UNITED STATES

SECURITIES AND EXCHANGE COMMISSION

WASHINGTON, D.C. 20549

FORM N-Q

QUARTERLY SCHEDULE OF PORTFOLIO HOLDINGS OF REGISTERED

MANAGEMENT INVESTMENT COMPANIES

Investment Company Act file number: 811-05088

THE AB PORTFOLIOS

(Exact name of registrant as specified in charter)

1345 Avenue of the Americas, New York, New York 10105

(Address of principal executive offices) (Zip code)

Joseph J. Mantineo

AllianceBernstein L.P.

1345 Avenue of the Americas

New York, New York 10105

(Name and address of agent for service)

Registrant’s telephone number, including area code: (800) 221-5672

Date of fiscal year end: August 31, 2018

Date of reporting period: May 31, 2018

ITEM 1. SCHEDULE OF INVESTMENTS.

AB All Market Total Return Portfolio

Consolidated Portfolio of Investments

May 31, 2018 (unaudited)

Company	Shares		U.S. $ Value
COMMON STOCKS - 47.6%
Information Technology - 11.1%
Communications Equipment - 0.1%
BYD Electronic International Co., Ltd. (a)		34,500	$	54,449
Cisco Systems, Inc.		20,004		854,371
				908,820
Electronic Equipment, Instruments & Components - 0.5%
Amphenol Corp.-Class A		38,310		3,330,288
Avnet, Inc.		12,228		466,132
Nippon Electric Glass Co., Ltd.		2,900		78,366
				3,874,786
Internet Software & Services - 2.5%
Alphabet, Inc.-Class A (b)		611		672,100
Alphabet, Inc.-Class C (b)		10,538		11,433,625
eBay, Inc. (b)		13,769		519,367
Facebook, Inc.-Class A (b)		34,146		6,548,519
Mixi, Inc.		4,500		140,649
Moneysupermarket.com Group PLC		289,330		1,218,140
Tencent Holdings Ltd.		4,400		224,629
				20,757,029
IT Services - 4.0%
Accenture PLC-Class A		972		151,379
Amadeus IT Group SA-Class A		19,550		1,552,364
Amdocs Ltd.		7,777		524,636
Booz Allen Hamilton Holding Corp.		37,716		1,700,614
Capgemini SE		11,010		1,452,017
Cognizant Technology Solutions Corp.-Class A		14,340		1,080,519
Fidelity National Information Services, Inc.		17,820		1,821,560
Gartner, Inc. (b)		54,590		7,246,277
Goodman Networks, Inc. (b)(c)(d)(e)		3,005		0
Mastercard, Inc.-Class A		44,660		8,490,759
Otsuka Corp.		29,900		1,232,508
Paychex, Inc.		13,050		855,819
Total System Services, Inc.		26,020		2,216,644
Visa, Inc.-Class A		34,329		4,487,487
				32,812,583
Semiconductors & Semiconductor Equipment - 0.8%
Applied Materials, Inc.		9,909		503,179
Intel Corp.		56,223		3,103,509
NXP Semiconductors NV (b)		4,720		538,080
Skyworks Solutions, Inc.		1,818		179,273
Taiwan Semiconductor Manufacturing Co., Ltd. (Sponsored ADR)		23,480		908,676
Texas Instruments, Inc.		13,203		1,477,548
				6,710,265

Company	Shares		U.S. $ Value
Software - 2.2%
Adobe Systems, Inc. (b)		3,304	$	823,621
Avaya Holdings Corp. (b)		11,805		260,536
BlackBerry Ltd. (b)		6,131		72,583
Check Point Software Technologies Ltd. (b)		6,630		645,497
Constellation Software, Inc./Canada		374		294,567
Dell Technologies, Inc.-Class V (b)		5,437		438,548
Intuit, Inc.		3,521		709,834
Microsoft Corp.		81,604		8,065,739
NCSoft Corp.		310		101,270
Nice Ltd. (b)		18,940		1,998,640
Oracle Corp.		41,358		1,932,246
Oracle Corp. Japan		22,600		1,715,013
SAP SE		9,900		1,115,207
Trend Micro, Inc./Japan		3,900		220,490
				18,393,791
Technology Hardware, Storage & Peripherals - 1.0%
Apple, Inc.		33,572		6,273,599
HP, Inc.		24,670		543,480
Samsung Electronics Co., Ltd.		30,550		1,434,554
Travelport Worldwide Ltd.		2,247		39,413
				8,291,046
				91,748,320
Consumer Discretionary - 8.1%
Auto Components - 0.7%
Aptiv PLC		59,950		5,845,125
Faurecia SA		3,467		294,123
				6,139,248
Automobiles - 0.1%
Fiat Chrysler Automobiles NV (b)		13,576		307,698
General Motors Co.		12,382		528,711
Mazda Motor Corp.		15,100		189,402
				1,025,811
Diversified Consumer Services - 0.8%
Benesse Holdings, Inc.		5,600		202,954
Laureate Education, Inc.-Class A (b)		6,633		107,653
Service Corp. International/US		111,030		4,073,691
Sotheby’s (b)		32,316		1,771,563
				6,155,861
Hotels, Restaurants & Leisure - 2.3%
Aristocrat Leisure Ltd.		101,480		2,294,128
Caesars Entertainment Corp. (b)		5,492		66,728
Compass Group PLC		79,097		1,699,708
eDreams ODIGEO SA (b)		29,487		146,113
Flight Centre Travel Group Ltd. (a)		4,904		228,057
Hilton Grand Vacations, Inc. (b)		21,120		839,731
McDonald’s Corp.		11,093		1,774,991
OPAP SA		21,981		236,497
Starbucks Corp.		188,887		10,704,227

Company	Shares		U.S. $ Value
Wynn Resorts Ltd.		1,011	$	198,166
Yum! Brands, Inc.		6,800		553,044
				18,741,390
Household Durables - 0.3%
Auto Trader Group PLC (f)		186,950		875,455
Electrolux AB-Class B		8,922		220,234
Hovnanian Enterprises, Inc.-Class A (b)		7,965		14,178
LG Electronics, Inc.		1,296		111,098
Persimmon PLC		22,620		851,110
				2,072,075
Internet & Direct Marketing Retail - 1.0%
Amazon.com, Inc. (b)		753		1,227,104
Booking Holdings, Inc. (b)		3,342		7,048,011
				8,275,115
Leisure Products - 0.1%
Amer Sports Oyj (b)		19,734		638,684
Sankyo Co., Ltd.		5,700		225,514
Sega Sammy Holdings, Inc.		14,000		246,689
				1,110,887
Media - 0.5%
Charter Communications, Inc.-Class A (b)		193		50,381
Clear Channel Outdoor Holdings, Inc.-Class A		7,440		32,364
Comcast Corp.-Class A		37,218		1,160,457
CTS Eventim AG & Co. KGaA		12,430		598,794
Daiichikosho Co., Ltd.		10,800		503,047
DISH Network Corp.-Class A (b)		609		17,996
Eutelsat Communications SA		12,430		239,031
Liberty Global PLC-Class A (b)		13,483		384,400
Omnicom Group, Inc.		8,040		579,523
Sirius XM Holdings, Inc.		83,801		594,987
				4,160,980
Multiline Retail - 0.2%
Next PLC		17,100		1,317,126
Shinsegae, Inc.		388		157,293
Takashimaya Co., Ltd.		14,000		116,629
				1,591,048
Specialty Retail - 1.7%
AutoZone, Inc. (b)		3,201		2,078,473
Best Buy Co., Inc.		7,592		518,154
Home Depot, Inc. (The)		7,541		1,406,774
Ross Stores, Inc.		25,277		1,993,850
TJX Cos., Inc. (The)		21,960		1,983,427
Ulta Salon Cosmetics & Fragrance, Inc. (b)		24,668		6,090,776
				14,071,454
Textiles, Apparel & Luxury Goods - 0.4%
HUGO BOSS AG		6,516		584,683
Moncler SpA		16,820		771,526

Company	Shares		U.S. $ Value
NIKE, Inc.-Class B		22,250	$	1,597,550
				2,953,759
				66,297,628
Financials - 7.2%
Banks - 3.0%
Bank Leumi Le-Israel BM		21,350		133,071
Bank of America Corp.		10,904		316,652
Citigroup, Inc.		39,685		2,646,593
Comerica, Inc.		3,508		330,769
DBS Group Holdings Ltd.		146,800		3,088,737
DNB ASA		47,337		848,424
Hana Financial Group, Inc.		2,616		100,823
Hang Seng Bank Ltd.		65,000		1,620,584
Industrial Bank of Korea		8,256		119,201
JPMorgan Chase & Co.		10,479		1,121,358
Jyske Bank A/S		62,402		3,397,755
KB Financial Group, Inc.		2,218		106,683
Mitsubishi UFJ Financial Group, Inc.		176,200		1,062,172
National Australia Bank Ltd.		29,170		588,001
Oversea-Chinese Banking Corp., Ltd.		54,400		507,200
PNC Financial Services Group, Inc. (The)		4,098		587,694
Royal Bank of Canada		19,350		1,462,517
Toronto-Dominion Bank (The)		30,159		1,760,787
Wells Fargo & Co.		85,010		4,589,690
				24,388,711
Capital Markets - 2.6%
BlackRock, Inc.-Class A		3,425		1,829,738
Charles Schwab Corp. (The)		133,360		7,417,483
China Everbright Ltd.		54,000		118,151
China Huarong Asset Management Co., Ltd. (f)		59,000		19,775
CME Group, Inc.-Class A		8,942		1,456,652
Daiwa Securities Group, Inc.		31,000		179,238
IG Group Holdings PLC		77,820		893,642
Intercontinental Exchange, Inc.		15,530		1,100,922
Julius Baer Group Ltd. (b)		48,438		2,832,199
Kingston Financial Group Ltd. (a)		114,000		40,430
London Stock Exchange Group PLC		15,700		933,282
Morgan Stanley		11,611		582,176
Partners Group Holding AG		1,690		1,221,417
S&P Global, Inc.		3,132		618,570
Singapore Exchange Ltd.		446,400		2,409,380
				21,653,055
Consumer Finance - 0.1%
American Express Co.		6,601		648,879
Discover Financial Services		1,098		81,098
				729,977
Diversified Financial Services - 0.3%
Berkshire Hathaway, Inc.-Class B (b)		620		118,749
Cielo SA		381,500		1,734,871
iPayment Holdings, Inc. (c)(d)(e)		145,780		115,545
Kinnevik AB		8,396		292,541
				2,261,706

Company	Shares		U.S. $ Value
Insurance - 1.2%
Aflac, Inc.		3,358	$	151,312
Allianz SE (REG)		2,160		445,030
Arthur J Gallagher & Co.		19,940		1,321,623
Direct Line Insurance Group PLC		101,490		481,747
Everest Re Group Ltd.		4,050		912,425
FNF Group		46,968		1,735,937
Japan Post Holdings Co., Ltd.		18,900		216,167
Marsh & McLennan Cos., Inc.		13,860		1,113,928
Ping An Insurance Group Co. of China Ltd.-Class H		13,000		126,643
Progressive Corp. (The)		10,005		621,210
Prudential Financial, Inc.		3,627		351,239
Swiss Re AG		19,960		1,716,375
Travelers Cos., Inc. (The)		2,091		268,735
Tryg A/S		39,060		899,126
				10,361,497
				59,394,946
Health Care - 6.9%
Biotechnology - 1.5%
AbbVie, Inc.		1,124		111,208
Amgen, Inc.		3,127		561,672
Biogen, Inc. (b)		8,749		2,571,856
Celgene Corp. (b)		56,692		4,460,527
CSL Ltd.		2,114		296,741
Gilead Sciences, Inc.		53,082		3,577,726
Grifols SA (a)		9,668		285,008
				11,864,738
Health Care Equipment & Supplies - 1.6%
Abbott Laboratories		138,199		8,503,384
Cochlear Ltd.		1,578		233,553
Fisher & Paykel Healthcare Corp., Ltd.		22,405		207,791
Hoya Corp.		4,300		254,655
Straumann Holding AG		413		272,407
West Pharmaceutical Services, Inc.		43,201		4,017,693
				13,489,483
Health Care Providers & Services - 1.6%
Anthem, Inc.		31,059		6,877,084
Centene Corp. (b)		3,669		429,860
Humana, Inc.		2,151		625,898
LifePoint Health, Inc. (b)		1,006		53,167
McKesson Corp.		400		56,776
Quorum Health Corp. (b)		458		1,878
UnitedHealth Group, Inc.		20,047		4,841,551
				12,886,214
Life Sciences Tools & Services - 0.4%
IQVIA Holdings, Inc. (b)		35,437		3,505,782
Pharmaceuticals - 1.8%
Bristol-Myers Squibb Co.		17,440		917,693
Eli Lilly & Co.		1,629		138,530

Company	Shares		U.S. $ Value
Endo International PLC (b)		3,078	$	19,361
Horizon Pharma PLC (b)		1,435		23,390
Ipsen SA		1,983		314,681
Johnson & Johnson		5,810		694,992
Merck & Co., Inc.		23,162		1,378,834
Novo Nordisk A/S-Class B		21,905		1,041,110
Pfizer, Inc.		59,952		2,154,076
Roche Holding AG		8,835		1,894,328
Sumitomo Dainippon Pharma Co., Ltd.		13,200		273,301
Zoetis, Inc.		70,122		5,869,211
				14,719,507
				56,465,724
Industrials - 5.3%
Aerospace & Defense - 0.8%
Boeing Co. (The)		7,300		2,570,768
Harris Corp.		7,700		1,158,619
Raytheon Co.		10,680		2,237,460
Safran SA		2,942		350,910
				6,317,757
Air Freight & Logistics - 0.1%
CH Robinson Worldwide, Inc.		8,721		758,727
Airlines - 0.3%
ANA Holdings, Inc.		5,100		204,774
Delta Air Lines, Inc.		9,666		522,447
International Consolidated Airlines Group SA		34,440		312,989
Japan Airlines Co., Ltd.		5,200		201,086
Qantas Airways Ltd.		193,197		924,571
				2,165,867
Building Products - 0.6%
Allegion PLC		69,128		5,283,453
Commercial Services & Supplies - 0.5%
Republic Services, Inc.-Class A		7,010		472,684
Secom Co., Ltd.		38,300		2,847,805
Stericycle, Inc. (b)		11,107		705,294
Toppan Printing Co., Ltd.		24,000		195,136
				4,220,919
Construction & Engineering - 0.0%
Modular Space Corp. (e)(g)		5,852		95,095
Consumer Cyclical - Automotive - 0.0%
Exide Technologies (b)(d)(e)(h)		2,460		5,388
Exide Technologies/Old (b)(d)(e)(h)		1,244		2,724
				8,112
Industrial Conglomerates - 0.1%
CITIC Ltd.		85,000		125,913
Honeywell International, Inc.		4,661		689,408
				815,321

Company	Shares		U.S. $ Value
Machinery - 0.8%
Dover Corp.		40,090	$	3,095,349
Hyundai Heavy Industries Co., Ltd. (b)		1,000		105,571
Kone Oyj-Class B		51,010		2,523,650
Stanley Black & Decker, Inc.		6,368		886,680
				6,611,250
Marine - 0.0%
Mitsui OSK Lines Ltd.		5,800		152,743
Professional Services - 1.7%
Intertek Group PLC		18,990		1,377,273
RELX NV		167,562		3,653,528
Verisk Analytics, Inc.-Class A (b)		73,790		7,839,449
Wolters Kluwer NV		23,230		1,304,973
				14,175,223
Road & Rail - 0.2%
ALD SA (a)(f)		72,217		1,214,379
Central Japan Railway Co.		1,200		247,537
DSV A/S		3,865		320,958
				1,782,874
Trading Companies & Distributors - 0.1%
Emeco Holdings Ltd. (b)		43,970		11,595
HD Supply Holdings, Inc. (b)		14,260		580,810
				592,405
Transportation Infrastructure - 0.1%
Flughafen Zurich AG		4,030		845,918
				43,825,664
Consumer Staples - 3.0%
Beverages - 0.5%
Diageo PLC		55,275		2,030,983
PepsiCo, Inc.		17,440		1,748,360
				3,779,343
Food & Staples Retailing - 0.5%
Costco Wholesale Corp.		3,445		682,937
CVS Health Corp.		16,610		1,052,908
J Sainsbury PLC		110,670		468,009
Kroger Co. (The)		19,865		483,315
Wal-Mart de Mexico SAB de CV		15,470		38,961
Walmart, Inc.		13,400		1,106,036
				3,832,166
Food Products - 1.0%
Barry Callebaut AG (REG)		147		257,484
Danone SA		7,776		595,462
Hershey Co. (The)		48,500		4,366,940
Salmar ASA		29,960		1,306,247
Tyson Foods, Inc.-Class A		22,219		1,499,116
				8,025,249

Company	Shares		U.S. $ Value
Household Products - 0.2%
Kimberly-Clark Corp.		536	$	54,056
Procter & Gamble Co. (The)		26,280		1,922,907
				1,976,963
Personal Products - 0.4%
L’Oreal SA		12,538		3,019,638
Unilever PLC		12,740		702,407
				3,722,045
Tobacco - 0.4%
Altria Group, Inc.		11,507		641,400
British American Tobacco PLC		29,964		1,538,070
Philip Morris International, Inc.		15,056		1,197,554
				3,377,024
				24,712,790
Energy - 1.8%
Energy Equipment & Services - 0.1%
Schlumberger Ltd.		6,310		433,308
TechnipFMC PLC		12,743		396,944
				830,252
Oil, Gas & Consumable Fuels - 1.7%
Berry Petroleum Corp. (b)(c)(e)		5,356		62,531
BP PLC		71,904		549,937
Caltex Australia Ltd.		8,337		184,894
CHC Group LLC (b)(h)		2,966		20,762
Chesapeake Energy Corp. (a)(b)		13,075		58,445
ConocoPhillips		24,137		1,626,592
Denbury Resources, Inc. (b)		5,777		24,552
EP Energy Corp.-Class A (a)(b)		6,082		17,638
Exxon Mobil Corp.		9,705		788,434
Halcon Resources Corp. (b)		670		3,243
K2016470219 South Africa Ltd.-A Shares (b)(c)(d)(e)		465,862		1
K2016470219 South Africa Ltd.-B Shares (b)(c)(d)(e)		73,623		0
Linn Energy, Inc. (b)		213		8,539
LUKOIL PJSC (Sponsored ADR)		25,484		1,698,763
Marathon Petroleum Corp.		6,256		494,412
Neste Oyj		4,028		329,169
Oasis Petroleum, Inc. (b)		1,937		25,239
Paragon Litigation-Class A (c)(e)		649		584
Paragon Litigation-Class B (c)(e)		974		29,220
Peabody Energy Corp.		3,886		168,147
Phillips 66		4,571		532,476
Royal Dutch Shell PLC-Class A		15,141		524,970
Royal Dutch Shell PLC-Class B		120,108		4,289,816
SandRidge Energy, Inc. (b)		1,029		14,962
Suncor Energy, Inc. (Toronto)		7,000		278,791
Tervita Corp. (c)(e)		1,456		10,724
TOTAL SA		26,464		1,608,850
Triangle Petroleum Corp. (b)		7,408		296

Company	Shares		U.S. $ Value
Valero Energy Corp.		4,588	$	556,066
Vantage Drilling International (b)(c)(e)		200		49,100
Whiting Petroleum Corp. (b)		1,269		66,521
				14,023,674
				14,853,926
Telecommunication Services - 1.7%
Diversified Telecommunication Services - 0.8%
AT&T, Inc.		24,076		778,136
HKT Trust & HKT Ltd.-Class SS		1,583,000		1,995,430
Nippon Telegraph & Telephone Corp.		40,300		1,882,690
Telenor ASA		39,130		806,035
Verizon Communications, Inc.		17,223		821,020
				6,283,311
Wireless Telecommunication Services - 0.9%
China Mobile Ltd.		133,000		1,190,668
KDDI Corp.		127,900		3,449,905
MTN Group Ltd.		272,668		2,452,512
T-Mobile US, Inc. (b)		8,784		489,269
				7,582,354
				13,865,665
Materials - 1.4%
Chemicals - 1.2%
Air Products & Chemicals, Inc.		3,568		575,911
BASF SE		24,018		2,371,420
Covestro AG (f)		2,697		245,704
Croda International PLC		18,010		1,114,458
Ecolab, Inc.		23,000		3,280,030
LyondellBasell Industries NV-Class A		9,969		1,117,724
Umicore SA		5,235		295,306
Victrex PLC		14,482		543,005
				9,543,558
Containers & Packaging - 0.1%
Amcor Ltd./Australia		104,550		1,109,454
Metals & Mining - 0.1%
Anglo American PLC (a)		16,684		398,412
BIS Industries Holdings Ltd. (c)(d)(e)		51,133		5,625
Constellium NV-Class A (b)		20,428		248,200
Freeport-McMoRan, Inc.		4,660		78,754
Jastrzebska Spolka Weglowa SA (b)		4,100		92,059
Lundin Mining Corp.		34,063		213,583
Neenah Enterprises, Inc. (b)(c)(d)(e)		10,896		60,255
				1,096,888
				11,749,900
Utilities - 0.7%
Electric Utilities - 0.2%
Enel Americas SA (Sponsored ADR)		72,030		697,250
Enel Chile SA (ADR)		106,162		566,905
NextEra Energy, Inc.		1,449		240,259

Company	Shares		U.S. $ Value
Power Assets Holdings Ltd.		16,500	$	114,759
Tokyo Electric Power Co. Holdings, Inc. (b)		54,300		257,291
				1,876,464
Independent Power and Renewable Electricity Producers - 0.1%
Vistra Energy Corp. (b)		27,527		675,237
Multi-Utilities - 0.1%
Centrica PLC		188,255		364,541
Water Utilities - 0.3%
Guangdong Investment Ltd.		1,506,000		2,527,945
				5,444,187
Real Estate - 0.4%
Equity Real Estate Investment Trusts (REITs) - 0.1%
Lamar Advertising Co.-Class A		6,710		464,466
Weyerhaeuser Co.		16,384		611,615
				1,076,081
Real Estate Management & Development - 0.3%
Agile Group Holdings Ltd.		70,000		132,240
CBRE Group, Inc.-Class A (b)		40,702		1,880,025
Sunac China Holdings Ltd. (a)		28,000		105,415
				2,117,680
				3,193,761
Total Common Stocks (cost $348,167,010)				391,552,511
INVESTMENT COMPANIES - 24.4%
Funds and Investment Trusts - 24.4% (i)
AB Cap Fund, Inc.-AB All Market Alternative Return Portfolio-Class ADV (b)(j)		16,158,196		127,488,169
iShares JP Morgan USD Emerging Markets Bond ETF		6,100		663,924
iShares Russell 2000 ETF		591		96,197
Vanguard FTSE Emerging Markets ETF		367,209		16,381,194
Vanguard Global ex-U.S. Real Estate ETF		455,273		27,493,936
Vanguard Real Estate ETF (a)		361,407		28,511,398
Total Investment Companies (cost $208,688,344)				200,634,818
	Principal Amount (000)
CORPORATES - NON-INVESTMENT GRADE - 6.7%
Industrial - 5.4%
Basic - 0.5%
AK Steel Corp.
7.00%, 3/15/27 (a)	$	133		126,951
7.625%, 10/01/21 (a)		71		72,872
ArcelorMittal
7.00%, 3/01/41		124		140,405

	Principal Amount (000)		U.S. $ Value
7.25%, 10/15/39	$	200	$	231,752
CF Industries, Inc.
3.45%, 6/01/23		78		73,714
5.375%, 3/15/44		53		46,890
Cleveland-Cliffs, Inc.
5.75%, 3/01/25		212		202,890
Commercial Metals Co.
5.375%, 7/15/27		140		134,315
Constellium NV
5.75%, 5/15/24 (a)(f)		250		241,653
5.875%, 2/15/26 (f)		250		238,203
Crown Americas LLC/Crown Americas Capital Corp. VI
4.75%, 2/01/26 (f)		102		96,286
Eldorado Gold Corp.
6.125%, 12/15/20 (f)		50		48,038
ERP Iron Ore, LLC
10.321%, 12/31/19 (c)(d)(e)(k)		17		17,029
Freeport-McMoRan, Inc.
3.55%, 3/01/22		204		197,099
3.875%, 3/15/23		186		178,462
Grinding Media, Inc./Moly-Cop AltaSteel Ltd.
7.375%, 12/15/23 (f)		120		126,223
Joseph T Ryerson & Son, Inc.
11.00%, 5/15/22 (f)		385		424,509
Kraton Polymers LLC/Kraton Polymers Capital Corp.
5.25%, 5/15/26 (f)	EUR	100		117,319
Magnetation LLC/Mag Finance Corp.
11.00%, 5/15/18 (b)(e)(g)(l)	$	146		1
Momentive Performance Materials, Inc.
8.875%, 10/15/20 (b)(d)(e)(h)		114		0
3.88%, 10/24/21		114		120,450
Multi-Color Corp.
4.875%, 11/01/25 (f)		127		118,243
NOVA Chemicals Corp.
5.25%, 8/01/23-6/01/27 (f)		167		159,435
Nufarm Australia Ltd./Nufarm Americas, Inc.
5.75%, 4/30/26 (f)		61		59,221
OCI NV
5.00%, 4/15/23 (f)	EUR	100		120,342
Pactiv LLC
7.95%, 12/15/25	$	100		109,904
Peabody Energy Corp.
6.00%, 11/15/18 (b)(c)(d)(e)		227		0
6.00%, 3/31/22 (f)		13		13,056
Plastipak Holdings, Inc.
6.25%, 10/15/25 (f)		162		154,689
PQ Corp.
5.75%, 12/15/25 (f)		37		36,350

	Principal Amount (000)		U.S. $ Value
Reynolds Group Issuer, Inc./Reynolds Group Issuer LLC/Reynolds Group Issuer Lu
5.125%, 7/15/23 (f)	$	152	$	149,788
Sealed Air Corp.
6.875%, 7/15/33 (f)		170		187,463
SPCM SA
4.875%, 9/15/25 (f)		142		134,514
Steel Dynamics, Inc.
5.125%, 10/01/21		11		10,808
Teck Resources Ltd.
5.20%, 3/01/42		88		79,597
5.40%, 2/01/43		79		72,476
8.50%, 6/01/24 (f)		10		10,972
United States Steel Corp.
6.25%, 3/15/26		36		35,789
6.875%, 8/15/25		103		105,382
Valvoline, Inc.
5.50%, 7/15/24		17		17,134
W.R. Grace & Co.-Conn
5.625%, 10/01/24 (f)		23		23,536
			4,433,760
Capital Goods – 0.3%
ARD Finance SA
7.125%, 9/15/23 (k)		200		199,978
ARD Securities Finance SARL
8.75%, 1/31/23 (f)(k)		200		204,248
Ardagh Packaging Finance PLC/Ardagh Holdings USA, Inc.
4.25%, 9/15/22 (f)		191		189,329
4.625%, 5/15/23 (f)		43		42,340
7.25%, 5/15/24 (f)		7		7,395
B456 Systems, Inc.
3.75%, 4/15/16 (b)(c)(e)(l)(m)		50		3,899
Ball Corp.
4.375%, 12/15/20		88		89,261
5.00%, 3/15/22		142		146,699
BBA US Holdings, Inc.
5.375%, 5/01/26 (f)		50		50,143
Bombardier, Inc.
5.75%, 3/15/22 (a)(f)		364		364,797
6.125%, 1/15/23 (f)		14		13,943
7.50%, 3/15/25 (f)		20		20,675
8.75%, 12/01/21 (f)		4		4,314
BWAY Holding Co.
7.25%, 4/15/25 (f)		140		137,626
Clean Harbors, Inc.
5.125%, 6/01/21		120		121,212
5.25%, 8/01/20		10		9,777
Cleaver-Brooks, Inc.
7.875%, 3/01/23 (f)		65		67,093
EnPro Industries, Inc.
5.875%, 9/15/22		61		62,361

	Principal Amount (000)		U.S. $ Value
Gates Global LLC/Gates Global Co.
6.00%, 7/15/22 (f)	$	49	$	49,768
GFL Environmental, Inc.
5.625%, 5/01/22 (f)		157		153,548
Jefferson Smurfit Corp./US
8.25%, 10/01/49 (c)(d)(e)		118		0
Jeld-Wen, Inc.
4.625%, 12/15/25 (f)		17		16,052
4.875%, 12/15/27 (f)		23		21,390
KLX, Inc.
5.875%, 12/01/22 (f)		60		62,875
Owens-Brockway Glass Container, Inc.
5.00%, 1/15/22 (f)		47		47,477
Smurfit-Stone Container Enterprises, Inc.
8.00%, 3/15/17 (c)(d)(e)(n)		122		0
TransDigm UK Holdings PLC
6.875%, 5/15/26 (f)		265		270,003
TransDigm, Inc.
6.50%, 7/15/24		145		147,770
Waste Pro USA, Inc.
5.50%, 2/15/26 (f)		104		100,543
				2,604,516
Communications - Media - 0.6%
Altice Financing SA
6.625%, 2/15/23 (f)		162		160,154
7.50%, 5/15/26 (f)		285		272,716
Altice France SA/France
6.00%, 5/15/22 (f)		165		164,273
7.375%, 5/01/26 (f)		450		438,781
CCO Holdings LLC/CCO Holdings Capital Corp.
5.125%, 2/15/23-5/01/27 (f)		223		216,727
5.25%, 9/30/22		15		15,008
5.375%, 5/01/25 (f)		30		28,982
5.875%, 5/01/27 (f)		48		47,345
Cequel Communications Holdings I LLC/Cequel Capital Corp.
7.75%, 7/15/25 (f)		200		207,078
Clear Channel Worldwide Holdings, Inc.
Series A
6.50%, 11/15/22		98		100,432
Series B
6.50%, 11/15/22		122		124,553
CSC Holdings LLC
5.375%, 2/01/28 (f)		200		187,362
6.625%, 10/15/25 (f)		6		6,567
7.625%, 7/15/18		122		122,407
10.875%, 10/15/25 (f)		236		273,531
DISH DBS Corp.
5.00%, 3/15/23		38		33,099
5.875%, 11/15/24		20		16,602
6.75%, 6/01/21		69		68,894
Gray Television, Inc.

	Principal Amount (000)		U.S. $ Value
5.125%, 10/15/24 (f)	$	150	$	141,305
5.875%, 7/15/26 (f)		85		80,426
iHeartCommunications, Inc.
6.875%, 6/15/18 (b)(c)(o)		121		25,731
9.00%, 12/15/19 (b)(o)		175		137,572
11.25%, 3/01/21 (b)(f)(o)		25		18,429
McClatchy Co. (The)
9.00%, 12/15/22 (a)		78		80,928
McGraw-Hill Global Education Holdings LLC/McGraw-Hill Global Education Finance
7.875%, 5/15/24 (a)(f)		26		24,331
Meredith Corp.
6.875%, 2/01/26 (f)		203		205,375
Netflix, Inc.
4.875%, 4/15/28 (f)		336		317,960
Radiate Holdco LLC/Radiate Finance, Inc.
6.625%, 2/15/25 (f)		43		38,951
6.875%, 2/15/23 (f)		60		57,101
RR Donnelley & Sons Co.
7.875%, 3/15/21		70		72,257
Sinclair Television Group, Inc.
5.125%, 2/15/27 (a)(f)		150		139,709
6.125%, 10/01/22		41		42,176
TEGNA, Inc.
5.125%, 7/15/20		62		62,354
Univision Communications, Inc.
5.125%, 2/15/25 (f)		232		214,400
UPC Holding BV
5.50%, 1/15/28 (f)		217		197,952
Urban One, Inc.
7.375%, 4/15/22 (f)		168		164,307
Virgin Media Finance PLC
4.875%, 2/15/22		6		5,542
Ziggo Bond Finance BV
5.875%, 1/15/25 (f)		44		41,609
Ziggo BV
5.50%, 1/15/27 (f)		268		254,612
				4,807,538
Communications - Telecommunications - 0.4%
C&W Senior Financing DAC
6.875%, 9/15/27 (f)		200		194,644
CenturyLink, Inc.
Series S
6.45%, 6/15/21		63		64,165
Series T
5.80%, 3/15/22		93		91,437
Embarq Corp.
7.995%, 6/01/36		251		238,714
Frontier Communications Corp.
7.125%, 1/15/23 (a)		155		113,452
7.625%, 4/15/24		133		91,036

	Principal Amount (000)		U.S. $ Value
7.875%, 1/15/27	$	31	$	19,164
8.75%, 4/15/22 (a)		64		53,743
11.00%, 9/15/25		131		104,910
Hughes Satellite Systems Corp.
6.50%, 6/15/19		71		72,998
7.625%, 6/15/21		47		49,769
Intelsat Jackson Holdings SA
5.50%, 8/01/23		268		235,316
7.25%, 10/15/20		72		70,966
7.50%, 4/01/21 (a)		32		31,174
8.00%, 2/15/24 (f)		25		26,211
9.50%, 9/30/22 (f)		107		122,793
9.75%, 7/15/25 (f)		147		152,511
Level 3 Financing, Inc.
5.25%, 3/15/26		164		156,472
Level 3 Parent LLC
5.75%, 12/01/22		18		18,424
Qwest Corp.
6.75%, 12/01/21		123		131,782
6.875%, 9/15/33		27		25,379
Sable International Finance Ltd.
6.875%, 8/01/22 (f)		102		105,858
Sprint Capital Corp.
6.875%, 11/15/28		150		143,596
Sprint Communications, Inc.
7.00%, 3/01/20 (f)		149		155,432
T-Mobile USA, Inc.
6.50%, 1/15/24-1/15/26		152		158,347
Telecom Italia Capital SA
6.375%, 11/15/33		136		135,091
7.20%, 7/18/36		148		157,795
7.721%, 6/04/38		68		74,817
Uniti Group LP/Uniti Group Finance, Inc./CSL Capital LLC
6.00%, 4/15/23 (f)		28		27,427
Windstream Services LLC/Windstream Finance Corp.
8.75%, 12/15/24 (a)(f)		51		31,240
Zayo Group LLC/Zayo Capital, Inc.
5.75%, 1/15/27 (f)		205		198,456
				3,253,119
Consumer Cyclical - Automotive - 0.2%
Adient Global Holdings Ltd.
4.875%, 8/15/26 (f)		200		182,500
BCD Acquisition, Inc.
9.625%, 9/15/23 (f)		279		301,390
Cooper-Standard Automotive, Inc.
5.625%, 11/15/26 (f)		143		139,807
Dana Financing Luxembourg SARL
6.50%, 6/01/26 (f)		60		61,716
Dana, Inc.
5.50%, 12/15/24		33		33,344

	Principal Amount (000)		U.S. $ Value
Exide Technologies
7.00%, 4/30/25 (e)(g)(k)(m)	$	228	$	143,611
11.00%, 4/30/22 (e)(g)(k)		83		74,625
IHO Verwaltungs GmbH
4.125%, 9/15/21 (f)(k)		142		141,313
Meritor, Inc.
6.25%, 2/15/24		69		70,400
Navistar International Corp.
6.625%, 11/01/25 (f)		132		136,663
Titan International, Inc.
6.50%, 11/30/23 (f)		144		144,897
				1,430,266
Consumer Cyclical - Entertainment - 0.1%
AMC Entertainment Holdings, Inc.
5.75%, 6/15/25		30		29,784
5.875%, 11/15/26 (a)		142		138,187
National CineMedia LLC
5.75%, 8/15/26		33		30,324
Silversea Cruise Finance Ltd.
7.25%, 2/01/25 (f)		213		222,433
				420,728
Consumer Cyclical - Other - 0.4%
Beazer Homes USA, Inc.
5.75%, 6/15/19 (a)		10		10,614
5.875%, 10/15/27		88		77,992
6.75%, 3/15/25		64		61,704
8.75%, 3/15/22		155		166,457
Caesars Entertainment Corp.
5.00%, 10/01/24 (e)(m)		26		48,894
Cooperativa Muratori & Cementisti-CMC di Ravenna SC
6.00%, 2/15/23 (f)	EUR	100		94,236
Diamond Resorts International, Inc.
7.75%, 9/01/23 (f)	$	60		64,487
Five Point Operating Co. LP/Five Point Capital Corp.
7.875%, 11/15/25 (f)		173		175,860
GLP Capital LP/GLP Financing II, Inc.
4.375%, 4/15/21		14		14,266
4.875%, 11/01/20		18		18,718
5.375%, 11/01/23		18		18,243
International Game Technology PLC
6.50%, 2/15/25 (f)		200		205,164
K. Hovnanian Enterprises, Inc.
5.00%, 11/01/21		103		94,145
10.00%, 7/15/22 (f)		220		233,750
10.50%, 7/15/24 (f)		219		226,893
KB Home
7.00%, 12/15/21		54		56,897
7.50%, 9/15/22		25		26,649
8.00%, 3/15/20		14		15,137

	Principal Amount (000)		U.S. $ Value
Lennar Corp.
4.125%, 12/01/18	$	71	$	70,941
4.50%, 11/15/19		148		149,675
6.25%, 12/15/21 (f)		55		57,896
MDC Holdings, Inc.
5.50%, 1/15/24		14		14,193
5.625%, 2/01/20		57		58,080
6.00%, 1/15/43		270		242,353
Meritage Homes Corp.
7.00%, 4/01/22		11		11,587
MGM Resorts International
8.625%, 2/01/19		110		113,599
Pinnacle Entertainment, Inc.
5.625%, 5/01/24		30		31,921
PulteGroup, Inc.
5.00%, 1/15/27		21		20,301
6.00%, 2/15/35		130		126,712
7.875%, 6/15/32		151		173,067
Shea Homes LP/Shea Homes Funding Corp.
5.875%, 4/01/23 (f)		18		17,835
6.125%, 4/01/25 (f)		146		146,175
Standard Industries, Inc./NJ
6.00%, 10/15/25 (f)		74		75,136
Sugarhouse HSP Gaming Prop Mezz LP/Sugarhouse HSP Gaming Finance Corp.
5.875%, 5/15/25 (f)		197		187,897
Taylor Morrison Communities, Inc./Taylor Morrison Holdings II, Inc.
5.625%, 3/01/24 (f)		183		178,939
Toll Brothers Finance Corp.
4.00%, 12/31/18		34		34,087
4.875%, 3/15/27 (a)		27		25,581
5.875%, 2/15/22		86		88,967
				3,435,048
Consumer Cyclical - Restaurants - 0.0%
Golden Nugget, Inc.
8.75%, 10/01/25 (f)		140		145,847
IRB Holding Corp.
6.75%, 2/15/26 (f)		247		233,978
				379,825
Consumer Cyclical - Retailers - 0.1%
FirstCash, Inc.
5.375%, 6/01/24 (f)		171		171,458
JC Penney Corp., Inc.
6.375%, 10/15/36		37		20,735
L Brands, Inc.
6.875%, 11/01/35		226		205,564
7.00%, 5/01/20		106		112,411
Neiman Marcus Group Ltd. LLC
8.00%, 10/15/21 (a)(f)		259		185,233
PetSmart, Inc.
7.125%, 3/15/23 (f)		154		73,926

	Principal Amount (000)		U.S. $ Value
Sonic Automotive, Inc.
5.00%, 5/15/23 (a)	$	153	$	146,678
6.125%, 3/15/27		47		45,322
				961,327
Consumer Non-Cyclical - 0.7%
Acadia Healthcare Co., Inc.
5.625%, 2/15/23		139		140,575
Air Medical Group Holdings, Inc.
6.375%, 5/15/23 (a)(f)		85		79,775
Albertsons Cos. LLC/Safeway, Inc./New Albertson’s, Inc./Albertson’s LLC
5.75%, 3/15/25		60		52,436
6.625%, 6/15/24		213		200,675
Aveta, Inc.
10.50%, 3/01/21 (b)(d)(e)(g)		1,149		0
BI-LO LLC/BI-LO Finance Corp.
8.625%, 9/15/18 (b)(e)(g)(o)		105		61,152
9.25%, 2/15/19 (b)(e)(f)(o)		159		158,721
Catalent Pharma Solutions, Inc.
4.875%, 1/15/26 (f)		55		52,894
Charles River Laboratories International, Inc.
5.50%, 4/01/26 (f)		31		31,103
CHS/Community Health Systems, Inc.
6.875%, 2/01/22 (a)		236		124,698
DaVita, Inc.
5.00%, 5/01/25		150		142,354
Diamond BC BV
5.625%, 8/15/25 (f)	EUR	123		127,719
Endo Finance LLC
5.75%, 1/15/22 (f)	$	174		145,263
Endo Finance LLC/Endo Finco, Inc.
5.375%, 1/15/23 (f)		156		115,906
First Quality Finance Co., Inc.
4.625%, 5/15/21 (f)		233		228,921
Hadrian Merger Sub, Inc.
8.50%, 5/01/26 (a)(f)		98		97,140
HCA, Inc.
3.75%, 3/15/19		242		243,612
4.25%, 10/15/19		451		454,593
6.50%, 2/15/20		370		386,684
Kinetic Concepts, Inc./KCI USA, Inc.
7.875%, 2/15/21 (f)		118		121,500
Lamb Weston Holdings, Inc.
4.625%, 11/01/24 (f)		140		137,344
LifePoint Health, Inc.
5.375%, 5/01/24 (a)		92		89,303
5.875%, 12/01/23		165		165,043

	Principal Amount (000)		U.S. $ Value
Mallinckrodt International Finance SA
4.75%, 4/15/23 (a)	$	4	$	3,224
Mallinckrodt International Finance SA/Mallinckrodt CB LLC
5.50%, 4/15/25 (f)		52		41,167
5.625%, 10/15/23 (a)(f)		78		64,629
5.75%, 8/01/22 (a)(f)		305		264,622
MEDNAX, Inc.
5.25%, 12/01/23 (f)		24		23,725
MPH Acquisition Holdings LLC
7.125%, 6/01/24 (f)		140		145,250
Post Holdings, Inc.
5.00%, 8/15/26 (f)		250		234,315
5.625%, 1/15/28 (f)		105		99,206
Spectrum Brands, Inc.
5.75%, 7/15/25		140		138,950
6.625%, 11/15/22		26		27,144
Sunshine Mid BV
6.50%, 5/15/26 (f)	EUR	103		116,915
Tenet Healthcare Corp.
4.50%, 4/01/21	$	47		47,239
6.75%, 6/15/23 (a)		84		83,548
7.50%, 1/01/22 (f)		13		14,129
8.125%, 4/01/22		369		385,531
Valeant Pharmaceuticals International, Inc.
5.50%, 3/01/23 (f)		152		142,056
5.625%, 12/01/21 (f)		180		178,556
5.875%, 5/15/23 (f)		190		179,846
Vizient, Inc.
10.375%, 3/01/24 (f)		87		96,297
				5,643,760
Energy - 1.3%
Alta Mesa Holdings LP/Alta Mesa Finance Services Corp.
7.875%, 12/15/24		56		58,916
Antero Resources Corp.
5.125%, 12/01/22		151		151,677
Berry Petroleum Co. LLC
6.375%, 9/15/22 (b)(c)(d)(e)		135		0
7.00%, 2/15/26 (f)		71		72,246
Bristow Group, Inc.
8.75%, 3/01/23 (f)		124		122,801
California Resources Corp.
5.50%, 9/15/21		45		38,607
8.00%, 12/15/22 (f)		418		369,990
Carrizo Oil & Gas, Inc.
6.25%, 4/15/23		58		58,883
8.25%, 7/15/25		169		180,188
Cheniere Corpus Christi Holdings LLC
5.875%, 3/31/25		81		85,123
Cheniere Energy Partners LP
5.25%, 10/01/25 (f)		137		133,131

	Principal Amount (000)		U.S. $ Value
Cheniere Energy, Inc.
4.875%, 5/28/21 (e)(f)(k)(m)	$	138	$	147,112
Chesapeake Energy Corp.
6.125%, 2/15/21		199		200,972
6.875%, 11/15/20		1		1,459
8.00%, 12/15/22-6/15/27 (a)		242		241,242
Denbury Resources, Inc.
9.25%, 3/31/22 (a)(f)		63		66,718
Diamond Offshore Drilling, Inc.
4.875%, 11/01/43		367		268,367
7.875%, 8/15/25 (a)		222		229,184
Energy Transfer Equity LP
4.25%, 3/15/23		290		281,587
7.50%, 10/15/20		152		164,159
Ensco PLC
4.50%, 10/01/24		16		13,491
5.20%, 3/15/25 (a)		323		268,021
EP Energy LLC/Everest Acquisition Finance, Inc.
7.75%, 9/01/22		357		261,009
9.375%, 5/01/20-5/01/24 (f)		332		273,379
Genesis Energy LP/Genesis Energy Finance Corp.
5.625%, 6/15/24		51		47,861
6.25%, 5/15/26		159		149,617
6.50%, 10/01/25		42		40,433
6.75%, 8/01/22		26		26,420
Gulfport Energy Corp.
6.00%, 10/15/24		54		51,073
6.375%, 5/15/25-1/15/26		340		325,721
Hess Infrastructure Partners LP/Hess Infrastructure Partners Finance Corp.
5.625%, 2/15/26 (f)		197		198,082
HighPoint Operating Corp.
7.00%, 10/15/22		81		81,565
8.75%, 6/15/25		41		44,652
Hilcorp Energy I LP/Hilcorp Finance Co.
5.75%, 10/01/25 (f)		295		294,300
Indigo Natural Resources LLC
6.875%, 2/15/26 (f)		135		128,841
Murphy Oil Corp.
5.875%, 12/01/42		51		46,587
Murphy Oil USA, Inc.
5.625%, 5/01/27		6		5,612
6.00%, 8/15/23		140		144,337
Nabors Industries, Inc.
4.625%, 9/15/21 (a)		139		136,541
5.50%, 1/15/23 (a)		228		224,017
5.75%, 2/01/25 (f)		34		32,217
Noble Holding International Ltd.
6.20%, 8/01/40 (a)		23		16,776
7.75%, 1/15/24 (a)		291		272,813
7.95%, 4/01/25 (a)		48		43,959
Oasis Petroleum, Inc.
6.875%, 3/15/22		116		117,933

	Principal Amount (000)		U.S. $ Value
Parkland Fuel Corp.
6.00%, 4/01/26 (f)	$	142	$	140,608
PDC Energy, Inc.
5.75%, 5/15/26 (f)		312		308,403
PHI, Inc.
5.25%, 3/15/19 (a)		101		95,307
Precision Drilling Corp.
7.125%, 1/15/26 (a)(f)		105		106,788
QEP Resources, Inc.
5.25%, 5/01/23		60		58,808
5.375%, 10/01/22		81		82,979
5.625%, 3/01/26		54		51,590
Range Resources Corp.
4.875%, 5/15/25 (a)		62		58,581
5.00%, 8/15/22-3/15/23		220		216,920
5.875%, 7/01/22		13		13,137
Rowan Cos., Inc.
4.75%, 1/15/24		160		137,406
5.85%, 1/15/44		86		63,874
7.375%, 6/15/25		61		58,821
Sanchez Energy Corp.
6.125%, 1/15/23 (a)		383		251,826
7.25%, 2/15/23 (a)(f)		103		101,072
SandRidge Energy, Inc.
7.50%, 2/15/23 (b)(c)(d)(e)		69		0
8.125%, 10/15/22 (c)(d)(e)		113		0
SemGroup Corp.
6.375%, 3/15/25		78		73,740
7.25%, 3/15/26 (a)		70		69,335
SemGroup Corp./Rose Rock Finance Corp.
5.625%, 11/15/23		29		27,092
SM Energy Co.
5.00%, 1/15/24 (a)		211		197,973
5.625%, 6/01/25		15		14,318
6.50%, 11/15/21-1/01/23 (a)		215		218,574
Southern Star Central Corp.
5.125%, 7/15/22 (f)		85		85,752
SRC Energy, Inc.
6.25%, 12/01/25 (f)		106		107,697
Sunoco LP/Sunoco Finance Corp.
5.50%, 2/15/26 (f)		180		170,057
5.875%, 3/15/28 (f)		136		128,014
Targa Resources Partners LP/Targa Resources Partners Finance Corp.
4.25%, 11/15/23		45		43,227
5.875%, 4/15/26 (f)		112		112,653
Transocean Phoenix 2 Ltd.
7.75%, 10/15/24 (a)(f)		128		137,913
Transocean, Inc.
6.80%, 3/15/38		227		191,257
7.50%, 1/15/26 (f)		103		104,497
9.00%, 7/15/23 (f)		70		74,572
Vantage Drilling International

	Principal Amount (000)		U.S. $ Value
7.50%, 11/01/19 (b)(c)(d)(e)	$	111	$	0
10.00%, 12/31/20 (e)(g)		2		2,084
10.00%, 12/31/20 (c)(e)		3		2,777
Vine Oil & Gas LP/Vine Oil & Gas Finance Corp.
8.75%, 4/15/23 (f)		220		203,632
Weatherford International LLC
9.875%, 3/01/25 (f)		129		126,952
Weatherford International Ltd.
5.875%, 7/01/21 (m)		88		85,963
7.75%, 6/15/21 (a)		167		169,228
9.875%, 2/15/24		65		63,953
Whiting Petroleum Corp.
1.25%, 4/01/20 (m)		67		63,659
5.75%, 3/15/21 (a)		38		38,760
6.25%, 4/01/23 (a)		42		43,054
6.625%, 1/15/26 (f)		180		184,280
WPX Energy, Inc.
5.75%, 6/01/26		65		64,865
				10,669,617
Other Industrial - 0.1%
Algeco Global Finance PLC
8.00%, 2/15/23 (f)		200		200,176
American Builders & Contractors Supply Co., Inc.
5.75%, 12/15/23 (f)		178		181,032
American Tire Distributors, Inc.
10.25%, 3/01/22 (f)		288		144,673
Global Partners LP/GLP Finance Corp.
6.25%, 7/15/22		205		199,928
7.00%, 6/15/23		28		28,088
H&E Equipment Services, Inc.
5.625%, 9/01/25		58		57,255
KAR Auction Services, Inc.
5.125%, 6/01/25 (f)		62		58,902
Laureate Education, Inc.
8.25%, 5/01/25 (f)		97		102,627
				972,681
Services - 0.3%
ADT Corp. (The)
3.50%, 7/15/22		57		52,241
APTIM Corp.
7.75%, 6/15/25 (a)(f)		173		132,141
APX Group, Inc.
8.75%, 12/01/20 (a)		552		529,341
Aramark Services, Inc.
5.00%, 2/01/28 (f)		98		94,308
5.125%, 1/15/24		16		16,511
Carlson Travel, Inc.
9.50%, 12/15/24 (f)		200		180,306

