NPORT-EX 2 NPORT_3773619407341278.htm PDFtoHTML Conversion Output

AB Cap Fund, Inc.

AB All Market Income Portfolio

Portfolio of Investments

February 29, 2020 (unaudited)

Company

Shares

U.S. $ Value

INVESTMENT COMPANIES – 46.1%

 

 

Funds and Investment Trusts – 46.1%(a)

 

 

AB High Income Fund, Inc. - Class Z(b)

5,449,375

$ 44,357,916

C-Tracks ETNs based on Performance of the

 

 

Miller/Howard MLP Fundamental Index

68,710

669,119

Dorsey Wright MLP Index ETNs

20,290

713,599

iShares Mortgage Real Estate ETF(c)

37,367

1,578,382

Vanguard Global ex-U.S. Real Estate ETF

24,729

1,338,828

Vanguard Real Estate ETF

15,153

1,323,311

Total Investment Companies

 

 

(cost $52,546,617)

 

49,981,155

COMMON STOCKS – 29.4%

 

 

Information Technology – 5.3%

 

 

Communications Equipment – 0.0%

 

 

Juniper Networks, Inc.

1,917

40,679

Electronic Equipment, Instruments & Components – 0.1%

 

Hitachi Ltd.

3,900

130,244

IT Services – 1.2%

 

 

Amadeus IT Group SA - Class A

257

18,219

Automatic Data Processing, Inc.

1,510

233,657

Booz Allen Hamilton Holding Corp.

390

27,807

Broadridge Financial Solutions, Inc.

1,272

132,746

Capgemini SE

166

18,395

Fidelity National Information Services, Inc.(d)

140

19,561

Leidos Holdings, Inc.

578

59,332

Mastercard, Inc. - Class A

1,275

370,069

Paychex, Inc.(d)

2,517

195,017

Visa, Inc. - Class A

396

71,977

Western Union Co. (The) - Class W(c)

5,977

133,825

 

 

1,280,605

Semiconductors & Semiconductor Equipment – 1.2%

 

Applied Materials, Inc.

3,500

203,420

Intel Corp.(d)

5,801

322,072

KLA Corp.

999

153,556

Lam Research Corp.

700

205,401

QUALCOMM, Inc.

2,600

203,580

Texas Instruments, Inc.

2,163

246,885

 

 

1,334,914

Software – 1.9%

 

 

Cadence Design Systems, Inc.(e)

2,580

170,641

Check Point Software Technologies Ltd.(e)

279

28,960

Citrix Systems, Inc.

370

38,254

Constellation Software, Inc./Canada

42

42,788

Fortinet, Inc.(e)

340

34,700

Intuit, Inc.

155

41,207

Micro Focus International PLC

7,538

71,790

Microsoft Corp.

4,759

771,005

Nice Ltd.(e)

147

24,044

Oracle Corp.(d)

916

45,305

Oracle Corp. Japan

400

31,179

Paycom Software, Inc.(e)

695

196,442

Company

Shares

U.S. $ Value

ServiceNow, Inc.(e)

774

$ 252,394

SS&C Technologies Holdings, Inc.

2,600

144,300

Synopsys, Inc.(e)

1,236

170,482

 

 

2,063,491

Technology Hardware, Storage & Peripherals – 0.9%

 

Apple, Inc.(d)

2,701

738,346

HP, Inc.

1,658

34,470

Seagate Technology PLC

3,074

147,398

 

 

920,214

 

 

5,770,147

Financials – 5.0%

 

 

Banks – 1.5%

 

 

Bank Leumi Le-Israel BM

5,890

38,072

Bank of America Corp.

1,673

47,681

BNP Paribas SA

1,821

88,392

CIT Group, Inc.

2,875

114,166

Citigroup, Inc.

3,724

236,325

DBS Group Holdings Ltd.

1,200

20,981

DNB ASA

730

12,227

Fifth Third Bancorp

1,152

28,109

Intesa Sanpaolo SpA

73,522

178,740

JPMorgan Chase & Co.

1,322

153,497

KBC Group NV

458

30,515

Nordea Bank Abp

24,399

192,565

PNC Financial Services Group, Inc. (The)

250

31,600

Royal Bank of Canada

398

29,598

Societe Generale SA

5,639

159,790

Swedbank AB - Class A

11,364

172,599

Toronto-Dominion Bank (The)

513

26,387

Wells Fargo & Co.

210

8,579

Westpac Banking Corp.

2,438

37,331

 

 

1,607,154

Capital Markets – 1.1%

 

 

Ameriprise Financial, Inc.

1,111

156,984

CME Group, Inc. - Class A

133

26,443

Daiwa Securities Group, Inc.

28,800

121,830

IGM Financial, Inc.

5,525

147,320

Investec PLC

24,767

126,882

Moody's Corp.

847

203,306

Nomura Holdings, Inc.

36,200

159,841

Partners Group Holding AG

32

27,770

S&P Global, Inc.

891

236,926

 

 

1,207,302

Consumer Finance – 0.1%

 

 

Ally Financial, Inc.

5,377

134,801

Diversified Financial Services – 0.2%

 

 

Berkshire Hathaway, Inc. - Class B(e)

177

36,522

Voya Financial, Inc.(c)

2,860

150,551

 

 

187,073

Company

Shares

U.S. $ Value

Insurance – 1.9%

 

 

Admiral Group PLC

750

$ 20,585

Aegon NV(c)

17,968

61,161

American Financial Group, Inc./OH

293

27,079

American International Group, Inc.

270

11,383

Aviva PLC

24,215

110,917

Fidelity National Financial, Inc.

620

24,031

Gjensidige Forsikring ASA

2,601

52,861

IA Financial Corp., Inc.

3,215

153,031

Japan Post Holdings Co., Ltd.

13,700

119,058

Legal & General Group PLC

46,011

155,879

Manulife Financial Corp.

9,470

159,168

MetLife, Inc.

3,785

161,695

Poste Italiane SpA(f)

12,712

136,178

Power Corp. of Canada

7,094

156,811

Principal Financial Group, Inc.

2,869

127,355

Progressive Corp. (The)

360

26,338

Prudential Financial, Inc.

1,804

136,112

Reinsurance Group of America, Inc. - Class A

125

15,254

RenaissanceRe Holdings Ltd.

100

17,040

Sampo Oyj - Class A

537

21,943

Suncorp Group Ltd.

13,660

102,051

Swiss Re AG

135

12,843

Zurich Insurance Group AG

568

219,948

 

 

2,028,721

Mortgage Real Estate Investment Trusts (REITs) – 0.2%

 

AGNC Investment Corp.

10,123

172,496

Annaly Capital Management, Inc.

13,285

117,705

 

 

290,201

Thrifts & Mortgage Finance – 0.0%

 

 

Essent Group Ltd.

520

22,693

 

 

5,477,945

Consumer Discretionary – 2.9%

 

 

Auto Components – 0.1%

 

 

Aisin Seiki Co., Ltd.

2,400

77,196

Automobiles – 0.4%

 

 

Fiat Chrysler Automobiles NV

10,582

133,340

Ford Motor Co.

19,589

136,340

Nissan Motor Co., Ltd.

25,700

110,146

 

 

379,826

Diversified Consumer Services – 0.1%

 

 

H&R Block, Inc.(c)

6,390

132,081

Hotels, Restaurants & Leisure – 0.3%

 

 

Aristocrat Leisure Ltd.

1,717

37,661

Compass Group PLC

550

12,118

Las Vegas Sands Corp.

2,562

149,390

McDonald's Corp.

143

27,766

Starbucks Corp.

1,461

114,586

 

 

341,521

Household Durables – 0.6%

 

 

Barratt Developments PLC

19,024

187,797

Company

Shares

U.S. $ Value

Lennar Corp. - Class A

2,950

$ 178,003

Persimmon PLC

5,354

197,947

Whirlpool Corp.(c)

1,032

131,952

 

 

695,699

Internet & Direct Marketing Retail – 0.4%

 

 

Amazon.com, Inc.(d) (e)

206

388,053

Leisure Products – 0.1%

 

 

Polaris, Inc.

1,580

130,397

Media – 0.0%

 

 

Informa PLC

1,230

10,886

Multiline Retail – 0.4%

 

 

Dollar General Corp.

242

36,373

Harvey Norman Holdings Ltd.(c)

52,864

129,200

Next PLC

818

64,472

Target Corp.

267

27,501

Wesfarmers Ltd.

6,722

179,913

 

 

437,459

Specialty Retail – 0.3%

 

 

AutoZone, Inc.(e)

33

34,073

Hennes & Mauritz AB - Class B(c)

2,593

47,058

Home Depot, Inc. (The)(d)

256

55,767

O'Reilly Automotive, Inc.(e)

397

146,382

Ross Stores, Inc.(d)

400

43,512

TJX Cos., Inc. (The)

233

13,933

 

 

340,725

Textiles, Apparel & Luxury Goods – 0.2%

 

 

adidas AG

511

143,871

Deckers Outdoor Corp.(e)

207

35,977

Pandora A/S(c)

664

29,921

 

 

209,769

 

 

3,143,612

Health Care – 2.9%

 

 

Biotechnology – 0.8%

 

 

Alnylam Pharmaceuticals, Inc.(e)

1,860

218,847

Amgen, Inc.

1,138

227,293

Exact Sciences Corp.(c) (e)

1,762

142,634

Gilead Sciences, Inc.

3,380

234,437

Seattle Genetics, Inc.(e)

240

27,326

Vertex Pharmaceuticals, Inc.(e)

155

34,725

 

 

885,262

Health Care Equipment & Supplies – 0.8%

 

 

Baxter International, Inc.

2,342

195,487

Coloplast A/S - Class B

874

117,330

Edwards Lifesciences Corp.(e)

849

173,909

ResMed, Inc.

1,230

195,521

Company

Shares

U.S. $ Value

Stryker Corp.

