N-Q 1 d117367dnq.htm AB CAP FUND, INC. - AB EMERGING MARKETS MULTI-ASSET PORTFOLIO AB Cap Fund, Inc. - AB Emerging Markets Multi-Asset Portfolio

 

 

UNITED STATES

SECURITIES AND EXCHANGE COMMISSION

WASHINGTON, D.C. 20549

FORM N-Q

QUARTERLY SCHEDULE OF PORTFOLIO HOLDINGS OF REGISTERED

MANAGEMENT INVESTMENT COMPANIES

Investment Company Act file number: 811-01716

AB CAP FUND, INC.

(Exact name of registrant as specified in charter)

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

(Address of principal executive offices) (Zip code)

Joseph J. Mantineo

AllianceBernstein L.P.

1345 Avenue of the Americas

New York, New York 10105

(Name and address of agent for service)

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

Date of fiscal year end: March 31, 2016

Date of reporting period: December 31, 2015

 

 

 

ITEM 1. SCHEDULE OF INVESTMENTS.

AB Emerging Markets Multi-Asset Portfolio

Portfolio of Investments

December 31, 2015 (unaudited)

 

Company

    Shares        U.S. $ Value  

COMMON STOCKS - 54.4%

        

Financials - 14.2%

        

Banks - 8.1%

        

Banco Macro SA (ADR) (a)

      940         $ 54,633   

Bangkok Bank PCL (NVDR)

      12,100           51,049   

Bank of China Ltd.-Class H

      403,000           178,817   

China Construction Bank Corp.-Class H

      360,000           245,574   

Chongqing Rural Commercial Bank Co., Ltd.-Class H

      539,000           324,425   

DGB Financial Group, Inc.

      7,909           67,377   

Erste Group Bank AG (a)

      4,720           147,689   

Industrial & Commercial Bank of China Ltd.-Class H

      400,000           239,767   

Itausa - Investimentos Itau SA (Preference Shares)

      57,590           99,515   

KB Financial Group, Inc.

      2,480           69,871   

Komercni banka AS

      1,270           252,134   

OTP Bank PLC

      12,330           253,522   

Shinhan Financial Group Co., Ltd.

      2,740           92,041   
       

 

 

  
          2,076,414   
       

 

 

  

Consumer Finance - 1.3%

        

Gentera SAB de CV

      34,250           65,879   

Samsung Card Co., Ltd.

      10,240           268,081   
       

 

 

  
          333,960   
       

 

 

  

Diversified Financial Services - 0.8%

        

Fubon Financial Holding Co., Ltd.

      110,000           149,625   

Remgro Ltd.

      3,900           61,735   
       

 

 

  
          211,360   
       

 

 

  

Insurance - 0.7%

        

Dongbu Insurance Co., Ltd.

      1,670           99,918   

Samsung Life Insurance Co., Ltd.

      920           85,974   
       

 

 

  
          185,892   
       

 

 

  

Real Estate Investment Trusts (REITs) - 0.4%

        

Emira Property Fund Ltd.

      94,210           98,930   
       

 

 

  

Real Estate Management & Development - 2.9%

        

Huaku Development Co., Ltd.

      223,000           398,556   

Kaisa Group Holdings Ltd. (a)(b)(c)

      223,000           33,666   

KWG Property Holding Ltd.

      444,500           327,100   
       

 

 

  
          759,322   
       

 

 

  
          3,665,878   
       

 

 

  

Consumer Discretionary - 9.4%

        

Auto Components - 0.6%

        

Hankook Tire Co., Ltd.

      1,070           42,678   

Nokian Renkaat OYJ

      2,720           97,107   
       

 

 

  
          139,785   
       

 

 

  

Automobiles - 1.7%

        

Hyundai Motor Co.

      210           26,486   

Kia Motors Corp.

      6,420           286,268   

Suzuki Motor Corp.

      4,000           121,535   
       

 

 

  
          434,289   
       

 

 

  

Company

    Shares        U.S. $ Value  

Diversified Consumer Services - 0.7%

        

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

      2,480           77,798   

TAL Education Group (ADR) (a)

      2,180           101,304   
       

 

 

  
          179,102   
       

 

 

  

Hotels, Restaurants & Leisure - 0.4%

        

Yum! Brands, Inc.

      1,520           111,036   
       

 

 

  

Household Durables - 0.7%

        

Even Construtora e Incorporadora SA

      68,300           70,849   

Skyworth Digital Holdings Ltd.

      168,373           109,229   
       

 

 

  
          180,078   
       

 

 

  

Media - 0.4%

        

Loen Entertainment, Inc.

      960           68,446   

Sun TV Network Ltd.

      6,260           40,161   
       

 

 

  
          108,607   
       

 

 

  

Textiles, Apparel & Luxury Goods - 4.9%

        

Eclat Textile Co., Ltd.

      8,000           109,930   

Feng TAY Enterprise Co., Ltd.

      12,120           61,636   

Luthai Textile Co., Ltd.-Class B

      163,000           225,721   

NIKE, Inc.-Class B

      4,120           257,500   

Pacific Textiles Holdings Ltd.