	Principal Amount (000)		U.S. $ Value
Carriage Services, Inc.
6.625%, 6/01/26 (f)	$	87	$	87,706
eDreams ODIGEO SA
8.50%, 8/01/21 (f)	EUR	171		207,726
GEO Group, Inc. (The)
5.125%, 4/01/23	$	115		113,248
5.875%, 1/15/22-10/15/24		39		39,467
6.00%, 4/15/26		140		136,714
Monitronics International, Inc.
9.125%, 4/01/20 (a)		120		84,625
Nielsen Co. Luxembourg SARL (The)
5.50%, 10/01/21 (f)		68		68,427
Prime Security Services Borrower LLC/Prime Finance, Inc.
9.25%, 5/15/23 (f)		324		342,888
Sabre GLBL, Inc.
5.25%, 11/15/23 (f)		135		135,494
Team Health Holdings, Inc.
6.375%, 2/01/25 (a)(f)		50		43,771
				2,264,914
Technology - 0.2%
Ascend Learning LLC
6.875%, 8/01/25 (f)		39		39,124
CommScope, Inc.
5.00%, 6/15/21 (f)		50		50,250
Conduent Finance, Inc./Conduent Business Services LLC
10.50%, 12/15/24 (f)		255		299,440
CURO Financial Technologies Corp.
12.00%, 3/01/22 (f)		177		192,574
Dell International LLC/EMC Corp.
5.875%, 6/15/21 (f)		78		79,989
Dell, Inc.
6.50%, 4/15/38		43		41,984
EMC Corp.
1.875%, 6/01/18		222		221,793
First Data Corp.
7.00%, 12/01/23 (f)		75		78,711
Goodman Networks, Inc.
8.00%, 5/11/22 (e)		48		33,404
Infor US, Inc.
6.50%, 5/15/22		140		142,462
Iron Mountain, Inc.
4.375%, 6/01/21 (f)		50		50,031
Nokia Oyj
6.625%, 5/15/39		34		35,675
Sanmina Corp.
4.375%, 6/01/19 (f)		89		89,431
Solera LLC/Solera Finance, Inc.
10.50%, 3/01/24 (f)		188		208,477
Western Digital Corp.
4.75%, 2/15/26		132		129,825

	Principal Amount (000)		U.S. $ Value
			$	1,693,170
Transportation - Services - 0.2%
Avis Budget Car Rental LLC/Avis Budget Finance, Inc.
5.50%, 4/01/23 (a)	$	362		349,564
Herc Rentals, Inc.
7.75%, 6/01/24 (a)(f)		180		192,803
Hertz Corp. (The)
7.375%, 1/15/21 (a)		260		254,173
Hertz Holdings Netherlands BV
5.50%, 3/30/23 (f)	EUR	160		184,482
United Rentals North America, Inc.
4.875%, 1/15/28	$	140		131,405
5.75%, 11/15/24		36		37,230
XPO CNW, Inc.
6.70%, 5/01/34		123		126,541
XPO Logistics, Inc.
6.125%, 9/01/23 (f)		30		30,469
				1,306,667
				44,276,936
Financial Institutions - 1.1%
Banking - 0.8%
Allied Irish Banks PLC
7.375%, 12/03/20 (f)(n)	EUR	200		255,145
Ally Financial, Inc.
4.125%, 3/30/20	$	295		295,758
4.75%, 9/10/18		136		136,570
8.00%, 11/01/31		116		138,319
Banco Bilbao Vizcaya Argentaria SA
6.125%, 11/16/27 (a)(n)		200		181,558
6.75%, 2/18/20 (f)(n)	EUR	200		245,501
Banco Santander SA
6.75%, 4/25/22 (f)(n)		300		380,323
Bank of America Corp.
Series AA
6.10%, 3/17/25 (n)	$	243		250,611
Series DD
6.30%, 3/10/26 (n)		114		119,976
Series Z
6.50%, 10/23/24 (n)		7		7,417
Barclays Bank PLC
6.86%, 6/15/32 (f)(n)		35		40,159
Barclays PLC
7.25%, 3/15/23 (f)(n)	GBP	200		278,831
CIT Group, Inc.
3.875%, 2/19/19	$	7		7,112
6.125%, 3/09/28		75		76,811
Citigroup Capital XVIII
1.579% (Sterling LIBOR 3 Month + 0.89%), 6/28/67 (p)	GBP	185		221,337
Citigroup, Inc.
5.95%, 1/30/23 (a)(n)	$	365		370,971

	Principal Amount (000)			U.S. $ Value
Citizens Financial Group, Inc.
Series B
6.00%, 7/06/23 (n)	$	116		$	116,064
Credit Agricole SA
8.125%, 12/23/25 (f)(n)		400			436,004
Credit Suisse Group AG
7.125%, 7/29/22 (f)(n)		200			203,538
7.50%, 12/11/23 (f)(n)		200			209,666
Goldman Sachs Group, Inc. (The)
Series P
5.00%, 11/10/22 (n)		210			199,836
Intesa Sanpaolo SpA
7.75%, 1/11/27 (f)(n)	EUR	200			257,776
Lloyds Banking Group PLC
7.625%, 6/27/23 (f)(n)	GBP	260			382,914
Royal Bank of Scotland Group PLC
6.125%, 12/15/22	$	315			333,075
8.625%, 8/15/21 (n)		0	**		476
Societe Generale SA
8.00%, 9/29/25 (f)(n)		320			340,503
SunTrust Banks, Inc.
Series H
5.125%, 12/15/27 (n)		109			103,652
UBS Group Funding Switzerland AG
7.00%, 2/19/25 (f)(n)		400			413,340
UniCredit SpA
9.25%, 6/03/22 (f)(n)	EUR	200			262,737
					6,265,980
Brokerage - 0.0%
Lehman Brothers Holdings, Inc.
5.625%, 1/24/13 (b)(e)(l)	$	1,030			31,918
LPL Holdings, Inc.
5.75%, 9/15/25 (f)		199			191,191
					223,109
Finance - 0.1%
Compass Group Diversified Holdings LLC
8.00%, 5/01/26 (f)		154			150,091
Enova International, Inc.
8.50%, 9/01/24 (f)		100			104,660
9.75%, 6/01/21		121			126,393
goeasy Ltd.
7.875%, 11/01/22 (f)		62			66,033
Navient Corp.
5.00%, 10/26/20		115			115,368
5.50%, 1/25/23		194			190,595
5.875%, 3/25/21		1			1,449
6.50%, 6/15/22		79			81,224
7.25%, 1/25/22-9/25/23		85			89,813
8.00%, 3/25/20		237			252,816
SLM Corp.
5.125%, 4/05/22		30			30,542

	Principal Amount (000)		U.S. $ Value
TMX Finance LLC/TitleMax Finance Corp.
11.125%, 4/01/23 (f)	$	112	$	112,121
				1,321,105
Insurance - 0.1%
Ambac Assurance Corp.
5.10%, 6/07/20 (e)(f)		5		6,591
Liberty Mutual Group, Inc.
7.80%, 3/15/37 (f)		298		356,866
Polaris Intermediate Corp.
8.50%, 12/01/22 (f)(k)		266		275,020
				638,477
Other Finance - 0.1%
Creditcorp
12.00%, 7/15/18 (g)		81		80,605
Intrum AB
2.75%, 7/15/22 (f)	EUR	130		149,317
3.125%, 7/15/24 (f)		100		114,062
LHC3 PLC
4.125%, 8/15/24 (f)(k)		146		172,200
NVA Holdings, Inc./United States
6.875%, 4/01/26 (f)	$	72		70,901
Oxford Finance LLC/Oxford Finance Co-Issuer II, Inc.
6.375%, 12/15/22 (f)		25		25,566
Tempo Acquisition LLC/Tempo Acquisition Finance Corp.
6.75%, 6/01/25 (f)		217		210,523
Travelport Corporate Finance PLC
6.00%, 3/15/26 (f)		75		75,423
				898,597
REITS - 0.0%
Iron Mountain, Inc.
5.25%, 3/15/28 (f)		205		192,887
MPT Operating Partnership LP/MPT Finance Corp.
5.00%, 10/15/27		30		28,218
5.25%, 8/01/26		96		93,638
5.50%, 5/01/24		5		5,025
				319,768
				9,667,036
Utility - 0.2%
Electric - 0.2%
AES Corp./VA
4.875%, 5/15/23		75		75,293
Calpine Corp.
5.375%, 1/15/23 (a)		239		228,372
5.50%, 2/01/24		36		32,417
5.75%, 1/15/25 (a)		148		133,994

	Principal Amount (000)		U.S. $ Value
DPL, Inc.
6.75%, 10/01/19	$	31	$	32,120
NRG Energy, Inc.
5.75%, 1/15/28 (f)		100		98,981
6.25%, 7/15/22		29		29,898
Talen Energy Supply LLC
4.60%, 12/15/21 (a)		227		200,545
6.50%, 6/01/25		163		126,630
10.50%, 1/15/26 (f)		193		179,519
Texas Competitive/TCEH
11.50%, 10/01/20 (b)(d)(e)(g)(o)		142		0
Vistra Energy Corp.
5.875%, 6/01/23		18		18,896
7.375%, 11/01/22		150		157,846
7.625%, 11/01/24		16		17,497
				1,332,008
Natural Gas - 0.0%
NGL Energy Partners LP/NGL Energy Finance Corp.
7.50%, 11/01/23		282		286,932
				1,618,940
Total Corporates - Non-Investment Grade (cost $57,328,654)				55,562,912
INFLATION-LINKED SECURITIES - 1.7%
Brazil - 0.1%
Brazil Notas do Tesouro Nacional
Series B
6.00%, 8/15/50	BRL	1,100		946,330
Japan - 1.6%
Japanese Government CPI Linked Bond
Series 22
0.10%, 3/10/27	JPY	1,370,302		13,354,229
Total Inflation-Linked Securities (cost $14,307,025)				14,300,559
GOVERNMENTS - TREASURIES - 1.6%
Malaysia - 0.1%
Malaysia Government Bond
Series 3/04
5.734%, 7/30/19	MYR	1,169		301,112
Series 511
3.58%, 9/28/18		3,106		780,994
				1,082,106
Mexico - 0.1%
Mexican Bonos
Series M 20
7.50%, 6/03/27	MXN	7,880		387,688

	Principal Amount (000)		U.S. $ Value
Russia - 0.1%
Russian Federal Bond - OFZ
Series 6212
7.05%, 1/19/28	RUB	21,257	$	336,449
Series 6217
7.50%, 8/18/21		40,638		663,603
				1,000,052
United States - 1.3%
U.S. Treasury Notes
1.625%, 5/15/26 (q)	$	1,714		1,569,649
1.75%, 9/30/22 (q)		1,551		1,494,534
2.25%, 2/15/27-8/15/27 (q)		7,800		7,440,703
				10,504,886
Uruguay - 0.0%
Uruguay Government International Bond
8.50%, 3/15/28 (f)	UYU	3,101		88,920
9.875%, 6/20/22 (f)		2,522		81,546
				170,466
Total Governments - Treasuries (cost $13,511,400)				13,145,198
CORPORATES - INVESTMENT GRADE - 1.0%
Financial Institutions - 0.6%
Banking - 0.3%
BNP Paribas SA
7.625%, 3/30/21 (f)(n)	$	142		148,787
BPCE SA
5.70%, 10/22/23 (f)		200		211,742
Countrywide Capital III
Series B
8.05%, 6/15/27		113		139,502
Credit Suisse Group Funding Guernsey Ltd.
3.80%, 6/09/23		222		220,022
Deutsche Bank AG
Series G
3.375%, 5/12/21		121		118,463
DNB Bank ASA
6.50%, 3/26/22 (f)(n)		201		206,095
HSBC Holdings PLC
4.75%, 7/04/29 (f)(n)	EUR	220		261,692
Morgan Stanley
5.00%, 11/24/25	$	211		220,208
Santander Holdings USA, Inc.
4.40%, 7/13/27		141		136,114
Standard Chartered PLC
3.95%, 1/11/23 (f)		142		139,872
US Bancorp
Series J
5.30%, 4/15/27 (n)		43		42,440

	Principal Amount (000)		U.S. $ Value
Wells Fargo & Co.
4.125%, 8/15/23	$	212	$	214,258
Zions Bancorporation
5.65%, 11/15/23		34		34,253
				2,093,448
Brokerage - 0.0%
GFI Group, Inc.
8.375%, 7/19/18		83		82,976
Insurance - 0.3%
Allianz SE
3.099%, 7/06/47 (f)	EUR	200		242,410
Allstate Corp. (The)
6.50%, 5/15/57	$	191		214,537
American International Group, Inc.
8.175%, 5/15/58		110		139,231
Series A-9
5.75%, 4/01/48		77		76,101
Assicurazioni Generali SpA
5.50%, 10/27/47 (f)	EUR	185		235,309
Aviva PLC
3.875%, 7/03/44 (f)		200		249,618
CNP Assurances
4.50%, 6/10/47 (f)		200		256,398
Groupama SA
6.00%, 1/23/27		200		281,075
MetLife, Inc.
6.40%, 12/15/36	$	275		296,131
Nationwide Mutual Insurance Co.
9.375%, 8/15/39 (f)		75		118,907
Prudential Financial, Inc.
5.625%, 6/15/43		170		176,949
SCOR SE
3.00%, 6/08/46 (f)	EUR	100		120,164
				2,406,830
REITS - 0.0%
HCP, Inc.
4.25%, 11/15/23	$	118		119,329
Senior Housing Properties Trust
6.75%, 12/15/21		21		22,936
Spirit Realty LP
4.45%, 9/15/26		13		12,525
				154,790
				4,738,044
Industrial - 0.4%
Basic - 0.0%
FMG Resources (August 2006) Pty Ltd.
9.75%, 3/01/22 (f)		3		2,927
Fresnillo PLC
5.50%, 11/13/23 (f)		200		207,100

	Principal Amount (000)		U.S. $ Value
Glencore Finance Canada Ltd.
6.00%, 11/15/41 (f)	$	11	$	12,010
Glencore Funding LLC
4.00%, 4/16/25 (f)		12		11,757
Southern Copper Corp.
3.875%, 4/23/25		99		98,213
				332,007
Capital Goods - 0.1%
CNH Industrial Capital LLC
3.375%, 7/15/19		62		62,496
4.375%, 4/05/22		93		94,492
Embraer Netherlands Finance BV
5.40%, 2/01/27		97		99,263
General Electric Co.
Series D
5.00%, 1/21/21 (n)		122		120,326
Masco Corp.
5.95%, 3/15/22		33		35,073
7.125%, 3/15/20		3		3,469
				415,119
Communications - Telecommunications - 0.0%
Sprint Spectrum Co. LLC/Sprint Spectrum Co. II LLC/Sprint Spectrum Co. III LLC
4.738%, 3/20/25 (f)		330		328,086
Consumer Cyclical - Automotive - 0.1%
General Motors Co.
5.20%, 4/01/45		140		132,793
5.40%, 4/01/48 (a)		151		148,542
6.25%, 10/02/43		185		198,055
General Motors Financial Co., Inc.
3.10%, 1/15/19		62		62,122
ZF North America Capital, Inc.
4.75%, 4/29/25 (f)		150		150,741
				692,253
Consumer Cyclical - Other - 0.0%
DR Horton, Inc.
4.00%, 2/15/20		108		109,279
Consumer Non-Cyclical - 0.1%
Anheuser-Busch InBev Finance, Inc.
2.65%, 2/01/21		91		90,563
Constellation Brands, Inc.
3.75%, 5/01/21		49		49,662
CVS Health Corp.
4.78%, 3/25/38		265		263,847
Universal Health Services, Inc.
4.75%, 8/01/22 (f)		151		151,660
				555,732

	Principal Amount (000)		U.S. $ Value
Energy - 0.1%
Cenovus Energy, Inc.
4.45%, 9/15/42	$	75	$	65,819
6.75%, 11/15/39		4		4,000
Ecopetrol SA
5.875%, 5/28/45		37		35,226
Energy Transfer Partners LP
6.125%, 12/15/45		135		137,557
Energy Transfer Partners LP/Regency
Energy Finance Corp.
4.50%, 11/01/23		95		95,875
Kinder Morgan, Inc./DE
4.30%, 6/01/25		140		140,225
Series G
7.75%, 1/15/32		28		34,427
Shell International Finance BV
2.25%, 11/10/20		275		271,505
				784,634
Services - 0.0%
IHS Markit Ltd.
5.00%, 11/01/22 (f)		66		67,474
Technology - 0.0%
Dell International LLC/EMC Corp.
5.45%, 6/15/23 (f)		92		96,846
Seagate HDD Cayman
4.75%, 1/01/25		68		65,346
4.875%, 6/01/27		252		235,784
				397,976
				3,682,560
Utility - 0.0%
Electric - 0.0%
Duke Energy Corp.
3.95%, 10/15/23		209		212,998
Total Corporates - Investment Grade (cost $8,958,111)				8,633,602
EMERGING MARKETS - SOVEREIGNS - 1.0%
Argentina - 0.2%
Argentine Republic Government International Bond
6.875%, 1/26/27		1,350		1,274,400
Bahamas - 0.0%
Bahamas Government International Bond
6.00%, 11/21/28 (f)		200		199,250
Bahrain - 0.1%
Bahrain Government International Bond
6.75%, 9/20/29 (f)		200		170,454
7.00%, 10/12/28 (f)		200		177,750
				348,204

	Principal Amount (000)		U.S. $ Value
Cameroon - 0.0%
Republic of Cameroon International Bond
9.50%, 11/19/25 (f)	$	200	$	222,000
Costa Rica - 0.0%
Costa Rica Government International Bond
4.37%, 5/22/19 (f)		107		106,693
Dominican Republic - 0.1%
Dominican Republic International Bond
5.95%, 1/25/27 (f)		220		220,622
8.625%, 4/20/27 (f)		425		480,473
				701,095
Ecuador - 0.0%
Ecuador Government International Bond
10.50%, 3/24/20 (f)		205		212,688
Egypt - 0.1%
Egypt Government International Bond
6.125%, 1/31/22 (f)		407		410,561
El Salvador - 0.0%
El Salvador Government International Bond
7.375%, 12/01/19 (f)		200		205,353
Gabon - 0.1%
Gabon Government International Bond
6.375%, 12/12/24 (f)		360		344,700
Honduras - 0.0%
Honduras Government International Bond
6.25%, 1/19/27 (f)		180		181,248
Ivory Coast - 0.1%
Ivory Coast Government International Bond
6.375%, 3/03/28 (f)		635		619,919
Jamaica - 0.0%
Jamaica Government International Bond
7.875%, 7/28/45		200		225,250
Lebanon - 0.0%
Lebanon Government International Bond
5.15%, 11/12/18 (f)		100		99,875
Mongolia - 0.0%
Mongolia Government International Bond
5.125%, 12/05/22 (f)		270		259,537
Nigeria - 0.1%
Nigeria Government International Bond
6.50%, 11/28/27 (f)		200		197,508

	Principal Amount (000)		U.S. $ Value
6.75%, 1/28/21 (f)	$	200	$	206,750
				404,258
Senegal - 0.0%
Senegal Government International Bond
6.25%, 5/23/33 (f)		365		338,680
Sri Lanka - 0.0%
Sri Lanka Government International Bond
6.20%, 5/11/27 (f)		220		210,375
Turkey - 0.1%
Turkey Government International Bond
4.875%, 10/09/26		370		333,000
6.00%, 3/25/27		340		326,400
				659,400
Ukraine - 0.1%
Ukraine Government International Bond
7.75%, 9/01/23-9/01/24 (f)		765		768,325
Venezuela - 0.0%
Venezuela Government International Bond
9.25%, 9/15/27 (b)(o)		815		240,425
Zambia - 0.0%
Zambia Government International Bond
8.50%, 4/14/24 (f)		200		185,500
Total Emerging Markets - Sovereigns (cost $8,866,019)				8,217,736
EMERGING MARKETS - CORPORATE BONDS - 0.8%
Industrial - 0.7%
Basic - 0.2%
Consolidated Energy Finance SA
6.875%, 6/15/25 (f)		200		203,938
First Quantum Minerals Ltd.
7.00%, 2/15/21 (f)		33		32,685
7.25%, 5/15/22-4/01/23 (f)		542		544,252
Lundin Mining Corp.
7.875%, 11/01/22 (f)		133		139,648
Stillwater Mining Co.
6.125%, 6/27/22 (f)		200		192,802
7.125%, 6/27/25 (f)		200		192,006
Vedanta Resources PLC
6.375%, 7/30/22 (f)		220		215,859
				1,521,190
Capital Goods - 0.0%
CIMPOR Financial Operations BV
5.75%, 7/17/24 (a)(f)		200		180,500

	Principal Amount (000)		U.S. $ Value
Odebrecht Finance Ltd.
5.25%, 6/27/29 (f)	$	200	$	64,250
				244,750
Communications - Telecommunications - 0.1%
Digicel Group Ltd.
8.25%, 9/30/20 (f)		315		237,825
Digicel Ltd.
6.75%, 3/01/23 (f)		89		76,617
Millicom International Cellular SA
5.125%, 1/15/28 (f)		200		183,684
				498,126
Consumer Cyclical - Other - 0.1%
Wynn Macau Ltd.
4.875%, 10/01/24 (f)		214		204,289
5.50%, 10/01/27 (f)		214		205,290
				409,579
Consumer Cyclical - Retailers - 0.0%
K2016470219 South Africa Ltd.
3.00%, 12/31/22 (e)(g)(k)		35		1,059
K2016470260 South Africa Ltd.
25.00%, 12/31/22 (e)(g)(k)		10		2,936
				3,995
Consumer Non-Cyclical - 0.2%
Arcelik AS
5.00%, 4/03/23 (f)		69		66,492
BRF GmbH
4.35%, 9/29/26 (f)		480		398,400
Cosan Ltd.
5.95%, 9/20/24 (f)		360		350,471
MARB BondCo PLC
6.875%, 1/19/25 (f)		200		185,930
Minerva Luxembourg SA
6.50%, 9/20/26 (f)		220		201,025
Natura Cosmeticos SA
5.375%, 2/01/23 (f)		200		194,885
Rede D’or Finance SARL
4.95%, 1/17/28 (f)		200		178,736
Teva Pharmaceutical Finance Netherlands III BV
1.70%, 7/19/19		94		91,198
2.80%, 7/21/23		72		61,564
3.15%, 10/01/26		55		44,186
Tonon Luxembourg SA
7.25%, 1/24/20 (b)(e)(g)(k)(o)		14		657
Virgolino de Oliveira Finance SA
10.50%, 1/28/18 (b)(e)(g)(l)		434		23,575
				1,797,119

	Principal Amount (000)		U.S. $ Value
Energy – 0.1%
Azure Power Energy Ltd.
5.50%, 11/03/22 (f)	$	200	$	188,900
CHC Group LLC/CHC Finance Ltd.
Series AI
Zero Coupon, 10/01/20 (h)		158		158,476
Petrobras Global Finance BV
5.999%, 1/27/28 (f)		66		61,097
6.125%, 1/17/22		8		8,715
6.25%, 3/17/24		175		176,750
8.75%, 5/23/26		300		330,825
YPF SA
6.95%, 7/21/27 (f)		111		102,975
16.50%, 5/09/22 (f)	ARS	2,493		77,302
				1,105,040
Transportation - Airlines - 0.0%
Guanay Finance Ltd.
6.00%, 12/15/20 (f)	$	13		13,771
Latam Finance Ltd.
6.875%, 4/11/24 (f)		285		277,875
				291,646
Transportation - Services - 0.0%
Rumo Luxembourg SARL
7.375%, 2/09/24 (f)		200		207,400
				6,078,845
Financial Institutions - 0.1%
Banking - 0.1%
Itau Unibanco Holding SA/Cayman Island
6.125%, 12/12/22 (f)(n)		200		188,294
Turkiye Vakiflar Bankasi TAO
5.75%, 1/30/23 (f)		200		182,970
				371,264
Finance - 0.0%
Unifin Financiera SAB de CV SOFOM ENR
7.00%, 1/15/25 (f)		200		189,178
Insurance - 0.0%
Ambac LSNI LLC
6.811% (LIBOR 3 Month + 5.00%), 2/12/23 (e)(f)(p)		24		23,905
				584,347
Utility - 0.0%
Electric - 0.0%
Genneia SA
8.75%, 1/20/22 (f)		90		91,463
Pampa Energia SA
7.50%, 1/24/27 (f)		150		143,017

	Principal Amount (000)		U.S. $Value
Terraform Global Operating LLC
6.125%, 3/01/26 (f)	$	37	$	37,162
				271,642
Total Emerging Markets - Corporate Bonds (cost $7,463,987)				6,934,834
COLLATERALIZED MORTGAGE OBLIGATIONS - 0.8%
Risk Share Floating Rate - 0.8%
Federal Home Loan Mortgage Corp. Structured Agency Credit Risk Debt Notes
Series 2013-DN1, Class M2
9.11% (LIBOR 1 Month + 7.15%), 7/25/23 (p)		35		42,879
Series 2013-DN2, Class M2
6.21% (LIBOR 1 Month + 4.25%), 11/25/23 (p)		124		137,790
Series 2014-DN1, Class M3
6.46% (LIBOR 1 Month + 4.50%), 2/25/24 (p)		89		102,242
Series 2014-HQ2, Class M3
5.71% (LIBOR 1 Month + 3.75%), 9/25/24 (p)		131		150,271
Series 2014-HQ3, Class M3
6.71% (LIBOR 1 Month + 4.75%), 10/25/24 (p)		430		479,063
Federal National Mortgage Association
Connecticut Avenue Securities
Series 2013-C01, Class M2
7.21% (LIBOR 1 Month + 5.25%), 10/25/23 (p)		35		40,953
Series 2014-C01, Class M2
6.36% (LIBOR 1 Month + 4.40%), 1/25/24 (p)		66		74,568
Series 2014-C02, Class 1M2
4.56% (LIBOR 1 Month + 2.60%), 5/25/24 (p)		228		242,052
Series 2014-C03, Class 1M2
4.96% (LIBOR 1 Month + 3.00%), 7/25/24 (p)		218		232,743
Series 2014-C04, Class 1M2
6.86% (LIBOR 1 Month + 4.90%), 11/25/24 (p)		230		263,390
Series 2014-C04, Class 2M2
6.96% (LIBOR 1 Month + 5.00%), 11/25/24 (p)		466		524,168
Series 2015-C01, Class 1M2
6.26% (LIBOR 1 Month + 4.30%), 2/25/25 (p)		272		300,266
Series 2015-C01, Class 2M2
6.51% (LIBOR 1 Month + 4.55%), 2/25/25 (p)		154		167,467

	Principal Amount (000)		U.S. $ Value
Series 2015-C02, Class 1M2
5.96% (LIBOR 1 Month + 4.00%), 5/25/25 (p)	$	266	$	291,909
Series 2015-C02, Class 2M2
5.96% (LIBOR 1 Month + 4.00%), 5/25/25 (p)		249		268,292
Series 2015-C03, Class 1M2
6.96% (LIBOR 1 Month + 5.00%), 7/25/25 (p)		14		16,012
Series 2015-C03, Class 2M2
6.96% (LIBOR 1 Month + 5.00%), 7/25/25 (p)		351		390,270
Series 2015-C04, Class 2M2
7.51% (LIBOR 1 Month + 5.55%), 4/25/28 (p)		367		415,581
Series 2016-C01, Class 2M2
8.91% (LIBOR 1 Month + 6.95%), 8/25/28 (p)		227		271,977
Series 2016-C03, Class 2M2
7.86% (LIBOR 1 Month + 5.90%), 10/25/28 (p)		440		516,860
Series 2016-C05, Class 2M2
6.41% (LIBOR 1 Month + 4.45%), 1/25/29 (p)		465		520,701
Series 2016-C07, Class 2M2
6.31% (LIBOR 1 Month + 4.35%), 5/25/29 (p)		475		529,770
Series 2017-C01, Class 1B1
7.71% (LIBOR 1 Month + 5.75%), 7/25/29 (p)		440		524,112
				6,503,336
Agency Fixed Rate - 0.0%
Federal National Mortgage Association Grantor Trust
Series 2004-T5, Class AB4
2.437%, 5/28/35 (e)		96		89,217
Non-Agency Fixed Rate - 0.0%
Alternative Loan Trust
Series 2006-28CB, Class A14
6.25%, 10/25/36		14		11,646
CSMC Mortgage-Backed Trust
Series 2006-7, Class 3A12
6.25%, 8/25/36		18		14,541
				26,187
Total Collateralized Mortgage Obligations (cost $6,468,435)				6,618,740
EMERGING MARKETS - TREASURIES - 0.7%
Argentina - 0.2%
Argentina POM Politica Monetaria
Series POM
28.75% (ARPP7DRR), 6/21/20 (p)	ARS	4,155		173,208

	Principal Amount (000)		U.S. $Value
Argentine Bonos del Tesoro
15.50%, 10/17/26	$	5,984	$	212,414
16.00%, 10/17/23		10,432		370,050
18.20%, 10/03/21		14,384		521,897
21.20%, 9/19/18		6,608		255,216
				1,532,785
Brazil - 0.3%
Brazil Notas do Tesouro Nacional
Series F
10.00%, 1/01/25-1/01/27	BRL	9,169		2,305,196
Dominican Republic - 0.1%
Dominican Republic International Bond
16.00%, 7/10/20 (g)	DOP	25,000		579,763
South Africa - 0.0%
Republic of South Africa Government Bond
Series R186
10.50%, 12/21/26	ZAR	3,037		265,597
Turkey - 0.1%
Turkey Government Bond
11.00%, 2/24/27	TRY	1,461		272,208
11.10%, 5/15/19		4,030		844,550
				1,116,758
Total Emerging Markets - Treasuries (cost $7,855,566)				5,800,099
BANK LOANS - 0.3%
Industrial - 0.3%
Basic - 0.0%
Foresight Energy LLC
8.109% (LIBOR 3 Month + 5.75%), 3/28/22 (r)	$	29		28,983
Unifrax I LLC
5.802% (LIBOR 3 Month + 3.50%),
4/04/24 (r)		27		27,274
				56,257
Capital Goods - 0.0%
Gardner Denver, Inc.
5.052% (LIBOR 3 Month + 2.75%), 7/30/24 (r)		46		45,959
Communications - Telecommunications - 0.0%
Intelsat Jackson Holdings S.A.
6.47% (LIBOR 1 Month + 4.50%), 1/02/24 (r)		9		9,044
6.63%, 1/02/24		15		15,012
West Corporation
5.98% (LIBOR 1 Month + 4.00%), 10/10/24 (r)		149		149,164
				173,220

	Principal Amount (000)		U.S. $ Value
Consumer Cyclical - Automotive - 0.0%
Navistar, Inc.
5.43% (LIBOR 1 Month + 3.50%), 11/06/24 (r)	$	46	$	46,686
Consumer Cyclical - Entertainment - 0.0%
Seaworld Parks & Entertainment, Inc. (fka SW Acquisitions Co., Inc.)
5.302% (LIBOR 3 Month + 3.00%), 4/01/24 (r)		61		60,337
Consumer Cyclical - Other - 0.0%
Caesars Resort Collection, LLC (fka
Caesars Growth Properties Holdings, LLC)
4.73% (LIBOR 1 Month + 2.75%), 12/23/24 (r)		187		187,164
Consumer Cyclical - Retailers - 0.1%
J.C. Penney Corporation, Inc.
6.569% (LIBOR 3 Month + 4.25%), 6/23/23 (r)		148		139,139
Serta Simmons Bedding, LLC
10.331% (LIBOR 3 Month + 8.00%), 11/08/24 (r)		118		89,463
				228,602
Consumer Non-Cyclical - 0.1%
Air Medical Group Holdings, Inc.
5.173% (LIBOR 1 Month + 3.25%), 4/28/22 (r)		300		299,856
Alphabet Holding Company, Inc. (fka Nature’s Bounty)
9.73% (LIBOR 1 Month + 7.75%), 9/26/25 (r)		263		202,924
Owens & Minor, Inc.
6.48% (LIBOR 1 Month + 4.50%), 5/02/25 (r)		166		161,688
Vizient, Inc.
4.73% (LIBOR 1 Month + 2.75%), 2/13/23 (e)(r)		2		1,587
				666,055
Energy - 0.0%
California Resources Corporation
12.336% (LIBOR 1 Month + 10.38%), 12/31/21 (e)(r)		113		126,143
Other Industrial - 0.1%
American Tire Distributors, Inc.
9/01/21 (s)		291		252,281
Travelport Finance (Luxembourg) SARL
4.83% (LIBOR 3 Month + 2.50%), 3/17/25(r)		56		56,082
				308,363

	Principal Amount (000)		U.S. $ Value
Services - 0.0%
Monitronics International, Inc.
9/30/22 (s)	$	54	$	51,621
Technology - 0.0%
Conduent Incorporated
4.98% (LIBOR 1 Month + 3.00%), 12/07/23 (r)		12		11,965
MTS Systems Corporation
5.17% (LIBOR 1 Month + 3.25%), 7/05/23 (e)(r)		59		58,936
Solera, LLC (Solera Finance, Inc.)
4.73% (LIBOR 1 Month + 2.75%), 3/03/23 (r)		145		145,192
				216,093
Total Bank Loans (cost $2,251,042)				2,166,500
COMMERCIAL MORTGAGE-BACKED SECURITIES - 0.1%
Non-Agency Fixed Rate CMBS - 0.1%
Citigroup Commercial Mortgage Trust
Series 2014-GC23, Class D
4.514%, 7/10/47 (e)(f)		35		31,087
GS Mortgage Securities Trust
Series 2014-GC18, Class D
4.944%, 1/10/47 (e)(f)		71		62,342
JP Morgan Chase Commercial Mortgage Securities Trust
Series 2012-CBX, Class E
5.214%, 6/15/45 (e)(f)		298		272,211
JPMBB Commercial Mortgage Securities Trust
Series 2013-C17, Class D
4.881%, 1/15/47 (e)(f)		71		66,876
Morgan Stanley Capital I Trust
Series 2005-IQ9, Class D
5.00%, 7/15/56 (e)		105		103,118
				535,634
Non-Agency Floating Rate CMBS - 0.0%
BBCMS Mortgage Trust
Series 2017-GLKS, Class F
5.619% (LIBOR 1 Month + 3.70%), 11/15/34 (e)(f)(p)		105		106,412
CLNS Trust
Series 2017-IKPR, Class F
6.429% (LIBOR 1 Month + 4.50%), 6/11/32 (e)(f)(p)		110		111,103

	Principal Amount (000)		U.S. $ Value
H/2 Asset Funding NRE
Series 2015-1A, Class AFL
3.615% (LIBOR 1 Month + 1.65%), 6/24/49 (e)(g)(p)	$	67	$	67,479
				284,994
Total Commercial Mortgage-Backed Securities (cost $839,088)				820,628
ASSET-BACKED SECURITIES - 0.1%
Other ABS - Fixed Rate - 0.1%
SoFi Consumer Loan Program LLC
Series 2017-6, Class C
4.02%, 11/25/26 (e)(f)		360		357,872
Taco Bell Funding LLC
Series 2016-1A, Class A23
4.97%, 5/25/46 (e)(f)		38		39,749
Series 2016-1A, Class A2I
3.832%, 5/25/46 (e)(f)		70		69,953
				467,574
Home Equity Loans - Fixed Rate - 0.0%
CWABS Asset-Backed Certificates Trust
Series 2005-7, Class AF5W
5.054%, 10/25/35 (e)		140		139,002
GSAA Home Equity Trust
Series 2006-6, Class AF5
6.241%, 3/25/36 (e)		186		94,198
Lehman XS Trust
Series 2007-6, Class 3A5
4.855%, 5/25/37 (e)		66		65,374
				298,574
Home Equity Loans - Floating Rate - 0.0%
Asset Backed Funding Certificates Trust
Series 2003-WF1, Class A2
3.085% (LIBOR 1 Month + 1.13%), 12/25/32 (e)(p)		42		41,806
Total Asset-Backed Securities (cost $797,041)				807,954
COLLATERALIZED LOAN OBLIGATIONS - 0.1%
CLO - Floating Rate - 0.1%
CIFC Funding Ltd.
Series 2015-4A, Class D
7.859% (LIBOR 3 Month + 5.50%), 10/20/27 (e)(f)(p)		177		178,601
Dryden Senior Loan Fund
Series 2017-49A, Class E
8.655% (LIBOR 3 Month + 6.30%), 7/18/30 (e)(f)(p)		250		254,208

	Principal Amount (000)		U.S. $ Value
Rockford Tower CLO Ltd.
Series 2017-2A, Class D
5.798% (LIBOR 3 Month + 3.45%), 10/15/29 (e)(f)(p)	$	306	$	307,570
Total Collateralized Loan Obligations (cost $733,510)				740,379
	Shares
PREFERRED STOCKS - 0.1%
Industrial - 0.1%
Capital Goods - 0.1%
Tervita Corp.
0.00% (b)(c)(e)		60,772		447,611
Consumer Cyclical - Other - 0.0%
Hovnanian Enterprises, Inc.
7.625%		1,190		7,806
Energy - 0.0%
Berry Petroleum Co. LLC
0.00% (b)(c)(e)		4,654		63,606
Sanchez Energy Corp.
Series A
4.875%		2,338		36,239
				99,845
Services - 0.0%
iPayment Holdings, Inc.
0.00% (b)(c)(d)(e)		877		87,700
Technology - 0.0%
Goodman Networks, Inc.
0.00% (b)(c)(d)(e)		3,576		14,805
				657,767
Utility - 0.0%
Electric - 0.0%
SCE Trust III
Series H
5.75% (a)		1,027		27,000
Financial Institutions - 0.0%
Banking - 0.0%
GMAC Capital Trust I
Series 2
8.128%		868		22,664
Total Preferred Stocks (cost $716,967)				707,431

	Principal Amount (000)		U.S. $ Value
LOCAL GOVERNMENTS - REGIONAL BONDS - 0.1%
Argentina - 0.1%
Provincia de Buenos Aires/Argentina
9.125%, 3/16/24 (f)
(cost $499,210)	$	445	$	453,900
LOCAL GOVERNMENTS - US MUNICIPAL BONDS - 0.0%
United States - 0.0%
State of California
Series 2010
7.60%, 11/01/40		60		91,488
7.95%, 3/01/36		130		141,010
Total Local Governments - US Municipal Bonds (cost $231,785)				232,498
QUASI-SOVEREIGNS - 0.0%
Quasi-Sovereign Bonds - 0.0%
Chile - 0.0%
Empresa Nacional del Petroleo
3.75%, 8/05/26 (f)
(cost $199,522)		200		186,000
	Notional Amount
OPTIONS PURCHASED - PUTS - 0.0%
Options on Forward Contracts - 0.0%
MXN/USD
Expiration: Jul 2018; Contracts: 13,000,000;
Exercise Price: MXN 20.00;
Counterparty: JPMorgan Chase Bank, NA (b)	MXN	13,000,000		18,969
USD/EUR
Expiration: Oct 2018; Contracts: 1,361,250;
Exercise Price: USD 1.21;
Counterparty: Royal Bank of Scotland PLC (b)	USD	1,361,250		11,634
Total Options Purchased - Puts (premiums paid $27,935)				30,603
	Shares
WARRANTS - 0.0%
Information Technology - 0.0%
Software - 0.0%
Avaya Holdings Corp., expiring 12/15/22 (b)(e)		4,686		24,311
Energy - 0.0%
Oil, Gas & Consumable Fuels - 0.0%
Midstates Petroleum Co., Inc., expiring 4/21/20 (b)(c)		2,090		648
SandRidge Energy, Inc., A-CW22, expiring 10/04/22 (b)		4,803		1,200
SandRidge Energy, Inc., B-CW22, expiring 10/04/22 (b)		2,019		505
				2,353

	Shares			U.S. $ Value
Financials - 0.0%
Diversified Financial Services - 0.0%
iPayment Holdings, Inc., expiring 12/29/22 (b)(c)(d)(e)		52,132		$	0
Total Warrants (cost $39,154)					26,664
	Notional Amount
OPTIONS PURCHASED - CALLS - 0.0%
Options on Forward Contracts - 0.0%
MXN/USD
Expiration: Jul 2018; Contracts: 11,661,650;
Exercise Price: MXN 17.94;
Counterparty: Royal Bank of Scotland Group PLC (b)	MXN	11,661,650			788
MXN/USD
Expiration: Aug 2018; Contracts: 80,850,000;
Exercise Price: MXN 17.50;
Counterparty: Deutsche Bank AG (b)	MXN	80,850,000			3,324
SEK/EUR
Expiration: Jun 2018; Contracts: 34,548,100;
Exercise Price: SEK 9.99;
Counterparty: BNP Paribas SA (b)	SEK	34,548,100			952
SEK/EUR
Expiration: Jun 2018; Contracts: 10,696,250;
Exercise Price: SEK 9.95;
Counterparty: Goldman Sachs Bank USA (b)	SEK	10,696,250			252
Total Options Purchased - Calls (premiums paid $129,952)					5,316
	Principal Amount (000)
MORTGAGE PASS-THROUGHS - 0.0%
Agency Fixed Rate 30-Year - 0.0%
Federal National Mortgage Association
Series 2006
5.00%, 1/01/36
(cost $210)	$	0	**		205
	Shares
SHORT-TERM INVESTMENTS - 11.1%
Investment Companies - 9.9%
AB Fixed Income Shares, Inc. - Government
Money Market Portfolio - Class AB, 1.57% (i)(j)(t) (cost $81,103,460)		81,103,460			81,103,460

	Principal Amount (000)		U.S. $ Value
U.S. Treasury Bills - 1.2%
U.S. Treasury Bill
Zero Coupon, 8/02/18 (q)	$	8,000	$	7,974,972
Zero Coupon, 8/09/18		2,000		1,992,920
Total U.S. Treasury Bills (cost $9,967,892)				9,967,892
Total Short-Term Investments (cost $91,071,352)				91,071,352
Total Investments Before Security Lending Collateral for Securities Loaned - 98.2% (cost $779,151,319)				808,650,439
	Shares
INVESTMENTS OF CASH COLLATERAL FOR SECURITIES LOANED - 2.9%
Investment Companies - 2.9%
AB Fixed Income Shares, Inc. - Government
Money Market Portfolio - Class AB, 1.57% (i)(j)(t) (cost $23,398,185)		23,398,185		23,398,185
Total Investments - 101.1% (cost $802,549,504) (u)				832,048,624
Other assets less liabilities - (1.1)%				(8,925,833	)
Net Assets - 100.0%			$	823,122,791

FUTURES

Description	Number of Contracts		Expiration Month	Notional (000)			Original Value		Value at May 31, 2018		Unrealized Appreciation/ (Depreciation)
Purchased Contracts
10 Yr Australian Bond Futures		78	June 2018	AUD	7,800		$	7,516,217	$	7,609,705	$	93,488
10 Yr Canadian Bond Futures		35	September 2018	CAD	3,500			3,583,213		3,669,520		86,307
10 Yr Japan Bond (OSE) Futures		135	June 2018	JPY	13,500,000			187,016,949		187,350,738		333,789
Bcom Commodity Index Futures		11,959	June 2018	USD	1,196			105,032,686		108,468,130		3,435,444
Euro Buxl 30 Yr Bond Futures		139	June 2018	EUR	13,900			25,944,800		27,748,163		1,803,363
Euro STOXX 50 Index Futures		20	June 2018	EUR	– 0	– ***		823,378		796,591		(26,787	)
Euro-BOBL Futures		135	June 2018	EUR	13,500			20,529,612		20,916,126		386,514
Euro-Bund Futures		235	June 2018	EUR	23,500			43,199,987		44,544,216		1,344,229
Euro-Schatz Futures		169	June 2018	EUR	16,900			22,087,475		22,164,339		76,864
FTSE 100 Index Futures		8	June 2018	GBP	– 0	– ***		807,033		815,690		8,657
Long Gilt Futures		289	September 2018	GBP	28,900			46,271,398		47,431,150		1,159,752
Mini MSCI Emerging Markets Futures		179	June 2018	USD	9			10,547,047		10,039,215		(507,832	)
MSCI EAFE Futures		157	June 2018	USD	8			15,829,920		15,597,950		(231,970	)
Russell 2000 Mini Futures		16	June 2018	USD	1			1,271,200		1,307,360		36,160
S&P 500 E-Mini Futures		30	June 2018	USD	2			4,025,007		4,058,250		33,243
S&P Mid 400 E-Mini Futures		60	June 2018	USD	6			11,547,970		11,682,000		134,030
S&P TSX 60 Index Futures		10	June 2018	CAD	2			1,475,570		1,464,291		(11,279	)
TOPIX Index Futures		5	June 2018	JPY	50			786,577		801,811		15,234
U.S. T-Note 2 Yr (CBT) Futures		31	September 2018	USD	6,200			6,563,320		6,579,266		15,946

Description	Number of Contracts		Expiration Month	Notional (000)		Original Value		Value at May 31, 2018		Unrealized Appreciation/ (Depreciation)
U.S. T-Note 5 Yr (CBT) Futures		394	September 2018	USD	39,400	$	44,585,137	$	44,872,906	$	287,769
U.S. T-Note 10 Yr (CBT) Futures		383	September 2018	USD	38,300		46,217,420		46,127,563		(89,857	)
U.S. Ultra Bond (CBT) Futures		230	September 2018	USD	23,000		35,287,004		36,685,000		1,397,996
Sold Contracts
10 Yr Mini Japan Government Bond Futures		151	June 2018	JPY	1,510,000		20,933,493		20,951,363		(17,870	)
CBOE VIX Futures		3	June 2018	USD	3		44,973		46,275		(1,302	)
Euro Buxl 30 Yr Bond Futures		9	June 2018	EUR	900		1,744,798		1,796,644		(51,846	)
Euro-BOBL Futures		13	June 2018	EUR	1,300		2,001,669		2,014,146		(12,477	)
Euro-Bund Futures		133	June 2018	EUR	13,300		24,471,050		25,210,131		(739,081	)
Long Gilt Futures		15	September 2018	GBP	1,500		2,426,510		2,461,824		(35,314	)
TOPIX Index Futures		8	June 2018	JPY	80		1,324,762		1,282,897		41,865
U.S. T-Note 5 Yr (CBT) Futures		41	September 2018	USD	4,100		4,639,354		4,669,516		(30,162	)
U.S. Ultra Bond (CBT) Futures		21	September 2018	USD	2,100		3,268,656		3,349,500		(80,844	)
										$	8,854,029

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.	NZD	2,092	USD	1,512		6/07/18	$	48,328
Australia and New Zealand Banking Group Ltd.	AUD	2,193	USD	1,693		7/17/18		33,738
Australia and New Zealand Banking Group Ltd.	NZD	3,451	USD	2,509		7/17/18		94,056
Australia and New Zealand Banking Group Ltd.	USD	1,670	CNY	10,564		7/17/18		(28,372	)
Australia and New Zealand Banking Group Ltd.	AUD	824	USD	623		8/09/18		(36	)
Bank of America, NA	BRL	10,761	USD	2,982		6/04/18		92,015
Bank of America, NA	BRL	5,870	USD	1,571		6/04/18		(5,462	)
Bank of America, NA	USD	2,880	BRL	10,761		6/04/18		10,014
Bank of America, NA	USD	1,639	BRL	5,870		6/04/18		(62,508	)
Bank of America, NA	TWD	21,342	USD	723		6/07/18		10,497
Bank of America, NA	CAD	4,111	USD	3,256		6/12/18		84,063
Bank of America, NA	USD	2,083	CAD	2,660		6/12/18		(31,108	)
Bank of America, NA	BRL	928	USD	267		6/14/18		17,643
Bank of America, NA	SGD	245	USD	182		6/14/18		(1,305	)
Bank of America, NA	EUR	672	USD	800		6/19/18		13,784
Bank of America, NA	GBP	3,083	USD	4,272		6/19/18		169,627
Bank of America, NA	USD	8,658	INR	569,686		6/19/18		(225,961	)
Bank of America, NA	USD	4,987	RUB	286,816		6/19/18		(395,506	)
Bank of America, NA	RUB	43,534	USD	700		6/26/18		3,446
Bank of America, NA	RUB	50,910	USD	809		6/26/18		(5,963	)
Bank of America, NA	USD	4,261	RUB	263,439		6/26/18		(45,319	)
Bank of America, NA	USD	1,912	CHF	1,880		6/28/18		(442	)
Bank of America, NA	USD	1,495	JPY	161,899		6/28/18		(4,320	)
Bank of America, NA	USD	500	ILS	1,795		7/12/18		4,668
Bank of America, NA	EUR	677	USD	844		7/17/18		49,423
Bank of America, NA	GBP	599	USD	846		7/17/18		47,616
Bank of America, NA	JPY	178,637	USD	1,680		7/17/18		33,054
Bank of America, NA	NZD	1,152	USD	836		7/17/18		30,291
Bank of America, NA	USD	2,515	CAD	3,193		7/17/18		(49,190	)
Bank of America, NA	USD	846	EUR	681		7/17/18		(47,513	)
Bank of America, NA	USD	844	NOK	6,602		7/17/18		(35,738	)
Bank of America, NA	USD	3,418	ZAR	42,542		7/17/18		(95,127	)
Barclays Bank PLC	BRL	9,380	USD	2,519		6/04/18		710
Barclays Bank PLC	USD	2,510	BRL	9,380		6/04/18		8,728