931

$ 177,439

 

 

859,686

Health Care Providers & Services – 0.1%

 

 

Anthem, Inc.(d)

78

20,053

Galenica AG(e) (f)

340

22,990

UnitedHealth Group, Inc.(d)

223

56,856

 

 

99,899

Health Care Technology – 0.1%

 

 

Cerner Corp.

2,299

159,252

Life Sciences Tools & Services – 0.1%

 

 

Agilent Technologies, Inc.

765

58,959

Pharmaceuticals – 1.0%

 

 

Astellas Pharma, Inc.

4,200

65,827

Bristol-Myers Squibb Co.

447

26,400

Eli Lilly & Co.

1,118

141,013

GlaxoSmithKline PLC

1,450

29,260

Johnson & Johnson

1,203

161,780

Merck & Co., Inc.(d)

4,118

315,274

Novo Nordisk A/S - Class B

484

28,357

Roche Holding AG

189

60,770

Zoetis, Inc.

1,707

227,424

 

 

1,056,105

 

 

3,119,163

Energy – 2.7%

 

 

Oil, Gas & Consumable Fuels – 2.7%

 

 

BP PLC (Sponsored ADR)(c)

13,362

418,097

Chevron Corp.

4,794

447,472

Exxon Mobil Corp.

8,656

445,265

HollyFrontier Corp.

3,080

103,734

LUKOIL PJSC (Sponsored ADR)

4,824

416,504

Marathon Petroleum Corp.

2,900

137,518

Royal Dutch Shell PLC (ADR)

8,937

393,496

Royal Dutch Shell PLC - Class B

1,475

31,971

TOTAL SA

10,066

435,076

Vermilion Energy, Inc.(c)

8,869

88,938

 

 

2,918,071

Industrials – 2.3%

 

 

Aerospace & Defense – 0.1%

 

 

Airbus SE

91

10,983

L3Harris Technologies, Inc.

182

35,987

MTU Aero Engines AG

49

12,124

 

 

59,094

Air Freight & Logistics – 0.2%

 

 

CH Robinson Worldwide, Inc.

410

28,249

Kuehne & Nagel International AG

1,010

147,845

 

 

176,094

Airlines – 0.0%

 

 

Air Canada(e)

470

11,993

Company

Shares

U.S. $ Value

Qantas Airways Ltd.

6,514

$ 23,825

 

 

35,818

Building Products – 0.1%

 

 

LIXIL Group Corp.(c)

8,400

125,116

Construction & Engineering – 0.2%

 

 

Obayashi Corp.

8,300

83,731

Skanska AB - Class B

5,630

123,975

 

 

207,706

Electrical Equipment – 0.1%

 

 

Eaton Corp. PLC

1,748

158,579

Machinery – 0.7%

 

 

Caterpillar, Inc.

269

33,421

Cummins, Inc.

834

126,176

JTEKT Corp.

4,700

45,339

Metso Oyj

4,164

135,506

Mitsubishi Heavy Industries Ltd.

4,200

132,709

PACCAR, Inc.

2,245

150,190

Volvo AB - Class B

11,175

175,410

 

 

798,751

Marine – 0.1%

 

 

Mitsui OSK Lines Ltd.

5,800

119,471

Professional Services – 0.2%

 

 

Experian PLC

890

29,623

Randstad NV

2,712

139,730

RELX PLC

1,853

44,581

Wolters Kluwer NV

446

32,653

 

 

246,587

Road & Rail – 0.1%

 

 

Nippon Express Co., Ltd.

1,800

86,327

Trading Companies & Distributors – 0.2%

 

 

AerCap Holdings NV(e)

2,720

141,658

Fastenal Co.

3,379

115,629

 

 

257,287

Transportation Infrastructure – 0.3%

 

 

Aena SME SA(f)

853

137,391

Sydney Airport

26,900

137,470

 

 

274,861

 

 

2,545,691

Communication Services – 2.1%

 

 

Diversified Telecommunication Services – 1.2%

 

 

AT&T, Inc.(d)

9,066

319,304

BCE, Inc.(c)

1,462

64,209

BT Group PLC

15,162

27,815

CenturyLink, Inc.

11,550

139,408

Elisa Oyj

3,218

185,361

HKT Trust & HKT Ltd. - Class SS

15,000

22,585

Nippon Telegraph & Telephone Corp.

1,100

25,663

Company

Shares

U.S. $ Value

Telecom Italia SpA/Milano (Savings Shares)

235,160

$ 131,567

Telenor ASA

9,353

151,532

Verizon Communications, Inc.

5,400

292,464

 

 

1,359,908

Entertainment – 0.1%

 

 

Daiichikosho Co., Ltd.

200

8,176

Live Nation Entertainment, Inc.(e)

693

42,114

Walt Disney Co. (The)

181

21,295

 

 

71,585

Interactive Media & Services – 0.5%

 

 

Alphabet, Inc. - Class A(d) (e)

93

124,550

Alphabet, Inc. - Class C(d) (e)

120

160,720

Auto Trader Group PLC

5,070

34,139

Facebook, Inc. - Class A(d) (e)

960

184,771

 

 

504,180

Media – 0.3%

 

 

Altice USA, Inc. - Class A(e)

1,381

35,713

Comcast Corp. - Class A

795

32,142

Eutelsat Communications SA

8,014

108,288

Omnicom Group, Inc.(c)

1,951

135,165

 

 

311,308

 

 

2,246,981

Consumer Staples – 1.9%

 

 

Beverages – 0.5%

 

 

Carlsberg A/S - Class B

1,101

145,616

Coca-Cola Amatil Ltd.

7,790

58,667

Coca-Cola Co. (The)

179

9,575

Coca-Cola European Partners PLC

1,268

64,617

PepsiCo, Inc.

2,332

307,894

 

 

586,369

Food & Staples Retailing – 0.1%

 

 

Casino Guichard Perrachon SA(c)

823

31,972

Koninklijke Ahold Delhaize NV

1,512

35,324

Sysco Corp.

409

27,260

Walmart, Inc.

414

44,579

 

 

139,135

Food Products – 0.6%

 

 

General Mills, Inc.

3,356

164,444

Hershey Co. (The)

1,075

154,789

Morinaga & Co., Ltd./Japan

500

19,848

Nestle SA

801

82,428

Salmar ASA

680

30,731

Tyson Foods, Inc. - Class A

2,052

139,187

 

 

591,427

Household Products – 0.3%

 

 

Procter & Gamble Co. (The)

3,031

343,200

Company

Shares

U.S. $ Value

Personal Products – 0.2%

 

 

Unilever NV

3,584

$ 189,226

Unilever PLC

342

18,386

 

 

207,612

Tobacco – 0.2%

 

 

Imperial Brands PLC

7,802

157,616

Philip Morris International, Inc.(d)

446

36,514

 

 

194,130

 

 

2,061,873

Utilities – 1.7%

 

 

Electric Utilities – 0.9%

 

 

Endesa SA

5,830

150,018

Enel SpA

29,679

249,101

PPL Corp.

5,270

158,153

Southern Co. (The)

3,236

195,325

SSE PLC

10,480

206,040

 

 

958,637

Gas Utilities – 0.2%

 

 

AltaGas Ltd.

3,169

47,384

Snam SpA

30,534

151,399

 

 

198,783

Independent Power and Renewable Electricity Producers – 0.1%

 

AES Corp./VA

9,577

160,223

Multi-Utilities – 0.5%

 

 

Atco Ltd./Canada - Class I

4,330

161,555

CenterPoint Energy, Inc.(d)

6,045

139,156

Centrica PLC

170,730

158,146

Consolidated Edison, Inc.

871

68,652

 

 

527,509

 

 

1,845,152

Real Estate – 1.5%

 

 

Equity Real Estate Investment Trusts (REITs) – 1.4%

 

Covivio

1,357

144,424

Extra Space Storage, Inc.

1,362

136,690

ICADE

1,740

173,359

Iron Mountain, Inc.(c)

5,074

154,300

Kimco Realty Corp.

7,663

132,953

Klepierre SA(c)

4,143

124,415

Nippon Building Fund, Inc.

3

22,429

RioCan Real Estate Investment Trust

3,607

67,370

Stockland

49,229

152,180

VEREIT, Inc.

17,603

152,442

Vicinity Centres

49,355

69,900

Vornado Realty Trust

2,570

137,701

 

 

1,468,163

Real Estate Management & Development – 0.1%

 

 

Daito Trust Construction Co., Ltd.

100

10,171

Nomura Real Estate Holdings, Inc.

3,800

81,988

Company

Shares

U.S. $ Value

Vonovia SE

329

$ 17,801

 

 

109,960

 

 

1,578,123

Materials – 1.1%

 

 

Chemicals – 0.4%

 

 

Akzo Nobel NV

1,108

88,652

LyondellBasell Industries NV - Class A

1,830

130,772

Mitsubishi Chemical Holdings Corp.

20,700

138,387

Sumitomo Chemical Co., Ltd.

33,400

121,709

 

 

479,520

Metals & Mining – 0.7%

 

 

Alumina Ltd.(c)

94,134

120,501

BHP Group Ltd.

7,735

168,123

Evraz PLC

33,598

143,475

Fortescue Metals Group Ltd.

27,572

184,164

Newmont Corp.

2,541

113,405

 

 

729,668

 

 

1,209,188

Total Common Stocks

 

 

(cost $32,672,753)

 

31,915,946

PREFERRED STOCKS – 6.5%

 

 

Real Estate – 6.5%

 

 

Diversified REITs – 1.4%

 

 

Armada Hoffler Properties, Inc.

 

 

Series A

 

 

6.75%

5,425

149,133

Colony Capital, Inc.

 

 

Series I

 

 

7.15%

9,600

211,680

Colony Capital, Inc.

