NPORT-EX 2 64AM_0822.htm HTML

AB Cap Fund, Inc.

AB All Market Income Portfolio

Portfolio of Investments

August 31, 2022 (unaudited)

 

Company    Shares        U.S. $ Value  

COMMON STOCKS – 41.4%

 

Information Technology – 9.6%

 

Communications Equipment – 0.1%

 

Juniper Networks, Inc.

      4,094        $ 116,352  
       

 

 

  

Electronic Equipment, Instruments & Components – 0.1%

 

Arrow Electronics, Inc.(a)

      373          39,094  
       

 

 

  

IT Services – 2.5%

 

Akamai Technologies, Inc.(a)

      1,447          130,635  

Automatic Data Processing, Inc.

      467          114,140  

Capgemini SE

      471          81,378  

Cognizant Technology Solutions Corp. - Class A

      3,003          189,700  

Fidelity National Information Services, Inc.

      1,163          106,263  

FleetCor Technologies, Inc.(a)

      76          16,152  

Gartner, Inc.(a)

      223          63,626  

Genpact Ltd.

      1,940          91,141  

International Business Machines Corp.

      1,172          150,543  

Mastercard, Inc. - Class A

      186          60,333  

Otsuka Corp.

      1,500          48,486  

Paychex, Inc.

      1,029          126,917  

PayPal Holdings, Inc.(a)

      2,142          200,149  

VeriSign, Inc.(a)

      468          85,279  

Visa, Inc. - Class A

      1,745          346,749  
       

 

 

  
          1,811,491  
       

 

 

  

Semiconductors & Semiconductor Equipment – 1.3%

 

Applied Materials, Inc.

      1,276          120,033  

Broadcom, Inc.

      344          171,694  

Enphase Energy, Inc.(a)

      257          73,615  

Infineon Technologies AG

      1,785          43,677  

KLA Corp.

      474          163,118  

Micron Technology, Inc.

      1,957          110,629  

QUALCOMM, Inc.

      1,193          157,798  

Taiwan Semiconductor Manufacturing Co., Ltd. (Sponsored ADR)

      516          43,009  

Texas Instruments, Inc.

      200          33,042  
       

 

 

  
          916,615  
       

 

 

  

Software – 3.7%

 

Adobe, Inc.(a)

      177          66,099  

Bentley Systems, Inc. - Class B

      146          5,368  

Cadence Design Systems, Inc.(a)

      671          116,600  

Constellation Software, Inc./Canada

      71          106,878  

Crowdstrike Holdings, Inc. - Class A(a)

      100          18,261  

DocuSign, Inc.(a)

      34          1,980  

Dropbox, Inc. - Class A(a)

      2,840          60,748  

Fortinet, Inc.(a)

      2,422          117,927  

Microsoft Corp.

      4,595                1,201,455  

NortonLifeLock, Inc.

      10,070          227,481  

Oracle Corp.

      4,135          306,610  

SAP SE

      1,150          97,945  

ServiceNow, Inc.(a)

      332          144,294  

Synopsys, Inc.(a)

      260          89,965  

Trade Desk, Inc. (The) - Class A(a)

      953          59,753  

VMware, Inc. - Class A

      711          82,497  
       

 

 

  
          2,703,861  
       

 

 

  

 

1

Company    Shares        U.S. $ Value  

Technology Hardware, Storage & Peripherals – 1.9%

 

Apple, Inc.

      5,537        $ 870,527  

HP, Inc.

      3,846          110,419  

NetApp, Inc.

      1,663          119,952  

Ricoh Co., Ltd.

      6,600          51,872  

Samsung Electronics Co., Ltd.

      4,911          217,561  
       

 

 

  
          1,370,331  
       

 

 

  
          6,957,744  
       

 

 

  

Financials – 6.4%

 

Banks – 2.4%

 

ABN AMRO Bank NV(b) (c)

      5,393          51,810  

Australia & New Zealand Banking Group Ltd.

      510          7,884  

Bank Leumi Le-Israel BM

      10,272          108,588  

BNP Paribas SA

      634          29,617  

CaixaBank SA

      1,861          5,619  

Citigroup, Inc.

      1,159          56,571  

Commerzbank AG(a)

      8,398          55,880  

DBS Group Holdings Ltd.

      3,300          76,836  

JPMorgan Chase & Co.

      2,032          231,099  

KBC Group NV

      462          22,034  

KeyCorp

      4,587          81,144  

Mitsubishi UFJ Financial Group, Inc.

      36,700          190,251  

National Bank of Canada

      1,925          127,356  

Nordea Bank Abp

      11,835          109,732  

Oversea-Chinese Banking Corp., Ltd.

      11,800          101,706  

Regions Financial Corp.

      2,420          52,441  

Resona Holdings, Inc.

      2,600          9,571  

Royal Bank of Canada

      1,277          118,750  

Societe Generale SA

      6,074          133,904  

Standard Chartered PLC

      648          4,488  

Toronto-Dominion Bank (The)

      1,117          71,858  

Wells Fargo & Co.

      1,729          75,575  
       

 

 

  
                1,722,714  
       

 

 

  

Capital Markets – 1.6%

 

Ameriprise Financial, Inc.

      129          34,573  

BlackRock, Inc.

      307          204,582  

Carlyle Group, Inc. (The)

      3,056          99,412  

CME Group, Inc.

      302          59,074  

Credit Suisse Group AG (REG)(a)

      18,469          95,302  

Goldman Sachs Group, Inc. (The)

      886          294,746  

Houlihan Lokey, Inc.

      821          64,449  

Julius Baer Group Ltd.(a)

      2,245          108,478  

London Stock Exchange Group PLC

      431          40,428  

Moody’s Corp.

      131          37,272  

Morgan Stanley

      362          30,850  

Partners Group Holding AG

      29          27,992  

Singapore Exchange Ltd.

      6,200          42,073  
       

 

 

  
          1,139,231  
       

 

 

  

Consumer Finance – 0.1%

 

Ally Financial, Inc.

      3,417          113,444  
       

 

 

  

 

2

Company    Shares        U.S. $ Value  

Diversified Financial Services – 0.2%

 

M&G PLC

      52,440        $ 119,009  
       

 

 

  

Insurance – 1.9%

 

Admiral Group PLC

      810          19,925  

Assicurazioni Generali SpA

      1,419          20,812  

Aviva PLC

      21,591          104,743  

Fidelity National Financial, Inc.

      3,448          134,817  

Japan Post Holdings Co., Ltd.

      18,300          126,248  

Japan Post Insurance Co., Ltd.

      7,900          121,009  

Legal & General Group PLC

      16,955          49,662  

Marsh & McLennan Cos., Inc.

      483          77,942  

Medibank Pvt Ltd.

      31,471          79,274  

MetLife, Inc.

      2,243          144,292  

NN Group NV

      4,158          170,886  

Progressive Corp. (The)

      580          71,137  

Prudential Financial, Inc.

      1,330          127,348  

Sampo Oyj - Class A

      1,591          71,977  

Willis Towers Watson PLC

      393          81,284  
       

 

 

  
                1,401,356  
       

 

 

  

Mortgage Real Estate Investment Trusts (REITs) – 0.2%

 

Annaly Capital Management, Inc.

      19,095          123,163  
       

 

 

  
          4,618,917  
       

 

 

  

Health Care – 6.0%

 

Biotechnology – 0.4%

 

AbbVie, Inc.

      1,814          243,910  

Moderna, Inc.(a)

      629          83,198  
       

 

 

  
          327,108  
       

 

 

  

Health Care Equipment & Supplies – 0.5%

 

Demant A/S(a)

      265          8,163  

Hologic, Inc.(a)

      1,505          101,678  

IDEXX Laboratories, Inc.(a)

      94          32,676  

Koninklijke Philips NV

      3,972          65,967  

Medtronic PLC

      1,405          123,528  
       

 

 

  
          332,012  
       

 

 

  

Health Care Providers & Services – 1.7%

 

AmerisourceBergen Corp.

      930          136,301  

Anthem, Inc.

      522          253,227  

Cardinal Health, Inc.

      175          12,376  

Centene Corp.(a)

      2,235          200,569  

Humana, Inc.

      305          146,943  

McKesson Corp.

      387          142,029  

Molina Healthcare, Inc.(a)

      467          157,552  

UnitedHealth Group, Inc.

      317          164,628  
       

 

 

  
          1,213,625  
       

 

 

  

Life Sciences Tools & Services – 0.5%

 

Bio-Rad Laboratories, Inc. - Class A(a)

      122          59,175  

Mettler-Toledo International, Inc.(a)

      116          140,645  

Sartorius Stedim Biotech

      26          9,510  

Thermo Fisher Scientific, Inc.

