 | ) | |||||||||||||||||||||||
Barclays Bank PLC | CAD | 1,309 | USD | 1,027 | 04/22/2022 | (6,323 | ) | |||||||||||||||||||||||
Barclays Bank PLC | IDR | 2,020,238 | USD | 140 | 04/28/2022 | 400 | ||||||||||||||||||||||||
Barclays Bank PLC | IDR | 1,093,207 | USD | 75 | 04/28/2022 | (349 | ) | |||||||||||||||||||||||
Barclays Bank PLC | KRW | 369,934 | USD | 311 | 04/28/2022 | 3,139 | ||||||||||||||||||||||||
Barclays Bank PLC | KRW | 825,477 | USD | 681 | 04/28/2022 | (5,231 | ) | |||||||||||||||||||||||
Barclays Bank PLC | PHP | 89,797 | USD | 1,729 | 04/28/2022 | (16,772 | ) | |||||||||||||||||||||||
Barclays Bank PLC | USD | 436 | AUD | 604 | 04/28/2022 | 3,408 | ||||||||||||||||||||||||
Barclays Bank PLC | USD | 105 | IDR | 1,515,572 | 04/28/2022 | 338 | ||||||||||||||||||||||||
Barclays Bank PLC | USD | 96 | JPY | 10,973 | 04/28/2022 | 37 | ||||||||||||||||||||||||
Barclays Bank PLC | USD | 699 | KRW | 831,305 | 04/28/2022 | (7,943 | ) | |||||||||||||||||||||||
Barclays Bank PLC | USD | 535 | PHP | 27,701 | 04/28/2022 | 3,491 | ||||||||||||||||||||||||
Barclays Bank PLC | EUR | 641 | USD | 728 | 05/12/2022 | 7,156 | ||||||||||||||||||||||||
Barclays Bank PLC | USD | 63 | CNH | 397 | 05/18/2022 | (35 | ) | |||||||||||||||||||||||
Barclays Bank PLC | MYR | 5,173 | USD | 1,232 | 06/16/2022 | 1,480 | ||||||||||||||||||||||||
Barclays Bank PLC | MYR | 8,602 | USD | 2,031 | 06/16/2022 | (14,189 | ) | |||||||||||||||||||||||
Barclays Bank PLC | USD | 2,543 | MYR | 10,686 | 06/16/2022 | (1,344 | ) | |||||||||||||||||||||||
BNP Paribas SA | USD | 1,642 | EUR | 1,451 | 05/12/2022 | (10,201 | ) | |||||||||||||||||||||||
Citibank, NA | COP | 2,801,737 | USD | 701 | 03/25/2022 | (9,075 | ) | |||||||||||||||||||||||
Citibank, NA | USD | 386 | CLP | 318,071 | 03/25/2022 | 11,104 | ||||||||||||||||||||||||
Credit Suisse International | USD | 1,025 | NZD | 1,531 | 03/18/2022 | 10,952 | ||||||||||||||||||||||||
Credit Suisse International | SEK | 2,863 | USD | 305 | 03/24/2022 | 2,392 | ||||||||||||||||||||||||
Credit Suisse International | USD | 708 | AUD | 985 | 04/28/2022 | 8,473 | ||||||||||||||||||||||||
Credit Suisse International | USD | 639 | JPY | 73,436 | 04/28/2022 | 613 | ||||||||||||||||||||||||
Credit Suisse International | CNH | 463 | USD | 73 | 05/18/2022 | (185 | ) | |||||||||||||||||||||||
Deutsche Bank AG | RUB | 9,939 | USD | 120 | 03/02/2022 | 27,722 | ||||||||||||||||||||||||
Deutsche Bank AG | USD | 34 | RUB | 2,802 | 03/02/2022 | (8,059 | ) | |||||||||||||||||||||||
Deutsche Bank AG | BRL | 7,092 | USD | 1,380 | 03/03/2022 | 3,295 | ||||||||||||||||||||||||
Deutsche Bank AG | USD | 1,295 | BRL | 7,092 | 03/03/2022 | 82,004 | ||||||||||||||||||||||||
Deutsche Bank AG | RUB | 2,802 | USD | 33 | 03/24/2022 | 7,654 | ||||||||||||||||||||||||
Deutsche Bank AG | USD | 2,279 | SEK | 21,417 | 03/24/2022 | (16,769 | ) | |||||||||||||||||||||||
Deutsche Bank AG | CLP | 800,462 | USD | 990 | 03/25/2022 | (9,246 | ) | |||||||||||||||||||||||
Deutsche Bank AG | COP | 396,562 | USD | 100 | 03/25/2022 | (351 | ) | |||||||||||||||||||||||
Deutsche Bank AG | PEN | 604 | USD | 156 | 03/25/2022 | (3,100 | ) | |||||||||||||||||||||||
Deutsche Bank AG | USD | 164 | CLP | 134,044 | 03/25/2022 | 3,068 | ||||||||||||||||||||||||
Deutsche Bank AG | USD | 86 | COP | 336,665 | 03/25/2022 | (613 | ) | |||||||||||||||||||||||
