0001752724-24-098769.txt : 20240514 0001752724-24-098769.hdr.sgml : 20240514 20240514153703 ACCESSION NUMBER: 0001752724-24-098769 CONFORMED SUBMISSION TYPE: NPORT-P PUBLIC DOCUMENT COUNT: 2 CONFORMED PERIOD OF REPORT: 20240331 FILED AS OF DATE: 20240514 DATE AS OF CHANGE: 20240514 PERIOD START: 20241231 FILER: COMPANY DATA: COMPANY CONFORMED NAME: AB VARIABLE PRODUCTS SERIES FUND, INC. CENTRAL INDEX KEY: 0000825316 ORGANIZATION NAME: IRS NUMBER: 000000000 FISCAL YEAR END: 1231 FILING VALUES: FORM TYPE: NPORT-P SEC ACT: 1940 Act SEC FILE NUMBER: 811-05398 FILM NUMBER: 24943851 BUSINESS ADDRESS: STREET 1: ALLIANCEBERNSTEIN LP STREET 2: 1345 AVENUE OF THE AMERICAS CITY: NEW YORK STATE: NY ZIP: 10105 BUSINESS PHONE: 2129691000 MAIL ADDRESS: STREET 1: ALLIANCEBERNSTEIN LP STREET 2: 1345 AVENUE OF THE AMERICAS CITY: NEW YORK STATE: NY ZIP: 10105 FORMER COMPANY: FORMER CONFORMED NAME: ALLIANCEBERNSTEIN VARIABLE PRODUCTS SERIES FUND INC DATE OF NAME CHANGE: 19920703 0000825316 S000010443 AB Balanced Hedged Allocation Portfolio C000028852 Class A C000028853 Class B NPORT-P 1 primary_doc.xml NPORT-P false 0000825316 XXXXXXXX S000010443 C000028853 C000028852 AB VARIABLE PRODUCTS SERIES FUND, INC. 811-05398 0000825316 549300O75IUIQOS5Q596 ALLIANCEBERNSTEIN LP 1345 AVENUE OF THE AMERICAS NEW YORK 10105 212-969-1000 AB Balanced Hedged Allocation Portfolio S000010443 549300R9D1H8EHZQZI72 2024-12-31 2024-03-31 N 176157422.83 4998617.96 171158804.87 0.00000000 0.00000000 0.00000000 0.00000000 0.00000000 0.00000000 0.00000000 0.00000000 0.00000000 0.00000000 0.00000000 0.00000000 0.00000000 0.00000000 USD UST MSCI AC World index in USD .MIWD00000GUS Options Clearing Corp. 549300CII6SLYGKNHA04 S+P 500 INDEX 000000000 19.00000000 NC USD 1870645.00000000 1.092929458943 N/A DE US N 2 Options Clearing Corp. 549300CII6SLYGKNHA04 Call Purchased S&P 500 Index SPX INDEX 100.00000000 4700.00000000 USD 2025-12-19 XXXX 1032141.62000000 N N N Chicago Mercantile Exchange SNZ2OJLFK8MNNCLQOF39 S+P500 EMINI FUT JUN24 000000000 -5.00000000 NC USD -18499.97000000 -0.01080865808 N/A DE US N 1 Chicago Mercantile Exchange SNZ2OJLFK8MNNCLQOF39 Short CME E-Mini Standard & Poor's 500 Index Futures ESM4 Index 2024-06-21 -1308625.03000000 USD -18499.97000000 N N N Chicago Mercantile Exchange SNZ2OJLFK8MNNCLQOF39 E-MINI RUSS 2000 JUN24 000000000 6.00000000 NC USD 10381.28000000 0.006065291241 N/A DE US N 1 Chicago Mercantile Exchange SNZ2OJLFK8MNNCLQOF39 Long CME E-mini Russell 2000 Index Futures RTYM4 Index 2024-06-21 633388.72000000 USD 10381.28000000 N N N iShares Core U.S. Aggregate Bond ETF 549300F7VSXTKBGHJE47 iShares Core U.S. Aggregate Bond ETF 464287226 264500.00000000 NS USD 25905130.00000000 15.13514307351 Long EC RF US N 1 N N N Chicago Board of Trade 549300EX04Q2QBFQTQ27 US 10YR NOTE (CBT)JUN24 000000000 516.00000000 NC USD 269228.96000000 0.157297756434 N/A DIR US N 1 Chicago Board of Trade 549300EX04Q2QBFQTQ27 Long CBOT 10 Year U.S. Treasury Notes TYM4 Comdty 2024-06-18 56901958.54000000 USD 269228.96000000 N N N MMC Norilsk Nickel PJSC 253400JPTEEW143W3E47 MMC Norilsk Nickel PJSC 55315J102 2540.00000000 NS USD 0.00000000 0.000000 Long EC CORP RU N 3 N N N ICE Futures U.S., Inc. 5493004R83R1LVX2IL36 MSCI EMGMKT JUN24 000000000 34.00000000 NC USD 5695.34000000 0.003327517976 N/A DE US N 1 ICE Futures U.S., Inc. 5493004R83R1LVX2IL36 Long