      285          155,416  
       

 

 

  
          364,746  
       

 

 

  

 

3

Company    Shares        U.S. $ Value  

Pharmaceuticals – 2.9%

 

Bayer AG

      2,424        $ 128,200  

Eli Lilly & Co.

      813          244,900  

Johnson & Johnson

      560          90,351  

Merck & Co., Inc.

      3,627          309,601  

Novo Nordisk A/S - Class B

      3,237          346,080  

Pfizer, Inc.

      4,161          188,202  

Roche Holding AG (BR)

      127          48,509  

Roche Holding AG (Genusschein)

      1,469          473,695  

Sanofi

      1,945          159,003  

Takeda Pharmaceutical Co., Ltd.

      4,500          124,380  
       

 

 

  
                2,112,921  
       

 

 

  
          4,350,412  
       

 

 

  

Communication Services – 3.4%

 

Diversified Telecommunication Services – 1.1%

 

BCE, Inc.(b)

      970          46,811  

Comcast Corp. - Class A

      7,053          255,248  

HKT Trust & HKT Ltd.

      67,000          89,886  

Nippon Telegraph & Telephone Corp.

      3,300          89,444  

Orange SA

      5,751          58,243  

Spark New Zealand Ltd.

      41,927          138,691  

Telefonica SA

      26,464          109,217  

Telenor ASA

      523          5,723  
       

 

 

  
          793,263  
       

 

 

  

Entertainment – 0.4%

 

Electronic Arts, Inc.

      2,260          286,726  

Ubisoft Entertainment SA(a)

      619          28,545  
       

 

 

  
          315,271  
       

 

 

  

Interactive Media & Services – 1.5%

 

Alphabet, Inc. - Class A(a) (d)

      1,815          196,419  

Alphabet, Inc. - Class C(a)

      5,021          548,042  

Auto Trader Group PLC(c)

      8,010          60,481  

Kakaku.com, Inc.

      1,400          25,771  

Meta Platforms, Inc. - Class A(a)

      1,427          232,501  
       

 

 

  
          1,063,214  
       

 

 

  

Media – 0.3%

 

Interpublic Group of Cos., Inc. (The)

      3,677          101,632  

Omnicom Group, Inc.

      1,757          117,544  
       

 

 

  
          219,176  
       

 

 

  

Wireless Telecommunication Services – 0.1%

 

SoftBank Corp.

      9,300          101,958  
       

 

 

  
          2,492,882  
       

 

 

  

Consumer Discretionary – 3.4%

 

Auto Components – 0.0%

 

Aisin Corp.

      300          8,920  
       

 

 

  

Automobiles – 0.5%

 

Tesla, Inc.(a)

      1,242          342,308  
       

 

 

  

 

4

Company    Shares        U.S. $ Value  

Distributors – 0.0%

 

LKQ Corp.

      243        $ 12,932  
       

 

 

  

Diversified Consumer Services – 0.0%

 

Service Corp. International/US

      155          9,565  
       

 

 

  

Hotels, Restaurants & Leisure – 0.9%

 

Booking Holdings, Inc.(a)

      64          120,052  

Compass Group PLC

      3,594          77,311  

Darden Restaurants, Inc.

      68          8,412  

Galaxy Entertainment Group Ltd.

      24,200          135,270  

Marriott International, Inc./MD - Class A

      133          20,448  

Starbucks Corp.

      2,348          197,396  

Yum China Holdings, Inc.

      935          46,853  
       

 

 

  
          605,742  
       

 

 

  

Household Durables – 0.1%

 

Persimmon PLC

      3,877          66,340  
       

 

 

  

Internet & Direct Marketing Retail – 1.0%

 

Alibaba Group Holding Ltd.(a)

      5,600          66,811  

Alibaba Group Holding Ltd. (ADR)(a)

      925          88,254  

Amazon.com, Inc.(a)

      3,346          424,173  

Prosus NV(a)

      1,694          104,705  

ZOZO, Inc.

      1,600          35,365  
       

 

 

  
          719,308  
       

 

 

  

Leisure Products – 0.1%

 

Bandai Namco Holdings, Inc.

      800          60,029  
       

 

 

  

Media – 0.1%

 

Vivendi SE

      9,882          89,575  
       

 

 

  

Specialty Retail – 0.5%

 

AutoZone, Inc.(a)

      125          264,901  

O’Reilly Automotive, Inc.(a)

      57          39,736  

Ulta Beauty, Inc.(a)

      133          55,843  
       

 

 

  
          360,480  
       

 

 

  

Textiles, Apparel & Luxury Goods – 0.2%

 

adidas AG

      237          35,143  

Kering SA

      101          50,677  

NIKE, Inc. - Class B

      560          59,612  

Pandora A/S

      258          15,500  
       

 

 

  
          160,932  
       

 

 

  
                2,436,131  
       

 

 

  

Industrials – 3.1%

 

Aerospace & Defense – 0.4%

 

BAE Systems PLC

      13,320          119,961  

Dassault Aviation SA

      38          5,219  

Huntington Ingalls Industries, Inc.

      588          135,393  
       

 

 

  
          260,573  
       

 

 

  

Air Freight & Logistics – 0.1%

 

Nippon Express Holdings, Inc.

      1,100          60,525  
       

 

 

  

 

5

Company    Shares        U.S. $ Value  

Airlines – 0.0%

 

Delta Air Lines, Inc.(a)

      444        $ 13,795  
       

 

 

  

Building Products – 0.5%

 

Assa Abloy AB - Class B

      1,726          34,958  

Otis Worldwide Corp.

      3,538          255,515  

Owens Corning

      1,032          84,345  
       

 

 

  
          374,818  
       

 

 

  

Construction & Engineering – 0.1%

 

AECOM

      436          31,893  

Kajima Corp.

      2,600          27,359  
       

 

 

  
          59,252  
       

 

 

  

Machinery – 0.9%

 

Caterpillar, Inc.

      39          7,204  

Cummins, Inc.

      383          82,487  

Dover Corp.

      871          108,840  

Mitsubishi Heavy Industries Ltd.

      2,500          96,376  

Parker-Hannifin Corp.

      477          126,405  

Snap-on, Inc.

      653          142,263  

Techtronic Industries Co., Ltd.

      600          7,076  

Volvo AB - Class B

      5,929          93,917  
       

 

 

  
          664,568  
       

 

 

  

Marine – 0.3%

 

AP Moller - Maersk A/S - Class A

      54          126,150  

AP Moller - Maersk A/S - Class B

      3          7,197  

Kuehne & Nagel International AG

      225          52,000  

SITC International Holdings Co., Ltd.

      19,000          48,181  
       

 

 

  
          233,528  
       

 

 

  

Professional Services – 0.6%

 

Booz Allen Hamilton Holding Corp.

      1,077          103,069  

RELX PLC

      3,567          93,349  

Robert Half International, Inc.

      1,314          101,139  

Wolters Kluwer NV

      1,095          107,083  
       

 

 

  
          404,640  
       

 

 

  

Road & Rail – 0.2%

 

Aurizon Holdings Ltd.

      5,074          12,833  

Canadian National Railway Co.

      589          70,046  

Knight-Swift Transportation Holdings, Inc.

      1,192          60,208  
       

 

 

  
          143,087  
       

 

 

  
                2,214,786  
       

 

 

  

Energy – 2.7%

 

Oil, Gas & Consumable Fuels – 2.7%

 

Cheniere Energy, Inc.

      375          60,068  

ConocoPhillips

      1,793          196,244  

Devon Energy Corp.

      1,515          106,989  

Enbridge, Inc.

      2,012          82,971  

Eni SpA

      10,914          128,926  

EOG Resources, Inc.

      1,290          156,477  

Equinor ASA

      6,797          263,796  

Inpex Corp.

      9,400          108,049  

Keyera Corp.(b)

      1,121          27,621  

 

6

Company    Shares        U.S. $ Value  

Marathon Petroleum Corp.

      1,681        $ 169,361  

Neste Oyj

      958          47,265  

ONEOK, Inc.

      896          54,862  

Repsol SA(a)

      6,281          81,578  

Shell PLC

      13,836          366,238  

Suncor Energy, Inc.(b)

      2,207          71,402  

Woodside Energy Group Ltd.

      2,452          56,956  
       

 

 

  
          1,978,803  
       

 

 

  

Consumer Staples – 2.3%

 

Beverages – 0.8%

 

Asahi Group Holdings Ltd.