Deutsche Bank AG | INR | 16,677 | USD | 221 | 04/07/2022 | 888 | ||||||||||||||||||||||||
Deutsche Bank AG | CHF | 1,330 | USD | 1,440 | 04/13/2022 | (12,569 | ) | |||||||||||||||||||||||
Deutsche Bank AG | USD | 579 | CHF | 532 | 04/13/2022 | 2,525 | ||||||||||||||||||||||||
Deutsche Bank AG | USD | 1,849 | CAD | 2,357 | 04/22/2022 | 10,743 | ||||||||||||||||||||||||
Deutsche Bank AG | IDR | 3,510,401 | USD | 243 | 04/28/2022 | 55 | ||||||||||||||||||||||||
Deutsche Bank AG | USD | 863 | IDR | 12,464,320 | 04/28/2022 | 1,163 | ||||||||||||||||||||||||
Deutsche Bank AG | CNH | 1,940 | USD | 303 | 05/18/2022 | (2,018 | ) | |||||||||||||||||||||||
Goldman Sachs International | RUB | 118,291 | USD | 1,571 | 03/02/2022 | 476,087 | ||||||||||||||||||||||||
Goldman Sachs International | USD | 610 | RUB | 45,961 | 03/02/2022 | (184,324 | ) |
17
Counterparty | Contracts to Deliver (000) | In Exchange For (000) | Settlement Date | Unrealized Appreciation/ (Depreciation) | ||||||||||||||||||||||||||
Goldman Sachs International | BRL | 811 | USD | 158 | 03/03/2022 | $ | 377 | |||||||||||||||||||||||
Goldman Sachs International | USD | 149 | BRL | 811 | 03/03/2022 | 8,318 | ||||||||||||||||||||||||
Goldman Sachs International | USD | 108 | CLP | 88,566 | 03/25/2022 | 2,048 | ||||||||||||||||||||||||
Goldman Sachs International | USD | 1,225 | COP | 4,881,606 | 03/25/2022 | 11,949 | ||||||||||||||||||||||||
Goldman Sachs International | USD | 364 | PEN | 1,353 | 03/25/2022 | (6,864 | ) | |||||||||||||||||||||||
Goldman Sachs International | IDR | 1,253,837 | USD | 87 | 04/28/2022 | 441 | ||||||||||||||||||||||||
Goldman Sachs International | KRW | 369,934 | USD | 311 | 04/28/2022 | 3,119 | ||||||||||||||||||||||||
Goldman Sachs International | USD | 2,478 | PHP | 128,886 | 04/28/2022 | 27,711 | ||||||||||||||||||||||||
Goldman Sachs International | MYR | 2,645 | USD | 616 | 06/16/2022 | (12,785 | ) | |||||||||||||||||||||||
Goldman Sachs International | USD | 2,469 | MYR | 10,478 | 06/16/2022 | 22,644 | ||||||||||||||||||||||||
Goldman Sachs International | USD | 232 | MYR | 972 | 06/16/2022 | (1,007 | ) | |||||||||||||||||||||||
HSBC Bank USA | BRL | 836 | USD | 156 | 03/03/2022 | (5,852 | ) | |||||||||||||||||||||||
HSBC Bank USA | USD | 163 | BRL | 836 | 03/03/2022 | (388 | ) | |||||||||||||||||||||||
HSBC Bank USA | USD | 826 | GBP | 611 | 03/17/2022 | (6,206 | ) | |||||||||||||||||||||||
HSBC Bank USA | NZD | 2,910 | USD | 1,925 | 03/18/2022 | (44,009 | ) | |||||||||||||||||||||||
HSBC Bank USA | COP | 2,801,737 | USD | 702 | 03/25/2022 | (8,469 | ) | |||||||||||||||||||||||
HSBC Bank USA | PEN | 4,190 | USD | 1,082 | 03/25/2022 | (22,323 | ) | |||||||||||||||||||||||
HSBC Bank USA | USD | 124 | PEN | 469 | 03/25/2022 | 126 | ||||||||||||||||||||||||
HSBC Bank USA | AUD | 2,858 | USD | 2,035 | 04/28/2022 | (42,754 | ) | |||||||||||||||||||||||
HSBC Bank USA | JPY | 105,453 | USD | 914 | 04/28/2022 | (4,655 | ) | |||||||||||||||||||||||
HSBC Bank USA | TWD | 6,769 | USD | 244 | 04/28/2022 | 2,385 | ||||||||||||||||||||||||
HSBC Bank USA | USD | 451 | KRW | 543,333 | 04/28/2022 | 317 | ||||||||||||||||||||||||
Morgan Stanley Capital Services, Inc. | ZAR | 15,951 | USD | 1,040 | 04/21/2022 | 8,753 | ||||||||||||||||||||||||
Morgan Stanley Capital Services, Inc. | MYR | 2,346 | USD | 553 | 06/16/2022 | (5,223 | ) | |||||||||||||||||||||||
