NPORT-EX 2 EMMA.htm HTML

AB Emerging Markets Multi-Asset Portfolio

Portfolio of Investments

June 30, 2020 (unaudited)

 

Company    Shares        U.S. $ Value  

COMMON STOCKS – 46.6%

        

Information Technology – 9.5%

        

Electronic Equipment, Instruments & Components – 2.0%

        

Hon Hai Precision Industry Co., Ltd.

      406,000        $ 1,192,079  

Shennan Circuits Co., Ltd. - Class A

      24,920          594,488  

Simplo Technology Co., Ltd.

      3,000          32,729  

Synnex Technology International Corp.

      46,000          65,171  

Tripod Technology Corp.

      112,000          501,092  

Yageo Corp.

      11,000          143,306  

Zhen Ding Technology Holding Ltd.

      92,000          403,741  
       

 

 

  
          2,932,606  
       

 

 

  

IT Services – 0.9%

 

GDS Holdings Ltd. (ADR)(a)(b)

      15,000          1,194,900  

HCL Technologies Ltd.

      7,212          53,238  

Infosys Ltd. (Sponsored ADR)

      14,061          135,829  
       

 

 

  
          1,383,967  
       

 

 

  

Semiconductors & Semiconductor Equipment – 2.6%

 

Globalwafers Co., Ltd.

      6,000          82,639  

MediaTek, Inc.

      37,000          731,513  

Novatek Microelectronics Corp.

      66,000          512,934  

Phison Electronics Corp.(b)

      7,000          70,442  

Powertech Technology, Inc.

      21,000          76,656  

Silergy Corp.

      1,000          65,508  

Taiwan Semiconductor Manufacturing Co., Ltd.

      219,000          2,338,815  

United Microelectronics Corp.

      121,000          65,418  
       

 

 

  
          3,943,925  
       

 

 

  

Technology Hardware, Storage & Peripherals – 4.0%

 

Asustek Computer, Inc.

      49,000          360,022  

Inventec Corp.

      83,000          70,858  

Pegatron Corp.

      33,000          71,977  

Quanta Computer, Inc.

      33,000          79,842  

Samsung Electronics Co., Ltd.

      72,081          3,190,855  

Samsung Electronics Co., Ltd. (Preference Shares)

      43,713          1,702,810  

Wistron Corp.

      395,000          482,208  
       

 

 

  
          5,958,572  
       

 

 

  
                14,219,070  
       

 

 

  

Financials – 9.5%

 

Banks – 6.6%

 

Absa Group Ltd.

      14,965          73,880  

Abu Dhabi Islamic Bank PJSC

      44,891          45,371  

Agricultural Bank of China Ltd. - Class H

      1,261,000          510,383  

Banco Macro SA (ADR)

      3,760          69,748  

Banco Santander Mexico SA Institucion de Banca Multiple Grupo Financiero Santand

      64,126          47,123  

Bangkok Bank PCL

      11,800          40,851  

Bank of Beijing Co., Ltd. - Class A

      89,500          62,147  

Bank of China Ltd. - Class H

      817,000          302,644  

China CITIC Bank Corp., Ltd. - Class H

      3,627,000          1,589,381  

China Construction Bank Corp. - Class H

      739,000          601,090  

China Everbright Bank Co., Ltd. - Class H

      164,000          61,926  

China Minsheng Banking Corp., Ltd. - Class A (Nth SSE-SEHK)

      54,800          44,037  

 

1

Company    Shares        U.S. $ Value  

China Minsheng Banking Corp., Ltd. - Class H

      1,807,400        $ 1,244,143  

Commercial Bank of Ceylon PLC

      151,935          64,381  

Commercial Bank PSQC (The)

      11,820          12,341  

Dubai Islamic Bank PJSC

      52,021          54,289  

Halyk Savings Bank of Kazakhstan JSC (GDR)(b)(c)

      24,630          305,412  

Hana Financial Group, Inc.

      59,747          1,358,787  

Industrial Bank Co., Ltd. - Class A(b)

      41,860          93,755  

Industrial Bank of Korea

      36,490          247,957  

KB Financial Group, Inc.

      21,600          611,487  

Malayan Banking Bhd

      35,200          61,850  

MCB Bank Ltd.

      33,554          32,386  

Moneta Money Bank AS(c)

      67,900          153,784  

Nedbank Group Ltd.

      9,177          53,808  

Postal Savings Bank of China Co., Ltd.(c)

      108,000          62,232  

Qatar Islamic Bank SAQ

      2,274          9,858  

Sberbank of Russia PJSC (Sponsored ADR)(a)

      74,975          850,217  

Shinhan Financial Group Co., Ltd.

      6,594          159,352  

TCS Group Holding PLC (GDR)(c)

      26,810          544,243  

Turkiye Is Bankasi AS - Class C(b)

      461,500          376,933  

Woori Financial Group, Inc.

      14,120          104,079  
       

 

 

  
          9,849,875  
       

 

 

  

Capital Markets – 0.7%

 

China Cinda Asset Management Co., Ltd. - Class H

      364,000          71,802  

China Everbright Ltd.

      562,000          818,762  

GF Securities Co., Ltd. - Class H

      58,000          62,467  

Meritz Securities Co., Ltd.

      24,383          62,009  

Samsung Securities Co., Ltd.

      3,086          68,223  
       

 

 

  
          1,083,263  
       

 

 

  

Consumer Finance – 0.1%

 

Muthoot Finance Ltd.

      12,905          186,498  
       

 

 

  

Diversified Financial Services – 1.2%

 

Far East Horizon Ltd.

      77,000          65,733  

Fubon Financial Holding Co., Ltd.

      363,000          541,965  

Haci Omer Sabanci Holding AS

      434,619          585,224  

REC Ltd.

      354,332          508,502  
       

 

 

  
          1,701,424  
       

 

 

  

Insurance – 0.9%

 

AIA Group Ltd.

      21,000          196,510  

BB Seguridade Participacoes SA

      27,800          139,406  

Bupa Arabia for Cooperative Insurance Co.

      1,642          47,824  

Old Mutual Ltd.

      29,350          20,457  

PICC Property & Casualty Co., Ltd. - Class H

      172,000          142,943  

Ping An Insurance Group Co. of China Ltd. - Class H

      44,000          438,636  

Ruentex Industries Ltd.

      156,200          375,649  
       

 

 

  
          1,361,425  
       

 

 

  
                14,182,485  
       

 

 

  

 

2

Company    Shares        U.S. $ Value  

Consumer Discretionary – 5.6%

 

Automobiles – 0.2%

 

BAIC Motor Corp., Ltd.(c)

      116,500        $ 50,984  

Bajaj Auto Ltd.

      1,971          73,940  

Hyundai Motor Co.

      814          66,865  

Kia Motors Corp.

      2,880          77,825  
       

 

 

  
          269,614  
       

 

 

  

Diversified Consumer Services – 1.3%

 

Cogna Educacao

      700          851  

Fu Shou Yuan International Group Ltd.

      319,000          293,265  

New Oriental Education & Technology Group, Inc. (Sponsored ADR)(b)

      9,883          1,287,063  

TAL Education Group (ADR)(b)

      5,050          345,319  
       

 

 

  
          1,926,498  
       

 

 

  

Hotels, Restaurants & Leisure – 0.3%

 

OPAP SA

      51,400          489,837  
       

 

 

  

Internet & Direct Marketing Retail – 3.6%

 

Alibaba Group Holding Ltd.(b)

      107,920          2,912,092  

Alibaba Group Holding Ltd. (Sponsored ADR)(b)

      4,002          863,231  

JD.com, Inc. (ADR)(b)

      23,753          1,429,455  

Naspers Ltd. - Class N

      273          50,172  

Pinduoduo, Inc. (ADR)(b)

      1,043          89,531  

Vipshop Holdings Ltd. (ADR)(b)

      3,905          77,749  
       

 

 

  
          5,422,230  
       

 

 

  

Multiline Retail – 0.1%

 

Lojas Americanas SA

      15,200          76,222  

Lojas Americanas SA (Preference Shares)

      5,000          29,588  
       

 

 

  
          105,810  
       

 

 

  

Specialty Retail – 0.0%

 

Abu Dhabi National Oil Co. for Distribution PJSC

      85,629          69,237  
       

 

 

  

Textiles, Apparel & Luxury Goods – 0.1%

 

Li Ning Co., Ltd.