 

 

Series J

 

 

7.125%

2,500

55,025

Gladstone Commercial Corp.

 

 

Series D

 

 

7.00%

7,711

193,546

Gladstone Commercial Corp.

 

 

Series E

 

 

6.625%

2,150

55,492

Global Net Lease, Inc.

 

 

Series A

 

 

7.25%

7,900

200,581

Global Net Lease, Inc.

 

 

Series B

 

 

6.875%

4,450

111,575

PS Business Parks, Inc.

 

 

Series W

 

 

5.20%

5,100

128,979

PS Business Parks, Inc.

 

 

Series Y

 

 

5.20%

6,600

167,112

PS Business Parks, Inc.

 

 

Series Z

 

 

4.875%

2,700

66,393

Company

 

Shares

U.S. $ Value

VEREIT, Inc.

 

 

Series F

 

 

6.70%

 

554

$ 13,850

Vornado Realty Trust

 

 

Series K

 

 

5.70%

 

4,000

100,640

Vornado Realty Trust

 

 

Series L

 

 

 

5.40%

 

4,100

102,500

 

 

 

1,556,506

Hotel & Resort REITs – 1.0%

 

 

Ashford Hospitality Trust, Inc.

 

 

Series F

 

 

7.375%

 

5,000

98,601

Ashford Hospitality Trust, Inc.

 

 

Series G

 

 

7.375%

 

4,000

76,440

Ashford Hospitality Trust, Inc.

 

 

Series I

 

 

 

7.50%

(c)

2,350

46,436

Hersha Hospitality Trust

 

 

Series C

 

 

6.875%

 

3,400

83,640

Hersha Hospitality Trust

 

 

Series D

 

 

6.50%

(c)

2,100

50,190

Pebblebrook Hotel Trust

 

 

Series D

 

 

6.375%

 

3,700

85,137

Pebblebrook Hotel Trust

 

 

Series E

 

 

6.375%

 

1,250

30,337

Pebblebrook Hotel Trust

 

 

Series F

 

 

6.30%

 

2,400

55,704

Summit Hotel Properties, Inc.

 

 

Series D

 

 

6.45%

 

3,525

87,244

Summit Hotel Properties, Inc.

 

 

Series E

 

 

6.25%

(c)

5,975

143,280

Sunstone Hotel Investors, Inc.

 

 

Series E

 

 

6.95%

 

5,225

134,073

Sunstone Hotel Investors, Inc.

 

 

Series F

 

 

6.45%

 

5,625

142,594

 

 

 

1,033,676

Industrial REITs – 0.5%

 

 

Monmouth Real Estate Investment Corp.

 

 

Series C

 

 

6.125%

 

11,600

283,736

Rexford Industrial Realty, Inc.

 

 

Series A

 

 

5.875%

 

3,400

85,238

Company

Shares

U.S. $ Value

Rexford Industrial Realty, Inc.

 

 

Series B

 

 

5.875%

4,725

$ 120,487

Rexford Industrial Realty, Inc.

 

 

Series C

 

 

5.625%

3,975

99,773

 

 

589,234

Office REITs – 0.3%

 

 

City Office REIT, Inc.

 

 

Series A

 

 

6.625% (c)

7,000

178,920

SL Green Realty Corp.

 

 

Series I

 

 

6.50%

800

20,488

Vornado Realty Trust

 

 

Series M

 

 

5.25%

3,400

85,884

 

 

285,292

Real Estate Operating Companies – 0.3%

 

 

Brookfield Property Partners LP

 

 

Series A

 

 

5.75%

3,000

73,470

Brookfield Property Partners LP

 

 

Series A2

 

 

6.375%

12,000

297,480

 

 

370,950

Residential REITs – 0.6%

 

 

American Homes 4 Rent

 

 

Series D

 

 

6.50%

6,800

176,188

American Homes 4 Rent

 

 

Series E

 

 

6.35%

5,875

152,045

Investors Real Estate Trust

 

 

Series C

 

 

6.625%

1,200

30,900

UMH Properties, Inc.

 

 

Series C

 

 

6.75% (c)

7,000

174,510

UMH Properties, Inc.

 

 

Series D

 

 

6.375% (c)

5,800

136,068

 

 

669,711

Retail REITs – 1.5%

 

 

Brookfield Property REIT, Inc.

 

 

Series A

 

 

6.375%

4,300

107,715

Cedar Realty Trust, Inc.

 

 

Series C

 

 

6.50%

4,425

101,864

Kimco Realty Corp.

 

 

Series L

 

 

5.125% (c)

7,550

190,486

Company

Shares

U.S. $ Value

National Retail Properties, Inc.

 

 

Series F

 

 

5.20%

5,000

$ 125,500

Saul Centers, Inc.

 

 

Series D

 

 

6.125%

8,150

206,195

Saul Centers, Inc.

 

 

Series E

 

 

6.00%

1,500

36,990

SITE Centers Corp.

 

 

Series A

 

 

6.375%

6,775

178,454

Spirit Realty Capital, Inc.

 

 

Series A

 

 

6.00%

2,600

66,508

Taubman Centers, Inc.

 

 

Series J

 

 

6.50%

7,450

188,187

Taubman Centers, Inc.

 

 

Series K

 

 

6.25%

2,800

70,728

Urstadt Biddle Properties, Inc.

 

 

Series H

 

 

6.25%

5,250

140,066

Urstadt Biddle Properties, Inc.

 

 

Series K

 

 

5.875% (c)

6,500

163,800

 

 

1,576,493

Specialized REITs – 0.9%

 

 

Digital Realty Trust, Inc.

 

 

Series J

 

 

5.25%

7,000

176,890

Digital Realty Trust, Inc.

 

 

Series L

 

 

5.20%

8,500

212,670

EPR Properties

 

 

Series G

 

 

5.75%

10,225

258,181

National Storage Affiliates Trust

 

 

Series A

 

 

6.00%

5,700

152,760

Public Storage

 

 

Series C

 

 

5.125%

2,625

66,649

Public Storage

 

 

Series K

 

 

4.75%

1,000

25,400

Public Storage

 

 

Series V

 

 

5.375%

1,650

41,399

Public Storage

 

 

Series W

 

 

5.20%

700

17,500

QTS Realty Trust, Inc.

 

 

Series A

 

 

7.125%

1,225

32,793

 

 

984,242

Principal

Amount

(000) U.S. $ Value

Total Preferred Stocks

 

 

 

(cost $7,025,901)

 

$

7,066,104

EMERGING MARKETS - SOVEREIGNS – 3.3%

 

 

Angola – 0.2%

 

 

 

Angolan Government International Bond

 

 

 

9.125%, 11/26/2049 (f)

U.S.$

200

198,500

Argentina – 0.1%

 

 

 

Argentine Republic Government International

 

 

 

Bond

 

 

 

6.625%, 07/06/2028

 

150

64,219

7.50%, 04/22/2026

 

150

65,109

5.625%, 01/26/2022

 

6

2,792

 

 

 

132,120

Bahrain – 0.2%

 

 

 

Bahrain Government International Bond

 

 

 

7.00%, 10/12/2028 (f)

 

200

231,250

Dominican Republic – 0.3%

 

 

 

Dominican Republic International Bond

 

 

 

6.85%, 01/27/2045(f)

 

100

111,094

6.40%, 06/05/2049(f)

 

200

211,625

 

 

 

322,719

Ecuador – 0.1%

 

 

 

Ecuador Government International Bond

 

 

 

9.65%, 12/13/2026 (f)

 

200

149,800

Egypt – 0.2%

 

 

 

Egypt Government International Bond

 

 

 

8.70%, 03/01/2049 (f)

 

200

215,062

El Salvador – 0.2%

 

 

 

El Salvador Government International

 

 

 

Bond

 

 

 

6.375%, 01/18/2027 (f)

 

182

195,650

Gabon – 0.2%

 

 

 

Gabon Government International Bond

 

 

 

6.625%, 02/06/2031 (f)

 

200

199,992

Ghana – 0.2%

 

 

 

Ghana Government International Bond

 

 

 

8.95%, 03/26/2051 (f)

 

200

202,375

Guatemala – 0.2%

 

 

 

Guatemala Government Bond

 

 

 

4.90%, 06/01/2030 (f)

 

200

216,187

Honduras – 0.1%

 

 

 

Honduras Government International Bond

 

 

 

6.25%, 01/19/2027 (f)

 

150

167,297

Iraq – 0.2%

Iraq International Bond 6.752%, 03/09/2023 (f)

Ivory Coast – 0.2%

Ivory Coast Government International Bond

5.375%, 07/23/2024 (f)

Lebanon – 0.0%

Lebanon Government International Bond Series G

6.60%, 11/27/2026 (f)

Nigeria – 0.2%

Nigeria Government International Bond 7.625%, 11/28/2047 (f)

Senegal – 0.4%

Senegal Government International Bond 6.75%, 03/13/2048 (f)

Sri Lanka – 0.2%

Sri Lanka Government International Bond 7.85%, 03/14/2029 (f)

Ukraine – 0.1%

Ukraine Government International Bond 7.75%, 09/01/2027 (f)

Total Emerging Markets - Sovereigns (cost $3,716,964)

GOVERNMENTS - TREASURIES – 0.5% Indonesia – 0.2%

Indonesia Treasury Bond Series FR70 8.375%, 03/15/2024 Series FR71

9.00%, 03/15/2029

Mexico – 0.2%

Mexican Bonos

Series M 20 10.00%, 12/05/2024

Russia – 0.1%

Russian Federal Bond - OFZ Series 6215

7.00%, 08/16/2023

Total Governments - Treasuries (cost $586,654)

Principal

Amount

(000)U.S. $ Value

U.S.$

200

$ 199,063

 

200

209,250

 

107

27,820

 

200

186,438

 

400

400,750

 

200

193,316

 

150

163,875

 

 

3,611,464

IDR

1,105,000

83,294

 

