0001752724-19-048629.txt : 20190529 0001752724-19-048629.hdr.sgml : 20190529 20190529135749 ACCESSION NUMBER: 0001752724-19-048629 CONFORMED SUBMISSION TYPE: NPORT-EX PUBLIC DOCUMENT COUNT: 1 CONFORMED PERIOD OF REPORT: 20190331 FILED AS OF DATE: 20190529 FILER: COMPANY DATA: COMPANY CONFORMED NAME: AB BOND FUND, INC. CENTRAL INDEX KEY: 0000003794 IRS NUMBER: 132754393 FISCAL YEAR END: 0930 FILING VALUES: FORM TYPE: NPORT-EX SEC ACT: 1940 Act SEC FILE NUMBER: 811-02383 FILM NUMBER: 19861067 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 BOND FUND INC DATE OF NAME CHANGE: 20030319 FORMER COMPANY: FORMER CONFORMED NAME: ALLIANCE BOND FUND INC DATE OF NAME CHANGE: 19920703 0000003794 S000035798 AB FlexFee International Bond Portfolio C000109687 Advisor Class FFIYX ACCESSION NUMBER: 0001752724-19-039538 NPORT-EX 1 NPORT_828650212463619.htm FOR VALIDATION PURPOSES ONLY - [700751.FFIB]

AB Bond Fund, Inc.

AB FlexFee International Bond Portfolio

Portfolio of Investments

March 31, 2019 (unaudited)

 

     Principal
Amount
(000)		        U.S. $ Value  

GOVERNMENTS - TREASURIES - 42.4%

        

Austria - 1.6%

        

Republic of Austria Government Bond

        

0.50%, 2/20/29 (a)

    EUR 429        $ 493,798  

0.75%, 10/20/26 (a)

      160          190,128  

2.40%, 5/23/34 (a)

      45          63,495  
       

 

 

  
          747,421  
       

 

 

  

Belgium - 3.5%

        

Kingdom of Belgium Government Bond

        

Series 44

        

5.00%, 3/28/35 (a)

      170          308,428  

Series 58

        

3.75%, 9/28/20 (a)

      949          1,132,664  

Series 88

        

1.70%, 6/22/50 (a)

      166          197,929  
       

 

 

  
              1,639,021  
       

 

 

  

Canada - 0.7%

        

Canadian Government Bond

        

0.50%, 3/01/22

    CAD 447          324,581  
       

 

 

  

Finland - 1.0%

        

Finland Government Bond

        

0.50%, 9/15/29 (a)

    EUR         409          469,718  
       

 

 

  
       

France - 2.4%

        

French Republic Government Bond OAT

        

0.75%, 11/25/28 (a)

      430          504,962  

1.75%, 5/25/23-6/25/39 (a)

      475          607,278  
       

 

 

  
          1,112,240  
       

 

 

  

Germany - 5.0%

        

Bundesrepublik Deutschland Bundesanleihe

        

0.50%, 2/15/28 (a)

      795          945,223  

1.50%, 9/04/22 (a)

      320          384,950  

2.50%, 7/04/44-8/15/46 (a)

      603          997,022  
       

 

 

  
          2,327,195  
       

 

 

  

Ireland - 0.7%

        

Ireland Government Bond

        

1.00%, 5/15/26 (a)

      278          330,337  
       

 

 

  
       

Italy - 4.2%

        

Italy Buoni Poliennali Del Tesoro

        

1.35%, 4/15/22

      410          464,649  

1.85%, 5/15/24

      125          141,506  

2.20%, 6/01/27

      685          766,607  

3.35%, 3/01/35 (a)

      149          173,324  

3.85%, 9/01/49 (a)

      351          413,733  
       

 

 

  
          1,959,819  
       

 

 

  
     Principal
Amount
(000)		        U.S. $ Value  

Japan - 10.4%

        

Japan Government Twenty Year Bond

        

Series 112

        

2.10%, 6/20/29

    JPY 158,050        $ 1,743,008  

Series 143

        

1.60%, 3/20/33

      42,450          463,113  

Series 144

        

1.50%, 3/20/33

      34,350          370,155  

Series 150

        

1.40%, 9/20/34

      126,300          1,353,550  

Series 158

        

0.50%, 9/20/36

      73,300          689,548  

Series 159

        

0.60%, 12/20/36

      28,450          271,945  
       

 

 

  
               4,891,319  
       

 

 

  

Malaysia - 1.2%

        

Malaysia Government Bond

        

Series 0114

        

4.181%, 7/15/24

    MYR 127          31,826  

Series 0217

        

4.059%, 9/30/24

      127          31,653  

Series 0218

        

3.757%, 4/20/23

      233          57,535  

Series 0313

        

3.48%, 3/15/23

      1,830          446,308  
       

 

 

  
          567,322  
       

 

 

  

Netherlands - 4.5%

        

Netherlands Government Bond

        

0.75%, 7/15/27 (a)

    EUR 771          922,598  

3.25%, 7/15/21 (a)

      987          1,206,027  
       

 

 

  
          2,128,625  
       

 

 

  

Singapore - 0.7%

        

Singapore Government Bond

        

2.75%, 3/01/46

    SGD           325          247,434  

3.375%, 9/01/33

      90          74,849  
       

 

 

  
          322,283  
       

 

 

  

Spain - 3.4%

        

Spain Government Bond

        

1.95%, 4/30/26 (a)

    EUR 233          285,497  

2.35%, 7/30/33 (a)

      240          296,837  

4.40%, 10/31/23 (a)

      755          1,013,141  
       

 

 

  
          1,595,475  
       

 

 

  

United Kingdom - 2.2%

        

United Kingdom Gilt

        

1.50%, 7/22/47 (a)

    GBP 145          186,453  

2.50%, 7/22/65 (a)

      46          81,248  

3.25%, 1/22/44 (a)

      42          73,570  

4.25%, 12/07/40 (a)

      91          178,292  

4.50%, 12/07/42 (a)

      227          469,571  

4.75%, 12/07/30 (a)

      21          38,266  
       

 

 

  
          1,027,400  
       

 

 

  
     Principal
Amount
(000)		        U.S. $ Value  

United States - 0.8%

        

U.S. Treasury Bonds

        

3.00%, 2/15/47

    U.S.$ 43        $ 44,425  

3.125%, 8/15/44

      101          107,028  

U.S. Treasury Notes

        

1.625%, 2/15/26

      220          210,169  
       

 

 

  
          361,622  
       

 

 

  

Uruguay - 0.1%

        

Uruguay Government International Bond

        

8.50%, 3/15/28 (a)

    UYU 1,198          31,126  

9.875%, 6/20/22 (a)

      1,225          36,172  
       

 

 

  
          67,298  
       

 

 

  

Total Governments - Treasuries
(cost $19,547,061)

                   19,871,676  
       

 

 

  

CORPORATES - INVESTMENT GRADE - 14.6%

        

Financial Institutions - 9.7%

        

Banking - 7.2%

        

Bank of America Corp.