      28,000          89,668  
       

 

 

  
          8,372,894  
       

 

 

  

Materials – 5.5%

 

Chemicals – 1.1%

 

Advanced Petrochemical Co.

      5,158          73,544  

Asian Paints Ltd.

      3,009          67,255  

Kumho Petrochemical Co., Ltd.

      10,530          658,538  

Mitsubishi Gas Chemical Co., Inc.

      10,300          156,657  

PhosAgro PJSC (GDR)(c)

      4,348          53,654  

Saudi Arabian Fertilizer Co.

      3,238          64,486  

Tosoh Corp.

      46,300          636,019  
       

 

 

  
                1,710,153  
       

 

 

  

Construction Materials – 2.5%

 

Anhui Conch Cement Co., Ltd. - Class A

      151,919          1,143,276  

Anhui Conch Cement Co., Ltd. - Class H

      57,646          390,617  

Asia Cement Corp.

      386,000          572,475  

 

3

Company    Shares        U.S. $ Value  

China National Building Material Co., Ltd. - Class H

      60,000        $ 64,356  

China Resources Cement Holdings Ltd.

      852,000          1,050,792  

Huaxin Cement Co., Ltd. - Class A (Nth SSE-SEHK)(b)

      54,980          185,689  

Taiwan Cement Corp.

      168,198          244,734  

Tangshan Jidong Cement Co., Ltd. - Class A

      23,000          52,442  
       

 

 

  
          3,704,381  
       

 

 

  

Metals & Mining – 1.9%

 

Eregli Demir ve Celik Fabrikalari TAS

      56,256          70,428  

Fortescue Metals Group Ltd.

      27,840          270,651  

Glencore PLC(b)

      192,980          411,087  

Hindustan Zinc Ltd.

      18,633          48,668  

Iskenderun Demir ve Celik AS

      66,743          72,695  

Jiangxi Copper Co., Ltd. - Class H

      288,000          293,441  

Kumba Iron Ore Ltd.

      11,595          310,060  

Polyus PJSC (GDR)(c)

      1,675          140,949  

POSCO

      3,700          538,929  

Vedanta Ltd.

      433,969          619,397  
       

 

 

  
          2,776,305  
       

 

 

  

Paper & Forest Products – 0.0%

 

Nine Dragons Paper Holdings Ltd.

      37,000          33,829  
       

 

 

  
                8,224,668  
       

 

 

  

Communication Services – 4.6%

 

Diversified Telecommunication Services – 0.5%

 

China Telecom Corp., Ltd. - Class H

      688,000          193,257  

Hellenic Telecommunications Organization SA

      1,465          19,789  

KT Corp.

      3,381          66,607  

KT Corp. (Sponsored ADR)

      38,381          373,831  

LG Uplus Corp.

      6,316          64,545  
       

 

 

  
          718,029  
       

 

 

  

Entertainment – 0.9%

 

Bilibili, Inc. (Sponsored ADR)(b)

      2,073          96,022  

NCSoft Corp.

      1,246          926,933  

NetEase, Inc. (ADR)

      740          317,741  
       

 

 

  
          1,340,696  
       

 

 

  

Interactive Media & Services – 2.8%

 

Momo, Inc. (Sponsored ADR)

      12,850          224,618  

Tencent Holdings Ltd.

      55,000          3,524,285  

Yandex NV - Class A(b)

      9,810          490,696  
       

 

 

  
          4,239,599  
       

 

 

  

Wireless Telecommunication Services – 0.4%

 

Advanced Info Service PCL

      10,000          59,856  

America Movil SAB de CV

      82,671          53,125  

China Mobile Ltd.

      23,500          158,674  

DiGi.Com Bhd

      9,600          9,686  

Globe Telecom, Inc.

      1,620          67,333  

MTN Group Ltd.

      7,203          22,060  

PLDT, Inc.

      2,795          69,593  

SK Telecom Co., Ltd.

      150          26,418  

 

4

Company    Shares        U.S. $ Value  

Vodacom Group Ltd.

      9,572        $ 67,919  
       

 

 

  
          534,664  
       

 

 

  
          6,832,988  
       

 

 

  

Industrials – 2.9%

 

Aerospace & Defense – 0.1%

 

Korea Aerospace Industries Ltd.

      3,307          65,965  
       

 

 

  

Air Freight & Logistics – 0.0%

 

ZTO Express Cayman, Inc. (ADR)

      201          7,379  
       

 

 

  

Building Products – 0.0%

 

China Lesso Group Holdings Ltd.

      49,000          64,316  
       

 

 

  

Commercial Services & Supplies – 0.7%

 

A-Living Services Co., Ltd. - Class H(c)

      134,000          681,011  

Sunny Friend Environmental Technology Co., Ltd.

      43,000          376,519  
       

 

 

  
          1,057,530  
       

 

 

  

Construction & Engineering – 0.4%

 

China Communications Services Corp., Ltd. - Class H

      338,000          211,820  

Daelim Industrial Co., Ltd.

      5,111          351,577  
       

 

 

  
          563,397  
       

 

 

  

Electrical Equipment – 0.1%

 

ElSewedy Electric Co.

      145,646          60,091  

WEG SA

      8,600          80,036  
       

 

 

  
          140,127  
       

 

 

  

Machinery – 1.4%

 

China Conch Venture Holdings Ltd.

      15,500          65,788  

China Yuchai International Ltd.

      23,050          331,459  

Sinotruk Hong Kong Ltd.

      332,000          866,437  

Weichai Power Co., Ltd. - Class H

      37,000          69,713  

Zoomlion Heavy Industry Science and Technology Co., Ltd. - Class A

      516,814          472,262  

Zoomlion Heavy Industry Science and Technology Co., Ltd. - Class H(b)

      363,000          281,051  
       

 

 

  
                2,086,710  
       

 

 

  

Road & Rail – 0.1%

 

Daqin Railway Co., Ltd. - Class A(b)

      204,500          203,966  
       

 

 

  

Transportation Infrastructure – 0.1%

 

Zhejiang Expressway Co., Ltd. - Class H

      134,000          95,163  
       

 

 

  
          4,284,553  
       

 

 

  

Consumer Staples – 2.9%

 

Beverages – 0.9%

 

Tsingtao Brewery Co., Ltd. - Class A (Nth SSE-SEHK)

      44,400          482,106  

Wuliangye Yibin Co., Ltd. - Class A

      37,158          903,266  
       

 

 

  
          1,385,372  
       

 

 

  

Food & Staples Retailing – 0.5%

 

CP ALL PCL

      3,100          6,795  

 

5

Company    Shares        U.S. $ Value  

Dino Polska SA(b) (c)

      12,590        $ 641,312  

Magnit PJSC (Sponsored GDR)(c)

      6,246          81,136  

Sun Art Retail Group Ltd.

      41,000          70,340  
       

 

 

  
          799,583  
       

 

 

  

Food Products – 0.3%

 

Henan Shuanghui Investment & Development Co., Ltd. - Class A

      11,300          73,942  

Nestle India Ltd.

      297          67,339  

Standard Foods Corp.

      23,000          49,233  

Want Want China Holdings Ltd.

      89,000          67,605  

WH Group Ltd.(c)

      129,000          111,481  
       

 

 

  
          369,600  
       

 

 

  

Household Products – 0.6%

 

C&S Paper Co., Ltd.

      227,623          719,622  

Hindustan Unilever Ltd.

      2,456          70,907  

Kimberly-Clark de Mexico SAB de CV - Class A

      45,113          70,326  

Unilever Indonesia TBK PT

      14,000          7,769  
       

 

 

  
          868,624  
       

 

 

  

Personal Products – 0.4%

 

Colgate-Palmolive India Ltd.

      3,750          69,736  

Unilever PLC

      10,480          565,303  
       

 

 

  
          635,039  
       

 

 

  

Tobacco – 0.2%

 

Eastern Co. SAE

      81,968          64,184  

KT&G Corp.

      650          42,449  

Philip Morris International, Inc.

      1,673          117,210  
       

 

 

  
          223,843  
       

 

 

  
          4,282,061  
       

 

 

  

Energy – 2.3%

 

Oil, Gas & Consumable Fuels – 2.3%

 

Adaro Energy Tbk PT

      721,500          50,760  

Coal India Ltd.

      6,135          10,862  

Exxaro Resources Ltd.