Standard Chartered Bank | IDR | 12,886,685 | USD | 892 | 04/28/2022 | (725 | ) | |||||||||||||||||||||||
State Street Bank & Trust Co. | THB | 85,863 | USD | 2,553 | 03/10/2022 | (75,185 | ) | |||||||||||||||||||||||
State Street Bank & Trust Co. | USD | 1,993 | THB | 66,370 | 03/10/2022 | 38,258 | ||||||||||||||||||||||||
State Street Bank & Trust Co. | USD | 200 | THB | 6,467 | 03/10/2022 | (2,576 | ) | |||||||||||||||||||||||
State Street Bank & Trust Co. | USD | 143 | NOK | 1,284 | 03/16/2022 | 2,919 | ||||||||||||||||||||||||
State Street Bank & Trust Co. | GBP | 339 | USD | 461 | 03/17/2022 | 6,568 | ||||||||||||||||||||||||
State Street Bank & Trust Co. | MXN | 13,173 | USD | 635 | 03/24/2022 | (6,059 | ) | |||||||||||||||||||||||
State Street Bank & Trust Co. | USD | 334 | MXN | 6,919 | 03/24/2022 | 2,713 | ||||||||||||||||||||||||
State Street Bank & Trust Co. | USD | 80 | MXN | 1,632 | 03/24/2022 | (191 | ) | |||||||||||||||||||||||
State Street Bank & Trust Co. | USD | 105 | NOK | 936 | 03/24/2022 | 1,023 | ||||||||||||||||||||||||
State Street Bank & Trust Co. | USD | 184 | NOK | 1,618 | 03/24/2022 | (223 | ) | |||||||||||||||||||||||
State Street Bank & Trust Co. | USD | 587 | ZAR | 9,165 | 04/21/2022 | 5,205 | ||||||||||||||||||||||||
State Street Bank & Trust Co. | ZAR | 1,681 | USD | 110 | 04/21/2022 | 1,184 | ||||||||||||||||||||||||
State Street Bank & Trust Co. | CZK | 5,030 | USD | 224 | 05/06/2022 | 939 | ||||||||||||||||||||||||
State Street Bank & Trust Co. | HUF | 25,550 | USD | 77 | 05/06/2022 | 422 | ||||||||||||||||||||||||
State Street Bank & Trust Co. | PLN | 1,023 | USD | 253 | 05/06/2022 | 10,012 | ||||||||||||||||||||||||
State Street Bank & Trust Co. | USD | 418 | CZK | 9,095 | 05/06/2022 | (15,956 | ) | |||||||||||||||||||||||
State Street Bank & Trust Co. | USD | 262 | HUF | 85,722 | 05/06/2022 | (5,543 | ) | |||||||||||||||||||||||
State Street Bank & Trust Co. | USD | 165 | PLN | 656 | 05/06/2022 | (9,190 | ) | |||||||||||||||||||||||
|
| |||||||||||||||||||||||||||||
$ | (95,394 | ) | ||||||||||||||||||||||||||||
|
|
18
CENTRALLY CLEARED CREDIT DEFAULT SWAPS
Description | Fixed Rate (Pay) Receive | Payment Frequency | Implied Credit Spread at February 28, 2022 | Notional Amount (000) | Market Value | Upfront Premiums Paid/ (Received) | Unrealized Appreciation/ (Depreciation) | |||||||||||||||||||||||||
Buy Contracts |
| |||||||||||||||||||||||||||||||
CDX-NAHY Series 37, 5 Year Index, 12/20/2026* | (5.00 | )% | Quarterly | 3.65% | USD | 6,260 | $ | (412,100 | ) | $ | (342,705 | ) | $ | (69,395 | ) | |||||||||||||||||
iTraxx Xover Series 36, 5 Year Index, 12/20/2026* | (5.00 | ) | Quarterly | 3.46 | EUR | 1,460 | (122,377 | ) | (104,743 | ) | (17,634 | ) | ||||||||||||||||||||
Sale Contracts |
| |||||||||||||||||||||||||||||||
CDX-NAHY Series 37, 5 Year Index, 12/20/2026* | 5.00 | Quarterly | 3.65 | USD | 3,540 | 232,560 | 208,852 | 23,708 | ||||||||||||||||||||||||
iTraxx Xover Series 36, 5 Year Index, 12/20/2026* | 5.00 | Quarterly | 3.46 | EUR | �� | 760 | 63,775 | 73,541 | (9,766 | ) | ||||||||||||||||||||||
|
|
|
|
|
| |||||||||||||||||||||||||||
$ | (238,142 | ) | $ | (165,055 | ) | $ | (73,087 | ) | ||||||||||||||||||||||||
|
|
|
|
|
|
* | Termination date |
CENTRALLY CLEARED INTEREST RATE SWAPS
Rate Type | ||||||||||||||||||||||||