Counterparty	Contracts to Deliver (000)			In Exchange For (000)			Settlement Date		Unrealized Appreciation/ (Depreciation)
Barclays Bank PLC		TWD	86,088		USD	2,950		6/07/18	$	77,225
Barclays Bank PLC		USD	5,880		TWD	172,237		6/07/18		(131,984	)
Barclays Bank PLC		AUD	410		NZD	439		6/08/18		(2,552	)
Barclays Bank PLC		CAD	2,636		JPY	224,703		6/12/18		33,021
Barclays Bank PLC		CAD	2,141		USD	1,646		6/12/18		(5,386	)
Barclays Bank PLC		GBP	1,549		SEK	18,009		6/14/18		(15,942	)
Barclays Bank PLC		USD	3,296		MXN	64,754		6/14/18		(55,414	)
Barclays Bank PLC		EUR	451		SEK	4,660		6/18/18		1,585
Barclays Bank PLC		CAD	6,284		USD	4,889		6/19/18		39,825
Barclays Bank PLC		USD	4,218		AUD	5,373		6/19/18		(153,803	)
Barclays Bank PLC		USD	4,263		SEK	33,897		6/19/18		(414,867	)
Barclays Bank PLC		USD	830		TRY	3,954		6/21/18		36,518
Barclays Bank PLC		CNY	5,261		USD	825		6/28/18		6,027
Barclays Bank PLC		USD	2,512		BRL	9,380		7/03/18		336
Barclays Bank PLC		MYR	16,595		USD	4,233		7/12/18		81,016
Barclays Bank PLC		MYR	17,932		USD	4,392		7/12/18		(94,496	)
Barclays Bank PLC		USD	7,609		MYR	30,055		7/12/18		(90,381	)
Barclays Bank PLC		USD	797		MYR	3,266		7/12/18		20,473
Barclays Bank PLC		AUD	1,081		USD	824		7/17/18		6,499
Barclays Bank PLC		CHF	3,209		USD	3,359		7/17/18		90,123
Barclays Bank PLC		CNY	9,532		USD	1,484		7/17/18		2,434
Barclays Bank PLC		EUR	2,088		GBP	1,829		7/17/18		(12,271	)
Barclays Bank PLC		EUR	2,339		JPY	310,270		7/17/18		116,610
Barclays Bank PLC		ILS	5,870		USD	1,698		7/17/18		46,507
Barclays Bank PLC		ILS	2,068		USD	579		7/17/18		(2,681	)
Barclays Bank PLC		JPY	357,133		USD	3,357		7/17/18		64,007
Barclays Bank PLC		NZD	1,149		USD	823		7/17/18		18,752
Barclays Bank PLC		PLN	6,951		USD	1,983		7/17/18		99,922
Barclays Bank PLC		USD	1,657		CHF	1,650		7/17/18		23,142
Barclays Bank PLC		USD	1,676		EUR	1,341		7/17/18		(103,501	)
Barclays Bank PLC		USD	2,169		JPY	235,505		7/17/18		2,356
Barclays Bank PLC		USD	840		NOK	6,445		7/17/18		(50,869	)
Barclays Bank PLC		USD	834		PLN	2,804		7/17/18		(74,465	)
Barclays Bank PLC		USD	825		TRY	3,372		7/17/18		(93,184	)
Barclays Bank PLC		USD	828		ZAR	9,770		7/17/18		(64,539	)
Barclays Bank PLC		KRW	4,969,705		USD	4,616		7/26/18		8,718
Barclays Bank PLC		USD	1,647		SEK	14,347		7/26/18		(13,156	)
Barclays Bank PLC		INR	84,085		USD	1,220		8/09/18		(15,955	)
Barclays Bank PLC		NZD	2,722		USD	1,909		8/09/18		4,131
Barclays Bank PLC		USD	817		INR	55,247		8/09/18		(5,058	)
BNP Paribas SA		BRL	6,043		USD	1,617		6/04/18		(5,623	)
BNP Paribas SA		USD	1,637		BRL	6,043		6/04/18		(14,663	)
BNP Paribas SA		NZD	1,423		USD	1,013		6/07/18		17,448
BNP Paribas SA		TWD	73,411		USD	2,474		6/07/18		24,425
BNP Paribas SA		USD	690		NZD	936		6/07/18		(34,777	)
BNP Paribas SA		ARS	7,279		USD	324		6/08/18		33,399
BNP Paribas SA		CAD	2,131		USD	1,642		6/12/18		(1,459	)
BNP Paribas SA		USD	810		CAD	1,021		6/12/18		(21,983	)
BNP Paribas SA		GBP	1,619		USD	2,302		6/13/18		149,821
BNP Paribas SA		EUR	160		SEK	1,631		6/18/18		(1,988	)
BNP Paribas SA		AUD	1,340		USD	1,000		6/19/18		(13,736	)
BNP Paribas SA		AUD	5,373		USD	4,182		6/19/18		118,247
BNP Paribas SA		USD	1,047		AUD	1,340		6/19/18		(33,737	)
BNP Paribas SA		USD	1,709		EUR	1,366		6/19/18		(110,036	)
BNP Paribas SA		USD	2,091		TRY	9,798		6/21/18		55,730
BNP Paribas SA		ARS	11,342		USD	539		6/26/18		95,297
BNP Paribas SA		USD	1,323		CNY	8,329		6/28/18		(27,105	)
BNP Paribas SA		ARS	13,553		USD	525		7/05/18		(702	)
BNP Paribas SA		GBP	589		USD	837		7/17/18		52,401
BNP Paribas SA		INR	195,577		USD	2,860		8/09/18		(15,681	)
BNP Paribas SA		USD	1,632		INR	111,825		8/09/18		11,860
Citibank, NA		BRL	1,113		USD	321		6/04/18		21,758
Citibank, NA		USD	298		BRL	1,113		6/04/18		1,035
Citibank, NA		NZD	641		USD	462		6/07/18		13,541
Citibank, NA		TWD	222,084		USD	7,653		6/07/18		241,543
Citibank, NA		USD	1,707		TWD	49,314		6/07/18		(61,665	)
Citibank, NA		CAD	2,131		USD	1,643		6/12/18		(540	)
Citibank, NA		BRL	941		USD	265		6/14/18		12,749
Citibank, NA		MXN	48,707		USD	2,434		6/14/18		(3,686	)

Counterparty	Contracts to Deliver (000)		In Exchange For (000)		Settlement Date		Unrealized Appreciation/ (Depreciation)
Citibank, NA	SGD	184	USD	137		6/14/18	$	(1,055	)
Citibank, NA	USD	2,495	MXN	48,415		6/14/18		(72,271	)
Citibank, NA	JPY	143,709	USD	1,313		6/19/18		(9,021	)
Citibank, NA	USD	4,342	GBP	3,083		6/19/18		(239,830	)
Citibank, NA	USD	2,051	JPY	215,655		6/19/18		(66,430	)
Citibank, NA	TRY	10,920	USD	2,414		6/21/18		20,788
Citibank, NA	USD	973	TRY	4,505		6/21/18		13,798
Citibank, NA	USD	1,655	TRY	7,421		6/21/18		(28,742	)
Citibank, NA	USD	90	ARS	1,787		6/26/18		(20,117	)
Citibank, NA	USD	206	BRL	757		7/03/18		(3,258	)
Citibank, NA	ILS	5,928	USD	1,661		7/12/18		(6,834	)
Citibank, NA	CAD	2,212	USD	1,708		7/17/18		59
Citibank, NA	EUR	676	NOK	6,511		7/17/18		4,326
Citibank, NA	GBP	592	USD	829		7/17/18		40,644
Citibank, NA	JPY	537,601	USD	5,039		7/17/18		81,926
Citibank, NA	MXN	23,116	USD	1,249		7/17/18		98,460
Citibank, NA	TRY	10,176	USD	2,423		7/17/18		216,428
Citibank, NA	USD	4,193	AUD	5,407		7/17/18		(102,625	)
Citibank, NA	USD	3,324	CNY	20,970		7/17/18		(64,709	)
Citibank, NA	USD	2,510	PLN	8,500		7/17/18		(207,186	)
Citibank, NA	USD	2,890	TRY	12,182		7/17/18		(248,157	)
Citibank, NA	USD	817	ZAR	9,847		7/17/18		(47,437	)
Citibank, NA	EUR	5,294	USD	6,194		7/18/18		(15,888	)
Citibank, NA	KRW	398,998	USD	371		7/26/18		894
Citibank, NA	NOK	13,370	SEK	14,328		7/26/18		(6,042	)
Citibank, NA	USD	10,180	KRW	10,824,418		7/26/18		(144,201	)
Citibank, NA	UYU	2,845	USD	95		8/07/18		4,048
Citibank, NA	USD	8,270	INR	561,901		8/09/18		(7,887	)
Credit Suisse International	BRL	6,406	USD	1,714		6/04/18		(5,961	)
Credit Suisse International	USD	1,824	BRL	6,406		6/04/18		(103,758	)
Credit Suisse International	AUD	1,713	CAD	1,701		6/07/18		16,840
Credit Suisse International	USD	1,322	AUD	1,744		6/07/18		(2,458	)
Credit Suisse International	NZD	439	AUD	410		6/08/18		2,533
Credit Suisse International	EUR	97	TRY	469		6/12/18		(10,134	)
Credit Suisse International	TRY	1,680	EUR	325		6/12/18		10,533
Credit Suisse International	EUR	11,285	USD	14,006		6/19/18		798,784
Credit Suisse International	TRY	2,819	USD	682		6/21/18		63,876
Credit Suisse International	EUR	215	CNY	1,692		6/22/18		11,615
Credit Suisse International	CHF	960	USD	1,006		6/28/18		29,846
Credit Suisse International	ZAR	4,137	USD	325		6/28/18		1,273
Credit Suisse International	USD	129	ZAR	1,548		7/05/18		(7,594	)
Credit Suisse International	USD	857	ILS	3,094		7/12/18		13,537
Credit Suisse International	NOK	13,389	CHF	1,633		7/26/18		24,792
Credit Suisse International	USD	319	MXN	5,961		8/02/18		(22,648	)
Credit Suisse International	CHF	71	SGD	101		8/27/18		3,275
Credit Suisse International	GBP	77	ZAR	1,372		10/17/18		2,949
Deutsche Bank AG	ILS	8,874	EUR	2,131		6/13/18		1,889
Deutsche Bank AG	TRY	4,372	USD	969		6/21/18		11,296
Deutsche Bank AG	TRY	7,682	USD	1,633		6/21/18		(50,575	)
Deutsche Bank AG	USD	405	TRY	1,906		6/21/18		12,455
Deutsche Bank AG	USD	1,665	ILS	5,992		7/12/18		20,868
Deutsche Bank AG	AUD	1,086	USD	826		7/17/18		4,735
Deutsche Bank AG	EUR	671	PLN	2,804		7/17/18		(27,056	)
Deutsche Bank AG	EUR	2,061	USD	2,555		7/17/18		137,246
Deutsche Bank AG	NOK	6,721	USD	815		7/17/18		(7,965	)
Deutsche Bank AG	USD	2,247	ILS	8,011		7/17/18		7,565
Deutsche Bank AG	USD	3,660	JPY	387,353		7/17/18		(88,703	)
Deutsche Bank AG	IDR	28,437,356	USD	2,003		7/26/18		(27,878	)
Goldman Sachs Bank USA	BRL	2,934	USD	785		6/04/18		(2,730	)
Goldman Sachs Bank USA	USD	826	BRL	2,934		6/04/18		(38,534	)
Goldman Sachs Bank USA	CAD	2,127	USD	1,650		6/12/18		9,354
Goldman Sachs Bank USA	USD	831	CAD	1,068		6/12/18		(7,382	)
Goldman Sachs Bank USA	SEK	5,819	EUR	575		6/18/18		12,311
Goldman Sachs Bank USA	CHF	641	USD	669		6/19/18		18,238
Goldman Sachs Bank USA	CHF	830	USD	832		6/28/18		(11,450	)
Goldman Sachs Bank USA	USD	2,015	CHF	1,993		6/28/18		11,784
Goldman Sachs Bank USA	ILS	11,879	USD	3,308		7/12/18		(33,510	)
Goldman Sachs Bank USA	USD	4,380	MYR	17,537		7/12/18		7,379
Goldman Sachs Bank USA	TRY	3,767	USD	833		7/16/18		16,035

Counterparty	Contracts to Deliver (000)		In Exchange For (000)		Settlement Date		Unrealized Appreciation/ (Depreciation)
Goldman Sachs Bank USA	TRY	3,424	USD	819		7/17/18	$	76,805
Goldman Sachs Bank USA	USD	850	NOK	6,540		7/17/18		(49,370	)
Goldman Sachs Bank USA	USD	831	TRY	3,384		7/17/18		(97,398	)
Goldman Sachs Bank USA	EUR	3,538	USD	4,106		7/18/18		(43,791	)
Goldman Sachs Bank USA	KRW	529,238	USD	492		7/26/18		1,057
HSBC Bank USA	TWD	19,042	USD	656		6/07/18		20,271
HSBC Bank USA	USD	4,537	EUR	3,624		6/19/18		(295,172	)
HSBC Bank USA	USD	1,319	NOK	10,668		7/26/18		(12,504	)
JPMorgan Chase Bank, NA	BRL	20,203	USD	5,406		6/04/18		(18,800	)
JPMorgan Chase Bank, NA	USD	5,534	BRL	20,203		6/04/18		(108,545	)
JPMorgan Chase Bank, NA	AUD	2,570	USD	1,983		6/07/18		39,603
JPMorgan Chase Bank, NA	TWD	34,195	USD	1,178		6/07/18		36,614
JPMorgan Chase Bank, NA	USD	683	AUD	880		6/07/18		(17,055	)
JPMorgan Chase Bank, NA	TRY	469	EUR	97		6/12/18		10,134
JPMorgan Chase Bank, NA	USD	624	MXN	12,044		6/14/18		(21,234	)
JPMorgan Chase Bank, NA	ARS	17,479	USD	777		6/18/18		86,707
JPMorgan Chase Bank, NA	SEK	33,897	USD	4,209		6/19/18		360,989
JPMorgan Chase Bank, NA	TRY	3,515	USD	812		6/21/18		41,848
JPMorgan Chase Bank, NA	CHF	650	USD	679		6/28/18		18,310
JPMorgan Chase Bank, NA	EUR	1,511	USD	1,789		6/28/18		19,079
JPMorgan Chase Bank, NA	USD	1,291	JPY	140,250		6/28/18		86
JPMorgan Chase Bank, NA	USD	647	ZAR	7,877		6/28/18		(29,869	)
JPMorgan Chase Bank, NA	BRL	20,203	USD	5,518		7/03/18		107,944
JPMorgan Chase Bank, NA	USD	303	ILS	1,088		7/12/18		2,620
JPMorgan Chase Bank, NA	EUR	1,374	USD	1,700		7/17/18		88,839
JPMorgan Chase Bank, NA	USD	2,503	AUD	3,324		7/17/18		11,111
JPMorgan Chase Bank, NA	USD	839	CNY	5,285		7/17/18		(18,127	)
JPMorgan Chase Bank, NA	USD	5,756	ILS	20,449		7/17/18		(2,216	)
JPMorgan Chase Bank, NA	USD	2,080	IDR	28,894,875		7/26/18		(16,787	)
JPMorgan Chase Bank, NA	USD	594	SEK	5,186		7/26/18		(3,419	)
JPMorgan Chase Bank, NA	USD	103	MXN	1,905		8/02/18		(8,231	)
JPMorgan Chase Bank, NA	SGD	905	USD	679		8/16/18		2,708
Morgan Stanley Capital Services, Inc.	USD	1,304	AUD	1,657		6/07/18		(50,696	)
Morgan Stanley Capital Services, Inc.	CAD	856	USD	664		6/12/18		3,993
Morgan Stanley Capital Services, Inc.	TRY	1,661	EUR	322		6/12/18		11,587
Morgan Stanley Capital Services, Inc.	USD	1,025	GBP	714		6/13/18		(75,860	)
Morgan Stanley Capital Services, Inc.	SEK	25,173	USD	2,899		6/15/18		42,735
Morgan Stanley Capital Services, Inc.	EUR	3,624	USD	4,467		6/19/18		224,623
Morgan Stanley Capital Services, Inc.	GBP	637	USD	868		6/19/18		19,954
Morgan Stanley Capital Services, Inc.	USD	888	GBP	637		6/19/18		(40,368	)
Morgan Stanley Capital Services, Inc.	CNY	1,692	EUR	215		6/22/18		(11,616	)
Morgan Stanley Capital Services, Inc.	JPY	179,902	USD	1,652		6/28/18		(4,729	)
Morgan Stanley Capital Services, Inc.	ZAR	1,548	USD	129		7/05/18		7,595
Morgan Stanley Capital Services, Inc.	AUD	3,818	USD	2,939		7/17/18		50,811
Morgan Stanley Capital Services, Inc.	CAD	3,193	USD	2,465		7/17/18		(253	)
Morgan Stanley Capital Services, Inc.	CAD	1,624	USD	1,263		7/17/18		8,998
Morgan Stanley Capital Services, Inc.	CHF	2,017	USD	2,113		7/17/18		58,249
Morgan Stanley Capital Services, Inc.	CNY	26,540	USD	4,185		7/17/18		60,183
Morgan Stanley Capital Services, Inc.	EUR	2,729	CHF	3,264		7/17/18		123,768
Morgan Stanley Capital Services, Inc.	EUR	3,746	USD	4,641		7/17/18		246,798

Counterparty	Contracts to Deliver (000)		In Exchange For (000)		Settlement Date		Unrealized Appreciation/ (Depreciation)
Morgan Stanley Capital Services, Inc.	GBP	2,098	USD	2,963		7/17/18	$	168,492
Morgan Stanley Capital Services, Inc.	ILS	9,705	USD	2,717		7/17/18		(13,757	)
Morgan Stanley Capital Services, Inc.	MXN	15,516	USD	814		7/17/18		41,650
Morgan Stanley Capital Services, Inc.	SGD	2,224	AUD	2,192		7/17/18		(4,623	)
Morgan Stanley Capital Services, Inc.	USD	2,464	CAD	3,172		7/17/18		(14,339	)
Morgan Stanley Capital Services, Inc.	USD	2,467	CNY	15,554		7/17/18		(50,094	)
Morgan Stanley Capital Services, Inc.	USD	2,938	EUR	2,369		7/17/18		(159,110	)
Royal Bank of Scotland PLC	USD	267	COP	721,368		6/12/18		(17,781	)
Royal Bank of Scotland PLC	USD	830	MXN	16,345		6/14/18		(11,560	)
Royal Bank of Scotland PLC	JPY	1,449,193	USD	13,325		6/15/18		(5,877	)
Royal Bank of Scotland PLC	ARS	16,994	USD	778		6/18/18		106,769
Royal Bank of Scotland PLC	USD	1,623	ARS	34,473		6/18/18		(261,897	)
Royal Bank of Scotland PLC	CAD	5,292	USD	4,199		6/19/18		116,054
Royal Bank of Scotland PLC	USD	4,241	CAD	5,292		6/19/18		(157,349	)
Royal Bank of Scotland PLC	JPY	130,118	USD	1,175		6/28/18		(23,281	)
Royal Bank of Scotland PLC	ILS	9,070	USD	2,590		7/12/18		38,464
Royal Bank of Scotland PLC	JPY	89,964	USD	853		7/17/18		23,960
Royal Bank of Scotland PLC	TRY	10,038	USD	2,437		7/17/18		260,123
Royal Bank of Scotland PLC	USD	840	AUD	1,085		7/17/18		(19,433	)
Royal Bank of Scotland PLC	USD	2,517	CAD	3,159		7/17/18		(77,666	)
Royal Bank of Scotland PLC	USD	858	MXN	16,756		7/17/18		(23,834	)
Royal Bank of Scotland PLC	USD	824	TRY	3,412		7/17/18		(83,784	)
Royal Bank of Scotland PLC	MXN	5,961	USD	319		8/02/18		22,648
Standard Chartered Bank	BRL	6,263	USD	1,671		6/04/18		(10,795	)
Standard Chartered Bank	BRL	20,398	USD	5,813		6/04/18		335,757
Standard Chartered Bank	USD	6,270	BRL	23,432		6/04/18		21,804
Standard Chartered Bank	USD	906	BRL	3,229		6/04/18		(39,144	)
Standard Chartered Bank	AUD	1,095	USD	821		6/07/18		(7,552	)
Standard Chartered Bank	TWD	49,015	USD	1,653		6/07/18		16,782
Standard Chartered Bank	USD	1,666	TWD	49,094		6/07/18		(27,198	)
Standard Chartered Bank	CAD	1,068	USD	829		6/12/18		5,445
Standard Chartered Bank	GBP	611	MXN	16,417		6/14/18		8,568
Standard Chartered Bank	USD	1,058	BRL	3,888		7/03/18		(16,958	)
Standard Chartered Bank	AUD	3,324	NZD	3,550		7/17/18		(30,161	)
Standard Chartered Bank	AUD	2,197	USD	1,691		7/17/18		28,562
Standard Chartered Bank	EUR	1,349	NOK	13,002		7/17/18		9,712
Standard Chartered Bank	NZD	5,238	USD	3,796		7/17/18		130,333
Standard Chartered Bank	PLN	7,213	USD	2,063		7/17/18		108,735
Standard Chartered Bank	USD	542	AUD	703		7/17/18		(9,770	)
Standard Chartered Bank	USD	1,608	HUF	428,740		7/17/18		(36,666	)
Standard Chartered Bank	USD	2,522	NZD	3,430		7/17/18		(121,987	)
Standard Chartered Bank	KRW	314,141	USD	292		7/26/18		468
Standard Chartered Bank	KRW	313,498	USD	290		7/26/18		(1,018	)
Standard Chartered Bank	INR	41,093	USD	595		8/09/18		(9,179	)
Standard Chartered Bank	SGD	3,328	USD	2,489		8/16/18		(126	)
Standard Chartered Bank	GBP	1,199	USD	1,620		9/14/18		18,186

Counterparty	Contracts to Deliver (000)		In Exchange For (000)		Settlement Date		Unrealized Appreciation/ (Depreciation)
State Street Bank & Trust Co.	AUD	1	USD	1		6/07/18	$	(5	)
State Street Bank & Trust Co.	AUD	428	USD	329		6/07/18		5,452
State Street Bank & Trust Co.	JPY	42,434	NZD	546		6/07/18		(8,149	)
State Street Bank & Trust Co.	CAD	191	USD	149		6/12/18		2,001
State Street Bank & Trust Co.	EUR	220	TRY	1,159		6/12/18		(2,444	)
State Street Bank & Trust Co.	USD	337	CAD	426		6/12/18		(8,662	)
State Street Bank & Trust Co.	EUR	2,443	GBP	2,132		6/13/18		(22,061	)
State Street Bank & Trust Co.	MXN	40,181	USD	2,027		6/14/18		16,130
State Street Bank & Trust Co.	SEK	3,549	USD	402		6/14/18		(860	)
State Street Bank & Trust Co.	SEK	3,435	USD	397		6/14/18		6,767
State Street Bank & Trust Co.	USD	55	MXN	998		6/14/18		(5,004	)
State Street Bank & Trust Co.	USD	1,715	SEK	15,352		6/15/18		27,678
State Street Bank & Trust Co.	EUR	168	SEK	1,726		6/18/18		(917	)
State Street Bank & Trust Co.	TRY	1,131	USD	261		6/20/18		12,716
State Street Bank & Trust Co.	USD	266	CHF	266		6/20/18		3,824
State Street Bank & Trust Co.	TRY	2,011	USD	419		6/21/18		(21,433	)
State Street Bank & Trust Co.	TRY	1,119	USD	271		6/21/18		25,507
State Street Bank & Trust Co.	USD	1,411	TRY	6,246		6/21/18		(42,671	)
State Street Bank & Trust Co.	CHF	179	USD	189		6/28/18		6,767
State Street Bank & Trust Co.	JPY	49,840	USD	458		6/28/18		(609	)
State Street Bank & Trust Co.	USD	499	JPY	55,282		6/28/18		10,198
State Street Bank & Trust Co.	ZAR	3,560	USD	287		6/28/18		8,455
State Street Bank & Trust Co.	USD	206	MYR	812		7/12/18		(2,880	)
State Street Bank & Trust Co.	TRY	561	USD	120		7/16/18		(1,768	)
State Street Bank & Trust Co.	USD	122	TRY	575		7/16/18		2,955
State Street Bank & Trust Co.	AUD	545	USD	419		7/17/18		6,240
State Street Bank & Trust Co.	CHF	2,399	GBP	1,750		7/17/18		(111,203	)
State Street Bank & Trust Co.	CHF	80	USD	80		7/17/18		(1,131	)
State Street Bank & Trust Co.	EUR	2,765	USD	3,286		7/17/18		42,918
State Street Bank & Trust Co.	EUR	1,509	USD	1,747		7/17/18		(22,651	)
State Street Bank & Trust Co.	GBP	590	NOK	6,520		7/17/18		12,105
State Street Bank & Trust Co.	GBP	362	USD	491		7/17/18		8,872
State Street Bank & Trust Co.	HUF	427,986	USD	1,629		7/17/18		60,336
State Street Bank & Trust Co.	ILS	6,784	USD	1,905		7/17/18		(4,350	)

Counterparty	Contracts to Deliver (000)			In Exchange For (000)			Settlement Date		Unrealized Appreciation/ (Depreciation)
State Street Bank & Trust Co.		ILS	2,953		USD	844		7/17/18	$12,808
State Street Bank & Trust Co.		JPY	44,383		USD	420		7/17/18	11,000
State Street Bank & Trust Co.		MXN	7,700		USD	417		7/17/18	33,299
State Street Bank & Trust Co.		NZD	579		USD	417		7/17/18	11,872
State Street Bank & Trust Co.		PLN	5,890		USD	1,656		7/17/18	60,843
State Street Bank & Trust Co.		SEK	15,352		USD	1,785		7/17/18	38,512
State Street Bank & Trust Co.		TRY	2,366		USD	534		7/17/18	20,493
State Street Bank & Trust Co.		USD	8,717		EUR	7,280		7/17/18	(178,210)
State Street Bank & Trust Co.		USD	523		NOK	4,168		7/17/18	(12,486)
State Street Bank & Trust Co.		USD	1,640		PLN	5,952		7/17/18	(27,199)
State Street Bank & Trust Co.		USD	431		TRY	1,866		7/17/18	(25,856)
State Street Bank & Trust Co.		SEK	3,645		USD	418		7/26/18	3,491
State Street Bank & Trust Co.		USD	2,474		NOK	19,822		9/14/18	(41,762)
State Street Bank & Trust Co.		ZAR	3,279		GBP	186		10/17/18	(4,710)
UBS AG		USD	1,662		CAD	2,141		6/12/18	(10,564)
UBS AG		JPY	197,375		EUR	1,506		6/28/18	(53,911)
UBS AG		TRY	914		USD	188		7/16/18	(9,963)
UBS AG		USD	5,884		EUR	4,846		7/17/18	(200,299)
UBS AG		USD	2,492		JPY	272,549		7/17/18	21,067
UBS AG		SGD	101		CHF	71		8/27/18	(3,273)
UBS AG		ZAR	1,372		GBP	77		10/17/18	(2,950)
									$320,657

CALL OPTIONS WRITTEN

Description	Counterparty	Contracts		Exercise Price			Expiration Month		Notional (000)			Premiums Received		U.S. $ Value
Euro STOXX 50 Index	Citibank, NA		4,020		USD	3,425.00		July 2018		USD	4	$	292,314	$	(273,712	)
FTSE 100 Index	Citibank, NA		760		GBP	7,700.00		June 2018		GBP	1		93,322		(57,625	)
Nikkei 225 Index	Goldman Sachs International		38,000		JPY	22,250.00		July 2018		JPY	38		165,927		(132,498	)
S&P 500 Index	Goldman Sachs International		15,000		USD	2,725.00		June 2018		USD	15		594,900		(245,078	)
S&P 500 Index	Goldman Sachs International		3,900		USD	2,620.00		June 2018		USD	4		159,003		(366,158	)
												$	1,305,466	$	(1,075,071	)

PUT OPTIONS WRITTEN

Description	Counterparty	Contracts		Exercise Price			Expiration Month	Notional (000)			Premiums Received		U.S. $ Value
Euro STOXX 50 Index	Citibank, NA		4,020		USD	3,425.00	July 2018		USD	4	$	413,563	$	(410,447	)
FTSE 100 Index	Citibank, NA		760		GBP	7,700.00	June 2018		GBP	1		67,006		(92,497	)

Description	Counterparty		Contracts		Exercise Price			Expiration Month		Notional (000)				Premiums Received		U.S. $ Value
Nikkei 225 Index		Goldman Sachs International		38,000		JPY	22,250.00		July 2018		JPY	38		$	146,141	$	(160,255	)
S&P 500 Index		Morgan Stanley Co, Inc.		700		USD	2,705.00		June 2018		USD	– 0	–***		4,360		(5,215	)
S&P 500 Index		Goldman Sachs International		3,900		USD	2,620.00		June 2018		USD	4			237,861		(29,662	)
S&P 500 Index		Goldman Sachs International		15,000		USD	2,725.00		June 2018		USD	15			524,325		(524,679	)
														$	1,393,256	$	(1,222,755	)

CURRENCY OPTIONS WRITTEN

Description/ Counterparty	Exercise Price			Expiration Month		Contracts		Notional Amount (000)			Premiums Received		U.S. $ Value
Call
COP vs. USD/ Morgan Stanley Capital Services LLC		COP	2,768.000		06/2018		1,868,400,000		COP	1,868,400	$	6,155	$	(546	)
NZD vs. AUD/ Barclays Bank PLC		NZD	1.049		06/2018		1,783,130		NZD	1,783		6,443		(71	)
USD vs. EUR/ Royal Bank of Scotland PLC		USD	1.170		10/2018		1,316,250		USD	1,316		11,025		(19,112	)
USD vs. MXN/ Credit Suisse International		MXN	21.500		07/2018		710,000		USD	710		12,142		(3,455	)
Put
BRL vs. USD/ JPMorgan Chase Bank, NA		BRL	3.500		06/2018		2,362,500		BRL	2,363		4,329		(41,790	)
BRL vs. USD/ JPMorgan Chase Bank, NA		BRL	3.550		06/2018		2,396,250		BRL	2,396		3,895		(33,028	)
CHF vs. GBP/ Deutsche Bank AG		CHF	1.352		06/2018		642,200		CHF	642		3,656		(336	)
CNH vs. EUR/ Morgan Stanley Capital Services LLC		CNH	8.050		06/2018		8,653,750		CNH	8,654		6,008		(288	)
EUR vs. SEK/ BNP Paribas SA		SEK	10.350		06/2018		35,811,000		SEK	35,811		20,094		(15,110	)
INR vs. USD/ JPMorgan Chase Bank, NA		INR	71.320		02/2019		46,358,000		INR	46,358		6,019		(9,119	)
KRW vs. USD/ Bank of America, NA		KRW	1,098.000		07/2018		741,150,000		KRW	741,150		4,428		(3,778	)
MXN vs. USD/ Royal Bank Of Scotland Group PLC		MXN	20.000		07/2018		13,000,000		MXN	13,000		9,533		(18,969	)
MXN vs. USD/ Deutsche Bank AG		MXN	22.000		08/2018		101,640,000		MXN	101,640		66,713		(19,273	)
MXN vs. USD/ Morgan Stanley Capital Services LLC		MXN	23.820		02/2019		15,483,000		MXN	15,483		8,660		(8,647	)

Description/ Counterparty	Exercise Price			Expiration Month		Contracts		Notional Amount (000)			Premiums Received		U.S. $ Value
SEK vs. EUR/ Goldman Sachs Bank USA		SEK	10.350		06/2018		11,126,250		SEK	11,126	$	6,527	$	(4,694	)
SGD vs. CHF/ UBS AG		SGD	1.480		08/2018		555,000		SGD	555		2,883		(391	)
TRY vs. CHF/ UBS AG		TRY	5.900		02/2019		3,687,500		TRY	3,688		6,740		(17,239	)
TRY vs. EUR/ JPMorgan Chase Bank, NA		TRY	5.043		06/2018		2,712,865		TRY	2,713		5,654		(34,367	)
USD vs. EUR/ Royal Bank of Scotland PLC		USD	1.250		10/2018		1,406,250		USD	1,406		7,784		(3,435	)
ZAR vs. GBP/ UBS AG		ZAR	19.520		10/2018		9,272,000		ZAR	9,272		8,411		(4,620	)
ZAR vs. USD/ Morgan Stanley Capital Services LLC		ZAR	12.636		07/2018		8,214,660		ZAR	8,214		7,489		(15,118	)
											$	214,588	$	(253,386	)

CREDIT DEFAULT SWAPTIONS WRITTEN

Description	Counterparty	Buy/Sell Protection		Strike Rate			Expiration Month		Notional Amount (000)		Premiums Received		Market Value
Put
CDX-NAHY Series 30, 5 Year Index RTP	Credit Suisse International		Sell		105.50	%		Jul, 2018	$	700	$	4,067	$	(4,775	)

CENTRALLY CLEARED CREDIT DEFAULT SWAPS

Description	Fixed Rate (Pay) Receive			Payment Frequency		Implied Credit Spread at May 31, 2018			Notional Amount (000)			Market Value			Upfront Premiums Paid (Received)			Unrealized Appreciation/ (Depreciation)
Buy Contracts
CDX-NAHY Series 28, 5 Year Index, 6/20/22*		(5.00	)%		Quarterly		2.97	%		USD	18,960	$	(1,546,934	)	$	(1,444,881	)	$	(102,053	)
CDX-NAHY Series 29, 5 Year Index, 12/20/22*		(5.00	)		Quarterly		3.30			USD	5,490		(419,801	)		(399,538	)		(20,263	)
CDX-NAHY Series 29, 5 Year Index, 12/20/22*		(5.00	)		Quarterly		3.30			USD	5		(382	)		(399	)		17
iTraxxx Xover Series 26, 5 Year Index, 12/20/21*		(5.00	)		Quarterly		2.08			EUR	4,150		(531,644	)		(542,365	)		10,721

Description	Fixed Rate (Pay) Receive			Payment Frequency		Implied Credit Spread at May 31, 2018			Notional Amount (000)			Market Value			Upfront Premiums Paid (Received)			Unrealized Appreciation/ (Depreciation)
iTraxxx Xover Series 28, 5 Year Index, 12/20/22*		(5.00	)%		Quarterly		2.71	%		EUR	1,940	$	(240,451	)	$	(263,986	)	$	23,535
CDX-NAHY Series 29, 5 Year Index, 12/20/22*		(5.00	)		Quarterly		3.30			USD	3,690		(282,162	)		(290,509	)		8,347
CDX-NAHY Series 29, 5 Year Index, 12/20/22*		(5.00	)		Quarterly		3.30			USD	8,190		(626,262	)		(399,085	)		(227,177	)
iTraxxx Xover Series 28, 5 Year Index, 12/20/22*		(5.00	)		Quarterly		2.71			EUR	6,950		(861,410	)		(820,067	)		(41,343	)
Sale Contracts
CDX-NAIG Series 28, 5 Year Index, 6/20/22*		1.00			Quarterly		0.55			USD	97,330		1,881,288			1,872,416			8,872
iTraxxx Europe Series 27, 5 Year Index, 6/20/22*		1.00			Quarterly		0.51			EUR	40,420		1,040,228			1,165,975			(125,747	)
CDX-NAHY Series 29, 5 Year Index, 12/20/22*		5.00			Quarterly		3.30			USD	1,275		97,214			81,389			15,825
CDX-NAHY Series 30, 5 Year Index, 6/20/23*		5.00			Quarterly		3.53			USD	4,951		357,643			299,816			57,827
iTraxxx Xover Series 29, 5 Year Index, 6/20/23*		5.00			Quarterly		3.07			EUR	950		107,824			119,122			(11,298	)
												$	(1,024,849	)	$	(622,112	)	$	(402,737	)

* Termination date

CENTRALLY CLEARED INTEREST RATE SWAPS

		Rate Type
Notional Amount (000)	Termination Date	Payments made by the Fund	Payments received by the Fund	Payment Frequency Paid/Received	Unrealized Appreciation/ (Depreciation)
USD     18,085	1/17/20	3 Month LIBOR	2.170%	Quarterly/ Semi-Annual	$	(41,954	)
USD     18,085	1/17/20	3 Month LIBOR	2.204%	Quarterly/Semi-Annual		(29,973	)
USD       7,310	1/17/23	2.389%	3 Month LIBOR	Semi-Annual/Quarterly		91,614
USD       7,310	1/17/23	2.420%	3 Month LIBOR	Semi-Annual/Quarterly		80,805
					$	100,492

CREDIT DEFAULT SWAPS

Swap Counterparty & Referenced Obligation	Fixed Rate (Pay) Receive			Payment Frequency		Implied Credit Spread at May 31, 2018			Notional Amount (000)		Market Value			Upfront Premiums Paid (Received)			Unrealized Appreciation/ (Depreciation)
Buy Contracts
Goldman Sachs International
K Hovnanian Enterprises, Inc., 7.000%, 1/15/19, 12/20/22*		(5.00	)%		Quarterly		10.56	%	USD	140	$	18,831		$	41,459		$	(22,628	)
Sale Contracts
Barclays Bank PLC
Federative Republic of Brazil, 4.250%, 1/07/25, 6/20/23*		1.00			Quarterly		2.32		USD	141		(8,073	)		(5,378	)		(2,695	)
Federative Republic of Brazil, 4.250%, 1/07/25, 6/20/23*		1.00			Quarterly		2.32		USD	171		(9,792	)		(6,523	)		(3,269	)
Federative Republic of Brazil, 4.250%, 1/07/25, 6/20/23*		1.00			Quarterly		2.32		USD	189		(10,822	)		(7,195	)		(3,627	)
Federative Republic of Brazil, 4.250%, 1/07/25, 6/20/23*		1.00			Quarterly		2.32		USD	229		(13,112	)		(8,717	)		(4,395	)
Citigroup Global Markets, Inc.
CDX-CMBX.NA.BB Series 6, 5/11/63*		5.00			Monthly		10.96		USD	2,500		(483,264	)		(454,529	)		(28,735	)
Credit Suisse International
CDX-CMBX.NA.BBB- Series 6, 5/11/63*		3.00			Monthly		6.15		USD	5,800		(648,923	)		(594,177	)		(54,746	)
Deutsche Bank AG
CDX-CMBX.NA.BB Series 6, 5/11/63*		5.00			Monthly		10.96		USD	2,500		(483,264	)		(464,219	)		(19,045	)
Goldman Sachs International
K Hovnanian Enterprises, Inc., 7.000%, 1/15/19, 12/20/18*		5.00			Quarterly		7.99		USD	140		(805	)		(20,831	)		20,026
Morgan Stanley Capital Services LLC
Republic of South Africa, 5.500%, 3/09/20, 6/20/23*		1.00			Quarterly		1.75		USD	330		(10,695	)		(9,086	)		(1,609	)
											$	(1,649,919	)	$	(1,529,196	)		$(120,723	)

* Termination date

INFLATION (CPI) SWAPS

Rate Type

Clearing Broker/ (Exchange) & Referenced Obligation

Notional Amount (000)

Termination Date

Payments made by the Fund

Payments received by the Fund

Payment Frequency Paid/ Received

Unrealized Appreciation/ (Depreciation)

Citibank, NA

USD

11,590

7/15/22

2.163

%

CPI

#

Maturity

$

64,734

# Variable interest rate based on the rate of inflation as determined by the Consumer Price Index (CPI).

TOTAL RETURN SWAPS

Counterparty & Referenced Obligation

# of Shares or Units

Rate Paid/ Received

Payment Frequency

Notional Amount (000)

Maturity Date

Unrealized Appreciation/ (Depreciation)

Receive Total Return on Reference Obligation

Goldman Sachs International

S&P 500 Total Return Index

21,354

LIBOR Plus 0.13

%

Quarterly

USD

113,672

5/15/19

$

246,615

GSABHVIP

31,922

LIBOR

Quarterly

USD

8,230

6/17/19

41,633

GSABSJHB

9,888,965

LIBOR Minus 0.20

%

Quarterly

JPY

976,041

2/15/19

171,299

iBoxx $ Liquid High Yield Index

901,000

LIBOR

Quarterly

USD

901

6/20/18

1,281

iBoxx $ Liquid High Yield Index

633,000

LIBOR

Quarterly

USD

633

6/20/18

526

iBoxx $ Liquid High Yield Index

1,356,000

LIBOR

Quarterly

USD

1,356

6/20/18

(616

)

Morgan Stanley Capital Services LLC iBoxx $ Liquid High Yield Index

570,000

LIBOR

Quarterly

USD

570

6/20/18

1,343

MSABRDS

142,488

LIBOR Minus 0.25

%

Quarterly

USD

15,499

2/15/19

(113,957

)

UBS AG

FTSE EPRA Nareit Developed Total Return Index USD

1,680

LIBOR Plus 0.50

%

Quarterly

USD

8,019

3/15/19

(253,902

)

Pay Total Return on Reference Obligation

Bank of America, NA iBoxx $ Liquid High Yield Index

236,000

LIBOR

Quarterly

USD

236

6/20/18

1,194

iBoxx $ Liquid High Yield Index

236,000

LIBOR

Quarterly

USD

236

6/20/18

1,159

iBoxx $ Liquid High Yield Index

236,000

LIBOR

Quarterly

USD

236

6/20/18

1,150

iBoxx $ Liquid High Yield Index

353,000

LIBOR

Quarterly

USD

353

6/20/18

825

iBoxx $ Liquid High Yield Index

236,000

LIBOR

Quarterly

USD

236

6/20/18

552

Barclays Bank PLC

Barclays Capital US Inflation Linked Bonds 1 to 10 Year

139,500,000

LIBOR Plus 0.0014

%

Quarterly

USD

139,500

8/01/18

136,067

Citibank, NA iBoxx $ Liquid High Yield Index

236,000

LIBOR

Quarterly

USD

236

6/20/18

1,087

Goldman Sachs International

Russell 2000 Total Return Index

1,310

LIBOR

Quarterly

USD

10,357

5/15/19

209,157

GSABLJHB

9,888,965

LIBOR Plus 0.20

%

Quarterly

JPY

953,593

2/15/19

(295,938

)

GSABVISP

46,710

LIBOR Plus 0.45

%

Quarterly

USD

10,266

6/17/19

(78,757

)

Counterparty & Referenced Obligation	# of Shares or Units		Rate Paid/ Received			Payment Frequency		Notional Amount (000)		Maturity Date		Unrealized Appreciation/ (Depreciation)
iBoxx $ Liquid High Yield Index		650,000		LIBOR			Quarterly	USD	650		6/20/18	$	3,672
iBoxx $ Liquid High Yield Index		471,000		LIBOR			Quarterly	USD	471		6/20/18		923
iBoxx $ Liquid High Yield Index		1,356,000		LIBOR			Quarterly	USD	1,356		9/20/18		(1,429	)
iBoxx $ Liquid High Yield Index		632,000		LIBOR			Quarterly	USD	632		9/20/18		(1,553	)
iBoxx $ Liquid High Yield Index		902,000		LIBOR			Quarterly	USD	902		9/20/18		(2,638	)
JPMorgan Chase Bank, NA
JPQABACP		165,967		0.00	%		Maturity	USD	16,605		6/17/19		(181,916	)
Morgan Stanley & Co. International PLC iBoxx $ Liquid High Yield Index		236,000		LIBOR			Quarterly	USD	236		6/20/18		374
Morgan Stanley Capital Services LLC iBoxx $ Liquid High Yield Index		570,000		LIBOR			Quarterly	USD	570		9/20/18		(1,853	)
MSABRDL		141,966		LIBOR			Quarterly	USD	14,549		2/15/19		96,000
												$	(17,702	)

VARIANCE SWAPS

Swap Counterparty & Referenced Obligation	Volatility Strike Price		Payment Frequency		Notional Amount (000)		Market Value			Upfront Premiums (Paid) Received			Unrealized Appreciation/ (Depreciation)
Buy Contracts
Deutsche Bank AG
AUD/JPY, 1/14/20*	$	11.12		Maturity	AUD	18	$	(20	)	$	– 0	–	$	(20	)
AUD/JPY, 3/03/20*		12.75		Maturity	AUD	9		(50	)		– 0	–		(50	)
AUD/JPY, 4/16/20*		12.25		Maturity	AUD	21		(87	)		– 0	–		(87	)
AUD/JPY, 5/07/20*		12.22		Maturity	AUD	13		(52	)		– 0	–		(52	)
Goldman Sachs Bank USA
AUD/JPY, 3/10/20*		12.90		Maturity	AUD	4		(24	)		– 0	–		(24	)
AUD/JPY, 3/11/20*		12.80		Maturity	AUD	5		(27	)		– 0	–		(27	)
							$	(260	)	$	– 0	–	$	(260	)

* Termination date

** Principal amount less than 500.

*** Notional amount less than 500.

(a) Represents entire or partial securities out on loan.

(b) Non-income producing security.

(c) Illiquid security.

(d) Fair valued by the Adviser.

(e) Security in which significant unobservable inputs (Level 3) were used in determining fair value.

(f) 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, 2018, the aggregate market value of these securities amounted to $49,477,440 or 6.0% of net assets.

(g) Security is exempt from registration under Rule 144A of the Securities Act of 1933. These securities, which represent 0.14% of net assets as of May 31, 2018, are considered illiquid and restricted. Additional information regarding such securities follows:

144A/Restricted & Illiquid Securities	Acquisition Date		Cost		Market Value		Percentage of Net Assets
Aveta, Inc.
10.50%, 3/01/21		12/15/17	$	0	$	0		0.00	%
BI-LO LLC/BI-LO Finance Corp.
8.625%, 9/15/18		4/26/17		83,593		61,152		0.01	%
Creditcorp
12.00%, 7/15/18		4/26/17		79,650		80,605		0.01	%
Dominican Republic International Bond
16.00%, 7/10/20		6/02/17		593,922		579,763		0.07	%
Exide Technologies
7.00%, 4/30/25		12/01/17		134,826		143,611		0.02	%
Exide Technologies
11.00%, 4/30/22		12/01/17		70,771		74,625		0.01	%
H/2 Asset Funding NRE Series 2015-1A, Class AFL
3.615%, 6/24/49		3/29/17		67,010		67,479		0.01	%
K2016470219 South Africa Ltd.
3.00%, 12/31/22		4/26/17		6,154		1,059		0.00	%
K2016470260 South Africa Ltd.
25.00%, 12/31/22		4/26/17		12,187		2,936		0.00	%
Magnetation LLC/Mag Finance Corp.
11.00%, 5/15/18		4/26/17		15		1		0.00	%
Modular Space Corp.		4/26/17		76,076		95,095		0.01	%
Texas Competitive/TCEH
11.50%, 10/01/20		4/26/17		0		0		0.00	%
Tonon Luxembourg SA
7.25%, 1/24/20		4/26/17		1,486		657		0.00	%
Vantage Drilling International
10.00%, 12/31/20		4/26/17		2,079		2,084		0.00	%
Virgolino de Oliveira Finance SA
10.50%, 1/28/18		4/26/17		33,435		23,575		0.00	%

(h) Restricted and illiquid security.

Restricted & Illiquid Securities	Acquisition Date		Cost		Market Value		Percentage of Net Assets
CHC Group LLC ,		4/26/17	$	34,109	$	20,762		0.00	%
CHC Group LLC/CHC Finance Ltd. Series AI, 10/01/20		4/26/17		213,673		158,476		0.02	%
Exide Technologies		4/26/17		2,165		5,388		0.00	%
Exide Technologies/Old		3/30/17		1,094		2,724		0.00	%
Momentive Performance Materials, Inc. 8.875%, 10/15/20		4/26/17		0		0		0.00	%

(i) 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.

(j) Affiliated investments.

(k) Pay-In-Kind Payments (PIK). The issuer may pay cash interest and/or interest in additional debt securities. Rates shown are the rates in effect at May 31, 2018.

(l) Defaulted matured security.

(m) Convertible security.

(n) Securities are perpetual and, thus, do not have a predetermined maturity date. The date shown, if applicable, reflects the next call date.

(o) Defaulted.

(p) Floating Rate Security. Stated interest/floor/ceiling rate was in effect at May 31, 2018.

(q) Position, or a portion thereof, has been segregated to collateralize OTC derivatives outstanding.

(r) The stated coupon rate represents the greater of the LIBOR or the LIBOR floor rate plus a spread at May 31, 2018.

(s) This position or a portion of this position represents an unsettled loan purchase. The coupon rate will be determined at the time of settlement and will be based upon the London-Interbank Offered Rate (“LIBOR”) plus a premium which was determined at the time of purchase.

(t) The rate shown represents the 7-day yield as of period end.

(u) As of May 31, 2018, the cost basis of investment securities owned was substantially identical for both book and tax purposes. Gross unrealized appreciation of investments was $78,867,994 and gross unrealized depreciation of investments was $(43,126,372), resulting in net unrealized appreciation of $35,741,622.

Currency Abbreviations:

ARS	-	Argentine Peso
AUD	-	Australian Dollar
BRL	-	Brazilian Real
CAD	-	Canadian Dollar
CHF	-	Swiss Franc
CNH	-	Chinese Yuan Renminbi (Offshore)
CNY	-	Chinese Yuan Renminbi
COP	-	Colombian Peso
DOP	-	Dominican Peso
EUR	-	Euro
GBP	-	Great British Pound
HUF	-	Hungarian Forint
IDR	-	Indonesian Rupiah
ILS	-	Israeli Shekel
INR	-	Indian Rupee
JPY	-	Japanese Yen
KRW	-	South Korean Won
MXN	-	Mexican Peso
MYR	-	Malaysian Ringgit
NOK	-	Norwegian Krone
NZD	-	New Zealand Dollar
PLN	-	Polish Zloty
RUB	-	Russian Ruble
SEK	-	Swedish Krona
SGD	-	Singapore Dollar
TRY	-	Turkish Lira
TWD	-	New Taiwan Dollar
USD	-	United States Dollar
UYU	-	Uruguayan Peso
ZAR	-	South African Rand

Glossary:

ABS	-	Asset-Backed Securities
ADR	-	American Depositary Receipt
ARPP7DRR	-	Argentina Central Bank 7-Day Repo Reference Rate
BOBL	-	Bundesobligationen
CBOE	-	Chicago Board Options Exchange
CBT	-	Chicago Board of Trade
CDX-CMBX.NA	-	North American Commercial Mortgage-Backed Index
CDX-NAHY	-	North American High Yield Credit Default Swap Index
CDX-NAIG	-	North American Investment Grade Credit Default Swap Index
CMBS	-	Commercial Mortgage-Backed Securities
CME	-	Chicago Mercantile Exchange
EAFE	-	Europe, Australia, and Far East
EPRA	-	European Public Real Estate Association
ETF	-	Exchange Traded Fund
FTSE	-	Financial Times Stock Exchange
LIBOR	-	London Interbank Offered Rates
MSCI	-	Morgan Stanley Capital International
OSE	-	Osaka Securities Exchange
PJSC	-	Public Joint Stock Company
REG	-	Registered Shares

REIT	-	Real Estate Investment Trust
RTP	-	Right To Pay
TOPIX	-	Tokyo Price Index
TSX	-	Toronto Stock Exchange

The following table represents the equity basket holdings underlying the total return swap with GSABHVIP as of May 31, 2018.