      9,670          72,989  

LUKOIL PJSC (Sponsored ADR)

      24,231                1,798,425  

Oil & Gas Development Co., Ltd.

      95,389          64,330  

Oil & Natural Gas Corp., Ltd.

      61,707          67,127  

Petroleo Brasileiro SA (Preference Shares)

      130,800          518,332  

Petronet LNG Ltd.

      42,236          145,691  

Saudi Arabian Oil Co.(c)

      7,824          67,918  

Surgutneftegas PJSC (Sponsored ADR)

      87,100          469,574  

Tatneft PJSC (Sponsored ADR)(a)

      2,380          111,194  

Yanzhou Coal Mining Co., Ltd. - Class H

      88,000          66,275  
       

 

 

  
          3,443,477  
       

 

 

  

Health Care – 1.5%

 

Biotechnology – 0.2%

 

Biocon Ltd.

      14,491          74,683  

Chongqing Zhifei Biological Products Co., Ltd. - Class A(b)

      5,800          82,032  

 

6

Company    Shares        U.S. $ Value  

Shenzhen Kangtai Biological Products Co., Ltd. - Class A

      3,518        $ 80,711  

Zai Lab Ltd. (ADR)(b)

      926          76,053  
       

 

 

  
          313,479  
       

 

 

  

Health Care Equipment & Supplies – 0.7%

 

Hartalega Holdings Bhd

      22,500          68,632  

Jafron Biomedical Co., Ltd. - Class A

      7,600          74,979  

Shandong Weigao Group Medical Polymer Co., Ltd. - Class H

      32,000          71,451  

Shenzhen Mindray Bio-Medical Electronics Co., Ltd.

      1,790          77,396  

Top Glove Corp. Bhd

      199,300          752,143  
       

 

 

  
          1,044,601  
       

 

 

  

Life Sciences Tools & Services – 0.1%

 

Divi’s Laboratories Ltd.

      2,316          69,893  

Samsung Biologics Co., Ltd.(b) (c)

      133          86,285  
       

 

 

  
          156,178  
       

 

 

  

Pharmaceuticals – 0.5%

 

China Medical System Holdings Ltd.

      333,000          393,809  

Livzon Pharmaceutical Group, Inc. - Class A (Nth SZ-SEHK)

      11,100          75,585  

Richter Gedeon Nyrt

      12,384          256,963  

Shandong Buchang Pharmaceuticals Co., Ltd. - Class A

      20,795          84,999  
       

 

 

  
          811,356  
       

 

 

  
                2,325,614  
       

 

 

  

Real Estate – 1.2%

 

Equity Real Estate Investment Trusts (REITs) – 0.3%

 

Fibra Uno Administracion SA de CV

      507,380          401,321  

Fortress REIT Ltd. - Class A

      34,603          24,810  

Resilient REIT Ltd.

      813          2,030  
       

 

 

  
          428,161  
       

 

 

  

Real Estate Management & Development – 0.9%

 

Agile Group Holdings Ltd.

      66,000          78,233  

Aldar Properties PJSC

      1,090,187          533,676  

China Aoyuan Group Ltd.

      50,000          61,111  

Country Garden Services Holdings Co., Ltd.

      15,000          70,025  

Guangzhou R&F Properties Co., Ltd. - Class H

      52,800          62,136  

Jinke Properties Group Co., Ltd. - Class A

      13,000          15,056  

KWG Group Holdings Ltd.(b)

      42,500          72,210  

Logan Group Co. Ltd.

      36,000          64,318  

Powerlong Real Estate Holdings Ltd.

      313,000          176,466  

Shui On Land Ltd.

      348,000          58,676  

Times China Holdings Ltd.

      73,000          136,121  

Yuzhou Properties Co., Ltd.

      148,000          64,481  
       

 

 

  
          1,392,509  
       

 

 

  
          1,820,670  
       

 

 

  

 

7

Company   Shares        U.S. $ Value  

Utilities – 1.1%

          

Electric Utilities – 0.4%

          

Centrais Eletricas Brasileiras SA

        12,900        $ 73,537  

CPFL Energia SA(b)

        11,300          63,709  

EDP - Energias de Portugal SA

        13,813          65,933  

Equatorial Energia SA

        70,700          301,880  

Manila Electric Co.

        1,850          9,985  
         

 

 

  
            515,044  
         

 

 

  

Gas Utilities – 0.6%

          

GAIL India Ltd.

        581,535          787,834  

Indraprastha Gas Ltd.

        10,729          63,220  

Petronas Gas Bhd

        9,300          36,811  
         

 

 

  
            887,865  
         

 

 

  

Independent Power and Renewable Electricity Producers – 0.1%

          

Engie Brasil Energia SA

        17,000          131,577  

Gulf Energy Development PCL

        61,600          75,238  
         

 

 

  
            206,815  
         

 

 

  
            1,609,724  
         

 

 

  

Total Common Stocks
(cost $63,504,860)

                   69,598,204  
         

 

 

  
    

Principal
Amount
(000)

            

FIXED INCOME – 38.5%

          

Sovereign Bonds – 22.2%

          

Abu Dhabi Government International Bond
3.125%, 09/30/2049(c)

   U.S.$      500          520,625  

3.875%, 04/16/2050(c)

        341          401,954  

Angolan Government International Bond
8.25%, 05/09/2028(c)

        200          165,500  

9.125%, 11/26/2049(c)

        553          452,078  

9.375%, 05/08/2048(c)

        263          215,003  

Argentine Republic Government International Bond
3.875%, 01/15/2022(b)(c)(d)

   EUR      110          48,507  

5.625%, 01/26/2022(b)(d)

   U.S.$      178          73,425  

6.625%, 07/06/2028(b)(d)

        300          118,219  

6.875%, 04/22/2021-01/11/2048(b)(d)

        3,225          1,288,085  

7.125%, 06/28/2117(b)(d)

        50          19,234  

7.50%, 04/22/2026(b)(d)

        840          337,575  

7.82%, 12/31/2033(b)(d)

   EUR      33          15,924  

Series NY
3.75%, 12/31/2038(b)(d)

   U.S.$      268          104,855  

8.28%, 12/31/2033(b)(d)

        219          97,603  

Bahrain Government International Bond
5.625%, 09/30/2031(c)

        200          201,625  

6.00%, 09/19/2044(c)

        692          682,701  

6.75%, 09/20/2029(c)

        244          266,722  

7.00%, 10/12/2028(c)

        334          372,619  

 

8

     Principal
Amount
(000)		        U.S. $ Value  

Bermuda Government International Bond
4.75%, 02/15/2029 (c)

   U.S.$      275        $           309,891  

Colombia Government International Bond
3.125%, 04/15/2031

        315          312,795  

5.00%, 06/15/2045

        302          339,514  

Costa Rica Government International Bond
7.158%, 03/12/2045(c)

        355          296,869  

Dominican Republic International Bond
5.50%, 01/27/2025(c)

        100          101,063  

5.875%, 01/30/2060(c)

        210          180,403  

6.40%, 06/05/2049(c)

        364          333,174  

6.50%, 02/15/2048(c)

        298          274,253  

6.85%, 01/27/2045(c)

        155          148,461  

Ecuador Government International Bond
7.775%, 01/23/2028(b)(d)(e)

        1,244          510,040  

7.875%, 03/27/2025(b)(d)(e)

        200          86,900  

8.875%, 10/23/2027(b)(d)(e)

        401          166,415  

9.65%, 12/13/2026(b)(d)(e)

        366          155,550  

10.65%, 01/31/2029(b)(d)(e)

        434          180,110  

Egypt Government International Bond
5.875%, 06/11/2025(c)

        313          315,739  

7.903%, 02/21/2048(c)

        300          277,406  

8.15%, 11/20/2059(c)

        280          259,962  

8.50%, 01/31/2047(c)

        305          298,137  

8.875%, 05/29/2050(c)

        211          208,363  

El Salvador Government International Bond
5.875%, 01/30/2025(c)

        19          16,613  

7.125%, 01/20/2050(c)

        571          465,365  

7.65%, 06/15/2035(c)

        108          92,745  

7.75%, 01/24/2023(c)

        63          58,728  

8.625%, 02/28/2029(c)

        200          188,875  

Gabon Government International Bond
6.625%, 02/06/2031(c)

        600          536,250  

Ghana Government International Bond
7.875%, 02/11/2035(c)

        405          367,537  

8.125%, 03/26/2032(c)