      7,275          243,918  

Coca-Cola Co. (The)

      4,181          258,009  

Heineken Holding NV(b)

      244          17,309  

Keurig Dr Pepper, Inc.

      941          35,871  

Kirin Holdings Co., Ltd.

      1,100          18,108  
       

 

 

  
          573,215  
       

 

 

  

Food & Staples Retailing – 0.6%

 

CVS Health Corp.

      715          70,177  

George Weston Ltd.

      57          6,517  

Jeronimo Martins SGPS SA

      2,427          53,811  

Koninklijke Ahold Delhaize NV

      4,403          121,112  

Kroger Co. (The)

      2,720          130,397  

Walmart, Inc.(a)

      453          60,045  
       

 

 

  
          442,059  
       

 

 

  

Food Products – 0.5%

 

Archer-Daniels-Midland Co.

      1,803          158,466  

Bunge Ltd.

      1,403          139,136  

Salmar ASA

      725          47,942  
       

 

 

  
          345,544  
       

 

 

  

Household Products – 0.2%

 

Colgate-Palmolive Co.

      949          74,221  

Procter & Gamble Co., (The)

      539          74,350  
       

 

 

  
          148,571  
       

 

 

  

Tobacco – 0.2%

 

Imperial Brands PLC

      5,864          128,960  

Philip Morris International, Inc.

      343          32,753  
       

 

 

  
          161,713  
       

 

 

  
                1,671,102  
       

 

 

  

Real Estate – 1.8%

 

Equity Real Estate Investment Trusts (REITs) – 1.4%

 

Extra Space Storage, Inc.

      699          138,912  

Iron Mountain, Inc.

      2,607          137,154  

Land Securities Group PLC

      6,784          51,168  

Link REIT

      3,000          23,217  

Medical Properties Trust, Inc.

      8,229          120,226  

Nippon Building Fund, Inc.

      4          19,924  

Public Storage

      328          108,512  

Simon Property Group, Inc.

      1,122          114,422  

Stockland

      48,876          120,228  

Vornado Realty Trust

      865          22,680  

Weyerhaeuser Co.

      4,055          138,519  
       

 

 

  
          994,962  
       

 

 

  

 

7

Company    Shares        U.S. $ Value  

Real Estate Management & Development – 0.4%

 

CBRE Group, Inc. - Class A(a)

      1,951        $ 154,051  

Nomura Real Estate Holdings, Inc.

      5,100          125,296  
       

 

 

  
          279,347  
       

 

 

  
                1,274,309  
       

 

 

  

Utilities – 1.4%

 

Electric Utilities – 0.5%

 

American Electric Power Co., Inc.

      626          62,725  

Endesa SA

      3,464          59,415  

Enel SpA

      5,216          24,510  

Iberdrola SA

      7,215          75,120  

NRG Energy, Inc.

      3,373          139,238  

Terna - Rete Elettrica Nazionale

      1,535          10,913  
       

 

 

  
          371,921  
       

 

 

  

Gas Utilities – 0.5%

 

AltaGas Ltd.

      6,084          131,190  

APA Group

      1,461          11,017  

Naturgy Energy Group SA(b)

      1,519          41,886  

Snam SpA

      2,992          14,221  

UGI Corp.

      3,235          127,782  
       

 

 

  
          326,096  
       

 

 

  

Independent Power and Renewable Electricity Producers – 0.1%

 

RWE AG

      480          18,325  

Uniper SE

      657          3,555  

Vistra Corp.

      2,716          67,221  
       

 

 

  
          89,101  
       

 

 

  

Multi-Utilities – 0.3%

 

Ameren Corp.

      463          42,883  

E.ON SE

      6,497          55,417  

Sempra Energy

      927          152,927  
       

 

 

  
          251,227  
       

 

 

  
          1,038,345  
       

 

 

  

Materials – 1.3%

 

Chemicals – 0.4%

 

Linde PLC

      369          104,375  

Mitsubishi Chemical Holdings Corp.

      6,700          35,175  

OCI NV

      1,135          42,611  

Sumitomo Chemical Co., Ltd.

      32,500          127,930  

Westlake Corp.

      93          9,173  
       

 

 

  
          319,264  
       

 

 

  

Containers & Packaging – 0.1%

 

Packaging Corp. of America

      661          90,504  
       

 

 

  

Metals & Mining – 0.8%

 

Anglo American PLC

      3,339          107,297  

BHP Group Ltd.

      2,158          58,870  

 

8

Company    Shares        U.S. $ Value  

Fortescue Metals Group Ltd.(b)

      9,821        $ 122,051  

Glencore PLC(a)

      4,715          25,780  

Rio Tinto Ltd.

      1,457          92,539  

Teck Resources Ltd. - Class B

      3,845          130,221  
       

 

 

  
          536,758  
       

 

 

  
          946,526  
       

 

 

  

Total Common Stocks
(cost $32,984,714)

               29,979,957  
       

 

 

  

INVESTMENT COMPANIES – 42.0%

 

Funds and Investment Trusts – 42.0%(e)

 

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

      4,339,122          29,289,070  

Vanguard Global ex-U.S. Real Estate ETF(b)

      12,433          538,971  

Vanguard Real Estate ETF(b)

      5,610          521,786  
       

 

 

  

Total Investment Companies
(cost $34,295,532)

           30,349,827  
       

 

 

  

PREFERRED STOCKS – 5.9%

 

Real Estate – 5.9%

 

Diversified REITs – 1.0%

 

Armada Hoffler Properties, Inc. Series A(b)

      7,725          200,850  

Gladstone Commercial Corp. Series E

      2,307          58,113  

Gladstone Commercial Corp. Series G

      3,125          73,297  

Global Net Lease, Inc. Series A

      3,467          83,694  

Global Net Lease, Inc. Series B

      4,450          108,402  

PS Business Parks, Inc. Series X(b)

      131          2,477  

PS Business Parks, Inc. Series Y

      1,307          24,794  

Vornado Realty Trust Series L(b)

      6,967          151,323  
       

 

 

  
          702,950  
       

 

 

  

Equity Real Estate Investment Trusts (REITs) – 0.1%

 

Hudson Pacific Properties, Inc. Series C

      3,713          70,955  
       

 

 

  

Health Care REITs – 0.0%

 

Healthcare Trust, Inc. Series B

      233          5,599  
       

 

 

  

Hotel & Resort REITs – 1.1%

 

Chatham Lodging Trust Series A

      3,680          81,917  

DiamondRock Hospitality Co.(b)

      6,875          180,744  

Hersha Hospitality Trust Series C

      3,635          82,878  

Hersha Hospitality Trust Series D

      2,481          53,862  

Hersha Hospitality Trust Series E

      1,757          38,917  

Pebblebrook Hotel Trust Series E

      4,919          109,792  

Pebblebrook Hotel Trust Series F

      3,661          82,043  

Summit Hotel Properties, Inc. Series E

      1,075          20,909  

Summit Hotel Properties, Inc. Series F

      6,950          134,274  
       

 

 

  
          785,336  
       

 

 

  

Industrial REITs – 0.3%

 

Plymouth Industrial REIT, Inc. Series A

      1,412          36,345  

Rexford Industrial Realty, Inc. Series B(b)

      4,843          122,310  

Rexford Industrial Realty, Inc. Series C(b)

      3,463          86,921  
       

 

 

  
          245,576  
       

 

 

  

 

9

Company    Shares        U.S. $ Value  

Office REITs – 0.4%

 

City Office REIT, Inc. Series A

      4,954        $ 108,146  

SL Green Realty Corp. Series I(b)

      1,718          42,091  

Vornado Realty Trust Series M(b)

      4,821          100,325  
       

 

 

  
          250,562  
       

 

 

  

Real Estate Development – 0.7%

 

Agree Realty Corp. Series A

      7,350          137,960  

Necessity Retail REIT, Inc. (The) Series C

      8,325          199,300  

Pebblebrook Hotel Trust Series G

      5,497          119,505  

Sunstone Hotel Investors, Inc. Series H

      2,925          66,485  
       

 

 

  
          523,250  
       

 

 

  

Real Estate Operating Companies – 0.1%

 

Brookfield Property Partners LP

      335          5,996  

Brookfield Property Partners LP Series A2

      2,779          54,941  
       

 

 

  
          60,937  
       

 

 

  

Real Estate Services – 0.1%

 

CTO Realty Growth, Inc. Series A

      2,243          53,608  

Sunstone Hotel Investors, Inc. Series I

      2,436          51,619  
       

 

 

  
                   105,227  
       

 

 

  

Residential REITs – 0.5%

 