ICE U.S. MSCI Emerging Markets EM Index Futures MESM4 Index 2024-06-21 1777604.66000000 USD 5695.34000000 N N N Chicago Board of Trade 549300EX04Q2QBFQTQ27 US LONG BOND(CBT) JUN24 000000000 50.00000000 NC USD 67099.50000000 0.039203066445 N/A DIR US N 1 Chicago Board of Trade 549300EX04Q2QBFQTQ27 Long CBOT U.S. Long Bond Futures USM4 Comdty 2024-06-18 5954775.50000000 USD 67099.50000000 N N N Options Clearing Corp. 549300CII6SLYGKNHA04 S+P 500 INDEX 000000000 8.00000000 NC USD 642200.00000000 0.375207106924 N/A DE US N 2 Options Clearing Corp. 549300CII6SLYGKNHA04 Call Purchased S&P 500 Index SPX INDEX 100.00000000 5000.00000000 USD 2025-12-19 XXXX 147783.79000000 N N N Chicago Mercantile Exchange SNZ2OJLFK8MNNCLQOF39 S+P MID 400 EMINI JUN24 000000000 3.00000000 NC USD 22143.21000000 0.012937231021 N/A DE US N 1 Chicago Mercantile Exchange SNZ2OJLFK8MNNCLQOF39 Long CME E-Mini Standard & Poor's MidCap 400 Index Futures FAM4 Index 2024-06-21 901076.79000000 USD 22143.21000000 N N N Options Clearing Corp. 549300CII6SLYGKNHA04 S+P 500 INDEX 000000000 18.00000000 NC USD 267660.00000000 0.156381087261 N/A DE US N 2 Options Clearing Corp. 549300CII6SLYGKNHA04 Put Purchased S&P 500 Index SPX INDEX 100.00000000 4500.00000000 USD 2025-12-19 XXXX -423271.44000000 N N N Alliance Bernstein 5493006YWHO7MNK2U579 AB Fixed Income Shares, Inc. - Government Money Market Portfolio 018616748 6171836.20000000 NS USD 6171836.20000000 3.605912184703 Long STIV RF US N 1 N N N Options Clearing Corp. 549300CII6SLYGKNHA04 S+P 500 INDEX 000000000 7.00000000 NC USD 610960.00000000 0.356955051458 N/A DE US N 2 Options Clearing Corp. 549300CII6SLYGKNHA04 Call Purchased S&P 500 Index SPX INDEX 100.00000000 4900.00000000 USD 2025-12-19 XXXX 315615.86000000 N N N Vanguard Small-Cap ETF HZKQM2YGJWB4I8NIZL49 Vanguard Small-Cap ETF 922908751 18550.00000000 NS USD 4240344.50000000 2.477432874820 Long EC RF US N 1 N N Options Clearing Corp. 549300CII6SLYGKNHA04 S+P 500 INDEX 000000000 9.00000000 NC USD 178605.00000000 0.104350459875 N/A DE US N 2 Options Clearing Corp. 549300CII6SLYGKNHA04 Put Purchased S&P 500 Index SPX INDEX 100.00000000 4800.00000000 USD 2025-12-19 XXXX -167648.18000000 N N N Options Clearing Corp. 549300CII6SLYGKNHA04 S+P 500 INDEX 000000000 7.00000000 NC USD 153020.00000000 0.089402353630 N/A DE US N 2 Options Clearing Corp. 549300CII6SLYGKNHA04 Put Purchased S&P 500 Index SPX INDEX 100.00000000 4900.00000000 USD 2025-12-19 XXXX -143898.14000000 N N N Gazprom PJSC 213800FD9J2IHTA7YX78 Gazprom PJSC 000000000 31460.00000000 NS 0.00000000 0.000000 Long EC CORP RU N 3 N N N Vanguard Real Estate ETF B1HNOZOSPCLXHIVBEI82 Vanguard Real Estate ETF 922908553 49000.00000000 NS USD 4237520.00000000 2.475782652968 Long EC RF US N 1 N N Options Clearing Corp. 549300CII6SLYGKNHA04 S+P 500 INDEX 000000000 15.00000000 NC USD 202725.00000000 0.118442635863 N/A DE US N 2 Options Clearing Corp. 549300CII6SLYGKNHA04 Put Purchased S&P 500 Index SPX INDEX 100.00000000 4400.00000000 USD 2025-12-19 XXXX -242580.45000000 N N N Options Clearing Corp. 549300CII6SLYGKNHA04 S+P 500 INDEX 000000000 19.00000000 NC USD 342570.00000000 0.200147459699 N/A DE US N 2 Options Clearing Corp. 549300CII6SLYGKNHA04 Put Purchased S&P 500 Index SPX INDEX 100.00000000 4700.00000000 USD 2025-12-19 XXXX -437354.38000000 N N N ICE Futures U.S., Inc. 5493004R83R1LVX2IL36 