Security Description	Shares		Market Value as of 5/31/18		Percent of Basket’s Net Assets
Cheniere Energy Inc.		32,141	$	2,141,233		2.1	%
Broadcom Inc.		8,399		2,117,136		2.1	%
NRG Energy Inc.		60,957		2,086,558		2.1	%
Constellation Brands Inc.		9,329		2,081,113		2.1	%
Facebook Inc.		10,811		2,073,334		2.1	%
Adobe Systems Inc.		8,284		2,065,036		2.1	%
Netflix Inc.		5,861		2,060,728		2.1	%
Monsanto Co.		16,125		2,055,293		2.1	%
Amazon.com Inc.		1,261		2,054,951		2.0	%
NXP Semiconductors NV		17,953		2,046,642		2.0	%
Alphabet Inc.		1,860		2,046,000		2.0	%
PayPal Holdings Inc.		24,922		2,045,349		2.0	%
Delta Air Lines Inc.		37,841		2,045,306		2.0	%
Booking Holdings Inc.		969		2,043,543		2.0	%
Stamps.com Inc.		8,142		2,042,014		2.0	%
GoDaddy Inc.		28,504		2,040,601		2.0	%
salesforce.com Inc.		15,775		2,040,181		2.0	%
Liberty Media Corp-Liberty SiriusXM		44,083		2,036,194		2.0	%
Alibaba Group Holding Ltd.		10,267		2,032,969		2.0	%
Palo Alto Networks Inc.		9,760		2,030,958		2.0	%
Microsoft Corp.		20,480		2,024,243		2.0	%
Time Warner Inc.		21,496		2,024,063		2.0	%
TransDigm Group Inc.		6,054		2,022,702		2.0	%
Northrop Grumman Innovation Systems Inc.		15,101		2,019,306		2.0	%
MGM Resorts International		63,946		2,011,102		2.0	%
FleetCor Technologies Inc.		10,072		2,007,853		2.0	%
Aetna Inc.		11,394		2,006,825		2.0	%
Anadarko Petroleum Corp.		28,731		2,005,424		2.0	%
Apple Inc.		10,727		2,004,554		2.0	%
Visa Inc.		15,321		2,002,761		2.0	%
UnitedHealth Group Inc.		8,272		1,997,771		2.0	%
Nexstar Media Group Inc.		30,114		1,996,558		2.0	%
Mastercard Inc.		10,470		1,990,556		2.0	%
Dell Technologies Inc. - Class V		24,675		1,990,286		2.0	%
Worldpay Inc.		25,018		1,988,180		2.0	%
Comcast Corp.		63,385		1,976,344		2.0	%
Berkshire Hathaway Inc.		10,311		1,974,866		2.0	%
XPO Logistics Inc.		18,763		1,974,806		2.0	%
Caesars Entertainment Corp.		162,311		1,972,079		2.0	%
VICI Properties Inc.		101,546		1,966,946		2.0	%
GCI Liberty Inc.		46,907		1,960,713		2.0	%
Allergan PLC		12,956		1,953,765		2.0	%
Wells Fargo & Co.		35,969		1,941,966		1.9	%
Micron Technology Inc.		33,695		1,940,495		1.9	%
DowDuPont Inc.		30,141		1,932,340		1.9	%

Security Description	Shares		Market Value as of 5/31/18		Percent of Basket’s Net Assets
Bank of America Corp.		66,385	$	1,927,820		1.9	%
Charter Communications Inc.		7,372		1,924,387		1.9	%
JPMorgan Chase & Co.		17,962		1,922,114		1.9	%
Citigroup Inc.		28,768		1,918,538		1.9	%
Autodesk Inc.		14,504		1,872,466		1.9	%
Total			$	100,436,966		100.0	%

The following table represents the 50 largest equity basket holdings underlying the total return swap with GSABSJHB as of May 31, 2018.

Security Description	Shares		Market Value as of 5/31/18		Percent of Basket’s Net Assets
Bandai Namco Holdings Inc.		2,944,379	$	13,632,474,974		1.3	%
Nissan Chemical Industries Ltd.		2,412,001		12,349,443,133		1.2	%
McDonald’s Holdings Co Japan Ltd.		2,180,550		11,949,412,252		1.2	%
Hoshizaki Corp.		1,083,449		11,842,095,176		1.2	%
Azbil Corp.		2,213,418		11,797,520,003		1.1	%
Keihan Holdings Co. Ltd.		3,170,199		11,682,185,014		1.1	%
Zenkoku Hosho Co. Ltd.		2,211,553		11,588,535,687		1.1	%
Ezaki Glico Co. Ltd.		2,040,295		11,527,665,479		1.1	%
KDDI Corp.		3,878,433		11,423,924,440		1.1	%
Astellas Pharma Inc.		6,803,084		11,323,733,363		1.1	%
Park24 Co. Ltd.		3,823,096		11,232,256,136		1.1	%
Rinnai Corp.		1,073,716		11,166,642,874		1.1	%
Oriental Land Co. Ltd./Japan		1,000,821		11,159,158,086		1.1	%
Marubeni Corp.		13,145,186		11,152,375,718		1.1	%
Kyushu Railway Co.		3,194,788		11,069,941,134		1.1	%
NTT DOCOMO Inc.		3,798,449		10,704,029,082		1.0	%
Yamaguchi Financial Group Inc.		8,125,505		10,668,788,255		1.0	%
Nitori Holdings Co. Ltd.		569,270		10,653,878,721		1.0	%
Otsuka Holdings Co. Ltd.		1,964,060		10,643,242,950		1.0	%
MEIJI Holdings Co. Ltd.		1,140,091		10,568,639,157		1.0	%
Tsuruha Holdings Inc.		652,085		10,557,249,951		1.0	%
Asahi Intecc Co. Ltd.		2,697,167		10,545,922,411		1.0	%
Fuji Media Holdings Inc.		5,736,765		10,504,017,475		1.0	%
Makita Corp.		2,148,793		10,443,132,031		1.0	%
Aozora Bank Ltd.		2,407,285		10,375,400,117		1.0	%
SCSK Corp.		2,069,206		10,346,027,710		1.0	%
Ryohin Keikaku Co. Ltd.		278,106		10,289,921,597		1.0	%
West Japan Railway Co.		1,313,121		10,279,114,679		1.0	%
Nippon Telegraph & Telephone Corp.		2,009,560		10,260,814,049		1.0	%
Daito Trust Construction Co. Ltd.		572,448		10,172,397,065		1.0	%
NH Foods Ltd.		2,263,515		10,129,227,965		1.0	%
Sundrug Co. Ltd.		2,043,982		10,117,712,162		1.0	%
Seria Co. Ltd.		1,918,634		10,092,017,270		1.0	%
Nissan Motor Co. Ltd.		9,324,180		10,074,776,868		1.0	%
Tobu Railway Co. Ltd.		2,975,658		10,042,845,129		1.0	%
Japan Post Bank Co. Ltd.		7,250,656		9,868,142,322		1.0	%
ANA Holdings Inc.		2,240,486		9,817,807,614		1.0	%
Japan Airlines Co. Ltd.		2,301,142		9,706,217,163		0.9	%

Security Description	Shares		Market Value as of 5/31/18		Percent of Basket’s Net Assets
Canon Inc.		2,602,635	$	9,666,185,506		0.9	%
Nintendo Co. Ltd.		212,048		9,542,150,447		0.9	%
Japan Post Insurance Co. Ltd.		3,876,310		9,392,299,467		0.9	%
Teijin Ltd.		4,357,023		9,202,033,193		0.9	%
Sumitomo Metal Mining Co. Ltd.		2,193,073		9,136,342,522		0.9	%
Ono Pharmaceutical Co. Ltd.		3,307,609		8,928,891,691		0.9	%
Shimamura Co. Ltd.		801,848		8,916,554,221		0.9	%
Toray Industries Inc.		9,878,420		8,800,684,296		0.9	%
Japan Tobacco Inc.		2,961,717		8,695,600,460		0.8	%
Kansai Paint Co. Ltd.		3,643,974		8,512,323,998		0.8	%
Mitsui Mining & Smelting Co. Ltd.		1,682,838		8,027,136,783		0.8	%
Takeda Pharmaceutical Co. Ltd.		1,722,845		7,670,103,972		0.7	%
Other		189,219,260		509,104,200,836		49.8	%
Total			$	1,027,353,192,604		100.0	%

The following table represents the 50 largest equity basket holdings underlying the total return swap with MSABRDS as of May 31, 2018.

Security Description	Shares		Market Value as of 5/31/18		Percent of Basket’s Net Assets
Veeva Systems, Inc.		4,962	$	383,879		1.9	%
Palo Alto Networks, Inc.		1,826		379,957		1.9	%
Copart, Inc.		6,469		354,703		1.8	%
Microchip Technology, Inc.		3,566		347,265		1.8	%
Tyler Technologies, Inc.		1,432		331,764		1.7	%
CDW Corp./DE		4,141		331,492		1.7	%
Ubiquiti Networks, Inc.		3,959		326,955		1.6	%
Paycom Software, Inc.		3,096		326,550		1.6	%
Versum Materials, Inc.		8,001		319,799		1.6	%
Texas Instruments, Inc.		2,841		317,991		1.6	%
Apple, Inc.		1,700		317,720		1.6	%
Jabil, Inc.		11,096		313,803		1.6	%
Taro Pharmaceutical Industries Ltd.		2,630		312,920		1.6	%
Littelfuse, Inc.		1,403		304,480		1.6	%
Lear Corp.		1,538		304,438		1.6	%
Take-Two Interactive Software, Inc.		2,709		303,655		1.5	%
MKS Instruments, Inc.		2,681		300,857		1.5	%
NVIDIA Corp.		1,186		299,073		1.5	%
Logitech International SA		7,178		291,774		1.5	%
Advanced Energy Industries, Inc.		4,432		290,415		1.5	%
Pure Storage, Inc.		13,285		285,102		1.4	%
Cisco Systems, Inc.		6,637		283,458		1.4	%
Skyworks Solutions, Inc.		2,825		278,575		1.4	%
Catalent, Inc.		6,933		272,172		1.4	%
Harris Corp.		1,806		271,753		1.4	%
Check Point Software Technologies Ltd.		2,773		269,953		1.4	%
CDK Global, Inc.		4,180		268,993		1.4	%
ViaSat, Inc.		4,225		264,519		1.3	%
Broadcom, Inc.		1,011		254,948		1.3	%
Adient PLC		4,613		245,593		1.2	%
Perrigo Co. PLC		3,254		238,097		1.2	%
Flex Ltd.		16,607		230,666		1.2	%

Security Description	Shares		Market Value as of 5/31/18		Percent of Basket’s Net Assets
Analog Devices, Inc.		1,514	$	147,150		0.7	%
Stamps.com, Inc.		570		142,966		0.7	%
GrubHub, Inc.		1,328		142,385		0.7	%
ServiceNow, Inc.		780		138,448		0.7	%
Harley-Davidson, Inc.		3,213		131,970		0.7	%
HubSpot, Inc.		1,077		130,563		0.7	%
Dana, Inc.		5,658		126,170		0.6	%
Adobe Systems, Inc.		504		125,607		0.6	%
Match Group, Inc.		2,879		118,456		0.6	%
SS&C Technologies Holdings, Inc.		2,290		116,588		0.6	%
CoStar Group, Inc.		302		115,148		0.6	%
salesforce.com, Inc.		887		114,684		0.6	%
Science Applications International Corp.		1,269		112,207		0.6	%
Jazz Pharmaceuticals PLC		663		112,022		0.6	%
Align Technology, Inc.		335		111,120		0.6	%
Neogen Corp.		1,458		110,371		0.6	%
Intuitive Surgical, Inc.		230		105,879		0.5	%
VeriSign, Inc.		793		103,426		0.5	%
Other		128,787		801,241		40.1	%
Total			$	12,629,720		100.0	%

The following table represents the 50 largest equity basket holdings underlying the total return swap with GSABLJHB as of May 31, 2018.

Security Description	Shares		Market Value as of 5/31/18		Percent of Basket’s Net Assets
Sumitomo Dainippon Pharma Co. Ltd.		6,381,983	$	14,442,427,171		1.4	%
FamilyMart UNY Holdings Co. Ltd.		1,270,663		14,358,488,521		1.4	%
Shiseido Co. Ltd.		1,576,787		13,601,367,465		1.3	%
Start Today Co. Ltd.		3,539,756		13,397,975,813		1.3	%
Eisai Co. Ltd.		1,629,963		12,839,215,770		1.2	%
Kikkoman Corp.		2,472,179		12,707,001,437		1.2	%
SBI Holdings, Inc./Japan		4,108,361		12,218,264,311		1.2	%
Tokai Carbon Co. Ltd.		5,441,981		12,151,944,147		1.2	%
Medipal Holdings Corp.		4,791,119		12,030,500,741		1.2	%
Sompo Holdings, Inc.		2,510,096		11,877,776,562		1.1	%
TIS, Inc.		2,306,591		11,809,747,425		1.1	%
Nippon Express Co. Ltd.		1,433,541		11,740,700,249		1.1	%
Kose Corp.		491,369		11,630,712,664		1.1	%
Fast Retailing Co. Ltd.		243,447		11,619,733,057		1.1	%
Seino Holdings Co. Ltd.		5,582,023		11,443,146,523		1.1	%
Marui Group Co. Ltd.		5,128,590		11,339,313,127		1.1	%
Kirin Holdings Co. Ltd.		3,662,584		11,335,697,848		1.1	%
NGK Spark Plug Co. Ltd.		3,795,659		11,311,062,640		1.1	%
Tokyo Gas Co. Ltd.		3,813,049		11,305,689,152		1.1	%
Nichirei Corp.		3,727,590		11,000,118,179		1.1	%
Alfresa Holdings Corp.		3,988,136		10,979,338,499		1.1	%
Fukuoka Financial Group, Inc.		18,856,474		10,974,467,880		1.1	%
M3, Inc.		2,397,797		10,921,963,900		1.0	%
Taiyo Nippon Sanso Corp.		6,762,781		10,915,127,971		1.0	%
Mitsui Fudosan Co. Ltd.		3,978,090		10,880,077,110		1.0	%
Sumitomo Realty & Development Co. Ltd.		2,643,046		10,870,847,947		1.0	%
Toyoda Gosei Co. Ltd.		3,788,836		10,870,170,355		1.0	%
Kaneka Corp.		9,619,140		10,773,436,551		1.0	%

Security Description	Shares		Market Value as of 5/31/18		Percent of Basket’s Net Assets
Suzuken Co. Ltd../Aichi Japan		2,192,092	$	10,697,410,444		1.0	%
Mitsubishi Estate Co. Ltd.		5,408,737		10,687,664,729		1.0	%
Showa Shell Sekiyu KK		7,318,431		10,597,088,081		1.0	%
Casio Computer Co. Ltd.		6,352,146		10,576,322,507		1.0	%
Sony Financial Holdings, Inc.		5,244,500		10,494,244,692		1.0	%
TDK Corp.		1,067,956		10,444,610,961		1.0	%
Hitachi Capital Corp.		3,693,105		10,418,249,905		1.0	%
Trend Micro, Inc./Japan		1,684,958		10,413,041,231		1.0	%
Kyowa Hakko Kirin Co. Ltd.		4,646,072		10,351,447,572		1.0	%
Tokyu Fudosan Holdings Corp.		12,837,922		10,321,689,071		1.0	%
TOTO Ltd.		1,807,070		10,300,297,216		1.0	%
Asics Corp.		5,669,733		10,296,234,222		1.0	%
Cosmo Energy Holdings Co. Ltd.		2,778,594		10,294,689,929		1.0	%
Isetan Mitsukoshi Holdings Ltd.		7,608,295		10,225,549,090		1.0	%
Concordia Financial Group Ltd.		16,680,732		10,225,288,863		1.0	%
Iida Group Holdings Co. Ltd..		4,882,799		10,151,339,838		1.0	%
T&D Holdings, Inc.		5,869,407		10,077,771,029		1.0	%
Electric Power Development Co. Ltd.		3,482,870		10,068,976,563		1.0	%
JTEKT Corp.		6,329,338		10,044,660,092		1.0	%
Dai-ichi Life Holdings, Inc.		4,932,016		10,014,457,517		1.0	%
Dai Nippon Printing Co. Ltd.		4,272,133		10,005,336,624		1.0	%
Fuji Electric Co. Ltd.		12,837,964		9,975,097,733		1.0	%
Other		254,946,743		485,295,617,895		46.3	%
Total			$	1,043,323,398,819		100.0	%

The following table represents the equity basket holdings underlying the total return swap with GSABVISP as of May 31, 2018.

Security Description	Shares		Market Value as of 5/31/18		Percent of Basket’s Net Assets
Kellogg Co.		33,228	$	2,139,551		2.2	%
Expedia Group, Inc.		17,381		2,103,622		2.1	%
Southern Co./The		46,806		2,101,589		2.1	%
Duke Energy Corp.		27,100		2,091,036		2.1	%
Sempra Energy		19,614		2,089,479		2.1	%
Public Storage		9,824		2,081,116		2.1	%
Simon Property Group, Inc.		12,972		2,078,374		2.1	%
Intel Corp.		37,383		2,063,542		2.1	%
NVIDIA Corp.		8,132		2,050,809		2.1	%
Coca-Cola Co./The		47,416		2,038,888		2.1	%
Ford Motor Co.		176,523		2,038,841		2.1	%
Amgen, Inc.		11,344		2,037,609		2.0	%
Dominion Energy, Inc.		31,601		2,028,468		2.0	%
Lam Research Corp.		10,231		2,027,580		2.0	%
Kraft Heinz Co./The		35,217		2,024,273		2.0	%
Oracle Corp.		43,178		2,017,276		2.0	%
AT&T, Inc.		62,402		2,016,833		2.0	%
Pfizer, Inc.		56,117		2,016,284		2.0	%
NIKE, Inc.		28,043		2,013,487		2.0	%
United Parcel Service, Inc.		17,334		2,012,824		2.0	%
WW Grainger, Inc.		6,502		2,009,053		2.0	%
Boeing Co./The		5,694		2,005,199		2.0	%
Exxon Mobil Corp.		24,600		1,998,504		2.0	%
Verizon Communications, Inc.		41,894		1,997,087		2.0	%

Security Description	Shares		Market Value as of 5/31/18		Percent of Basket’s Net Assets
United Technologies Corp.		15,976	$	1,994,124		2.0	%
Costco Wholesale Corp.		10,052		1,992,709		2.0	%
Procter & Gamble Co./The		27,229		1,992,346		2.0	%
Home Depot, Inc./The		10,671		1,990,675		2.0	%
McDonald’s Corp.		12,424		1,987,964		2.0	%
Union Pacific Corp.		13,908		1,985,506		2.0	%
Starbucks Corp.		34,990		1,982,883		2.0	%
Cisco Systems, Inc.		46,286		1,976,875		2.0	%
Walmart, Inc.		23,912		1,973,696		2.0	%
International Business Machines Corp.		13,881		1,961,524		2.0	%
Kroger Co./The		80,354		1,955,013		2.0	%
CVS Health Corp.		30,807		1,952,856		2.0	%
Caterpillar, Inc.		12,844		1,951,132		2.0	%
Kimberly-Clark Corp.		19,292		1,945,598		2.0	%
Chevron Corp.		15,642		1,944,301		2.0	%
ConocoPhillips		28,756		1,937,867		1.9	%
Johnson & Johnson		16,098		1,925,643		1.9	%
Target Corp.		26,337		1,919,704		1.9	%
Walt Disney Co./The		19,244		1,914,201		1.9	%
Anthem, Inc.		8,626		1,909,969		1.9	%
General Electric Co.		133,601		1,881,102		1.9	%
EOG Resources, Inc.		15,900		1,873,179		1.9	%
Hess Corp.		30,931		1,868,851		1.9	%
AbbVie, Inc.		18,871		1,867,097		1.9	%
Schlumberger Ltd.		26,922		1,848,734		1.9	%
Concho Resources, Inc.		13,030		1,789,149		1.8	%
Total				99,404,022		100.0	%

The following table represents the 50 largest equity basket holdings underlying the total return swap with JPQABACP as of May 31, 2018.

Security Description	Shares		Market Value as of 5/31/18		Percent of Basket’s Net Assets
Royal Dutch Shell PLC		202,044	$	540,871,764		40.6	%
BP PLC		376,719		217,103,160		16.3	%
Glencore PLC		361,160		134,369,663		10.1	%
JXTG Holdings, Inc.		118,663		83,408,463		6.3	%
Yamato Kogyo Co. Ltd.		16,128		54,672,740		4.1	%
Rio Tinto PLC		11,094		47,037,218		3.5	%
Inpex Corp.		33,385		40,529,594		3.1	%
Sumitomo Metal Mining Co. Ltd.		9,665		40,265,637		3.0	%
Antofagasta PLC		37,022		39,039,959		2.9	%
Johnson Matthey PLC		8,532		29,973,692		2.3	%
Vedanta Resources		26,460		18,739,253		1.4	%
Petrofac Ltd.		20,584		11,992,229		0.9	%
Petrochina Co. Ltd.		1,514,263		9,827,567		0.7	%
Boliden AB		25,463		7,915,312		0.6	%
CNOOC Ltd.		379,306		5,006,837		0.4	%
Industrias Penoles SAB De Cv		14,786		4,981,015		0.4	%
Aker BP ASA		14,030		4,194,940		0.3	%
Aluminum Corp. Of China Ltd.		990,188		4,089,476		0.3	%
Chevron Corp.		30,727		3,819,347		0.3	%
Exxon Mobil Corp.		38,510		3,128,592		0.2	%
Tupras Turkiye Petrol Rafinerileri AS		25,412		2,696,196		0.2	%

Security Description	Shares		Market Value as of 5/31/18		Percent of Basket’s Net Assets
Eog Resources, Inc.		17,150	$	2,020,426		0.2	%
Petroleum Geo-Services ASA		51,079		2,010,971		0.2	%
Canadian Natural Resources Ltd.		39,790		1,786,175		0.1	%
Agnico Eagle Mines		27,391		1,593,894		0.1	%
TOTAL SA		27,920		1,453,257		0.1	%
Anadarko Petroleum Corp.		18,743		1,308,248		0.1	%
Alcoa Corp.		27,140		1,304,612		0.1	%
Devon Energy Corp.		24,995		1,039,048		0.1	%
Mosaic Co./The		37,595		1,033,492		0.1	%
Cosan SA Industria e Comercio		23,301		904,061		0.1	%
LUKOIL PJSC		13,323		889,154		0.1	%
Eni SpA		56,582		876,456		0.1	%
First Quantum Minerals Ltd.		40,103		816,091		0.1	%
Vale SA		55,154		750,095		0.1	%
YPF SA		40,394		733,550		0.1	%
C&J Energy Services, Inc.		26,720		719,300		0.1	%
Repsol SA		41,180		671,436		0.1	%
MMC Norilsk Nickel PJSC		37,321		661,703		0.1	%
Continental Resources, Inc./Ok		9,738		655,780		0.1	%
SM Energy Co.		24,825		650,402		0.0	%
Monsanto Co.		4,208		536,319		0.0	%
Northern Star Resources Ltd.		84,612		530,515		0.0	%
Origin Energy Ltd.		53,443		513,058		0.0	%
Concho Resources, Inc.		3,671		504,002		0.0	%
Petroleo Brasileiro SA		20,527		389,605		0.0	%
Detour Gold Corp.		33,556		343,952		0.0	%
Gran Tierra Energy, Inc.		78,609		331,729		0.0	%
Oz Minerals Ltd.		33,573		330,363		0.0	%
Lundin Mining Corp.		40,046		325,574		0.0	%
Other		200,052		1,651,249		0.0	%
Total			$	1,330,997,171		100.0	%

The following table represents the 50 largest equity basket holdings underlying the total return swap with MSABRDL as of May 31, 2018.

Security Description	Shares		Market Value as of 5/31/18		Percent of Basket’s Net Assets
Nutanix, Inc.		8,002	$	427,707		2.3	%
Cree, Inc.		7,700		358,960		1.9	%
Zebra Technologies Corp.		2,329		357,454		1.9	%
Keysight Technologies, Inc.		6,080		357,158		1.9	%
Intel Corp.		6,089		336,135		1.8	%
Agios Pharmaceuticals, Inc.		3,538		330,788		1.8	%
Tableau Software, Inc.		3,340		330,189		1.8	%
Citrix Systems, Inc.		3,060		323,250		1.7	%
Dell Technologies, Inc. - Class V		3,990		321,838		1.7	%
Silicon Laboratories, Inc.		3,010		317,820		1.7	%
Advanced Micro Devices, Inc.		22,674		311,314		1.7	%
ON Semiconductor Corp.		12,322		309,659		1.6	%
Seagate Technology PLC		5,428		305,847		1.6	%
Cadence Design Systems, Inc.		7,120		302,252		1.6	%
Merck & Co, Inc.		5,022		298,987		1.6	%
Ashland Global Holdings, Inc.		3,823		297,147		1.6	%
Monsanto Co.		2,296		292,593		1.6	%

Security Description	Shares		Market Value as of 5/31/18		Percent of Basket’s Net Assets
Woodward, Inc.		3,850	$	291,703		1.5	%
Fiat Chrysler Automobiles NV		12,458		289,397		1.5	%
BioMarin Pharmaceutical, Inc.		3,185		287,763		1.5	%
Twitter, Inc.		8,225		285,415		1.5	%
Teradata Corp.		7,142		284,761		1.5	%
Eli Lilly & Co.		3,329		283,113		1.5	%
CA, Inc.		7,899		282,324		1.5	%
Autoliv, Inc.		1,905		281,856		1.5	%
General Motors Co.		6,585		281,198		1.5	%
Amdocs Ltd.		4,168		281,191		1.5	%
Cypress Semiconductor Corp.		17,053		280,693		1.5	%
Ciena Corp.		12,089		278,640		1.5	%
Western Digital Corp.		3,299		275,540		1.5	%
Synopsys, Inc.		3,128		275,469		1.5	%
Dolby Laboratories, Inc.		4,385		275,348		1.5	%
Juniper Networks, Inc.		10,320		274,919		1.5	%
McKesson Corp.		1,887		267,839		1.4	%
Marvell Technology Group Ltd.		12,276		264,422		1.4	%
Navistar International Corp.		7,009		262,401		1.4	%
Ford Motor Co.		22,557		260,532		1.4	%
Hewlett Packard Enterprise Co.		17,047		259,801		1.4	%
Visteon Corp.		2,076		259,363		1.4	%
AGCO Corp.		4,035		256,649		1.4	%
NewMarket Corp.		659		253,206		1.3	%
Deere & Co.		1,683		251,617		1.3	%
International Business Machines Corp.		1,777		251,071		1.3	%
QUALCOMM, Inc.		4,309		250,431		1.3	%
eBay, Inc.		6,434		242,702		1.3	%
International Game Technology PLC		9,558		240,295		1.3	%
National Instruments Corp.		5,664		235,754		1.3	%
CNH Industrial NV		19,856		233,109		1.2	%
Whirlpool Corp.		1,572		227,546		1.2	%
Nuance Communications, Inc.		16,683		225,388		1.2	%
Other		98,263		4,513,940		23.7	%
Total			$	18,844,494		100.0	%

AB All Market Total Return Portfolio

May 31, 2018 (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.

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, 2018:

Investments in Securities:	Level 1			Level 2			Level 3			Total
Assets:
Common Stocks:
Information Technology	$	79,210,024		$	12,538,296		$	– 0	– (a)	$	91,748,320
Consumer Discretionary		53,242,035			13,055,593			– 0	–		66,297,628
Financials		33,146,736			26,132,665			115,545			59,394,946
Health Care		51,392,149			5,073,575			– 0	–		56,465,724
Industrials		26,801,148			16,921,309			103,207			43,825,664
Consumer Staples		14,794,490			9,918,300			– 0	–		24,712,790
Energy		7,214,130			7,487,636			152,160	(a)		14,853,926
Telecommunication Services		4,540,937			9,324,728			– 0	–		13,865,665
Materials		5,514,202			6,169,818			65,880			11,749,900
Utilities		2,294,410			3,149,777			– 0	–		5,444,187
Real Estate		2,956,106			237,655			– 0	–		3,193,761
Investment Companies		200,634,818			– 0	–		– 0	–		200,634,818
Corporates - Non-Investment Grade		– 0	–		54,831,094			731,818	(a)		55,562,912
Inflation - Linked Securities		– 0	–		14,300,559			– 0	–		14,300,559
Governments - Treasuries		– 0	–		13,145,198			– 0	–		13,145,198
Corporates - Investment Grade		– 0	–		8,633,602			– 0	–		8,633,602
Emerging Markets - Sovereigns		– 0	–		8,217,736			– 0	–		8,217,736
Emerging Markets - Corporate Bonds		– 0	–		6,882,702			52,132			6,934,834
Collateralized Mortgage Obligations		– 0	–		6,529,523			89,217			6,618,740
Emerging Markets - Treasuries		– 0	–		5,800,099			– 0	–		5,800,099
Bank Loans		– 0	–		1,979,834			186,666			2,166,500
Commercial Mortgage-Backed Securities		– 0	–		– 0	–		820,628			820,628
Asset-Backed Securities		– 0	–		– 0	–		807,954			807,954
Collateralized Loan Obligations		– 0	–		– 0	–		740,379			740,379
Preferred Stocks		57,470			36,239			613,722			707,431
Local Governments - Regional Bonds		– 0	–		453,900			– 0	–		453,900
Local Governments - US Municipal Bonds		– 0	–		232,498			– 0	–		232,498
Quasi-Sovereigns		– 0	–		186,000			– 0	–		186,000
Options Purchased - Puts		– 0	–		30,603			– 0	–		30,603
Warrants		2,353			– 0	–		24,311	(a)		26,664
Options Purchased - Calls		– 0	–		5,316			– 0	–		5,316
Mortgage Pass-Throughs		– 0	–		205			– 0	–		205
Short-Term Investments:								– 0	–
Investment Companies		81,103,460			– 0	–		– 0	–		81,103,460
U.S. Treasury Bills		– 0	–		9,967,892			– 0	–		9,967,892
Investments of Cash Collateral for Securities Loaned in Affiliated Money Market Fund		23,398,185			– 0	–		– 0	–		23,398,185
Total Investments in Securities		586,302,653			241,242,352			4,503,619			832,048,624
Other Financial Instruments(b):
Assets:
Futures		10,624,894			65,756			– 0	–		10,690,650
Forward Currency Exchange Contracts		– 0	–		7,831,398			– 0	–		7,831,398
Centrally Cleared Credit Default Swaps		– 0	–		3,484,197			– 0	–		3,484,197
Centrally Cleared Interest Rate Swaps		– 0	–		172,419			– 0	–		172,419
Credit Default Swaps		– 0	–		18,831			– 0	–		18,831
Inflation (CPI) Swaps		– 0	–		64,734			– 0	–		64,734
Total Return Swaps		– 0	–		914,857			– 0	–		914,857
Liabilities:
Futures		(1,809,834	)		(26,787	)		– 0	–		(1,836,621	)
Forward Currency Exchange Contracts		– 0	–		(7,510,741	)		– 0	–		(7,510,741	)
Call Options Written		– 0	–		(1,075,071	)		– 0	–		(1,075,071	)
Put Options Written		– 0	–		(1,222,755	)		– 0	–		(1,222,755	)
Currency Options Written		– 0	–		(253,386	)		– 0	–		(253,386	)
Credit Default Swaptions Written		– 0	–		(4,775	)		– 0	–		(4,775	)
Centrally Cleared Credit Default Swaps		– 0	–		(4,509,046	)		– 0	–		(4,509,046	)
Centrally Cleared Interest Rate Swaps		– 0	–		(71,927	)		– 0	–		(71,927	)
Credit Default Swaps		– 0	–		(1,668,750	)		– 0	–		(1,668,750	)
Total Return Swaps		– 0	–		(932,559	)		– 0	–		(932,559	)
Variance Swaps		– 0	–		(260	)		– 0	–		(260	)
Total(c)	$	595,117,713		$	236,518,487		$	4,503,619		$	836,139,819

^(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.

^(c)  There were deminimis transfers under 1% of net assets between Level 1 to Level 2 during the reporting period.

The Fund recognizes all transfers between levels of the fair value hierarchy assuming the financial instruments were transferred at the beginning of the reporting period.

The following is a reconciliation of investments in which significant unobservable inputs (Level 3) were used in determining fair value.

	Common Stocks(a)			Corporates - Non- Investment Grade(a)			Emerging Markets - Corporate Bonds
Balance as of 8/31/17	$	138,560		$	481,168		$	11,427
Accrued discounts/(premiums)		– 0	–		27,971			1,366
Realized gain (loss)		– 0	–		(18,646	)		390
Change in unrealized appreciation/depreciation		128,026			53,668			15,378
Purchases/Payups		80,985			399,012			8,826
Sales/Paydowns		(10,564	)		(380,426	)		(439	)
Reclassification		10,564			– 0	–		– 0	–
Transfers in to Level 3		89,221			169,071			15,184
Transfers out of Level 3								– 0	–
Balance as of 5/31/18	$	436,792		$	731,818		$	52,132
Net change in unrealized appreciation/depreciation from investments held as of 5/31/18	$	127,373		$	29,534		$	15,378
	Collateralized Mortgage Obligations			Bank Loans			Commercial Mortgage- Backed Securities
Balance as of 8/31/17	$	85,563		$	65,755		$	774,659
Accrued discounts/(premiums)		281			(1,812	)		350
Realized gain (loss)		– 0	–		(76	)		197
Change in unrealized appreciation/depreciation		3,373			8,743			(31,207	)
Purchases/Payups		– 0	–		– 0	–		105,000
Sales/Paydowns		– 0	–		(9,798	)		(28,371	)
Reclassification		– 0	–		– 0	–		– 0	–
Transfers in to Level 3		– 0	–		123,854			– 0	–
Transfers out of Level 3		– 0	–		– 0	–		– 0	–
Balance as of 5/31/18	$	89,217		$	186,666		$	820,628
Net change in unrealized appreciation/depreciation from investments held as of 5/31/18	$	3,373		$	8,743		$	(31,207	)

	Asset-Backed Securities			Collateralized Loan Obligations			Preferred Stocks
Balance as of 8/31/17	$	539,068		$	422,579		$	87,700
Accrued discounts/(premiums)		488			(12	)		– 0	–
Realized gain (loss)		(40	)		– 0	–		– 0	–
Change in unrealized appreciation/depreciation		(10,610	)		3,960			35,578
Purchases/Payups		446,766			313,852			443,386
Sales/Paydowns		(167,718	)		– 0	–		– 0	–
Reclassification		– 0	–		– 0	–		– 0	–
Transfers in to Level 3		– 0	–		– 0	–		47,058
Transfers out of Level 3		– 0	–		– 0	–		– 0	–
Balance as of 5/31/18	$	807,954		$	740,379		$	613,722
Net change in unrealized appreciation/depreciation from investments held as of 5/31/18		(10,610	)	$	3,960		$	35,578
	Warrants(a)			Total
Balance as of 8/31/17	$	10,402		$	2,616,881
Accrued discounts/(premiums)		– 0	–		28,632
Realized gain (loss)		(24	)		(18,199	)
Change in unrealized appreciation/depreciation		13,933			220,842
Purchases/Payups		– 0	–		1,797,827
Sales/Paydowns		– 0	–		(597,316	)
Reclassification		– 0	–		10,564
Transfers in to Level 3		– 0	–		444,388	(b)
Transfers out of Level 3		– 0	–		– 0	–
Balance as of 5/31/18		24,311		$	4,503,619
Net change in unrealized appreciation/depreciation from investments held as of 5/31/18	$	23,055		$	205,177

^(a) The Fund held securities with zero market value at period end.

^(b) There were de minimis transfers under 1% of net assets during the reporting period.

The Adviser established the Valuation Committee (the “Committee”) to oversee the pricing and valuation of all securities held in the Fund. The Committee operates under pricing and valuation policies and procedures established by the Adviser and approved by the Board, including pricing policies which set forth the mechanisms and processes to be employed on a daily basis to implement these policies and procedures. In particular, the pricing policies describe how to determine market quotations for securities and other instruments. The Committee’s responsibilities include: 1) fair value and liquidity determinations (and oversight of any third parties to whom any responsibility for fair value and liquidity determinations is delegated), and 2) regular monitoring of the Adviser’s pricing and valuation policies and procedures and modification or enhancement of these policies and procedures (or recommendation of the modification of these policies and procedures) as the Committee believes appropriate.

The Committee is also responsible for monitoring the implementation of the pricing policies by the Adviser’s Pricing Group (the “Pricing Group”) and any third party which performs certain pricing functions in accordance with the pricing policies. The Pricing Group is responsible for the oversight of the third party on a day-to-day basis. The Committee and the Pricing Group perform a series of activities to provide reasonable assurance of the accuracy of prices including: 1) periodic vendor due diligence meetings, review of methodologies, new developments and process at vendors, 2) daily comparison of security valuation versus prior day for all securities that exceeded established thresholds, and 3) daily review of unpriced, stale, and variance reports with exceptions reviewed by senior management and the Committee.

In addition, several processes outside of the pricing process are used to monitor valuation issues including: 1) performance and performance attribution reports are monitored for anomalous impacts based upon benchmark performance, and 2) portfolio managers review all portfolios for performance and analytics (which are generated using the Adviser’s prices).

A summary of the Fund’s transactions in AB mutual funds for the nine months ended May 31, 2018 is as follows:

																Distributions
Affiliated Issuer	Market Value 8/31/17 (000)		Purchases at Cost (000)			Sales Proceeds (000)		Realized Gain (Loss) (000)			Change in Unrealized Appr. /(Depr.) (000)			Market Value 5/31/18 (000)		Dividend Income (000)			Realized Gains (000)
AB Cap Fund, Inc. - AB All Market Alternative Return Portfolio	$	190,877	$	– 0	–	$	50,722	$	(4,818	)	$	(7,849	)	$	127,488	$	– 0	–	$	– 0	–
Government Money Market Portfolio		66,959		272,650			258,506		– 0	–		– 0	–		81,103		442			– 0	–
Government Money Market Portfolio*		14,459		171,638			162,699		– 0	–		– 0	–		23,398		146			– 0	–
Total	$	272,295	$	444,288		$	471,927	$	(4,818	)	$	(7,849	)	$	231,989	$	588		$	– 0	–

* Investments of cash collateral for securities lending transactions

AB Conservative Wealth Strategy

Portfolio of Investments

May 31, 2018 (unaudited)

Company	Shares		U.S. $ Value
INVESTMENT COMPANIES - 35.3%
Funds and Investment Trusts - 35.3%
AB All Market Real Return Portfolio-Class Z (a)		2,358,884	$	21,442,256
AB Cap Fund, Inc.-AB All Market Alternative Return Portfolio-Class ADV (a)(b)		2,111,527		16,659,952
AB High Income Fund, Inc.-Class Z (a)		2,561,901		21,622,440
Energy Select Sector SPDR Fund		89,530		6,806,070
Vanguard FTSE Emerging Markets ETF		91,960		4,102,336
Vanguard Global ex-U.S. Real Estate ETF		32,274		1,949,027
Vanguard Real Estate ETF (c)		30,160		2,379,322
Total Investment Companies (cost $75,365,597)				74,961,403
COMMON STOCKS - 34.0%
Information Technology - 7.8%
Communications Equipment - 0.1%
BYD Electronic International Co., Ltd.		6,500		10,258
Cisco Systems, Inc.		3,718		158,796
				169,054
Electronic Equipment, Instruments & Components - 0.3%
Amphenol Corp.-Class A		7,089		616,247
Avnet, Inc.		2,278		86,837
Nippon Electric Glass Co., Ltd.		500		13,511
				716,595
Internet Software & Services - 1.8%
Alphabet, Inc.-Class A (b)		110		121,000
Alphabet, Inc.-Class C (b)		1,935		2,099,455
eBay, Inc. (b)		2,558		96,488
Facebook, Inc.-Class A (b)		6,224		1,193,639
Mixi, Inc.		800		25,004
Moneysupermarket.com Group PLC		53,660		225,920
Tencent Holdings Ltd.		800		40,842
				3,802,348
IT Services - 2.7%
Accenture PLC-Class A		183		28,500
Amadeus IT Group SA-Class A		3,620		287,445
Amdocs Ltd.		1,437		96,940
Booz Allen Hamilton Holding Corp.		6,986		314,999
Capgemini SE		2,035		268,379
Cognizant Technology Solutions Corp.-Class A		2,470		186,115
Fidelity National Information Services, Inc.		3,240		331,193
Gartner, Inc. (b)		8,020		1,064,575
Mastercard, Inc.-Class A		8,260		1,570,391
Otsuka Corp.		5,500		226,715
Paychex, Inc.		2,420		158,704
Total System Services, Inc.		4,820		410,616
Visa, Inc.-Class A		6,436		841,314
				5,785,886
Semiconductors & Semiconductor Equipment - 0.6%
Applied Materials, Inc.		1,839		93,385
Intel Corp.		10,495		579,324

Company	Shares		U.S. $ Value
NXP Semiconductors NV (b)		860	$	98,040
Skyworks Solutions, Inc.		352		34,711
Taiwan Semiconductor Manufacturing Co., Ltd. (Sponsored ADR)		4,270		165,249
Texas Instruments, Inc.		2,452		274,403
				1,245,112
Software - 1.6%
Adobe Systems, Inc. (b)		610		152,061
BlackBerry Ltd. (b)		1,121		13,271
Check Point Software Technologies Ltd. (b)		1,300		126,568
Constellation Software, Inc./Canada		72		56,708
Dell Technologies, Inc.-Class V (b)		1,016		81,951
Intuit, Inc.		652		131,443
Microsoft Corp.		15,058		1,488,333
NCSoft Corp.		50		16,334
Nice Ltd. (b)		3,505		369,865
Oracle Corp.		7,656		357,688
Oracle Corp./Japan		4,200		318,719
SAP SE		1,800		202,765
Trend Micro, Inc./Japan		700		39,575
				3,355,281
Technology Hardware, Storage & Peripherals - 0.7%
Apple, Inc.		6,219		1,162,144
HP, Inc.		4,586		101,030
Samsung Electronics Co., Ltd.		5,770		270,945
				1,534,119
				16,608,395
Consumer Discretionary - 5.9%
Auto Components - 0.6%
Aptiv PLC		11,640		1,134,900
Faurecia SA		669		56,755
				1,191,655
Automobiles - 0.1%
Fiat Chrysler Automobiles NV (b)		2,526		57,252
General Motors Co.		2,300		98,210
Mazda Motor Corp.		2,900		36,375
				191,837
Diversified Consumer Services - 0.5%
Benesse Holdings, Inc.		1,000		36,242
Service Corp. International/US		20,464		750,824
Sotheby’s (b)		6,062		332,319
				1,119,385
Hotels, Restaurants & Leisure - 1.7%
Aristocrat Leisure Ltd.		18,820		425,458
Compass Group PLC		14,801		318,057
Flight Centre Travel Group Ltd.		950		44,179
Hilton Grand Vacations, Inc. (b)		3,910		155,462
McDonald’s Corp.		2,058		329,301
OPAP SA		4,269		45,931

Company	Shares		U.S. $ Value
Starbucks Corp.		36,796	$	2,085,229
Wynn Resorts Ltd.		200		39,202
Yum! Brands, Inc.		1,268		103,126
				3,545,945
Household Durables - 0.2%
Auto Trader Group PLC (d)		34,500		161,557
Electrolux AB-Class B		1,728		42,655
LG Electronics, Inc.		236		20,231
Persimmon PLC		4,090		153,892
				378,335
Internet & Direct Marketing Retail - 0.8%
Amazon.com, Inc. (b)		140		228,147
Booking Holdings, Inc. (b)		692		1,459,372
				1,687,519
Leisure Products - 0.1%
Amer Sports Oyj (b)		3,230		104,538
Sankyo Co., Ltd.		1,100		43,520
Sega Sammy Holdings, Inc.		2,700		47,576
				195,634
Media - 0.3%
Comcast Corp.-Class A		6,897		215,048
CTS Eventim AG & Co. KGaA		2,410		116,098
Daiichikosho Co., Ltd.		2,000		93,157
Eutelsat Communications SA		2,410		46,345
Liberty Global PLC-Class A (b)		2,505		71,418
Omnicom Group, Inc.		1,480		106,678
Sirius XM Holdings, Inc.		15,590		110,689
				759,433
Multiline Retail - 0.1%
Next PLC		3,160		243,399
Shinsegae, Inc.		70		28,377
Takashimaya Co., Ltd.		2,000		16,661
				288,437
Specialty Retail - 1.3%
AutoZone, Inc. (b)		559		362,970
Best Buy Co., Inc.		1,412		96,369
Home Depot, Inc. (The)		1,396		260,424
Ross Stores, Inc.		4,680		369,158
TJX Cos., Inc. (The)		4,066		367,241
Ulta Salon Cosmetics & Fragrance, Inc. (b)		4,926		1,216,279
				2,672,441
Textiles, Apparel & Luxury Goods - 0.2%
HUGO BOSS AG		1,174		105,343
Moncler SpA		3,120		143,113
NIKE, Inc.-Class B		4,057		291,293
				539,749
				12,570,370

Company	Shares		U.S. $ Value
Financials - 5.2%
Banks - 2.1%
Bank Leumi Le-Israel BM		3,850	$	23,996
Bank of America Corp.		2,025		58,806
Citigroup, Inc.		7,419		494,773
Comerica, Inc.		650		61,288
DBS Group Holdings Ltd.		27,300		574,404
DNB ASA		8,635		154,766
Hana Financial Group, Inc.		463		17,844
Hang Seng Bank Ltd.		12,000		299,185
Industrial Bank of Korea		1,487		21,469
JPMorgan Chase & Co.		1,951		208,777
Jyske Bank A/S		11,530		627,802
KB Financial Group, Inc.		395		18,999
Mitsubishi UFJ Financial Group, Inc.		32,600		196,520
National Australia Bank Ltd. (c)		5,270		106,231
Oversea-Chinese Banking Corp., Ltd.		9,800		91,371
PNC Financial Services Group, Inc. (The)		765		109,709
Royal Bank of Canada		3,580		270,585
Toronto-Dominion Bank (The)		5,588		326,247
Wells Fargo & Co.		15,711		848,237
				4,511,009
Capital Markets - 1.9%
BlackRock, Inc.-Class A		628		335,497
Charles Schwab Corp. (The)		24,690		1,373,258
China Everbright Ltd.		10,000		21,880
China Huarong Asset Management Co., Ltd. (d)		11,000		3,687
CME Group, Inc.-Class A		1,667		271,554
Daiwa Securities Group, Inc.		6,000		34,691
IG Group Holdings PLC		14,210		163,180
Intercontinental Exchange, Inc.		2,870		203,454
Julius Baer Group Ltd. (b)		8,907		520,798
Kingston Financial Group Ltd. (c)		20,000		7,093
London Stock Exchange Group PLC		2,859		169,952
Morgan Stanley		2,159		108,252
Partners Group Holding AG		314		226,938
S&P Global, Inc.		587		115,932
Singapore Exchange Ltd.		83,000		447,981
				4,004,147
Consumer Finance - 0.1%
American Express Co.		1,229		120,810
Discover Financial Services		194		14,329
				135,139
Diversified Financial Services - 0.2%
Berkshire Hathaway, Inc.-Class B (b)		115		22,026
Cielo SA		69,600		316,506
Kinnevik AB		1,561		54,390
				392,922
Insurance - 0.9%
Aflac, Inc.		630		28,388
Allianz SE (REG)		440		90,654
Arthur J Gallagher & Co.		3,790		251,201
Direct Line Insurance Group PLC		20,570		97,640

Company	Shares		U.S. $ Value
Everest Re Group Ltd.		790	$	177,979
FNF Group		8,700		321,552
Japan Post Holdings Co., Ltd.		3,500		40,031
Marsh & McLennan Cos., Inc.		2,560		205,747
Ping An Insurance Group Co. of China Ltd.-Class H		2,500		24,355
Progressive Corp. (The)		1,859		115,425
Prudential Financial, Inc.		672		65,077
Swiss Re AG		3,690		317,306
Travelers Cos., Inc. (The)		384		49,352
Tryg A/S		7,120		163,896
				1,948,603
				10,991,820
Health Care - 5.0%
Biotechnology - 1.0%
AbbVie, Inc.		210		20,777
Amgen, Inc.		586		105,257
Biogen, Inc. (b)		1,634		480,330
Celgene Corp. (b)		10,369		815,833
CSL Ltd.		390		54,744
Gilead Sciences, Inc.		9,912		668,070
Grifols SA (c)		1,797		52,975
				2,197,986
Health Care Equipment & Supplies - 1.2%
Abbott Laboratories		25,625		1,576,706
Cochlear Ltd.		305		45,142
Fisher & Paykel Healthcare Corp., Ltd.		4,169		38,664
Hoya Corp.		800		47,378
Straumann Holding AG		79		52,107
West Pharmaceutical Services, Inc.		7,863		731,259
				2,491,256
Health Care Providers & Services - 1.2%
Anthem, Inc.		5,776		1,278,922
Centene Corp. (b)		682		79,903
CVS Health Corp.		3,080		195,241
Humana, Inc.		397		115,519
McKesson Corp.		72		10,220
UnitedHealth Group, Inc.		3,683		889,481
				2,569,286
Life Sciences Tools & Services - 0.3%
IQVIA Holdings, Inc. (b)		7,108		703,194
Pharmaceuticals - 1.3%
Bristol-Myers Squibb Co.		3,170		166,805
Eli Lilly & Co.		288		24,492
Ipsen SA		380		60,302
Johnson & Johnson		1,077		128,831
Merck & Co., Inc.		4,278		254,669
Novo Nordisk A/S-Class B		4,011		190,637
Pfizer, Inc.		11,103		398,931
Roche Holding AG		1,625		348,419
Sumitomo Dainippon Pharma Co., Ltd.		2,600		53,832