        

2.375%, 6/19/24 (a)

    EUR 100          122,664  

Series B

        

8.05%, 6/15/27

    U.S.$ 315          388,508  

Series DD

        

6.30%, 3/10/26 (b)

      29          31,535  

Series Z

        

6.50%, 10/23/24 (b)

      49          53,105  

Bank of Scotland PLC

        

9.375%, 5/15/21 (a)

    GBP 90          135,800  

Barclays Bank PLC

        

6.625%, 3/30/22 (a)

    EUR 81          104,878  

Barclays PLC

        

2.625%, 11/11/25 (a)

      100          113,237  

CaixaBank SA

        

1.125%, 5/17/24 (a)

      100          114,012  

Cooperatieve Rabobank UA

        

4.75%, 6/06/22 (a)

      90          116,324  

Credit Agricole SA

        

3.00%, 2/02/25

      135          159,444  

Credit Suisse Group AG

        

2.125%, 9/12/25 (a)

    GBP           100          127,144  

Danske Bank A/S

        

5.375%, 1/12/24 (a)

    U.S.$ 200          207,735  

Goldman Sachs Group, Inc. (The)

        

1.625%, 7/27/26 (a)

    EUR 180          207,395  

2.905%, 7/24/23

    U.S.$ 32          31,624  

HSBC Bank Capital Funding Sterling 2 LP

        

5.862%, 4/07/20 (b)

    GBP 91          122,186  
     Principal
Amount
(000)		        U.S. $ Value  

HSBC Holdings PLC

        

Series E

        

4.75%, 7/04/29 (a)

    EUR 230        $ 252,842  

Intesa Sanpaolo SpA

        

3.125%, 7/14/22 (a)

    U.S.$ 200          195,110  

Morgan Stanley

        

1.875%, 3/30/23

    EUR 100          118,376  

Series G

        

1.75%, 3/11/24

      100          118,013  

Natwest Markets PLC

        

0.625%, 3/02/22 (a)

      200          222,662  

Rabobank Capital Funding Trust IV

        

5.556%, 12/31/19 (a)(b)

    GBP 90          120,291  

Santander Holdings USA, Inc.

        

4.40%, 7/13/27

    U.S.$ 110          109,475  

UBS Group Funding Switzerland AG

        

7.125%, 8/10/21 (a)(b)

      200          207,760  
       

 

 

  
                3,380,120  
       

 

 

  

Finance - 0.2%

        

Synchrony Financial

        

4.375%, 3/19/24

      18          18,250  

4.50%, 7/23/25

      81          81,316  
       

 

 

  
          99,566  
       

 

 

  

Insurance - 1.9%

        

ASR Nederland NV

        

5.125%, 9/29/45 (a)

    EUR 110          136,117  

Assicurazioni Generali SpA

        

Series E

        

5.50%, 10/27/47 (a)

      112          137,669  

CNP Assurances

        

4.25%, 6/05/45 (a)

      100          123,883  

Credit Agricole Assurances SA

        

4.75%, 9/27/48 (a)

      100          124,570  

MetLife Capital Trust IV

        

7.875%, 12/15/37 (a)

    U.S.$         100          121,606  

Muenchener Rueckversicherungs-Gesellschaft AG in Muenchen

        

3.25%, 5/26/49 (a)

    EUR 100          123,311  

Nationwide Mutual Insurance Co.

        

9.375%, 8/15/39 (a)

    U.S.$ 45          70,667  

Voya Financial, Inc.

        

5.65%, 5/15/53

      70          69,261  
       

 

 

  
          907,084  
       

 

 

  

REITS - 0.4%

        

American Tower Corp.

        

4.70%, 3/15/22

      10          10,470  

Healthcare Trust of America Holdings LP

        

3.375%, 7/15/21

      38          38,099  

Spirit Realty LP

        

4.45%, 9/15/26

      3          2,959  
     Principal
Amount
(000)		        U.S. $ Value  

VEREIT Operating Partnership LP

        

4.60%, 2/06/24

    U.S.$ 7        $ 7,202  

WPC Eurobond BV

        

2.125%, 4/15/27

    EUR 110          123,894  
       

 

 

  
          182,624  
       

 

 

  
              4,569,394  
       

 

 

  

Industrial - 4.9%

        

Basic - 0.3%

        

Glencore Finance Europe Ltd.

        

1.875%, 9/13/23 (a)

      100          116,459  

Glencore Funding LLC

        

4.625%, 4/29/24 (a)

    U.S.$ 10          10,322  
       

 

 

  
          126,781  
       

 

 

  

Communications - Media - 0.3%

        

Charter Communications Operating LLC/Charter Communications Operating Capital

        

4.908%, 7/23/25

      90          94,983  

Warner Media LLC

        

3.55%, 6/01/24

      45          45,399  
       

 

 

  
          140,382  
       

 

 

  

Communications - Telecommunications - 0.6%

        

AT&T, Inc.

        

3.40%, 5/15/25

          229          227,144  

Bell Canada, Inc.

        

Series M-26

        

3.35%, 3/22/23

    CAD 45          34,530  

Rogers Communications, Inc.

        

4.00%, 6/06/22

      10          7,824  

TELUS Corp.

        

Series CH

        

5.05%, 7/23/20

      10          7,750  
       

 

 

  
          277,248  
       

 

 

  

Consumer Cyclical - Automotive - 0.5%

        

General Motors Co.

        

4.20%, 10/01/27

    U.S.$ 35          33,684  

General Motors Financial Co., Inc.

        

3.70%, 5/09/23

      17          16,921  

5.10%, 1/17/24

      120          124,939  

Volkswagen Leasing GmbH

        

2.625%, 1/15/24 (a)

    EUR 55          65,535  
       

 

 

  
          241,079  
       

 

 

  

Consumer Non-Cyclical - 1.0%

        

Altria Group, Inc.

        

1.00%, 2/15/23

      145          163,922  

Medtronic Global Holdings SCA

        

1.125%, 3/07/27

      125          144,440  

Philip Morris International, Inc.

        

0.625%, 11/08/24

      100          112,235  

Reynolds American, Inc.

        

4.45%, 6/12/25

    U.S.$ 45          46,249  
       

 

 

  
          466,846  
       

 

 

  
     Principal Amount
(000)		        U.S. $ Value  

Energy - 0.5%

        

Enbridge Energy Partners LP

        

4.375%, 10/15/20

    U.S.$     20        $ 20,396  

Energy Transfer Operating LP

        

4.25%, 3/15/23

      15          15,333  

4.65%, 6/01/21

      10          10,299  

4.90%, 2/01/24

      10          10,556  

EnLink Midstream Partners LP

        

4.15%, 6/01/25

      90          86,902  

Noble Energy, Inc.

        

3.90%, 11/15/24

      20          20,210  

Plains All American Pipeline LP/PAA Finance Corp.

        

3.60%, 11/01/24

      20          19,933  

3.85%, 10/15/23

      10          10,103  

Southern Star Central Corp.

        

5.125%, 7/15/22 (a)

      10          9,998  

Williams Cos., Inc. (The)

        

3.90%, 1/15/25

      45          45,933  
       

 

 

  
          249,663  
       

 

 

  

Services - 0.0%

        

Expedia Group, Inc.