MSCI EAFE JUN24 000000000 27.00000000 NC USD 10203.57000000 0.005961463687 N/A DE US N 1 ICE Futures U.S., Inc. 5493004R83R1LVX2IL36 Long ICE U.S. mini MSCI EAFE Index Futures MFSM4 Index 2024-06-21 3171881.43000000 USD 10203.57000000 N N N Chicago Parking Meters LLC N/A CHICAGO PARKING METERS 4.93 30 000000000 200000.00000000 PA USD 193987.53000000 0.113337745111 Long DBT CORP US N 2 2025-12-30 Fixed 4.93000000 N N N N N N Vanguard Total Bond Market ETF CIJB0QNLPT2SSWMJ5W92 Vanguard Total Bond Market ETF 921937835 356200.00000000 NS USD 25870806.00000000 15.11508918261 Long EC RF US N 1 N N N Alliance Bernstein 5493006YWHO7MNK2U579 AB Fixed Income Shares, Inc. - Government Money Market Portfolio 018616748 4566850.00000000 NS USD 4566850.00000000 2.668194606446 Long STIV RF US N 1 N N LUKOIL PJSC 549300LCJ1UJXHYBWI24 LUKOIL PJSC 000000000 790.00000000 NS 0.00000000 0.000000 Long EC CORP RU Y 3 N N N iShares Core MSCI EAFE ETF 5493009FT582MI7Y3I36 iShares Core MSCI EAFE ETF 46432F842 289000.00000000 NS USD 21449580.00000000 12.53197579656 Long EC RF US N 1 N N Options Clearing Corp. 549300CII6SLYGKNHA04 S+P 500 INDEX 000000000 18.00000000 NC USD 2171520.00000000 1.268716500824 N/A DE US N 2 Options Clearing Corp. 549300CII6SLYGKNHA04 Call Purchased S&P 500 Index SPX INDEX 100.00000000 4500.00000000 USD 2025-12-19 XXXX 1134483.56000000 N N N iShares Core MSCI Emerging Markets ETF 5493007C24Z3ZDJ0VD06 iShares Core MSCI Emerging Markets ETF 46434G103 221600.00000000 NS USD 11434560.00000000 6.680672962565 Long EC RF US N 1 N N Options Clearing Corp. 549300CII6SLYGKNHA04 S+P 500 INDEX 000000000 9.00000000 NC USD 850320.00000000 0.496801786297 N/A DE US N 2 Options Clearing Corp. 549300CII6SLYGKNHA04 Call Purchased S&P 500 Index SPX INDEX 100.00000000 4800.00000000 USD 2025-12-19 XXXX 436666.82000000 N N N Options Clearing Corp. 549300CII6SLYGKNHA04 S+P 500 INDEX 000000000 6.00000000 NC USD 677730.00000000 0.395965606627 N/A DE US N 2 Options Clearing Corp. 549300CII6SLYGKNHA04 Call Purchased S&P 500 Index SPX INDEX 100.00000000 4600.00000000 USD 2025-12-19 XXXX 317515.84000000 N N N Vanguard Mid-Cap ETF F7RXEPKL33W3OZ8V3S02 Vanguard Mid-Cap ETF 922908629 24350.00000000 NS USD 6084091.00000000 3.554646811550 Long EC RF US N 1 N N iShares Core S&P 500 ETF 5493007M4YMN8XL48C14 iShares Core S&P 500 ETF 464287200 99650.00000000 NS USD 52388994.50000000 30.60841336195 Long EC RF US N 1 N N N Options Clearing Corp. 549300CII6SLYGKNHA04 S+P 500 INDEX 000000000 8.00000000 NC USD 192520.00000000 0.112480336694 N/A DE US N 2 Options Clearing Corp. 549300CII6SLYGKNHA04 Put Purchased S&P 500 Index SPX INDEX 100.00000000 5000.00000000 USD 2025-12-19 XXXX -44456.21000000 N N N United States Treasury 254900HROIFWPRGM1V77 U.S. Treasury Inflation-Indexed Notes 91282CDX6 5421441.38000000 PA USD 4743761.21000000 2.771555464881 Long DBT UST US N 2 2032-01-15 Fixed 0.12500000 N N N N N N Options Clearing Corp. 549300CII6SLYGKNHA04 S+P 500 INDEX 000000000 42.00000000 NC USD 687750.00000000 0.401819819040 N/A DE US N 2 Options Clearing Corp. 549300CII6SLYGKNHA04 Put Purchased S&P 500 Index SPX INDEX 100.00000000 4600.00000000 USD 2025-12-19 XXXX -827160.23000000 N N N 2024-04-29 AB VARIABLE PRODUCTS SERIES FUND, INC. Joseph Mantineo Joseph Mantineo Treasurer and Chief Financial Officer XXXX NPORT-EX 2 NPORT_64VW_17617525_0324.htm HTML