1,438,000

111,552

 

 

194,846

MXN

4,137

239,733

RUB

8,885

137,679

 

 

572,258

 

 

Principal

 

 

 

Amount

 

 

 

(000)

U.S. $ Value

EMERGING MARKETS - TREASURIES – 0.3%

 

 

Brazil – 0.3%

 

 

 

Brazil Notas do Tesouro Nacional

 

 

 

Series NTNF

 

 

 

10.00%, 1/01/23

 

 

 

(Cost $352,954)

BRL

1,340

$ 335,700

QUASI-SOVEREIGNS – 0.1%

 

 

 

Quasi-Sovereign Bonds – 0.1%

 

 

 

Mexico – 0.1%

 

 

 

Petroleos Mexicanos

 

 

 

5.95%, 01/28/2031(f)

U.S.$

43

41,761

7.69%, 01/23/2050(f)

 

97

100,866

Total Quasi-Sovereigns

 

 

 

(cost $135,686)

 

 

142,627

Shares

SHORT-TERM INVESTMENTS – 11.8%

Investment Companies – 11.6%

AB Fixed Income Shares, Inc. - Government

Money Market Portfolio - Class AB, 1.52%(a) (b)

(g)

(cost $12,628,317)

 

12,628,317

12,628,317

 

 

Principal

 

 

 

Amount

 

 

 

(000)

 

Governments - Treasuries – 0.2%

 

 

 

Nigeria – 0.1%

 

 

 

Nigeria Treasury Bills

 

 

 

Zero Coupon, 03/19/2020

NGN

19,440

52,998

Egypt – 0.1%

 

 

 

Egypt Treasury Bills

 

 

 

Series 273D

 

 

 

Zero Coupon, 04/21/2020

EGP

1,675

104,859

Total Governments - Treasuries

 

 

 

(cost $154,937)

 

 

157,857

Total Short-Term Investments

 

 

 

(cost $12,783,254)

 

 

12,786,174

Total Investments Before Security Lending Collateral for

 

Securities Loaned – 98.0%

 

 

 

(cost $109,820,783)

 

 

106,411,428

Shares

INVESTMENTS OF CASH COLLATERAL FOR SECURITIES LOANED – 0.6% Investment Companies – 0.6%

AB Fixed Income Shares, Inc. - Government

Money Market Portfolio - Class AB, 1.52% (a) (b)

(g)

(cost $647,436)

647,436

647,436

 

 

 

 

 

 

U.S. $ Value

Total Investments – 98.6%

 

 

 

 

 

 

(cost $110,468,219)(h)

 

 

 

 

$

107,058,864

Other assets less liabilities – 1.4%

 

 

 

 

1,505,066

Net Assets – 100.0%

 

 

 

 

$

108,563,930

FUTURES

 

 

 

 

 

 

 

 

 

 

 

 

Value and

 

Number

 

 

 

 

Unrealized

 

of

Expiration

 

Current

 

Appreciation/

Description

Contracts

Month

 

Notional

(Depreciation)

Purchased Contracts

 

 

 

 

 

 

10 Yr Australian Bond Futures

11

March 2020

$

1,072,716

$

28,381

10 Yr Mini Japan Government

 

 

 

 

 

 

Bond Futures

40

March 2020

 

5,713,332

 

72,168

Amsterdam Index Futures

1

March 2020

 

119,026

 

(19,842)

Canadian 10 Yr Bond Futures

7

June 2020

 

744,302

 

6,001

DAX Index Futures

1

March 2020

 

326,190

 

(42,877)

Euro-CAC40 10 Futures

6

March 2020

 

351,487

 

(50,879)

FTSE 100 Index Futures

6

March 2020

 

502,231

 

(41,905)

FTSE/MIB Index Futures

1

March 2020

 

121,578

 

(7,947)

IBEX 35 Index Futures

1

March 2020

 

95,970

 

(14,268)

Long Gilt Futures

6

June 2020

 

1,041,619

 

7,533

MSCI Singapore IX ETS

 

 

 

 

 

 

Futures

14

March 2020

 

345,804

 

(18,169)

OMXS30 Index Futures

16

March 2020

 

278,271

 

(37,216)

S&P 500 E-Mini Futures

13

March 2020

 

1,918,215

 

(231,838)

TOPIX Index Futures

2

March 2020

 

278,045

 

(9,099)

Sold Contracts

 

 

 

 

 

 

Euro STOXX 50 Futures

26

March 2020

 

951,208

 

99,059

FTSE 100 Index Futures

4

March 2020

 

334,821

 

36,414

Hang Seng Index Futures

1

March 2020

 

167,864

 

3,088

Mini S&P TSX 60 Futures

2

March 2020

 

72,356

 

2,721

MSCI EAFE Futures

8

March 2020

 

726,400

 

62,458

S&P 500 E-Mini Futures

15

March 2020

 

2,213,326

 

172,003

S&P TSX 60 Index Futures

6

March 2020

 

868,273

 

27,836

SPI 200 Futures

3

March 2020

 

311,426

 

18,325

TOPIX Index Futures

3

March 2020

 

417,068

 

57,573

 

 

 

 

 

$

119,520

FORWARD CURRENCY EXCHANGE CONTRACTS

 

Contracts to

In Exchange

 

Unrealized

 

Deliver

 

For

Settlement

Appreciation/

Counterparty

 

(000)

 

(000)

Date

(Depreciation)

Bank of America, NA

COP

161,321

USD

48

03/19/2020 $

2,378

Bank of America, NA

RUB

20,878

USD

328

03/16/2020

16,375

Bank of America, NA

BRL

1,897

USD

422

03/03/2020

(2,527)

Bank of America, NA

USD

182

NZD

285

03/19/2020

(3,913)

Bank of America, NA

USD

448

BRL

1,897

03/03/2020

(23,411)

Barclays Bank PLC

CNY

884

USD

126

05/21/2020

(204)

Barclays Bank PLC

EUR

674

USD

751

04/08/2020

5,239

Barclays Bank PLC

EUR

555

USD

609

04/08/2020

(5,121)

Barclays Bank PLC

USD

537

CAD

717

03/27/2020

(2,206)

Barclays Bank PLC

USD

828

AUD

1,226

03/26/2020

(28,877)

Barclays Bank PLC

USD

434

CNY

3,047

05/21/2020

1,324

Barclays Bank PLC

USD

554

NOK

5,203

03/12/2020

(820)

Barclays Bank PLC

USD

248

TWD

7,376

05/21/2020

(1,511)

Barclays Bank PLC

USD

163

PHP

8,293

03/12/2020

(937)

Barclays Bank PLC

USD

699

RUB

43,216

03/16/2020

(54,367)

 

Contracts to

In Exchange

 

Unrealized

 

Deliver

 

For

Settlement

Appreciation/

Counterparty

 

(000)

 

(000)

Date

(Depreciation)

Barclays Bank PLC

USD

651

INR

46,839

04/23/2020 $

(7,466)

Barclays Bank PLC

USD

145

CLP

118,745

03/19/2020

(153)

BNP Paribas SA

THB

8,555

USD

283

03/19/2020

11,711

BNP Paribas SA

AUD

1,616

USD

1,109

03/26/2020

55,707

BNP Paribas SA

CAD

1,123

USD

847

03/27/2020

10,394

BNP Paribas SA

USD

1,306

CAD

1,717

03/27/2020

(26,642)

BNP Paribas SA

USD

519

PLN

1,976

03/26/2020

(15,186)

Citibank, NA

COP

613,654

USD

180

03/19/2020

5,660

Citibank, NA

BRL

5,880

USD

1,340

04/02/2020

27,528

Citibank, NA

BRL

5,880

USD

1,307

03/03/2020

(7,833)

Citibank, NA

BRL

1,609

USD

368

03/03/2020

8,306

Citibank, NA

USD

1,342

BRL

5,880

03/03/2020

(27,281)

Citibank, NA

USD

358

BRL

1,609

03/03/2020

2,143

Credit Suisse International

USD

976

SEK

9,529

03/12/2020

16,568

Credit Suisse International

USD

247

INR

17,725

04/23/2020

(3,696)

Deutsche Bank AG

PEN

2,928

USD

879

03/19/2020

32,590

Goldman Sachs

 

 

 

 

 

 

International

HUF

360,773

USD

1,217

03/26/2020

38,115

Goldman Sachs

 

 

 

 

 

 

International

JPY

101,078

USD

930

04/09/2020

(9,474)

Goldman Sachs

 

 

 

 

 

 

International

RUB

11,161

USD

166

03/16/2020

(682)

Goldman Sachs

 

 

 

 

 

 

International

USD

565

BRL

2,546

04/02/2020

3,635

Goldman Sachs

 

 

 

 

 

 

International

USD

194

TWD

5,821

05/21/2020

22

Goldman Sachs

 

 

 

 

 

 

International

USD

333

RUB

20,921

03/16/2020

(20,794)

HSBC Bank USA

CNY

5,394

USD

771

05/21/2020

(751)

HSBC Bank USA

USD

244

TRY

1,538

03/30/2020

(594)

JPMorgan Chase Bank, NA

KRW

280,750

USD

238

05/14/2020

4,051

JPMorgan Chase Bank, NA

JPY

74,828

USD

688

04/09/2020

(6,872)

JPMorgan Chase Bank, NA

PHP

11,205

USD

219

03/12/2020

(714)

JPMorgan Chase Bank, NA

SEK

6,562

USD

683

03/12/2020

(154)

JPMorgan Chase Bank, NA

USD

601

CHF

579

03/18/2020

631

JPMorgan Chase Bank, NA

USD

769

CNY

5,394

05/21/2020

2,344

JPMorgan Chase Bank, NA

USD

968

SEK

9,068

03/12/2020

(24,175)

JPMorgan Chase Bank, NA

USD

624

MXN

11,901

03/06/2020

(19,458)

JPMorgan Chase Bank, NA

USD

49

COP

161,321

03/19/2020

(3,656)

Morgan Stanley Capital

 

 

 

 

 

 

Services, Inc.