        200          188,313  

8.95%, 03/26/2051(c)

        200          183,125  

Guatemala Government Bond
4.375%, 06/05/2027(c)

        200          207,250  

4.50%, 05/03/2026(c)

        200          207,875  

5.375%, 04/24/2032(c)

        264          291,142  

6.125%, 06/01/2050(c)

        532          615,125  

Honduras Government International Bond
5.625%, 06/24/2030(c)

        173          175,811  

6.25%, 01/19/2027(c)

        180          192,375  

7.50%, 03/15/2024(c)

        290          313,200  

 

9

     Principal
Amount
(000)		        U.S. $ Value  

Indonesia Government International Bond
2.85%, 02/14/2030

   U.S.$      200        $ 203,750  

3.375%, 04/15/2023(c)

        450          468,703  

4.125%, 01/15/2025(c)

        380          412,303  

Israel Government International Bond
3.875%, 07/03/2050

        375          445,319  

Ivory Coast Government International Bond
5.875%, 10/17/2031(c)

   EUR      425          448,391  

Jamaica Government International Bond
6.75%, 04/28/2028

   U.S.$      200          225,250  

7.875%, 07/28/2045

        260          317,525  

8.00%, 03/15/2039

        108          133,211  

Kazakhstan Government International Bond
5.125%, 07/21/2025(c)

        200          231,450  

Kenya Government International Bond
8.00%, 05/22/2032(c)

        346          340,702  

Lebanon Government International Bond
6.00%, 01/27/2023(b)(c)(d)

        36          6,210  

6.65%, 04/22/2024(b)(c)(d)

        57          9,779  

6.85%, 03/23/2027(b)(c)(d)

        481          82,071  

Series E
6.10%, 10/04/2022(b)(c)(d)

        216          37,800  

Series G
1.00%, 11/27/2026(b)(c)(d)

        170          29,484  

6.20%, 02/26/2025(b)(c)(d)

        206          34,505  

Mexico Government International Bond
4.75%, 03/08/2044

        140          147,306  

5.00%, 04/27/2051

        249          268,546  

Mongolia Government International Bond
5.625%, 05/01/2023(c)

        200          198,688  

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

        433          386,317  

7.696%, 02/23/2038(c)

        240          218,775  

Oman Government International Bond
6.75%, 01/17/2048(c)

        230          198,159  

Panama Government International Bond
3.16%, 01/23/2030

        447          481,363  

4.00%, 09/22/2024

        200          217,875  

4.50%, 04/16/2050-04/01/2056

        837                  1,025,377  

Panama Notas del Tesoro
3.75%, 04/17/2026(c)

        113          117,238  

Paraguay Government International Bond
4.95%, 04/28/2031(c)

        208          230,880  

5.40%, 03/30/2050(c)

        200          226,813  

Perusahaan Penerbit SBSN Indonesia III
4.15%, 03/29/2027(c)

        200          217,938  

Peruvian Government International Bond
2.783%, 01/23/2031

        566          603,780  

Philippine Government International Bond
3.70%, 02/02/2042

        266          304,736  

 

10

     Principal
Amount
(000)		        U.S. $ Value  

Qatar Government International Bond
4.40%, 04/16/2050(c)

   U.S.$      1,106        $ 1,370,057  

4.50%, 04/23/2028(c)

        300          353,625  

5.103%, 04/23/2048(c)

        484          658,089  

Republic of South Africa Government International Bond
5.00%, 10/12/2046

        358          293,896  

5.75%, 09/30/2049

        760          656,925  

Russian Foreign Bond - Eurobond
5.25%, 06/23/2047(c)

        1,000          1,321,000  

5.625%, 04/04/2042(c)

        200          271,187  

5.875%, 09/16/2043(c)

        200          281,375  

Saudi Government International Bond
3.25%, 10/22/2030(c)

        260          279,045  

4.625%, 10/04/2047(c)

        310          361,150  

5.25%, 01/16/2050(c)

        401          515,536  

Senegal Government International Bond
4.75%, 03/13/2028(c)

   EUR      400          434,794  

6.75%, 03/13/2048(c)

   U.S.$      200          193,625  

Sri Lanka Government International Bond
6.20%, 05/11/2027(c)

        200          128,500  

6.85%, 11/03/2025(c)

        260          172,250  

7.85%, 03/14/2029(c)

        240          156,000  

Trinidad & Tobago Government International Bond
4.50%, 06/26/2030(c)

        200          197,000  

Turkey Government International Bond
4.875%, 04/16/2043

        423          325,193  

Ukraine Government International Bond
6.75%, 06/20/2026(c)

   EUR      173          197,706  

7.375%, 09/25/2032(c)

   U.S.$      470          472,056  

7.75%, 09/01/2023-09/01/2026(c)

        1,167          1,219,562  

Series GDP
Zero Coupon, 05/31/2040(c)

        308          282,879  

Uruguay Government International Bond
4.375%, 01/23/2031

        269          313,708  

4.975%, 04/20/2055

        17          22,289  

5.10%, 06/18/2050

        49          63,147  

Venezuela Government International Bond
11.95%, 08/05/2031(b)(c)(d)

        265          15,870  

12.75%, 08/23/2022(b)(c)(d)

        564          33,846  

Zambia Government International Bond
8.50%, 04/14/2024(c)

        200          106,000  
         

 

 

  

Total Sovereign Bonds
(cost $33,737,326)

                     33,204,182  
         

 

 

  

Quasi-Sovereign Bonds – 7.9%

          

Aeropuerto Internacional de Tocumen SA
6.00%, 11/18/2048(c)

        199          217,609  

Corp. Nacional del Cobre de Chile
3.70%, 01/30/2050(c)

        1,357          1,378,203  

3.75%, 01/15/2031(c)

        200          217,500  

4.375%, 02/05/2049(c)

        280          315,700  

 

11

      Principal
Amount
(000)		        U.S. $ Value  

Empresa de Transmision Electrica SA
5.125%, 05/02/2049(c)

    U.S.$          200        $ 230,937  

Empresa de Transporte de Pasajeros Metro SA
3.65%, 05/07/2030(c)

         200          215,150  

5.00%, 01/25/2047(c)

         200          232,250  

Eskom Holdings SOC Ltd.
5.75%, 01/26/2021(c)

         340          323,850  

7.125%, 02/11/2025(c)

         200          185,063  

Indonesia Asahan Aluminium Persero PT
5.45%, 05/15/2030(c)

         200          222,776  

5.80%, 05/15/2050(c)

         200          224,376  

KazMunayGas National Co. JSC
5.75%, 04/19/2047(c)

         200          233,000  

MDGH - GMTN BV
2.875%, 11/07/2029(c)

         612          641,452  

NAK Naftogaz Ukraine via Kondor Finance PLC
7.625%, 11/08/2026(c)

         200          194,375  

Oil and Gas Holding Co. BSCC (The)
7.50%, 10/25/2027(c)

         200          214,188  

7.625%, 11/07/2024(c)

         200          216,625  

Pertamina Persero PT
4.15%, 02/25/2060(c)

         200          195,760  

5.625%, 05/20/2043(c)

         200          231,062  

Perusahaan Listrik Negara PT
5.45%, 05/21/2028(c)

         220          254,031  

6.15%, 05/21/2048(c)

         200          249,125  

Perusahaan Perseroan Persero PT Perusahaan Listrik Negara
3.375%, 02/05/2030(c)

         1,399          1,418,236  

3.875%, 07/17/2029(c)

         200          210,063  

4.875%, 07/17/2049(c)

         200          217,982  

Petroleos de Venezuela SA
5.375%, 04/12/2027(b)(c)(d)

         226          5,981  

6.00%, 11/15/2026(b)(c)(d)

         220          6,380  

9.00%, 11/17/2021(b)(c)(d)

         128          3,596  

Petroleos Mexicanos
5.95%, 01/28/2031(c)

         596                    489,674  

6.50%, 03/13/2027

         154          139,555  

6.75%, 09/21/2047

         408          313,242  

6.84%, 01/23/2030(c)

         143          125,282  

6.875%, 08/04/2026

         60          56,685  

6.95%, 01/28/2060(c)

         965          740,878  

7.69%, 01/23/2050(c)

         175          145,994  

Petronas Capital Ltd.
4.55%, 04/21/2050(c)

         395          498,742  

4.80%, 04/21/2060(c)