Notional (000) | Termination Date | Payments made by the Fund | Payments received by the Fund | Payment Frequency Paid/ Received | Market Value | Upfront Premiums Paid/ (Received) | Unrealized Appreciation/ (Depreciation) | |||||||||||||||||
JPY | 55,860 | 02/28/2022 | 0.000% | 1 Day TONAR | Semi-Annual | $ | 10 | $ | 64 | $ | (54 | ) | ||||||||||||
JPY | 55,860 | 02/28/2022 | 6 Month LIBOR | 0.000% | Semi-Annual | 198 | — | 198 | ||||||||||||||||
JPY | 37,290 | 02/28/2022 | 0.000% | 1 Day TONAR | Semi-Annual | 6 | 43 | (37 | ) | |||||||||||||||
JPY | 37,290 | 02/28/2022 | 6 Month LIBOR | 0.000% | Semi-Annual | 132 | — | 132 | ||||||||||||||||
CNY | 740 | 02/17/2025 | China 7-Day Reverse Repo Rate | 2.547% | Quarterly | 818 | — | 818 | ||||||||||||||||
CNY | 2,204 | 02/20/2025 | China 7-Day Reverse Repo Rate | 2.598% | Quarterly | 2,938 | — | 2,938 |
19
Rate Type | ||||||||||||||||||||||||
Notional (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 | 2,236 | 02/21/2025 | China 7-Day Reverse Repo Rate | 2.620% | Quarterly | $ | 3,207 | $ | — | $ | 3,207 | |||||||||||||
USD | 1,050 | 01/10/2027 | 1 Day SOFR | 1.315% | Annual | (9,884 | ) | — | (9,884 | ) | ||||||||||||||
EUR | 20 | 11/18/2029 | 6 Month EURIBOR | 0.073% | Semi-Annual/ Annual | (958 | ) | — | (958 | ) | ||||||||||||||
EUR | 220 | 01/23/2030 | 6 Month EURIBOR | 0.131% | Semi-Annual/ Annual | (10,144 | ) | — | (10,144 | ) | ||||||||||||||
EUR | 430 | 06/11/2030 | 6 Month EURIBOR | (0.045)% | Semi-Annual/ Annual | (28,519 | ) | 3 | (28,522 | ) | ||||||||||||||
EUR | 60 | 06/19/2030 | 6 Month EURIBOR | (0.119)% | Semi-Annual/ Annual | (4,452 | ) | (3 | ) | (4,449 | ) | |||||||||||||
EUR | 520 | 08/05/2030 | 6 Month EURIBOR | (0.232)% | Semi-Annual/ Annual | (45,831 | ) | — | (45,831 | ) | ||||||||||||||
USD | 530 | 10/21/2030 | 3 Month LIBOR | 0.794% | �� | Quarterly/ Semi-Annual | (45,810 | ) | — | (45,810 | ) | |||||||||||||
EUR | 600 | 10/22/2030 | 6 Month EURIBOR | (0.280)% | Semi-Annual/ Annual | (56,335 | ) | — | (56,335 | ) | ||||||||||||||
USD | 480 | 11/12/2030 | 3 Month LIBOR | 0.938% | Quarterly/ Semi-Annual | (36,273 | ) | — | (36,273 | ) | ||||||||||||||
EUR | 190 | 11/12/2030 | 6 Month EURIBOR | (0.169)% | Semi-Annual/ Annual | (15,951 | ) | — | (15,951 | ) | ||||||||||||||
USD | 490 | 05/11/2031 | 3 Month LIBOR | 1.560% | Quarterly/ Semi-Annual | (12,430 | ) | — | (12,430 | ) | ||||||||||||||
EUR | 490 | 05/11/2031 | 6 Month EURIBOR | 0.115% | Semi-Annual/ Annual | (29,962 | ) | 1 | (29,963 | ) | ||||||||||||||
USD | 200 | 08/18/2031 | 3 Month LIBOR | 1.262% | Quarterly/ Semi-Annual | (11,447 | ) | — | (11,447 | ) | ||||||||||||||
GBP | 920 | 08/19/2031 | 1 Day SONIA | 0.539% | Annual | (90,305 | ) | — | (90,305 | ) | ||||||||||||||
CAD | 230 | 08/19/2031 | 3 month CDOR | 1.595% | Semi-Annual | (11,763 | ) | — | (11,763 | ) | ||||||||||||||
EUR | 150 | 08/19/2031 | 6 Month EURIBOR | (0.116)% | Semi-Annual/ Annual | (13,831 | ) | — | (13,831 | ) | ||||||||||||||
USD | 1,080 | 08/23/2031 | 3 Month LIBOR | 1.255% | Quarterly/ Semi-Annual | (62,681 | ) | — | (62,681 | ) | ||||||||||||||
JPY | 337,460 | 08/27/2031 | 1 Day TONAR | (0.015)% | Annual | (56,968 | ) | (2,519 | ) | (54,449 | ) | |||||||||||||
JPY | 55,860 | 08/27/2031 | (0.006)% | 1 Day TONAR | Annual | 9,037 | — | 9,037 | ||||||||||||||||
JPY | 55,860 | 08/27/2031 | 1 Day TONAR | (0.006)% | Semi-Annual | (11,806 | ) | (2 | ) | (11,804 | ) | |||||||||||||