CLP

691,608

USD

907

03/19/2020

61,553

Morgan Stanley Capital

 

 

 

 

 

 

Services, Inc.

KRW

26,180

USD

22

05/14/2020

271

Morgan Stanley Capital

 

 

 

 

 

 

Services, Inc.

NOK

12,401

USD

1,409

03/12/2020

90,506

Morgan Stanley Capital

 

 

 

 

 

 

Services, Inc.

BRL

6,168

USD

1,464

03/03/2020

85,225

Morgan Stanley Capital

 

 

 

 

 

 

Services, Inc.

USD

1,371

BRL

6,168

03/03/2020

8,217

Morgan Stanley Capital

 

 

 

 

 

 

Services, Inc.

USD

736

TRY

4,433

03/30/2020

(34,395)

Morgan Stanley Capital

 

 

 

 

 

 

Services, Inc.

USD

307

CLP

237,648

03/19/2020

(15,991)

Morgan Stanley Capital

 

 

 

 

 

 

Services, Inc.

USD

169

IDR

2,357,674

05/05/2020

(8,045)

State Street Bank & Trust

 

 

 

 

 

 

Co.

JPY

33,744

USD

308

04/09/2020

(5,481)

State Street Bank & Trust

 

 

 

 

 

 

Co.

CZK

8,971

USD

394

03/26/2020

5,097

State Street Bank & Trust

 

 

 

 

 

 

Co.

ZAR

4,230

USD

269

04/08/2020

(356)

State Street Bank & Trust

 

 

 

 

 

 

Co.

THB

3,913

USD

126

03/19/2020

2,278

State Street Bank & Trust

 

 

 

 

 

 

Co.

SEK

3,101

USD

321

03/12/2020

(1,350)

State Street Bank & Trust

 

 

 

 

 

 

Co.

JPY

4,009

USD

37

03/16/2020

(492)

State Street Bank & Trust

 

 

 

 

 

 

Co.

SEK

3,442

USD

362

03/12/2020

3,341

 

Contracts to

In Exchange

 

Unrealized

 

Deliver

 

 

For

Settlement

Appreciation/

Counterparty

(000)

 

 

(000)

Date

(Depreciation)

State Street Bank & Trust

 

 

 

 

 

 

Co.

NOK

2,154

USD

231

03/12/2020 $

2,222

State Street Bank & Trust

 

 

 

 

 

 

Co.

PLN

1,528

USD

387

03/26/2020

(2,231)

State Street Bank & Trust

 

 

 

 

 

 

Co.

TRY

977

USD

161

03/30/2020

6,498

State Street Bank & Trust

 

 

 

 

 

 

Co.

AUD

1,702

USD

1,133

03/26/2020

24,173

State Street Bank & Trust

 

 

 

 

 

 

Co.

CAD

456

USD

342

03/27/2020

1,590

State Street Bank & Trust

 

 

 

 

 

 

Co.

CHF

1,482

USD

1,532

03/18/2020

(6,571)

State Street Bank & Trust

 

 

 

 

 

 

Co.

EUR

435

USD

485

04/08/2020

3,411

State Street Bank & Trust

 

 

 

 

 

 

Co.

NZD

434

USD

274

03/19/2020

2,947

State Street Bank & Trust

 

 

 

 

 

 

Co.

ILS

329

USD

96

03/16/2020

1,054

State Street Bank & Trust

 

 

 

 

 

 

Co.

NOK

314

USD

34

03/16/2020

692

State Street Bank & Trust

 

 

 

 

 

 

Co.

EUR

322

USD

355

04/08/2020

(829)

State Street Bank & Trust

 

 

 

 

 

 

Co.

GBP

303

USD

398

03/13/2020

9,649

State Street Bank & Trust

 

 

 

 

 

 

Co.

CAD

123

USD

93

03/16/2020

1,115

State Street Bank & Trust

 

 

 

 

 

 

Co.

CHF

103

USD

106

03/16/2020

(1,235)

State Street Bank & Trust

 

 

 

 

 

 

Co.

EUR

106

USD

115

03/16/2020

(1,568)

State Street Bank & Trust

 

 

 

 

 

 

Co.

DKK

61

USD

9

03/16/2020

(110)

State Street Bank & Trust

 

 

 

 

 

 

Co.

GBP

75

USD

97

03/16/2020

1,216

State Street Bank & Trust

 

 

 

 

 

 

Co.

AUD

28

USD

19

03/16/2020

642

State Street Bank & Trust

 

 

 

 

 

 

Co.

SGD

11

USD

8

03/16/2020

38

State Street Bank & Trust

 

 

 

 

 

 

Co.

USD

14

EUR

13

03/16/2020

224

State Street Bank & Trust

 

 

 

 

 

 

Co.

USD

1,186

AUD

1,772

03/26/2020

(31,449)

State Street Bank & Trust

 

 

 

 

 

 

Co.

USD

4

AUD

6

03/16/2020

6

State Street Bank & Trust

 

 

 

 

 

 

Co.

USD

946

CHF

917

03/18/2020

4,836

State Street Bank & Trust

 

 

 

 

 

 

Co.

USD

10

ILS

33

03/16/2020

(92)

State Street Bank & Trust

 

 

 

 

 

 

Co.

USD

40

CAD

52

03/27/2020

(1,054)

State Street Bank & Trust

 

 

 

 

 

 

Co.

USD

8

HKD

63

03/16/2020

(25)

State Street Bank & Trust

 

 

 

 

 

 

Co.

USD

828

EUR

757

04/08/2020

9,784

State Street Bank & Trust

 

 

 

 

 

 

Co.

USD

1,181

NZD

1,793

03/19/2020

(60,146)

State Street Bank & Trust

 

 

 

 

 

 

Co.

USD

24

SEK

229

03/16/2020

27

State Street Bank & Trust

 

 

 

 

 

 

Co.

USD

153

PLN

591

03/26/2020

(2,422)

State Street Bank & Trust

 

 

 

 

 

 

Co.

USD

64

JPY

7,022

03/16/2020

1,241

State Street Bank & Trust

 

 

 

 

 

 

Co.

USD

754

EUR

674

04/08/2020

(8,428)

State Street Bank & Trust

 

 

 

 

 

 

Co.

USD

208

SEK

1,990

03/12/2020

(915)

State Street Bank & Trust

 

 

 

 

 

 

Co.

USD

686

NOK

6,103

03/12/2020

(37,609)

 

Contracts to

In Exchange

 

Unrealized

 

Deliver

 

For

Settlement

Appreciation/

Counterparty

 

(000)

 

(000)

Date

(Depreciation)

State Street Bank & Trust

 

 

 

 

 

 

 

Co.

USD

218

SEK

2,099

03/12/2020 $

 

947

State Street Bank & Trust

 

 

 

 

 

 

 

Co.

USD

118

MXN

2,234

03/06/2020

 

(4,335)

State Street Bank & Trust

 

 

 

 

 

 

 

Co.

USD

358

ZAR

5,240

04/08/2020

 

(24,362)

State Street Bank & Trust

 

 

 

 

 

 

 

Co.

USD

396

CZK

8,971

03/26/2020

 

(6,567)

State Street Bank & Trust

 

 

 

 

 

 

 

Co.

USD

675

JPY

74,092

04/09/2020

 

13,048

State Street Bank & Trust

 

 

 

 

 

 

 

Co.

USD

266

HUF

81,920

03/26/2020

 

1,288

State Street Bank & Trust

 

 

 

 

 

 

 

Co.

USD

391

HUF

119,022

03/26/2020

 

(2,280)

UBS AG

PHP

33,536

USD

658

03/12/2020

 

2,038

 

 

 

 

 

 

$

32,082

CALL OPTIONS WRITTEN

 

 

 

Exercise

Expiration

 

Notional

 

Premiums

 

 

Description

Counterparty

Contracts

Price

Month

 

(000)

 

Received

 

U.S. $ Value

Euro STOXX

Citibank, NA

120

EUR

3,5

March 2020

EUR

426

$

3,222

$

(3,355)

50 Index (i)

 

 

 

 

 

 

 

 

 

 

 

FTSE 100

Citibank, NA

30

GBP

6,9

March 2020

GBP

209

 

1,928

 

(2,224)

Index (i)

 

 

 

 

 

 

 

 

 

 

 

Nikkei 225

Goldman Sachs Bank USA

2,000

JPY

22,6

March 2020

JPY

45,250

 

1,669

 

(2,361)

Index (i)

 

 

 

 

 

 

 

 

 

 

 

S&P 500

Goldman Sachs International

900

USD

3,0

March 2020

USD

2,754

 

104,400

 

(104,400)

Index (i)

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

$

111,219

$

(112,340)

PUT OPTIONS WRITTEN

 

 

 

Exercise

Expiration

 

Notional

 

Premiums

 

 

Description

Counterparty

Contracts

Price

Month

 

(000)

 

Received

 

U.S. $ Value

Euro STOXX

Citibank, NA

120

EUR

3,3

March 2020

EUR

405

$

20,889

$

(20,561)

50 Index (i)

 

 

 

 

 

 

 

 

 

 

 

FTSE 100

Citibank, NA

30

GBP

6,6

March 2020

GBP

198

 

10,842

 

(10,406)

Index (i)

 

 

 

 

 

 

 

 

 

 

 

Nikkei 225

Goldman Sachs Bank USA

2,000

JPY

20,8

March 2020

JPY

41,750

 

13,351

 

(12,246)

Index (i)

 

 

 

 

 

 

 

 

 

 

 

S&P 500

Goldman Sachs International

900

USD

2,8

March 2020

USD

2,574

 

40,050

 

(40,050)

Index (i)