         395          540,269  

State Oil Co. of the Azerbaijan Republic
6.95%, 03/18/2030(c)

         321          377,777  

 

12

      Principal
Amount
(000)		        U.S. $ Value  

State Savings Bank of Ukraine Via SSB #1 PLC
9.625%, 03/20/2025(c)

    U.S.$      120        $ 123,000  

Trinidad Generation UnLtd.
5.25%, 11/04/2027(c)

         200          187,125  
          

 

 

  

Total Quasi-Sovereign Bonds
(cost $11,271,432)

                      11,793,493  
          

 

 

  

Corporate Bonds – 7.8%

           

Abu Dhabi National Energy Co. PJSC
4.00%, 10/03/2049(c)

         200          221,000  

AES Gener SA
6.35%, 10/07/2079(c)

         200          200,000  

Banco de Credito del Peru
3.125%, 07/01/2030(c)

         75          73,800  

Bangkok Bank PCL/Hong Kong
3.733%, 09/25/2034(c)

         200          192,000  

Braskem Netherlands Finance BV
4.50%, 01/10/2028(c)

         200          185,659  

5.875%, 01/31/2050(c)

         200          172,688  

BRF SA
4.875%, 01/24/2030(c)

         208          197,015  

Celulosa Arauco y Constitucion SA
4.20%, 01/29/2030(c)

         200          203,937  

Cemex SAB de CV
7.375%, 06/05/2027(c)

         200          201,721  

Cemig Geracao e Transmissao SA
9.25%, 12/05/2024(c)

         200          218,462  

Centrais Eletricas Brasileiras SA
3.625%, 02/04/2025(c)

         207          202,342  

4.625%, 02/04/2030(c)

         203          192,973  

Colbun SA
3.95%, 10/11/2027(c)

         263          283,218  

Credicorp Ltd.
2.75%, 06/17/2025(c)

         209          207,986  

CSN Resources SA
7.625%, 02/13/2023-04/17/2026(c)

         400          360,000  

Digicel Group 0.5 Ltd.
5.10%, 04/01/2024

         50          34,425  

7.00%, 07/15/2020(e)(f)(g)(h)

         15          1,083  

8.00% (5.00% Cash and 3.00% PIK), 04/01/2025(c)(h)

         93          23,093  

DP World PLC
4.70%, 09/30/2049(c)

         200          196,313  

Ecopetrol SA
5.875%, 05/28/2045

         207          217,609  

Embraer Netherlands Finance BV
5.40%, 02/01/2027

         155          137,175  

Empresa Electrica Cochrane SpA
5.50%, 05/14/2027(c)

         192          196,050  

Empresas Publicas de Medellin ESP
4.25%, 07/18/2029(c)

         200          199,813  

8.375%, 11/08/2027

    COP      418,000          115,091  

 

13

      Principal
Amount
(000)		        U.S. $ Value  

Enel Americas SA
4.00%, 10/25/2026

    U.S.$      248        $ 263,267  

Enel Chile SA
4.875%, 06/12/2028

         140          156,756  

Enel Generacion Chile SA
4.25%, 04/15/2024

         40          42,350  

Geopark Ltd.
5.50%, 01/17/2027(c)

         200          172,313  

Globo Comunicacao e Participacoes SA
4.875%, 01/22/2030(c)

         477          430,492  

GNL Quintero SA
4.634%, 07/31/2029(c)

         200          214,000  

Gran Tierra Energy International Holdings Ltd.
6.25%, 02/15/2025(c)

         400          182,726  

Grupo Energia Bogota SA ESP
4.875%, 05/15/2030(c)

         268                     282,740  

Industrias Penoles SAB de CV
4.15%, 09/12/2029(c)

         200          208,312  

Infraestructura Energetica Nova SAB de CV
3.75%, 01/14/2028(c)

         334          327,320  

Intercorp Financial Services, Inc.
4.125%, 10/19/2027(c)

         200          199,813  

Intercorp Peru Ltd.
3.875%, 08/15/2029(c)

         200          194,750  

Inversiones CMPC SA
3.85%, 01/13/2030(c)

         200          203,812  

4.375%, 04/04/2027(c)

         220          232,512  

Kimberly-Clark de Mexico SAB de CV
2.431%, 07/01/2031(c)

         200          202,500  

Light Servicos de Eletricidade SA/Light Energia SA
7.25%, 05/03/2023(c)

         200          201,688  

Lima Metro Line 2 Finance Ltd.
4.35%, 04/05/2036(c)

         346          371,085  

MV24 Capital BV
6.748%, 06/01/2034(c)

         195          184,692  

NBM US Holdings, Inc.
6.625%, 08/06/2029(c)

         200          203,301  

Nexa Resources SA
5.375%, 05/04/2027(c)

         200          194,026  

OCP SA
5.625%, 04/25/2024(c)

         200          215,750  

Odebrecht Finance Ltd.
7.125%, 06/26/2042(b)(c)(d)

         200          11,000  

Orbia Advance Corp SAB de CV
4.00%, 10/04/2027(c)

         393          403,807  

Peru LNG SRL
5.375%, 03/22/2030(c)

         279          219,364  

Petkim Petrokimya Holding AS
5.875%, 01/26/2023(c)

         200          198,000  

 

14

      Principal
Amount
(000)		        U.S. $ Value  

Prosus NV
3.68%, 01/21/2030(c)

    U.S.$      318        $ 333,502  

PTTEP Treasury Center Co., Ltd.
3.903%, 12/06/2059(c)

         210          220,106  

Rumo Luxembourg SARL
7.375%, 02/09/2024(c)

         200          209,650  

Southern Copper Corp.
5.25%, 11/08/2042

         95          112,721  

5.875%, 04/23/2045

         88          112,429  

Stillwater Mining Co.
7.125%, 06/27/2025(c)

         200          210,234  

Tonon Luxembourg SA
6.50% (0.50% Cash and 6.00% PIK), 10/31/2024(e)(f)(h)(i)

         104          3,143  

TransJamaican Highway Ltd.
5.75%, 10/10/2036(c)

         160          154,350  

Transportadora de Gas Internacional SA ESP
5.55%, 11/01/2028(c)

         200          217,211  

Trust Fibra Uno
4.869%, 01/15/2030(c)

         200          201,313  

Virgolino de Oliveira Finance SA
11.75%, 02/09/2022(b)(d)(e)

         202          1,898  

Wijaya Karya Persero Tbk PT
7.70%, 01/31/2021(c)

    IDR      2,000,000          133,705  
          

 

 

  

Total Corporate Bonds
(cost $12,528,892)

              11,660,091  
          

 

 

  

Treasury Bonds – 0.4%

           

Peru Government Bond
5.94%, 02/12/2029(c)
(cost $674,032)

    PEN      2,030          659,999  
          

 

 

  

Emerging Markets - Treasuries – 0.2%

           

Argentine Bonos del Tesoro
15.50%, 10/17/2026(b)(d)

    ARS      77          273  

Ukraine Government Bond
16.75%, 06/02/2021

    UAH      7,259          287,134  
          

 

 

  

Total Emerging Markets - Treasuries
(cost $317,153)

              287,407  
          

 

 

  

Regional Bonds – 0.0%

           

Provincia de Neuquen Argentina
7.50%, 04/27/2025(c)
(cost $68,000)

    U.S.$      68          33,362  
          

 

 

  

Total Fixed Income
(cost $58,596,835)

              57,638,534  
          

 

 

  

 

15

Company    Shares        U.S. $ Value  

EQUITY LINKED NOTES – 0.5%

           

Information Technology – 0.5%

           

Electronic Equipment, Instruments & Components – 0.5%

           

FPT Corp., Macquarie Bank Ltd., expiring 03/31/2021(b)(j)
(cost $735,561)

         352,463        $ 693,352  
          

 

 

  

INVESTMENT COMPANIES – 0.1%

           

Funds and Investment Trusts – 0.1%

           

VFMVN30 ETF Fund(b)(k)
(cost $97,798)

         239,030          137,740  
          

 

 

  

SHORT-TERM INVESTMENTS – 10.5%

           

Investment Companies – 9.9%

           

AB Fixed Income Shares, Inc. - Government Money Market Portfolio - Class AB, 0.13%(k)(l)(m)
(cost $14,758,167)

         14,758,167                14,758,167  
          

 

 

  
    

Principal
Amount
(000)

           