        

3.80%, 2/15/28

      13          12,531  
       

 

 

  

Technology - 1.3%

        

Apple, Inc.

        

2.513%, 8/19/24

    CAD 120          90,104  

Broadcom Corp./Broadcom Cayman Finance Ltd.

        

3.875%, 1/15/27

    U.S.$ 10          9,554  

Dell International LLC/EMC Corp.

        

6.02%, 6/15/26 (a)

      45          48,437  

Fidelity National Information Services, Inc.

        

0.40%, 1/15/21

    EUR 100          112,607  

International Business Machines Corp.

        

0.875%, 1/31/25

      160          182,878  

KLA-Tencor Corp.

        

4.65%, 11/01/24

    U.S.$ 20          21,364  

Seagate HDD Cayman

        

4.75%, 1/01/25

      10          9,724  

4.875%, 3/01/24

      80          79,810  

Western Digital Corp.

        

4.75%, 2/15/26

      68          65,040  
       

 

 

  
          619,518  
       

 

 

  

Transportation - Services - 0.4%

        

FedEx Corp.

        

0.70%, 5/13/22

    EUR           140          159,073  
       

 

 

  
          2,293,121  
       

 

 

  

Total Corporates - Investment Grade
(cost $6,953,026)

           6,862,515  
       

 

 

  
     Principal
Amount
(000)		        U.S. $ Value  

LOCAL GOVERNMENTS - PROVINCIAL BONDS - 6.2%

        

Canada - 6.2%

        

Province of British Columbia Canada

        

Series T

        

9.00%, 8/23/24

    CAD 912        $ 921,872  

Province of Manitoba Canada

        

3.85%, 12/01/21

      345          271,600  

Province of Ontario Canada

        

2.60%, 6/02/25

      314          240,926  

3.15%, 6/02/22

      316          245,681  

Province of Quebec Canada

        

2.75%, 9/01/25

      201          155,884  

4.50%, 12/01/19

      1,412          1,075,471  
       

 

 

  

Total Local Governments - Provincial Bonds
(cost $2,993,990)

           2,911,434  
       

 

 

  

INFLATION-LINKED SECURITIES - 5.1%

        

Japan - 4.9%

        

Japanese Government CPI Linked Bond

        

Series 20

        

0.10%, 3/10/25

    JPY 12,347          115,027  

Series 21

        

0.10%, 3/10/26

            168,951          1,584,026  

Series 23

        

0.10%, 3/10/28

          62,208          585,163  
       

 

 

  
          2,284,216  
       

 

 

  

New Zealand - 0.2%

        

New Zealand Government Inflation Linked Bond

        

Series 925

        

2.00%, 9/20/25 (a)

    NZD 136          108,308  
       

 

 

  
          108,308  
       

 

 

  

Total Inflation-Linked Securities
(cost $2,338,842)

           2,392,524  
       

 

 

  

CORPORATES - NON-INVESTMENT GRADE - 5.0%

        

Industrial - 3.4%

        

Basic - 0.4%

        

Novelis Corp.

        

6.25%, 8/15/24 (a)

    U.S.$ 45          45,969  

Smurfit Kappa Acquisitions ULC

        

2.875%, 1/15/26 (a)

    EUR 100          116,788  
       

 

 

  
          162,757  
       

 

 

  

Capital Goods - 0.4%

        

Crown European Holdings SA

        

2.625%, 9/30/24 (a)

      100          116,416  

TransDigm, Inc.

        

6.25%, 3/15/26 (a)

    U.S.$ 59          61,306  
       

 

 

  
          177,722  
       

 

 

  
     Principal Amount
(000)		        U.S. $ Value  

Consumer Cyclical - Automotive - 1.0%

        

IHO Verwaltungs GmbH

        

3.25% (3.25% Cash or 4.00% PIK), 9/15/23 (a)(c)

    EUR 100        $ 114,210  

Panther BF Aggregator 2 LP/Panther Finance Co., Inc.

        

4.375%, 5/15/26

                100          114,263  

Tenneco, Inc.

        

5.00%, 7/15/24 (a)

      100          117,380  

Volvo Car AB

        

Series E

        

2.00%, 1/24/25 (a)

      100          110,614  
       

 

 

  
          456,467  
       

 

 

  

Consumer Cyclical - Other - 0.2%

        

International Game Technology PLC

        

3.50%, 7/15/24 (a)

      100          115,278  
       

 

 

  

Consumer Non-Cyclical - 0.5%

        

HCA, Inc.

        

5.375%, 9/01/26

    U.S.$ 33          34,722  

Leisureworld Senior Care LP

        

Series B

        

3.474%, 2/03/21

    CAD 150          114,097  

Spectrum Brands, Inc.

        

5.75%, 7/15/25

    U.S.$ 62          62,698  
       

 

 

  
          211,517  
       

 

 

  

Energy - 0.3%

        

Hess Infrastructure Partners LP/Hess Infrastructure Partners Finance Corp.

        

5.625%, 2/15/26 (a)

      35          35,596  

PDC Energy, Inc.

        

5.75%, 5/15/26

      50          48,744  

SM Energy Co.

        

6.625%, 1/15/27

      31          29,524  

Transocean Poseidon Ltd.

        

6.875%, 2/01/27 (a)

      36          37,499  
       

 

 

  
          151,363  
       

 

 

  

Other Industrial - 0.2%

        

Belden, Inc.

        

3.375%, 7/15/27 (a)

    EUR 100          113,013  
       

 

 

  

Services - 0.2%

        

Elis SA

        

2.875%, 2/15/26 (a)

      100          115,317  
       

 

 

  

Transportation - Services - 0.2%

        

XPO Logistics, Inc.

        

6.75%, 8/15/24 (a)

    U.S.$ 70          71,410  
       

 

 

  
          1,574,844  
       

 

 

  
     Principal
Amount
(000)		        U.S. $ Value  

Financial Institutions - 1.6%

        

Banking - 1.3%

        

Allied Irish Banks PLC

        

Series E

        

7.375%, 12/03/20 (a)(b)

    EUR 200        $ 239,010  

Banco Bilbao Vizcaya Argentaria SA

        

5.875%, 5/24/22 (a)(b)

      200          223,228  

Goldman Sachs Group, Inc. (The)

        

Series L

        

5.70%, 5/10/19 (b)

    U.S.$ 115          115,177  

Series P

        

5.00%, 11/10/22 (b)

      59          54,592  
       

 

 

  
          632,007  
       

 

 

  

Finance - 0.1%

        

Navient Corp.

        

6.625%, 7/26/21

      45          47,073  
       

 

 

  

REITS - 0.2%

        

MGM Growth Properties Operating Partnership LP/MGP Finance Co-Issuer, Inc.

        

5.75%, 2/01/27 (a)

      69          71,249  
       

 

 

  
          750,329  
       

 

 

  

Total Corporates - Non-Investment Grade
(cost $2,345,531)

           2,325,173  
       

 

 

  

COVERED BONDS - 4.6%

        

Australia & New Zealand Banking Group Ltd.