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

$

85,132

$

(83,263)

CENTRALLY CLEARED INTEREST RATE SWAPS

Rate Type

 

 

Payments

Payments

Payment

 

Upfront

 

 

 

 

 

made

received

Frequency

 

Premiums

Unrealized

Notional

 

Termination

by the

by the

Paid/

Market

Paid

Appreciation/

Amount (000)

Date

Fund

Fund

Received

Value

(Received)

(Depreciation)

 

 

 

 

 

Quarterly

 

 

 

 

 

 

 

3 Month

 

/Semi-

 

 

 

 

USD

 

31008/21/2020

LIBOR

1.620%

Annual $

372

$

— $

372

 

 

 

 

 

Quarterly

 

 

 

 

 

 

 

3 Month

 

/Semi-

 

 

 

 

USD

1,05001/10/2022

LIBOR

1.941%

Annual

18,755

 

—

18,755

 

 

Payments

Payments

Payment

 

Upfront

 

 

 

 

 

made

received

Frequency

 

Premiums

Unrealized

Notional

 

Termination

by the

 

by the

Paid/

Market

Paid

Appreciation/

Amount (000)

Date

Fund

 

Fund

Received

Value

(Received)

(Depreciation)

 

 

 

China 7-

 

 

 

 

 

 

 

 

 

 

Day

 

 

Quarterly

 

 

 

 

 

 

 

Reverse

 

 

/

 

 

 

 

CNY

 

74002/17/2025 Repo Rate

2.547%

Quarterly $

766

$

— $

766

 

 

 

China 7-

 

 

 

 

 

 

 

 

 

 

Day

 

 

Quarterly

 

 

 

 

 

 

 

Reverse

 

 

/

 

 

 

 

CNY

2,20402/20/2025 Repo Rate

2.598%

Quarterly

3,030

 

—

3,030

 

 

 

China 7-

 

 

 

 

 

 

 

 

 

 

Day

 

 

Quarterly

 

 

 

 

 

 

 

Reverse

 

 

/

 

 

 

 

CNY

2,23602/21/2025 Repo Rate

2.620%

Quarterly

3,411

 

—

3,411

 

 

 

 

 

 

Quarterly

 

 

 

 

 

 

 

3 Month

 

 

/Semi-

 

 

 

 

USD

 

21010/10/2027

LIBOR

 

2.354%

Annual

22,112

 

—

22,112

 

 

 

 

 

 

Quarterly

 

 

 

 

 

 

 

3 Month

 

 

/Semi-

 

 

 

 

USD

 

28011/08/2027

LIBOR

 

2.326%

Annual

28,974

 

—

28,974

 

 

 

 

 

 

Quarterly

 

 

 

 

 

 

 

3 Month

 

 

/Semi-

 

 

 

 

USD

 

36012/27/2027

LIBOR

 

2.492%

Annual

40,333

 

—

40,333

 

 

 

 

 

 

Quarterly

 

 

 

 

 

 

 

3 Month

 

 

/Semi-

 

 

 

 

USD

1,20001/09/2028

LIBOR

 

2.468%

Annual

133,126

 

—

133,126

 

 

 

 

 

 

Quarterly

 

 

 

 

 

 

 

3 Month

 

 

/Semi-

 

 

 

 

USD

 

30001/16/2028

LIBOR

 

2.558%

Annual

35,256

 

—

35,256

 

 

 

 

 

 

Quarterly

 

 

 

 

 

 

 

3 Month

 

 

/Semi-

 

 

 

 

USD

 

35001/23/2028

LIBOR

 

2.690%

Annual

44,765

 

—

44,765

 

 

 

 

 

 

Quarterly

 

 

 

 

 

 

 

3 Month

 

 

/Semi-

 

 

 

 

USD

 

66003/09/2028

LIBOR

 

2.931%

Annual

103,676

 

—

103,676

 

 

 

 

 

 

Quarterly

 

 

 

 

 

 

 

3 Month

 

 

/Semi-

 

 

 

 

USD

 

12004/25/2028

LIBOR

 

3.011%

Annual

19,764

 

—

19,764

 

 

 

 

 

 

Semi-

 

 

 

 

 

 

 

6 Month

 

 

Annual/

 

 

 

 

EUR

1,68007/16/2028 EURIBOR

0.871%

Annual

189,823

 

—

189,823

 

 

 

 

 

 

Quarterly

 

 

 

 

 

 

 

3 Month

 

 

/Semi-

 

 

 

 

USD

 

59002/14/2029

LIBOR

 

2.707%

Annual

84,024

 

—

84,024

 

 

 

 

 

 

Quarterly

 

 

 

 

 

 

 

3 Month

 

 

/Semi-

 

 

 

 

USD

 

13005/02/2029

LIBOR

 

2.501%

Annual

17,329

 

—

17,329

 

 

 

 

 

 

Semi-

 

 

 

 

 

 

 

6 Month

 

 

Annual/

 

 

 

 

EUR

 

20005/03/2029 EURIBOR

0.523%

Annual

16,678

 

—

16,678

 

 

 

 

 

 

Quarterly

 

 

 

 

 

 

 

3 Month

 

 

/Semi-

 

 

 

 

USD

 

35009/11/2029

LIBOR

 

1.509%

Annual

14,750

 

—

14,750

 

 

 

 

 

 

Semi-

 

 

 

 

 

 

 

6 Month

 

 

Annual/

 

 

 

 

EUR

 

28009/12/2029 EURIBOR (0.157)% Annual

1,831

 

—

1,831

 

 

 

 

 

 

Quarterly

 

 

 

 

 

 

 

3 Month

 

 

/Semi-

 

 

 

 

USD

 

26010/17/2029

LIBOR

 

1.636%

Annual

14,233

 

—

14,233

 

 

 

 

 

 

Semi-

 

 

 

 

 

 

 

 

 

 

Annual/

 

 

 

 

 

 

 

 

 

6 Month

Semi-

 

 

 

 

JPY

 

21010/28/2029

(0.005)%

 

LIBOR

Annual

(21)

 

—

(21)

 

 

 

 

 

 

Annual/

 

 

 

 

 

 

 

 

 

6 Month

Semi-

 

 

 

 

NOK

1,04011/04/2029

1.861%

 

NIBOR

Annual

(3,315)

(2,871)

(444)

 

 

 

 

 

 

Semi-

 

 

 

 

 

 

 

6 Month

 

 

Annual/

 

 

 

 

NOK

1,04011/04/2029

NIBOR

 

1.861%

Annual

3,311

 

—

3,311

 

 

Payments

Payments

Payment

 

Upfront

 

 

 

 

 

made

received

Frequency

 

Premiums

Unrealized

Notional

 

Termination

by the

by the

Paid/

Market

Paid

Appreciation/

Amount (000)

Date

Fund

Fund

Received

Value

(Received)

(Depreciation)

 

 

 

 

 

Semi-

 

 

 

 

 

 

 

6 Month

 

Annual/

 

 

 

 

CHF

 

64011/04/2029

LIBOR

(0.235)% Annual $

22,860

$

— $

22,860

 

 

 

 

 

Quarterly

 

 

 

 

 

 

 

3 Month

 

/Semi-

 

 

 

 

USD

 

24011/18/2029

LIBOR

1.728%

Annual

15,367

 

—

15,367

 

 

 

 

 

Semi-

 

 

 

 

 

 

 

6 Month

 

Annual/

 

 

 

 

EUR

 

18011/18/2029 EURIBOR 0.073%

Annual

5,586

 

—

5,586

 

 

 

 

 

Semi-

 

 

 

 

 

 

 

 

 

Annual/

 

 

 

 

 

 

 

 

6 Month

Semi-

 

 

 

 

AUD

 

28012/04/2029

1.291%

BBSW

Annual

(7,157)

 

—

(7,157)

 

 

 

 

 

Semi-

 

 

 

 

 

 

 

 

 

Annual/

 

 

 

 

 

 

 

6 Month

 

Semi-

 

 

 

 

AUD

 

28012/04/2029

BBSW

1.291%

Annual

7,146

6,473

673

 

 

 

3 Month

 

Quarterly

 

 

 

 

SEK

 

25012/05/2029

STIBOR

0.573% / Annual

838

 

—

838

 

 

 

 

3 Month

Annual/

 

 

 

 

SEK

 

25012/05/2029

0.573%

STIBOR Quarterly

(837)

(803)

(34)

 

 

 

 

 

Semi-

 

 

 

 

 

 

 

6 Month

 

Annual/

 

 

 

 

NOK

5,54012/17/2029

NIBOR

2.001%

Annual

25,373

 

—

25,373

 

 

 

 

 

Quarterly

 

 

 

 

 

 

 

3 Month

 

/Semi-

 

 

 

 

NZD

2,22012/17/2029

BKBM

1.730%

Annual

75,273

 

—

75,273

 

 

 

 

 

Semi-

 

 

 

 

 

 

 

 

3 Month

Annual/

 

 

 

 

NZD

1,91012/17/2029

1.730%

BKBM

Quarterly

(64,687)

(64,586)

(101)

 

 

 

3 Month

 

Quarterly

 

 

 

 

SEK

1,50012/17/2029

STIBOR

0.608%

/ Annual

5,553

 

—

5,553

 

 

 

 

3 Month

Annual/

 

 

 

 

SEK

1,50012/17/2029

0.608%

STIBOR Quarterly

(5,541)

(5,230)

(311)

 

 

 

 

 

Annual/

 

 

 

 

 

 

 

 

6 Month

Semi-

 

 

 

 

NOK

 

78012/17/2029

2.001%

NIBOR

Annual

(3,568)

(3,196)

(372)

 

 

 

 

 

Semi-

 

 

 

 

 

 

 

 

3 Month

Annual/

 

 

 

 

USD

 

44012/17/2029

1.815%

LIBOR

Quarterly

(29,948)

 