JPY | 37,290 | 08/30/2031 | 0.000% | 1 Day TONAR | Annual | 5,836 | — | 5,836 | ||||||||||||||||
JPY | 37,290 | 08/30/2031 | 1 Day TONAR | 0.000% | Annual | (7,637 | ) | (1 | ) | (7,636 | ) | |||||||||||||
JPY | 36,680 | 08/30/2031 | 0.000% | 1 Day TONAR | Annual | 7,599 | 3,524 | 4,075 | ||||||||||||||||
CHF | 130 | 09/14/2031 | 1 Day SARON | (0.085)% | Annual | (7,189 | ) | 439 | (7,628 | ) |
20
Rate Type | ||||||||||||||||||||||||
Notional Amount (000) | Termination Date | Payments made by the Fund | Payments received by the Fund | Payment Frequency Paid/ Received | Market Value | Upfront Premiums Paid/ (Received) | Unrealized Appreciation/ (Depreciation) | |||||||||||||||||
SEK | 310 | 10/06/2031 | 3 Month STIBOR | 0.888% | Quarterly/ Annual | $ | (1,380 | ) | $ | — | $ | (1,380 | ) | |||||||||||
CHF | 90 | 10/06/2031 | 1 Day SARON | 0.021% | Annual | (4,026 | ) | — | (4,026 | ) | ||||||||||||||
GBP | 380 | 10/19/2031 | 1.052% | 1 Day SONIA | Annual | 13,971 | — | 13,971 | ||||||||||||||||
NOK | 30 | 10/21/2031 | 1.983% | 6 Month NIBOR | Annual/ Semi-Annual | 49 | — | 49 | ||||||||||||||||
USD | 490 | 11/17/2031 | 3 Month LIBOR | 1.664% | Quarterly/ Semi-Annual | (9,173 | ) | — | (9,173 | ) | ||||||||||||||
USD | 430 | 11/17/2031 | 3 Month LIBOR | 1.690% | Quarterly/ Semi-Annual | (7,922 | ) | — | (7,922 | ) | ||||||||||||||
JPY | 24,300 | 11/18/2031 | 1 Day TONAR | 0.068% | Annual | (2,624 | ) | — | (2,624 | ) | ||||||||||||||
EUR | 330 | 11/18/2031 | 6 Month EURIBOR | 0.174% | Semi-Annual/ Annual | (20,492 | ) | — | (20,492 | ) | ||||||||||||||
CHF | 60 | 11/19/2031 | 1 Day SARON | 0.100% | Annual | (2,295 | ) | — | (2,295 | ) | ||||||||||||||
JPY | 34,440 | 12/08/2031 | 1 Day TONAR | 0.033% | Annual | (4,861 | ) | — | (4,861 | ) | ||||||||||||||
SEK | 3,040 | 12/08/2031 | 3 Month STIBOR | 0.791% | Quarterly/ Annual | (17,400 | ) | — | (17,400 | ) | ||||||||||||||
USD | 570 | 12/08/2031 | 1.495% | 3 Month LIBOR | Semi-Annual/ Quarterly | 20,233 | — | 20,233 | ||||||||||||||||
NZD | 370 | 12/08/2031 | 3 Month BKBM | 2.513% | Quarterly/ Semi-Annual | (9,755 | ) | — | (9,755 | ) | ||||||||||||||
AUD | 370 | 01/13/2032 | 6 Month BBSW | 2.114% | Semi-Annual | (7,450 | ) | — | (7,450 | ) | ||||||||||||||
EUR | 60 | 01/13/2032 | 0.397% | 6 Month EURIBOR | Annual/ Semi-Annual | 2,436 | — | 2,436 | ||||||||||||||||
NZD | 180 | 01/14/2032 | 3 Month BKBM | 2.755% | Quarterly/ Semi-Annual | (2,418 | ) | — | (2,418 | ) | ||||||||||||||
CAD | 60 | 02/07/2032 | 3 month CDOR | 2.374% | Semi-Annual | 91 | (2 | ) | 93 | |||||||||||||||
AUD | 190 | 02/14/2032 | 2.482% | 6 Month BBSW | Semi-Annual | (453 | ) | — | (453 | ) | ||||||||||||||
USD | 220 | 08/21/2045 | 3 Month LIBOR | 2.630% | Quarterly/ Semi-Annual | 25,096 | — | 25,096 | ||||||||||||||||
USD | 70 | 09/04/2045 | 3 Month LIBOR | 2.708% | Quarterly/ Semi-Annual | 9,922 | — | 9,922 | ||||||||||||||||
|
|
|
|
|
| |||||||||||||||||||
$ | (558,846 | ) | $ | 1,547 | $ | (560,393 | ) | |||||||||||||||||
|
|
|
|
|
|
21
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 | ||||||||||||||||||||||||
Bank of America, NA | ||||||||||||||||||||||||
MLABWGC1 | OBFR Plus��0.22 | % | Maturity | USD | 8,598 | 03/31/2022 | $ | 0 | ||||||||||||||||
Morgan Stanley Capital Services LLC | ||||||||||||||||||||||||