Company	Shares		U.S. $ Value
Zoetis, Inc.		12,779	$	1,069,602
				2,696,520
				10,658,242
Industrials - 3.7%
Aerospace & Defense - 0.5%
Boeing Co. (The)		1,352		476,121
Harris Corp.		1,400		210,658
Raytheon Co.		1,977		414,181
Safran SA		552		65,840
				1,166,800
Air Freight & Logistics - 0.1%
CH Robinson Worldwide, Inc.		1,707		148,509
Airlines - 0.2%
ANA Holdings, Inc.		900		36,137
Delta Air Lines, Inc.		1,796		97,074
International Consolidated Airlines Group SA		6,400		58,163
Japan Airlines Co., Ltd.		1,000		38,670
Qantas Airways Ltd.		35,174		168,330
				398,374
Building Products - 0.4%
Allegion PLC		12,601		963,094
Commercial Services & Supplies - 0.3%
Republic Services, Inc.-Class A		1,460		98,448
Secom Co., Ltd.		7,100		527,922
Stericycle, Inc. (b)		2,130		135,255
Toppan Printing Co., Ltd.		4,000		32,522
				794,147
Industrial Conglomerates - 0.1%
CITIC Ltd.		16,000		23,701
Honeywell International, Inc.		870		128,682
				152,383
Machinery - 0.6%
Dover Corp.		7,420		572,898
Hyundai Heavy Industries Co., Ltd. (b)		180		19,003
Kone Oyj-Class B		9,470		468,515
Stanley Black & Decker, Inc.		1,156		160,962
				1,221,378
Marine - 0.0%
Mitsui OSK Lines Ltd.		1,100		28,968
Professional Services - 1.2%
Intertek Group PLC		3,520		255,292
RELX NV		31,021		676,383
Verisk Analytics, Inc.-Class A (b)		12,540		1,332,250
Wolters Kluwer NV		4,290		240,996
				2,504,921

Company	Shares		U.S. $ Value
Road & Rail - 0.1%
ALD SA (c)(d)		12,549	$	211,020
Central Japan Railway Co.		200		41,256
DSV A/S		720		59,791
				312,067
Trading Companies & Distributors - 0.1%
HD Supply Holdings, Inc. (b)		2,653		108,057
Transportation Infrastructure - 0.1%
Flughafen Zurich AG		720		151,132
				7,949,830
Consumer Staples - 2.1%
Beverages - 0.3%
Diageo PLC		10,158		373,238
PepsiCo, Inc.		3,219		322,705
				695,943
Food & Staples Retailing - 0.3%
Costco Wholesale Corp.		644		127,666
J Sainsbury PLC		20,587		87,060
Kroger Co. (The)		3,694		89,875
Wal-Mart de Mexico SAB de CV		2,862		7,208
Walmart, Inc.		2,490		205,525
				517,334
Food Products - 0.7%
Barry Callebaut AG (REG)		30		52,548
Danone SA		1,420		108,739
Hershey Co. (The)		8,993		809,730
Salmar ASA		5,560		242,414
Tyson Foods, Inc.-Class A		4,102		276,762
				1,490,193
Household Products - 0.2%
Kimberly-Clark Corp.		96		9,682
Procter & Gamble Co. (The)		4,930		360,728
				370,410
Personal Products - 0.3%
L’Oreal SA		2,315		557,542
Unilever PLC		2,310		127,359
				684,901
Tobacco - 0.3%
Altria Group, Inc.		2,139		119,228
British American Tobacco PLC		5,539		284,320
Philip Morris International, Inc.		2,791		221,996
				625,544
				4,384,325
Energy - 1.3%
Energy Equipment & Services - 0.1%
Schlumberger Ltd.		1,180		81,030
TechnipFMC PLC		2,365		73,670
				154,700

Company	Shares		U.S. $ Value
Oil, Gas & Consumable Fuels - 1.2%
BP PLC		13,375	$	102,295
Caltex Australia Ltd.		1,618		35,883
ConocoPhillips		4,560		307,298
Exxon Mobil Corp.		1,802		146,395
LUKOIL PJSC (Sponsored ADR)		4,784		318,901
Marathon Petroleum Corp.		1,161		91,754
Neste Oyj		753		61,535
Phillips 66		845		98,434
Royal Dutch Shell PLC-Class A		2,815		97,602
Royal Dutch Shell PLC-Class B		22,382		799,403
Suncor Energy, Inc. (Toronto)		1,301		51,815
TOTAL SA		4,887		297,100
Valero Energy Corp.		848		102,778
				2,511,193
				2,665,893
Telecommunication Services - 1.2%
Diversified Telecommunication Services - 0.5%
AT&T, Inc.		4,480		144,794
HKT Trust & HKT Ltd.-Class SS		293,000		369,337
Nippon Telegraph & Telephone Corp.		7,500		350,376
Telenor ASA		7,110		146,458
Verizon Communications, Inc.		3,200		152,544
				1,163,509
Wireless Telecommunication Services - 0.7%
China Mobile Ltd.		25,500		228,286
KDDI Corp.		23,700		639,271
MTN Group Ltd.		51,787		465,798
T-Mobile US, Inc. (b)		1,630		90,791
				1,424,146
				2,587,655
Materials - 1.0%
Chemicals - 0.8%
Air Products & Chemicals, Inc.		661		106,692
BASF SE		4,476		441,938
Covestro AG (d)		523		47,647
Croda International PLC		3,330		206,060
Ecolab, Inc.		4,264		608,089
LyondellBasell Industries NV-Class A		1,853		207,758
Umicore SA		970		54,718
Victrex PLC		2,635		98,800
				1,771,702
Containers & Packaging - 0.1%
Amcor Ltd./Australia		19,360		205,442
Metals & Mining - 0.1%
Anglo American PLC (c)		3,102		74,076
Freeport-McMoRan, Inc.		852		14,399
Jastrzebska Spolka Weglowa SA (b)		750		16,840

Company	Shares		U.S. $ Value
Lundin Mining Corp.		6,599	$	41,377
				146,692
				2,123,836
Utilities - 0.5%
Electric Utilities - 0.2%
Enel Americas SA (Sponsored ADR)		13,150		127,292
Enel Chile SA (ADR)		19,304		103,084
NextEra Energy, Inc.		280		46,427
Power Assets Holdings Ltd.		3,000		20,865
Tokyo Electric Power Co. Holdings, Inc. (b)		10,000		47,383
				345,051
Independent Power and Renewable Electricity Producers - 0.1%
Vistra Energy Corp. (b)		5,116		125,495
Multi-Utilities - 0.0%
Centrica PLC		35,008		67,790
Water Utilities - 0.2%
Guangdong Investment Ltd.		282,000		473,360
				1,011,696
Real Estate - 0.3%
Equity Real Estate Investment Trusts (REITs) - 0.1%
Lamar Advertising Co.-Class A		1,240		85,833
Weyerhaeuser Co.		3,048		113,782
				199,615
Real Estate Management & Development - 0.2%
Agile Group Holdings Ltd.		12,000		22,670
CBRE Group, Inc.-Class A (b)		7,634		352,614
Sunac China Holdings Ltd.		5,000		18,824
				394,108
				593,723
Total Common Stocks (cost $66,015,746)				72,145,785
	Principal Amount (000)
GOVERNMENTS - TREASURIES - 11.4%
Australia - 0.1%
Australia Government Bond
Series 142
4.25%, 4/21/26 (d)	AUD	192		162,560
Belgium - 0.4%
Kingdom of Belgium Government Bond
Series 71
3.75%, 6/22/45 (d)	EUR	80		139,017
Series 72
2.60%, 6/22/24 (d)		262		351,479

	Principal Amount (000)		U.S. $ Value
Series 81
0.80%, 6/22/27 (d)	EUR	357	$	423,940
				914,436
Canada - 0.7%
Canadian Government Bond
2.75%, 12/01/48	CAD	1,725		1,479,408
Chile - 0.2%
Bonos de la Tesoreria de la Republica en pesos
4.50%, 3/01/26	CLP	210,000		332,262
France - 0.8%
French Republic Government Bond OAT
0.75%, 5/25/28 (d)	EUR	138		162,626
2.00%, 5/25/48 (d)		130		166,756
2.25%, 10/25/22 (d)		985		1,275,683
3.25%, 5/25/45 (d)		81		131,245
				1,736,310
Germany - 0.9%
Bundesrepublik Deutschland Bundesanleihe
2.50%, 7/04/44-8/15/46 (d)		1,167		1,860,456
Ireland - 0.3%
Ireland Government Bond
Zero Coupon, 10/18/22 (d)		195		228,106
1.00%, 5/15/26 (d)		339		407,297
				635,403
Italy - 0.6%
Italy Buoni Poliennali Del Tesoro
0.95%, 3/01/23		193		215,598
2.05%, 8/01/27		121		133,740
2.20%, 6/01/27		280		314,859
5.50%, 11/01/22		498		665,725
				1,329,922
Japan - 1.2%
Japan Government Twenty Year Bond
Series 112
2.10%, 6/20/29	JPY	116,350		1,305,300
Series 143
1.60%, 3/20/33		52,350		574,760
Series 150
1.40%, 9/20/34		69,400		745,464
				2,625,524
Malaysia - 0.3%
Malaysia Government Bond
Series 3/04
5.734%, 7/30/19	MYR	839		216,110
Series 414

	Principal Amount (000)		U.S. $ Value
3.654%, 10/31/19	MYR	1,557	$	391,983
Series 511
3.58%, 9/28/18		456		114,660
				722,753
Netherlands - 0.1%
Netherlands Government Bond
0.50%, 7/15/26 (d)	EUR	86		102,486
Poland - 0.1%
Republic of Poland Government Bond
Series 725
3.25%, 7/25/25	PLN	496		136,528
Russia - 0.1%
Russian Federal Bond-OFZ
Series 6214
6.40%, 5/27/20	RUB	11,236		178,977
Singapore - 0.1%
Singapore Government Bond
2.75%, 3/01/46	SGD	330		236,765
3.375%, 9/01/33		73		57,736
				294,501
Spain - 0.4%
Spain Government Bond
1.95%, 4/30/26 (d)	EUR	477		588,296
2.35%, 7/30/33 (d)		276		337,219
				925,515
United Kingdom - 0.3%
United Kingdom Gilt 1.50%, 7/22/26-7/22/47 (d)	GBP	473		627,811
United States - 4.8%
U.S. Treasury Bonds
5.375%, 2/15/31	$	741		939,796
U.S. Treasury Notes
1.25%, 3/31/21		254		244,939
1.875%, 7/31/22 (e)		2,591		2,514,177
2.00%, 10/31/22-11/15/26		3,797		3,605,787
2.125%, 5/15/25		445		426,852
2.25%, 2/15/27		2,465		2,355,231
				10,086,782
Uruguay - 0.0%
Uruguay Government International Bond
8.50%, 3/15/28 (d)	UYU	1,317		37,765
Total Governments - Treasuries (cost $24,009,823)				24,189,399

	Principal Amount (000)		U.S. $ Value
CORPORATES - INVESTMENT GRADE - 5.8%
Financial Institutions - 2.8%
Banking - 1.9%
Banco Santander SA
3.25%, 4/04/26 (d)	EUR	100	$	121,875
Bank of America Corp.
2.375%, 6/19/24 (d)		100		125,192
4.20%, 8/26/24	$	111		112,129
Bank of Nova Scotia (The)
4.375%, 1/13/21		31		31,973
Barclays Bank PLC
Series E
6.625%, 3/30/22 (d)	EUR	83		114,848
Barclays PLC
3.684%, 1/10/23	$	200		196,204
BB&T Corp.
2.625%, 6/29/20		56		55,631
Citigroup, Inc.
1.375%, 10/27/21 (d)	EUR	100		120,922
Commonwealth Bank of Australia
2.25%, 3/10/20 (d)	$	55		54,265
Compass Bank
5.50%, 4/01/20		147		152,008
Cooperatieve Rabobank UA
4.375%, 8/04/25		250		246,672
Fifth Third Bancorp
2.30%, 3/01/19		64		63,849
Goldman Sachs Group, Inc. (The)
2.00%, 7/27/23 (d)	EUR	98		120,249
3.307%, 10/31/25	CAD	145		109,750
JPMorgan Chase & Co.
1.375%, 9/16/21 (d)	EUR	100		120,894
Lloyds Banking Group PLC
4.375%, 3/22/28	$	265		261,947
Mitsubishi UFJ Financial Group, Inc.
0.872%, 9/07/24 (d)	EUR	100		115,865
Morgan Stanley
3.00%, 2/07/24	CAD	145		110,014
Series G
1.375%, 10/27/26	EUR	111		125,777
1.75%, 3/11/24		100		120,249
MUFG Bank Ltd.
2.30%, 3/05/20 (d)	$	230		226,709
PNC Financial Services Group, Inc. (The)
4.375%, 8/11/20		75		77,029
Rabobank Capital Funding Trust IV
5.556%, 12/31/19 (d)(f)	GBP	36		49,771
Royal Bank of Scotland Group PLC
3.875%, 9/12/23	$	225		220,185
Santander Holdings USA, Inc.
4.40%, 7/13/27		118		113,911
Skandinaviska Enskilda Banken AB
2.45%, 5/27/20 (d)		200		197,424
UBS Group Funding Switzerland AG
1.50%, 11/30/24 (d)	EUR	200		236,595

	Principal Amount (000)		U.S. $ Value
UniCredit SpA
3.75%, 4/12/22 (d)	$	200	$	191,970
US Bancorp
Series E
0.85%, 6/07/24	EUR	103		119,636
Series J
5.30%, 4/15/27 (f)	$	46		45,917
Wells Fargo & Co.
1.375%, 6/30/22 (d)	GBP	170		221,203
				4,180,663
Brokerage - 0.1%
SUAM Finance BV
4.875%, 4/17/24 (d)	$	107		107,829
Finance - 0.0%
Synchrony Financial
3.95%, 12/01/27		98		91,308
Insurance - 0.5%
Allianz SE
3.099%, 7/06/47 (d)	EUR	100		121,205
Aviva PLC
Series E
3.375%, 12/04/45 (d)		100		120,013
Berkshire Hathaway, Inc.
1.125%, 3/16/27		140		161,754
Chubb INA Holdings, Inc.
1.55%, 3/15/28		100		115,624
Massachusetts Mutual Life Insurance Co.
8.875%, 6/01/39 (d)	$	21		32,884
Muenchener Rueckversicherungs-Gesellschaft AG in Muenchen
Series E
6.25%, 5/26/42 (d)	EUR	100		140,023
Nationwide Mutual Insurance Co.
9.375%, 8/15/39 (d)	$	41		64,905
New York Life Global Funding
1.95%, 2/11/20 (d)		85		83,717
Prudential Financial, Inc.
5.625%, 6/15/43		98		101,967
Swiss Re America Holding Corp.
7.00%, 2/15/26		77		90,174
UnitedHealth Group, Inc.
4.75%, 7/15/45		40		43,630
				1,075,896
REITS - 0.3%
American Tower Corp.
5.05%, 9/01/20		163		168,664
Digital Stout Holding LLC
4.25%, 1/17/25 (d)	GBP	150		218,593
Healthcare Trust of America Holdings LP
3.375%, 7/15/21	$	47		47,007

	Principal Amount (000)		U.S. $ Value
Welltower, Inc.
4.00%, 6/01/25	$	171	$	167,879
				602,143
				6,057,839
Industrial - 2.7%
Basic - 0.1%
Glencore Funding LLC
4.00%, 3/27/27 (d)		62		59,208
4.125%, 5/30/23 (d)		31		31,020
Yamana Gold, Inc.
4.95%, 7/15/24		58		58,401
				148,629
Capital Goods - 0.4%
Holcim Finance Luxembourg SA
Series E
2.25%, 5/26/28 (d)	EUR	145		173,757
Ingersoll-Rand Global Holding Co., Ltd.
2.90%, 2/21/21	$	115		114,293
Molex Electronic Technologies LLC
2.878%, 4/15/20 (d)		230		227,820
Parker-Hannifin Corp.
1.125%, 3/01/25	EUR	110		128,959
United Technologies Corp.
1.15%, 5/18/24		115		135,285
				780,114
Communications - Media - 0.4%
CBS Corp.
5.50%, 5/15/33	$	40		42,264
Charter Communications Operating LLC/Charter Communications Operating Capital
3.579%, 7/23/20		81		81,153
4.908%, 7/23/25		78		79,591
Comcast Corp.
4.60%, 8/15/45		45		43,963
Cox Communications, Inc.
2.95%, 6/30/23 (d)		55		52,696
Myriad International Holdings BV
4.85%, 7/06/27 (d)		200		195,974
RELX Capital, Inc.
8.625%, 1/15/19		125		129,239
Time Warner Cable LLC
8.75%, 2/14/19		135		140,327
Time Warner, Inc.
3.55%, 6/01/24		115		112,396
WPP Finance 2010
4.75%, 11/21/21		47		48,613
				926,216
Communications - Telecommunications - 0.1%
Bell Canada, Inc.
3.35%, 6/18/19	CAD	38		29,625

	Principal Amount (000)		U.S. $ Value
4.70%, 9/11/23	CAD	52	$	42,862
Rogers Communications, Inc.
4.00%, 6/06/22		66		52,939
				125,426
Consumer Cyclical-Automotive - 0.2%
Ford Motor Co.
4.346%, 12/08/26	$	27		26,733
Ford Motor Credit Co. LLC
4.134%, 8/04/25		200		196,808
General Motors Co.
5.40%, 4/01/48 (c)		45		44,268
General Motors Financial Co., Inc.
3.70%, 5/09/23		25		24,701
5.25%, 3/01/26		26		27,180
Harley-Davidson Financial Services, Inc.
2.831% (LIBOR 3 Month + 0.50%), 5/21/20 (d)(g)		115		115,163
				434,853
Consumer Cyclical-Entertainment - 0.1%
Carnival Corp.
1.625%, 2/22/21	EUR	242		294,543
Consumer Non-Cyclical - 0.3%
BAT Capital Corp.
3.222%, 8/15/24 (d)	$	120		114,469
Celgene Corp.
2.75%, 2/15/23		85		81,544
3.25%, 2/20/23		70		68,611
CVS Health Corp.
4.30%, 3/25/28		90		89,555
Mylan, Inc.
2.55%, 3/28/19		13		13,015
Reynolds American, Inc.
4.45%, 6/12/25		72		73,066
6.875%, 5/01/20		97		103,514
Tyson Foods, Inc.
2.65%, 8/15/19		41		40,921
4.55%, 6/02/47		45		43,635
				628,330
Energy - 0.4%
Andeavor
4.75%, 12/15/23		110		114,979
Energy Transfer Partners LP
6.70%, 7/01/18		81		81,237
EnLink Midstream Partners LP
4.15%, 6/01/25		144		137,903
EOG Resources, Inc.
4.40%, 6/01/20		70		71,808
Hess Corp.
4.30%, 4/01/27 (c)		78		76,009
Kinder Morgan Energy Partners LP
2.65%, 2/01/19		15		14,959

	Principal Amount (000)		U.S. $ Value
Kinder Morgan, Inc./DE
5.00%, 2/15/21 (d)	$	69	$	71,538
Marathon Petroleum Corp.
4.75%, 9/15/44		45		44,610
Occidental Petroleum Corp.
4.20%, 3/15/48		45		45,018
Plains All American Pipeline LP/PAA Finance Corp.
3.60%, 11/01/24		103		98,573
Williams Partners LP
3.90%, 1/15/25		78		76,450
4.125%, 11/15/20		100		101,634
4.50%, 11/15/23		35		35,849
				970,567
Services - 0.1%
Equifax, Inc.
3.30%, 12/15/22		160		157,109
Technology - 0.5%
Agilent Technologies, Inc.
5.00%, 7/15/20		42		43,542
Apple, Inc.
2.513%, 8/19/24	CAD	120		90,013
4.65%, 2/23/46	$	40		43,730
Broadcom Corp./Broadcom Cayman Finance Ltd.
3.625%, 1/15/24		31		30,183
3.875%, 1/15/27		33		31,546
Fidelity National Information Services, Inc.
0.40%, 1/15/21	EUR	135		157,989
Hewlett Packard Enterprise Co.
3.60%, 10/15/20	$	44		44,384
KLA-Tencor Corp.
4.125%, 11/01/21		145		148,393
4.65%, 11/01/24		91		94,688
QUALCOMM, Inc.
3.00%, 5/20/22		160		157,485
Seagate HDD Cayman
4.75%, 1/01/25		72		69,163
Tencent Holdings Ltd.
3.375%, 5/02/19 (d)		200		201,047
				1,112,163
Transportation-Services - 0.1%
Penske Truck Leasing Co. Lp/PTL Finance Corp.
3.375%, 2/01/22 (d)		146		145,229
				5,723,179
Utility - 0.3%
Electric - 0.1%
Exelon Corp.
5.15%, 12/01/20		32		33,282
Exelon Generation Co. LLC
2.95%, 1/15/20		67		66,888
Iberdrola Finanzas SA
7.375%, 1/29/24	GBP	50		85,108

	Principal Amount (000)		U.S. $ Value
TECO Finance, Inc.
5.15%, 3/15/20	$	56	$	57,838
				243,116
Other Utility - 0.2%
Severn Trent Utilities Finance PLC
3.625%, 1/16/26 (d)	GBP	150		215,289
Yorkshire Water Services Odsal Finance Ltd.
6.588%, 2/21/23		80		129,511
				344,800
				587,916
Total Corporates - Investment Grade (cost $12,467,298)				12,368,934
MORTGAGE PASS - THROUGHS - 2.9%
Agency Fixed Rate 30-Year - 2.8%
Federal Home Loan Mortgage Corp. Gold
Series 2007
5.50%, 7/01/35	$	35		37,727
Federal National Mortgage Association
Series 2003
5.50%, 4/01/33		29		31,311
Series 2004
5.50%, 4/01/34-5/01/34		28		30,189
Series 2005
5.50%, 2/01/35		21		22,603
Series 2018
3.50%, 6/01/48, TBA		1,218		1,215,465
4.00%, 6/01/48, TBA		1,112		1,137,439
4.50%, 6/01/48, TBA		3,216		3,358,492
				5,833,226
Other Agency Fixed Rate Programs - 0.1%
Canadian Mortgage Pools
6.125%, 12/01/24	CAD	310		276,256
Agency ARMs - 0.0%
Federal Home Loan Mortgage Corp.
Series 2011
3.66%, 5/01/38 (g)	$	45		46,437
Federal National Mortgage Association
Series 2003
3.649%, 12/01/33 (g)		27		28,466
				74,903
Total Mortgage Pass - Throughs (cost $6,150,359)				6,184,385
INFLATION-LINKED SECURITIES - 2.5%
Japan - 2.4%
Japanese Government CPI Linked Bond
Series 21
0.10%, 3/10/26	JPY	145,939		1,417,347

	Principal Amount (000)		U.S. $ Value
Series 22
0.10%, 3/10/27	JPY	377,806	$	3,681,893
				5,099,240
New Zealand - 0.1%
New Zealand Government Bond
Series 925
2.00%, 9/20/25 (d)	NZD	195		142,472
Total Inflation-Linked Securities (cost $5,145,000)				5,241,712
COVERED BONDS - 1.1%
Banco de Sabadell SA
0.875%, 11/12/21 (d)	EUR	100		119,662
Bank of Scotland PLC
Series E
4.75%, 6/08/22 (d)		264		365,683
Credit Suisse AG/Guernsey
Series E
1.75%, 1/15/21 (d)		166		203,399
Danske Bank A/S
Series E
1.25%, 6/11/21 (d)		100		121,531
DNB Boligkreditt AS
Series E
3.875%, 6/16/21 (d)		147		192,357
Nationwide Building Society
Series E
4.375%, 2/28/22		150		203,527
Nordea Hypotek AB
Series 5531
1.00%, 4/08/22	SEK	2,000		232,690
Santander UK PLC
Series E
1.625%, 11/26/20 (d)	EUR	156		190,232
Skandinaviska Enskilda Banken AB
Series 574
1.50%, 12/15/21 (d)	SEK	2,000		236,997
Stadshypotek AB
Series 1585
1.50%, 12/15/21 (d)		2,000		236,920
UBS AG/London
Series E
1.375%, 4/16/21 (d)	EUR	169		205,861
Total Covered Bonds (cost $2,159,569)				2,308,859
COLLATERALIZED MORTGAGE OBLIGATIONS - 0.9%
Risk Share Floating Rate - 0.9%
Federal Home Loan Mortgage Corp. Structured Agency Credit Risk Debt Notes
Series 2014-DN1, Class M2
4.16% (LIBOR 1 Month + 2.20%), 2/25/24 (g)	$	192		197,440

	Principal Amount (000)		U.S. $ Value
Series 2015-DN1, Class M3
6.11% (LIBOR 1 Month + 4.15%), 1/25/25 (g)	$	224	$	241,251
Series 2015-DNA2, Class M2
4.56% (LIBOR 1 Month + 2.60%), 12/25/27 (g)		112		114,169
Series 2016-DNA2, Class M2
4.16% (LIBOR 1 Month + 2.20%), 10/25/28 (g)		186		188,495
Series 2017-DNA2, Class M1
3.16% (LIBOR 1 Month + 1.20%), 10/25/29 (g)		234		236,294
Federal National Mortgage Association Connecticut Avenue Securities
Series 2013-C01, Class M1
3.96% (LIBOR 1 Month + 2.00%), 10/25/23 (g)		7		6,716
Series 2014-C01, Class M1
3.56% (LIBOR 1 Month + 1.60%), 1/25/24 (g)		37		36,756
Series 2014-C04, Class 2M2
6.96% (LIBOR 1 Month + 5.00%), 11/25/24 (g)		127		143,360
Series 2016-C01, Class 1M1
3.91% (LIBOR 1 Month + 1.95%), 8/25/28 (g)		53		53,111
Series 2016-C01, Class 2M1
4.06% (LIBOR 1 Month + 2.10%), 8/25/28 (g)		9		9,417
Series 2016-C02, Class 1M1
4.11% (LIBOR 1 Month + 2.15%), 9/25/28 (g)		65		65,100
Series 2016-C03, Class 1M1
3.96% (LIBOR 1 Month + 2.00%), 10/25/28 (g)		44		44,113
Series 2016-C03, Class 2M1
4.16% (LIBOR 1 Month + 2.20%), 10/25/28 (g)		43		43,469
Series 2016-C04, Class 1M1
3.41% (LIBOR 1 Month + 1.45%), 1/25/29 (g)		60		60,244
Series 2016-C05, Class 2M1
3.31% (LIBOR 1 Month + 1.35%), 1/25/29 (g)		40		40,235
Series 2016-C06, Class 1M1
3.26% (LIBOR 1 Month + 1.30%), 4/25/29 (g)		230		232,296
Series 2016-C07, Class 2M1
3.26% (LIBOR 1 Month + 1.30%), 5/25/29 (g)		41		41,593
Series 2017-C02, Class 2M1
3.11% (LIBOR 1 Month + 1.15%), 9/25/29 (g)		89		89,245
				1,843,304

	Principal Amount (000)		U.S. $ Value
Non-Agency Fixed Rate - 0.0%
Citigroup Mortgage Loan Trust, Inc.
Series 2005-2, Class 1A4
3.856%, 5/25/35	$	34	$	34,041
Agency Fixed Rate - 0.0%
Federal National Mortgage Association Grantor Trust
Series 2004-T5, Class AB4
2.437%, 5/28/35 (h)		33		30,327
Total Collateralized Mortgage Obligations (cost $1,896,588)				1,907,672
AGENCIES - 0.9%
Agency Debentures - 0.8%
Residual Funding Corp. Principal Strip Zero Coupon, 7/15/20		1,826		1,727,049
Agency Subordinated - 0.1%
Federal National Mortgage Association Zero Coupon, 10/09/19		180		174,168
Total Agencies (cost $1,927,416)				1,901,217
COMMERCIAL MORTGAGE-BACKED SECURITIES - 0.7%
Non-Agency Floating Rate CMBS - 0.3%
Ashford Hospitality Trust, Inc.
Series 2018-ASHF, Class A
2.819% (LIBOR 1 Month + 0.90%), 4/15/35 (d)(g)		190		190,707
Braemar Hotels & Resorts Trust
Series 2018-PRME, Class A
2.781% (LIBOR 1 Month + 0.82%), 6/15/35 (d)(g)(h)		100		100,000
BX Trust
Series 2018-GW, Class A
2.70% (LIBOR 1 Month + 0.80%), 5/15/35 (d)(g)		127		127,055
H/2 Asset Funding NRE
Series 2015-1A, Class AFL
3.615%, 6/24/49 (g)(h)(i)		22		22,346
RETL
Series 2018-RVP, Class A
3.019% (LIBOR 1 Month + 1.10%), 3/15/33 (d)(g)		108		108,821
Starwood Retail Property Trust
Series 2014-STAR, Class A
3.139% (LIBOR 1 Month + 1.22%), 11/15/27 (d)(g)		132		131,800
				680,729

	Principal Amount (000)		U.S. $ Value
Non-Agency Fixed Rate CMBS - 0.2%
BHMS Commercial Mortgage Trust
Series 2014-ATLS, Class AFX
3.601%, 7/05/33 (d)	$	213	$	214,414
Commercial Mortgage Trust
Series 2013-CR6, Class A2
2.122%, 3/10/46		45		45,131
GS Mortgage Securities Trust
Series 2013-G1, Class A1
2.059%, 4/10/31 (d)		77		74,342
Series 2013-G1, Class A2
3.557%, 4/10/31 (d)		134		131,195
LSTAR Commercial Mortgage Trust
Series 2014-2, Class A2
2.767%, 1/20/41 (d)		10		9,866
				474,948
Agency CMBS - 0.2%
Federal Home Loan Mortgage Corp. Multifamily Structured Pass-Through Certificates
Series K008, Class A2
3.531%, 6/25/20		386		391,161
Total Commercial Mortgage-Backed Securities (cost $1,552,058)				1,546,838
GOVERNMENTS - SOVEREIGN AGENCIES - 0.6%
Canada - 0.6%
Canada Housing Trust No. 1
1.25%, 6/15/21 (d)	CAD	1,440		1,079,556
2.35%, 6/15/27 (d)		200		151,010
Total Governments - Sovereign Agencies (cost $1,249,484)				1,230,566
COLLATERALIZED LOAN OBLIGATIONS - 0.3%
CLO - Floating Rate - 0.3%
Halcyon Loan Advisors Funding Ltd.
Series 2018-1A, Class A2
1.00% (LIBOR 3 Month + 1.80%), 7/21/31 (d)(g)(h)	$	250		250,000
Marble Point CLO XI Ltd.
Series 2017-2A, Class A
3.535% (LIBOR 3 Month + 1.18%), 12/18/30 (d)(g)(h)		250		250,156
Rockford Tower CLO Ltd.
Series 2017-3A, Class A
3.154% (LIBOR 3 Month + 1.19%), 10/20/30 (d)(g)(h)		250		250,466
Total Collateralized Loan Obligations (cost $750,000)				750,622

	Principal Amount (000)		U.S. $ Value
ASSET - BACKED SECURITIES - 0.3%
Other ABS-Fixed Rate - 0.2%
SBA Tower Trust
Series 2014-1A, Class C
2.898%, 10/15/44 (d)(h)	$	104	$	104,056
Series 2014-2A, Class C
3.869%, 10/15/49 (d)(h)		85		86,314
SoFi Consumer Loan Program LLC
Series 2017-2, Class A
3.28%, 2/25/26 (d)(h)		84		83,745
SoFi Consumer Loan Program Trust
Series 2018-1, Class B
3.65%, 2/25/27 (d)(h)		115		114,310
				388,425
Autos - Fixed Rate - 0.1%
DT Auto Owner Trust
Series 2018-1A, Class A
2.59%, 5/17/21 (d)		27		26,456
Hertz Vehicle Financing II LP
Series 2016-1A, Class A
2.32%, 3/25/20 (d)		166		165,231
Series 2017-1A, Class A
2.96%, 10/25/21 (d)		140		138,747
				330,434
Home Equity Loans - Floating Rate - 0.0%
Asset Backed Funding Certificates Trust
Series 2003-WF1, Class A2
3.085% (LIBOR 1 Month + 1.13%),
12/25/32 (g)(h)		14		14,211
Total Asset - Backed Securities (cost $731,326)				733,070
LOCAL GOVERNMENTS - PROVINCIAL BONDS - 0.3%
Canada - 0.3%
Province of Ontario Canada
2.60%, 6/02/27	CAD	605		455,864
Province of Quebec Canada
2.75%, 9/01/27		141		107,975
Total Local Governments - Provincial Bonds (cost $594,775)				563,839
GOVERNMENTS - SOVEREIGN BONDS - 0.2%
Qatar - 0.1%
Qatar Government International Bond
3.875%, 4/23/23 (d)	$	200		199,671
5.25%, 1/20/20 (d)		100		103,000
				302,671

	Principal Amount (000)		U.S. $ Value
Saudi Arabia - 0.1%
Saudi Government International Bond
2.875%, 3/04/23 (d)	$	200	$	192,324
Total Governments - Sovereign Bonds (cost $500,782)				494,995
QUASI-SOVEREIGNS - 0.1%
Quasi-Sovereign Bonds - 0.1%
China - 0.1%
State Grid Overseas Investment 2016 Ltd.
2.25%, 5/04/20 (d)
(cost $199,787)		200		196,500
MUNICIPAL OBLIGATION - 0.1%
LOCAL GOVERNMENTS - US MUNICIPAL BONDS - 0.1%
United States - 0.1%
State of California
Series 2010
7.625%, 3/01/40 (cost $238,670)		165		244,487
	Notional Amount
OPTIONS PURCHASED - CALLS - 0.0%
Options on Forward Contracts - 0.0%
MXN/USD
Expiration: Aug 2018; Contracts: 12,425,000;
Exercise Price: MXN 17.50;
Counterparty: Deutsche Bank AG (b)	MXN	12,425,000		511
SEK/EUR
Expiration: Jun 2018; Contracts: 4,892,650;
Exercise Price: SEK 9.99;
Counterparty: BNP Paribas SA (b)	SEK	4,892,650		135
Total Options Purchased - Calls (premiums paid $17,078)				646
	Shares
SHORT-TERM INVESTMENTS - 4.3%
Investment Companies - 4.3%
AB Fixed Income Shares, Inc.-Government
Money Market Portfolio-Class AB, 1.57% (a)(j)(k) (cost $9,147,544)		9,147,544		9,147,544
Total Investments Before Security Lending Collateral - 101.7% (cost $210,118,900)				216,118,473

Company	Shares		U.S. $ Value
INVESTMENTS OF CASH COLLATERAL FOR SECURITIES LOANED - 1.4%
Investment Companies - 1.4%
AB Fixed Income Shares, Inc.-Government Money Market Portfolio-Class AB,
1.57% (a)(j)(k) (cost $2,927,297)		2,927,297	$	2,927,297
Total Investments - 103.1% (cost $213,046,197) (l)				219,045,770
Other assets less liabilities - (3.1)%				(6,680,990	)
Net Assets - 100.0%			$	212,364,780

FUTURES

Description	Number of Contracts		Expiration Month		Notional (000)				Original Value		Value at May 31, 2018		Unrealized Appreciation/ (Depreciation)
Purchased Contracts
10 Yr Australian Bond Futures		6		June 2018		AUD	600		$	578,171	$	585,362	$	7,191
10 Yr Japan Bond (OSE) Futures		18		June 2018		JPY	1,800,000			24,935,531		24,980,098		44,567
Euro Buxl 30 Yr Bond Futures		14		June 2018		EUR	1,400			2,630,379		2,794,779		164,400
Euro STOXX 50 Index Futures		13		June 2018		EUR	– 0	–**		535,995		517,784		(18,211	)
Euro-Schatz Futures		12		June 2018		EUR	1,200			1,568,341		1,573,799		5,458
Long Gilt Futures		32		September 2018		GBP	3,200			4,483,040		4,595,406		112,366
Mini MSCI Emerging Markets Futures		19		June 2018		USD	1			1,121,140		1,065,615		(55,525	)
MSCI EAFE Futures		1		June 2018		USD	– 0	–**		98,888		99,350		462
Russell 2000 Mini Futures		27		June 2018		USD	1			2,129,613		2,206,170		76,557
S&P Mid 400 E-Mini Futures		11		June 2018		USD	1			2,118,242		2,141,700		23,458
TOPIX Index Futures		1		June 2018		JPY	10			165,608		160,362		(5,246	)
U.S. T-Note 2 Yr (CBT) Futures		3		September 2018		USD	600			635,160		636,703		1,543
U.S. T-Note 5 Yr (CBT) Futures		43		September 2018		USD	4,300			4,866,048		4,897,297		31,249
U.S. T-Note 10 Yr (CBT) Futures		67		September 2018		USD	6,700			8,081,515		8,069,313		(12,202	)
U.S. Ultra Bond (CBT) Futures		53		September 2018		USD	5,300			8,131,383		8,453,500		322,117
Sold Contracts
10 Yr Canadian Bond Futures		8		September 2018		CAD	800			204,763		209,687		(4,924	)
10 Yr Mini Japan Government Bond Futures		27		June 2018		JPY	270,000			3,743,034		3,746,270		(3,236	)
Euro-BOBL Futures		9		June 2018		EUR	900			1,376,418		1,394,408		(17,990	)
Euro-Bund Futures		24		June 2018		EUR	2,400			4,421,674		4,549,197		(127,523	)
S&P 500 E-Mini Futures		217		June 2018		USD	11			29,417,243		29,354,675		62,568
U.S. Ultra Bond (CBT) Futures		10		September 2018		USD	1,000			1,271,471		1,283,438		(11,967	)
													$	595,112

FORWARD CURRENCY EXCHANGE CONTRACTS

Counterparty	Contracts to Deliver (000)		In Exchange For (000)		Settlement Date		Unrealized Appreciation/ (Depreciation)
Bank of America, NA	BRL	1,389	USD	387		6/04/18	$	13,582
Bank of America, NA	BRL	923	USD	247		6/04/18		(859	)
Bank of America, NA	USD	258	BRL	923		6/04/18		(9,829	)
Bank of America, NA	USD	372	BRL	1,389		6/04/18		1,292
Bank of America, NA	TWD	18,054	USD	611		6/07/18		8,880
Bank of America, NA	SGD	104	USD	77		6/14/18		(554	)
Bank of America, NA	GBP	657	USD	910		6/19/18		36,120
Bank of America, NA	USD	2,415	INR	158,916		6/19/18		(63,033	)
Bank of America, NA	USD	1,495	RUB	85,960		6/19/18		(118,535	)
Bank of America, NA	RUB	16,965	USD	273		6/26/18		1,343
Bank of America, NA	RUB	8,015	USD	127		6/26/18		(939	)
Bank of America, NA	USD	987	RUB	61,058		6/26/18		(10,140	)
Bank of America, NA	USD	205	ILS	736		7/12/18		1,912
Bank of America, NA	USD	540	ZAR	6,715		7/17/18		(15,015	)
Barclays Bank PLC	BRL	1,482	USD	398		6/04/18		112
Barclays Bank PLC	USD	397	BRL	1,482		6/04/18		1,379
Barclays Bank PLC	TWD	13,494	USD	462		6/07/18		12,092
Barclays Bank PLC	USD	922	TWD	26,998		6/07/18		(20,659	)
Barclays Bank PLC	CAD	1,883	USD	1,465		6/19/18		11,934
Barclays Bank PLC	USD	807	AUD	1,028		6/19/18		(29,434	)
Barclays Bank PLC	USD	671	SEK	5,338		6/19/18		(65,332	)
Barclays Bank PLC	CLP	214,079	USD	359		6/21/18		19,078
Barclays Bank PLC	USD	129	TRY	615		6/21/18		5,680
Barclays Bank PLC	CNY	827	USD	130		6/28/18		947
Barclays Bank PLC	USD	397	BRL	1,482		7/03/18		53
Barclays Bank PLC	MYR	2,597	USD	662		7/12/18		12,688
Barclays Bank PLC	MYR	2,822	USD	691		7/12/18		(14,872	)
Barclays Bank PLC	USD	1,184	MYR	4,676		7/12/18		(14,062	)
Barclays Bank PLC	USD	125	MYR	513		7/12/18		3,216
Barclays Bank PLC	CHF	502	USD	525		7/17/18		14,098
Barclays Bank PLC	CNY	1,473	USD	229		7/17/18		376
Barclays Bank PLC	PLN	1,087	USD	310		7/17/18		15,626
Barclays Bank PLC	KRW	782,712	USD	727		7/26/18		1,373
Barclays Bank PLC	INR	13,233	USD	192		8/09/18		(2,511	)
Barclays Bank PLC	USD	128	INR	8,685		8/09/18		(795	)
BNP Paribas SA	BRL	954	USD	255		6/04/18		(888	)
BNP Paribas SA	USD	258	BRL	954		6/04/18		(2,315	)
BNP Paribas SA	TWD	11,564	USD	390		6/07/18		3,849
BNP Paribas SA	USD	246	AUD	326		6/07/18		619
BNP Paribas SA	USD	217	NZD	294		6/07/18		(10,925	)
BNP Paribas SA	CAD	331	USD	255		6/12/18		(227	)
BNP Paribas SA	USD	877	CAD	1,138		6/12/18		1,242
BNP Paribas SA	GBP	1,840	USD	2,617		6/13/18		170,296
BNP Paribas SA	AUD	1,028	USD	800		6/19/18		22,629
BNP Paribas SA	USD	339	TRY	1,587		6/21/18		9,024
BNP Paribas SA	INR	30,759	USD	450		8/09/18		(2,468	)
BNP Paribas SA	USD	254	INR	17,375		8/09/18		1,843
Citibank, NA	TWD	27,717	USD	955		6/07/18		30,146
Citibank, NA	USD	70	TWD	2,029		6/07/18		(2,207	)
Citibank, NA	SGD	78	USD	58		6/14/18		(448	)
Citibank, NA	USD	925	GBP	657		6/19/18		(51,069	)
Citibank, NA	USD	142	TRY	656		6/21/18		2,009
Citibank, NA	JPY	438,212	USD	4,033		6/28/18		(2,210	)
Citibank, NA	USD	521	CNY	3,288		7/17/18		(10,146	)
Citibank, NA	EUR	10,748	USD	12,575		7/18/18		(32,259	)
Citibank, NA	KRW	164,605	USD	153		7/26/18		369
Citibank, NA	USD	2,050	KRW	2,179,856		7/26/18		(29,040	)
Citibank, NA	UYU	624	USD	21		8/07/18		889
Citibank, NA	USD	1,422	INR	96,623		8/09/18		(1,356	)
Credit Suisse International	BRL	1,010	USD	270		6/04/18		(940	)
Credit Suisse International	USD	288	BRL	1,010		6/04/18		(16,359	)
Credit Suisse International	EUR	2,087	USD	2,590		6/19/18		147,724
Deutsche Bank AG	ILS	1,378	EUR	331		6/13/18		293
Deutsche Bank AG	TRY	1,205	USD	256		6/21/18		(7,933	)

Counterparty	Contracts to Deliver (000)		In Exchange For (000)		Settlement Date		Unrealized Appreciation/ (Depreciation)
Deutsche Bank AG	USD	66	TRY	309		6/21/18	$	2,017
Deutsche Bank AG	ILS	3,876	USD	1,106		7/12/18		15,931
Deutsche Bank AG	USD	353	ILS	1,259		7/17/18		1,189
Deutsche Bank AG	USD	573	JPY	60,624		7/17/18		(13,883	)
Goldman Sachs Bank USA	BRL	462	USD	124		6/04/18		(430	)
Goldman Sachs Bank USA	USD	130	BRL	462		6/04/18		(6,068	)
Goldman Sachs Bank USA	AUD	1,192	USD	919		6/07/18		17,631
Goldman Sachs Bank USA	USD	931	AUD	1,182		6/07/18		(37,419	)
Goldman Sachs Bank USA	CAD	6,071	USD	4,818		6/12/18		135,302
Goldman Sachs Bank USA	USD	550	CHF	544		6/28/18		3,219
Goldman Sachs Bank USA	ILS	1,866	USD	520		7/12/18		(5,264	)
Goldman Sachs Bank USA	USD	682	MYR	2,729		7/12/18		1,148
Goldman Sachs Bank USA	EUR	550	USD	638		7/18/18		(6,808	)
Goldman Sachs Bank USA	KRW	219,090	USD	204		7/26/18		438
HSBC Bank USA	CAD	1,680	USD	1,315		6/12/18		18,651
HSBC Bank USA	EUR	886	USD	1,037		7/18/18		(2,068	)
HSBC Bank USA	USD	536	NOK	4,339		7/26/18		(5,086	)
JPMorgan Chase Bank, NA	AUD	1,970	USD	1,524		6/07/18		34,461
JPMorgan Chase Bank, NA	USD	287	AUD	371		6/07/18		(7,181	)
JPMorgan Chase Bank, NA	ARS	2,722	USD	121		6/18/18		13,503
JPMorgan Chase Bank, NA	SEK	5,338	USD	663		6/19/18		56,847
JPMorgan Chase Bank, NA	USD	124	ILS	446		7/12/18		1,073
JPMorgan Chase Bank, NA	USD	393	AUD	522		7/17/18		1,745
JPMorgan Chase Bank, NA	USD	131	CNY	825		7/17/18		(2,830	)
JPMorgan Chase Bank, NA	USD	913	ILS	3,242		7/17/18		(351	)
Morgan Stanley Capital Services, Inc.	EUR	514	USD	634		6/19/18		31,860
Morgan Stanley Capital Services, Inc.	CNY	4,152	USD	655		7/17/18		9,418
Morgan Stanley Capital Services, Inc.	EUR	428	CHF	512		7/17/18		19,415
Morgan Stanley Capital Services, Inc.	USD	645	CNY	4,074		7/17/18		(12,209	)
Royal Bank of Scotland PLC	JPY	399,557	USD	3,674		6/15/18		(1,620	)
Royal Bank of Scotland PLC	ARS	2,672	USD	122		6/18/18		16,788
Royal Bank of Scotland PLC	USD	254	ARS	5,394		6/18/18		(40,979	)
Royal Bank of Scotland PLC	CAD	963	USD	764		6/19/18		21,124
Royal Bank of Scotland PLC	USD	772	CAD	963		6/19/18		(28,640	)
Standard Chartered Bank	BRL	478	USD	127		6/04/18		(1,227	)
Standard Chartered Bank	USD	128	BRL	478		6/04/18		445
Standard Chartered Bank	TWD	7,727	USD	261		6/07/18		2,646
Standard Chartered Bank	USD	262	TWD	7,733		6/07/18		(4,284	)
Standard Chartered Bank	KRW	130,046	USD	121		7/26/18		194
Standard Chartered Bank	KRW	129,333	USD	119		7/26/18		(420	)
Standard Chartered Bank	INR	17,441	USD	253		8/09/18		(3,737	)
State Street Bank & Trust Co.	AUD	589	CAD	587		6/07/18		7,441
State Street Bank & Trust Co.	AUD	172	USD	129		6/07/18		(1,194	)
State Street Bank & Trust Co.	AUD	587	USD	450		6/07/18		7,153
State Street Bank & Trust Co.	NZD	1,253	USD	902		6/07/18		24,737
State Street Bank & Trust Co.	USD	908	AUD	1,164		6/07/18		(27,485	)
State Street Bank & Trust Co.	CAD	413	JPY	35,207		6/12/18		5,186
State Street Bank & Trust Co.	CAD	502	USD	390		6/12/18		2,304
State Street Bank & Trust Co.	CAD	664	USD	511		6/12/18		(999	)
State Street Bank & Trust Co.	USD	1,453	CAD	1,846		6/12/18		(29,394	)

Counterparty	Contracts to Deliver (000)		In Exchange For (000)		Settlement Date		Unrealized Appreciation/ (Depreciation)
State Street Bank & Trust Co.	EUR	385	GBP	336		6/13/18	$	(3,477	)
State Street Bank & Trust Co.	USD	860	GBP	605		6/13/18		(54,852	)
State Street Bank & Trust Co.	GBP	96	MXN	2,584		6/14/18		1,346
State Street Bank & Trust Co.	GBP	243	SEK	2,828		6/14/18		(2,465	)
State Street Bank & Trust Co.	MXN	12,927	USD	646		6/14/18		(1,301	)
State Street Bank & Trust Co.	MXN	5,031	USD	253		6/14/18		867
State Street Bank & Trust Co.	USD	1,603	MXN	30,958		6/14/18		(53,109	)
State Street Bank & Trust Co.	SEK	3,953	USD	455		6/15/18		6,693
State Street Bank & Trust Co.	USD	263	SEK	2,357		6/15/18		4,249
State Street Bank & Trust Co.	JPY	25,640	USD	234		6/19/18		(1,584	)
State Street Bank & Trust Co.	USD	1,106	EUR	883		6/19/18		(72,592	)
State Street Bank & Trust Co.	USD	491	JPY	51,564		6/19/18		(16,085	)
State Street Bank & Trust Co.	TRY	3,016	USD	673		6/21/18		11,744
State Street Bank & Trust Co.	TRY	316	USD	66		6/21/18		(3,368	)
State Street Bank & Trust Co.	USD	375	TRY	1,681		6/21/18		(7,121	)
State Street Bank & Trust Co.	CHF	130	USD	130		6/28/18		(1,796	)
State Street Bank & Trust Co.	CHF	657	USD	688		6/28/18		20,000
State Street Bank & Trust Co.	EUR	232	USD	275		6/28/18		2,936
State Street Bank & Trust Co.	JPY	30,299	EUR	231		6/28/18		(8,271	)
State Street Bank & Trust Co.	JPY	28,390	USD	261		6/28/18		(743	)
State Street Bank & Trust Co.	USD	296	CHF	291		6/28/18		(95	)
State Street Bank & Trust Co.	USD	231	JPY	25,025		6/28/18		(693	)
State Street Bank & Trust Co.	ZAR	64	USD	5		6/28/18		246
State Street Bank & Trust Co.	ILS	931	USD	261		7/12/18		(1,089	)
State Street Bank & Trust Co.	USD	655	ILS	2,363		7/12/18		9,579
State Street Bank & Trust Co.	USD	211	MYR	826		7/12/18		(4,503	)
State Street Bank & Trust Co.	AUD	523	NZD	559		7/17/18		(4,576	)
State Street Bank & Trust Co.	AUD	1,710	USD	1,314		7/17/18		20,481
State Street Bank & Trust Co.	CAD	502	USD	388		7/17/18		(40	)
State Street Bank & Trust Co.	CAD	600	USD	465		7/17/18		1,392
State Street Bank & Trust Co.	CHF	378	GBP	276		7/17/18		(17,529	)
State Street Bank & Trust Co.	CHF	28	USD	28		7/17/18		(396	)
State Street Bank & Trust Co.	CHF	315	USD	330		7/17/18		9,089
State Street Bank & Trust Co.	EUR	329	GBP	288		7/17/18		(1,963	)