—

(29,948)

 

 

 

 

 

Quarterly

 

 

 

 

 

 

 

3 Month

 

/Semi-

 

 

 

 

USD

 

6012/17/2029

LIBOR

1.815%

Annual

4,081

3,715

366

 

 

 

 

 

Quarterly

 

 

 

 

 

 

 

3 Month

 

/Semi-

 

 

 

 

USD

 

19012/18/2029

LIBOR

1.836%

Annual

13,327

 

—

13,327

 

 

 

 

 

Semi-

 

 

 

 

 

 

 

 

 

Annual/

 

 

 

 

 

 

 

 

6 Month

Semi-

 

 

 

 

GBP

 

50012/20/2029

0.999%

LIBOR

Annual

(22,452)

 

—

(22,452)

 

 

 

 

 

Semi-

 

 

 

 

 

 

 

 

 

Annual/

 

 

 

 

 

 

 

6 Month

 

Semi-

 

 

 

 

GBP

 

4012/20/2029

LIBOR

0.999%

Annual

1,796

1,832

(36)

 

 

 

 

 

Quarterly

 

 

 

 

 

 

 

3 Month

 

/Semi-

 

 

 

 

NZD

1,18012/24/2029

BKBM

1.780%

Annual

43,373

 

—

43,373

 

 

 

 

 

Semi-

 

 

 

 

 

 

 

 

 

Annual/

 

 

 

 

 

 

 

 

3 month

Semi-

 

 

 

 

CAD

1,55001/07/2030

2.029%

CDOR

Annual

(57,502)

 

—

(57,502)

 

 

 

 

 

Semi-

 

 

 

 

 

 

 

 

 

Annual/

 

 

 

 

 

 

 

3 Month

 

Semi-

 

 

 

 

CAD

 

44001/07/2030

CDOR

2.029%

Annual

16,322

15,291

1,031

 

 

 

3 Month

 

Quarterly

 

 

 

 

SEK

10,98001/09/2030

STIBOR

0.613%

/ Annual

40,337

 

—

40,337

 

 

Payments

Payments

Payment

 

Upfront

 

 

 

 

 

made

received

Frequency

 

Premiums

Unrealized

Notional

 

Termination

by the

by the

Paid/

Market

Paid

Appreciation/

Amount (000)

Date

Fund

Fund

Received

Value

(Received)

(Depreciation)

 

 

 

 

3 Month

Annual/

 

 

 

 

SEK

4,40001/09/2030

0.613%

STIBOR Quarterly $

(16,141)

$ (15,371) $

(770)

 

 

 

 

 

Semi-

 

 

 

 

 

 

 

 

3 Month

Annual/

 

 

 

 

USD

 

33001/09/2030

1.740%

LIBOR

Quarterly

(20,156)

 

—

(20,156)

 

 

 

 

6 Month

Annual/

 

 

 

 

 

 

 

 

EURIBO

Semi-

 

 

 

 

EUR

 

13001/09/2030

0.105%

R

Annual

(4,362)

 

—

(4,362)

 

 

 

 

 

Quarterly

 

 

 

 

 

 

 

3 Month

 

/Semi-

 

 

 

 

USD

 

31001/21/2030

LIBOR

1.790%

Annual

20,478

 

—

20,478

 

 

 

 

 

Semi-

 

 

 

 

 

 

 

6 Month

 

Annual/

 

 

 

 

EUR

 

22001/23/2030 EURIBOR 0.131%

Annual

7,977

 

—

7,977

 

 

 

 

 

Semi-

 

 

 

 

 

 

 

 

 

Annual/

 

 

 

 

 

 

 

 

6 Month

Semi-

 

 

 

 

AUD

2,49001/31/2030

1.115%

BBSW

Annual

(35,128)

 

—

(35,128)

 

 

 

 

 

Semi-

 

 

 

 

 

 

 

 

 

Annual/

 

 

 

 

 

 

 

6 Month

 

Semi-

 

 

 

 

AUD

1,49001/31/2030

BBSW

1.115%

Annual

20,996

17,952

3,044

 

 

 

3 Month

 

Quarterly

 

 

 

 

SEK

8,93002/03/2030

STIBOR

0.459%

/ Annual

18,290

 

—

18,290

 

 

 

 

 

Semi-

 

 

 

 

 

 

 

6 Month

 

Annual/

 

 

 

 

NOK

1,17002/03/2030

NIBOR

1.753%

Annual

2,566

 

—

2,566

 

 

 

 

 

Semi-

 

 

 

 

 

 

 

6 Month

 

Annual/

 

 

 

 

CHF

 

27002/03/2030

LIBOR

(0.368)% Annual

5,134

 

—

5,134

 

 

 

3 Month

 

Quarterly

 

 

 

 

SEK

1,08002/07/2030

STIBOR

0.520%

/ Annual

2,892

 

—

2,892

 

 

 

 

 

Semi-

 

 

 

 

 

 

 

6 Month

 

Annual/

 

 

 

 

NOK

1,04002/07/2030

NIBOR

1.805%

Annual

2,851

 

—

2,851

 

 

 

 

 

Semi-

 

 

 

 

 

 

 

6 Month

 

Annual/

 

 

 

 

CHF

 

41002/07/2030

LIBOR

(0.332)% Annual

9,340

 

—

9,340

 

 

 

 

 

Semi-

 

 

 

 

 

 

 

 

3 Month

Annual/

 

 

 

 

USD

 

38002/07/2030

1.584%

LIBOR

Quarterly

(17,657)

 

—

(17,657)

 

 

 

 

 

Quarterly

 

 

 

 

 

 

 

3 Month

 

/Semi-

 

 

 

 

USD

 

15002/12/2030

LIBOR

1.495%

Annual

5,696

 

—

5,696

 

 

 

 

 

Quarterly

 

 

 

 

 

 

 

3 Month

 

/Semi-

 

 

 

 

USD

 

22008/21/2045

LIBOR

2.630%

Annual

66,063

 

—

66,063

 

 

 

 

 

Quarterly

 

 

 

 

 

 

 

3 Month

 

/Semi-

 

 

 

 

USD

 

7009/04/2045

LIBOR

2.708%

Annual

22,880

 

—

22,880

 

 

 

 

 

$

970,242 $

(46,794) $

1,017,036

INFLATION (CPI) SWAPS

Rate Type

 

 

 

 

Payments

Payments

Payment

 

 

Upfront

 

 

 

 

Notional

 

made

received

Frequency

 

 

Premiums

 

Unrealized

 

 

Amount

Termination

by the

by the

Paid/

Market

 

Paid

Appreciation/

Swap Counterparty

 

(000)

Date

Fund

Fund

Received

Value

 

(Received)

(Depreciation)

Bank of America, NA

USD

8,300

01/05/2023

2.163%

CPI#

Maturity

$ (219,826)

$

—

$

(219,826)

Bank of America, NA

USD

610

01/19/2023

2.213%

CPI#

Maturity

(18,244)

 

—

 

(18,244)

Deutsche Bank AG

USD

1,920

10/01/2020

1.273%

CPI#

Maturity

51,182

 

—

 

51,182

 

 

 

 

Payments

Payments

Payment

 

 

 

 

 

Upfront

 

 

 

 

 

 

 

Notional

 

made

received

Frequency

 

 

 

 

Premiums

 

 

 

Unrealized

 

 

Amount

Termination

by the

by the

Paid/

Market

 

 

 

 

Paid

 

 

Appreciation/

Swap Counterparty

 

(000)

Date

Fund

Fund

Received

Value

 

 

 

(Received)

 

 

(Depreciation)

JPMorgan Chase

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Bank, NA

USD

400

11/10/2021

1.896%

CPI#

Maturity $

(1,393)

$

 

 

—

 

$

(1,393)

 

 

 

 

 

 

 

$

 

(188,281)

 

$

 

—

$

 

(188,281)

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

TOTAL RETURN SWAPS

 

 

 

Current

 

Unrealized

Counterparty &

Rate Paid/

Payment

Notional

Maturity

Appreciation/

Referenced Obligation

Received

Frequency

(000)

Date

(Depreciation)

Receive Total Return on Reference Obligation

 

 

 

 

Goldman Sachs International

 

 

 

 

 

 

GSABHY01(1)

0.900%

Quarterly

1,078

02/18/2021

$

25,328

JPMorgan Chase Bank, NA

 

 

 

 

 

 

JPQABHY1(2)

0.040%

Quarterly

2,437

02/18/2021

 

(48,421)

Pay Total Return on Reference Obligation

 

 

 

 

 

Morgan Stanley Capital Services LLC

 

 

 

 

 

Swiss Marketing Index

 

 

 

 

 

 

Future

1.000%

Monthly

306

03/20/2020

 

25,562

Swiss Marketing Index

 

 

 

 

 

 

Future

0.00%

Monthly

204

03/20/2020

 

19,354

 

 

 

 

 

$

21,823

(a)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.

(b)Affiliated investments.

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

(d)Position, or a portion thereof, has been segregated to collateralize margin requirements for open futures contracts.

(e)Non-income producing security.

(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 February 29, 2020, the aggregate market value of these securities amounted to $3,918,530 or 3.6% of net assets.

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

(h)As of February 29, 2020, the cost basis of investment securities owned was substantially identical for both book and tax purposes. Gross unrealized appreciation of investments was $4,887,979 and gross unrealized depreciation of investments was $(7,294,628), resulting in net unrealized depreciation of $(2,406,649).

(i)One contract relates to 1 share.