American Homes 4 Rent Series H

      7,395          187,094  

Bluerock Residential Growth REIT, Inc. Series D

      2,741          69,155  

UMH Properties, Inc. Series D

      4,882          121,318  
       

 

 

  
          377,567  
       

 

 

  

Retail REITs – 0.8%

 

Cedar Realty Trust, Inc. Series C(b)

      2,808          29,905  

Federal Realty Investment Trust Series C

      358          8,703  

Kimco Realty Corp. Series M(b)

      368          8,858  

Necessity Retail REIT, Inc. (The) Series A

      1,075          25,671  

Saul Centers, Inc. Series D

      7,607          175,418  

Spirit Realty Capital, Inc. Series A

      5,738          142,991  

Urstadt Biddle Properties, Inc. Series H

      2,000          47,900  

Urstadt Biddle Properties, Inc. Series K(b)

      6,638          152,541  
       

 

 

  
          591,987  
       

 

 

  

Specialized REITs – 0.8%

 

Digital Realty Trust, Inc. Series J(b)

      950          22,240  

Digital Realty Trust, Inc. Series K

      4,933          123,769  

Digital Realty Trust, Inc. Series L

      40          939  

EPR Properties Series G(b)

      597          13,170  

National Storage Affiliates Trust Series A

      8,819          218,447  

Public Storage Series F(b)

      55          1,336  

Public Storage Series G

      1,526          37,097  

Public Storage Series H(b)

      2,692          68,215  

Public Storage Series I(b)

      1,446          33,359  

Public Storage Series J(b)

      1,009          22,390  

Public Storage Series K

      102          2,216  

Public Storage Series L

      53          1,170  

 

10

Company    Shares        U.S. $ Value  

Public Storage Series S

         1,091        $ 20,707  
          

 

 

  
          565,055  
          

 

 

  

Total Preferred Stocks
(cost $4,557,168)

           4,285,001  
          

 

 

  
     Notional
Amount		           

OPTIONS PURCHASED - PUTS – 1.7%

 

Options on Equities Indices – 1.7%

 

Euro STOXX 50 Index
Expiration: Feb 2023; Contracts: 1,450;
Exercise Price: EUR 2,950.00;
Counterparty: Citibank, NA(a)

      EUR        4,277,500          121,639  

FTSE 100 Index
Expiration: Feb 2023; Contracts: 310;
Exercise Price: GBP 6,400.00;
Counterparty: Citibank, NA(a)

      GBP        1,984,000          46,657  

Nikkei 225 Index
Expiration: Feb 2023; Contracts: 19,000;
Exercise Price: JPY 24,250.00;
Counterparty: UBS AG(a)

      JPY        460,750,000          71,333  

S&P 500 Index
Expiration: Feb 2023; Contracts: 10,400;
Exercise Price: USD 3,450.00;
Counterparty: UBS AG(a)

      USD        3,588,000          1,013,505  
          

 

 

  

Total Options Purchased - Puts
(premiums paid $982,031)

                 1,253,134  
          

 

 

  
     Principal
Amount
(000)		           

EMERGING MARKETS - SOVEREIGNS – 1.1%

 

Argentina – 0.0%

 

Argentine Republic Government International Bond
0.50%, 07/09/2030

      U.S.$        109          25,731  

1.00%, 07/09/2029

         16          3,801  

1.50%, 07/09/2035

         8          1,733  
          

 

 

  
          31,265  
          

 

 

  

Ecuador – 0.1%

 

Ecuador Government International Bond
1.50%, 07/31/2040(c)

         45          15,516  

2.50%, 07/31/2035(c)

         99          37,940  

Zero Coupon, 07/31/2030(c)

         12          3,988  
          

 

 

  
          57,444  
          

 

 

  

El Salvador – 0.1%

 

El Salvador Government International Bond
6.375%, 01/18/2027(c)

         122          45,887  
          

 

 

  

 

11

     

Principal

Amount

(000)

        U.S. $ Value  

Gabon – 0.2%

 

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

      U.S.$        200        $ 148,350  
          

 

 

  

Guatemala – 0.3%

 

Guatemala Government Bond
4.90%, 06/01/2030(c)

         200                    189,725  
          

 

 

  

Kenya – 0.2%

 

Republic of Kenya Government International Bond
6.875%, 06/24/2024(c)

         200          175,000  
          

 

 

  

Lebanon – 0.0%

 

Lebanon Government International Bond
6.60%, 11/27/2026(a) (c) (g)

         107          7,443  
          

 

 

  

Senegal – 0.2%

 

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

         200          139,037  
          

 

 

  

Ukraine – 0.0%

 

Ukraine Government International Bond
7.75%, 09/01/2029(c)

         150          30,375  
          

 

 

  

Total Emerging Markets - Sovereigns
(cost $1,358,471)

 

        824,526  
          

 

 

  

GOVERNMENTS - TREASURIES – 0.4%

 

Colombia – 0.1%

 

Colombian TES
Series B
6.25%, 11/26/2025

      COP        328,100          64,018  
          

 

 

  

Indonesia – 0.2%

 

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

      IDR        1,105,000          77,203  

Series FR71
9.00%, 03/15/2029 854,000

 

        63,464  
          

 

 

  
             140,667  
          

 

 

  

Mexico – 0.1%

 

Mexican Bonos
Series M 20
10.00%, 12/05/2024

      MXN        1,797          89,796  
          

 

 

  

Total Governments - Treasuries
(cost $340,613)

 

        294,481  
          

 

 

  

EMERGING MARKETS - TREASURIES – 0.3%

 

Brazil – 0.2%

 

Brazil Notas do Tesouro Nacional
Series NTNF
10.00%, 01/01/2023

      BRL        322          61,169  

10.00%, 01/01/2025

         196          36,134  
          

 

 

  
             97,303  
          

 

 

  

 

12

     

Principal

Amount

(000)

        U.S. $ Value  

South Africa – 0.1%

 

Republic of South Africa Government Bond
Series 2032
8.25%, 03/31/2032

      ZAR        1,908        $ 94,112  
          

 

 

  

Total Emerging Markets - Treasuries
(cost $223,648)

 

        191,415  
          

 

 

  

QUASI-SOVEREIGNS – 0.1%

 

Quasi-Sovereign Bonds – 0.1%

 

Mexico – 0.1%

 

Petroleos Mexicanos
5.95%, 01/28/2031

      U.S.$        43          32,175  

7.69%, 01/23/2050

 

      47          32,077  
          

 

 

  

Total Quasi-Sovereigns
(cost $87,957)

 

        64,252  
          

 

 

  
     Shares           

SHORT-TERM INVESTMENTS – 7.1%

 

Investment Companies – 7.1%

 

AB Fixed Income Shares, Inc. - Government
Money Market Portfolio - Class AB, 2.03%(e) (f) (h)
(cost $5,116,684)

 

      5,116,684          5,116,684  
          

 

 

  

Total Investments Before Security Lending Collateral for Securities Loaned – 100.0%
(cost $79,946,818)

 

        72,359,277  
          

 

 

  

INVESTMENTS OF CASH COLLATERAL FOR SECURITIES LOANED – 1.2%

 

Investment Companies – 1.2%

 

AB Fixed Income Shares, Inc. - Government
Money Market Portfolio - Class AB, 2.03%(e) (f) (h)
(cost $827,419)

 

      827,419          827,419  
          

 

 

  

Total Investments – 101.2%
(cost $80,774,237)(i)

 

            73,186,696  

Other assets less liabilities – (1.2)%

 

        (845,031 ) 
          

 

 

  

Net Assets – 100.0%

 

      $ 72,341,665  
          

 

 

  

 

13

FUTURES

 

Description     

Number

of
Contracts

      Expiration
Month		     

Current

Notional

     

Value and

Unrealized
Appreciation/

(Depreciation)

Purchased Contracts

 