        

3.625%, 7/18/22 (a)

    EUR 100          125,841  

Bank of Montreal

        

0.75%, 9/21/22 (a)

      155          178,832  

Credit Suisse AG/Guernsey

        

0.75%, 9/17/21 (a)

      160          183,458  

Danske Bank A/S

        

0.125%, 2/14/22 (a)

      160          180,779  

DNB Boligkreditt AS

        

2.75%, 3/21/22 (a)

      145          176,663  

National Bank of Canada

        

1.50%, 3/25/21 (a)

              100          115,994  

Nationwide Building Society

        

4.375%, 2/28/22 (a)

      250          317,020  

Santander UK PLC

        

4.25%, 4/12/21 (a)

      250          305,672  

Stadshypotek AB

        

0.625%, 11/10/21 (a)

      260          298,029  

Turkiye Vakiflar Bankasi TAO

        

2.375%, 5/04/21 (a)

      100          107,874  

UBS AG/London

        

1.375%, 4/16/21 (a)

      65          75,251  

4.00%, 4/08/22 (a)

      75          94,525  
       

 

 

  

Total Covered Bonds
(cost $2,191,914)

           2,159,938  
       

 

 

  
     Principal
Amount
(000)		        U.S. $ Value  

COLLATERALIZED MORTGAGE OBLIGATIONS - 4.6%

        

Risk Share Floating Rate - 4.6%

        

Bellemeade Re Ltd.

        

Series 2018-2A, Class M1B

        

3.836% (LIBOR 1 Month + 1.35%), 8/25/28 (a)(d)

    U.S.$ 150        $ 149,679  

Series 2019-1A, Class M1B

        

4.234% (LIBOR 1 Month + 1.75%), 3/25/29 (a)(d)

      150          150,000  

Eagle RE Ltd.

        

Series 2018-1, Class M1

      160          160,587  

4.186% (LIBOR 1 Month + 1.70%), 11/25/28 (a)(d)

        

Federal Home Loan Mortgage Corp. Structured
Agency Credit Risk Debt Notes

      350          390,647  

Series 2016-DNA2, Class M3

        

7.136% (LIBOR 1 Month + 4.65%), 10/25/28 (d)

        

Federal National Mortgage Association Connecticut Avenue Securities

        

Series 2015-C02, Class 1M2

        

6.486% (LIBOR 1 Month + 4.00%), 5/25/25 (d)

      199          214,971  

Series 2015-C02, Class 2M2

        

6.486% (LIBOR 1 Month + 4.00%), 5/25/25 (d)

      58          62,055  

Series 2015-C04, Class 2M2

        

8.036% (LIBOR 1 Month + 5.55%), 4/25/28 (d)

      247          277,015  

Series 2016-C01, Class 1M2

        

9.236% (LIBOR 1 Month + 6.75%), 8/25/28 (d)

      98          113,960  

Series 2016-C05, Class 2M2

        

6.936% (LIBOR 1 Month + 4.45%), 1/25/29 (d)

      350          383,061  

Series 2017-C01, Class 1M2

        

6.036% (LIBOR 1 Month + 3.55%), 7/25/29 (d)

      85          91,306  

PMT Credit Risk Transfer Trust

        

Series 2019-1R, Class A

        

4.484% (LIBOR 1 Month + 2.00%), 3/27/24 (a)(d)

      165          165,395  
       

 

 

  

Total Collateralized Mortgage Obligations
(cost $2,134,942)

           2,158,676  
       

 

 

  

GOVERNMENTS - SOVEREIGN AGENCIES - 3.7%

        

Canada - 3.7%

        

Canada Housing Trust No. 1

        

1.25%, 6/15/21 (a)

    CAD     1,190          881,420  

3.80%, 6/15/21 (a)

      1,085          848,184  
       

 

 

  

Total Governments - Sovereign Agencies
(cost $1,806,288)

           1,729,604  
       

 

 

  
     Principal Amount
(000)		        U.S. $ Value  

EMERGING MARKETS - TREASURIES - 2.8%

        

Argentina - 0.0%

        

Argentine Bonos del Tesoro

        

16.00%, 10/17/23

    ARS 491        $ 8,335  
       

 

 

  

Brazil - 1.4%

        

Brazil Notas do Tesouro Nacional

        

Series F

        

10.00%, 1/01/23

    BRL 2,398          646,443  
       

 

 

  

South Africa - 1.4%

        

Republic of South Africa Government Bond

        

Series 2048

        

8.75%, 2/28/48

    ZAR 5,862          368,313  

Series R186

        

10.50%, 12/21/26

      3,679          281,914  
       

 

 

  
          650,227  
       

 

 

  

Total Emerging Markets - Treasuries
(cost $1,331,291)

           1,305,005  
       

 

 

  

GOVERNMENTS - SOVEREIGN BONDS - 2.2%

        

Germany - 0.6%

        

Kreditanstalt fuer Wiederaufbau

        

Zero Coupon, 5/25/21 (a)

    EUR 251          284,173  
       

 

 

  

Indonesia - 1.2%

        

Indonesia Government International Bond

        

5.875%, 1/15/24 (a)

    U.S.$ 510          562,420  
       

 

 

  

Qatar - 0.4%

        

Qatar Government International Bond

        

3.875%, 4/23/23 (a)

      200          205,801  
       

 

 

  

Total Governments - Sovereign Bonds
(cost $1,023,015)

               1,052,394  
       

 

 

  

SUPRANATIONALS - 1.6%

        

Supranational - 1.6%

        

European Financial Stability Facility

        

0.125%, 10/17/23 (a)

    EUR 259          294,574  

European Investment Bank

        

1.25%, 5/12/25 (a)

    SEK         4,130          463,347  
       

 

 

  

Total Supranationals
(cost $769,155)

           757,921  
       

 

 

  

LOCAL GOVERNMENTS - REGIONAL BONDS - 1.0%

        

Sweden - 1.0%

        

Kommuninvest I Sverige AB

        

Series 2410

        

1.00%, 10/02/24 (a)

(cost $468,537)

      4,220          466,845  
       

 

 

  
     Principal
Amount
(000)		        U.S. $ Value  

COMMERCIAL MORTGAGE-BACKED SECURITIES - 0.9%

        

Non-Agency Fixed Rate CMBS - 0.6%

        

Commercial Mortgage Trust

        

Series 2013-CR10, Class A4

        

4.21%, 8/10/46

    U.S.$ 200        $ 210,535  

GS Mortgage Securities Trust

        

Series 2013-GC12, Class C

        

4.179%, 6/10/46 (e)

      20          19,921  

LB-UBS Commercial Mortgage Trust

        

Series 2006-C6, Class AJ

        

5.452%, 9/15/39 (e)

      84          58,063  
       

 

 

  
          288,519  
       

 

 

  

Non-Agency Floating Rate CMBS - 0.3%

        

Invitation Homes Trust

        

Series 2018-SFR4, Class E

        

4.432% (LIBOR 1 Month + 1.95%), 1/17/38 (a)(d)(e)

      115          115,019  
       

 

 

  

Total Commercial Mortgage-Backed Securities
(cost $408,315)

           403,538  
       

 

 

  

EMERGING MARKETS - SOVEREIGNS - 0.7%

        

Brazil - 0.4%

        