RTS Futures | 0.00 | % | Monthly | 22 | 03/17/2022 | (15,174 | ) | |||||||||||||||||
Swiss Market Index Futures | 0.00 | % | Monthly | CHF | 353 | 03/18/2022 | (12,570 | ) | ||||||||||||||||
Pay Total Return on Reference Obligation | ||||||||||||||||||||||||
Bank of America, NA | ||||||||||||||||||||||||
MSCI Daily TR Gross World USD Index | OBFR Plus 0.31 | % | Maturity | USD | 8,610 | 02/28/2023 | 0 | |||||||||||||||||
Morgan Stanley Capital Services LLC | ||||||||||||||||||||||||
IBOVESPA Futures | 0.00 | % | Monthly | BRL | 1,143 | 04/13/2022 | 4,846 | |||||||||||||||||
KOSPI 200 Futures | 0.00 | % | Monthly | KRW | 180,600 | 03/10/2022 | 1,961 | |||||||||||||||||
KOSPI 200 Futures | 0.00 | % | Monthly | 90,300 | 03/10/2022 | 1,363 | ||||||||||||||||||
|
| |||||||||||||||||||||||
$ | (19,574 | ) | ||||||||||||||||||||||
|
|
(a) | Non-income producing security. |
(b) | Represents entire or partial securities out on loan. |
(c) | Position, or a portion thereof, has been segregated to collateralize margin requirements for open futures contracts. |
(d) | 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. |
(e) | Affiliated investments. |
(f) | Security is exempt from registration under Rule 144A or Regulation S of the Securities Act of 1933. These securities are considered restricted, but liquid and may be resold in transactions exempt from registration. At February 28, 2022, the aggregate market value of these securities amounted to $1,941,694 or 2.2% of net assets. |
(g) | Defaulted. |
(h) | The rate shown represents the 7-day yield as of period end. |
(i) | As of February 28, 2022, the cost basis of investment securities owned was substantially identical for both book and tax purposes. Gross unrealized appreciation of investments was $3,190,159 and gross unrealized depreciation of investments was $(5,182,184), resulting in net unrealized depreciation of $(1,992,025). |
Currency Abbreviations:
AUD – Australian Dollar
BRL – Brazilian Real
CAD – Canadian Dollar
CHF – Swiss Franc
CLP – Chilean Peso
CNH – Chinese Yuan Renminbi (Offshore)
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
THB – Thailand Baht
22
TWD – New Taiwan Dollar
USD – United States Dollar
ZAR – South African Rand
Glossary:
ADR – American Depositary Receipt
BBSW – Bank Bill Swap Reference Rate (Australia)
BKBM – Bank Bill Benchmark (New Zealand)
CBT – Chicago Board of Trade
CDOR – Canadian Dealer Offered Rate
CDX-NAHY – North American High Yield Credit Default Swap Index
CME – Chicago Mercantile Exchange
ETF – Exchange Traded Fund
ETS – Emission Trading Scheme
EURIBOR – Euro Interbank Offered Rate
FTSE – Financial Times Stock Exchange
GDR – Global Depositary Receipt
JSE – Johannesburg Stock Exchange
KLCI – Kuala Lumpur Composite Index
KOSPI – Korea Composite Stock Price Index
LIBOR – London Interbank Offered Rate
MSCI – Morgan Stanley Capital International
NIBOR – Norwegian Interbank Offered Rate
OBFR – Overnight Bank Funding Rate
REIT – Real Estate Investment Trust
RTS – Russian Trading System
SARON – Swiss Average Rate Overnight
SET – Stock Exchange of Thailand
SGX – Singapore Exchange
SOFR – Secured Overnight Financing Rate
SONIA – Sterling Overnight Index Average
SPI – Share Price Index
STIBOR – Stockholm Interbank Offered Rate
TONAR – Tokyo Overnight Average Rate
TOPIX – Tokyo Price Index
TSX – Toronto Stock Exchange
WIG – Warszawski Indeks Gieldowy
23
AB Cap Fund, Inc.