Counterparty	Contracts to Deliver (000)		In Exchange For (000)		Settlement Date		Unrealized Appreciation/ (Depreciation)
State Street Bank & Trust Co.	EUR	368	JPY	48,786		7/17/18	$	18,336
State Street Bank & Trust Co.	EUR	318	NOK	3,063		7/17/18		2,185
State Street Bank & Trust Co.	EUR	105	PLN	440		7/17/18		(4,280	)
State Street Bank & Trust Co.	EUR	1,668	USD	2,045		7/17/18		88,425
State Street Bank & Trust Co.	EUR	232	USD	268		7/17/18		(3,477	)
State Street Bank & Trust Co.	GBP	93	NOK	1,027		7/17/18		1,917
State Street Bank & Trust Co.	GBP	663	USD	933		7/17/18		49,662
State Street Bank & Trust Co.	HUF	69,604	USD	265		7/17/18		9,818
State Street Bank & Trust Co.	ILS	2,976	USD	834		7/17/18		(3,683	)
State Street Bank & Trust Co.	ILS	1,380	USD	398		7/17/18		9,192
State Street Bank & Trust Co.	JPY	189,233	USD	1,778		7/17/18		33,444
State Street Bank & Trust Co.	MXN	7,258	USD	388		7/17/18		27,060
State Street Bank & Trust Co.	NOK	1,044	USD	127		7/17/18		(1,232	)
State Street Bank & Trust Co.	NZD	1,813	USD	1,314		7/17/18		44,762
State Street Bank & Trust Co.	PLN	2,058	USD	584		7/17/18		26,507
State Street Bank & Trust Co.	SEK	2,357	USD	274		7/17/18		5,912
State Street Bank & Trust Co.	SGD	350	AUD	345		7/17/18		(731	)
State Street Bank & Trust Co.	TRY	3,903	USD	936		7/17/18		89,086
State Street Bank & Trust Co.	USD	883	AUD	1,139		7/17/18		(20,876	)
State Street Bank & Trust Co.	USD	1,186	CAD	1,507		7/17/18		(22,432	)
State Street Bank & Trust Co.	USD	261	CHF	260		7/17/18		3,641
State Street Bank & Trust Co.	USD	2,923	EUR	2,402		7/17/18		(105,711	)
State Street Bank & Trust Co.	USD	260	HUF	69,466		7/17/18		(5,215	)
State Street Bank & Trust Co.	USD	734	JPY	79,972		7/17/18		3,714
State Street Bank & Trust Co.	USD	130	MXN	2,538		7/17/18		(3,360	)
State Street Bank & Trust Co.	USD	455	NOK	3,529		7/17/18		(22,680	)
State Street Bank & Trust Co.	USD	394	NZD	536		7/17/18		(19,075	)
State Street Bank & Trust Co.	USD	781	PLN	2,705		7/17/18		(48,359	)
State Street Bank & Trust Co.	USD	709	TRY	2,954		7/17/18		(68,473	)
State Street Bank & Trust Co.	USD	258	ZAR	3,074		7/17/18		(17,604	)
State Street Bank & Trust Co.	EUR	278	USD	323		7/18/18		(2,355	)
State Street Bank & Trust Co.	USD	675	EUR	576		7/18/18		811
State Street Bank & Trust Co.	PLN	523	USD	147		7/19/18		5,282
State Street Bank & Trust Co.	NOK	2,101	CHF	256		7/26/18		3,906

Counterparty	Contracts to Deliver (000)		In Exchange For (000)		Settlement Date		Unrealized Appreciation/ (Depreciation)
State Street Bank & Trust Co.	NOK	2,078	SEK	2,228		7/26/18	$	(857	)
State Street Bank & Trust Co.	SEK	6,233	USD	715		7/26/18		4,847
State Street Bank & Trust Co.	USD	258	SEK	2,250		7/26/18		(2,071	)
State Street Bank & Trust Co.	NZD	421	USD	295		8/09/18		602
State Street Bank & Trust Co.	SGD	840	USD	627		8/16/18		(1,011	)
State Street Bank & Trust Co.	SGD	444	USD	333		8/16/18		999
State Street Bank & Trust Co.	GBP	188	USD	254		9/14/18		2,668
State Street Bank & Trust Co.	USD	388	NOK	3,111		9/14/18		(6,554	)
UBS AG	USD	522	EUR	438		7/17/18		(8,283	)
							$	123,075

CALL OPTIONS WRITTEN

Description	Counterparty	Contracts		Exercise Price		Expiration Month		Notional (000)			Premiums Received		U.S. $ Value
Euro STOXX 50 Index	Citibank, NA		750	EUR	3,425.00		July 2018	EUR	1		$	54,536	$	(51,066	)
FTSE 100 Index	Citibank, NA		140	GBP	7,700.00		June 2018	GBP	– 0	–**		17,191		(10,615	)
Nikkei 225 Index	Goldman Sachs International		7,000	JPY	22,250.00		July 2018	JPY	7			30,566		(24,407	)
S&P 500 Index	Goldman Sachs International		700	USD	2,620.00		June 2018	USD	1			28,539		(65,721	)
S&P 500 Index	Goldman Sachs International		2,800	USD	2,725.00		June 2018	USD	3			111,048		(45,748	)
											$	241,880	$	(197,557	)

PUT OPTIONS WRITTEN

Description	Counterparty	Contracts		Exercise Price		Expiration Month		Notional (000)			Premiums Received		U.S. $ Value
Euro STOXX 50 Index	Citibank, NA		750	EUR	3,425.00		July 2018	EUR	1		$	77,157	$	(76,576	)
FTSE 100 Index	Citibank, NA		140	GBP	7,700.00		June 2018	GBP	– 0	–**		12,343		(17,039	)
Nikkei 225 Index	Goldman Sachs International		7,000	JPY	22,250.00		July 2018	JPY	7			26,921		(29,521	)
S&P 500 Index	Goldman Sachs International		700	USD	2,620.00		June 2018	USD	1			42,693		(5,324	)
S&P 500 Index	Goldman Sachs International		2,800	USD	2,725.00		June 2018	USD	3			97,874		(97,940	)
											$	256,988	$	(226,400	)

CURRENCY OPTIONS WRITTEN

Description/ Counterparty	Exercise Price		Expiration Month		Contracts		Notional Amount (000)		Premiums Received		U.S. $ Value
Put
EUR vs. SEK/ BNP Paribas SA	SEK	10.350		June 2018		5,071,500	SEK	5,072	$	2,846	$	(2,140	)
MXN vs. USD/ Deutsche Bank AG	MXN	22.000		August 2018		15,620,000	MXN	15,620		10,252		(2,962	)
									$	13,098	$	(5,102	)

CENTRALLY CLEARED CREDIT DEFAULT SWAPS

Description	Fixed Rate (Pay) Receive			Payment Frequency		Implied Credit Spread at May 31, 2018			Notional Amount (000)			Market Value			Upfront Premiums Paid (Received)			Unrealized Appreciation/ (Depreciation)
Buy Contracts
CDX-NAHY Series 28, 5 Year Index, 6/20/22*		(5.00	)%		Quarterly		2.97	%		USD	3,544	$	(292,865	)	$	(221,055	)	$	(71,810	)
CDX-NAHY Series 29, 5 Year Index, 12/20/22*		(5.00	)		Quarterly		3.30			USD	1,450		(110,877	)		(70,656	)		(40,221	)
iTraxx Xover Series 26, 5 Year Index, 12/20/21*		(5.00	)		Quarterly		2.08			EUR	710		(90,956	)		(79,608	)		(11,348	)
iTraxx Xover Series 28, 5 Year Index, 12/20/22*		(5.00	)		Quarterly		2.71			EUR	1,450		(179,719	)		(171,093	)		(8,626	)
Sale Contracts
CDX-NAIG Series 28, 5 Year Index, 6/20/22*		1.00			Quarterly		0.55			USD	17,970		347,341			294,892			52,449
CDX-NAIG Series 29, 5 Year Index, 12/20/22*		1.00			Quarterly		0.59			USD	570		11,130			11,704			(574	)
iTraxx Europe Series 27, 5 Year Index, 6/20/22*		1.00			Quarterly		0.51			EUR	7,470		192,219			162,627			29,592
iTraxx Europe Series 29, 5 Year Index, 6/20/23*		1.00			Quarterly		0.70			EUR	240		4,790			6,349			(1,559	)
												$	(118,937	)	$	(66,840	)	$	(52,097	)

* Termination date

CREDIT DEFAULT SWAPS

Swap Counterparty & Referenced Obligation	Fixed Rate (Pay) Receive			Payment Frequency		Implied Credit Spread at May 31, 2018			Notional Amount (000)		Market Value			Upfront Premiums Paid (Received)			Unrealized Appreciation/ (Depreciation)
Sale Contracts
Deutsche Bank AG
CDX-CMBX.NA.A Series 6, 5/11/63*		2.00	%		Monthly		2.30	%	USD	370	$	(3,889	)	$	(15,666	)	$	11,777
CDX-CMBX.NA.A Series 6, 5/11/63*		2.00			Monthly		2.30		USD	53		(557	)		(517	)		(40	)
Goldman Sachs International
CDX-CMBX.NA.A Series 6, 5/11/63*		2.00			Monthly		2.30		USD	56		(589	)		(416	)		(173	)
CDX-CMBX.NA.A Series 6, 5/11/63*		2.00			Monthly		2.30		USD	55		(578	)		(344	)		(234	)
CDX-CMBX.NA.A Series 6, 5/11/63*		2.00			Monthly		2.30		USD	111		(1,166	)		(651	)		(515	)
											$	(6,779	)	$	(17,594	)	$	10,815

* Termination date

INFLATION (CPI) SWAPS

Rate Type

Swap Counterparty

Notional Amount (000)

Termination Date

Payments made by the Fund

Payments received by the Fund

Payment Frequency Paid/Received

Unrealized Appreciation/ (Depreciation)

Barclays Bank PLC

USD

27,950

7/18/22

1.937

%

CPI

#

Maturity/Maturity

$

499,003

Goldman Sachs International

USD

1,230

1/18/23

2.206

%

CPI

#

Maturity/Maturity

4,250

$

503,253

# Variable interest rate based on the rate of inflation as determined by the Consumer Price Index (CPI).

TOTAL RETURN SWAPS

Counterparty & Referenced Obligation	# of Shares or Units		Rate Paid/ Received			Payment Frequency		Notional Amount (000)		Maturity Date		Unrealized Appreciation/ (Depreciation)
Receive Total Return on Reference Obligation
Goldman Sachs International
GSABHVIP		8,092		LIBOR			Quarterly	USD	2,086		6/17/19	$	10,554
GSABSJHB		2,760,485		LIBOR Minus 0.20	%		Quarterly	JPY	272,460		2/15/19		48,618
Morgan Stanley Capital Services LLC
MSABRDS		38,364		LIBOR Minus 0.25	%		Quarterly	USD	4,173		2/15/19		(30,682	)
UBS AG
FTSE EPRA Nareit Developed Total Return Index USD		308		LIBOR Plus 0.50	%		Quarterly	USD	1,470		3/15/19		(46,549	)
Pay Total Return on Reference Obligation
Goldman Sachs International
GSABLJHB		2,760,485		LIBOR Plus 0.20	%		Quarterly	JPY	266,194		2/15/19		(83,376	)
GSABVISP		11,841		LIBOR Plus 0.45	%		Quarterly	USD	2,603		6/17/19		(19,965	)
JPMorgan Chase Bank, NA
JPQABACP		32,874		0.00	%		Maturity	USD	3,289		6/17/19		(36,033	)
Morgan Stanley Capital Services LLC
MSABRDL		38,223		LIBOR			Quarterly	USD	3,917		2/15/19		25,847
												$	(131,586	)

** Notional amount less than 500.

(a) Affiliated investments.

(b) Non-income producing security.

(c) Represents entire or partial securities out on loan.

(d) 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, 2018, the aggregate market value of these securities amounted to $18,431,670 or 8.7% of net assets.

(e) Position, or a portion thereof, has been segregated to collateralize OTC derivatives outstanding.

(f) Securities are perpetual and, thus, do not have a predetermined maturity date. The date shown, if applicable, reflects the next call date.

(g) Floating Rate Security. Stated interest/floor/ceiling rate was in effect at May 31, 2018.

(h) Security in which significant unobservable inputs (Level 3) were used in determining fair value.

(i) Security is exempt from registration under Rule 144A of the Securities Act of 1933. These securities, which represent 0.01% of net assets as of May 31, 2018, are considered illiquid and restricted. Additional information regarding such securities follows:

144A/Restricted & Illiquid Securities	Acquisition Date		Cost		Market Value		Percentage of Net Assets
H/2 Asset Funding NRE Series 2015-1A, Class AFL
3.615%, 6/24/49		3/29/17	$	22,191	$	22,346		0.01	%

(j) The rate shown represents the 7-day yield as of period end.

(k) To obtain a copy of the fund’s shareholder report, please go to the Securities and Exchange Commission’s website at www.sec.gov. Additionally, shareholder reports for AB funds can be obtained by calling AB at (800) 227-4618.

(l) As of May 31, 2018, the cost basis of investment securities owned was substantially identical for both book and tax purposes. Gross unrealized appreciation of investments was $14,478,553 and gross unrealized depreciation of investments was $(7,347,456), resulting in net unrealized appreciation of $7,131,097.

Currency Abbreviations:

ARS	-	Argentine Peso
AUD	-	Australian Dollar
BRL	-	Brazilian Real

CAD	-	Canadian Dollar
CHF	-	Swiss Franc
CLP	-	Chilean Peso
CNY	-	Chinese Yuan Renminbi
EUR	-	Euro
GBP	-	Great British Pound
HUF	-	Hungarian Forint
ILS	-	Israeli Shekel
INR	-	Indian Rupee
JPY	-	Japanese Yen
KRW	-	South Korean Won
MXN	-	Mexican Peso
MYR	-	Malaysian Ringgit
NOK	-	Norwegian Krone
NZD	-	New Zealand Dollar
PLN	-	Polish Zloty
RUB	-	Russian Ruble
SEK	-	Swedish Krona
SGD	-	Singapore Dollar
TRY	-	Turkish Lira
TWD	-	New Taiwan Dollar
USD	-	United States Dollar
UYU	-	Uruguayan Peso
ZAR	-	South African Rand
Glossary:
ABS	-	Asset-Backed Securities
ADR	-	American Depositary Receipt
ARMs	-	Adjustable Rate Mortgages
BOBL	-	Bundesobligationen
CBT	-	Chicago Board of Trade
CDX-NAHY	-	North American High Yield Credit Default Swap Index
CDX-NAIG	-	North American Investment Grade Credit Default Swap Index
CMBS	-	Commercial Mortgage-Backed Securities
CPI	-	Consumer Price Index
EAFE	-	Europe, Australia, and Far East
EPRA	-	European Public Real Estate Association
ETF	-	Exchange Traded Fund
FTSE	-	Financial Times Stock Exchange
LIBOR	-	London Interbank Offered Rates
MSCI	-	Morgan Stanley Capital International
OAT	-	Obligations Assimilables du Trésor
OSE	-	Osaka Securities Exchange
PJSC	-	Public Joint Stock Company
REG	-	Registered Shares
REIT	-	Real Estate Investment Trust
SPDR	-	Standard & Poor’s Depository Receipt
TBA	-	To Be Announced
TOPIX	-	Tokyo Price Index

The following table represents the equity basket holdings underlying the total return swap with GSABHVIP as of May 31, 2018.

Security Description	Shares		Market Value as of 5/31/18		Percent of Basket’s Net Assets
Cheniere Energy Inc.		32,141	$	2,141,233		2.1	%
Broadcom Inc.		8,399		2,117,136		2.1	%
NRG Energy Inc.		60,957		2,086,558		2.1	%
Constellation Brands Inc.		9,329		2,081,113		2.1	%

Security Description	Shares		Market Value as of 5/31/18		Percent of Basket’s Net Assets
Facebook Inc.		10,811	$	2,073,334		2.1	%
Adobe Systems Inc.		8,284		2,065,036		2.1	%
Netflix Inc.		5,861		2,060,728		2.1	%
Monsanto Co.		16,125		2,055,293		2.1	%
Amazon.com Inc.		1,261		2,054,951		2.0	%
NXP Semiconductors NV		17,953		2,046,642		2.0	%
Alphabet Inc.		1,860		2,046,000		2.0	%
PayPal Holdings Inc.		24,922		2,045,349		2.0	%
Delta Air Lines Inc.		37,841		2,045,306		2.0	%
Booking Holdings Inc.		969		2,043,543		2.0	%
Stamps.com Inc.		8,142		2,042,014		2.0	%
GoDaddy Inc.		28,504		2,040,601		2.0	%
salesforce.com Inc.		15,775		2,040,181		2.0	%
Liberty Media Corp-Liberty SiriusXM		44,083		2,036,194		2.0	%
Alibaba Group Holding Ltd.		10,267		2,032,969		2.0	%
Palo Alto Networks Inc.		9,760		2,030,958		2.0	%
Microsoft Corp.		20,480		2,024,243		2.0	%
Time Warner Inc.		21,496		2,024,063		2.0	%
TransDigm Group Inc.		6,054		2,022,702		2.0	%
Northrop Grumman Innovation Systems Inc.		15,101		2,019,306		2.0	%
MGM Resorts International		63,946		2,011,102		2.0	%
FleetCor Technologies Inc.		10,072		2,007,853		2.0	%
Aetna Inc.		11,394		2,006,825		2.0	%
Anadarko Petroleum Corp.		28,731		2,005,424		2.0	%
Apple Inc.		10,727		2,004,554		2.0	%
Visa Inc.		15,321		2,002,761		2.0	%
UnitedHealth Group Inc.		8,272		1,997,771		2.0	%
Nexstar Media Group Inc.		30,114		1,996,558		2.0	%
Mastercard Inc.		10,470		1,990,556		2.0	%
Dell Technologies Inc.- Class V		24,675		1,990,286		2.0	%
Worldpay Inc.		25,018		1,988,180		2.0	%
Comcast Corp.		63,385		1,976,344		2.0	%
Berkshire Hathaway Inc.		10,311		1,974,866		2.0	%
XPO Logistics Inc.		18,763		1,974,806		2.0	%
Caesars Entertainment Corp.		162,311		1,972,079		2.0	%
VICI Properties Inc.		101,546		1,966,946		2.0	%
GCI Liberty Inc.		46,907		1,960,713		2.0	%
Allergan PLC		12,956		1,953,765		2.0	%
Wells Fargo & Co.		35,969		1,941,966		1.9	%
Micron Technology Inc.		33,695		1,940,495		1.9	%
DowDuPont Inc.		30,141		1,932,340		1.9	%
Bank of America Corp.		66,385		1,927,820		1.9	%
Charter Communications Inc.		7,372		1,924,387		1.9	%
JPMorgan Chase & Co.		17,962		1,922,114		1.9	%
Citigroup Inc.		28,768		1,918,538		1.9	%
Autodesk Inc.		14,504		1,872,466		1.9	%
Total			$	100,436,966		100.0	%

The following table represents the 50 largest equity basket holdings underlying the total return swap with GSABSJHB as of May 31, 2018.

Security Description	Shares		Market Value as of 5/31/18		Percent of Basket’s Net Assets
Bandai Namco Holdings Inc.		2,944,379	$	13,632,474,974		1.3	%
Nissan Chemical Industries Ltd.		2,412,001		12,349,443,133		1.2	%
McDonald’s Holdings Co Japan Ltd.		2,180,550		11,949,412,252		1.2	%
Hoshizaki Corp.		1,083,449		11,842,095,176		1.2	%
Azbil Corp.		2,213,418		11,797,520,003		1.1	%
Keihan Holdings Co. Ltd.		3,170,199		11,682,185,014		1.1	%
Zenkoku Hosho Co. Ltd.		2,211,553		11,588,535,687		1.1	%
Ezaki Glico Co. Ltd.		2,040,295		11,527,665,479		1.1	%
KDDI Corp.		3,878,433		11,423,924,440		1.1	%
Astellas Pharma Inc.		6,803,084		11,323,733,363		1.1	%
Park24 Co. Ltd.		3,823,096		11,232,256,136		1.1	%
Rinnai Corp.		1,073,716		11,166,642,874		1.1	%
Oriental Land Co. Ltd./Japan		1,000,821		11,159,158,086		1.1	%
Marubeni Corp.		13,145,186		11,152,375,718		1.1	%
Kyushu Railway Co.		3,194,788		11,069,941,134		1.1	%
NTT DOCOMO Inc.		3,798,449		10,704,029,082		1.0	%
Yamaguchi Financial Group Inc.		8,125,505		10,668,788,255		1.0	%
Nitori Holdings Co. Ltd.		569,270		10,653,878,721		1.0	%
Otsuka Holdings Co. Ltd.		1,964,060		10,643,242,950		1.0	%
MEIJI Holdings Co. Ltd.		1,140,091		10,568,639,157		1.0	%
Tsuruha Holdings Inc.		652,085		10,557,249,951		1.0	%
Asahi Intecc Co. Ltd.		2,697,167		10,545,922,411		1.0	%
Fuji Media Holdings Inc.		5,736,765		10,504,017,475		1.0	%
Makita Corp.		2,148,793		10,443,132,031		1.0	%
Aozora Bank Ltd.		2,407,285		10,375,400,117		1.0	%
SCSK Corp.		2,069,206		10,346,027,710		1.0	%
Ryohin Keikaku Co. Ltd.		278,106		10,289,921,597		1.0	%
West Japan Railway Co.		1,313,121		10,279,114,679		1.0	%
Nippon Telegraph & Telephone Corp.		2,009,560		10,260,814,049		1.0	%
Daito Trust Construction Co. Ltd.		572,448		10,172,397,065		1.0	%
NH Foods Ltd.		2,263,515		10,129,227,965		1.0	%
Sundrug Co. Ltd.		2,043,982		10,117,712,162		1.0	%
Seria Co. Ltd.		1,918,634		10,092,017,270		1.0	%
Nissan Motor Co. Ltd.		9,324,180		10,074,776,868		1.0	%
Tobu Railway Co. Ltd.		2,975,658		10,042,845,129		1.0	%
Japan Post Bank Co. Ltd.		7,250,656		9,868,142,322		1.0	%
ANA Holdings Inc.		2,240,486		9,817,807,614		1.0	%
Japan Airlines Co. Ltd.		2,301,142		9,706,217,163		0.9	%
Canon Inc.		2,602,635		9,666,185,506		0.9	%
Nintendo Co. Ltd.		212,048		9,542,150,447		0.9	%
Japan Post Insurance Co. Ltd.		3,876,310		9,392,299,467		0.9	%
Teijin Ltd.		4,357,023		9,202,033,193		0.9	%
Sumitomo Metal Mining Co. Ltd.		2,193,073		9,136,342,522		0.9	%
Ono Pharmaceutical Co. Ltd.		3,307,609		8,928,891,691		0.9	%
Shimamura Co. Ltd.		801,848		8,916,554,221		0.9	%
Toray Industries Inc.		9,878,420		8,800,684,296		0.9	%
Japan Tobacco Inc.		2,961,717		8,695,600,460		0.8	%
Kansai Paint Co. Ltd.		3,643,974		8,512,323,998		0.8	%
Mitsui Mining & Smelting Co. Ltd.		1,682,838		8,027,136,783		0.8	%
Takeda Pharmaceutical Co. Ltd.		1,722,845		7,670,103,972		0.7	%

Security Description	Shares		Market Value as of 5/31/18		Percent of Basket’s Net Assets
Other		189,219,260	$	509,104,200,836		49.8	%
Total			$	1,027,353,192,604		100.0	%

The following table represents the 50 largest equity basket holdings underlying the total return swap with MSABRDS as of May 31, 2018.

Security Description	Shares		Market Value as of 5/31/18		Percent of Basket’s Net Assets
Veeva Systems Inc.		4,962	$	383,879		1.9	%
Palo Alto Networks Inc.		1,826		379,957		1.9	%
Copart Inc.		6,469		354,703		1.8	%
Microchip Technology Inc.		3,566		347,265		1.8	%
Tyler Technologies Inc.		1,432		331,764		1.7	%
CDW Corp./DE		4,141		331,492		1.7	%
Ubiquiti Networks Inc.		3,959		326,955		1.6	%
Paycom Software Inc.		3,096		326,550		1.6	%
Versum Materials Inc.		8,001		319,799		1.6	%
Texas Instruments Inc.		2,841		317,991		1.6	%
Apple Inc.		1,700		317,720		1.6	%
Jabil Inc.		11,096		313,803		1.6	%
Taro Pharmaceutical Industries Ltd.		2,630		312,920		1.6	%
Littelfuse Inc.		1,403		304,480		1.6	%
Lear Corp.		1,538		304,438		1.6	%
Take-Two Interactive Software Inc.		2,709		303,655		1.5	%
MKS Instruments Inc.		2,681		300,857		1.5	%
NVIDIA Corp.		1,186		299,073		1.5	%
Logitech International SA		7,178		291,774		1.5	%
Advanced Energy Industries Inc.		4,432		290,415		1.5	%
Pure Storage Inc.		13,285		285,102		1.4	%
Cisco Systems Inc.		6,637		283,458		1.4	%
Skyworks Solutions Inc.		2,825		278,575		1.4	%
Catalent Inc.		6,933		272,172		1.4	%
Harris Corp.		1,806		271,753		1.4	%
Check Point Software Technologies Ltd.		2,773		269,953		1.4	%
CDK Global Inc.		4,180		268,993		1.4	%
ViaSat Inc.		4,225		264,519		1.3	%
Broadcom Inc.		1,011		254,948		1.3	%
Adient PLC		4,613		245,593		1.2	%
Perrigo Co. PLC		3,254		238,097		1.2	%
Flex Ltd.		16,607		230,666		1.2	%
Analog Devices Inc.		1,514		147,150		0.7	%
Stamps.com Inc.		570		142,966		0.7	%
GrubHub Inc.		1,328		142,385		0.7	%
ServiceNow Inc.		780		138,448		0.7	%
Harley-Davidson Inc.		3,213		131,970		0.7	%
HubSpot Inc.		1,077		130,563		0.7	%
Dana Inc.		5,658		126,170		0.6	%
Adobe Systems Inc.		504		125,607		0.6	%
Match Group Inc.		2,879		118,456		0.6	%
SS&C Technologies Holdings Inc.		2,290		116,588		0.6	%
CoStar Group Inc.		302		115,148		0.6	%

Security Description	Shares		Market Value as of 5/31/18		Percent of Basket’s Net Assets
salesforce.com Inc.		887	$	114,684		0.6	%
Science Applications International Corp.		1,269		112,207		0.6	%
Jazz Pharmaceuticals PLC		663		112,022		0.6	%
Align Technology Inc.		335		111,120		0.6	%
Neogen Corp.		1,458		110,371		0.6	%
Intuitive Surgical Inc.		230		105,879		0.5	%
VeriSign Inc.		793		103,426		0.5	%
Other		128,787		801,241		40.1	%
Total			$	12,629,720		100.0	%

The following table represents the 50 largest equity basket holdings underlying the total return swap with GSABLJHB as of May 31, 2018.

Security Description	Shares		Market Value as of 5/31/18		Percent of Basket’s Net Assets
Sumitomo Dainippon Pharma Co. Ltd.		6,381,983	$	14,442,427,171		1.4	%
FamilyMart UNY Holdings Co. Ltd.		1,270,663		14,358,488,521		1.4	%
Shiseido Co. Ltd.		1,576,787		13,601,367,465		1.3	%
Start Today Co. Ltd.		3,539,756		13,397,975,813		1.3	%
Eisai Co. Ltd.		1,629,963		12,839,215,770		1.2	%
Kikkoman Corp.		2,472,179		12,707,001,438		1.2	%
SBI Holdings Inc./Japan		4,108,361		12,218,264,311		1.2	%
Tokai Carbon Co. Ltd.		5,441,981		12,151,944,147		1.2	%
Medipal Holdings Corp.		4,791,119		12,030,500,741		1.2	%
Sompo Holdings Inc.		2,510,096		11,877,776,562		1.1	%
TIS Inc.		2,306,591		11,809,747,425		1.1	%
Nippon Express Co. Ltd.		1,433,541		11,740,700,249		1.1	%
Kose Corp.		491,369		11,630,712,664		1.1	%
Fast Retailing Co. Ltd.		243,447		11,619,733,057		1.1	%
Seino Holdings Co. Ltd.		5,582,023		11,443,146,523		1.1	%
Marui Group Co. Ltd.		5,128,590		11,339,313,127		1.1	%
Kirin Holdings Co. Ltd.		3,662,584		11,335,697,848		1.1	%
NGK Spark Plug Co. Ltd.		3,795,659		11,311,062,640		1.1	%
Tokyo Gas Co. Ltd.		3,813,049		11,305,689,152		1.1	%
Nichirei Corp.		3,727,590		11,000,118,179		1.1	%
Alfresa Holdings Corp.		3,988,136		10,979,338,499		1.1	%
Fukuoka Financial Group Inc.		18,856,474		10,974,467,880		1.1	%
M3 Inc.		2,397,797		10,921,963,900		1.0	%
Taiyo Nippon Sanso Corp.		6,762,781		10,915,127,971		1.0	%
Mitsui Fudosan Co. Ltd.		3,978,090		10,880,077,110		1.0	%
Sumitomo Realty & Development Co. Ltd.		2,643,046		10,870,847,947		1.0	%
Toyoda Gosei Co. Ltd.		3,788,836		10,870,170,355		1.0	%
Kaneka Corp.		9,619,140		10,773,436,551		1.0	%
Suzuken Co. Ltd./Aichi Japan		2,192,092		10,697,410,444		1.0	%
Mitsubishi Estate Co. Ltd.		5,408,737		10,687,664,729		1.0	%
Showa Shell Sekiyu KK		7,318,431		10,597,088,081		1.0	%
Casio Computer Co. Ltd.		6,352,146		10,576,322,507		1.0	%
Sony Financial Holdings Inc.		5,244,500		10,494,244,692		1.0	%
TDK Corp.		1,067,956		10,444,610,961		1.0	%
Hitachi Capital Corp.		3,693,105		10,418,249,905		1.0	%
Trend Micro Inc./Japan		1,684,958		10,413,041,231		1.0	%

Security Description	Shares		Market Value as of 5/31/18		Percent of Basket’s Net Assets
Kyowa Hakko Kirin Co. Ltd.		4,646,072	$	10,351,447,572		1.0	%
Tokyu Fudosan Holdings Corp.		12,837,922		10,321,689,071		1.0	%
TOTO Ltd.		1,807,070		10,300,297,216		1.0	%
Asics Corp.		5,669,733		10,296,234,222		1.0	%
Cosmo Energy Holdings Co. Ltd.		2,778,594		10,294,689,929		1.0	%
Isetan Mitsukoshi Holdings Ltd.		7,608,295		10,225,549,090		1.0	%
Concordia Financial Group Ltd.		16,680,732		10,225,288,863		1.0	%
Iida Group Holdings Co. Ltd.		4,882,799		10,151,339,838		1.0	%
T&D Holdings Inc.		5,869,407		10,077,771,029		1.0	%
Electric Power Development Co. Ltd.		3,482,870		10,068,976,563		1.0	%
JTEKT Corp.		6,329,338		10,044,660,092		1.0	%
Dai-ichi Life Holdings Inc.		4,932,016		10,014,457,517		1.0	%
Dai Nippon Printing Co. Ltd.		4,272,133		10,005,336,624		1.0	%
Fuji Electric Co. Ltd.		12,837,964		9,975,097,733		1.0	%
Other		254,946,741		485,295,617,894		46.3	%
Total			$	1,043,323,398,819		100.0	%

The following table represents the equity basket holdings underlying the total return swap with GSABVISP as of May 31, 2018.

Security Description	Shares		Market Value as of 5/31/18		Percent of Basket’s Net Assets
Kellogg Co.		33,228	$	2,139,551		2.2	%
Expedia Group Inc.		17,381		2,103,622		2.1	%
Southern Co./The		46,806		2,101,589		2.1	%
Duke Energy Corp.		27,100		2,091,036		2.1	%
Sempra Energy		19,614		2,089,479		2.1	%
Public Storage		9,824		2,081,116		2.1	%
Simon Property Group Inc.		12,972		2,078,374		2.1	%
Intel Corp.		37,383		2,063,542		2.1	%
NVIDIA Corp.		8,132		2,050,809		2.1	%
Coca-Cola Co./The		47,416		2,038,888		2.1	%
Ford Motor Co.		176,523		2,038,841		2.1	%
Amgen Inc.		11,344		2,037,609		2.0	%
Dominion Energy Inc.		31,601		2,028,468		2.0	%
Lam Research Corp.		10,231		2,027,580		2.0	%
Kraft Heinz Co./The		35,217		2,024,273		2.0	%
Oracle Corp.		43,178		2,017,276		2.0	%
AT&T Inc.		62,402		2,016,833		2.0	%
Pfizer Inc.		56,117		2,016,284		2.0	%
NIKE Inc.		28,043		2,013,487		2.0	%
United Parcel Service Inc.		17,334		2,012,824		2.0	%
WW Grainger Inc.		6,502		2,009,053		2.0	%
Boeing Co./The		5,694		2,005,199		2.0	%
Exxon Mobil Corp.		24,600		1,998,504		2.0	%
Verizon Communications Inc.		41,894		1,997,087		2.0	%
United Technologies Corp.		15,976		1,994,124		2.0	%
Costco Wholesale Corp.		10,052		1,992,708		2.0	%
Procter & Gamble Co./The		27,229		1,992,346		2.0	%
Home Depot Inc./The		10,671		1,990,675		2.0	%
McDonald’s Corp.		12,424		1,987,964		2.0	%

Security Description	Shares		Market Value as of 5/31/18		Percent of Basket’s Net Assets
Union Pacific Corp.		13,908	$	1,985,506		2.0	%
Starbucks Corp.		34,990		1,982,883		2.0	%
Cisco Systems Inc.		46,286		1,976,875		2.0	%
Walmart Inc.		23,912		1,973,696		2.0	%
International Business Machines Corp.		13,881		1,961,524		2.0	%
Kroger Co./The		80,354		1,955,013		2.0	%
CVS Health Corp.		30,807		1,952,856		2.0	%
Caterpillar Inc.		12,844		1,951,132		2.0	%
Kimberly-Clark Corp.		19,292		1,945,598		2.0	%
Chevron Corp.		15,642		1,944,301		2.0	%
ConocoPhillips		28,756		1,937,867		1.9	%
Johnson & Johnson		16,098		1,925,643		1.9	%
Target Corp.		26,337		1,919,704		1.9	%
Walt Disney Co./The		19,244		1,914,201		1.9	%
Anthem Inc.		8,626		1,909,969		1.9	%
General Electric Co.		133,601		1,881,102		1.9	%
EOG Resources Inc.		15,900		1,873,179		1.9	%
Hess Corp.		30,931		1,868,851		1.9	%
AbbVie Inc.		18,871		1,867,097		1.9	%
Schlumberger Ltd.		26,922		1,848,734		1.9	%
Concho Resources Inc.		13,030		1,789,149		1.8	%
Total			$	99,404,021		100.0	%

The following table represents the 50 largest equity basket holdings underlying the total return swap with JPQABACP as of May 31, 2018.

Security Description	Shares		Market Value as of 5/31/18		Percent of Basket’s Net Assets
Royal Dutch Shell PLC		202,044	$	540,871,764		40.6	%
BP PLC		376,719		217,103,159		16.3	%
Glencore PLC		361,160		134,369,663		10.1	%
JXTG Holdings, Inc.		118,663		83,408,463		6.3	%
Yamato Kogyo Co. Ltd.		16,128		54,672,740		4.1	%
Rio Tinto PLC		11,094		47,037,218		3.5	%
Inpex Corp.		33,385		40,529,594		3.0	%
Sumitomo Metal Mining Co. Ltd.		9,665		40,265,637		3.0	%
Antofagasta PLC		37,022		39,039,959		2.9	%
Johnson Matthey PLC		8,532		29,973,692		2.3	%
Vedanta Resources		26,460		18,739,253		1.4	%
Petrofac Ltd.		20,584		11,992,229		0.9	%
Petrochina Co. Ltd.		1,514,263		9,827,567		0.7	%
Boliden AB		25,463		7,915,312		0.6	%
CNOOC Ltd.		379,306		5,006,837		0.4	%
Industrias Penoles SAB De Cv		14,786		4,981,015		0.4	%
Aker BP ASA		14,030		4,194,940		0.3	%
Aluminum Corp. Of China Ltd.		990,188		4,089,476		0.3	%
Chevron Corp.		30,727		3,819,347		0.3	%
Exxon Mobil Corp.		38,510		3,128,592		0.2	%
Tupras Turkiye Petrol Rafinerileri AS		25,412		2,696,196		0.2	%
Eog Resources, Inc.		17,150		2,020,426		0.2	%
Petroleum Geo-Services ASA		51,079		2,010,971		0.2	%

Security Description	Shares		Market Value as of 5/31/18		Percent of Basket’s Net Assets
Canadian Natural Resources Ltd.		39,790	$	1,786,175		0.1	%
Agnico Eagle Mines		27,391		1,593,894		0.1	%
TOTAL SA		27,920		1,453,257		0.1	%
Anadarko Petroleum Corp.		18,743		1,308,248		0.1	%
Alcoa Corp.		27,140		1,304,612		0.1	%
Devon Energy Corp.		24,995		1,039,048		0.1	%
Mosaic Co./The		37,595		1,033,492		0.1	%
Cosan SA Industria e Comercio		23,301		904,061		0.1	%
LUKOIL PJSC		13,323		889,154		0.1	%
Eni SpA		56,582		876,456		0.1	%
First Quantum Minerals Ltd.		40,103		816,091		0.1	%
Vale SA		55,154		750,095		0.1	%
YPF SA		40,394		733,550		0.1	%
C&J Energy Services, Inc.		26,720		719,300		0.1	%
Repsol SA		41,180		671,436		0.1	%
MMC Norilsk Nickel PJSC		37,321		661,703		0.0	%
Continental Resources, Inc./Ok		9,738		655,780		0.0	%
SM Energy Co.		24,825		650,402		0.0	%
Monsanto Co.		4,208		536,319		0.0	%
Northern Star Resources Ltd.		84,612		530,515		0.0	%
Origin Energy Ltd.		53,443		513,057		0.0	%
Concho Resources, Inc.		3,671		504,002		0.0	%
Petroleo Brasileiro SA		20,527		389,605		0.0	%
Detour Gold Corp.		33,556		343,952		0.0	%
Gran Tierra Energy, Inc.		78,609		331,729		0.0	%
Oz Minerals Ltd.		33,573		330,363		0.0	%
Lundin Mining Corp.		40,046		325,574		0.0	%
Other		200,052		1,651,251		0.3	%
Total			$	1,330,997,171		100.0	%

The following table represents the 50 largest equity basket holdings underlying the total return swap with MSABRDL as of May 31, 2018.

Security Description	Shares		Market Value as of 5/31/18		Percent of Basket’s Net Assets
Nutanix Inc.		8,002	$	427,707		2.3	%
Cree Inc.		7,700		358,960		1.9	%
Zebra Technologies Corp.		2,329		357,454		1.9	%
Keysight Technologies Inc.		6,080		357,158		1.9	%
Intel Corp.		6,089		336,135		1.8	%
Agios Pharmaceuticals Inc.		3,538		330,788		1.8	%
Tableau Software Inc.		3,340		330,189		1.8	%
Citrix Systems Inc.		3,060		323,250		1.7	%
Dell Technologies Inc.- Class V		3,990		321,838		1.7	%
Silicon Laboratories Inc.		3,010		317,820		1.7	%
Advanced Micro Devices Inc.		22,674		311,314		1.7	%
ON Semiconductor Corp.		12,322		309,659		1.6	%
Seagate Technology PLC		5,428		305,847		1.6	%
Cadence Design Systems Inc.		7,120		302,252		1.6	%
Merck & Co Inc.		5,022		298,987		1.6	%
Ashland Global Holdings Inc.		3,823		297,147		1.6	%

Security Description	Shares		Market Value as of 5/31/18		Percent of Basket’s Net Assets
Moncler SPA		2,296	$	292,593		1.6	%
Woodward Inc.		3,850		291,703		1.5	%
Fiat Chrysler Automobiles NV		12,458		289,397		1.5	%
BioMarin Pharmaceutical Inc.		3,185		287,763		1.5	%
Twitter Inc.		8,225		285,415		1.5	%
Teradata Corp.		7,142		284,761		1.5	%
Eli Lilly & Co.		3,329		283,113		1.5	%
CA Inc.		7,899		282,324		1.5	%
Autoliv Inc.		1,905		281,856		1.5	%
General Motors Co.		6,585		281,198		1.5	%
Amdocs Ltd.		4,168		281,191		1.5	%
Cypress Semiconductor Corp.		17,053		280,693		1.5	%
Ciena Corp.		12,089		278,640		1.5	%
Western Digital Corp.		3,299		275,540		1.5	%
Synopsys Inc.		3,128		275,469		1.5	%
Dolby Laboratories Inc.		4,385		275,348		1.5	%
Juniper Networks Inc.		10,320		274,919		1.5	%
McKesson Corp.		1,887		267,839		1.4	%
Marvell Technology Group Ltd.		12,276		264,422		1.4	%
Navistar International Corp.		7,009		262,401		1.4	%
Ford Motor Co.		22,557		260,532		1.4	%
Hewlett Packard Enterprise Co.		17,047		259,801		1.4	%
Visteon Corp.		2,076		259,363		1.4	%
AGCO Corp.		4,035		256,649		1.4	%
NewMarket Corp.		659		253,206		1.3	%
Deere & Co.		1,683		251,617		1.3	%
International Business Machines Corp.		1,777		251,071		1.3	%
QUALCOMM Inc.		4,309		250,431		1.3	%
eBay Inc.		6,434		242,702		1.3	%
International Game Technology PLC		9,558		240,295		1.3	%
National Instruments Corp.		5,664		235,754		1.3	%
CNH Industrial NV		19,856		233,109		1.2	%
Whirlpool Corp.		1,572		227,546		1.2	%
Nuance Communications Inc.		16,683		225,388		1.2	%
Other		98,263		4,513,940		23.7	%
Total			$	18,844,494		100.0	%

AB Conservative Wealth Strategy

May 31, 2018 (unaudited)

In accordance with U.S. GAAP regarding fair value measurements, fair value is defined as the price that the Strategy 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 Strategy. Unobservable inputs reflect the Strategy’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 Strategy’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.

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 Strategy’s investments by the above fair value hierarchy levels as of May 31, 2018:

Investments in Securities:	Level 1			Level 2			Level 3			Total
Assets:
Investment Companies	$	74,961,403		$	– 0	–	$	– 0	–	$	74,961,403
Common Stocks:
Information Technology		14,292,118			2,316,277			– 0	–		16,608,395
Consumer Discretionary		10,183,659			2,386,711			– 0	–		12,570,370
Financials		6,158,255			4,833,565			– 0	–		10,991,820
Health Care		9,714,042			944,200			– 0	–		10,658,242
Industrials		4,846,189			3,103,641			– 0	–		7,949,830
Consumer Staples		2,551,105			1,833,220			– 0	–		4,384,325
Energy		1,272,075			1,393,818			– 0	–		2,665,893
Telecommunication Services		853,927			1,733,728			– 0	–		2,587,655
Materials		978,315			1,145,521			– 0	–		2,123,836
Utilities		423,163			588,533			– 0	–		1,011,696
Real Estate		552,229			41,494			– 0	–		593,723
Governments - Treasuries		– 0	–		24,189,399			– 0	–		24,189,399
Corporates - Investment Grade		– 0	–		12,368,934			– 0	–		12,368,934
Mortgage Pass-Throughs		– 0	–		6,184,385			– 0	–		6,184,385
Inflation-Linked Securities		– 0	–		5,241,712			– 0	–		5,241,712
Covered Bonds		– 0	–		2,308,859			– 0	–		2,308,859
Collateralized Mortgage Obligations		– 0	–		1,877,345			30,327			1,907,672
Agencies		– 0	–		1,901,217			– 0	–		1,901,217
Commercial Mortgage-Backed Securities		– 0	–		1,424,492			122,346			1,546,838
Governments - Sovereign Agencies		– 0	–		1,230,566			– 0	–		1,230,566
Collateralized Loan Obligations		– 0	–		– 0	–		750,622			750,622
Asset-Backed Securities		– 0	–		330,434			402,636			733,070
Local Governments - Provincial Bonds		– 0	–		563,839			– 0	–		563,839
Governments - Sovereign Bonds		– 0	–		494,995			– 0	–		494,995
Local Governments - US Municipal Bonds		– 0	–		244,487			– 0	–		244,487
Quasi-Sovereigns		– 0	–		196,500			– 0	–		196,500
Options Purchased - Calls		– 0	–		646			– 0	–		646
Short-Term Investments		9,147,544			– 0	–		– 0	–		9,147,544
Investments of Cash Collateral for Securities Loaned in Affiliated Money Market Fund		2,927,297			– 0	–		– 0	–		2,927,297
Total Investments in Securities		138,861,321			78,878,518			1,305,931			219,045,770
Other Financial Instruments(a):
Assets:
Futures		851,936			– 0	–		– 0	–		851,936
Forward Currency Exchange Contracts		– 0	–		1,525,977			– 0	–		1,525,977
Centrally Cleared Credit Default Swaps		– 0	–		555,480			– 0	–		555,480
Inflation (CPI) Swaps		– 0	–		503,253			– 0	–		503,253
Total Return Swaps		– 0	–		85,019			– 0	–		85,019
Liabilities:
Futures		(233,367	)		(23,457	)		– 0	–		(256,824	)
Forward Currency Exchange Contracts		– 0	–		(1,402,902	)		– 0	–		(1,402,902	)
Call Options Written		– 0	–		(197,557	)		– 0	–		(197,557	)
Put Options Written		– 0	–		(226,400	)		– 0	–		(226,400	)
Currency Options Written		– 0	–		(5,102	)		– 0	–		(5,102	)
Centrally Cleared Credit Default Swaps		– 0	–		(674,417	)		– 0	–		(674,417	)
Credit Default Swaps		– 0	–		(6,779	)		– 0	–		(6,779	)
Total Return Swaps		– 0	–		(216,605	)		– 0	–		(216,605	)
Total(b)	$	139,479,890		$	78,795,028		$	1,305,931		$	219,580,849

(a) Other financial instruments are derivative instruments, such as futures, forwards and swaps, which are valued at the unrealized appreciation/(depreciation) on the instrument. Other financial instruments may also include swaps with upfront premiums, options written and swaptions written which are valued at market value.

(b) There were deminimis transfers under 1% of net assets between Level 1 and Level 2 during the reporting period.

The Strategy recognizes all transfers between levels of the fair value hierarchy assuming the financial instruments were transferred at the beginning of the reporting period.

The Adviser established the Valuation Committee (the “Committee”) to oversee the pricing and valuation of all securities held in the Strategy. The Committee operates under pricing and valuation policies and procedures established by the Adviser and approved by the Board, including pricing policies which set forth the mechanisms and processes to be employed on a daily basis to implement these policies and procedures. In particular, the pricing policies describe how to determine market quotations for securities and other instruments. The Committee’s responsibilities include: 1) fair value and liquidity determinations (and oversight of any third parties to whom any responsibility for fair value and liquidity determinations is delegated), and 2) regular monitoring of the Adviser’s pricing and valuation policies and procedures and modification or enhancement of these policies and procedures (or recommendation of the modification of these policies and procedures) as the Committee believes appropriate.

The Committee is also responsible for monitoring the implementation of the pricing policies by the Adviser’s Pricing Group (the “Pricing Group”) and a third party which performs certain pricing functions in accordance with the pricing policies. The Pricing Group is responsible for the oversight of the third party on a day-to-day basis. The Committee and the Pricing Group perform a series of activities to provide reasonable assurance of the accuracy of prices including: 1) periodic vendor due diligence meetings, review of methodologies, new developments and process at vendors, 2) daily comparison of security valuation versus prior day for all securities that exceeded established thresholds, and 3) daily review of unpriced, stale, and variance reports with exceptions reviewed by senior management and the Committee.

In addition, several processes outside of the pricing process are used to monitor valuation issues including: 1) performance and performance attribution reports are monitored for anomalous impacts based upon benchmark performance, and 2) Strategy managers review all portfolios for performance and analytics (which are generated using the Adviser’s prices).

The following is a reconciliation of investments in which significant unobservable inputs (Level 3) were used in determining fair value.