Brazilian Government International Bond

        

4.625%, 1/13/28

      200              201,557  
       

 

 

  

Costa Rica - 0.1%

        

Costa Rica Government International Bond

        

4.37%, 5/22/19 (f)

      34          33,949  
       

 

 

  

Nigeria - 0.2%

        

Nigeria Government International Bond

        

5.625%, 6/27/22

      95          95,950  
       

 

 

  

Total Emerging Markets-Sovereigns
(cost $326,692)

           331,456  
       

 

 

  

QUASI-SOVEREIGNS - 0.5%

        

Quasi-Sovereign Bonds - 0.5%

        

Mexico - 0.1%

        

Petroleos Mexicanos

        

6.35%, 2/12/48

      16          14,106  

6.50%, 1/23/29

      14          13,803  
       

 

 

  
          27,909  
       

 

 

  

South Korea - 0.4%

        

Export-Import Bank of Korea

        

3.70%, 2/19/21 (a)

    AUD         270          194,834  
       

 

 

  

Total Quasi-Sovereigns
(cost $238,529)

           222,743  
       

 

 

  
     Principal
Amount
(000)		        U.S. $ Value  

ASSET-BACKED SECURITIES - 0.2%

        

Other ABS - Fixed Rate - 0.2%

        

SoFi Consumer Loan Program Trust

        

Series 2018-1, Class B

        

3.65%, 2/25/27 (a)(e)

(cost $115,000)

    U.S.$ 115        $ 115,934  
       

 

 

  

BANK LOANS - 0.2%

        

Industrial - 0.2%

        

Consumer Non-Cyclical - 0.2%

        

athenahealth, Inc.

        

7.197% (LIBOR 3 Month + 4.50%), 2/11/26 (g)

      67          65,816  

Regionalcare Hospital Partners Holdings, Inc.

        

6.982% (LIBOR 1 Month + 4.50%), 11/16/25 (g)

      50          49,275  
       

 

 

  
          115,091  
       

 

 

  

Other Industrial - 0.0%

        

American Tire Distributors, Inc.

        

10.129% (LIBOR 3 Month + 7.50%), 9/02/24 (g)

      0 **         1  
       

 

 

  

Total Bank Loans
(cost $115,008)

           115,092  
       

 

 

  

EMERGING MARKETS - CORPORATE BONDS - 0.0%

        

Utility - 0.0%

        

Electric - 0.0%

        

Terraform Global Operating LLC

        

6.125%, 3/01/26 (f)

(cost $18,000)

      18          17,596  
       

 

 

  

SHORT-TERM INVESTMENTS - 1.3%

        

Governments - Treasuries - 0.7%

        

Japan - 0.7%

        

Japan Treasury Discount Bill

        

Series 810

        

Zero Coupon, 5/09/19

(cost $348,592)

    JPY 38,250          345,174  
       

 

 

  
     Shares           

Investment Companies - 0.6%

        

AB Fixed Income Shares, Inc. - Government

        

Money Market Portfolio - Class AB, 2.38% (h)(i)(j)

        

(cost $260,320)

      260,320          260,320  
       

 

 

  

Total Short-Term Investments
(cost $608,912)

           605,494  
       

 

 

  

Total Investments - 97.6%
(cost $45,734,048) (k)

           45,805,558  

Other assets less liabilities - 2.4%

           1,104,551  
       

 

 

  

Net Assets - 100.0%

         $ 46,910,109  
       

 

 

  

FUTURES

 

Description

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

Purchased Contracts

 

Euro BTP Futures

      3        June 2019      $ 435,699      $ 10,903  

Euro-BOBL Futures

      6        June 2019        896,099        8,010  

Euro-Bund Futures

      9        June 2019        1,679,327        26,226  

Euro-OAT Futures

      5        June 2019        912,375        14,818  

Long Gilt Futures

      7        June 2019        1,179,486        19,329  

U.S. T-Note 2 Yr (CBT) Futures

      42        June 2019        8,949,938        37,407  

Sold Contracts

            

10 Yr Canadian Bond Futures

      12        June 2019        1,248,535        (26,475 ) 

Euro Buxl 30 Yr Bond Futures

      14        June 2019        3,009,924        (135,686 ) 

U.S. 10 Yr Ultra Futures

      30        June 2019        3,983,438        (85,547 ) 

U.S. T-Note 5 Yr (CBT) Futures

      45        June 2019        5,212,266        (54,844 ) 

U.S. T-Note 10 Yr (CBT) Futures

      14        June 2019        1,739,063        (29,907 ) 

U.S. Ultra Bond (CBT) Futures

      2        June 2019        336,000        (11,016 ) 
           

 

 

  

Total

             $ (226,782 ) 
           

 

 

  

FORWARD CURRENCY EXCHANGE CONTRACTS

 

Counterparty

    Contracts to
Deliver
(000)		      In Exchange
For
(000)		      Settlement
Date		      Unrealized
Appreciation/
(Depreciation)		  

Barclays Bank PLC

    BRL      1,463      USD      375        4/02/19      $ 1,788  

Barclays Bank PLC

    USD      391      BRL      1,463        4/02/19        (17,760 ) 

Barclays Bank PLC

    EUR      231      USD      260        4/10/19        906  

Barclays Bank PLC

    USD      755      EUR      662        4/10/19        (12,655 ) 

Barclays Bank PLC

    CAD      334      USD      249        5/09/19        (801 ) 

Barclays Bank PLC

    USD      460      KRW      514,752        5/16/19        (6,483 ) 

BNP Paribas SA

    EUR      100      PLN      430        4/10/19        165  

BNP Paribas SA

    USD      1,253      EUR      1,104        4/10/19        (13,798 ) 

BNP Paribas SA

    CAD      8,879      USD      6,663        5/09/19        12,042  

Brown Brothers Harriman & Co.

    USD      114      PLN      428        4/08/19        (2,615 ) 

Brown Brothers Harriman & Co.

    GBP      342      USD      452        4/09/19        5,801  

Brown Brothers Harriman & Co.

    EUR      4,409      USD      5,027        4/10/19        78,014  

Brown Brothers Harriman & Co.

    EUR      244      GBP      215        4/10/19        6,224  

Brown Brothers Harriman & Co.

    EUR      194      USD      218        4/10/19        (213 ) 

Brown Brothers Harriman & Co.

    SEK      1,289      EUR      124        4/10/19        464  

Brown Brothers Harriman & Co.

    USD      2,151      EUR      1,899        4/10/19        (19,639 ) 

Brown Brothers Harriman & Co.

    USD      455      JPY      50,388        4/11/19        (273 ) 

Brown Brothers Harriman & Co.

    NOK      847      USD      99        4/12/19        1,096  

Brown Brothers Harriman & Co.

    USD      335      NOK      2,842        4/12/19        (4,883 ) 

Brown Brothers Harriman & Co.

    USD      297      SEK      2,658        4/12/19        (11,418 ) 

Brown Brothers Harriman & Co.

    ILS      1,691      USD      462        4/16/19        (3,860 ) 

Brown Brothers Harriman & Co.

    SGD      421      USD      310        4/17/19        (559 ) 

Brown Brothers Harriman & Co.