AB All Market Income Portfolio
February 28, 2022 (unaudited)
In accordance with U.S. GAAP regarding fair value measurements, fair value is defined as the price that the Fund would receive to sell an asset or pay to transfer a liability in an orderly transaction between market participants at the measurement date. U.S. GAAP establishes a framework for measuring fair value, and a three-level hierarchy for fair value measurements based upon the transparency of inputs to the valuation of an asset or liability (including those valued based on their market values). Inputs may be observable or unobservable and refer broadly to the assumptions that market participants would use in pricing the asset or liability. Observable inputs reflect the assumptions market participants would use in pricing the asset or liability based on market data obtained from sources independent of the Fund. Unobservable inputs reflect the Fund’s own assumptions about the assumptions that market participants would use in pricing the asset or liability based on the best information available in the circumstances. Each investment is assigned a level based upon the observability of the inputs which are significant to the overall valuation. The three-tier hierarchy of inputs is summarized below.
• | Level 1 - quoted prices in active markets for identical investments |
• | Level 2 - other significant observable inputs (including quoted prices for similar investments, interest rates, prepayment speeds, credit risk, etc.) |
• | Level 3 - significant unobservable inputs (including the Fund’s own assumptions in determining the fair value of investments) |
The fair value of debt instruments, such as bonds, and over-the-counter derivatives is generally based on market price quotations, recently executed market transactions (where observable) or industry recognized modeling techniques and are generally classified as Level 2. Pricing vendor inputs to Level 2 valuations may include quoted prices for similar investments in active markets, interest rate curves, coupon rates, currency rates, yield curves, option adjusted spreads, default rates, credit spreads and other unique security features in order to estimate the relevant cash flows which is then discounted to calculate fair values. If these inputs are unobservable and significant to the fair value, these investments will be classified as Level 3. In addition, non-agency rated investments are classified as Level 3.
Other fixed income investments, including non-U.S. government and corporate debt, are generally valued using quoted market prices, if available, which are typically impacted by current interest rates, maturity dates and any perceived credit risk of the issuer. Additionally, in the absence of quoted market prices, these inputs are used by pricing vendors to derive a valuation based upon industry or proprietary models which incorporate issuer specific data with relevant yield/spread comparisons with more widely quoted bonds with similar key characteristics. Those investments for which there are observable inputs are classified as Level 2. Where the inputs are not observable, the investments are classified as Level 3.
Where readily available market prices or relevant bid prices are not available for certain equity investments, such investments may be valued based on similar publicly traded investments, movements in relevant indices since last available prices or based upon underlying company fundamentals and comparable company data (such as multiples to earnings or other multiples to equity). Where an investment is valued using an observable input, by pricing vendors, such as another publicly traded security, the investment will be classified as Level 2. If management determines that an adjustment is appropriate based on restrictions on resale, illiquidity or uncertainty, and such adjustment is a significant component of the valuation, the investment will be classified as Level 3. An investment will also be classified as Level 3 where management uses company fundamentals and other significant inputs to determine the valuation.
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Options are valued using market-based inputs to models, broker or dealer quotations, or alternative pricing sources with reasonable levels of price transparency, where such inputs and models are available. Alternatively the values may be obtained through unobservable management determined inputs and/or management’s proprietary models. Where models are used, the selection of a particular model to value an option depends upon the contractual terms of, and specific risks inherent in, the option as well as the availability of pricing information in the market. Valuation models require a variety of inputs, including contractual terms, market prices, measures of volatility and correlations of such inputs. Exchange traded options generally will be classified as Level 2. For options that do not trade on exchange but trade in liquid markets, inputs can generally be verified and model selection does not involve significant management judgment. Options are classified within Level 2 on the fair value hierarchy when all of the significant inputs can be corroborated to market evidence. Otherwise such instruments are classified as Level 3.