10 Yr Mini Japan Government Bond Futures          6          September 2022        $ 645,758        $ 1,449
Euro STOXX 50 Index Futures          30          September 2022              1,061,228                (36,266 ) 
Euro-Bund Futures          6          September 2022          892,215          (12,196 )
FTSE 100 Index Futures          3          September 2022          253,977          (8,368 )
FTSE China A50 Futures          5          September 2022          67,610          (383 )
FTSE KLCI Futures          15          September 2022          249,441          1,430
FTSE/JSE Top 40 Futures          7          September 2022          248,300          (13,465 )
Hang Seng Index Futures          2          September 2022          252,577          2,623
Long Gilt Futures          1          December 2022          125,382          (1,662 )
OMXS 30 Index Futures          3          September 2022          54,006          (564 )
S&P 500 E-Mini Futures          31          September 2022              6,132,575              (265,362 ) 
SET 50 Futures          103          September 2022          558,975          21,338
TOPIX Index Futures          5          September 2022          706,136          (7,366 )
U.S. T-Note 10 Yr (CBT) Futures          13          December 2022          1,519,781          (2,643 )
Sold Contracts                            
Euro STOXX 50 Index Futures          23          September 2022          813,608          (10,082 )
FTSE 100 Index Futures          3          September 2022          253,977          7,565
FTSE Taiwan Index Futures          10          September 2022          522,800          1,404
Mexican BOLSA Index Futures          3          September 2022          66,836          5,550
MSCI Emerging Markets Futures          16          September 2022          785,520          17,251
MSCI Singapore IX ETS Futures          21          September 2022          433,840          10,199
S&P 500 E-Mini Futures          23          September 2022          4,549,975          (53,997 )
S&P/TSX 60 Index Futures          1          September 2022          177,409          (5,314 )
SGX Nifty 50 Futures          9          September 2022          315,180          1,413
SPI 200 Futures          5          September 2022          590,850          (4,044 )
WIG 20 Index Futures          41          September 2022          266,936          29,792
                           

 

 

  
                            $ (321,698 )
                           

 

 

  

FORWARD CURRENCY EXCHANGE CONTRACTS

 

Counterparty   

Contracts to

Deliver

(000)

     

In Exchange

For

(000)

     

Settlement

Date

      Unrealized
Appreciation/
(Depreciation)
Bank of America, NA        PEN        382          USD        99          09/15/2022        $ (515 )
Barclays Capital PLC        IDR        5,384,341          USD        360          10/27/2022          (1,831 )
Barclays Capital PLC        IDR        3,586,391          USD        243          10/27/2022          2,511
Barclays Capital PLC        CLP        291,028          USD        303          09/15/2022          (20,472 )
Barclays Capital PLC        PHP        10,253          USD        183          10/27/2022          1,591
Barclays Capital PLC        CNH        2,396          USD        356          10/20/2022          9,158
Barclays Capital PLC        SEK        2,290          USD        224          09/21/2022          8,728
Barclays Capital PLC        MYR        1,408          USD        316          12/15/2022          2,004
Barclays Capital PLC        MYR        1,420          USD        317          12/15/2022          (319 )
Barclays Capital PLC        PEN        657          USD        170          09/15/2022          (333 )
Barclays Capital PLC        INR        72          USD        1          09/28/2022          0
Barclays Capital PLC        USD        155          CAD        199          09/21/2022          (3,634 )
Barclays Capital PLC        USD        275          PEN        1,071          09/15/2022          2,762
Barclays Capital PLC        USD        551          MYR        2,432          12/15/2022          (7,571 )
Barclays Capital PLC        USD        99          IDR        1,464,831          10/27/2022          (101 )
Barclays Capital PLC        USD        309          KRW        403,040          10/27/2022          (8,317 )
Barclays Capital PLC        USD        78          COP        332,463          09/15/2022          (3,160 )
BNP Paribas SA        USD        1          COP        3,937          09/15/2022          24
Citibank, NA        KRW        533,848          USD        407          10/27/2022          9,005
Citibank, NA        USD        179          PHP        10,200          10/27/2022          1,537
Citibank, NA        USD        300          IDR            4,582,077          10/27/2022          7,696
Credit Suisse International        TWD        2,750          USD        90          10/21/2022          (235 )
Credit Suisse International        PEN        639          USD        166          09/15/2022          60
Credit Suisse International        USD        268          INR        21,374          09/28/2022          366
Credit Suisse International        USD        75          CLP        66,430          09/15/2022          (1,240 )
Credit Suisse International        USD        123          KRW        160,947          10/27/2022          (2,973 ) 
Deutsche Bank AG        THB        15,216          USD        431          11/10/2022               12,007
Deutsche Bank AG        BRL        2,122          USD        410          09/02/2022          1,843
Deutsche Bank AG        CNH        1,837          USD        271          10/20/2022          5,129
Deutsche Bank AG        USD        1          INR        72          09/28/2022          0

 

14

Counterparty   

Contracts to

Deliver

(000)

     

In Exchange

For

(000)

     

Settlement

Date

     

Unrealized

Appreciation/

(Depreciation)

Deutsche Bank AG        USD        392          BRL          2,122          09/02/2022        $ 15,638
Deutsche Bank AG        USD        327          CNH          2,196          10/20/2022          (8,553 )
Deutsche Bank AG        USD        190          INR          15,114          09/28/2022          (3 )
Deutsche Bank AG        USD        75          COP          326,507          09/15/2022          (1,451 )
Deutsche Bank AG        USD        104          IDR          1,573,420          10/27/2022          2,128
Goldman Sachs International        CNH        1,851          USD          274          10/20/2022          6,090
Goldman Sachs International        BRL        506          USD          96          09/02/2022          (1,715 )
Goldman Sachs International        USD        87          PEN          344          09/15/2022          1,962
Goldman Sachs International        USD        98          BRL          506          09/02/2022          (439 )
Goldman Sachs International        USD        20          TWD          605          10/21/2022          (397 )
Goldman Sachs International        USD        51          INR          4,046          09/28/2022          (45 )
Goldman Sachs International        USD        73          COP          309,014          09/15/2022          (3,198 )
HSBC Bank USA        KRW        156,176          USD          120          10/27/2022          3,720
HSBC Bank USA        USD        233          TWD          6,933          10/21/2022          (4,222 )
JPMorgan Chase Bank, NA        IDR        719,128          USD          49          10/27/2022          285
JPMorgan Chase Bank, NA        KRW        190,286          USD          145          10/27/2022          3,509
JPMorgan Chase Bank, NA        SEK        3,550          USD          348          09/21/2022          15,103
JPMorgan Chase Bank, NA        USD        380          CAD          487          09/21/2022          (9,345 )
JPMorgan Chase Bank, NA        USD        159          CLP          163,388          09/15/2022          22,370
JPMorgan Chase Bank, NA        USD        269          TWD          8,024          10/21/2022          (4,381 )
JPMorgan Chase Bank, NA        USD        51          INR          4,046          09/28/2022          (45 )
JPMorgan Chase Bank, NA        USD        95          CLP          84,570          09/15/2022          (1,024 )
JPMorgan Chase Bank, NA        USD        86          COP          400,906          09/15/2022          4,601
JPMorgan Chase Bank, NA        USD        232          IDR              3,520,070          10/27/2022          4,179
Morgan Stanley Capital Services, Inc.        BRL        1,616          USD          321          09/02/2022               10,839
Morgan Stanley Capital Services, Inc.        USD        89          MYR          396          12/15/2022          (750 )
Morgan Stanley Capital Services, Inc.        USD        312          BRL          1,616          09/02/2022          (1,404 )
Morgan Stanley Capital Services, Inc.        USD        319          BRL          1,616          10/04/2022          (10,716 )
Standard Chartered Bank        TWD        15,591          USD          525          10/21/2022          10,748
State Street Bank & Trust Co.        HUF        38,482          USD          100          09/09/2022          3,791
State Street Bank & Trust Co.        CZK        11,537          USD          471          09/09/2022          (1,670 )
State Street Bank & Trust Co.        ZAR        4,741          USD          283          10/13/2022          7,594
State Street Bank & Trust Co.        NOK        4,197          USD          438          09/21/2022          15,809
State Street Bank & Trust Co.        MXN        2,980          USD          144          09/29/2022          (3,215 )
State Street Bank & Trust Co.        MXN        2,227          USD          111          09/29/2022          777
State Street Bank & Trust Co.        CZK        2,193          USD          90          09/09/2022          331
State Street Bank & Trust Co.        SEK        935          USD          91          09/21/2022          2,726
State Street Bank & Trust Co.        PLN        1,164          USD          242          09/09/2022          (5,455 )

 

15

Counterparty   

Contracts to

Deliver

(000)

     

In Exchange

For

(000)

     

Settlement

Date

     

Unrealized

Appreciation/

(Depreciation)