      164,000           253,008   

Pou Chen Corp.

      29,000           37,843   

Shenzhou International Group Holdings Ltd.

      20,000           114,616   

Yue Yuen Industrial Holdings Ltd.

      59,500           201,175   
       

 

 

  
          1,261,429   
       

 

 

  
          2,414,326   
       

 

 

  

Consumer Staples - 6.6%

  

Beverages - 0.5%

  

Anheuser-Busch InBev SA/NV

      1,160           144,359   
       

 

 

  

Food & Staples Retailing - 1.2%

        

BGF retail Co., Ltd.

      630           91,206   

Clicks Group Ltd.

      9,400           54,117   

Eurocash SA

      12,580           155,030   
       

 

 

  
          300,353   
       

 

 

  

Food Products - 2.5%

        

AVI Ltd.

      7,450           37,224   

Gruma SAB de CV-Class B

      21,070           296,443   

Grupo Lala SAB de CV

      54,910           127,060   

Uni-President Enterprises Corp.

      37,000           61,677   

WH Group Ltd. (a)(d)

      213,500           118,553   
       

 

 

  
          640,957   
       

 

 

  

Household Products - 1.1%

        

Colgate-Palmolive Co.

      3,230           215,182   

LG Household & Health Care Ltd.

      70           62,159   
       

 

 

  
          277,341   
       

 

 

  

Company

    Shares        U.S. $ Value  

Tobacco - 1.3%

        

British American Tobacco PLC

      620           34,431   

KT&G Corp.

      1,920           170,621   

Philip Morris International, Inc.

      1,580           138,898   
       

 

 

  
          343,950   
       

 

 

  
          1,706,960   
       

 

 

  

Information Technology - 5.8%

        

Electronic Equipment, Instruments & Components - 1.0%

        

Hon Hai Precision Industry Co., Ltd.

      46,650           114,166   

Largan Precision Co., Ltd.

      1,000           68,425   

Zhen Ding Technology Holding Ltd.

      27,000           61,561   
       

 

 

  
          244,152   
       

 

 

  

Internet Software & Services - 0.4%

        

NetEase, Inc. (ADR)

      600           108,744   
       

 

 

  

IT Services - 0.3%

        

HCL Technologies Ltd.

      5,290           68,456   
       

 

 

  

Semiconductors & Semiconductor Equipment - 1.0%

        

Transcend Information, Inc.

      102,000           264,932   
       

 

 

  

Software - 0.4%

        

NCSoft Corp.

      620           111,771   
       

 

 

  

Technology Hardware, Storage & Peripherals - 2.7%

        

Asustek Computer, Inc.

      5,000           41,284   

Inventec Corp.

      536,000           349,427   

Lite-On Technology Corp.

      78,631           75,831   

Samsung Electronics Co., Ltd.

      120           127,990   

Samsung Electronics Co., Ltd. (Preference Shares)

      110           101,683   
       

 

 

  
          696,215   
       

 

 

  
          1,494,270   
       

 

 

  

Materials - 5.4%

        

Chemicals - 4.4%

        

Hyosung Corp.

      2,640           261,106   

Lotte Chemical Corp.

      2,070           422,378   

Mitsubishi Gas Chemical Co., Inc.

      87,000           444,876   
       

 

 

  
          1,128,360   
       

 

 

  

Metals & Mining - 0.2%

        

Novolipet Steel (GDR) REG S (a)(d)

      6,760           57,527   
       

 

 

  

Paper & Forest Products - 0.8%

        

Sappi Ltd. (a)

      28,600           120,166   

Suzano Papel e Celulose SA-Class A (Preference Shares)

      20,700           97,754   
       

 

 

  
          217,920   
       

 

 

  
          1,403,807   
       

 

 

  

Company

    Shares        U.S. $ Value  

Energy - 4.1%

        

Oil, Gas & Consumable Fuels - 4.1%

        

Eni SpA

      22,150           329,109   

LUKOIL PJSC (London) (Sponsored ADR)

      15,180           493,123   

MOL Hungarian Oil & Gas PLC

      1,360           66,331   

Tatneft PAO (Sponsored ADR)

      6,410           169,527   
       

 

 

  
          1,058,090   
       

 

 

  

Industrials - 4.0%

        

Airlines - 0.3%

        

Air Arabia PJSC

      125,110           46,138   

Turk Hava Yollari AO (a)

      17,780           44,973   
       

 

 

  
          91,111   
       

 

 

  

Commercial Services & Supplies - 0.6%

        

Cleanaway Co., Ltd.

      29,000           153,372   
       

 

 

  

Construction & Engineering - 1.5%

        

China Machinery Engineering Corp.-Class H

      173,000           126,228   

Hyundai Engineering & Construction Co., Ltd.

      2,680           64,337   

Metallurgical Corp. of China Ltd.-Class H

      628,000           188,654   
       

 

 

  
          379,219   
       

 

 

  

Industrial Conglomerates - 0.4%

        

Jardine Strategic Holdings Ltd.