AB Variable Products Series Fund, Inc.

AB Balanced Hedged Allocation Portfolio

Portfolio of Investments

March 31, 2024 (unaudited)

 

Company    Shares        U.S. $ Value  

INVESTMENT COMPANIES – 88.6%

 

Funds and Investment Trusts – 88.6%(a)

 

iShares Core MSCI EAFE ETF(b)

         289,000        $   21,449,580  

iShares Core MSCI Emerging Markets ETF(b)

         221,600          11,434,560  

iShares Core S&P 500 ETF

         99,650          52,388,994  

iShares Core U.S. Aggregate Bond ETF

         264,500          25,905,130  

Vanguard Mid-Cap ETF(b)

         24,350          6,084,091  

Vanguard Real Estate ETF(b)

         49,000          4,237,520  

Vanguard Small-Cap ETF(b)

         18,550          4,240,345  

Vanguard Total Bond Market ETF

         356,200          25,870,806  
          

 

 

  

Total Investment Companies
(cost $141,286,472)

           151,611,026  
          

 

 

  
     Notional
Amount		           

PURCHASED OPTIONS - CALLS – 4.0%

 

Options on Equity Indices – 4.0%

 

S&P 500 Index
Expiration: Dec 2025; Contracts: 18;
Exercise Price: USD 4,500.00;
Counterparty: Morgan Stanley & Co., Inc.(c)

      USD        8,100,000          2,171,520  

S&P 500 Index
Expiration: Dec 2025; Contracts: 19;
Exercise Price: USD 4,700.00;
Counterparty: Morgan Stanley & Co., Inc.(c)

      USD        8,930,000          1,870,645  

S&P 500 Index
Expiration: Dec 2025; Contracts: 9;
Exercise Price: USD 4,800.00;
Counterparty: Morgan Stanley & Co., Inc.(c)

      USD        4,320,000          850,320  

S&P 500 Index
Expiration: Dec 2025; Contracts: 6;
Exercise Price: USD 4,600.00;
Counterparty: Morgan Stanley & Co., Inc.(c)

      USD        2,760,000          677,730  

S&P 500 Index
Expiration: Dec 2025; Contracts: 8;
Exercise Price: USD 5,000.00;
Counterparty: Morgan Stanley & Co., Inc.(c)

      USD        4,000,000          642,200  

S&P 500 Index
Expiration: Dec 2025; Contracts: 7;
Exercise Price: USD 4,900.00;
Counterparty: Morgan Stanley & Co., Inc.(c)