State Street Bank & Trust Co.        CHF        521          USD          553          09/21/2022        $ 18,419
State Street Bank & Trust Co.        CAD        924          USD          712          09/21/2022          8,832
State Street Bank & Trust Co.        EUR        287          USD          297          09/21/2022          8,093
State Street Bank & Trust Co.        AUD               248          USD          174          09/21/2022          4,061
State Street Bank & Trust Co.        NZD        194          USD          120          09/21/2022          1,011
State Street Bank & Trust Co.        GBP        397          USD          472          09/21/2022          11,298
State Street Bank & Trust Co.        EUR        241          USD          241          09/21/2022          (1,136 )
State Street Bank & Trust Co.        GBP        94          USD          112          11/17/2022          2,236
State Street Bank & Trust Co.        USD        293          EUR          288          09/21/2022          (3,727 )
State Street Bank & Trust Co.        USD        284          CAD          369          09/21/2022          (2,964 )
State Street Bank & Trust Co.        USD        107          AUD          155          09/21/2022          (482 )
State Street Bank & Trust Co.        USD        416          GBP          353          09/21/2022          (6,153 )
State Street Bank & Trust Co.        USD        428          NZD          678          09/21/2022          (13,123 )
State Street Bank & Trust Co.        USD        336          PLN          1,593          09/09/2022          2,785
State Street Bank & Trust Co.        USD        166          PLN          772          09/09/2022          (2,492 )
State Street Bank & Trust Co.        USD        165          NOK          1,601          09/21/2022          (4,281 )
State Street Bank & Trust Co.        USD        162          NOK          1,618          09/22/2022          1,095
State Street Bank & Trust Co.        USD        145          MXN          2,999          09/29/2022          2,790
State Street Bank & Trust Co.        USD        335          SEK          3,467          09/21/2022          (9,826 )
State Street Bank & Trust Co.        USD        340          MXN          6,818          09/29/2022          (3,515 )
State Street Bank & Trust Co.        USD        461          JPY          61,281          09/21/2022          (18,953 )
State Street Bank & Trust Co.        USD        370          HUF              150,389          09/09/2022          6,463
State Street Bank & Trust Co.        USD        188          HUF          73,443          09/09/2022          (4,454 )
                                     

 

 

  
                                      $      83,869
                                     

 

 

  

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)

  
CNY      740          02/17/2025        China 7-Day
Reverse Repo
Rate		      2.547%    Quarterly      $ 1,191        $             —        $ 1,191  
CNY      2,204          02/20/2025        China 7-Day
Reverse Repo
Rate		      2.598%    Quarterly                3,914          —          3,914  
CNY      2,236          02/21/2025        China 7-Day
Reverse Repo
Rate		      2.620%    Quarterly        4,141          —          4,141  

 

16

                       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      1,050          01/10/2027        1 Day SOFR    1.315%    Annual      $     972,044      $ 3,601        $ (74,355 ) 
EUR      100          01/23/2030        6 Month
EURIBOR		    0.131%    Semi-Annual/

Annual

        (14,876 )                   —          (14,876 ) 
EUR      430          06/11/2030        6 Month
EURIBOR		    (0.045)%    Semi-Annual/

Annual

        (72,708 )       —          (72,711 ) 
EUR      60          06/19/2030        6 Month
EURIBOR		    (0.119)%    Semi-Annual/

Annual

        (10,550 )       —          (10,547 ) 
EUR      520          08/05/2030        6 Month
EURIBOR		    (0.232)%    Semi-Annual/

Annual

        (97,221 )       —          (97,221 ) 
EUR      600          10/22/2030        6 Month
EURIBOR		    (0.280)%    Semi-Annual/

Annual

        (117,996 )       —          (117,996 ) 
EUR      190          11/12/2030        6 Month
EURIBOR		    (0.169)%    Semi-Annual/

Annual

        (35,874 )       —          (35,874 ) 
EUR      490          05/11/2031        6 Month
EURIBOR		    0.115%    Semi-Annual/

Annual

        (86,409 )       —          (86,410 ) 
GBP      920          08/19/2031        1 Day SONIA    0.539%    Annual        (203,253 )       —              (203,253 ) 
CAD      230          08/19/2031        3 month
CDOR		    1.595%    Semi-Annual        (26,753 )       —          (26,753 ) 
EUR      150          08/19/2031        6 Month
EURIBOR		    (0.116)%    Semi-Annual/

Annual

        (30,317 )       —          (30,317 ) 
USD      1,080          08/23/2031        3 Month
LIBOR		    1.255%    Quarterly/

Semi-Annual

        (165,965 )       —          (165,965 ) 
JPY      337,460          08/27/2031        1 Day TONAR    (0.015)%    Annual        (83,329 )       —          (80,924 ) 
JPY      55,860          08/27/2031        1 Day TONAR    (0.006)%    Semi-Annual        (15,552 )       —          (15,550 ) 
JPY      52,540          08/30/2031        0.000%    1 Day TONAR    Annual        12,489        —          6,647  
JPY      37,290          08/30/2031        1 Day TONAR    0.000%    Annual        (10,297 )       —          (10,296 ) 
JPY      37,070          08/30/2031        0.000%    1 Day TONAR    Annual        7,039        —          2,586  
CHF      30          09/14/2031        1 Day
SARON		    (0.085)%    Annual        (3,837 )       —          (3,932 ) 
CHF      90          10/06/2031        1 Day
SARON		    0.021%    Annual        (12,340 )       —          (12,340 ) 
USD      430          11/17/2031        3 Month
LIBOR		    1.690%    Quarterly/

Semi-Annual

        (50,998 )       —          (50,998 ) 
JPY      24,300          11/18/2031        1 Day TONAR    0.068%    Annual        (4,864 )       —          (4,864 ) 
EUR      330          11/18/2031        6 Month
EURIBOR		    0.174%    Semi-Annual

/Annual

        (59,785 )       —          (59,785 ) 
CHF      60          11/19/2031        1 Day
SARON		    0.100%    Annual        (7,967 )       —          (7,967 ) 
JPY      34,440          12/08/2031        1 Day TONAR    0.033%    Annual        (7,910 )       —          (7,910 ) 
NZD      40          01/14/2032        3 Month
BKBM		    2.755%    Quarterly

/Semi-Annual

        (2,595 )       —          (2,595 ) 
AUD      80          02/14/2032        2.482%    6 Month
BBSW		    Semi-Annual        6,888        —          6,888  
NZD      370          03/04/2032        3 Month
BKBM		    3.050%    Quarterly

/Semi-Annual

        (16,755 )       —          (16,755 ) 
NOK      310          05/10/2032        6 Month
NIBOR		    3.140%    Semi-Annual/

Annual

        (876 )       —          (876 ) 
USD      1,320          05/13/2032        1 Day SOFR    1.333%    Annual        (178,877 )       —          (22,700 ) 
NOK      1,240          05/25/2032        6 Month
NIBOR		    2.913%    Semi-Annual/

Annual

        (5,810 )       —          (5,810 ) 
JPY      22,680          06/15/2032        0.600%    1 Day TONAR    Annual        (3,278 )       —          (3,278 ) 
NOK      610          06/15/2032        6 Month
NIBOR		    3.335%    Semi-Annual/

Annual

        (752 )       —          (752 ) 
USD      140          06/15/2032        3.117%    1 Day SOFR    Annual        (2,488 )       —          (2,488 ) 
USD      170          06/17/2032        3.182%    1 Day SOFR    Annual        (3,952 )       —          (3,952 ) 
NZD      240          07/11/2032        3 Month
BKBM		    3.815%    Quarterly/

Semi-Annual

        (3,383 )       —          (3,383 ) 
CHF      130          07/11/2032        1 Day
SARON		    1.580%    Annual        (1,139 )       —          (1,139 ) 

 

17

                       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      110          07/11/2032          2.795%        1 Day SOFR        Annual        $ 1,237      $ —        $ 1,237  
CAD      190          07/19/2032          3.600%        3 Month CDOR        Semi-Annual          (293 )                   —          (294 ) 
GBP      240          07/20/2032          2.322%        1 Day SONIA        Annual                15,041        —                    15,041  
NOK      770          07/21/2032         
 6 Month
NIBOR		  
 		      3.140%       

 Semi-Annual/

Annual

  

 

        (2,585 )       —          (2,585 ) 
JPY      18,180          08/22/2032          1 Day TONAR        0.346%        Annual          (854 )       —          (854 ) 
EUR      170          08/22/2032         
 6 Month
EURIBOR		  
 		      1.881%       

 Semi-Annual/

Annual

  

 

        (7,370 )       —          (7,370 ) 
USD      80          08/22/2032          1 Day SOFR        2.620%        Annual          (2,189 )       —          (2,189 ) 
SEK      40          08/22/2032          2.370%       
 3 Month
STIBOR		  
 		     

 Annual/

Quarterly

  

 

        145        —          145  
EUR      10          08/22/2032          1.859%       
 6 Month
EURIBOR		  
 		     

 Annual/

Semi-Annual

  

 

        454        —          454  
AUD      310          08/26/2032         
 6 Month
NIBOR		  
 		      4.154%        Semi-Annual          1,456        —          1,456  
USD      290          05/13/2052          1 Day SOFR        1.533%        Annual          (67,695 )       —          (10,283 ) 
                       