      3,400           92,675   
       

 

 

  

Transportation Infrastructure - 1.2%

        

Grupo Aeroportuario del Pacifico SAB de CV-Class B

      21,020           185,679   

Grupo Aeroportuario del Sureste SAB de CV-Class B

      4,800           68,001   

Jiangsu Expressway Co., Ltd.-Class H

      44,000           59,053   
       

 

 

  
          312,733   
       

 

 

  
          1,029,110   
       

 

 

  

Utilities - 2.4%

        

Electric Utilities - 1.4%

        

CEZ AS

      14,250           254,135   

Transmissora Alianca de Energia Eletrica SA

      27,500           116,295   
       

 

 

  
          370,430   
       

 

 

  

Independent Power and Renewable Electricity Producers - 1.0%

        

Huadian Power International Corp., Ltd.-Class H

      122,000           79,100   

Huaneng Power International, Inc.-Class H

      212,000           181,805   
       

 

 

  
          260,905   
       

 

 

  
          631,335   
       

 

 

  

Telecommunication Services - 1.9%

        

Diversified Telecommunication Services - 0.9%

        

China Telecom Corp., Ltd.-Class H

      150,000           69,970   

Chunghwa Telecom Co., Ltd.

      58,000           174,725   
       

 

 

  
          244,695   
       

 

 

  

Company

           Shares        U.S. $ Value  

Wireless Telecommunication Services - 1.0%

           

China Mobile Ltd.

         13,500           151,957   

SK Telecom Co., Ltd.

         530           97,000   
          

 

 

  
             248,957   
          

 

 

  
             493,652   
          

 

 

  

Health Care - 0.6%

           

Health Care Equipment & Supplies - 0.3%

           

St Shine Optical Co., Ltd.

         4,000           80,057   
          

 

 

  

Health Care Providers & Services - 0.3%

           

Odontoprev SA

         30,900           73,677   
          

 

 

  
             153,734   
          

 

 

  

Total Common Stocks
(cost $14,817,350)

              14,051,162   
          

 

 

  
            Principal
Amount
(000)		           

EMERGING MARKETS - SOVEREIGNS - 10.2%

           

Argentina - 1.0%

           

Argentina Bonar Bonds

           

Series X

           

7.00%, 4/17/17

    U.S.$           146           146,907   

Argentine Republic Government International Bond

           

Series NY

           

2.50%, 12/31/38 (e)

         94           58,750   

8.28%, 12/31/33

         50           58,045   
          

 

 

  
             263,702   
          

 

 

  

Brazil - 1.1%

           

Brazilian Government International Bond

           

4.25%, 1/07/25

         200           162,000   

5.00%, 1/27/45

         200           133,500   
          

 

 

  
             295,500   
          

 

 

  

Costa Rica - 0.7%

           

Costa Rica Government International Bond

           

7.00%, 4/04/44 (d)

         200           166,750   
          

 

 

  

Dominican Republic - 1.3%

           

Dominican Republic International Bond

           

5.875%, 4/18/24 (d)

         225           224,437   

7.45%, 4/30/44 (d)

         114           114,855   
          

 

 

  
             339,292   
          

 

 

  

Ecuador - 0.6%

           

Ecuador Government International Bond

           

7.95%, 6/20/24 (d)

         200           147,500   
          

 

 

  

Company

        Principal
Amount
(000)		        U.S. $ Value  

El Salvador - 0.3%

          

El Salvador Government International Bond

          

6.375%, 1/18/27 (d)

        93           78,585   
         

 

 

  

Gabon - 0.6%

          

Gabon Government International Bond

          

6.375%, 12/12/24 (d)

        200           158,716   
         

 

 

  

Ivory Coast - 0.4%

          

Ivory Coast Government International Bond

          

5.75%, 12/31/32 (d)

        124           110,229   
         

 

 

  

Russia - 2.1%

          

Russian Foreign Bond - Eurobond

          

7.50%, 3/31/30 (d)

        194           232,393   

5.00%, 4/29/20 (d)

        100           103,200   

4.875%, 9/16/23 (d)

        200           203,200   
         

 

 

  
            538,793   
         

 

 

  

Sri Lanka - 1.1%

          

Sri Lanka Government International Bond

          

6.00%, 1/14/19 (d)

        281           275,326   
         

 

 

  

United Republic of Tanzania - 0.7%

          

Tanzania Government International Bond

          

6.538%, 3/09/20 (d)(f)

        200           188,526   
         

 

 

  

Venezuela - 0.3%

          

Venezuela Government International Bond

          

7.75%, 10/13/19 (d)

        207           82,282   
         

 

 

  

Total Emerging Markets - Sovereigns
(cost $2,843,049)

             2,645,201   
         

 

 

  

QUASI-SOVEREIGNS - 9.0%

          

Quasi-Sovereign Bonds - 9.0%

          

Azerbaijan - 1.3%

          

State Oil Co. of the Azerbaijan Republic

          