The following table summarizes the valuation of the Fund’s investments by the above fair value hierarchy levels as of February 28, 2022:
Investments in Securities: | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Assets: |
| |||||||||||||||
Common Stocks: | ||||||||||||||||
Information Technology | $ | 8,710,949 | $ | 729,355 | $ | — | $ | 9,440,304 | ||||||||
Financials | 3,383,278 | 3,174,757 | — | 6,558,035 | ||||||||||||
Health Care | 3,166,215 | 1,428,474 | — | 4,594,689 | ||||||||||||
Consumer Discretionary | 2,258,874 | 1,041,672 | — | 3,300,546 | ||||||||||||
Communication Services | 2,287,417 | 840,371 | — | 3,127,788 | ||||||||||||
Industrials | 1,689,165 | 903,654 | — | 2,592,819 | ||||||||||||
Energy | 1,036,379 | 896,312 | — | 1,932,691 | ||||||||||||
Consumer Staples | 983,059 | 702,468 | — | 1,685,527 | ||||||||||||
Real Estate | 1,049,948 | 403,807 | — | 1,453,755 | ||||||||||||
Materials | 692,354 | 745,384 | — | 1,437,738 | ||||||||||||
Utilities | 524,866 | 429,479 | — | 954,345 | ||||||||||||
Investment Companies | 36,141,276 | — | — | 36,141,276 | ||||||||||||
Preferred Stocks | 4,855,095 | — | — | 4,855,095 | ||||||||||||
Emerging Markets - Sovereigns | — | 2,015,293 | — | 2,015,293 | ||||||||||||
Options Purchased - Puts | — | 1,146,521 | — | 1,146,521 | ||||||||||||
Governments - Treasuries | — | 455,148 | — | 455,148 | ||||||||||||
Emerging Markets - Treasuries | — | 290,934 | — | 290,934 | ||||||||||||
Quasi-Sovereigns | — | 126,803 | — | 126,803 | ||||||||||||
Short-Term Investments: | ||||||||||||||||
U.S. Treasury Bills | — | 6,659,925 | — | 6,659,925 | ||||||||||||
Investment Companies | 990,529 | — | — | 990,529 | ||||||||||||
Investments of Cash Collateral for Securities Loaned in Affiliated Money Market Fund | 281,213 | — | — | 281,213 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Investments in Securities | 68,050,617 | 21,990,357 | — | 90,040,974 | ||||||||||||
Other Financial Instruments(a): | ||||||||||||||||
Assets: |
| |||||||||||||||
Futures | 156,139 | — | — | 156,139 | ||||||||||||
Forward Currency Exchange Contracts | — | 890,862 | — | 890,862 | ||||||||||||
Centrally Cleared Credit Default Swaps | — | 296,335 | — | 296,335 | ||||||||||||
Centrally Cleared Interest Rate Swaps | — | 101,579 | — | 101,579 | ||||||||||||
Total Return Swaps | — | 8,170 | — | 8,170 | ||||||||||||
Liabilities: |
| |||||||||||||||
Futures | (62,538 | ) | — | — | (62,538 | ) | ||||||||||
Forward Currency Exchange Contracts | — | (986,256 | ) | — | (986,256 | ) | ||||||||||
Centrally Cleared Credit Default Swaps | — | (534,477 | ) | — | (534,477 | ) | ||||||||||
Centrally Cleared Interest Rate Swaps | — | (660,425 | ) | — | (660,425 | ) | ||||||||||
Total Return Swaps | — | (27,744 | ) | — | (27,744 | ) | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Total | $ | 68,144,218 | $ | 21,078,401 | $ | — | $ | 89,222,619 | ||||||||
|
|
|
|
|
|
|
|
(a) | Other financial instruments are derivative instruments, such as futures, forwards and swaps, which are valued at the unrealized appreciation/(depreciation) on the instrument. Other financial instruments may also include swaps with upfront premiums, options written and swaptions written which are valued at market value. |
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A summary of the Fund’s transactions in AB mutual funds for the three months ended February 28, 2022 is as follows:
Distributions | ||||||||||||||||||||||||||||||||
Fund | Market Value 11/30/2021 (000) | Purchases (000) | Sales (000) | Realized Gain (Loss) (000) | Change (Depr.) | Market Value 02/28/2022 (000) | Dividend Income (000) | Realized Gains (000) | ||||||||||||||||||||||||
AB High Income Fund, Inc. | $ | 15,120 | $ | 21,227 | $ | 871 | $ | (87 | ) | $ | (566 | ) | $ | 34,823 | $ | 272 | $ | 0 | ||||||||||||||
Government Money Market Portfolio | 26,525 | 7,446 | 32,980 | 0 | 0 | 991 | 1 | 0 | ||||||||||||||||||||||||
Government Money Market Portfolio* | 727 | 1,588 | 2,034 | 0 | 0 | 281 | 0 | ** | 0 | |||||||||||||||||||||||
Total | $ | 42,372 | $ | 30,261 | $ | 35,885 | $ | (87 | ) | $ | (566) | $ | 36,095 | $ | 273 | $ | 0 |
* | Investments of cash collateral for securities lending transactions |
** | Amount less than $500. |
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