Time Deposits – 0.6%

           

Bank of Montreal, London
0.01%, 07/01/2020

    U.S.$      392          391,617  

BBH Grand Cayman
(0.30)%, 07/01/2020

    NOK      2          180  

(0.25)%, 07/01/2020

    SEK      9          1,000  

(0.10)%, 07/01/2020

    AUD      3          1,975  

Zero Coupon, 07/01/2020

    SGD      1          647  

0.02%, 07/02/2020

    CAD      1          580  

3.03%, 07/01/2020

    ZAR      153          8,844  

Citibank, London
(0.68)%, 07/01/2020

    EUR      145          163,169  

0.01%, 07/01/2020

    GBP      25          31,456  

Hong Kong & Shanghai Bank, Hong Kong
0.04%, 07/02/2020

    HKD      645          83,205  

Sumitomo, Tokyo
(0.25)%, 07/01/2020

    JPY      14,568          134,923  
          

 

 

  

Total Time Deposits
(cost $817,596)

              817,596  
          

 

 

  

Total Short-Term Investments
(cost $15,575,763)

              15,575,763  
          

 

 

  

Total Investments Before Security Lending Collateral for Securities Loaned – 96.2%
(cost $138,510,817)

              143,643,593  
          

 

 

  
    

Shares

           

INVESTMENTS OF CASH COLLATERAL FOR SECURITIES LOANED – 1.4%

           

Investment Companies – 1.4%

           

AB Fixed Income Shares, Inc. - Government Money Market Portfolio Class AB, 0.13%(k)(l)(m)
(cost $1,940,109)

         1,940,109          1,940,109  
          

 

 

  

 

16

                      U.S. $ Value  

Total Investments – 97.6%
(cost $140,450,926)(n)

          $ 145,583,702  

Other assets less liabilities – 2.4%

            3,795,787  
        

 

 

  

Net Assets – 100.0%

          $     149,379,489  
        

 

 

  

FUTURES

 

Description    Number
of
Contracts		    Expiration
Month		    Current
Notional		    Value and
Unrealized
Appreciation/
(Depreciation)
Purchased Contracts

 

MSCI Emerging Markets Index Futures        239        September 2020      $ 11,779,115      $ (16,431 )
SGX FTSE China A50 Futures        115        July 2020        1,580,782            15,345
Sold Contracts

 

U.S. Ultra Bond (CBT) Futures        10        September 2020        2,181,562        (95,656 )
                   

 

 

  
                    $ (96,742 )
                   

 

 

  

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.        THB        16,637        USD        528        08/27/2020      $ (10,484 )
Bank of America, NA        HUF        289,207        USD        934        07/29/2020        16,916
Bank of America, NA        INR        86,150        USD        1,133        07/23/2020        (5,119 )
Bank of America, NA        USD        577        INR        43,995        07/23/2020        3,582
Bank of America, NA        IDR        5,326,751        USD        375        07/23/2020        8,997
Bank of America, NA        USD        237        IDR        3,522,421        07/23/2020        5,065
Bank of America, NA        USD        224        TWD        6,588        08/20/2020        2,131
Bank of America, NA        PHP        8,147        USD        159        08/19/2020        (4,090 )
Bank of America, NA        RUB        70,379        USD        952        07/14/2020        (35,353 )
Barclays Bank PLC        MYR        37,837        USD        8,972        08/13/2020        161,317
Barclays Bank PLC        MYR        6,405        USD        1,477        08/13/2020        (13,864 )
Barclays Bank PLC        USD        434        MYR        1,900        08/13/2020        8,615
Barclays Bank PLC        USD        6,524        MYR        27,142        08/13/2020        (204,635 )
Barclays Bank PLC        RUB        16,279        USD        235        07/14/2020        6,397
BNP Paribas SA        BRL        9,098        USD        1,661        07/02/2020        (11,579 )
BNP Paribas SA        USD        1,689        BRL        9,098        07/02/2020        (16,137 )
Brown Brothers Harriman & Co.        AUD        314        USD        218        08/13/2020        1,664
Brown Brothers Harriman & Co.        CNH        25,783        USD        3,637        08/13/2020        (1,339 )
Brown Brothers Harriman & Co.        HUF        113,540        USD        362        07/29/2020        2,320
Brown Brothers Harriman & Co.        HUF        66,803        USD        208        07/29/2020        (3,985 )
Brown Brothers Harriman & Co.        USD        272        HUF        88,334        07/29/2020        8,341
Brown Brothers Harriman & Co.        USD        148        HUF        45,251        07/29/2020        (4,209 )
Brown Brothers Harriman & Co.        USD        118        JPY        12,777        08/07/2020        615
Brown Brothers Harriman & Co.        PLN        4,347        USD        1,034        07/29/2020        (64,555 )
Brown Brothers Harriman & Co.        USD        156        PLN        620        07/29/2020        531

 

17

Counterparty    Contracts to
Deliver
(000)		    In Exchange
For
(000)		    Settlement
Date		    Unrealized
Appreciation/
(Depreciation)
Brown Brothers Harriman & Co.        USD        472        ZAR        7,958        07/17/2020      $ (14,232 )
Brown Brothers Harriman & Co.        THB        11,253        USD        352        08/27/2020        (11,674 )
Brown Brothers Harriman & Co.        USD        753        THB        23,997        08/27/2020        23,810
Citibank, NA        BRL        9,802        USD        1,941        07/02/2020        138,035
Citibank, NA        USD        1,790        BRL        9,802        07/02/2020        12,475
Citibank, NA        CLP        528,916        USD        631        07/15/2020        (12,776 )
Citibank, NA        COP        1,354,911        USD        342        07/15/2020        (17,932 )
Citibank, NA        USD        298        COP        1,131,717        07/15/2020        2,980
Citibank, NA        USD        628        COP        2,321,331        07/15/2020        (11,174 )
Citibank, NA        HUF        114,134        USD        359        07/29/2020        (2,668 )
Citibank, NA        USD        410        HUF        130,071        07/29/2020        2,566
Citibank, NA        USD        2,906        INR        227,046        07/23/2020        92,479
Citibank, NA        USD        502        MXN        11,344        08/07/2020        (11,081 )
Citibank, NA        USD        1,124        TWD        33,379        08/20/2020        19,383
Citibank, NA        PEN        447        USD        129        07/15/2020        3,274
Citibank, NA        PLN        3,479        USD        856        07/29/2020        (23,068 )
Citibank, NA        USD        508        SGD        718        08/27/2020        7,567
Citibank, NA        USD        299        ZAR        5,223        07/17/2020        1,360
Citibank, NA        ZAR        16,415        USD        951        07/17/2020        7,008
Citibank, NA        ZAR        13,892        USD        778        07/17/2020        (21,673 )
Citibank, NA        KRW        771,002        USD        634        08/13/2020        (8,673 )
Citibank, NA        USD        294        KRW        361,706        08/13/2020        7,635
Citibank, NA        USD        179        THB        5,536        08/27/2020        (109 )
Credit Suisse International        ZAR        36,660        USD        2,121        07/17/2020        12,352
Deutsche Bank AG        USD        468        INR        35,667        07/23/2020        3,395
Deutsche Bank AG        IDR        5,318,761        USD        350        07/23/2020        (15,351 )
Deutsche Bank AG        USD        2,435        IDR        34,839,780        07/23/2020        (44,466 )
Deutsche Bank AG        TWD        12,773        USD        435        08/20/2020        (2,625 )
Deutsche Bank AG        PEN        4,246        USD        1,240        07/15/2020        41,631
Deutsche Bank AG        KRW        586,375        USD        485        08/13/2020        (4,304 )
Goldman Sachs Bank USA        BRL        2,284        USD        428        07/02/2020        8,077
Goldman Sachs Bank USA        USD        417        BRL        2,284        07/02/2020        2,907
Goldman Sachs Bank USA        USD        725        CNH        5,143        08/13/2020        776
Goldman Sachs Bank USA        USD        1,420        INR        108,957        07/23/2020        18,467
Goldman Sachs Bank USA        USD        146        IDR        2,186,060        07/23/2020        4,152
Goldman Sachs Bank USA        MYR        4,262        USD        1,025        08/13/2020        32,377
Goldman Sachs Bank USA        MYR        8,825        USD        2,008        08/13/2020        (47,283 )
Goldman Sachs Bank USA        USD        6,604        MYR        28,183        08/13/2020        (42,171 )
Goldman Sachs Bank USA        USD        1,880        MYR        8,225        08/13/2020        35,550
Goldman Sachs Bank USA        USD        1,652        MXN        36,970        08/07/2020        (51,728 )
Goldman Sachs Bank USA        TWD        46,621        USD        1,582        08/20/2020        (15,614 )
Goldman Sachs Bank USA        PHP        34,577        USD        677        08/19/2020        (16,471 )
Goldman Sachs Bank USA        KRW        382,473        USD        308        08/13/2020        (10,877 )
Goldman Sachs Bank USA        USD        216        KRW        261,290        08/13/2020        1,453
HSBC Bank USA        USD        314        COP        1,186,097        07/15/2020        1,306
HSBC Bank USA        TWD        18,900        USD        642        08/20/2020        (6,113 )
HSBC Bank USA        USD        128        TWD        3,766        08/20/2020        1,370
HSBC Bank USA        USD        779        RUB        54,387        07/14/2020        (16,340 )
HSBC Bank USA        USD        830        ZAR        15,501        07/17/2020        61,753
HSBC Bank USA        KRW        1,674,863        USD        1,397        08/13/2020        755
JPMorgan Chase Bank, NA        COP        1,528,322        USD        409        07/15/2020        2,318
JPMorgan Chase Bank, NA        CZK        22,463        USD        884        07/29/2020        (62,823 )
JPMorgan Chase Bank, NA        USD        2,192        IDR        35,114,904        07/23/2020        217,627
JPMorgan Chase Bank, NA        USD        982        MXN        22,583        08/07/2020        (4,028 )
JPMorgan Chase Bank, NA        USD        3,529        ZAR        65,296        07/17/2020        227,623
JPMorgan Chase Bank, NA        THB        9,066        USD        289        08/27/2020        (4,152 )
JPMorgan Chase Bank, NA        USD        354        THB        11,253        08/27/2020        10,455
Morgan Stanley Capital Services LLC        BRL        2,988        USD        546        07/02/2020        (3,803 )
Morgan Stanley Capital Services LLC        USD        550        BRL        2,988        07/02/2020        (212 )
Morgan Stanley Capital Services LLC        BRL        2,988        USD        549        08/04/2020        570
Morgan Stanley Capital Services LLC        COP        1,741,824        USD        461        07/15/2020        (2,162 )