6.95%, 3/18/30 (d)

        200           175,320   

Series E

          

4.75%, 3/13/23 (d)

        200           169,000   
         

 

 

  
            344,320   
         

 

 

  

Chile - 0.7%

          

Corp. Nacional del Cobre de Chile

          

4.50%, 9/16/25 (d)

        200           188,337   
         

 

 

  

Hungary - 0.8%

          

Magyar Export-Import Bank Zrt

          

4.00%, 1/30/20 (d)

        200           201,261   
         

 

 

  

Company

         Principal
Amount
(000)		        U.S. $ Value  

Indonesia - 0.6%

           

Perusahaan Listrik Negara PT

           

5.25%, 10/24/42 (d)

         200           157,260   
          

 

 

  

Kazakhstan - 0.6%

           

KazMunayGas National Co. JSC

           

9.125%, 7/02/18 (d)

         142           156,058   
          

 

 

  

Mexico - 1.9%

           

Petroleos Mexicanos

           

3.50%, 1/30/23

         362           315,845   

4.25%, 1/15/25 (d)

         48           42,000   

5.50%, 6/27/44

         127           95,547   

5.625%, 1/23/46 (d)

         44           33,669   
          

 

 

  
             487,061   
          

 

 

  

South Africa - 0.7%

           

Eskom Holdings SOC Ltd.

           

7.125%, 2/11/25 (d)

         200           173,000   
          

 

 

  

Turkey - 0.9%

           

Export Credit Bank of Turkey

           

5.375%, 11/04/16 (d)

         224           228,189   
          

 

 

  

Venezuela - 1.5%

           

Petroleos de Venezuela SA

           

6.00%, 5/16/24 (d)

         684           254,790   

8.50%, 11/02/17 (d)

         65           34,683   

9.00%, 11/17/21 (d)

         238           95,319   
          

 

 

  
             384,792   
          

 

 

  

Total Quasi-Sovereigns
(cost $2,529,660)

              2,320,278   
          

 

 

  

GOVERNMENTS - SOVEREIGN BONDS - 9.0%

           

Colombia - 0.9%

           

Colombia Government International Bond

           

2.625%, 3/15/23

         265           231,875   
          

 

 

  

Hungary - 0.8%

           

Hungary Government International Bond

           

5.75%, 11/22/23

         112           125,160   

6.375%, 3/29/21

         62           70,680   
          

 

 

  
             195,840   
          

 

 

  

Indonesia - 2.3%

           

Indonesia Government International Bond

           

3.375%, 4/15/23 (d)

         644           598,432   
          

 

 

  

Kazakhstan - 0.7%

           

Kazakhstan Government International Bond

           

4.875%, 10/14/44 (d)

         200           167,000   
          

 

 

  

Mexico - 0.6%

           

Mexico Government International Bond

           

4.00%, 10/02/23

         72           72,936   

4.75%, 3/08/44

         98           89,278   
          

 

 

  
             162,214   
          

 

 

  

Company

         Principal
Amount
(000)		        U.S. $ Value  

Panama - 0.8%

           

Panama Government International Bond

           

4.00%, 9/22/24

         200           200,000   
          

 

 

  

Peru - 0.7%

           

Peruvian Government International Bond

           

4.125%, 8/25/27

         32           31,360   

7.35%, 7/21/25

         117           146,689   
          

 

 

  
             178,049   
          

 

 

  

Poland - 0.4%

           

Poland Government International Bond

           

5.00%, 3/23/22

         87           96,461   
          

 

 

  

South Africa - 0.4%

           

South Africa Government International Bond

           

5.875%, 5/30/22

         100           104,420   
          

 

 

  

Turkey - 1.3%

           

Turkey Government International Bond

           

7.00%, 6/05/20

         95           105,702   

7.375%, 2/05/25

         207           241,693   
          

 

 

  
             347,395   
          

 

 

  

Uruguay - 0.1%

           

Uruguay Government International Bond

           

5.10%, 6/18/50

         43           37,088   
          

 

 

  

Total Governments - Sovereign Bonds
(cost $2,335,683)

              2,318,774   
          

 

 

  

GOVERNMENTS - TREASURIES - 3.5%

           

Brazil - 0.8%

           

Brazil Notas do Tesouro Nacional

           

Series B

           

6.00%, 8/15/22-8/15/50

    BRL      217           132,315   

Series F

           

10.00%, 1/01/17

         296           71,146   
          

 

 

  
             203,461   
          

 

 

  

Colombia - 0.6%

           

Colombian TES

           

Series B

           

6.00%, 4/28/28

    COP      682,500           168,258   
          

 

 

  

Mexico - 1.0%

           

Mexican Bonos

           

Series M 10

           

8.50%, 12/13/18

    MXN      3,960           252,761   
          

 

 

  

Russia - 0.2%

           

Russian Federal Bond - OFZ

           

Series 6212

           

7.05%, 1/19/28

    RUB      4,290           49,018   
          

 

 

  

Company

           Principal
Amount
(000)		        U.S. $ Value  

United States - 0.9%

           