    ZAR      5,372      USD      376        4/17/19        4,288  

Brown Brothers Harriman & Co.

    ZAR      4,062      USD      279        4/17/19        (1,792 ) 

Brown Brothers Harriman & Co.

    USD      117      AUD      165        4/23/19        91  

Brown Brothers Harriman & Co.

    USD      233      NZD      342        4/26/19        (33 ) 

Brown Brothers Harriman & Co.

    CAD      118      USD      89        5/09/19        168  

Brown Brothers Harriman & Co.

    CHF      955      USD      954        6/13/19        (11,401 ) 

Brown Brothers Harriman & Co.

    MXN      6,608      USD      342        6/13/19        5,094  

Counterparty

    Contracts to
Deliver
(000)		      In Exchange
For
(000)		      Settlement
Date		      Unrealized
Appreciation/
(Depreciation)		  

Brown Brothers Harriman & Co.

      USD        466        MXN        8,909        6/13/19      $ (12,054 ) 

Citibank, NA

      BRL        822        USD        212        4/02/19        2,203  

Citibank, NA

      USD        211        BRL        822        4/02/19        (1,005 ) 

Citibank, NA

      GBP        1,063        USD        1,403        4/09/19        17,919  

Citibank, NA

      JPY        59,903        USD        543        4/11/19        1,847  

Citibank, NA

      SEK        1,065        USD        115        4/12/19        800  

Citibank, NA

      BRL        905        USD        227        5/03/19        (3,265 ) 

Citibank, NA

      KRW        520,920        USD        459        5/16/19        133  

Citibank, NA

      USD        420        CNH        2,824        6/12/19        (487 ) 

Citibank, NA

      USD        234        INR        16,401        7/16/19        (681 ) 

Credit Suisse International

      NOK        989        USD        115        4/12/19        579  

Credit Suisse International

      EUR        20        TRY        126        5/03/19        (703 ) 

Credit Suisse International

      TRY        38        EUR        6        5/03/19        218  

Credit Suisse International

      EUR        21        ZAR        324        6/04/19        (936 ) 

Credit Suisse International

      NZD        67        AUD        64        7/29/19        (227 ) 

Deutsche Bank AG

      AUD        64        NZD        67        7/29/19        225  

Goldman Sachs Bank USA

      BRL        815        USD        210        4/02/19        1,431  

Goldman Sachs Bank USA

      USD        209        BRL        815        4/02/19        (996 ) 

Goldman Sachs Bank USA

      SEK        7,819        USD        844        4/12/19        2,078  

Goldman Sachs Bank USA

      NZD        821        USD        564        4/26/19        4,860  

Goldman Sachs Bank USA

      BRL        758        USD        191        5/03/19        (2,527 ) 

Goldman Sachs Bank USA

      BRL        630        USD        163        5/03/19        2,170  

Goldman Sachs Bank USA

      TRY        88        EUR        14        5/03/19        491  

JPMorgan Chase Bank, NA

      USD        232        PLN        869        4/08/19        (5,373 ) 

JPMorgan Chase Bank, NA

      USD        805        AUD        1,145        4/23/19        8,690  

JPMorgan Chase Bank, NA

      ZAR        324        EUR        21        6/04/19        936  

Morgan Stanley Capital Services LLC

      BRL        254        USD        65        4/02/19        310  

Morgan Stanley Capital Services LLC

      USD        67        BRL        254        4/02/19        (2,022 ) 

Morgan Stanley Capital Services LLC

      BRL        373        USD        96        5/03/19        1,224  

Royal Bank of Scotland PLC

      BRL        79        USD        20        4/02/19        236  

Royal Bank of Scotland PLC

      USD        20        BRL        79        4/02/19        (97 ) 

Royal Bank of Scotland PLC

      JPY        821,237        USD        7,443        4/11/19        27,616  

Royal Bank of Scotland PLC

      AUD        2,057        USD        1,465        4/23/19        3,314  

Royal Bank of Scotland PLC

      USD        20        BRL        79        5/03/19        (236 ) 

Royal Bank of Scotland PLC

      USD        752        CAD        1,006        5/09/19        1,441  

Standard Chartered Bank

      USD        663        EUR        580        4/10/19        (11,797 ) 

Standard Chartered Bank

      USD        358        KRW        399,622        5/16/19        (6,096 ) 

Standard Chartered Bank

      USD        232        INR        16,400        7/16/19        1,005  

UBS AG

      EUR        16,130        USD        18,640        4/10/19        533,695  

UBS AG

      KRW        261,741        USD        230        5/16/19        45  
                 

 

 

  
                  $ 572,922  
                 

 

 

  

CURRENCY OPTIONS WRITTEN

 

Description/ Counterparty

    Exercise
Price		      Expiration
Month		      Contracts      Notional
Amount
(000)		      Premiums
Received		      U.S. $
Value		  

Call

                        

NZD vs. AUD/ Deutsche Bank AG

      NZD        1.010        07/2019        328,000        NZD        328      $ 1,080      $ (709 ) 

Put

                        

CNH vs. USD/ BNP Paribas SA

      CNH        7.000        04/2019        1,610,000        CNH        1,610        777        (25 ) 

NZD vs. CAD/ JPMorgan Chase Bank, NA

      NZD        0.860        07/2019        340,000        NZD        340        1,541        (576 ) 

SGD vs. CHF/ UBS AG

      SGD        1.550        06/2019        155,000        SGD        155        468        (61 ) 

Description/ Counterparty

    Exercise
Price		      Expiration
Month		      Contracts      Notional
Amount
(000)		      Premiums
Received		      U.S. $
Value		  

TRY vs. EUR/ Goldman Sachs Bank USA

      TRY        6.835        05/2019        683,000        TRY        683      $ 1,278      $ (2,844 ) 

ZAR vs. EUR/ JPMorgan Chase Bank, NA

      ZAR        16.650        05/2019        1,665,000        ZAR        1,665        1,676        (2,279 ) 
                    

 

 

     

 

 

  
   $ 6,820      $ (6,494 ) 
                    

 

 

     

 

 

  

CENTRALLY CLEARED CREDIT DEFAULT SWAPS

 

Description

    Fixed Rate
(Pay)
Receive		     Payment
Frequency		      Implied Credit
Spread at
March 31, 2019		     Notional
Amount
(000)		      Market
Value		     Upfront
Premiums
Paid
(Received)		     Unrealized
Appreciation/
(Depreciation)		  

Buy Contracts

                    

Morgan Stanley & Co., LLC

                    

CDX-NAHY Series 31, 5 Year Index, 12/20/23*

      (5.00 )%      Quarterly        3.36 %      USD        445      $ (30,426 )    $ (28,476 )    $ (1,950 ) 

CDX-NAHY Series 32, 5 Year Index, 6/20/24*

      (5.00 )      Quarterly        3.49       USD        924        (63,077 )      (59,834 )      (3,243 ) 

iTraxx Australia Series 31, 5 Year Index, 6/20/24*

      (1.00 )      Quarterly        0.76       USD        4,500        (54,705 )      (50,461 )      (4,244 ) 