      USD        3,430,000          610,960  
          

 

 

  

Total Purchased Options - Calls
(premiums paid $3,439,167)

           6,823,375  
          

 

 

  
     Principal
Amount
(000)		           

INFLATION-LINKED SECURITIES – 2.8%

 

United States – 2.8%

 

U.S. Treasury Inflation Index(d)
(cost $5,447,483)

      U.S.$        5,421          4,743,761  
          

 

 

  

 

1

      Notional
Amount		        U.S. $ Value  

PURCHASED OPTIONS - PUTS – 1.2%

 

Options on Equity Indices – 1.2%

 

S&P 500 Index
Expiration: Dec 2025; Contracts: 42;
Exercise Price: USD 4,600.00;
Counterparty: Morgan Stanley & Co., Inc.(c)

      USD        19,320,000        $      687,750  

S&P 500 Index
Expiration: Dec 2025; Contracts: 19;
Exercise Price: USD 4,700.00;
Counterparty: Morgan Stanley & Co., Inc.(c)

      USD        8,930,000          342,570  

S&P 500 Index
Expiration: Dec 2025; Contracts: 18;
Exercise Price: USD 4,500.00;
Counterparty: Morgan Stanley & Co., Inc.(c)

      USD        8,100,000          267,660  

S&P 500 Index
Expiration: Dec 2025; Contracts: 15;
Exercise Price: USD 4,400.00;
Counterparty: Morgan Stanley & Co., Inc.(c)

      USD        6,600,000          202,725  

S&P 500 Index
Expiration: Dec 2025; Contracts: 8;
Exercise Price: USD 5,000.00;
Counterparty: Morgan Stanley & Co., Inc.(c)

      USD        4,000,000          192,520  

S&P 500 Index
Expiration: Dec 2025; Contracts: 9;
Exercise Price: USD 4,800.00;
Counterparty: Morgan Stanley & Co., Inc.(c)

      USD        4,320,000          178,605  

S&P 500 Index
Expiration: Dec 2025; Contracts: 7;
Exercise Price: USD 4,900.00;
Counterparty: Morgan Stanley & Co., Inc.(c)

      USD        3,430,000          153,020  
          

 

 

  

Total Purchased Options - Puts
(premiums paid $4,311,219)

           2,024,850  
          

 

 

  
     Principal
Amount
(000)		           

CORPORATES - INVESTMENT GRADE – 0.1%

 

Industrial – 0.1%

 

Services – 0.1%

 

Chicago Parking Meters LLC(e)
(cost $200,000)

      U.S.$        200          193,988  
          

 

 

  
     Shares           

COMMON STOCKS – 0.0%

 

Energy – 0.0%

 

Oil, Gas & Consumable Fuels – 0.0%

 

Gazprom PJSC(c) (e) (f)

         31,460          0  

LUKOIL PJSC(e) (f) (g)

         790          0  
          

 

 

  
             0  
          

 

 

  

Materials – 0.0%

 

Metals & Mining – 0.0%

 

MMC Norilsk Nickel PJSC (ADR)(c) (e) (f)

         2,540          0  
          

 

 

  

 

2

Company    Shares        U.S. $ Value  

Total Common Stocks
(cost $272,698)

         $ 0  
       

 

 

  

SHORT-TERM INVESTMENTS – 3.6%

        

Investment Companies – 3.6%

        

AB Fixed Income Shares, Inc. - Government Money Market Portfolio - Class AB, 5.21%(a) (h) (i)
(cost $6,171,836)

      6,171,836          6,171,836  
       

 

 

  

Total Investments Before Security Lending Collateral for Securities Loaned – 100.3%
(cost $161,128,875)

           171,568,836  
       

 

 

  

INVESTMENTS OF CASH COLLATERAL FOR SECURITIES LOANED – 2.7%

 

Investment Companies – 2.7%

 

AB Fixed Income Shares, Inc. - Government Money Market Portfolio - Class AB, 5.21%(a) (h) (i)
(cost $4,566,850)

      4,566,850          4,566,850  
       

 

 

  

Total Investments – 103.0%
(cost $165,695,725)(j)

 

        176,135,686 (k) 

Other assets less liabilities – (3.0)%

           (5,158,729 ) 
       

 

 

  

Net Assets – 100.0%

         $  170,976,957  
       

 