 

 

     

 

 

       

 

 

  
                        $ (393,653 )     $ 3,601        $ (1,234,447 ) 
                       

 

 

     

 

 

       

 

 

  

CENTRALLY CLEARED CREDIT DEFAULT SWAPS

 

Description   

Fixed

Rate

(Pay)

Receive

    

Payment

Frequency

   

Implied

Credit

Spread at

August 31,

2022

    

Notional

Amount

(000)

     

Market

Value

    

Upfront
Premiums

Paid/

(Received)

     

Unrealized

Appreciation/

(Depreciation)

  
Sale Contracts

 

CDX-NAHY Series 37, 5 Year Index, 12/20/2026*

      5.00 %    Quarterly      4.97%       USD        3,020      $ 33,071     $ 146,162      $ (113,091 ) 

CDX-NAHY Series 38, 5 Year Index, 06/20/2027*

      5.00     Quarterly      5.32       USD        2,218        5,002       10,433        (5,431 ) 

iTraxx Xover Series 36, 5 Year Index, 12/20/2026*

      5.00     Quarterly      5.57       EUR        680        (6,513 )      57,219        (63,732 ) 

iTraxx Xover Series 37, 5 Year Index, 06/20/2027*

      5.00     Quarterly      5.91       EUR        580        13,706       14,551        (845 ) 
               

 

 

    

 

 

     

 

 

  
             $     45,266     $     228,365      $     (183,099 ) 
               

 

 

    

 

 

     

 

 

  

 

*

Termination date

TOTAL RETURN SWAPS

 

Counterparty &

Referenced Obligation

   

Rate Paid/

Received

    

Payment

Frequency

     

Current

Notional

(000)

     

Maturity

Date

     

Unrealized

Appreciation/

(Depreciation)

  
Receive Total Return on Reference Obligation                 
Bank of America, NA                 

MLABUSCG(1)

     
 OBFR Plus
0.10%		  
 		     Maturity        USD        5,720        09/23/2022      $     (126,905 ) 

MLABWGC1(2)

     
 OBFR Plus
0.22%		  
 		     Maturity        USD        7,089        09/23/2022        (138,769 ) 

 

18

Counterparty &

Referenced Obligation

   

Rate Paid/

Received

    

Payment

Frequency

     

Current

Notional

(000)

     

Maturity

Date

     

Unrealized

Appreciation/

(Depreciation)

  
Morgan Stanley Capital Services LLC                 

KOSPI 200 Futures

      0.00%       Monthly        KRW        160,500        09/08/2022      $ (4,409 ) 

KOSPI 200 Futures

      0.00%       Monthly        KRW        240,750        09/08/2022        (4,832 ) 

Swiss Market Index Futures

      0.00%       Monthly        CHF        106        09/16/2022        (5,176 ) 

Swiss Market Index Futures

      0.00%       Monthly        CHF        106        09/16/2022        (5,663 ) 
Pay Total Return on Reference Obligation                 
Bank of America, NA                 

MSCI Daily TR Gross World USD Index

     
 OBFR Plus
0.31%		  
 		     Maturity        USD        7,193        02/28/2023        (21,114 ) 

S&P 500 Total Return Index

     

 FedFund
Effective Plus
0.29%		  
 
 		     Quarterly        USD        5,745        03/01/2023        (56,917 ) 
Morgan Stanley Capital Services LLC                 

IBOVESPA Futures

      0.00%       Monthly        BRL        667        10/13/2022        3,656  
                

 

 

  
                 $     (360,129 ) 
                

 

 

  

 

(a)

Non-income producing security.

(b)

Represents entire or partial securities out on loan.

(c)

Security is exempt from registration under Rule 144A or Regulation S of the Securities Act of 1933. These securities are considered restricted, but liquid and may be resold in transactions exempt from registration. At August 31, 2022, the aggregate market value of these securities amounted to $905,552 or 1.3% of net assets.

(d)

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

(e)

To obtain a copy of the fund’s shareholder report, please go to the Securities and Exchange Commission’s website at www.sec.gov. Additionally, shareholder reports for AB funds can be obtained by calling AB at (800) 227-4618.

(f)

Affiliated investments.

(g)

Defaulted.

(h)

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

(i)

As of August 31, 2022, the cost basis of investment securities owned was substantially identical for both book and tax purposes. Gross unrealized appreciation of investments was $1,623,259 and gross unrealized depreciation of investments was $(11,226,304), resulting in net unrealized depreciation of $(9,603,045).

Currency Abbreviations:

AUD – Australian Dollar

BRL – Brazilian Real

CAD – Canadian Dollar

CHF – Swiss Franc

CLP – Chilean Peso

CNH – Chinese Yuan Renminbi (Offshore)

COP – Colombian Peso

CZK – Czech Koruna

EUR – Euro

GBP – Great British Pound

HUF – Hungarian Forint

IDR – Indonesian Rupiah

INR – Indian Rupee

JPY – Japanese Yen

KRW – South Korean Won

MXN – Mexican Peso

MYR – Malaysian Ringgit

NOK – Norwegian Krone

NZD – New Zealand Dollar

PEN – Peruvian Sol

PHP – Philippine Peso

PLN – Polish Zloty

 

19

SEK – Swedish Krona

THB – Thailand Baht

TWD – New Taiwan Dollar

USD – United States Dollar

ZAR – South African Rand

Glossary:

ADR – American Depositary Receipt

BBSW – Bank Bill Swap Reference Rate (Australia)

BKBM – Bank Bill Benchmark (New Zealand)

CBT – Chicago Board of Trade

CDOR – Canadian Dealer Offered Rate

CDX-NAHY – North American High Yield Credit Default Swap Index

ETS – Emission Trading Scheme

EURIBOR – Euro Interbank Offered Rate

FTSE – Financial Times Stock Exchange

KLCI – Kuala Lumpur Composite Index

KOSPI – Korea Composite Stock Price Index

LIBOR – London Interbank Offered Rate

MSCI – Morgan Stanley Capital International

NIBOR – Norwegian Interbank Offered Rate

OBFR – Overnight Bank Funding Rate

REIT – Real Estate Investment Trust

SARON – Swiss Average Rate Overnight

SET – Stock Exchange of Thailand

SGX – Singapore Exchange

SOFR – Secured Overnight Financing Rate

SONIA – Sterling Overnight Index Average

SPI – Share Price Index

STIBOR – Stockholm Interbank Offered Rate

TONAR – Tokyo Overnight Average Rate

TOPIX – Tokyo Price Index

TSX – Toronto Stock Exchange

WIG – Warszawski Indeks Gieldowy

(1) The following table represents the largest equity basket holdings underlying the total return swap in MLABUSCG as of August 31, 2022.

 

Security Description    Shares    Current Notional   

Percent of

Basket’s Value

Microsoft Corp.        2,136        USD     558,584        9.8 %
Mastercard, Inc.        1,548        502,125        8.8 %
Abbott Laboratories        3,873        397,605        7.0 %
Charles Schwab Corp. (The)        5,550        393,769        6.9 %
CDW Corp./DE        2,090        356,775        6.2 %
Amazon.com, Inc.        2,793        354,025        6.2 %
IQVIA Holdings, Inc.        1,645        349,881        6.1 %
Automatic Data Processing, Inc.        1,339        327,313        5.7 %
NIKE, Inc.        3,008        320,157        5.6 %
American Tower Corp.        1,211        307,739        5.4 %
Amphenol Corp.        3,478        255,755        4.5 %
Zoetis, Inc.        1,596        249,761        4.4 %
TJX Cos., Inc. (The)        3,904        243,415        4.3 %
Aptiv PLC        2,376        221,965        3.9 %
Stericycle, Inc        4,182        209,452        3.7 %
Constellation Brands, Inc.        847        208,516        3.6 %
Cooper Cos., Inc. (The)        657        188,853        3.3 %
Meta Platforms, Inc.        1,107        180,297        3.2 %
Eaton Corp.        690        94,328        1.6 %

 

20

(2) The following table represents the 50 largest equity basket holdings underlying the total return swap in MLABWGC1 as of August 31, 2022.