 

18

Counterparty    Contracts to
Deliver
(000)		    In Exchange
For
(000)		    Settlement
Date		    Unrealized
Appreciation/
(Depreciation)
Morgan Stanley Capital Services LLC        INR        55,104        USD        726        07/23/2020      $ (2,201 )
Morgan Stanley Capital Services LLC        USD        1,535        INR        116,523        07/23/2020        3,947
Morgan Stanley Capital Services LLC        USD        587        IDR        9,168,242        07/23/2020        41,977
Morgan Stanley Capital Services LLC        USD        1,261        JPY        136,949        08/07/2020        7,485
Morgan Stanley Capital Services LLC        MYR        11,306        USD        2,507        08/13/2020        (125,733 )
Morgan Stanley Capital Services LLC        USD        930        MYR        4,057        08/13/2020        14,663
Morgan Stanley Capital Services LLC        USD        2,978        MYR        12,699        08/13/2020        (20,985 )
Morgan Stanley Capital Services LLC        USD        722        RUB        53,926        07/14/2020        34,406
Morgan Stanley Capital Services LLC        KRW        1,474,841        USD        1,202        08/13/2020        (27,321 )
Morgan Stanley Capital Services LLC        USD        1,888        TRY        13,023        07/28/2020        (660 )
Royal Bank of Scotland PLC        USD        139        COP        555,796        07/15/2020        8,236
Standard Chartered Bank        INR        34,357        USD        455        07/23/2020        1,405
Standard Chartered Bank        USD        152        IDR        2,298,347        07/23/2020        5,785
Standard Chartered Bank        USD        219        IDR        3,171,053        07/23/2020        (1,899 )
Standard Chartered Bank        TWD        8,759        USD        293        08/20/2020        (7,306 )
Standard Chartered Bank        USD        639        PHP        32,218        08/19/2020        7,169
Standard Chartered Bank        USD        475        KRW        578,234        08/13/2020        7,492
UBS AG        CNH        19,698        USD        2,774        08/13/2020        (5,671 )
UBS AG        USD        1,354        INR        104,959        07/23/2020        32,133
UBS AG        IDR        5,841,726        USD        377        07/23/2020        (23,362 )
UBS AG        TWD        20,419        USD        682        08/20/2020        (17,419 )
UBS AG        THB        5,613        USD        176        08/27/2020        (5,513 )
                             

 

 

  
                              $ 295,673
                             

 

 

  

CENTRALLY CLEARED CREDIT DEFAULT SWAPS

 

Description    Fixed
Rate
(Pay)
Receive		   Payment
Frequency		    Implied
Credit
Spread
at
June 30,
2020		   Notional
Amount
(000)		    Market
Value		   Upfront
Premiums
Paid/
(Received)		   Unrealized
Appreciation/
(Depreciation)
Buy Contracts                                    
CDX-EM Series 33, 5 Year Index, 06/20/2025*        (1.00 )%       Quarterly        1.99 %       USD        10,906      $ 501,483     $ 522,514     $ (21,031 )
Sale Contracts                                    
Republic of Turkey
11.875% 01/15/2030, 06/20/2025*		        1.00       Quarterly        4.87       USD        1,030        (171,954 )       (203,501 )       31,547
                           

 

 

      

 

 

      

 

 

  
                            $ 329,529     $ 319,013     $ 10,516
                           

 

 

      

 

 

      

 

 

  

 

*

Termination date

 

19

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)		  
USD      6,000      10/02/2029      3 Month
LIBOR		      1.589%      Quarterly/
Semi-Annual		      $ 545,223        $             —        $ 545,223  

CREDIT DEFAULT SWAPS

 

Swap Counterparty &
Referenced Obligation		    Fixed
Rate
(Pay)
Receive		     Payment
Frequency		      Implied
Credit
Spread
at
June 30,
2020		     Notional
Amount
(000)		      Market
Value		     Upfront
Premiums
Paid/
(Received)		     Unrealized
Appreciation/
(Depreciation)		  
Sale Contracts                    
Morgan Stanley & Co. International PLC                    

Ukraine International Bond, 7.75%, 09/01/2023*

      1.00 %      Quarterly        5.64 %      USD        56      $ (10,915 )    $ (15,322 )    $     4,407  

 

*

Termination date

TOTAL RETURN SWAPS

 

Counterparty &
Referenced Obligation		    Rate Paid/
Received		     Payment
Frequency		      Current
Notional
(000)		      Maturity
Date		      Unrealized
Appreciation/
(Depreciation)		  
Receive Total Return on Reference Obligation                 
MSCI Emerging Markets Growth     
 3 Month LIBOR
Plus 0.33		  
% 		     Quarterly        USD        15,218        12/15/2020      $         660,475  

 

(a)

Represents entire or partial securities out on loan.

(b)

Non-income producing security.

(c)

Security is exempt from registration under Rule 144A of the Securities Act of 1933. These securities are considered restricted, but liquid and may be resold in transactions exempt from registration, normally to qualified institutional buyers. At June 30, 2020, the aggregate market value of these securities amounted to $48,768,659 or 32.6% of net assets.

(d)

Defaulted.

(e)

Security is exempt from registration under Rule 144A of the Securities Act of 1933. These securities, which represent 0.73% of net assets as of June 30, 2020, are considered illiquid and restricted. Additional information regarding such securities follows:

 

144A/Restricted & Illiquid
Securities

    Acquisition
Date		      Cost      Market
Value		      Percentage
of
Net
Assets		  
Digicel Group 0.5 Ltd.
7.00%, 07/15/2020		      01/14/2019      $ 11,602      $ 1,083        0.00 % 
Ecuador Government International Bond
7.775%, 01/23/2028		      03/18/2020        816,879        510,040        0.34 % 
Ecuador Government International Bond
7.875%, 03/27/2025		      03/18/2020        67,000        86,900        0.06 % 

 

20

144A/Restricted & Illiquid
Securities		    Acquisition
Date		      Cost      Market
Value		      Percentage
of
Net Assets		  
Ecuador Government International Bond
8.875%, 10/23/2027		      03/18/2020      $ 117,698      $ 166,415        0.11 % 
Ecuador Government International Bond
9.65%, 12/13/2026		      03/18/2020        373,959        155,550        0.10 % 
Ecuador Government International Bond
10.65%, 01/31/2029		      03/18/2020        119,140        180,110        0.12 % 
Tonon Luxembourg SA
6.50%, 10/31/2024		      05/03/2019        217,648        3,143        0.00 % 
Virgolino de Oliveira Finance SA
11.75%, 02/09/2022		      07/12/2013        172,628        1,898        0.00 % 

 

(f)

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

(g)

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

(h)

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 June 30, 2020.