U.S. Treasury Bonds

           

3.125%, 8/15/44

      U.S.$         217           221,772   
          

 

 

  

Total Governments - Treasuries
(cost $1,105,077)

              895,270   
          

 

 

  

EMERGING MARKETS - CORPORATE BONDS - 1.8%

           

Industrial - 1.8%

           

Consumer Non-Cyclical - 1.8%

           

Arcelik AS

           

5.00%, 4/03/23 (d)

         260           237,900   

Marfrig Holdings Europe BV

           

8.375%, 5/09/18 (d)

         200           192,000   

Tonon Luxembourg SA

           

7.25%, 1/24/20 (d)(g)

         285           28,497   

Virgolino de Oliveira Finance SA

           

11.75%, 2/09/22 (h)

         202           5,312   
          

 

 

  

Total Emerging Markets - Corporate Bonds
(cost $895,525)

              463,709   
          

 

 

  
            Shares           

INVESTMENT COMPANIES - 1.6%

           

Funds and Investment Trusts - 1.6%

           

db x-trackers MSCI Pakistan IM TRN Index UCITS ETF (a)

         61,410           109,310   

VFMVN30 ETF Fund (a)

         708,000           301,686   
          

 

 

  

Total Investment Companies
(cost $406,852)

              410,996   
          

 

 

  
            Principal
Amount
(000)		           

GOVERNMENTS - SOVEREIGN AGENCIES - 0.9%

           

Brazil - 0.7%

           

Banco do Brasil SA/Cayman

           

9.00%, 6/18/24 (d)(i)

      U.S.$         200           131,000   

Petrobras Global Finance BV

           

3.50%, 2/06/17

         36           33,660   

6.85%, 6/05/15

         23           14,893   
          

 

 

  
             179,553   
          

 

 

  

Colombia - 0.2%

           

Ecopetrol SA

           

5.875%, 5/28/45

         27           19,271   

7.375%, 9/18/43

         28           23,520   
          

 

 

  
             42,791   
          

 

 

  

Total Governments - Sovereign Agencies
(cost $307,360)

              222,344   
          

 

 

  

Company

        Principal
Amount
(000)		        U.S. $ Value  

EMERGING MARKETS - TREASURIES - 0.7%

          

Dominican Republic - 0.7%

          

Dominican Republic International Bond

          

16.00%, 7/10/20 (h)

   DOP      7,100           188,566   
         

 

 

  
         Shares           

WARRANTS - 0.5%

          

Industrials - 0.5%

          

Airlines - 0.5%

          

Air Arabia PJSC, Deutsche Bank, London, expiring 7/31/17 (a)

        349,680           129,511   
         

 

 

  
         Contracts           

OPTIONS PURCHASED - PUTS - 0.2%

          

Option on Forward Contracts - 0.2%

          

EUR/USD

          

Expiration: Jan 2016, Exercise Price: EUR 1.11 (a)

        2,445,000           53,397   
         

 

 

  

OPTIONS PURCHASED - CALLS - 0.0%

          

Options on Funds and Investment Trusts - 0.0%

          

iShares MSCI Emerging Markets ETF

          

Expiration: Jan 2016, Exercise Price: $36.00 (a) (j)

        462           693   
         

 

 

  
         Shares           

SHORT-TERM INVESTMENTS - 7.5%

          

Investment Companies - 7.4%

          

AB Fixed-Income Shares, Inc.-Government STIF
Portfolio, 0.30% (k) (l)
(Cost $1,898,034)

        1,898,034           1,898,034   
         

 

 

  
         Principal
Amount
(000)		           

Time Deposits - 0.1%

          

BBH, Grand Cayman

          

0.005%, 1/04/16

   HKD      23           2,940   

0.005%, 1/04/16

   JPY      233           1,935   

0.05%, 1/04/16

   CAD      1           560   

0.067%, 1/04/16

   NOK      7           758   

0.076%, 1/04/16

   GBP      2           2,212   

0.09%, 1/04/16

   USD      0 #         342   

0.10%, 1/04/16

   SGD      1           995   

0.968%, 1/04/16

   AUD      0 #         10   

5.248%, 1/04/16

   ZAR      19           1,247   

DNB, Oslo

          

(0.631)%, 1/04/16

   EUR      20           22,132   
         

 

 

  

Total Time Deposits
(cost $33,462)

             33,131   
         

 

 

  

Total Short-Term Investments
(cost $1,931,496)

             1,931,165   
         

 

 

  

Company

    U.S. $ Value  

Total Investments - 99.3%
(cost $27,590,374) (m)

      25,631,066   

Other assets less liabilities - 0.7%

      184,880   
  

 

 

  

Net Assets - 100.0%

    $ 25,815,946   
  

 

 

  

FUTURES

 

Type

    Number
of
Contracts		      Expiration
Month		      Original
Value		      Value at
December 31,
2015		      Unrealized
Appreciation/
(Depreciation)		  

Purchased Contracts

               