Sale Contracts

                    

Morgan Stanley & Co., LLC

                    

CDX-NAIG Series 32, 5 Year Index, 6/20/24*

      1.00       Quarterly        0.63       USD        4,500        82,197       79,028       3,169  
               

 

 

    

 

 

    

 

 

  
   $ (66,011 )    $ (59,743 )    $ (6,268 ) 
               

 

 

    

 

 

    

 

 

  

 

*

Termination date

CENTRALLY CLEARED INTEREST RATE SWAPS

 

       Rate Type        

Notional
Amount (000)

    Termination
Date		      Payments
made
by the
Fund		     Payments
received
by the
Fund		     Payment Frequency Paid/
Received		      Market
Value		     Upfront
Premiums
Paid
(Received)		     Unrealized
Appreciation/
(Depreciation)		  

USD        4,710

      9/10/20        3 Month LIBOR       2.824 %      Quarterly/Semi-Annual      $ 22,876     $ – 0  –    $ 22,876  

GBP        4,450

      3/01/21        6 Month LIBOR       1.113 %      Semi-Annual/Semi-Annual        18,826       – 0  –      18,826  

USD        1,960

      9/10/23        3 Month LIBOR       2.883 %      Quarterly/Semi-Annual        49,612       – 0  –      49,612  

EUR        1,600

      1/15/24        6 Month EURIBOR       0.201 %      Semi-Annual/Annual        19,645       – 0  –      19,645  

GBP           930

      3/01/29        1.501 %      6 Month LIBOR       Semi-Annual/Semi-Annual        (34,796 )      – 0  –      (34,796 ) 
                   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)		  

GBP

      130        12/27/47        1.419 %      6 Month LIBOR       Semi-Annual/Semi-Annual    $ (2,515 )    $ – 0  –    $ (2,515 ) 

EUR

      1,550        6/08/48        6 Month EURIBOR       1.545 %      Semi-Annual/ Annual        243,410       – 0  –      243,410  

USD

      890        9/10/48        2.980 %      3 Month LIBOR       Semi-Annual/ Quarterly        (75,621 )      – 0  –      (75,621 ) 
               

 

 

    

 

 

    

 

 

  
                $ 241,437     $ – 0  –    $ 241,437  
               

 

 

    

 

 

    

 

 

  

CREDIT DEFAULT SWAPS

 

Swap Counterparty & Referenced Obligation

   Fixed Rate
(Pay)
Receive		     Payment
Frequency		     Implied Credit
Spread at
March 31, 2019		     Notional
Amount
(000)		     Market
Value		     Upfront
Premiums
Paid
(Received)		     Unrealized
Appreciation/
(Depreciation)		  

Sale Contracts

                

Credit Suisse International

                

CDX-CMBX.NA.A Series
6, 5/11/63*

     2.00 %      Monthly       2.75 %      USD       932     $ (20,142 )    $ (17,910 )    $ (2,232 ) 

Deutsche Bank AG

                

CDX-CMBX.NA.A Series
6, 5/11/63*

     2.00       Monthly       2.75       USD       100       (2,161 )      (3,947 )      1,786  

Morgan Stanley & Co. International PLC

                

CDX-CMBX.NA.A Series
6, 5/11/63*

     2.00       Monthly       2.75       USD       470       (10,157 )      (22,742 )      12,585  

CDX-CMBX.NA.A Series
6, 5/11/63*

     2.00       Monthly       2.75       USD       360       (7,780 )      (18,218 )      10,438  

CDX-CMBX.NA.A Series
6, 5/11/63*

     2.00       Monthly       2.75       USD       3       (65 )      (57 )      (8 ) 
           

 

 

    

 

 

    

 

 

  
  $ (40,305 )    $ (62,874 )    $ 22,569  
           

 

 

    

 

 

    

 

 

  

 

*

Termination date

VARIANCE SWAPS

 

Swap Counterparty & Referenced Obligation

    Volatility
Strike
Rate		     Payment
Frequency		      Notional
Amount
(000)		      Market
Value		     Upfront
Premiums
(Paid)
Received		     Unrealized
Appreciation/
(Depreciation)		  

Buy Contracts

                  

Deutsche Bank AG

                  

AUD/JPY 4/16/20*

      12.25 %      Maturity        AUD        7      $ (3,004 )    $             – 0  –    $ (3,004 ) 

AUD/JPY 5/07/20*

      12.22       Maturity        AUD        5        (1,659 )      – 0  –      (1,659 ) 
             

 

 

    

 

 

    

 

 

  
              $ (4,663 )    $ – 0  –    $ (4,663 ) 
             

 

 

    

 

 

    

 

 

  

 

*

Termination date

**

Principal amount less than 500.

(a)

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 March 31, 2019, the aggregate market value of these securities amounted to $24,398,956 or 52.0% of net assets.

(b)

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

(c)

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 March 31, 2019.

(d)

Floating Rate Security. Stated interest/floor/ceiling rate was in effect at March 31, 2019.

(e)

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

(f)

Security is exempt from registration under Rule 144A of the Securities Act of 1933. These securities, which represent 0.11% of net assets as of March 31, 2019, are considered illiquid and restricted. Additional information regarding such securities follows:

 

144A/Restricted & Illiquid Securities

   

Acquisition
Date

      Cost      Market
Value		      Percentage of
Net Assets		  

Costa Rica Government International Bond

            

4.37%, 5/22/19

      1/09/18      $ 33,971      $ 33,949        0.07 % 

Terraform Global Operating LLC

            

6.125%, 3/01/26

      2/08/18        18,000        17,596        0.04 % 

 

(g)

The stated coupon rate represents the greater of the LIBOR or the LIBOR floor rate plus a spread at March 31, 2019.

(h)

To obtain a copy of the fund’s shareholder report, please go to the Securities and Exchange Commission’s website at www.sec.gov, or call AB at (800) 227-4618.

(i)

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

(j)

Affiliated investments.

(k)

As of March 31, 2019, the cost basis of investment securities owned was substantially identical for both book and tax purposes. Gross unrealized appreciation of investments was $1,906,837 and gross unrealized depreciation of investments was $(1,235,786), resulting in net unrealized appreciation of $671,051.