	Collateralized Mortgage Obligations			Commercial Mortgage-Backed Securities			Collateralized Loan Obligations
Balance as of 8/31/17	$	29,085		$	128,199		$	– 0	–
Accrued discounts/(premiums)		95			1			– 0	–
Realized gain (loss)		– 0	–		(1,204	)		– 0	–
Change in unrealized appreciation/depreciation		1,147			1,274			622
Purchases		– 0	–		100,000			750,000
Sales		– 0	–		(105,924	)		– 0	–
Transfers in to Level 3		– 0	–		– 0	–		– 0	–
Transfers out of Level 3		– 0	–		– 0	–		– 0	–
Balance as of 5/31/18	$	30,327		$	122,346		$	750,622
Net change in unrealized appreciation/depreciation from investments held as of 5/31/18	$	1,147		$	(66	)	$	622
	Asset-Backed Securities			Total
Balance as of 8/31/17	$	350,116		$	507,400
Accrued discounts/(premiums)		(46	)		50
Realized gain (loss)		1,796			592
Change in unrealized appreciation/depreciation		(5,521	)		(2,478	)
Purchases		114,985			964,985
Sales		(58,694	)		(164,618	)
Transfers in to Level 3		– 0	–		– 0	–
Transfers out of Level 3		– 0	–		– 0	–
Balance as of 5/31/18	$	402,636		$	1,305,931
Net change in unrealized appreciation/depreciation from investments held as of 5/31/18	$	(3,825	)	$	(2,122	)

A summary of the Strategy’s transactions in AB mutual funds for the nine months ended May 31, 2018 is as follows:

																Distributions
Affiliated Issuer	Market Value 8/31/17 (000)		Purchases at Cost (000)			Sales Proceeds (000)		Realized Gain (Loss) (000)			Change in Unrealized Appr./(Depr.) (000)			Market Value 5/31/18 (000)		Dividend Income (000)			Realized Gains (000)
AB All Market Real Return Portfolio - Class Z	$	24,768	$	803		$	5,630	$	335		$	1,166		$	21,442	$	– 0	–	$	803
AB Cap Fund, Inc. - AB All Market Alternative Return Portfolio - Class ADV		23,156		– 0	–		4,974		(434	)		(1,088	)		16,660		– 0	–		– 0	–
AB Fixed Income Shares, Inc. -Government Money Market Portfolio		38,652		46,222			75,727		– 0	–		1			9,148		192			– 0	–
AB Fixed Income Shares, Inc. -Government Money Market Portfolio*		139		30,264			27,475		– 0	–		(1	)		2,927		13			– 0	–
AB High Income Fund, Inc. - Class Z		24,448		1,174			2,619		(44	)		(1,337	)		21,622		– 0	–		1,171
Total	$	111,163	$	78,463		$	116,425	$	(143	)	$	(1,259	)	$	71,799	$	205		$	1,974

* Investments of cash collateral for securities lending transactions

AB Tax-Managed All Market Income Portfolio

Portfolio of Investments

May 31, 2018 (unaudited)

	Principal Amount (000)		U.S. $ Value
MUNICIPAL OBLIGATIONS - 56.7%
Long-Term Municipal Bonds - 56.7%
Alabama - 0.9%
Water Works Board of the City of Birmingham (The)
Series 2010A
5.00%, 1/01/25	$	1,000	$	1,072,570
Arizona - 2.0%
Arizona Department of Transportation State Highway Fund Revenue
Series 2011A
5.00%, 7/01/25		1,685		1,834,476
Glendale Industrial Development Authority (Beatitudes Campus (The))
Series 2017
5.00%, 11/15/40 (a)		335		345,945
Tempe Industrial Development Authority (Mirabella at ASU, Inc.)
Series 2017A
6.125%, 10/01/47(a)(b)		110		114,872
				2,295,293
California - 3.4%
California Health Facilities Financing Authority (Children's Hospital Los Angeles)
Series 2017A
5.00%, 8/15/37		510		577,407
California School Finance Authority (Bright Star Schools Obligated Group)
Series 2017
5.00%, 6/01/54 (a)(b)		250		255,080
State of California
Series 2016
5.00%, 8/01/25		730		869,466
Series 2017
5.00%, 8/01/26		440		530,442
State of California Department of Water Resources Power Supply Revenue
Series 2010L
5.00%, 5/01/20		1,530		1,628,563
				3,860,958
Colorado - 1.1%
City & County of Denver CO (United Airlines, Inc.)
Series 2017
5.00%, 10/01/32		1,000		1,079,310
PV Water & Sanitation Metropolitan District
Series 2006
Zero Coupon, 12/15/17 (a)(c)(d)(e)		710		149,100
				1,228,410

	Principal Amount (000)		U.S. $ Value
Connecticut - 2.3%
State of Connecticut Special Tax Revenue
Series 2012
5.00%, 1/01/27	$	2,390	$	2,616,405
Delaware - 0.2%
Delaware State Economic Development Authority (Newark Charter School, Inc.)
Series 2012
5.00%, 9/01/42		225		234,720
Florida - 4.1%
Cape Coral Health Facilities Authority (Gulf Care, Inc. Obligated Group)
Series 2015
6.00%, 7/01/50 (a)(b)		270		291,751
Capital Trust Agency, Inc. (AVIVA SENIOR LIFE)
Series 2017
5.00%, 7/01/46 (a)(b)		340		347,705
County of Miami-Dade FL Aviation Revenue
Series 2014B
5.00%, 10/01/25		665		765,036
County of Miami-Dade FL Spl Tax
Series 2012A
5.00%, 10/01/25		560		621,645
North Broward Hospital District
Series 2017B
5.00%, 1/01/37-1/01/48		425		460,273
Overoaks Community Development District
Series 2004B
5.125%, 5/01/09 (a)(d)(e)(f)		25		2,125
Series 2010A-1
6.125%, 5/01/35 (a)		15		15,020
Series 2010A-2
6.125%, 5/01/35 (a)		35		35,047
Parkway Center Community Development District
Series 2004B
7.00%, 5/01/23 (a)		10		10,193
Sarasota County School Board COP
Series 2010B
5.00%, 7/01/22 (Pre-refunded/ETM)		935		995,261
Tampa Bay Water
Series 2011A
5.00%, 10/01/23		1,105		1,208,483
				4,752,539
Georgia - 1.2%
City of Atlanta Department of Aviation (Hartsfield Jackson Atlanta Intl Airport)
Series 2014A
5.00%, 1/01/28		625		710,356
Main Street Natural Gas, Inc. (Royal Bank of Canada)
Series 2018C
4.00%, 8/01/48		450		483,394

	Principal Amount (000)		U.S. $ Value
Private Colleges & Universities Authority (Savannah College of Art & Design, Inc.)
Series 2014
5.00%, 4/01/44	$	210	$	227,380
				1,421,130
Guam - 0.3%
Territory of Guam (Territory of Guam Business Privilege Tax)
Series 2011A
5.125%, 1/01/42		300		310,926
Illinois - 6.6%
Chicago Board of Education
Series 2012A
5.00%, 12/01/42		950		950,750
Series 2016A
7.00%, 12/01/44		100		115,819
Series 2017B
6.75%, 12/01/30 (b)		135		159,860
7.00%, 12/01/42 (b)		100		119,396
Chicago O'Hare International Airport (TrIPs Obligated Group)
Series 2018
5.00%, 7/01/33		105		117,798
City of Chicago IL
Series 2010A
5.00%, 1/01/19		200		203,712
Series 2014A
5.00%, 1/01/35		100		103,334
Illinois Finance Authority (CHF-Chicago LLC)
Series 2017A
5.00%, 2/15/47		210		228,543
Illinois Finance Authority (Lutheran Home & Services Obligated Group)
Series 2012
5.75%, 5/15/46 (a)		475		500,099
Illinois Finance Authority (Mercy Health System Obligated Group)
Series 2016
5.00%, 12/01/46		430		469,925
Illinois Finance Authority (Park Place of Elmhurst)
Series 2016A
6.44%, 5/15/55 (a)		498		495,191
Illinois Finance Authority (Presence Health Network Obligated Group)
Series 2016C
5.00%, 2/15/41		415		469,954
Illinois Finance Authority (Rosalind Franklin University of Medicine & Science)
Series 2017C
5.00%, 8/01/49		425		462,400

	Principal Amount (000)		U.S. $ Value
Metropolitan Pier & Exposition Authority
Series 2017A
5.00%, 6/15/57	$	115	$	120,871
Series 2017B
Zero Coupon, 12/15/54		150		23,627
Railsplitter Tobacco Settlement Authority
Series 2017
5.00%, 6/01/23		365		408,661
State of Illinois
Series 2013
5.00%, 7/01/22		315		332,423
Series 2014
5.00%, 4/01/20		75		77,116
Series 2016
5.00%, 2/01/23-2/01/28		1,170		1,244,151
Series 2017A
5.00%, 12/01/25		135		144,476
Series 2017D
5.00%, 11/01/24-11/01/28		780		832,397
				7,580,503
Indiana - 1.8%
Indiana Bond Bank (JPMorgan Chase & Co.)
Series 2007A
5.25%, 10/15/19		1,945		2,029,860
Iowa - 0.4%
Iowa Finance Authority (Iowa Fertilizer Co. LLC)
Series 2013B
5.25%, 12/01/50		110		116,841
Xenia Rural Water District
Series 2016
5.00%, 12/01/31		340		375,870
				492,711
Kentucky - 1.0%
Kentucky Economic Development Finance Authority (Owensboro Health, Inc. Obligated Group)
Series 2017A
5.00%, 6/01/37		315		342,562
5.25%, 6/01/41		150		165,114
Kentucky Economic Development Finance Authority (Baptist Healthcare System Obligated Group)
Series 2017B
5.00%, 8/15/37-8/15/46		620		680,609
				1,188,285
Louisiana - 0.4%
New Orleans Aviation Board
Series 2017B
5.00%, 1/01/48		400		445,044

	Principal Amount (000)		U.S. $ Value
Maryland - 1.7%
City of Baltimore MD (Baltimore Hotel Corp.)
Series 2017
5.00%, 9/01/34	$	400	$	449,360
City of Baltimore MD (East Baltimore Research Park Project)
Series 2017A
5.00%, 9/01/38 (a)		215		230,775
City of Rockville MD (King Farm Presbyterian Retirement Community, Inc.)
Series 2017A-1
5.00%, 11/01/37		500		544,710
County of Frederick MD (Mount St Mary's University, Inc.)
Series 2017A
5.00%, 9/01/45 (b)		215		228,048
County of Howard MD (Downtown Columbia Project)
Series 2017A
4.50%, 2/15/47 (a)(b)		500		507,775
				1,960,668
Massachusetts - 1.5%
Massachusetts Development Finance Agency (Boston Medical Center Corp.)
Series 2015D
5.00%, 7/01/44		175		189,837
Massachusetts Development Finance Agency (Lawrence General Hospital Obligated Group)
Series 2017
5.00%, 7/01/47		320		341,382
Massachusetts Development Finance Agency (Merrimack College)
Series 2012A
5.25%, 7/01/42		635		676,345
Massachusetts Development Finance Agency (NewBridge on the Charles, Inc.)
Series 2017
5.00%, 10/01/37 (b)		200		215,268
Massachusetts Development Finance Agency (Zero Waste Solutions)
Series 2017
8.00%, 12/01/22 (a)(b)		235		195,111
Series 2017A
7.75%, 12/01/44 (a)(b)		100		99,221
				1,717,164
Michigan - 2.4%
Grand Rapids Economic Development Authority (Beacon Hill at Eastgate)
Series 2017A
5.00%, 11/01/47 (a)		325		340,642

	Principal Amount (000)		U.S. $ Value
Michigan Finance Authority (Great Lakes Water Authority Sewage Disposal System Revenue)
AGM Series 2014C
5.00%, 7/01/28	$	325	$	366,424
Michigan Finance Authority (Great Lakes Water Authority Water Supply System Revenue)
AGM Series 2014D2
5.00%, 7/01/28		1,000		1,127,460
Michigan State Hospital Finance Authority (Trinity Health Corp. Obligated Group)
Series 2017C
5.00%, 12/01/23		445		506,161
Michigan Tobacco Settlement Finance Authority
Series 2007A
6.00%, 6/01/48		405		407,090
				2,747,777
Mississippi - 0.4%
Mississippi Hospital Equipment & Facilities Authority (Baptist Memorial Health Care Obligated Group)
Series 2016A
5.00%, 9/01/46		400		431,320
Missouri - 0.9%
Cape Girardeau County Industrial Development Authority (SoutheastHEALTH Obligated Group)
Series 2017A
5.00%, 3/01/36		470		507,957
Lees Summit Industrial Development Authority (John Knox Village Obligated Group)
Series 2016A
5.00%, 8/15/46		500		517,640
				1,025,597
Nebraska - 0.5%
Central Plains Energy Project (Goldman Sachs Group, Inc. (The))
Series 2017A
5.00%, 9/01/42		455		549,108
New Jersey - 5.3%
New Jersey Economic Development Authority (New Jersey Economic Development Authority State Lease)
Series 2013
5.00%, 3/01/30		685		723,977
New Jersey Economic Development Authority (NYNJ Link Borrower LLC)
Series 2013
5.25%, 1/01/25		1,195		1,344,471

	Principal Amount (000)		U.S. $ Value
New Jersey Economic Development Authority (New Jersey Economic Development Authority State Lease)
Series 2014P
5.00%, 6/15/29	$	500	$	534,560
New Jersey Economic Development Authority (North Star Academy Charter School of Newark, Inc.)
Series 2017
5.00%, 7/15/47		415		447,071
New Jersey Economic Development Authority (Port Newark Container Terminal LLC)
Series 2017
5.00%, 10/01/47		415		449,702
New Jersey Transit Corp.
Series 2014A
5.00%, 9/15/20		300		316,584
New Jersey Transportation Trust Fund Authority (New Jersey Transportation Trust Fund Authority State Lease)
Series 2013A
5.00%, 6/15/20		840		879,102
New Jersey Turnpike Authority
Series 2014A
5.00%, 1/01/29		675		764,262
Tobacco Settlement Financing Corp./NJ
Series 2018B
5.00%, 6/01/46		585		627,804
				6,087,533
New York - 3.7%
County of Nassau NY
Series 2017C
5.00%, 10/01/26		225		263,162
New York City Transitional Finance Authority
Future Tax Secured Revenue
Series 2012B
5.00%, 11/01/26		1,085		1,212,921
New York State Dormitory Authority (State University of New York Dormitory Fees)
Series 2013A
5.00%, 7/01/26		205		232,312
New York State Energy Research & Development Authority (Consolidated Edison Co. of New York, Inc.)
AMBAC Series 2001B
3.063%, 10/01/36(g)		375		373,628
XLCA Series 2004A
2.818%, 1/01/39(g)		400		398,360
New York Transportation Development Corp. (Laguardia Gateway Partners LLC)
Series 2016A
5.00%, 7/01/41		460		499,813
Triborough Bridge & Tunnel Authority
Series 2012B
5.00%, 11/15/26		1,000		1,119,800

	Principal Amount (000)		U.S. $ Value
Westchester County Local Development Corp. (Westchester County Healthcare Corp./NY)
Series 2016
5.00%, 11/01/46	$	105	$	112,157
				4,212,153
North Carolina - 0.2%
North Carolina Medical Care Commission (United Church Homes & Services Obligated Group)
Series 2017
5.00%, 9/01/41 (a)		250		262,905
Ohio - 2.3%
Buckeye Tobacco Settlement Financing Authority
Series 2007A-2
5.875%, 6/01/47		730		729,978
Butler County Port Authority (StoryPoint Obligated Group)
Series 2017A-1
6.375%, 1/15/43 (a)(b)		225		235,519
County of Allen OH Hospital Facilities Revenue (Mercy Health/OH)
Series 2017A
5.00%, 8/01/28		315		368,049
County of Cuyahoga/OH (MetroHealth System (The))
Series 2017
5.00%, 2/15/42		660		702,550
Ohio Air Quality Development Authority (FirstEnergy Generation LLC)
5.625%, 6/01/18 (a)		140		134,400
Series 2009D
4.25%, 8/01/29 (a)		250		240,000
Ohio Air Quality Development Authority (Pratt Paper/OH, Inc.)
Series 2017
4.50%, 1/15/48 (a)(b)		175		181,636
Ohio Water Development Authority Water Pollution Control Loan Fund (FirstEnergy Nuclear Generation LLC)
Series 2016A
4.375%, 6/01/33 (a)		45		43,200
				2,635,332
Pennsylvania - 2.5%
Allentown Neighborhood Improvement Zone
Development Authority
Series 2017
5.00%, 5/01/42 (b)		220		236,172
Commonwealth of Pennsylvania
Series 2016
5.00%, 9/15/23		600		674,382

	Principal Amount (000)		U.S. $ Value
Crawford County Hospital Authority (Meadville Medical Center Obligated Group)
Series 2016A
6.00%, 6/01/51 (a)	$	215	$	222,719
Pennsylvania Economic Development Financing Authority (PA Bridges Finco LP)
Series 2015
5.00%, 12/31/34		220		243,025
Philadelphia Authority for Industrial Development (Evangelical Services for the Aging Obligated Group)
Series 2017A
5.00%, 7/01/49		335		355,298
Philadelphia Authority for Industrial Development (LLPCS Foundation)
Series 2005A
4.60%, 7/01/15 (a)(d)(e)(f)		55		550
School District of Philadelphia (The)
Series 2018A
5.00%, 9/01/34		1,000		1,141,070
				2,873,216
Puerto Rico - 0.2%
Puerto Rico Industrial Tourist Educational Medical & Envirml Ctl Facs Fing Auth (AES Puerto Rico LP)
Series 2000
6.625%, 6/01/26		190		170,050
Tennessee - 0.6%
Bristol Industrial Development Board (Bristol Industrial Development Board Sales Tax)
Series 2016A
5.125%, 12/01/42 (a)(b)		280		271,762
Memphis-Shelby County Industrial Development Board (Graceland, Inc.)
Series 2017A
5.50%, 7/01/37 (a)		100		107,149
Tennessee Housing Development Agency
Series 2017
4.00%, 7/01/48		300		316,938
				695,849
Texas - 4.2%
City of Houston TX
Series 2017A
5.00%, 3/01/26		405		473,676
City of San Antonio TX Electric & Gas Systems
Revenue
Series 2012
5.25%, 2/01/24		855		993,989
Harris County-Houston Sports Authority
AGM Series 2014A
5.00%, 11/15/25		615		706,020

	Principal Amount (000)		U.S. $ Value
Irving Hospital Authority (Baylor Medical Center at Irving)
Series 2017A
5.00%, 10/15/44	$	500	$	546,085
Mission Economic Development Corp. (Natgasoline LLC)
Series 2016A
5.75%, 10/01/31 (b)		360		373,180
New Hope Cultural Education Facilities Finance Corp. (Longhorn Village)
Series 2017
5.00%, 1/01/37 (a)		325		343,070
Red River Education Finance Corp. (St. Edward’s University, Inc.)
Series 2016
5.00%, 6/01/46		90		98,879
Tarrant County Cultural Education Facilities Finance Corp. (CC Young Memorial Home Obligated Group)
Series 2017A
6.375%, 2/15/48 (a)		230		249,867
Tarrant County Cultural Education Facilities Finance Corp. (Trinity Terrace Project)
Series 2014A-1
5.00%, 10/01/44		300		317,979
Uptown Development Authority
Series 2017A
5.00%, 9/01/40		625		694,419
				4,797,164
Vermont - 0.4%
Vermont Economic Development Authority (Casella Waste Systems, Inc.)
Series 2013
4.625%, 4/01/36 (b)		100		100,269
Vermont Economic Development Authority (Wake Robin Corp.)
Series 2017A
5.00%, 5/01/47 (a)		335		352,189
				452,458
Virginia - 1.4%
Henrico County Economic Development Authority (LifeSpire of Virginia Obligated Group)
Series 2017C
5.00%, 12/01/47 (a)		325		343,876
Richmond Redevelopment & Housing Authority (American Tobacco Holdings LLC)
Series 2017
5.55%, 1/01/37 (a)(b)		220		224,884
Tobacco Settlement Financing Corp./VA
Series 2007B-1
5.00%, 6/01/47		510		509,990

	Principal Amount (000)		U.S. $ Value
Virginia Public School Authority (Virginia Public School Authority State Lease)
Series 2018V
5.00%, 4/15/22	$	500	$	556,090
				1,634,840
Washington - 0.8%
Kalispel Tribe of Indians
Series 2018B
5.25%, 1/01/38 (a)(h)		155		158,982
Washington State Housing Finance Commission (Mirabella)
Series 2012A
6.75%, 10/01/47 (a)(b)		340		370,569
Washington State Housing Finance Commission (Presbyterian Retirement Communities Northwest Obligated Group)
Series 2016A
5.00%, 1/01/46 (b)		315		331,358
				860,909
West Virginia - 0.1%
West Virginia Economic Development Authority (Morgantown Energy Associates)
Series 2016
2.875%, 12/15/26		105		103,593
Wisconsin - 1.9%
City of Milwaukee WI
Series 2018N
5.00%, 4/01/22		865		960,747
Wisconsin Public Finance Authority (American Dream at Meadowlands Project)
Series 2017
7.00%, 12/01/50 (a)(b)		325		375,775
Wisconsin Public Finance Authority (Bancroft Neurohealth/Bancroft Rehabilitation Services Obligated Group)
Series 2016
5.125%, 6/01/48 (a)(b)		160		162,357
Wisconsin Public Finance Authority (Celanese US Holdings LLC)
Series 2016A
5.00%, 1/01/24		265		292,589
Wisconsin Public Finance Authority (Gannon University)
Series 2017
5.00%, 5/01/42-5/01/47		410		436,730
				2,228,198
Total Municipal Obligations (cost $63,855,169)				64,975,188

Company	Shares		U.S. $ Value
COMMON STOCKS - 25.8%
Energy - 4.0%
Oil, Gas & Consumable Fuels - 4.0%
Cameco Corp.		1,261	$	13,042
Enagas SA		885		23,606
Exxon Mobil Corp.		13,272		1,078,217
Galp Energia SGPS SA		1,479		27,455
Keyera Corp.		774		21,699
Marathon Petroleum Corp.		1,518		119,967
Phillips 66		1,377		160,407
Repsol SA		28,589		544,847
Royal Dutch Shell PLC-Class B		29,580		1,056,489
Snam SpA		7,321		29,962
TOTAL SA		19,426		1,180,982
TransCanada Corp.		2,758		115,459
Valero Energy Corp.		1,343		162,772
				4,534,904
Consumer Staples - 3.6%
Beverages - 0.7%
Anheuser-Busch InBev SA/NV		2,411		226,114
Coca-Cola Co. (The)		12,675		545,025
				771,139
Food & Staples Retailing - 0.2%
ICA Gruppen AB		4		123
Jeronimo Martins SGPS SA		655		10,281
Koninklijke Ahold Delhaize NV		4,095		94,074
Lenta Ltd. (GDR) (b)(e)		1		6
Wesfarmers Ltd.		3,590		123,519
				228,003
Food Products - 0.8%
Archer-Daniels-Midland Co.		1,747		76,379
General Mills, Inc.		1,827		77,264
Nestle SA (REG)		9,832		743,126
Orkla ASA		3,037		27,394
WH Group Ltd. (b)		32,164		32,953
				957,116
Household Products - 0.6%
Kimberly-Clark Corp.		1,119		112,851
Procter & Gamble Co. (The)		7,995		584,994
				697,845
Personal Products - 0.4%
Unilever NV		5,207		290,388
Unilever PLC		3,879		213,865
				504,253
Tobacco - 0.9%
Altria Group, Inc.		5,961		332,266
Imperial Brands PLC		3,035		109,220
Japan Tobacco, Inc.		4,023		108,390
Philip Morris International, Inc.		4,904		390,064

Company	Shares		U.S. $ Value
Swedish Match AB		524	$	24,853
				964,793
				4,123,149
Health Care - 3.3%
Biotechnology - 0.6%
AbbVie, Inc.		5,050		499,647
Gilead Sciences, Inc.		4,035		271,959
				771,606
Health Care Equipment & Supplies - 0.1%
Koninklijke Philips NV		2,979		122,681
Health Care Providers & Services - 0.1%
Cardinal Health, Inc.		953		49,642
Sonic Healthcare Ltd.		1,471		26,138
				75,780
Pharmaceuticals - 2.5%
AstraZeneca PLC		4,008		292,407
Merck & Co., Inc.		8,528		507,672
Novartis AG (REG)		7,039		523,299
Pfizer, Inc.		18,810		675,843
Roche Holding AG		2,222		476,423
Sanofi		3,596		275,647
Takeda Pharmaceutical Co., Ltd.		2,253		91,589
				2,842,880
				3,812,947
Financials - 3.0%
Banks - 1.1%
Bank of Montreal		2,054		159,111
Bank of Nova Scotia (The)		3,793		228,879
BOC Hong Kong Holdings Ltd.		13,616		68,157
Canadian Imperial Bank of Commerce		1,381		120,568
DBS Group Holdings Ltd.		5,678		119,468
Hang Seng Bank Ltd.		2,522		62,879
Oversea-Chinese Banking Corp., Ltd.		9,958		92,844
Royal Bank of Canada		4,616		348,888
United Overseas Bank Ltd.		4,228		88,481
				1,289,275
Capital Markets - 0.4%
3i Group PLC		3,068		38,814
ASX Ltd.		716		32,709
CI Financial Corp.		930		18,032
CME Group, Inc.-Class A		1,076		175,280
Invesco Ltd.		1,280		34,969
Investec PLC		2,337		17,232
Singapore Exchange Ltd.		2,832		15,285
T. Rowe Price Group, Inc.		759		92,158
				424,479
Diversified Financial Services - 0.0%
Standard Life Aberdeen PLC		8,525		39,657

Company	Shares		U.S. $ Value
Insurance - 1.5%
Admiral Group PLC		789	$	20,178
Allianz SE (REG)		1,393		287,003
Arthur J Gallagher & Co.		562		37,249
AXA SA		6,140		153,841
Baloise Holding AG (REG)		135		19,833
Cincinnati Financial Corp.		491		34,061
Direct Line Insurance Group PLC		3,771		17,900
Gjensidige Forsikring ASA		373		5,755
Great-West Lifeco, Inc.		1,064		27,006
Hannover Rueck SE (REG)		177		22,335
Insurance Australia Group Ltd.		8,658		53,014
Legal & General Group PLC		19,898		71,270
Manulife Financial Corp.		6,263		118,150
Medibank Pvt Ltd.		9,393		20,757
MS&AD Insurance Group Holdings, Inc.		1,540		48,860
Muenchener Rueckversicherungs-Gesellschaft AG in Muenchen (REG)		492		101,136
Power Corp. of Canada		1,025		23,882
Power Financial Corp.		898		22,377
Principal Financial Group, Inc.		947		52,842
QBE Insurance Group Ltd.		5,074		36,238
Sampo Oyj-Class A		1,515		74,817
SCOR SE		637		23,468
Sun Life Financial, Inc.		1,923		79,480
Swiss Life Holding AG (e)		103		35,132
Swiss Re AG		996		85,647
Tokio Marine Holdings, Inc.		2,146		102,931
Tryg A/S		386		8,885
Zurich Insurance Group AG		458		135,734
				1,719,781
				3,473,192
Materials - 2.4%
Chemicals - 0.9%
BASF SE		2,908		287,121
DowDuPont, Inc.		7,387		473,580
Evonik Industries AG		582		20,418
Givaudan SA (REG)		28		62,395
LyondellBasell Industries NV-Class A		1,065		119,408
Mosaic Co. (The)		969		26,638
Nutrien Ltd.		999		50,551
				1,040,111
Construction Materials - 0.0%
Fletcher Building Ltd.		2,993		13,798
Containers & Packaging - 0.1%
Amcor Ltd./Australia		4,298		45,609
International Paper Co.		1,196		63,986
				109,595
Metals & Mining - 1.3%
Antofagasta PLC		24,680		345,582
Boliden AB		9,972		351,653
Fortescue Metals Group Ltd.		5,694		20,072
Rio Tinto Ltd.		1,333		83,222

Company	Shares		U.S. $ Value
Rio Tinto PLC		12,953	$	730,565
				1,531,094
Paper & Forest Products - 0.1%
Stora Enso Oyj-Class R		2,014		41,314
UPM-Kymmene Oyj		1,755		64,420
				105,734
				2,800,332
Information Technology - 2.4%
Communications Equipment - 0.7%
Cisco Systems, Inc.		15,602		666,361
Nokia Oyj		18,478		106,248
				772,609
IT Services - 0.4%
International Business Machines Corp.		2,758		389,733
Paychex, Inc.		973		63,809
Western Union Co. (The)-Class W		1,355		26,951
				480,493
Semiconductors & Semiconductor Equipment - 1.0%
Intel Corp.		14,660		809,232
Maxim Integrated Products, Inc.		919		53,899
QUALCOMM, Inc.		4,558		264,911
				1,128,042
Software - 0.0%
CA, Inc.		918		32,810
Technology Hardware, Storage & Peripherals - 0.3%
Canon, Inc.		3,378		115,188
HP, Inc.		5,330		117,420
Seagate Technology PLC		929		52,349
				284,957
				2,698,911
Consumer Discretionary - 2.0%
Auto Components - 0.1%
Bridgestone Corp.		2,059		82,404
Cie Generale des Etablissements Michelin SCA-Class B		536		69,296
Nokian Renkaat Oyj		431		16,700
				168,400
Automobiles - 0.5%
Daimler AG (REG)		3,048		220,188
General Motors Co.		3,980		169,946
Nissan Motor Co., Ltd.		7,200		71,411
Subaru Corp.		1,867		56,936
				518,481
Distributors - 0.0%
Genuine Parts Co.		468		42,490

Company	Shares		U.S. $ Value
Diversified Consumer Services - 0.0%
H&R Block, Inc.		743	$	20,395
Hotels, Restaurants & Leisure - 0.5%
Darden Restaurants, Inc.		393		34,352
Las Vegas Sands Corp.		1,253		101,004
McDonald’s Corp.		2,483		397,305
Sands China Ltd.		7,638		45,510
TUI AG		1,306		30,301
				608,472
Household Durables - 0.2%
Barratt Developments PLC		3,632		26,320
Berkeley Group Holdings PLC		362		20,417
Electrolux AB-Class B		683		16,859
Garmin Ltd.		343		20,611
Leggett & Platt, Inc.		344		14,207
Newell Brands, Inc.		1,536		36,219
Persimmon PLC		933		35,106
Sekisui House Ltd.		2,060		36,615
Taylor Wimpey PLC		9,380		23,684
				230,038
Media - 0.3%
Interpublic Group of Cos., Inc. (The)		1,152		26,035
ITV PLC		12,502		26,966
Omnicom Group, Inc.		755		54,420
Pearson PLC		2,270		27,210
ProSiebenSat.1 Media SE		649		19,082
Publicis Groupe SA		674		47,043
SES SA		1,219		21,125
Shaw Communications, Inc.-Class B		1,222		24,598
Singapore Press Holdings Ltd.		1,658		3,254
WPP PLC		3,922		64,635
				314,368
Multiline Retail - 0.2%
Kohl’s Corp.		517		34,510
Marks & Spencer Group PLC		5,528		20,832
Next PLC		443		34,122
Nordstrom, Inc.		325		15,935
Target Corp.		1,643		119,758
				225,157
Specialty Retail - 0.1%
Gap, Inc. (The)		648		18,131
Hennes & Mauritz AB-Class B		3,071		46,272
Kingfisher PLC		6,591		26,745
				91,148
Textiles, Apparel & Luxury Goods - 0.1%
Tapestry, Inc.		903		39,479
VF Corp.		1,051		85,299
				124,778
				2,343,727

Company	Shares		U.S. $ Value
Industrials - 2.0%
Aerospace & Defense - 0.3%
BAE Systems PLC		10,020	$	85,058
Lockheed Martin Corp.		801		251,947
Meggitt PLC		2,733		17,840
Singapore Technologies Engineering Ltd.		4,995		12,946
				367,791
Air Freight & Logistics - 0.1%
Deutsche Post AG (REG)		3,074		116,587
Kuehne & Nagel International AG (REG)		149		22,495
Royal Mail PLC		3,291		22,145
				161,227
Airlines - 0.0%
Japan Airlines Co., Ltd.		472		18,252
Building Products - 0.1%
Cie de Saint-Gobain		1,593		79,772
Commercial Services & Supplies - 0.0%
G4S PLC		5,674		20,331
Construction & Engineering - 0.2%
Bouygues SA		795		36,710
Skanska AB-Class B		1,257		23,152
Vinci SA		1,598		157,168
				217,030
Electrical Equipment - 0.5%
ABB Ltd. (REG)		5,754		130,173
Eaton Corp. PLC		1,408		107,825
Emerson Electric Co.		2,026		143,522
Schneider Electric SE (Paris)		1,795		155,168
				536,688
Industrial Conglomerates - 0.4%
CK Hutchison Holdings Ltd.		8,550		96,275
Siemens AG (REG)		2,375		309,532
Smiths Group PLC		1,149		26,849
				432,656
Machinery - 0.2%
ANDRITZ AG		254		12,670
Cummins, Inc.		500		71,195
IMI PLC		458		7,054
Kone Oyj-Class B		1,114		55,114
SKF AB-Class B		1,360		26,443
Wartsila Oyj Abp		1,353		28,634
				201,110
Professional Services - 0.1%
Adecco Group AG (REG)		509		30,565
Randstad NV		441		26,301
SGS SA (REG)		17		44,038
				100,904

Company	Shares		U.S. $ Value
Road & Rail - 0.0%
Aurizon Holdings Ltd.		7,064	$	22,923
ComfortDelGro Corp., Ltd.		7,910		14,481
				37,404
Trading Companies & Distributors - 0.1%
ITOCHU Corp.		4,738		88,656
Travis Perkins PLC		925		16,527
				105,183
Transportation Infrastructure - 0.0%
Auckland International Airport Ltd.		3,515		16,210
SATS Ltd.		124		476
				16,686
				2,295,034
Utilities - 1.7%
Electric Utilities - 1.2%
Alliant Energy Corp.		632		26,177
American Electric Power Co., Inc.		1,557		105,798
CK Infrastructure Holdings Ltd.		2,575		19,389
CLP Holdings Ltd.		5,389		56,582
Duke Energy Corp.		2,216		170,987
EDP-Energias de Portugal SA		8,217		32,138
Endesa SA		1,174		25,902
Eversource Energy		1,040		59,363
Fortis, Inc./Canada		1,320		42,178
Iberdrola SA		18,393		130,616
NextEra Energy, Inc.		1,486		246,394
OGE Energy Corp.		703		24,619
PG&E Corp.		1,556		67,422
Pinnacle West Capital Corp.		325		25,873
Power Assets Holdings Ltd.		4,254		29,587
PPL Corp.		2,035		55,596
Red Electrica Corp. SA		1,264		24,679
SSE PLC		3,249		59,020
Terna Rete Elettrica Nazionale SpA		5,216		27,616
Xcel Energy, Inc.		1,558		70,920
				1,300,856
Gas Utilities - 0.0%
Gas Natural SDG SA		1,296		31,813
Multi-Utilities - 0.5%
Ameren Corp.		774		45,813
CMS Energy Corp.		840		38,749
Consolidated Edison, Inc.		960		73,661
DTE Energy Co.		523		53,571
Innogy SE (b)		507		21,379
National Grid PLC		10,824		119,464
Public Service Enterprise Group, Inc.		1,584		83,920
Sempra Energy		749		79,791
WEC Energy Group, Inc.		931		58,793
				575,141
				1,907,810

Company	Shares		U.S. $ Value
Telecommunication Services - 1.2%
Diversified Telecommunication Services - 0.8%
AT&T, Inc.		19,232	$	621,578
BCE, Inc.		569		23,702
BT Group PLC		26,782		72,636
Elisa Oyj		521		23,342
HKT Trust & HKT Ltd.-Class SS		13,845		17,452
Singapore Telecommunications Ltd.		29,859		73,069
Spark New Zealand Ltd.		6,458		16,509
Swisscom AG (REG)		82		36,585
Telstra Corp., Ltd.		15,223		32,166
TELUS Corp.		540		18,987
				936,026
Wireless Telecommunication Services - 0.4%
NTT DOCOMO, Inc.		4,321		111,447
Rogers Communications, Inc.-Class B		1,175		55,143
Vodafone Group PLC		84,432		215,761
				382,351
				1,318,377
Real Estate - 0.2%
Real Estate Management & Development - 0.2%
Daito Trust Construction Co., Ltd.		260		42,377
Hang Lung Properties Ltd.		7,401		16,758
Henderson Land Development Co., Ltd.		4,329		28,376
LendLease Group		1,999		28,290
New World Development Co., Ltd.		21,542		32,897
Sino Land Co., Ltd.		10,511		18,113
Sun Hung Kai Properties Ltd.		4,940		79,464
Swire Properties Ltd.		1,986		7,777
Swiss Prime Site AG (REG) (e)		172		16,057
				270,109
Total Common Stocks (cost $28,734,465)				29,578,492
PREFERRED STOCKS - 6.5%
Real Estate - 6.5%
Diversified REITs - 1.3%
Colony NorthStar, Inc.
Series H
7.125%		8,400		192,948
Colony NorthStar, Inc.
Series I
7.15%		10,750		246,712
Global Net Lease, Inc.
Series A
7.25%		5,900		145,199
Investors Real Estate Trust
Series C
6.625%		1,675		39,781
PS Business Parks, Inc.
Series X
5.25%		10,000		229,500

Company	Shares		U.S. $ Value
PS Business Parks, Inc.
Series Y
5.20%		1,050	$	23,699
Spirit Realty Capital, Inc.
Series A
6.00%		6,800		147,628
VEREIT, Inc.
Series F
6.70%		18,500		468,050
Vornado Realty Trust
Series K
5.70%		1,600		38,624
				1,532,141
Health Care REITs - 0.1%
Ventas Realty LP/Ventas Capital Corp.
5.45%		6,600		165,000
Hotel & Resort REITs - 1.1%
Ashford Hospitality Trust, Inc.
Series F
7.375%		9,000		210,825
Ashford Hospitality Trust, Inc.
Series G
7.375%		1,000		23,435
Hersha Hospitality Trust
Series C
6.875%		1,000		24,300
Hersha Hospitality Trust
Series E
6.50%		12,600		290,304
LaSalle Hotel Properties
Series I
6.375%		4,250		106,760
LaSalle Hotel Properties
Series J
6.30%		5,600		140,112
Pebblebrook Hotel Trust
Series C
6.50%		9,900		243,936
Summit Hotel Properties, Inc.
Series E
6.25%		10,500		247,170
				1,286,842
Industrial REITs - 0.3%
Gramercy Property Trust
Series A
7.125%		300		7,668
Monmouth Real Estate Investment Corp.
Series C
6.125%		5,500		130,845
Rexford Industrial Realty, Inc.
Series B
5.875%		6,850		159,263
STAG Industrial, Inc.
Series B
6.625%		1,000		25,190
				322,966

Company	Shares		U.S. $ Value
Office REITs - 0.2%
Boston Properties, Inc.
Series B
5.25%		3,100	$	73,904
SL Green Realty Corp.
Series I
6.50%		5,100		129,642
				203,546
Residential REITs - 0.8%
American Homes 4 Rent
Series E
6.35%		4,725		117,842
American Homes 4 Rent
Series F
5.875%		9,600		227,520
Apartment Investment & Management Co.
Series A
6.875%		9,400		245,246
UMH Properties, Inc.
Series C
6.75%		10,300		261,311
UMH Properties, Inc.
Series D
6.375%		2,000		46,460
				898,379
Retail REITs - 1.6%
Cedar Realty Trust, Inc.
Series C
6.50%		8,325		162,754
DDR Corp.
Series A
6.375%		15,800		369,562
Federal Realty Investment Trust
Series C
5.00%		3,500		77,105
GGP, Inc.
Series A
6.375%		10,000		242,100
Kimco Realty Corp.
Series J
5.50%		10,200		233,172
Pennsylvania Real Estate Investment Trust
Series D
6.875%		3,000		62,970
Saul Centers, Inc.
Series D
6.125%		10,000		226,000
Taubman Centers, Inc.
Series J
6.50%		4,000		96,480
Urstadt Biddle Properties, Inc.
Series H
6.25%		8,375		194,300

Company	Shares		U.S. $ Value
Washington Prime Group, Inc.
Series H
7.50%		5,000	$	112,550
				1,776,993
Specialized REITs - 1.1%
Digital Realty Trust, Inc.
Series C
6.625%		9,100		240,331
Digital Realty Trust, Inc.
Series G
5.875%		7,800		196,482
EPR Properties
Series G
5.75%		5,575		127,667
National Storage Affiliates Trust
Series A
6.00%		2,500		61,000
Public Storage
Series C
5.125%		8,200		202,294
Public Storage
Series E
4.90%		3,100		74,090
Public Storage
Series G
5.05%		6,000		145,080
Public Storage
Series Z
6.00%		7,000		182,140
				1,229,084
Total Preferred Stocks (cost $7,842,057)				7,414,951
INVESTMENT COMPANIES - 4.8%
Funds and Investment Trusts - 4.8% (k)
iShares International Developed Real Estate ETF		4,416		132,215
iShares Mortgage Real Estate ETF		44,730		1,960,516
JPMorgan Alerian MLP Index ETN		109,167		2,963,884
PowerShares KBW Premium Yield Equity REIT Portfolio		9,208		312,796
Vanguard Real Estate ETF		2,068		163,144
Total Investment Companies (cost $5,550,032)				5,532,555

Company	Shares		U.S. $ Value
SHORT-TERM INVESTMENTS - 3.7%
Investment Companies - 3.7%
AB Fixed Income Shares, Inc. - Government Money Market Portfolio-Class AB, 1.57% (i)(j)(k) (cost $4,315,964)		4,315,964	$	4,315,964
Total Investments - 97.5% (cost $110,297,687) (l)				111,817,150
Other assets less liabilities - 2.5%				2,809,627
Net Assets - 100.0%			$	114,626,777

FUTURES

Description	Number of Contracts		Expiration Month		Notional (000)				Original Value		Value at May 31, 2018		Unrealized Appreciation/ (Depreciation)
Purchased Contracts
10 Yr Canadian Bond Futures		21		September 2018		CAD	2,100		$	2,149,923	$	2,201,712	$	51,789
Amsterdam Index Futures		1		June 2018		EUR	– 0	–**		130,995		129,110		(1,885	)
Cac40 10 Euro Futures		7		June 2018		EUR	– 0	–**		447,355		440,101		(7,254	)
DAX Index Futures		1		June 2018		EUR	– 0	–**		379,506		368,602		(10,904	)
Euro STOXX 50 Index Futures		54		June 2018		EUR	1			2,143,707		2,150,796		7,089
FTSE 100 Index Futures		15		June 2018		GBP	– 0	–**		1,495,708		1,529,418		33,710
IBEX 35 Index Futures		1		June 2018		EUR	– 0	–**		119,427		110,441		(8,986	)
Mini MSCI Emerging Markets Futures		11		June 2018		USD	1			660,442		616,935		(43,507	)
OMXS30 Index Futures		38		June 2018		SEK	4			686,222		665,068		(21,154	)
SPI 200 Futures		5		June 2018		AUD	– 0	–**		560,959		568,700		7,741
TOPIX Index Futures		15		June 2018		JPY	150			2,389,916		2,405,433		15,517
U.S. T-Note 10 Yr (CBT) Futures		85		September 2018		USD	8,500			10,250,036		10,237,188		(12,848	)
Sold Contracts
10 Yr Australian Bond Futures		15		June 2018		AUD	1,500			1,449,392		1,463,405		(14,013	)
10 Yr Japan Bond (OSE) Futures		1		June 2018		JPY	100,000			1,385,295		1,387,783		(2,488	)
Euro-Bund Futures		11		June 2018		EUR	1,100			2,044,611		2,085,049		(40,438	)
Hang Seng Index Futures		5		June 2018		HKD	– 0	–**		974,541		972,084		2,457
Long Gilt Futures		11		September 2018		GBP	1,100			1,762,626		1,805,338		(42,712	)
Mini S&P TSX 60 Futures		37		June 2018		CAD	2			1,298,782		1,354,470		(55,688	)
MSCI EAFE Futures		119		June 2018		USD	6			11,977,678		11,822,650		155,028
MSCI Singapore Index Futures		2		June 2018		SGD	– 0	–**		59,947		58,483		1,464
S&P 500 E-Mini Futures		116		June 2018		USD	6			15,743,117		15,691,900		51,217
S&P/TSX 60 Index Futures		3		June 2018		CAD	1			437,711		439,287		(1,576	)
SPI 200 Futures		3		June 2018		AUD	– 0	–**		345,273		341,220		4,053
													$	66,612

FORWARD CURRENCY EXCHANGE CONTRACTS

Counterparty	Contracts to Deliver (000)		In Exchange For (000)		Settlement Date		Unrealized Appreciation/ (Depreciation)
Bank of America, NA	TWD	71,312	USD	2,460		6/07/18	$	79,728
Bank of America, NA	USD	952	JPY	103,753		6/19/18		2,907
Bank of America, NA	USD	1,001	TRY	3,928		6/19/18		(139,615	)
Bank of America, NA	USD	615	RUB	38,043		6/26/18		(5,845	)
Bank of America, NA	USD	1,059	PHP	56,264		9/11/18		1,228
Barclays Bank PLC	USD	1,250	TWD	36,372		6/07/18		(36,052	)
Barclays Bank PLC	TRY	1,115	USD	234		6/19/18		(10,392	)
Barclays Bank PLC	USD	192	CHF	189		6/19/18		327
Barclays Bank PLC	USD	1,717	MXN	32,355		6/19/18		(99,439	)
Barclays Bank PLC	USD	980	NOK	7,619		6/19/18		(48,550	)
Barclays Bank PLC	CLP	400,426	USD	671		6/21/18		35,685
Barclays Bank PLC	CNY	6,952	USD	1,094		7/19/18		13,500
Barclays Bank PLC	KRW	348,707	USD	328		7/26/18		4,322
BNP Paribas SA	USD	521	JPY	56,813		6/19/18		1,926

Counterparty	Contracts to Deliver (000)		In Exchange For (000)		Settlement Date		Unrealized Appreciation/ (Depreciation)
BNP Paribas SA	USD	552	PEN	1,800		6/21/18	$	(2,284	)
Citibank, NA	CAD	693	USD	551		6/19/18		15,920
Citibank, NA	EUR	1,570	USD	1,937		6/19/18		99,841
Citibank, NA	GBP	744	USD	1,033		6/19/18		42,997
Citibank, NA	JPY	167,461	USD	1,554		6/19/18		13,170
Citibank, NA	USD	1,577	JPY	167,461		6/19/18		(36,210	)
Citibank, NA	USD	478	RUB	29,573		6/26/18		(4,737	)
Citibank, NA	KRW	467,164	USD	439		7/26/18		6,224
Citibank, NA	USD	1,132	INR	76,897		8/09/18		(1,079	)
Credit Suisse International	CAD	1,179	USD	919		6/19/18		9,416
Credit Suisse International	CHF	1,498	USD	1,593		6/19/18		71,145
Credit Suisse International	CLP	232,949	USD	375		6/19/18		5,431
Credit Suisse International	MXN	13,172	USD	711		6/19/18		52,052
Credit Suisse International	NOK	16,669	USD	2,127		6/19/18		88,596
Credit Suisse International	NZD	1,177	USD	821		6/19/18		(2,950	)
Credit Suisse International	PLN	712	USD	207		6/19/18		14,580
Credit Suisse International	SEK	5,981	USD	690		6/19/18		11,270
Credit Suisse International	TWD	5,466	USD	185		6/19/18		2,072
Credit Suisse International	USD	2,014	EUR	1,654		6/19/18		(77,790	)
Credit Suisse International	USD	1,667	NOK	13,243		6/19/18		(47,729	)
Credit Suisse International	USD	1,987	SEK	16,652		6/19/18		(96,280	)
Credit Suisse International	USD	231	ZAR	2,887		6/19/18		(4,229	)
Deutsche Bank AG	COP	2,081,612	USD	767		6/21/18		47,548
Deutsche Bank AG	USD	592	IDR	8,377,054		6/29/18		8,414
Deutsche Bank AG	USD	518	INR	35,237		8/09/18		222
Goldman Sachs Bank USA	EUR	1,054	USD	1,283		6/19/18		50,154
Goldman Sachs Bank USA	GBP	621	USD	858		6/19/18		31,743
Goldman Sachs Bank USA	USD	781	CAD	997		6/19/18		(11,793	)
Goldman Sachs Bank USA	USD	1,963	EUR	1,570		6/19/18		(125,579	)
Goldman Sachs Bank USA	USD	1,175	GBP	852		6/19/18		(41,534	)
Goldman Sachs Bank USA	USD	798	TRY	3,312		6/19/18		(71,422	)
Goldman Sachs Bank USA	USD	366	IDR	5,076,983		7/26/18		(3,318	)
HSBC Bank USA	USD	1,040	GBP	744		6/19/18		(50,194	)
Morgan Stanley & Co., Inc.	SEK	17,239	USD	2,100		6/19/18		143,524
Morgan Stanley & Co., Inc.	USD	552	CAD	693		6/19/18		(17,421	)
Morgan Stanley & Co., Inc.	USD	1,555	JPY	165,052		6/19/18		(35,837	)
Royal Bank of Scotland PLC	PEN	5,746	USD	1,777		6/21/18		22,769
Standard Chartered Bank	USD	304	CNY	1,925		7/19/18		(5,167	)
State Street Bank & Trust Co.	AUD	628	USD	489		6/19/18		14,520
State Street Bank & Trust Co.	AUD	926	USD	700		6/19/18		(695	)
State Street Bank & Trust Co.	CAD	454	USD	353		6/19/18		2,931
State Street Bank & Trust Co.	CHF	416	USD	447		6/19/18		24,766
State Street Bank & Trust Co.	CHF	388	USD	390		6/19/18		(4,293	)
State Street Bank & Trust Co.	CZK	3,125	USD	152		6/19/18		10,720
State Street Bank & Trust Co.	GBP	231	USD	328		6/19/18		20,408
State Street Bank & Trust Co.	HUF	106,643	USD	424		6/19/18		33,705
State Street Bank & Trust Co.	NZD	1,086	USD	789		6/19/18		28,325
State Street Bank & Trust Co.	PLN	1,533	USD	451		6/19/18		35,738
State Street Bank & Trust Co.	THB	20,371	USD	647		6/19/18		10,137
State Street Bank & Trust Co.	USD	759	AUD	968		6/19/18		(26,736	)
State Street Bank & Trust Co.	USD	346	CAD	442		6/19/18		(4,842	)
State Street Bank & Trust Co.	USD	659	CHF	613		6/19/18		(36,631	)
State Street Bank & Trust Co.	USD	145	CZK	3,086		6/19/18		(5,163	)

Counterparty	Contracts to Deliver (000)		In Exchange For (000)		Settlement Date		Unrealized Appreciation/ (Depreciation)
State Street Bank & Trust Co.	USD	261	EUR	218		6/19/18	$	(5,968	)
State Street Bank & Trust Co.	USD	113	GBP	82		6/19/18		(3,979	)
State Street Bank & Trust Co.	USD	178	NOK	1,379		6/19/18		(9,532	)
State Street Bank & Trust Co.	USD	491	NZD	678		6/19/18		(15,752	)
State Street Bank & Trust Co.	USD	226	PLN	767		6/19/18		(17,919	)
State Street Bank & Trust Co.	USD	175	THB	5,583		6/19/18		(764	)
State Street Bank & Trust Co.	USD	258	ZAR	3,162		6/19/18		(9,768	)
State Street Bank & Trust Co.	ZAR	8,545	USD	703		6/19/18		33,443
State Street Bank & Trust Co.	MYR	706	USD	183		7/12/18		6,021
State Street Bank & Trust Co.	USD	253	MYR	996		7/12/18		(4,037	)
UBS AG	JPY	108,935	USD	1,022		6/19/18		20,027
							$	(4,073	)

CALL OPTIONS WRITTEN

Description	Counterparty		Contracts		Exercise Price		Expiration Month		Notional (000)			Premiums Received		U.S. $ Value
Euro STOXX 50 Index		Citibank, NA		560	EUR	3,425.00		July 2018	EUR	1		$	40,720	$	(38,129	)
FTSE 100 Index		Citibank, NA		110	GBP	7,700.00		June 2018	GBP	– 0	–**		13,507		(8,340	)
Nikkei 225 Index		Goldman Sachs International		5,000	JPY	22,250.00		July 2018	JPY	5			21,833		(17,434	)
S&P 500 Index		Goldman Sachs International		2,100	USD	2,725.00		June 2018	USD	2			83,286		(34,311	)
S&P 500 Index		Goldman Sachs International		500	USD	2,620.00		June 2018	USD	1			20,385		(46,944	)
												$	179,731	$	(145,158	)

PUT OPTIONS WRITTEN

Description	Counterparty		Contracts		Exercise Price		Expiration Month		Notional (000)			Premiums Received		U.S. $ Value
Euro STOXX 50 Index		Citibank, NA		560	EUR	3,425.00		July 2018	EUR	1		$	57,611	$	(57,176	)
FTSE 100 Index		Citibank, NA		110	GBP	7,700.00		June 2018	GBP	– 0	–**		9,698		(13,388	)
Nikkei 225 Index		Goldman Sachs International		5,000	JPY	22,250.00		July 2018	JPY	5			19,229		(21,086	)
S&P 500 Index		Goldman Sachs International		500	USD	2,620.00		June 2018	USD	1			30,495		(3,803	)
S&P 500 Index		Goldman Sachs International		2,100	USD	2,725.00		June 2018	USD	2			73,406		(73,455	)
												$	190,439	$	(168,908	)

CENTRALLY CLEARED INTEREST RATE SWAPS

				Rate Type
Notional Amount (000)		Termination Date		Payments made by the Fund			Payments received by the Fund			Payment Frequency Paid/Received		Market Value			Upfront Premiums Paid (Received)			Unrealized Appreciation/ (Depreciation)
NOK	7,850		4/27/27		6 Month NIBOR			1.935	%		Semi-Annual/Annual	$	(12,104	)	$	– 0	–	$	(12,104	)
CHF	20		11/03/27		0.263	%		6 Month LIBOR			Annual/Semi-Annual		124			– 0	–		124
SEK	7,060		12/06/27		3 Month STIBOR			1.083	%		Quarterly/Annual		3,978			(4	)		3,982
NOK	3,430		12/06/27		6 Month NIBOR			1.795	%		Semi-Annual/Annual		(10,091	)		– 0	–		(10,091	)
NZD	820		3/05/28		3 Month BKBM			3.195	%		Quarterly/Semi-Annual		7,570			– 0	–		7,570
NOK	3,990		5/15/28		6 Month NIBOR			2.234	%		Semi-Annual/Annual		4,008			– 0	–		4,008
CHF	930		5/15/28		0.490	%		6 Month LIBOR			Annual/Semi-Annual		(9,955	)		4			(9,959	)
NZD	420		5/15/28		3 Month BKBM			3.156	%		Quarterly/Semi-Annual		1,954			– 0	–		1,954
												$	(14,516	)	$	– 0	–	$	(14,516	)

CREDIT DEFAULT SWAPS

Swap Counterparty & Referenced Obligation	Fixed Rate (Pay) Receive			Payment Frequency		Implied Credit Spread at May 31, 2018			Notional Amount (000)			Market Value			Upfront Premiums Paid (Received)			Unrealized Appreciation/ (Depreciation)
Sale Contracts
Credit Suisse International
CDX-CMBX.NA.A Series 6, 5/11/63*		2.00	%		Monthly		2.30	%		USD	155	$	(1,646	)	$	(9,286	)	$	7,640
CDX-CMBX.NA.A Series 6, 5/11/63*		2.00			Monthly		2.30			USD	122		(1,291	)		(6,880	)		5,589
CDX-CMBX.NA.A Series 6, 5/11/63*		2.00			Monthly		2.30			USD	72		(765	)		(2,938	)		2,173
Deutsche Bank AG
CDX-CMBX.NA.A Series 6, 5/11/63*		2.00			Monthly		2.30			USD	166		(1,763	)		(9,989	)		8,226
Goldman Sachs International
CDX-CMBX.NA.A Series 6, 5/11/63*		2.00			Monthly		2.30			USD	63		(670	)		(3,641	)		2,971

Swap Counterparty & Referenced Obligation	Fixed Rate (Pay) Receive			Payment Frequency				Implied Credit Spread at May 31, 2018		Notional Amount (000)		Market Value			Upfront Premiums Paid (Received)			Unrealized Appreciation/ (Depreciation)
CDX-CMBX.NA.A Series 6, 5/11/63*		2.00	%		Monthly	2.30	%		USD		62	$	(659	)	$	(3,352	)	$	2,693
CDX-CMBX.NA.A Series 6, 5/11/63*		2.00			Monthly	2.30			USD		88		(940	)		(3,495	)		2,555
CDX-CMBX.NA.BBB- Series 6, 5/11/63*		3.00			Monthly	6.15			USD		149		(16,658	)		(22,366	)		5,708
Morgan Stanley Capital Services LLC
CDX-CMBX.NA.A Series 6, 5/11/63*		2.00			Monthly	2.30			USD		24		(255	)		(984	)		729
												$	(24,647	)	$	(62,931	)	$	38,284

* Termination date

TOTAL RETURN SWAPS

Counterparty & Referenced Obligation

# of Shares or Units

Rate Paid/ Received

Payment Frequency

Notional Amount (000)

Maturity Date

Unrealized Appreciation/ (Depreciation)

Receive Total Return on Reference Obligation

Bank of America, NA

iBoxx $ Liquid High Yield Index

5,800,000

LIBOR

Quarterly

USD

5,800

6/20/18

$

(32,769

)

Pay Total Return on Reference Obligation

Morgan Stanley Capital Services, Inc.