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

      9         March 2016       $ 1,067,414       $ 1,064,883       $ (2,531 ) 

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

      4         March 2016         504,750         503,625         (1,125 ) 
              

 

 

  
               $ (3,656 ) 
              

 

 

  

FORWARD CURRENCY EXCHANGE CONTRACTS

 

Counterparty

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

Citibank, NA

      USD         162         CZK         3,953         3/18/16       $ (2,251 ) 

Goldman Sachs Bank USA

      CZK         15,237         USD         618         3/18/16         3,207   

Goldman Sachs Bank USA

      USD         699         INR         47,441         3/18/16         9,699   

HSBC Bank USA

      USD         264         IDR         3,734,159         3/18/16         (175 ) 

Royal Bank of Scotland PLC

      COP         372,186         USD         110         3/18/16         (5,831 ) 

Royal Bank of Scotland PLC

      USD         466         JPY         57,356         3/18/16         11,574   

Standard Chartered Bank

      BRL         1,057         USD         271         1/05/16         3,520   

Standard Chartered Bank

      BRL         1,057         USD         266         1/05/16         (992 ) 

Standard Chartered Bank

      USD         553         BRL         2,114         1/05/16         (18,576 ) 

Standard Chartered Bank

      USD         263         BRL         1,057         2/02/16         1,098   
                 

 

 

  
   $ 1,273   
                 

 

 

  

CENTRALLY CLEARED INTEREST RATE SWAPS

 

                   Rate Type        

Clearing Broker

/(Exchange)

    Notional
Amount
(000)		      Termination
Date		      Payments
made by
the
Fund		      Payments
received
by the
Fund		     Unrealized
Appreciation/
(Depreciation)		  

Morgan Stanley & Co. LLC/(CME)

    $ 105         2/27/45         3 Month LIBOR         2.476 %    $ (1,603 ) 

CREDIT DEFAULT SWAPS

 

Swap Counterparty & Referenced Obligation

    Fixed Rate
(Pay)
Receive		     Implied Credit
Spread at
December 31, 2015		     Notional
Amount
(000)		      Market
Value		     Upfront
Premiums
Paid
(Received)		     Unrealized
Appreciation/
(Depreciation)		  

Buy Contracts

              

Citibank, NA

              

Brazilian Government International,

              

4.25% 1/07/25, 12/20/20*

      (1.00 )%      4.81 %    $ 220       $ 35,794      $ 33,280      $ 2,514   

Venezuela Government International Bond,

              

9.25% 9/15/27, 9/20/16*

      (5.00 )      68.99        400         135,522        73,235        62,287   

Sale Contracts

              

Barclays Bank PLC

              

CDX-EM Series 22, 5 Year Index, 12/20/19*

      1.00        3.93        326         (33,665 )      (25,656 )      (8,009 ) 

CDX-EM Series 23, 5 Year Index, 6/20/20*

      1.00        3.53        882         (87,797 )      (70,627 )      (17,170 ) 

Citibank, NA

              

CDX-EM Series 23, 5 Year Index, 6/20/20*

      1.00        3.53        167         (16,584 )      (19,146 )      2,562   

Russian Federation, 7.50% 3/31/30, 12/20/20*

      1.00        2.99        160         (14,283 )      (18,591 )      4,308   
         

 

 

    

 

 

    

 

 

  
          $ 18,987      $ (27,505 )    $ 46,492   
         

 

 

    

 

 

    

 

 

  

 

* Termination date

TOTAL RETURN SWAPS

 

Counterparty & Referenced Obligation

    # of Shares
or Units		      Rate Paid/
Received		   Notional
Amount
(000)		      Maturity
Date		      Unrealized
Appreciation/
(Depreciation)		  

Receive Total Return on Reference Obligation

  

Citibank, NA

  

iShares JPMorgan USD Emerging Markets Bond ETF

      7,062       LIBOR Minus
2.40%		     USD         747         1/29/16       $ – 0  – 

 

# Principal amount less than 500.
(a) Non-income producing security.
(b) Fair valued by the Adviser.
(c) Illiquid security.

(d) Security is exempt from registration under Rule 144A of the Securities Act of 1933. These securities are considered liquid and may be resold in transactions exempt from registration, normally to qualified institutional buyers. At December 31, 2015, the aggregate market value of these securities amounted to $5,525,794 or 21.4% of net assets.
(e) Coupon rate adjusts periodically based upon a predetermined schedule. Stated interest rate in effect at December 31, 2015.
(f) Floating Rate Security. Stated interest rate was in effect at December 31, 2015.
(g) 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 December 31, 2015.
(h) Security is exempt from registration under Rule 144A of the Securities Act of 1933. These securities, which represent 0.75% of net assets as of December 31, 2015, are considered illiquid and restricted.