Currency Abbreviations:

 

ARS

    -    Argentine Peso

AUD

    -    Australian Dollar

BRL

    -    Brazilian Real

CAD

    -    Canadian Dollar

CHF

   -    Swiss Franc

CNH

    -    Chinese Yuan Renminbi (Offshore)

EUR

    -    Euro

GBP

    -    Great British Pound

ILS

    -    Israeli Shekel

INR

    -    Indian Rupee

JPY

    -    Japanese Yen

KRW

    -    South Korean Won

MXN

    -    Mexican Peso

MYR

    -    Malaysian Ringgit

NOK

    -    Norwegian Krone

NZD

    -    New Zealand Dollar

PLN

    -    Polish Zloty

SEK

    -    Swedish Krona

SGD

    -    Singapore Dollar

TRY

    -    Turkish Lira

USD

    -    United States Dollar

UYU

    -    Uruguayan Peso

ZAR

    -    South African Rand

Glossary:

 

ABS

    -    Asset-Backed Securities

BOBL

    -    Bundesobligationen

BTP

    -    Buoni del Tesoro Poliennali

CBT

    -    Chicago Board of Trade

CDX-CMBX.NA

    -    North American Commercial Mortgage-Backed Index

CDX-NAHY

    -    North American High Yield Credit Default Swap Index

CDX-NAIG

    -    North American Investment Grade Credit Default Swap Index

CMBS

    -    Commercial Mortgage-Backed Securities

CPI

    -    Consumer Price Index

EURIBOR

    -    Euro Interbank Offered Rate

LIBOR

    -    London Interbank Offered Rates

OAT

    -    Obligations Assimilables du Trésor

REIT

    -    Real Estate Investment Trust

COUNTRY BREAKDOWN1

March 31, 2019 (unaudited)

 

  17.8%       

United States

  15.7%       

Japan

  11.8%       

Canada

  6.4%       

Germany

  5.8%       

United Kingdom

  5.5%       

Netherlands

  5.0%       

Italy

  4.2%       

Spain

  3.6%       

Belgium

  3.6%       

France

  1.9%       

Sweden

  1.9%       

Brazil

  1.8%       

Switzerland

  13.7%       

Other

  1.3%       

Short-Term

 

 

       
  100.0%       

Total Investments

 

 

       

 

1

All data are as of March 31, 2019. The Fund’s country breakdown is expressed as a percentage of total investments and may vary over time. “Other” country weightings represent 1.6% or less in the following countries: Argentina, Australia, Austria, Costa Rica, Denmark, Finland, Indonesia, Ireland, Malaysia, Mexico, New Zealand, Nigeria, Norway, Qatar, Singapore, South Africa, South Korea, Supranational, Turkey and Uruguay.

AB FlexFee International Bond Portfolio

March 31, 2019 (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, 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.

Valuations of mortgage-backed or other asset-backed securities, by pricing vendors, are based on both proprietary and industry recognized models and discounted cash flow techniques. Significant inputs to the valuation of these instruments are value of the collateral, the rates and timing of delinquencies, the rates and timing of prepayments, and default and loss expectations, which are driven in part by housing prices for residential mortgages. Significant inputs are determined based on relative value analyses, which incorporate comparisons to instruments with similar collateral and risk profiles, including relevant indices. Mortgage and asset-backed securities for which management has collected current observable data through pricing services are generally categorized within Level 2. Those investments for which current observable data has not been provided are classified as Level 3.

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.

Bank loan prices are provided by third party pricing services and consist of a composite of the quotes received by the vendor into a consensus price. Certain bank loans are classified as Level 3, as significant input used in the fair value measurement of these instruments is the market quotes that are received by the vendor and these inputs are not observable.

Other fixed-income investments, including non-U.S. government and corporate debt, are generally valued using quoted market prices, if available, which are typically impacted by current interest rates, maturity dates and any perceived credit risk of the issuer. Additionally, in the absence of quoted market prices, these inputs are used by pricing vendors to derive a valuation based upon industry or proprietary models which incorporate issuer specific data with relevant yield/spread comparisons with more widely quoted bonds with similar key characteristics. Those investments for which there are observable inputs are classified as Level 2. Where the inputs are not observable, the investments are classified as Level 3.

The following table summarizes the valuation of the Fund’s investments by the above fair value hierarchy levels as of March 31, 2019:

 

Investments in Securities

    Level 1     Level 2     Level 3     Total  

Assets:

         

Governments - Treasuries

    $ – 0  –    $ 19,871,676     $ – 0  –    $ 19,871,676  

Corporates - Investment Grade

      – 0  –      6,862,515       – 0  –      6,862,515  

Local Governments - Provincial Bonds

      – 0  –      2,911,434       – 0  –      2,911,434  

Inflation-Linked Securities

      – 0  –      2,392,524       – 0  –      2,392,524  

Corporates - Non-Investment Grade

      – 0  –      2,325,173       – 0  –      2,325,173  

Covered Bonds

      – 0  –      2,159,938       – 0  –      2,159,938  

Collateralized Mortgage Obligations

      – 0  –      2,158,676       – 0  –      2,158,676  

Governments - Sovereign Agencies

      – 0  –      1,729,604       – 0  –      1,729,604  

Emerging Markets - Treasuries

      – 0  –      1,305,005       – 0  –      1,305,005  

Governments - Sovereign Bonds

      – 0  –      1,052,394       – 0  –      1,052,394  

Supranationals

      – 0  –      757,921       – 0  –      757,921  

Local Governments - Regional Bonds

      – 0  –      466,845       – 0  –      466,845  

Commercial Mortgage-Backed Securities

      – 0  –      210,535       193,003       403,538  

Emerging Markets - Sovereigns

      – 0  –      331,456       – 0  –      331,456  

Quasi-Sovereigns

      – 0  –      222,743       – 0  –      222,743  

Asset-Backed Securities

      – 0  –      – 0  –      115,934       115,934  

Bank Loans

      – 0  –      115,092       – 0  –      115,092  

Emerging Markets - Corporate Bonds

      – 0  –      17,596       – 0  –      17,596  

Short-Term Investments:

         

Governments - Treasuries

      – 0  –      345,174       – 0  –      345,174  

Investment Companies

      260,320       – 0  –      – 0  –      260,320  
  

 

 

    

 

 

    

 

 

    

 

 

  

Total Investments in Securities

      260,320       45,236,301       308,937       45,805,558  

Other Financial Instruments*:

         

Assets

         

Futures

      116,693       – 0  –      – 0  –      116,693  

Forward Currency Exchange Contracts

      – 0  –      729,607       – 0  –      729,607  

Centrally Cleared Credit Default Swaps

      – 0  –      82,197       – 0  –      82,197  

Centrally Cleared Interest Rate Swaps

      – 0  –      354,369       – 0  –      354,369  

Liabilities

         

Futures

      (343,475 )      – 0  –      – 0  –      (343,475 ) 

Forward Currency Exchange Contracts

      – 0  –      (156,685 )      – 0  –      (156,685 ) 

Currency Options Written

      – 0  –      (6,494 )      – 0  –      (6,494 ) 

Centrally Cleared Credit Default Swaps

      – 0  –      (148,208 )      – 0  –      (148,208 ) 

Centrally Cleared Interest Rate Swaps

      – 0  –      (112,932 )      – 0  –      (112,932 ) 

Credit Default Swaps

      – 0  –      (40,305 )      – 0  –      (40,305 ) 

Variance Swaps

      – 0  –      (4,663 )      – 0  –      (4,663 ) 
  

 

 

    

 

 

    

 

 

    

 

 

  

Total

    $     33,538     $     45,933,187     $     308,937     $     46,275,662  
  

 

 

    

 

 

    

 

 

    

 

 

  

 

*

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 March 31, 2019 is as follows:

 

Fund

    Market Value
12/31/18
(000)		      Purchases
at Cost
(000)		      Sales
Proceeds
(000)		      Market Value
3/31/19
(000)		      Dividend
Income
(000)		  

Government Money Market Portfolio

    $ 465      $ 4,304      $ 4,509      $ 260      $ 2