(i)

Fair valued by the Adviser.

(j)

Restricted and illiquid security.

 

Restricted & Illiquid
Securities

    Acquisition
Date		      Cost      Market
Value		      Percentage
of
Net Assets		  
FPT Corp.Macquarie Bank Ltd.
03/31/2021		      12/06/2018      $ 735,561      $     693,352        0.46 % 

 

(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)

Affiliated investments.

(m)

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

(n)

As of June 30, 2020, the cost basis of investment securities owned was substantially identical for both book and tax purposes. Gross unrealized appreciation of investments was $16,137,545 and gross unrealized depreciation of investments was $(9,585,217), resulting in net unrealized appreciation of $6,552,328.

Currency Abbreviations:

ARS – Argentine Peso

AUD – Australian Dollar

BRL – Brazilian Real

CAD – Canadian Dollar

CLP – Chilean Peso

CNH – Chinese Yuan Renminbi (Offshore)

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

PEN – Peruvian Sol

PHP – Philippine Peso

PLN – Polish Zloty

 

21

RUB – Russian Ruble

SEK – Swedish Krona

SGD – Singapore Dollar

THB – Thailand Baht

TRY – Turkish Lira

TWD – New Taiwan Dollar

UAH – Ukrainian Hryvnia

USD – United States Dollar

ZAR – South African Rand

Glossary:

ADR – American Depositary Receipt

CBT – Chicago Board of Trade

CDX-EM – Emerging Market Credit Default Swap Index

ETF – Exchange Traded Fund

FTSE – Financial Times Stock Exchange

GDR – Global Depositary Receipt

JSC – Joint Stock Company

LIBOR – London Interbank Offered Rates

MSCI – Morgan Stanley Capital International

PJSC – Public Joint Stock Company

SGX – Singapore Exchange

COUNTRY BREAKDOWN1

June 30, 2020 (unaudited)

 

    21.6 %    China
      7.6 %    South Korea
      6.6 %    Taiwan
      4.5 %    Russia
      3.3 %    Mexico
      3.3 %    Indonesia
      3.0 %    Chile
      3.0 %    Brazil
      2.2 %    India
      1.9 %    Ukraine
      1.9 %    Peru
      1.9 %    United Arab Emirates
      1.7 %    Qatar
    26.7 %    Other
    10.8 %    Short-Term

 

 

    
  100.0 %    Total Investments

 

 

    

 

1

All data are as of June 30, 2020. The Fund’s country breakdown is expressed as a percentage of total investments (excluding security lending collateral) and may vary over time. “Other” country weightings represent 1.6% or less in the following: Angola, Argentina, Australia, Azerbaijan, Bahrain, Bermuda, Canada, Colombia, Costa Rica, Czech Republic, Dominican Republic, Ecuador, Egypt, El Salvador, Gabon, Ghana, Greece, Guatemala, Honduras, Hong Kong, Hungary, Israel, Ivory Coast, Jamaica, Japan, Kazakhstan, Kenya, Lebanon, Malaysia, Mongolia, Morocco, Nigeria, Oman, Pakistan, Panama, Paraguay, Philippines, Poland, Portugal, Saudi Arabia, Senegal, South Africa, Sri Lanka, Thailand, Trinidad & Tobago, Turkey, United Kingdom, United States, Uruguay, Venezuela, Vietnam and Zambia.

 

22

AB Emerging Markets Multi-Asset Portfolio

June 30, 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 are then discounted to calculate fair values. If these inputs are unobservable and significant to the fair value, these investments will be classified as Level 3.

Where readily available market prices or relevant bid prices are not available for certain equity investments, such investments may be valued based on similar publicly traded investments, movements in relevant indices since last available prices or based upon underlying company fundamentals and comparable company data (such as multiples to earnings or other multiples to equity). Where an investment is valued using an observable input, such as another publicly traded security, the investment will be classified as Level 2. If management determines that an adjustment is appropriate based on restrictions on resale, illiquidity or uncertainty, and such adjustment is a significant component of the valuation, the investment will be classified as Level 3. An investment will also be classified as Level 3 where management uses company fundamentals and other significant inputs to determine the valuation.

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.

 

23

The following table summarizes the valuation of the Fund’s investments by the above fair value hierarchy levels as of June 30, 2020:

 

Investments in Securities

    Level 1     Level 2     Level 3      Total  
Assets:          
Common Stocks:          

Information Technology

    $ 1,330,729     $ 12,888,341     $ -0-      $ 14,219,070  

Financials

      2,061,381       12,121,104       -0-        14,182,485  

Consumer Discretionary

      4,268,246       4,104,648       -0-        8,372,894  

Materials

      124,082       8,100,586       -0-        8,224,668  

Communication Services

      1,556,033       5,276,955       -0-        6,832,988  

Industrials

      418,874       3,865,679       -0-        4,284,553  

Consumer Staples

      268,672       4,013,389       -0-        4,282,061  

Energy

      2,897,525       545,952       -0-        3,443,477  

Health Care

      76,053       2,249,561       -0-        2,325,614  

Real Estate

      403,351       1,417,319       -0-        1,820,670  

Utilities

      570,703       1,039,021       -0-        1,609,724  
Fixed Income Securities:          

Sovereign Bonds

      -0-       33,204,182       -0-        33,204,182  

Quasi-Sovereign Bonds

      -0-       11,793,493       -0-        11,793,493  

Corporate Bonds

      -0-       11,655,865       4,226        11,660,091  

Treasury Bonds

      -0-       659,999       -0-        659,999  

Emerging Markets - Treasuries

      -0-       287,407       -0-        287,407  

Regional Bonds

      -0-       33,362       -0-        33,362  
Equity Linked Notes      -0-       693,352       -0-        693,352  
Investment Companies      -0-       137,740       -0-        137,740  
Short-Term Investments:          

Investment Companies

      14,758,167       -0-       -0-        14,758,167  

Time Deposits

      -0-       817,596       -0-        817,596  
Investments of Cash Collateral for Securities Loaned in Affiliated Money Market Fund      1,940,109       -0-       -0-        1,940,109  
  

 

 

    

 

 

    

 

 

     

 

 

  
Total Investments in Securities      30,673,925       114,905,551       4,226        145,583,702  
Other Financial Instruments*:          
Assets          
Futures      -0-       15,345       -0-        15,345  
Forward Currency Exchange Contracts      -0-       1,394,675       -0-        1,394,675  
Centrally Cleared Credit Default Swaps      -0-       501,483       -0-        501,483  
Centrally Cleared Interest Rate Swaps      -0-       545,223       -0-        545,223  
Total Return Swaps      -0-       660,475       -0-        660,475  
Liabilities          
Futures      (112,087 )      -0-       -0-        (112,087 ) 
Forward Currency Exchange Contracts      -0-       (1,099,002 )      -0-        (1,099,002 ) 
Centrally Cleared Credit Default Swaps      -0-       (171,954 )      -0-        (171,954 ) 
Credit Default Swaps      -0-       (10,915 )      -0-        (10,915 ) 
  

 

 

    

 

 

    

 

 

     

 

 

  
Total    $     30,561,838     $     116,740,881     $     4,226      $     147,306,945  
  

 

 

    

 

 

    

 

 

     

 

 

  

 

*

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 June 30, 2020 is as follows:

 

Fund    Market
Value
3/31/20
(000)		      Purchases
at Cost
(000)		      Sales
Proceeds
(000)		      Market
Value
6/30/20
(000)		      Dividend
Income
(000)		  
Government Money Market Portfolio    $     14,137      $ 26,718      $ 26,097      $ 14,758      $ 7  
Government Money Market Portfolio*      326        8,642        7,028        1,940        1  
Total                               $   16,698      $   8  

 

*

Investment of cash collateral for securities lending transactions.

 

24