 

Restricted Securities

    Acquisition
Date 		     Cost      Market
Value		      Percentage of
Net Assets		  

Dominican Republic International Bond

            

16.00%, 7/10/20

      9/11/12       $ 205,322       $ 188,566         0.73 % 

Virgolino de Oliveira Finance SA

            

11.75%, 2/09/22

      7/12/13         172,628         5,312         0.02 % 

 

(i) Securities are perpetual and, thus, do not have a predetermined maturity date. The date shown, if applicable, reflects the next call date.
(j) One contract relates to 100 shares.
(k) To obtain a copy of the fund’s financial statements, please go to the Securities and Exchange Commission’s website at www.sec.gov, or call AB at (800) 227-4618.
(l) Investment in affiliated money market mutual fund. The rate shown represents the 7-day yield as of period end.
(m) As of December 31, 2015, the cost basis of investment securities owned was substantially identical for both book and tax purposes. Gross unrealized appreciation of investments was $966,923 and gross unrealized depreciation of investments was $(2,926,231), resulting in net unrealized depreciation of $(1,959,308).

Currency Abbreviation:

 

AUD    -    Australian Dollar
BRL    -    Brazilian Real
CAD    -    Canadian Dollar
COP    -    Colombian Peso
CZK    -    Czech Koruna
DOP    -    Dominican Peso
EUR    -    Euro
GBP    -    Great British Pound
HKD    -    Hong Kong Dollar
IDR    -    Indonesian Rupiah
INR    -    Indian Rupee
JPY    -    Japanese Yen
MXN    -    Mexican Peso
NOK    -    Norwegian Krone
RUB    -    Russian Ruble
SGD    -    Singapore Dollar
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
CME    -    Chicago Mercantile Exchange
ETF    -    Exchange Traded Fund
GDR    -    Global Depositary Receipt
JSC    -    Joint Stock Company

LIBOR    -    London Interbank Offered Rates
MSCI    -    Morgan Stanley Capital International
NVDR    -    Non Voting Depositary Receipt
PJSC    -    Public Joint Stock Company
REG    -    Registered Shares

COUNTRY BREAKDOWN*

December 31, 2015 (unaudited)

 

  12.5%        

China

  10.2%        

South Korea

  8.6%        

Taiwan

  6.4%        

Mexico

  5.3%        

Brazil

  5.1%        

Russia

  3.7%        

United States

  3.4%        

Turkey

  2.9%        

Indonesia

  2.8%        

Hungary

  2.5%        

South Africa

  2.2%        

Japan

  26.9%        

Other

  7.5%        

Short-Term

 

 

       
  100.0%        

Total Investments

 

 

       

 

* All data are as of December 31, 2015. The Fund’s country breakdown is expressed as a percentage of total investments and may vary over time. “Other” country weightings represent 2.1% or less in the following countries: Argentina, Austria, Azerbaijan, Belgium, Chile, Colombia, Costa Rica, Czech Republic, Dominican Republic, Ecuador, El Salvador, Euro Zone, Finland, Gabon, Hong Kong, India, Italy, Ivory Coast, Kazakhstan, Luxembourg, Panama, Peru, Poland, Sri Lanka, Thailand, United Arab Emirates, United Kingdom, United Republic of Tanzania, Uruguay, Venezuela and Vietnam.

AB Emerging Markets Multi Asset Fund

December 31, 2015 (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 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, yield curves, option adjusted spreads, default rates, credit spreads and other unique security features in order to estimate the relevant cash flows which is then discounted to calculate fair values. If these inputs are unobservable and significant to the fair value, these investments will be classified as Level 3. In addition, non-agency rated investments are classified as Level 3.

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

Options are valued using market-based inputs to models, broker or dealer quotations, or alternative pricing sources with reasonable levels of price transparency, where such inputs and models are available. Alternatively the values may be obtained through unobservable management determined inputs and/or management’s proprietary models. Where models are used, the selection of a particular model to value an option depends upon the contractual terms of, and specific risks inherent in, the option as well as the availability of pricing information in the market. Valuation models require a variety of inputs, including contractual terms, market prices, measures of volatility and correlations of such inputs. Exchange-traded options generally will be classified as Level 2. For options that do not trade on exchange but trade in liquid markets, inputs can generally be verified and model selection does not involve significant management judgment. Options are classified within Level 2 on the fair value hierarchy when all of the significant inputs can be corroborated to market evidence. Otherwise such instruments are classified as Level 3.

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

The following table summarizes the valuation of the Portfolio’s investments by the above fair value hierarchy levels as of December 31, 2015:

 

Investments in Securities

    Level 1     Level 2     Level 3     Total  

Common Stocks:

         