Currency Abbreviations:

AUD – Australian Dollar

BRL – Brazilian Real

CAD – Canadian Dollar

CHF – Swiss Franc

CLP – Chilean Peso

CNY – Chinese Yuan Renminbi

COP – Colombian Peso

CZK – Czech Koruna

DKK – Danish Krone

EGP – Egyptian Pound

EUR – Euro

GBP – Great British Pound

HKD – Hong Kong Dollar

HUF – Hungarian Forint

IDR – Indonesian Rupiah

ILS – Israeli Shekel

INR – Indian Rupee

JPY – Japanese Yen

KRW – South Korean Won

MXN – Mexican Peso

NGN – Nigerian Naira

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:

ADR – American Depositary Receipt

BBSW – Bank Bill Swap Reference Rate (Australia)

BKBM – Bank Bill Benchmark (New Zealand)

CDOR – Canadian Dealer Offered Rate

CPI – Consumer Price Index

DAX – Deutscher Aktien Index (German Stock Index)

EAFE – Europe, Australia, and Far East

ETF – Exchange Traded Fund

ETS – Emission Trading Scheme

EURIBOR – Euro Interbank Offered Rate

FTSE – Financial Times Stock Exchange

IBEX – International Business Exchange

LIBOR – London Interbank Offered Rates

MIB – Milano Italia Borsa

MSCI – Morgan Stanley Capital International

NIBOR – Norwegian Interbank Offered Rate

PJSC – Public Joint Stock Company

REIT – Real Estate Investment Trust

SPI – Share Price Index

STIBOR – Stockholm Interbank Offered Rate

TOPIX – Tokyo Price Index

TSX – Toronto Stock Exchange

(1)The following table represents the (long/(short)) equity basket holdings underlying the total return swap with GSABHY01 as of February 29, 2020.

 

 

 

 

 

Percent of

Security Description

Shares

Current Notional

Basket's Value

GSABHYS1

 

(12,761)

$

(1,201,876)

(111.5)%

Russell 2000

RTY Index

26

 

38,442

3.6%

Russell 2000

RIY Index

23

 

37,641

3.5%

(2)The following table represents the 50 largest (long/(short)) equity basket holdings underlying the total return swap with JPQABHY1 as of February 29, 2020.

 

 

 

 

Percent of

Security Description

Shares

Current Notional

Basket's Value

JPMorgan Cash

(1,638)

$

(497,277)

(20.4)%

 

 

 

 

Percent of

Security Description

Shares

Current Notional

Basket's Value

Intelsat SA

(17,825)

$

(68,803)

(2.8)%

Constellium SE

5,121

 

63,504

2.6%

ServiceMaster Global Holdings

1,760

 

62,944

2.6%

Qorvo, Inc.

625

 

62,870

2.6%

Fiat Chrysler Automobiles NV

4,994

 

62,125

2.5%

Nuance Communications, Inc.

2,864

 

61,917

2.5%

Uniti Group, Inc.

(6,244)

 

(60,938)

(2.5)%

MSCI, Inc.

205

 

60,698

2.5%

Colfax Corp.

1,809

 

60,536

2.5%

Lamb Weston Holdings, Inc.

696

 

60,504

2.5%

Ball Corp.

858

 

60,469

2.5%

HD Supply Holdings, Inc.

1,581

 

60,105

2.5%

VeriSign, Inc.

316

 

60,002

2.5%

DaVita, Inc.

771

 

59,826

2.5%

SBA Communications Corp.

225

 

59,630

2.4%

j2 Global, Inc.

679

 

59,321

2.4%

Spectrum Brands Holdings, Inc.

1,097

 

59,108

2.4%

Hologic, Inc.

1,250

 

58,895

2.4%

Charles River Laboratories International

376

 

58,418

2.4%

Crown Holdings, Inc.

828

 

58,400

2.4%

Medical Properties Trust, Inc.

2,752

 

58,151

2.4%

Lamar Advertising Co.

693

 

58,024

2.4%

Teleflex, Inc.

171

 

57,421

2.4%

PTC, Inc.

759

 

57,318

2.4%

Wyndham Hotels & Resorts, Inc.

1,125

 

57,296

2.4%

Hilton Worldwide Holdings, Inc.

585

 

56,888

2.3%

Lennar Corp.

942

 

56,840

2.3%

Starwood Property Trust, Inc.

2,555

 

56,664

2.3%

Xerox Holdings Corp.

1,752

 

56,422

2.3%

Yum! Brands, Inc.

629

 

56,180

2.3%

Molina Healthcare, Inc.

457

 

56,013

2.3%

United Rentals, Inc.

422

 

55,970

2.3%

CIT Group, Inc.

1,401

 

55,636

2.3%

Zayo Group Holdings, Inc.

(1,583)

 

(55,383)

(2.3)%

Axalta Coating Systems, Ltd.

2,217

 

55,251

2.3%

US Foods Holding Corp.

1,636

 

55,045

2.3%

Carter's, Inc.

601

 

54,957

2.3%

CDW Corp./DE

479

 

54,735

2.2%

Tallgrass Energy LP

(2,478)

 

(54,686)

(2.2)%

Centene Corp.

1,020

 

54,106

2.2%

Summit Materials, Inc.

2,764

 

54,000

2.2%

Clean Harbors, Inc.

763

 

53,016

2.2%

AES Corp./VA

3,166

 

52,972

2.2%

Triumph Group, Inc.

2,787

 

52,949

2.2%

Grubhub, Inc.

(1,097)

 

(52,756)

(2.2)%

Michaels Cos. Inc./The

(12,171)

 

(52,213)

(2.1)%

Carvana Co.

(624)

 

(51,696)

(2.1)%

Tempur Sealy International, Inc.

691

 

51,649

2.1%

Plantronics, Inc.

(3,746)

 

(51,435)

(2.1)%

Other Long

5,751

 

191,187

7.8%

Other (Short)

(186,805)

 

(1,659,675)

(68.1)%

AB Cap Fund, Inc.

AB All Market Income Portfolio

February 29, 2020 (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.

The following table summarizes the valuation of the Fund's investments by the above fair value hierarchy levels as of February 29, 2020:

Investments in Securities:

 

Level 1

 

Level 2

Level 3

 

Total

Assets:

 

 

 

 

 

 

 

Investment Companies

$

49,981,155

$

—

$

— $

49,981,155

Common Stocks:

 

 

 

 

 

 

 

Information Technology

 

5,476,276

 

293,871

 

—

5,770,147

Financials

 

3,096,986

 

2,380,959

 

—

5,477,945

Consumer Discretionary

 

1,782,086

 

1,350,640

 

—

3,132,726

Communication Services

 

1,660,143

 

597,724

 

—

2,257,867

Health Care

 

2,794,629

 

324,534

 

—

3,119,163

Energy

 

2,451,024

 

467,047

 

—

2,918,071

Industrials

 

834,535

 

1,711,156

 

—

2,545,691

Consumer Staples

 

1,324,031

 

737,842

 

—

2,061,873

Utilities

 

930,448

 

914,704

 

—

1,845,152

Real Estate

 

954,815

 

623,308

 

—

1,578,123

Materials

 

244,177

 

965,011

 

—

1,209,188

Preferred Stocks

 

7,066,104

 

—

 

—

7,066,104

Emerging Markets - Sovereigns

 

—

 

3,611,464

 

—

3,611,464

Governments - Treasuries

 

—

 

572,258

 

—

572,258

Emerging Markets - Treasuries

 

—

 

335,700

 

—

335,700

Quasi-Sovereigns

 

—

 

142,627

 

—

142,627

Short-Term Investments:

 

 

 

 

 

 

 

Governments - Treasuries

 

—

 

157,857

 

—

157,857

Investment Companies

 

12,628,317

 

—

 

—

12,628,317

Investments of Cash Collateral for Securities

 

 

 

 

 

 

 

Loaned in Affiliated Money Market Fund

 

647,436

 

—

 

—

647,436

Total Investments in Securities

 

91,872,162

 

15,186,702

 

—

107,058,864

Other Financial Instruments(a):

 

 

 

 

 

 

 

Assets:

 

 

 

 

 

 

 

Futures

 

379,101

 

214,459

 

—

593,560

Forward Currency Exchange Contracts

 

—

 

589,895

 

—

589,895

Centrally Cleared Interest Rate Swaps

 

—

 

1,213,487

 

—

1,213,487

Inflation (CPI) Swaps

 

—

 

51,182

 

—

51,182

Total Return Swaps

 

—

 

70,244

 

—

70,244

Liabilities:

 

 

 

 

 

 

 

Futures

 

(231,838)

 

(242,202)

 

—

(474,040)

Forward Currency Exchange Contracts

 

—

 

(557,813)

 

—

(557,813)

Call Options Written

 

—

 

(112,340)

 

—

(112,340)

Put Options Written

 

—

 

(83,263)

 

—

(83,263)

Centrally Cleared Interest Rate Swaps

 

—

 

(196,451)

 

—

(196,451)

Inflation (CPI) Swaps

 

—

 

(239,463)

 

—

(239,463)

Total Return Swaps

 

—

 

(48,421)

 

—

(48,421)

Total

$

92,019,425

$

15,846,016

$

— $

107,865,441

(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.

A summary of the Fund's transactions in AB mutual funds for the three months ended February 29, 2020 is as follows:

 

 

 

 

 

 

 

 

Distributions

 

Market

 

 

Realized

 

Market

 

 

 

Value

 

 

Gain

Change in

Value

Dividend

Realized

 

11/30/2019

Purchases

Sales

(Loss)

Appr./(Depr.)

02/29/2020

Income

Gains

Fund

(000)

(000)

(000)

(000)

(000)

(000)

(000)

(000)

AB High Income Fund, Inc.

$38,947

$5,836

$0

$0

$(425)

$44,358

$675

$0

Government Money Market

 

 

 

 

 

 

 

 

 

Portfolio

12,176

10,110

9,658

0

0

12,628

50

0

Government Money Market

 

 

 

 

 

 

 

 

 

Portfolio*

3,632

8,061

11,052

0

6

647

6

0

Total

$54,755

$24,007

$20,710

$0

$(419)

$57,633

$731

$0

*Investments of cash collateral for securities lending transactions