 

  

FUTURES

 

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

 

E-Mini Russell 2000 Index Futures          6          June 2024          643,770        $ 10,381
MSCI EAFE Futures          27          June 2024          3,182,085          10,204
MSCI Emerging Markets Futures          34          June 2024          1,783,300          5,695
S&P Mid 400 E-Mini Futures          3          June 2024          923,220          22,143
U.S. Long Bond (CBT) Futures          50          June 2024          6,021,875          67,100
U.S. T-Note 10 Yr (CBT) Futures          516          June 2024          57,171,188          269,229
Sold Contracts

 

S&P 500 E-Mini Futures          8          June 2024          2,123,400          (18,206 )
                           

 

 

  
                            $  366,546
                           

 

 

  

 

(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)

Represents entire or partial securities out on loan.

(c)

Non-income producing security.

(d)

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

(e)

Fair valued by the Adviser.

(f)

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

(g)

Restricted and illiquid security.

 

3

Restricted & Illiquid Securities    Acquisition
Date		    Cost      Market
Value		      Percentage
of
Net Assets

LUKOIL PJSC

    06/29/2018    $  61,154      $  0      0.00%

 

(h)

Affiliated investments.

(i)

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

(j)

As of March 31, 2024, the cost basis of investment securities owned was substantially identical for both book and tax purposes. Gross unrealized appreciation of investments was $18,117,886 and gross unrealized depreciation of investments was $(7,311,379), resulting in net unrealized appreciation of $10,806,507.

(k)

On March 29, 2024, the Portfolio and U.S. stock exchanges were closed for business due to a U.S. holiday but the foreign markets remained open for trading. The Portfolio valued its foreign securities using the closing market prices from the respective foreign markets as of March 28, 2024 for financial reporting purposes.

Currency Abbreviations:

USD – United States Dollar

Glossary:

ADR – American Depositary Receipt

CBT – Chicago Board of Trade

EAFE – Europe, Australia, and Far East

ETF – Exchange Traded Fund

MSCI – Morgan Stanley Capital International

PJSC – Public Joint Stock Company

 

4

AB Variable Products Series Fund, Inc.

AB Balanced Hedged Allocation Portfolio 

March 31, 2024 (unaudited)

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

 

5

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 Portfolio’s investments by the above fair value hierarchy levels as of March 31, 2024:

 

Investments in Securities:

    Level 1     Level 2      Level 3     Total  
Assets:

 

Investment Companies    $ 151,611,026     $ —      $     —     $ 151,611,026  
Purchased Options - Calls      —       6,823,375        —       6,823,375  
Inflation-Linked Securities      —       4,743,761        —       4,743,761  
Purchased Options - Puts      —       2,024,850        —       2,024,850  
Corporates - Investment Grade      —       193,988        —       193,988  
Common Stocks      —       —        0 (a)      —  
Short-Term Investments      6,171,836       —        —       6,171,836  
Investments of Cash Collateral for Securities Loaned in Affiliated Money Market Fund      4,566,850       —        —       4,566,850  
  

 

 

    

 

 

     

 

 

    

 

 

  
Total Investments in Securities      162,349,712       13,785,974        0 (a)      176,135,686  
Other Financial Instruments(b):          
Assets:

 

Futures      384,752       —        —       384,752  
Liabilities:

 

Futures      (18,206 )      —        —       (18,206 ) 
  

 

 

    

 

 

     

 

 

    

 

 

  
Total    $  162,716,258     $  13,785,974      $ 0 (a)    $  176,502,232  
  

 

 

    

 

 

     

 

 

    

 

 

  

 

(a) 

The Portfolio held securities with zero market value at period end.

 

(b) 

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

 

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A summary of the Portfolio’s transactions in AB mutual funds for the three months ended March 31, 2024 is as follows:

 

Portfolio    Market Value
12/31/2023
(000)		      Purchases
at Cost
(000)		      Sales
Proceeds
(000)		      Market Value
03/31/2024
(000)		      Dividend
Income
(000)		  
Government Money Market Portfolio    $ 10,352      $ 8,307      $ 12,487      $ 6,172      $ 102  
Government Money Market Portfolio*      6,202        112,484        114,119        4,567        126  
Total    $  16,554      $  120,791      $  126,606      $  10,739      $  228  

 

*

Investments of cash collateral for securities lending transactions.

 

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