Financials

    $ 120,512      $ 3,511,700      $ 33,666      $ 3,665,878   

Consumer Discretionary

      547,638        1,866,688        – 0  –      2,414,326   

Consumer Staples

      777,583        929,377        – 0  –      1,706,960   

Information Technology

      108,744        1,385,526        – 0  –      1,494,270   

Materials

      57,527        1,346,280        – 0  –      1,403,807   

Energy

      493,123        564,967        – 0  –      1,058,090   

Industrials

      253,680        775,430        – 0  –      1,029,110   

Utilities

      – 0  –      631,335        – 0  –      631,335   

Telecommunication Services

      – 0  –      493,652        – 0  –      493,652   

Health Care

      – 0  –      153,734        – 0  –      153,734   

Emerging Markets - Sovereigns

      – 0  –      2,645,201        – 0  –      2,645,201   

Quasi-Sovereigns

      – 0  –      2,320,278        – 0  –      2,320,278   

Governments - Sovereign Bonds

      – 0  –      2,318,774        – 0  –      2,318,774   

Governments - Treasuries

      – 0  –      895,270        – 0  –      895,270   

Emerging Markets - Corporate Bonds

      – 0  –      463,709        – 0  –      463,709   

Investment Companies

      109,310        301,686        – 0  –      410,996   

Governments - Sovereign Agencies

      – 0  –      222,344        – 0  –      222,344   

Emerging Markets - Treasuries

      – 0  –      – 0  –      188,566        188,566   

Warrants

      – 0  –      129,511        – 0  –      129,511   

Options Purchased - Puts

      – 0  –      53,397        – 0  –      53,397   

Options Purchased - Calls

      – 0  –      693        – 0  –      693   

Short-Term Investments:

         

Investment Companies

      1,898,034        – 0  –      – 0  –      1,898,034   

Time Deposits

      – 0  –      33,131        – 0  –      33,131   
  

 

 

    

 

 

    

 

 

    

 

 

  

Total Investments in Securities

      4,366,151        21,042,683 +      222,232        25,631,066   

Other Financial Instruments*:

         

Assets

         

Forward Currency Exchange Contracts

      – 0  –      29,098        – 0  –      29,098   

Credit Default Swaps

      – 0  –      71,671        – 0  –      71,671   

Liabilities

         

Futures

      (3,656 )      – 0  –      – 0  –      (3,656 ) 

Forward Currency Exchange Contracts

      – 0  –      (27,825 )      – 0  –      (27,825 ) 

Centrally Cleared Interest Rate Swaps

      – 0  –      (1,603 )      – 0  –      (1,603 ) 

Credit Default Swaps

      – 0  –      (25,179 )      – 0  –      (25,179 ) 
  

 

 

    

 

 

    

 

 

    

 

 

  

Total^

    $     4,362,495      $     21,088,845      $     222,232      $     25,673,572   
  

 

 

    

 

 

    

 

 

    

 

 

  

 

* Other financial instruments are derivative instruments, such as futures, forwards and swaps, which are valued at the unrealized appreciation/depreciation on the instrument.

 

+ A significant portion of the Portfolio’s foreign equity investments are categorized as Level 2 investments since they are valued using fair value prices based on third party vendor modeling tools to the extent available.

 

^ An amount of $1,707,756 was transferred from Level 1 and Level 2 due to the above mentioned foreign equity fair valuation using third party vendor modeling tools during the reporting period. There were no transfers from Level 2 to Level 1 during the reporting period.

The Portfolio recognizes all transfers between levels of the fair value hierarchy assuming the financial instrument was transferred at the beginning of the reporting period.

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

 

     Common Stocks     Emerging Markets -
Treasuries		     Totals  

Balance as of 3/31/15

    $ 44,872      $ 199,697      $ 244,569   

Accrued discounts/(premiums)

      –0  –      (2,477 )      (2,477 ) 

Realized gain (loss)

      –0  –      – 0  –      – 0  – 

Change in unrealized appreciation/depreciation

      (11,206 )      (8,654 )      (19,860 ) 

Purchases

      –0  –      – 0  –      – 0  – 

Sales

      –0  –      – 0  –      – 0  – 

Transfers into Level 3

      –0  –      – 0  –      – 0  – 

Transfers out of Level 3

      –0  –      – 0  –      – 0  – 
  

 

 

    

 

 

    

 

 

  

Balance as of 12/31/15

    $     33,666      $     188,566      $     222,232 + 
  

 

 

    

 

 

    

 

 

  

Net change in unrealized appreciation/depreciation from investments held as of 12/31/15

    $ (11,206 )    $ (8,654 )    $ (19,860 ) 

 

+ There were no transfers into or out of Level 3 during the reporting period.

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

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

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

ITEM 2. CONTROLS AND PROCEDURES.

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

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

 

ITEM 3. EXHIBITS.

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

 

EXHIBIT NO.

  

DESCRIPTION OF EXHIBIT

3 (a) (1)   Certification of Principal Executive Officer Pursuant to Section 302 of the Sarbanes-Oxley Act of 2002
3 (a) (2)   Certification of Principal Financial Officer Pursuant to Section 302 of the Sarbanes-Oxley Act of 2002

SIGNATURES

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

(Registrant): AB Cap Fund, Inc.

 

By:

   /s/    Robert M. Keith
  Robert M. Keith
  President
Date:   February 23, 2016

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

 

By:   /s/    Robert M. Keith
  Robert M. Keith
  President
Date:   February 23, 2016

 

By:   /s/    Joseph J. Mantineo
  Joseph J. Mantineo
  Treasurer and Chief Financial Officer
Date:   February 23, 2016