MSABILN7

39,695,758

Fed Fund Effective 55

Maturity

USD

39,696

6/29/18

– 0

–

$

(32,769

)

** Notional amount less than 500.

(a) Security in which significant unobservable inputs (Level 3) were used in determining fair value.

(b) 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, 2018, the aggregate market value of these securities amounted to $5,451,906 or 4.8% of net assets.

(c) Defaulted.

(d) Illiquid security.

(e) Non-income producing security.

(f) Defaulted matured security.

(g) An auction rate security whose interest rate resets at each auction date. Auctions are typically held every week or month. The rate shown is as of May 31, 2018 and the aggregate market value of these securities amounted to $771,988 or 0.67% of net assets.

(h) When-Issued or delayed delivery security.

(i) Affiliated investments.

(j) The rate shown represents the 7-day yield as of period end.

(k) To obtain a copy of the fund’s shareholder report, please go to the Securities and Exchange Commission’s website at www.sec.gov. Additionally, shareholder reports for AB funds can be obtained by calling AB at (800) 227-4618.

(l) As of May 31, 2018, the cost basis of investment securities owned was substantially identical for both book and tax purposes. Gross unrealized appreciation of investments was $5,724,229 and gross unrealized depreciation of investments was $(4,095,125), resulting in net unrealized appreciation of $1,629,104.

As of May 31, 2018, the Fund’s percentages of investments in municipal bonds that are insured and in insured municipal bonds that have been pre-refunded or escrowed to maturity are 4.6% and 0.0%, respectively.

Currency Abbreviations:

AUD	-	Australian Dollar
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:

AGM	-	Assured Guaranty Municipal
AMBAC	-	Ambac Assurance Corporation
ASX	-	Australian Stock Exchange
BKBM	-	Bank Bill Benchmark (New Zealand)
CBT	-	Chicago Board of Trade
CDX-CMBX.NA	-	North American Commercial Mortgage-Backed Index
COP	-	Certificate of Participation
DAX	-	Deutscher Aktien Index (German Stock Index)
EAFE	-	Europe, Australia, and Far East
ETF	-	Exchange Traded Fund
ETM	-	Escrowed to Maturity
ETN	-	Exchange Traded Note
FTSE	-	Financial Times Stock Exchange
GDR	-	Global Depositary Receipt
IBEX	-	International Business Exchange
LIBOR	-	London Interbank Offered Rates
MSCI	-	Morgan Stanley Capital International

NIBOR	-	Norwegian Interbank Offered Rate
OMXS	-	Stockholm Stock Exchange
OSE	-	Osaka Securities Exchange
REG	-	Registered Shares
REIT	-	Real Estate Investment Trust
SPI	-	Share Price Index
STIBOR	-	Stockholm Interbank Offered Rate
TOPIX	-	Tokyo Price Index
TSX	-	Toronto Stock Exchange
XLCA	-	XL Capital Assurance Inc.

The following table represents the 50 largest equity basket holdings underlying the total return swap with MSABILN7 as of May 31, 2018.

Security Description	Shares		Market Value as of 5/31/18		Percent of Basket’s Net Assets
Nice Ltd.		13,719	$	513,231,365		23.3	%
Nippon Telegraph & Telephone Corp.		33,882		172,999,097		7.8	%
Oracle Corp Japan		18,788		155,750,038		7.1	%
Royal Dutch Shell PLC		57,710		154,490,351		7.0	%
Otsuka Corp.		25,884		116,347,606		5.3	%
Croda International PLC		22,367		104,275,109		4.7	%
Mitsubishi UFJ Financial Group Inc.		147,939		97,018,531		4.4	%
British American Tobacco PLC		23,881		92,397,456		4.2	%
Intertek Group PLC		15,723		85,942,990		3.9	%
Next PLC		13,896		80,597,463		3.7	%
Moneysupermarket.com Group PLC		235,728		74,702,138		3.4	%
Diageo PLC		26,360		72,818,346		3.3	%
IG Group Holdings PLC		65,074		56,256,182		2.5	%
Auto Trader Group PLC		151,711		53,493,423		2.4	%
Persimmon PLC		18,744		53,082,887		2.4	%
Compass Group PLC		30,318		49,039,315		2.2	%
Unilever PLC		10,408		43,155,059		2.0	%
Indivior PLC		83,530		40,169,527		1.8	%
Daiichikosho Co Ltd.		7,591		38,560,994		1.7	%
Direct Line Insurance Group PLC		90,244		32,262,158		1.5	%
HKT Trust & HKT Ltd.		1,329,225		13,092,869		0.6	%
Hang Seng Bank Ltd.		55,899		10,972,881		0.5	%
Salmar ASA		29,398		10,495,046		0.5	%
DNB ASA		41,668		6,104,434		0.3	%
Telenor ASA		33,922		5,717,549		0.3	%
Tryg A/S		33,326		4,888,920		0.2	%
Royal Unibrew A/S		7,442		3,401,044		0.2	%
Aristocrat Leisure Ltd.		84,867		2,549,420		0.1	%
Total System Services Inc.		29,208		2,488,213		0.1	%
UnitedHealth Group Inc.		9,164		2,213,275		0.1	%
Oracle Corp.		39,946		1,866,293		0.1	%
Raytheon Co.		8,827		1,849,341		0.1	%
Toronto-Dominion Bank/The		24,336		1,842,208		0.1	%
Microsoft Corp.		18,320		1,810,775		0.1	%
Anthem Inc.		7,670		1,698,260		0.1	%
Royal Bank of Canada		15,900		1,558,156		0.1	%
Swiss Re AG		17,054		1,452,668		0.1	%
Booz Allen Hamilton Holding Corp.		31,990		1,442,428		0.1	%
Apple Inc.		7,638		1,427,244		0.1	%
Boeing Co./The		4,004		1,409,920		0.1	%

Security Description	Shares		Market Value as of 5/31/18		Percent of Basket’s Net Assets
Amadeus IT Group SA		20,436	$	1,387,590		0.1	%
Ross Stores Inc.		16,613		1,310,466		0.1	%
DBS Group Holdings Ltd.		45,859		1,301,021		0.1	%
Amcor Ltd./Australia		91,305		1,283,755		0.1	%
Tyson Foods Inc.		18,554		1,251,822		0.1	%
Comcast Corp.		40,086		1,249,867		0.1	%
Fidelity National Information Services Inc.		11,672		1,193,103		0.1	%
FNF Group		32,225		1,191,019		0.1	%
Texas Instruments Inc.		10,352		1,158,525		0.1	%
Marsh & McLennan Cos., Inc.		14,404		1,157,645		0.1	%
Other		584,597		29,146,075		0.5	%
Total			$	2,206,501,867		100.0	%

AB Tax-Managed All Market Income Portfolio

May 31, 2018 (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 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.

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.

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.

The following table summarizes the valuation of the Fund’s investments by the above fair value hierarchy levels as of May 31, 2018:

Investments in Securities:	Level 1			Level 2		Level 3			Total
Assets:
Long-Term Municipal Bonds	$	– 0	–	$	56,758,127	$	8,217,061		$	64,975,188
Common Stocks:
Energy		1,671,563			2,863,341		– 0	–		4,534,904
Consumer Staples		2,118,849			2,004,300		– 0	–		4,123,149
Health Care		2,004,763			1,808,184		– 0	–		3,812,947
Financials		1,572,932			1,900,260		– 0	–		3,473,192
Materials		734,163			2,066,169		– 0	–		2,800,332
Information Technology		2,477,475			221,436		– 0	–		2,698,911
Consumer Discretionary		1,300,966			1,042,761		– 0	–		2,343,727

Industrials		574,489			1,720,545			– 0	–		2,295,034
Utilities		1,359,212			548,598			– 0	–		1,907,810
Telecommunication Services		719,410			598,967			– 0	–		1,318,377
Real Estate		– 0	–		270,109			– 0	–		270,109
Preferred Stocks		7,414,951			– 0	–		– 0	–		7,414,951
Investment Companies		5,532,555			– 0	–		– 0	–		5,532,555
Short-Term Investments		4,315,964			– 0	–		– 0	–		4,315,964
Total Investments in Securities		31,797,292			71,802,797			8,217,061			111,817,150
Other Financial Instruments(a):
Assets:
Futures		258,034			72,031			– 0	–		330,065
Forward Currency Exchange Contracts		– 0	–		1,117,452			– 0	–		1,117,452
Centrally Cleared Interest Rate Swaps		– 0	–		17,634			– 0	–		17,634
Liabilities:
Futures		(213,270	)		(50,183	)		– 0	–		(263,453	)
Forward Currency Exchange Contracts		– 0	–		(1,121,525	)		– 0	–		(1,121,525	)
Call Options Written		– 0	–		(145,158	)		– 0	–		(145,158	)
Put Options Written		– 0	–		(168,908	)		– 0	–		(168,908	)
Centrally Cleared Interest Rate Swaps		– 0	–		(32,150	)		– 0	–		(32,150	)
Credit Default Swaps		– 0	–		(24,647	)		– 0	–		(24,647	)
Total Return Swaps		– 0	–		(32,769	)		– 0	–		(32,769	)
Total(b)	$	31,842,056		$	71,434,574		$	8,217,061		$	111,493,691

(a) Other financial instruments are derivative instruments, such as futures, forwards and swaps, which are valued at the unrealized appreciation/(depreciation) on the instrument. Other financial instruments may also include swaps with upfront premiums, options written and swaptions written which are valued at market value.

(b) There were de minimis transfers under 1% of net assets between Level 1 and Level 2 during the reporting period.

The Fund recognizes all transfers between levels of the fair value hierarchy assuming the financial instruments were transferred at the beginning of the reporting period.

The following is a reconciliation of investments in which significant unobservable inputs (Level 3) were used in determining fair value.

	Long-Term Municipal Bonds			Total
Balance as of 8/31/17	$	3,654,007		$	3,654,007
Accrued discounts/(premiums)		9,053			9,053
Realized gain (loss)		9,502			9,502
Change in unrealized appreciation/depreciation		7,569			7,569
Purchases		4,858,054			4,858,054
Sales		(338,785	)		(338,785	)
Transfers in to Level 3		291,688			291,688
Transfers out of Level 3		(274,027	)		(274,027	)
Balance as of 5/31/18	$	8,217,061		$	8,217,061	(a)
Net change in unrealized appreciation/depreciation from investments held as of 5/31/18	$	16,869		$	16,869

(a) There were de minimis transfers under 1% of net assets during the reporting period.

As of May 31, 2018, all Level 3 securities were priced by third party vendors.

The Adviser established the Valuation Committee (the “Committee”) to oversee the pricing and valuation of all securities held in the Fund. The Committee operates under pricing and valuation policies and procedures established by the Adviser and approved by the Board, including pricing policies which set forth the mechanisms and processes to be employed on a daily basis to implement these policies and procedures. In particular, the pricing policies describe how to determine market quotations for securities and other instruments. The Committee’s responsibilities include: 1) fair value and liquidity determinations (and oversight of any third parties to whom any responsibility for fair value

and liquidity determinations is delegated), and 2) regular monitoring of the Adviser’s pricing and valuation policies and procedures and modification or enhancement of these policies and procedures (or recommendation of the modification of these policies and procedures) as the Committee believes appropriate.

The Committee is also responsible for monitoring the implementation of the pricing policies by the Adviser’s Pricing Group (the “Pricing Group”) and any third party which performs certain pricing functions in accordance with the pricing policies. The Pricing Group is responsible for the oversight of the third party on a day-to-day basis. The Committee and the Pricing Group perform a series of activities to provide reasonable assurance of the accuracy of prices including: 1) periodic vendor due diligence meetings, review of methodologies, new developments and process at vendors, 2) daily comparison of security valuation versus prior day for all securities that exceeded established thresholds, and 3) daily review of unpriced, stale, and variance reports with exceptions reviewed by senior management and the Committee.

In addition, several processes outside of the pricing process are used to monitor valuation issues including: 1) performance and performance attribution reports are monitored for anomalous impacts based upon benchmark performance, and 2) portfolio managers review all portfolios for performance and analytics (which are generated using the Adviser’s prices).

A summary of the Fund’s transactions in AB mutual funds for the nine months ended May 31, 2018 is as follows:

Fund	Market Value 8/31/17 (000)		Purchases at Cost (000)		Sales Proceeds (000)		Market Value 5/31/18 (000)		Dividend Income (000)
Government Money Market Portfolio	$	852	$	64,510	$	61,046	$	4,316	$	20

AB Tax-Managed Wealth Appreciation Strategy

Portfolio of Investments

May 31, 2018 (unaudited)

Company	Shares		U.S. $ Value
COMMON STOCKS - 52.9%
Information Technology - 15.5%
Communications Equipment - 0.9%
Cisco Systems, Inc.		107,060	$	4,572,533
Nokia Oyj (Sponsored ADR)-Class A		384,028		2,223,522
				6,796,055
Electronic Equipment, Instruments & Components - 0.5%
CDW Corp./DE		46,013		3,683,341
Internet Software & Services - 4.6%
Alphabet, Inc.-Class A (a)		1,345		1,479,500
Alphabet, Inc.-Class C (a)		14,189		15,394,923
eBay, Inc. (a)		67,379		2,541,536
Facebook, Inc.-Class A (a)		75,057		14,394,431
				33,810,390
IT Services - 2.0%
Cognizant Technology Solutions Corp.-Class A		38,105		2,871,212
Total System Services, Inc.		28,288		2,409,855
Visa, Inc.-Class A		70,464		9,211,054
				14,492,121
Semiconductors & Semiconductor Equipment - 1.9%
Intel Corp.		97,816		5,399,443
Texas Instruments, Inc.		37,673		4,215,985
Xilinx, Inc.		59,159		4,029,320
				13,644,748
Software - 3.0%
Adobe Systems, Inc. (a)		10,938		2,726,625
Electronic Arts, Inc. (a)		4,384		573,909
Microsoft Corp.		111,729		11,043,294
Oracle Corp.		157,911		7,377,602
				21,721,430
Technology Hardware, Storage & Peripherals - 2.6%
Apple, Inc.		72,653		13,576,666
HP, Inc.		154,028		3,393,237
Xerox Corp.		73,806		2,006,047
				18,975,950
				113,124,035
Financials - 8.5%
Banks - 4.4%
Bank of America Corp.		372,263		10,810,517
Citigroup, Inc.		75,798		5,054,969
JPMorgan Chase & Co.		90,932		9,730,633
Wells Fargo & Co.		124,133		6,701,941
				32,298,060
Capital Markets - 1.5%
CME Group, Inc.-Class A		15,540		2,531,466
Goldman Sachs Group, Inc. (The)		20,501		4,630,766

Company	Shares		U.S. $ Value
S&P Global, Inc.		18,247	$	3,603,782
				10,766,014
Consumer Finance - 0.5%
Capital One Financial Corp.		4,640		436,160
Synchrony Financial		101,334		3,509,196
				3,945,356
Insurance - 2.1%
Allstate Corp. (The)		9,497		887,780
American International Group, Inc.		71,030		3,749,674
Everest Re Group Ltd.		17,250		3,886,253
FNF Group		44,313		1,637,808
Progressive Corp. (The)		79,871		4,959,190
				15,120,705
				62,130,135
Health Care - 7.2%
Biotechnology - 1.1%
Biogen, Inc. (a)		14,535		4,272,709
Gilead Sciences, Inc.		49,633		3,345,264
				7,617,973
Health Care Equipment & Supplies - 1.3%
Edwards Lifesciences Corp. (a)		31,487		4,323,480
Intuitive Surgical, Inc. (a)		4,771		2,193,086
Medtronic PLC		30,154		2,602,893
				9,119,459
Health Care Providers & Services - 2.9%
Aetna, Inc.		30,662		5,400,498
Anthem, Inc.		15,580		3,449,724
Cigna Corp.		10,233		1,733,163
McKesson Corp.		19,854		2,818,077
Quest Diagnostics, Inc.		12,282		1,308,401
UnitedHealth Group, Inc.		27,938		6,747,306
				21,457,169
Pharmaceuticals - 1.9%
Johnson & Johnson		15,142		1,811,286
Merck & Co., Inc.		60,072		3,576,086
Pfizer, Inc.		150,937		5,423,166
Zoetis, Inc.		39,761		3,327,996
				14,138,534
				52,333,135
Consumer Discretionary - 6.0%
Auto Components - 0.5%
Magna International, Inc. (New York)-Class A		61,846		3,962,473

Company	Shares		U.S. $ Value
Hotels, Restaurants & Leisure - 0.8%
Carnival Corp.		33,787	$	2,104,255
McDonald’s Corp.		19,589		3,134,436
Starbucks Corp.		11,118		630,057
				5,868,748
Internet & Direct Marketing Retail - 0.2%
Booking Holdings, Inc. (a)		566		1,193,649
Media - 1.3%
Comcast Corp.-Class A		198,933		6,202,731
Walt Disney Co. (The)		32,409		3,223,723
				9,426,454
Specialty Retail - 2.5%
AutoZone, Inc. (a)		2,262		1,468,762
Home Depot, Inc. (The)		40,865		7,623,366
Ross Stores, Inc.		46,465		3,665,159
TJX Cos., Inc. (The)		59,614		5,384,336
				18,141,623
Textiles, Apparel & Luxury Goods - 0.7%
NIKE, Inc.-Class B		65,504		4,703,187
				43,296,134
Industrials - 4.2%
Aerospace & Defense - 2.5%
Boeing Co. (The)		17,025		5,995,524
L3 Technologies, Inc.		10,284		2,039,626
Northrop Grumman Corp.		16,769		5,487,655
Raytheon Co.		21,369		4,476,805
				17,999,610
Airlines - 0.4%
Delta Air Lines, Inc.		48,076		2,598,508
Electrical Equipment - 0.1%
Eaton Corp. PLC		6,425		492,026
Industrial Conglomerates - 0.6%
Honeywell International, Inc.		30,769		4,551,043
Roper Technologies, Inc.		10		2,758
				4,553,801
Machinery - 0.0%
Oshkosh Corp.		4,325		314,644
Road & Rail - 0.6%
Norfolk Southern Corp.		31,194		4,730,570
				30,689,159
Consumer Staples - 4.1%
Beverages - 1.0%
Constellation Brands, Inc.-Class A		11,137		2,484,442
PepsiCo, Inc.		44,411		4,452,203
				6,936,645

Company	Shares		U.S. $ Value
Food & Staples Retailing - 1.5%
Costco Wholesale Corp.		24,038	$	4,765,293
Walmart, Inc.		77,573		6,402,875
				11,168,168
Food Products - 0.3%
Tyson Foods, Inc.-Class A		36,840		2,485,595
Household Products - 0.6%
Procter & Gamble Co. (The)		55,988		4,096,642
Tobacco - 0.7%
Altria Group, Inc.		89,311		4,978,195
				29,665,245
Energy - 3.0%
Energy Equipment & Services - 0.4%
Schlumberger Ltd.		39,408		2,706,147
Oil, Gas & Consumable Fuels - 2.6%
Chevron Corp.		45,245		5,623,953
Devon Energy Corp.		25,784		1,071,841
EOG Resources, Inc.		43,613		5,138,048
Exxon Mobil Corp.		48,651		3,952,407
Marathon Petroleum Corp.		45,817		3,620,918
				19,407,167
				22,113,314
Real Estate - 1.9%
Equity Real Estate Investment Trusts (REITs) - 1.7%
Crown Castle International Corp.		41,083		4,278,794
Mid-America Apartment Communities, Inc.		53,010		4,959,616
Sun Communities, Inc.		35,017		3,385,444
				12,623,854
Real Estate Management & Development - 0.2%
CBRE Group, Inc.-Class A (a)		21,969		1,014,748
				13,638,602
Utilities - 1.6%
Electric Utilities - 1.2%
American Electric Power Co., Inc.		86,569		5,882,364
Edison International		42,669		2,652,305
				8,534,669
Multi-Utilities - 0.4%
NiSource, Inc.		134,854		3,411,806
				11,946,475
Telecommunication Services - 0.5%
Diversified Telecommunication Services - 0.3%
Verizon Communications, Inc.		40,168		1,914,809
Wireless Telecommunication Services - 0.2%
T-Mobile US, Inc. (a)		34,179		1,903,770

Company	Shares		U.S. $ Value
			$	3,818,579
Materials - 0.4%
Chemicals - 0.4%
DowDuPont, Inc.		48,771		3,126,709
Total Common Stocks (cost $302,863,616)				385,881,522
INVESTMENT COMPANIES - 46.8%
Funds and Investment Trusts - 46.8% (d)
AB Discovery Growth Fund, Inc.-Class Z (a)(b)		1,447,786		18,994,953
AB Discovery Value Fund-Class Z (b)		782,670		18,142,299
Bernstein Fund, Inc.-International Small Cap Portfolio-Class Z (b)		3,264,788		42,605,481
Bernstein Fund, Inc.-International Strategic Equities Portfolio-Class Z (b)		10,984,742		141,922,869
Bernstein Fund, Inc.-Small Cap Core Portfolio-Class Z (b)		1,587,299		20,015,836
Sanford C. Bernstein Fund, Inc.-AB Tax-Managed International Portfolio-Class Z (b)		4,437,412		79,651,541
Sanford C. Bernstein Fund, Inc.-Emerging Markets Portfolio-Class Z (b)		609,624		19,440,914
Total Investment Companies (cost $322,205,636)				340,773,893
SHORT-TERM INVESTMENTS - 0.2%
Investment Companies - 0.2%
AB Fixed Income Shares, Inc.-Government Money Market Portfolio-Class AB, 1.57% (b)(c)(d) (cost $1,114,036)		1,114,036		1,114,036
Total Investments - 99.9% (cost $626,183,288) (e)				727,769,451
Other assets less liabilities - 0.1%				1,035,753
Net Assets - 100.0%			$	728,805,204

(a) Non-income producing security.

(b) Affiliated investments.

(c) The rate shown represents the 7-day yield as of period end.

(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, or call AB at (800) 227-4618.

(e) As of May 31, 2018, the cost basis of investment securities owned was substantially identical for both book and tax purposes. Gross unrealized appreciation of investments was $107,140,093 and gross unrealized depreciation of investments was $(5,553,930), resulting in net unrealized appreciation of $101,586,163.

Please note: The sector classifications presented herein are based on the Global Industry Classification Standard (GICS) which was developed by Morgan Stanley Capital International and Standard & Poor’s. The components are divided into sector, industry group, and industry sub-indices as classified by the GICS for each of the market capitalization indices in the broad market.

Glossary:

ADR - American Depositary Receipt

AB Tax-Managed Wealth Appreciation Strategy

May 31, 2018 (unaudited)

In accordance with U.S. GAAP regarding fair value measurements, fair value is defined as the price that the Strategy 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 Strategy. Unobservable inputs reflect the Strategy’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 Strategy’s own assumptions in determining the fair value of investments)

Where readily available market prices or relevant bid prices are not available for certain equity investments, such investments may be valued based on similar publicly traded investments, movements in relevant indices since last available prices or based upon underlying company fundamentals and comparable company data (such as multiples to earnings or other multiples to equity). Where an investment is valued using an observable input, 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.

The following table summarizes the valuation of the Strategy’s investments by the above fair value hierarchy levels as of May 31, 2018:

Investments in Securities:

Level 1

Level 2

Level 3

Total

Assets:

Common Stocks(a)

$

385,881,522

$

– 0

–

$

– 0

–

$

385,881,522

Investment Companies

340,773,893

– 0

–

– 0

–

340,773,893

Short-Term Investments

1,114,036

– 0

–

– 0

–

1,114,036

Total Investments in Securities

727,769,451

– 0

–

– 0

–

727,769,451

Other Financial Instruments(b)

– 0

–

– 0

–

– 0

–

– 0

–

Total(c)

$

727,769,451

$

– 0

–

$

– 0

–

$

727,769,451

(a) See Portfolio of Investments for sector classifications.

(b) Other financial instruments are derivative instruments, such as futures, forwards and swaps, which are valued at the unrealized appreciation/(depreciation) on the instrument. Other financial instruments may also include swaps with upfront premiums, options written and swaptions written which are valued at market value.

(c) There were no transfers between any levels during the reporting period.

The Strategy recognizes all transfers between levels of the fair value hierarchy assuming the financial instruments were transferred at the beginning of the reporting period.

The Adviser established the Valuation Committee (the “Committee”) to oversee the pricing and valuation of all securities held in the Strategy. The Committee operates under pricing and valuation policies and procedures established by the Adviser and approved by the Board, including pricing policies which set forth the mechanisms and processes to be employed on a daily basis to implement these policies and procedures. In particular, the pricing policies describe how to determine market quotations for securities and other instruments. The Committee’s responsibilities include: 1) fair value and liquidity determinations (and oversight of any third parties to whom any responsibility for fair value and liquidity determinations is delegated), and 2) regular monitoring of the Adviser’s pricing and valuation policies and procedures and modification or enhancement of these policies and procedures (or recommendation of the modification of these policies and procedures) as the Committee believes appropriate.

The Committee is also responsible for monitoring the implementation of the pricing policies by the Adviser’s Pricing Group (the “Pricing Group”) and any third party which performs certain pricing functions in accordance with the pricing policies. The Pricing Group is responsible for the oversight of the third party on a day-to-day basis. The Committee and the Pricing Group perform a series of activities to provide

reasonable assurance of the accuracy of prices including: 1) periodic vendor due diligence meetings, review of methodologies, new developments and process at vendors, 2) daily comparison of security valuation versus prior day for all securities that exceeded established thresholds, and 3) daily review of unpriced, stale, and variance reports with exceptions reviewed by senior management and the Committee.

In addition, several processes outside of the pricing process are used to monitor valuation issues including: 1) performance and performance attribution reports are monitored for anomalous impacts based upon benchmark performance, and 2) portfolio managers review all portfolios for performance and analytics (which are generated using the Adviser’s prices).

A Summary of the Strategy’s transactions in AB mutual funds for the nine months ended May 31, 2018 is as follows:

															Distributions
Affiliated Issuer	Market Value 8/31/17 (000)		Purchases at Cost (000)		Sales Proceeds (000)		Realized Gain (Loss) (000)			Change in Unrealized Appr./(Depr.) (000)			Market Value 5/31/18 (000)		Income (000)			Realized Gains (000)
AB Discovery Growth Fund, Inc.	$	16,720	$	1,102	$	2,416	$	203		$	3,386		$	18,995	$	– 0	–	$	1,102
AB Discovery Value Fund		16,338		1,128		708		29			1,355			18,142		– 0	–		1,128
AB Fixed Income Shares, Inc.-Government Money Market Portfolio		2,764		62,619		64,269		– 0	–		– 0	–		1,114		16			– 0	–
Bernstein Fund, Inc.-International Small Cap Portfolio		41,608		1,613		2,710		159			1,935			42,605		– 0	–		1,613
Bernstein Fund, Inc.-International Strategic Equities Portfolio		136,294		8,354		7,378		399			4,254			141,923		– 0	–		4,086
Bernstein Fund, Inc.- Small Cap Core Portfolio		16,404		2,679		629		30			1,532			20,016		977			52
Sanford C. Bernstein Fund, Inc.-Emerging Markets Portfolio		19,683		709		1,882		102			829			19,441		41			167
Sanford C. Bernstein Fund, Inc.- AB Tax-Managed International Portfolio		76,671		1,763		906		27			2,097			79,652		– 0	–		1,263
Total	$	326,482	$	79,967	$	80,898	$	949		$	15,388		$	341,888	$	1,034		$	9,411

AB Wealth Appreciation Strategy

Portfolio of Investments

May 31, 2018 (unaudited)

Company	Shares		U.S. $ Value
COMMON STOCKS - 52.9%
Information Technology - 15.5%
Communications Equipment - 1.0%
Cisco Systems, Inc.		194,114	$	8,290,609
Nokia Oyj (Sponsored ADR)-Class A		833,649		4,826,828
				13,117,437
Electronic Equipment, Instruments & Components - 0.2%
CDW Corp./DE		43,091		3,449,434
Internet Software & Services - 4.9%
Alphabet, Inc.-Class C (a)		33,318		36,149,697
eBay, Inc. (a)		126,605		4,775,541
Facebook, Inc.-Class A (a)		135,634		26,011,888
				66,937,126
IT Services - 2.2%
Cognizant Technology Solutions Corp.-Class A		86,097		6,487,409
Total System Services, Inc.		63,187		5,382,900
Visa, Inc.-Class A		134,507		17,582,755
				29,453,064
Semiconductors & Semiconductor Equipment - 1.9%
Intel Corp.		165,823		9,153,429
Texas Instruments, Inc.		71,904		8,046,777
Xilinx, Inc.		118,224		8,052,237
				25,252,443
Software - 2.9%
Adobe Systems, Inc. (a)		22,213		5,537,256
Microsoft Corp.		203,052		20,069,660
Oracle Corp.		311,647		14,560,148
				40,167,064
Technology Hardware, Storage & Peripherals - 2.4%
Apple, Inc.		123,654		23,107,223
HP, Inc.		218,152		4,805,889
Xerox Corp.		159,979		4,348,229
				32,261,341
				210,637,909
Financials - 8.8%
Banks - 4.5%
Bank of America Corp.		656,746		19,071,904
Citigroup, Inc.		155,480		10,368,961
JPMorgan Chase & Co.		180,337		19,297,862
Wells Fargo & Co.		245,010		13,228,090
				61,966,817
Capital Markets - 1.7%
CME Group, Inc.-Class A		39,307		6,403,110
Goldman Sachs Group, Inc. (The)		39,236		8,862,628
S&P Global, Inc.		37,400		7,386,500
				22,652,238

Company	Shares		U.S. $ Value
Consumer Finance - 0.5%
Synchrony Financial		188,676	$	6,533,850
Insurance - 2.1%
American International Group, Inc.		137,284		7,247,222
Everest Re Group Ltd.		35,000		7,885,150
FNF Group		81,102		2,997,530
Progressive Corp. (The)		165,579		10,280,800
				28,410,702
				119,563,607
Health Care - 6.9%
Biotechnology - 1.1%
Biogen, Inc. (a)		29,218		8,588,923
Gilead Sciences, Inc.		104,610		7,050,714
				15,639,637
Health Care Equipment & Supplies - 1.2%
Edwards Lifesciences Corp. (a)		55,440		7,612,467
Intuitive Surgical, Inc. (a)		7,911		3,636,449
Medtronic PLC		64,279		5,548,563
				16,797,479
Health Care Providers & Services - 2.8%
Aetna, Inc.		47,131		8,301,183
Anthem, Inc.		38,785		8,587,775
Cigna Corp.		15,012		2,542,582
McKesson Corp.		40,256		5,713,937
UnitedHealth Group, Inc.		50,861		12,283,440
				37,428,917
Pharmaceuticals - 1.8%
Merck & Co., Inc.		120,237		7,157,709
Pfizer, Inc.		284,919		10,237,140
Zoetis, Inc.		79,966		6,693,154
				24,088,003
				93,954,036
Consumer Discretionary - 5.9%
Auto Components - 0.5%
Magna International, Inc. (New York)-Class A		114,916		7,362,668
Hotels, Restaurants & Leisure - 0.8%
Carnival Corp.		71,904		4,478,181
McDonald’s Corp.		38,881		6,221,349
				10,699,530
Media - 1.3%
Comcast Corp.-Class A		368,915		11,502,770
Walt Disney Co. (The)		62,635		6,230,303
				17,733,073

Company	Shares		U.S. $ Value
Specialty Retail - 2.6%
AutoZone, Inc. (a)		5,328	$	3,459,577
Home Depot, Inc. (The)		79,897		14,904,785
Ross Stores, Inc.		80,872		6,379,184
TJX Cos., Inc. (The)		118,676		10,718,816
				35,462,362
Textiles, Apparel & Luxury Goods - 0.7%
NIKE, Inc.-Class B		132,768		9,532,743
				80,790,376
Consumer Staples - 4.3%
Beverages - 1.0%
Constellation Brands, Inc.-Class A		21,354		4,763,650
PepsiCo, Inc.		92,691		9,292,273
				14,055,923
Food & Staples Retailing - 1.6%
Costco Wholesale Corp.		48,212		9,557,547
Walmart, Inc.		147,648		12,186,866
				21,744,413
Food Products - 0.4%
Tyson Foods, Inc.-Class A		75,601		5,100,799
Household Products - 0.5%
Procter & Gamble Co. (The)		96,353		7,050,149
Tobacco - 0.8%
Altria Group, Inc.		182,970		10,198,748
				58,150,032
Industrials - 3.9%
Aerospace & Defense - 2.2%
Boeing Co. (The)		31,332		11,033,877
Northrop Grumman Corp.		28,018		9,168,891
Raytheon Co.		48,194		10,096,643
				30,299,411
Airlines - 0.4%
Delta Air Lines, Inc.		95,932		5,185,125
Industrial Conglomerates - 0.7%
Honeywell International, Inc.		64,455		9,533,539
Road & Rail - 0.6%
Norfolk Southern Corp.		52,404		7,947,066
				52,965,141
Energy - 2.8%
Energy Equipment & Services - 0.3%
Schlumberger Ltd.		69,759		4,790,351
Oil, Gas & Consumable Fuels - 2.5%
Chevron Corp.		80,550		10,012,365
EOG Resources, Inc.		77,105		9,083,740
Exxon Mobil Corp.		97,155		7,892,872

Company	Shares		U.S. $ Value
Marathon Petroleum Corp.		83,497	$	6,598,768
				33,587,745
				38,378,096
Real Estate - 2.0%
Equity Real Estate Investment Trusts (REITs) - 1.7%
Crown Castle International Corp.		79,496		8,279,508
Mid-America Apartment Communities, Inc.		94,332		8,825,702
Sun Communities, Inc.		55,632		5,378,502
				22,483,712
Real Estate Management & Development - 0.3%
CBRE Group, Inc.-Class A (a)		101,550		4,690,594
				27,174,306
Utilities - 1.7%
Electric Utilities - 1.2%
American Electric Power Co., Inc.		165,382		11,237,707
Edison International		78,152		4,857,928
				16,095,635
Multi-Utilities - 0.5%
NiSource, Inc.		262,848		6,650,055
				22,745,690
Telecommunication Services - 0.6%
Diversified Telecommunication Services - 0.3%
Verizon Communications, Inc.		103,661		4,941,520
Wireless Telecommunication Services - 0.3%
T-Mobile US, Inc. (a)		65,305		3,637,488
				8,579,008
Materials - 0.5%
Chemicals - 0.5%
DowDuPont, Inc.		101,306		6,494,728
Total Common Stocks (cost $650,500,185)				719,432,929
INVESTMENT COMPANIES - 46.9%
Funds and Investment Trusts - 46.9% (d)
AB Discovery Growth Fund, Inc.-Class Z (a)(b)		2,643,136		34,677,946
AB Discovery Value Fund-Class Z (b)		1,452,184		33,661,635
Bernstein Fund, Inc.-International Small Cap Portfolio-Class Z (b)		6,205,388		80,980,310
Bernstein Fund, Inc.-International Strategic Equities Portfolio-Class Z (b)		20,575,444		265,834,735
Bernstein Fund, Inc.-Small Cap Core Portfolio-Class Z (b)		2,972,488		37,483,073
Sanford C. Bernstein Fund, Inc.-Emerging Markets Portfolio-Class Z (b)		1,159,544		36,977,853

Company	Shares		U.S. $ Value
Sanford C Bernstein Fund, Inc.-International Portfolio-Class Z (b)		8,307,450	$	148,952,583
Total Investment Companies (cost $603,132,362)				638,568,135
SHORT-TERM INVESTMENTS - 0.2%
Investment Companies - 0.2%
AB Fixed Income Shares, Inc.-Government Money Market Portfolio-Class AB, 1.57% (b)(c)(d) (cost $3,325,193)		3,325,193		3,325,193
Total Investments - 100.0% (cost $1,256,957,740) (e)				1,361,326,257
Other assets less liabilities - 0.0%				33,594
Net Assets - 100.0%			$	1,361,359,851

(a) Non-income producing security.

(b) Affiliated investments.

(c) The rate shown represents the 7-day yield as of period end.

(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, or call AB at (800) 227-4618.

(e) As of May 31, 2018, the cost basis of investment securities owned was substantially identical for both book and tax purposes. Gross unrealized appreciation of investments was $124,771,075 and gross unrealized depreciation of investments was $(20,402,558), resulting in net unrealized appreciation of $104,368,517.

Please note: The sector classifications presented herein are based on the Global Industry Classification Standard (GICS) which was developed by Morgan Stanley Capital International and Standard & Poor’s. The components are divided into sector, industry group, and industry sub-indices as classified by the GICS for each of the market capitalization indices in the broad market.

Glossary:

ADR - American Depositary Receipt

AB Wealth Appreciation Strategy

May 31, 2018 (unaudited)

In accordance with U.S. GAAP regarding fair value measurements, fair value is defined as the price that the Strategy 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 Strategy. Unobservable inputs reflect the Strategy’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 Strategy’s own assumptions in determining the fair value of investments)

Where readily available market prices or relevant bid prices are not available for certain equity investments, such investments may be valued based on similar publicly traded investments, movements in relevant indices since last available prices or based upon underlying company fundamentals and comparable company data (such as multiples to earnings or other multiples to equity). Where an investment is valued using an observable input, 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.

The following table summarizes the valuation of the Strategy’s investments by the above fair value hierarchy levels as of May 31, 2018:

Investments in Securities:

Level 1

Level 2

Level 3

Total

Assets:

Common Stocks(a)

$

719,432,929

$

– 0

–

$

– 0

–

$

719,432,929

Investment Companies

638,568,135

– 0

–

– 0

–

638,568,135

Short-Term Investments

3,325,193

– 0

–

– 0

–

3,325,193

Total Investments in Securities

1,361,326,257

– 0

–

– 0

–

1,361,326,257

Other Financial Instruments(b)

– 0

–

– 0

–

– 0

–

– 0

–

Total(c)

$

1,361,326,257

$

– 0

–

$

– 0

–

$

1,361,326,257

^(a)  See Portfolio of Investments for sector classifications.

^(b)  Other financial instruments are derivative instruments, such as futures, forwards and swaps, which are valued at the unrealized appreciation/(depreciation) on the instrument. Other financial instruments may also include swaps with upfront premiums, options written and swaptions written which are valued at market value.

^(c)  There were no transfers between any levels during the reporting period.

The Strategy recognizes all transfers between levels of the fair value hierarchy assuming the financial instruments were transferred at the beginning of the reporting period.

The Adviser established the Valuation Committee (the “Committee”) to oversee the pricing and valuation of all securities held in the Strategy. The Committee operates under pricing and valuation policies and procedures established by the Adviser and approved by the Board, including pricing policies which set forth the mechanisms and processes to be employed on a daily basis to implement these policies and procedures. In particular, the pricing policies describe how to determine market quotations for securities and other instruments. The Committee’s responsibilities include: 1) fair value and liquidity determinations (and oversight of any third parties to whom any responsibility for fair value and liquidity determinations is delegated), and 2) regular monitoring of the Adviser’s pricing and valuation policies and procedures and modification or enhancement of these policies and procedures (or recommendation of the modification of these policies and procedures) as the Committee believes appropriate.

The Committee is also responsible for monitoring the implementation of the pricing policies by the Adviser’s Pricing Group (the “Pricing Group”) and any third party which performs certain pricing functions in accordance with the pricing policies. The Pricing Group is responsible for the oversight of the third party on a day-to-day basis. The Committee and the Pricing Group perform a series of activities to provide

reasonable assurance of the accuracy of prices including: 1) periodic vendor due diligence meetings, review of methodologies, new developments and process at vendors, 2) daily comparison of security valuation versus prior day for all securities that exceeded established thresholds, and 3) daily review of unpriced, stale, and variance reports with exceptions reviewed by senior management and the Committee.

In addition, several processes outside of the pricing process are used to monitor valuation issues including: 1) performance and performance attribution reports are monitored for anomalous impacts based upon benchmark performance, and 2) portfolio managers review all portfolios for performance and analytics (which are generated using the Adviser’s prices).

A Summary of the Strategy’s transactions in AB mutual funds for the nine months ended May 31, 2018 is as follows:

															Distributions
Affiliated Issuer	Market Value 8/31/17 (000)		Purchases at Cost (000)		Sales Proceeds (000)		Realized Gain (Loss) (000)			Change in Unrealized Appr./(Depr.) (000)			Market Value 5/31/18 (000)		Income (000)			Realized Gains (000)
AB Discovery Growth Fund, Inc.	$	32,171	$	2,065	$	6,413	$	628		$	6,227		$	34,678	$	– 0	–	$	2,065
AB Discovery Value Fund		31,436		2,190		2,618		109			2,545			33,662		– 0	–		2,190
AB Fixed Income Shares, Inc.-Government Money Market Portfolio		7,448		137,306		141,428		– 0	–		(1	)		3,325		30			– 0	–
Bernstein Fund, Inc.-International Small Cap Portfolio		80,301		3,054		6,427		403			3,649			80,980		– 0	–		3,054
Bernstein Fund, Inc.-International Strategic Equities Portfolio		263,694		9,641		16,433		770			8,163			265,835		– 0	–		7,833
Bernstein Fund, Inc.-Small Cap Core Portfolio		31,564		5,423		2,466		90			2,872			37,483		1,874			100
Sanford C. Bernstein Fund, Inc.-Emerging Markets Portfolio		36,686		393		569		65			403			36,978		78			315
Sanford C Bernstein Fund, Inc.-International Portfolio		147,972		2,096		5,587		274			4,198			148,953		– 0	–		2,096
Total	$	631,272	$	162,168	$	181,941	$	2,339		$	28,056		$	641,894	$	1,982		$	17,653

ITEM 2. CONTROLS AND PROCEDURES.

(a) The registrant’s principal executive officer and principal financial officer have concluded that the registrant’s disclosure controls and procedures (as defined in Rule 30a-3(c) under the Investment Company Act of 1940, as amended) are effective at the reasonable assurance level based on their evaluation of these controls and procedures as of a date within 90 days of the filing date of this document.

(b) There were no changes in the registrant’s internal controls over financial reporting that occurred during the second fiscal quarter of the period that has materially affected, or is reasonably likely to materially affect, the registrant’s internal control over financial reporting.

ITEM 3. EXHIBITS.

The following exhibits are attached to this Form N-Q:

EXHIBIT NO.	DESCRIPTION OF EXHIBIT
3 (a) (1)	Certification of Principal Executive Officer Pursuant to Section 302 of the Sarbanes-Oxley Act of 2002
3 (a) (2)	Certification of Principal Financial Officer Pursuant to Section 302 of the Sarbanes-Oxley Act of 2002

SIGNATURES

Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, the registrant has duly caused this report to be signed on its behalf by the undersigned, thereunto duly authorized.

(Registrant): The AB Portfolios
By:	/s/     Robert M. Keith
	Robert M. Keith
	President
Date:	July 23, 2018

Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, this report has been signed below by the following persons on behalf of the registrant and in the capacities and on the dates indicated.

By:	/s/     Robert M. Keith
	Robert M. Keith
	President
Date:	July 23, 2018
By:	/s/     Joseph J. Mantineo
	Joseph J. Mantineo
	Treasurer and Chief Financial Officer
Date:	July 23, 2018