 

Security Description    Shares    Current Notional    Percent of
Basket’s Value
Microsoft Corp.        1,629        USD     425,999        6.0 %
Alphabet, Inc.        2,607        284,594        4.0 %
Otis Worldwide Corp.        3,591        259,316        3.7 %
Asahi Group Holdings Ltd.        7,383        248,890        3.5 %
Visa, Inc.        1,178        233,983        3.3 %
Goldman Sachs Group, Inc. (The)        697        231,767        3.3 %
Samsung Electronics Co., Ltd.        5,000        223,184        3.1 %
BlackRock, Inc.        311        207,124        2.9 %
Paypal Holdings, Inc.        2,189        204,540        2.9 %
Elevance Health, Inc.        416        201,792        2.8 %
Starbucks Corp.        2,394        201,234        2.8 %
Shell PLC        74        196,584        2.8 %
Meta Platforms, Inc.        1,199        195,316        2.8 %
Cognizant Technology Solutions Corp.        3,044        192,289        2.7 %
Comcast Corp.        4,780        172,989        2.4 %
Roche Holding AG        517        167,155        2.4 %
Sanofi        1,974        163,163        2.3 %
Amazon.com, Inc.        1,276        161,816        2.3 %
CBRE Group, Inc.        1,990        157,157        2.2 %
Coca-Cola Co. (The)        2,414        148,998        2.1 %
Galaxy Entertainment Group Ltd.        24,725        138,920        2.0 %
Thermo Fisher Scientific Inc.        252        137,390        1.9 %
Akamai Technologies, Inc.        1,474        133,044        1.9 %
Parker-Hannifin Corp.        488        129,315        1.8 %
Mitsubishi UFJ Financial Group, Inc.        24,768        128,839        1.8 %
Prosus NV        2,035        126,363        1.8 %
Medtronic PLC        1,429        125,599        1.8 %
Electronic Arts Inc.        986        125,120        1.8 %
Applied Materials, Inc.        1,293        121,632        1.7 %
Julius Baer Group Ltd.        2,301        111,861        1.6 %
Dover Corp.        882        110,207        1.6 %
Linde PLC        378        106,805        1.5 %
SAP SE        1,180        100,810        1.4 %
Credit Suisse Group AG        18,999        98,502        1.4 %
Volvo AB        6,068        96,600        1.4 %
Alibaba Group Holding Ltd.        974        92,975        1.3 %
Compass Group PLC        40        86,797        1.2 %
Wells Fargo & Co.        1,790        78,233        1.1 %
Iberdrola SA        7,392        77,187        1.1 %
Koninklijke Philips NV        4,131        69,147        1.0 %
Alibaba Group Holding Ltd.        5,735        68,901        1.0 %
NIKE, Inc.        559        59,531        0.8 %
Cheniere Energy, Inc.        371        59,499        0.8 %
Citigroup, Inc.        1,207        58,917        0.8 %
Kering SA        103        51,865        0.7 %
ABN AMRO Bank NV (GDR)        5,305        51,071        0.7 %
Neste Oyj        961        47,587        0.7 %
Yum China Holdings, Inc.        915        45,827        0.6 %
London Stock Exchange Group PLC        5        44,499        0.6 %
Infineon Technologies AG        1,770        43,244        0.6 %
Other Long        660        87,842        1.2 %

 

21

AB Cap Fund, Inc.

AB All Market Income Portfolio

August 31, 2022 (unaudited)

In accordance with U.S. GAAP regarding fair value measurements, fair value is defined as the price that the Fund would receive to sell an asset or pay to transfer a liability in an orderly transaction between market participants at the measurement date. U.S. GAAP establishes a framework for measuring fair value, and a three-level hierarchy for fair value measurements based upon the transparency of inputs to the valuation of an asset or liability (including those valued based on their market values). Inputs may be observable or unobservable and refer broadly to the assumptions that market participants would use in pricing the asset or liability. Observable inputs reflect the assumptions market participants would use in pricing the asset or liability based on market data obtained from sources independent of the Fund. Unobservable inputs reflect the Fund’s own assumptions about the assumptions that market participants would use in pricing the asset or liability based on the best information available in the circumstances. Each investment is assigned a level based upon the observability of the inputs which are significant to the overall valuation. The three-tier hierarchy of inputs is summarized below.

 

  •  

Level 1 - quoted prices in active markets for identical investments

  •  

Level 2 - other significant observable inputs (including quoted prices for similar investments, interest rates, prepayment speeds, credit risk, etc.)

  •  

Level 3 - significant unobservable inputs (including the Fund’s own assumptions in determining the fair value of investments)

The fair value of debt instruments, such as bonds, and over-the-counter derivatives is generally based on market price quotations, recently executed market transactions (where observable) or industry recognized modeling techniques and are generally classified as Level 2. Pricing vendor inputs to Level 2 valuations may include quoted prices for similar investments in active markets, interest rate curves, coupon rates, currency rates, yield curves, option adjusted spreads, default rates, credit spreads and other unique security features in order to estimate the relevant cash flows which is then discounted to calculate fair values. If these inputs are unobservable and significant to the fair value, these investments will be classified as Level 3.

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

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

 

22

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

The following table summarizes the valuation of the Fund’s investments by the above fair value hierarchy levels as of August 31, 2022:

 

Investments in Securities:

    Level 1      Level 2      Level 3      Total  
Assets:

 

Common Stocks:            

Information Technology

    $ 6,416,825      $ 540,919      $ —      $ 6,957,744  

Financials

      2,542,796        2,076,121        —        4,618,917  

Health Care

      2,986,905        1,363,507        —        4,350,412  

Communication Services

      1,784,923        707,959        —        2,492,882  

Consumer Discretionary

      1,690,485        745,646        —        2,436,131  

Industrials

      1,322,602        892,184        —        2,214,786  

Energy

      925,995        1,052,808        —        1,978,803  

Consumer Staples

      1,039,942        631,160        —        1,671,102  

Real Estate

      934,476        339,833        —        1,274,309  

Utilities

      723,966        314,379        —        1,038,345  

Materials

      334,273        612,253        —        946,526  
Investment Companies      30,349,827        —        —        30,349,827  
Preferred Stocks      4,285,001        —        —        4,285,001  
Options Purchased - Puts      —        1,253,134        —        1,253,134  
Emerging Markets - Sovereigns      —        824,526        —        824,526  
Governments - Treasuries      —        294,481        —        294,481  
Emerging Markets - Treasuries      —        191,415        —        191,415  
Quasi-Sovereigns      —        64,252        —        64,252  
Short-Term Investments      5,116,684        —        —        5,116,684  
Investments of Cash Collateral for Securities Loaned in Affiliated Money Market Fund      827,419        —        —        827,419  
  

 

 

     

 

 

     

 

 

     

 

 

  
Total Investments in Securities          61,282,119            11,904,577                        —            73,186,696  
Other Financial Instruments(a):            
Assets:

 

Futures      100,014        —        —        100,014  
Forward Currency Exchange Contracts      —        263,704        —        263,704  

 

23

Investments in Securities:

    Level 1     Level 2     Level 3      Total  
Centrally Cleared Interest Rate Swaps    $ —     $ 1,026,039     $ —      $ 1,026,039  
Centrally Cleared Credit Default Swaps      —       51,779       —        51,779  
Total Return Swaps      —       3,656       —        3,656  
Liabilities:

 

Futures      (421,712 )      —       —        (421,712 ) 
Forward Currency Exchange Contracts      —       (179,835 )      —        (179,835 ) 
Centrally Cleared Interest Rate Swaps      —       (1,419,692 )      —        (1,419,692 ) 
Centrally Cleared Credit Default Swaps      —       (6,513 )      —        (6,513 ) 
Total Return Swaps      —       (363,785 )      —        (363,785 ) 
  

 

 

    

 

 

    

 

 

     

 

 

  
Total    $     60,960,421     $     11,279,930     $                 —      $     72,240,351  
  

 

 

    

 

 

    

 

 

     

 

 

  

 

(a)

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

A summary of the Fund’s transactions in AB mutual funds for the nine months ended August 31, 2022 is as follows:

 

                                             Distributions  
Fund   

Market

Value

11/30/2021

(000)

     

Purchases

(000)

     

Sales

(000)

     

Realized

Gain

(Loss)

(000)

    

Change in

Appr./

(Depr.)

(000)

    

Market

Value

08/31/2022

(000)

     

Dividend

Income

(000)

     

Realized

Gains

(000)

  
AB High Income Fund, Inc.    $ 15,120      $ 22,607      $ 4,143      $ (591 )    $ (3,704 )    $ 29,289      $ 1,290      $ 0  
Government Money Market Portfolio      26,525        35,807        57,215        0       0       5,117        18        0  
Government Money Market Portfolio*      727        7,571        7,471        0       0       827        3        0  
Total      $ 42,372      $   65,985      $   68,829      $   (591)     $ (3,704 )    $   35,233      $   1,311      $   0  

 

*

Investments of cash collateral for securities lending transactions

 

24